NPORT-P false 0001047304 XXXXXXXX S000009669 C000026496 C000139585 C000026495 PIMCO Variable Insurance Trust 811-08399 0001047304 549300KNGHUU7TTJOR56 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO International Bond Portfolio (U.S. Dollar-Hedged) S000009669 549300P9300R3FCSTO42 2023-12-31 2023-06-30 N 1046781785.700000 482168271.960000 564613513.740000 0.000000 0.000000 59652143.050000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 22024921.780000 USD AUD CAD CHF CNY CZK DKK EUR ARS ILS INR JPY KRW MXN MYR NZD PEN SEK SGD THB GBP N Bloomberg Global Aggregate ex-USD Total Return Hedged Index LG38TRUH N/A N/A 000000000 1.000000 NC -10567.920000 -0.0018717 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 837170.030000 USD 12448090469.000000 IDR 2023-09-20 -10567.920000 N N N N/A N/A 000000000 1.000000 NC -2819.090000 -0.0004993 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 812635.910000 USD 12195633419.000000 IDR 2023-09-22 -2819.090000 N N N N/A N/A 000000000 1.000000 NC 934.850000 0.0001656 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1025658.000000 USD 84473192.880000 INR 2023-09-20 934.850000 N N N AURIUM CLO III DAC 3A N/A ACI1FVVB0 495688.650000 PA 531161.780000 0.0940753 Long ABS-CBDO CORP IE N 2 2030-04-16 Floating 3.847 N N N N N N N/A N/A 000000000 1.000000 NC -32682.760000 -0.0057885 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1115280.650000 USD 1420644491.000000 KRW 2023-09-20 -32682.760000 N N N N/A N/A 000000000 1.000000 NC 3772.310000 0.0006681 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 278151.000000 USD 1028363.190000 PEN 2023-09-11 3772.310000 N N N N/A N/A 000000000 1.000000 NC -11253.170000 -0.0019931 N/A DFE TH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 600909.000000 USD 20749988.680000 THB 2023-09-20 -11253.170000 N N N N/A N/A 000000000 1.000000 NC -12330.110000 -0.0021838 N/A DFE TH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 627000.000000 USD 21630233.460000 THB 2023-09-20 -12330.110000 N N N N/A N/A 000000000 1.000000 NC -3024.040000 -0.0005356 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1309573.000000 AUD 869348.250000 USD 2023-07-05 -3024.040000 N N N N/A N/A 000000000 1.000000 NC 534182.360000 0.0946103 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 69916000.000000 CNY 10183138.020000 USD 2023-08-16 534182.360000 N N N N/A N/A 000000000 1.000000 NC 96800.190000 0.0171445 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 13205232.360000 CNY 1919225.690000 USD 2023-08-16 96800.190000 N N N N/A N/A 000000000 1.000000 NC 4757.890000 0.0008427 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2747232.950000 CNY 385000.000000 USD 2023-09-20 4757.890000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 ACI1J7L20 200000.000000 PA 105894.360000 0.0187552 Long DBT NUSS AU N 2 2032-05-21 Fixed 1.25 N N N N N N N/A N/A 000000000 1.000000 NC 11818.980000 0.0020933 N/A DFE MY N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 5768249.960000 MYR 1255058.740000 USD 2023-07-20 11818.980000 N N N N/A N/A 000000000 1.000000 NC -16675.030000 -0.0029534 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2548464.000000 NZD 1547316.990000 USD 2023-07-05 -16675.030000 N N N N/A N/A 000000000 1.000000 NC 5260.290000 0.0009317 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 8382773.000000 TWD 274521.000000 USD 2023-08-22 5260.290000 N N N N/A N/A 000000000 1.000000 NC 17.050000 0.0000030 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 18194.000000 TWD 602.500000 USD 2023-09-20 17.050000 N N N N/A N/A 000000000 1.000000 NC 13408.050000 0.0023747 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 21568431.000000 TWD 707440.000000 USD 2023-09-20 13408.050000 N N N N/A N/A 000000000 1.000000 NC 20373.280000 0.0036084 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 32772832.000000 TWD 1074942.000000 USD 2023-09-20 20373.280000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 BMGX73II0 1000000.000000 PA 524410.210000 0.0928795 Long DBT NUSS AU N 2 2031-11-21 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC 139171.140000 0.0246489 N/A DFE BR N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 2960810.990000 USD 15010423.480000 BRL 2023-09-05 139171.140000 N N N N/A N/A 000000000 1.000000 NC 561.180000 0.0000994 N/A DFE CL N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1705480.650000 USD 1373969321.000000 CLP 2023-08-07 561.180000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 ACI078RZ4 900000.000000 PA 622452.510000 0.1102440 Long DBT NUSS AU N 2 2033-04-21 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 20811.930000 0.0036860 N/A DFE PE N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 4188143.210000 USD 15276252.350000 PEN 2023-07-10 20811.930000 N N N N/A N/A 000000000 1.000000 NC -1517.730000 -0.0002688 N/A DFE CL N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1370012606.000000 CLP 1705480.650000 USD 2023-07-14 -1517.730000 N N N N/A N/A 000000000 1.000000 NC 606662.930000 0.1074475 N/A DFE JP N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 970000000.000000 JPY 7355366.570000 USD 2023-07-31 606662.930000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 BMZ8B6II2 50000.000000 PA 19399.480000 0.0034359 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 32822.290000 0.0058132 N/A DFE KR N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 3664401432.000000 KRW 2825268.450000 USD 2023-09-20 32822.290000 N N N N/A N/A 000000000 1.000000 NC -18209.870000 -0.0032252 N/A DFE PE N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 15276252.360000 PEN 4182295.450000 USD 2023-08-01 -18209.870000 N N N N/A N/A 000000000 -600000.000000 NC USD -53.640000 -0.0000095 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.99250 10/13/23-1Y LCH 2024-10-13 0.000000 USD 0.000000 USD N/A USD N/A 2.990000 USD 2023-10-11 XXXX 3999.360000 N N N N/A N/A 000000000 -600000.000000 NC USD -12577.080000 -0.0022276 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 N/A RFR USD SOFR/2.99250 10/13/23-1Y LCH 2024-10-13 0.000000 USD 0.000000 USD N/A USD N/A 2.990000 USD 2023-10-11 XXXX -8524.080000 N N N N/A N/A 000000000 -1000000.000000 NC USD -21455.100000 -0.0038000 N/A DIR 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 DIR US N/A RFR USD SOFR/2.92000 10/17/23-1Y LCH 2024-10-17 0.000000 USD 0.000000 USD N/A USD N/A 2.920000 USD 2023-10-13 XXXX -15417.600000 N N N N/A N/A 000000000 -1000000.000000 NC USD -87.100000 -0.0000154 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.92000 10/17/23-1Y LCH 2024-10-17 0.000000 USD 0.000000 USD N/A USD N/A 2.920000 USD 2023-10-13 XXXX 5950.400000 N N N N/A N/A 000000000 -600000.000000 NC USD -12873.060000 -0.0022800 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.92000 10/17/23-1Y LCH 2024-10-17 0.000000 USD 0.000000 USD N/A USD N/A 2.920000 USD 2023-10-13 XXXX -9183.060000 N N N N/A N/A 000000000 -600000.000000 NC USD -52.260000 -0.0000093 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.92000 10/17/23-1Y LCH 2024-10-17 0.000000 USD 0.000000 USD N/A USD N/A 2.920000 USD 2023-10-13 XXXX 3637.740000 N N N N/A N/A 000000000 -800000.000000 NC USD -16283.200000 -0.0028840 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.01750 10/24/23-1Y LCH 2024-10-24 0.000000 USD 0.000000 USD N/A USD N/A 3.020000 USD 2023-10-20 XXXX -11103.200000 N N N N/A N/A 000000000 -800000.000000 NC USD -98.560000 -0.0000175 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.01750 10/24/23-1Y LCH 2024-10-24 0.000000 USD 0.000000 USD N/A USD N/A 3.020000 USD 2023-10-20 XXXX 5081.440000 N N N N/A N/A 000000000 -700000.000000 NC USD -12881.190000 -0.0022814 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.22500 10/25/23-1Y LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.230000 USD 2023-10-23 XXXX -8024.940000 N N N N/A N/A 000000000 -700000.000000 NC USD -120.610000 -0.0000214 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.22500 10/25/23-1Y LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.230000 USD 2023-10-23 XXXX 4735.640000 N N N N/A N/A 000000000 -700000.000000 NC USD -13107.920000 -0.0023216 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.19000 10/25/23-1Y LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.190000 USD 2023-10-23 XXXX -8242.920000 N N N AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA) 95980020140005848404 B081RMII3 200000.000000 PA 216681.830000 0.0383770 Long DBT NUSS ES N 2 2035-04-26 Fixed 4.22 N N N N N N N/A N/A 000000000 -700000.000000 NC USD -114.660000 -0.0000203 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.19000 10/25/23-1Y LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.190000 USD 2023-10-23 XXXX 4750.340000 N N N N/A N/A 000000000 -700000.000000 NC USD -13432.370000 -0.0023790 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.14000 10/25/23-1Y LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.140000 USD 2023-10-23 XXXX -8514.870000 N N N N/A N/A 000000000 -700000.000000 NC USD -106.680000 -0.0000189 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.14000 10/25/23-1Y LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.140000 USD 2023-10-23 XXXX 4810.820000 N N N N/A N/A 000000000 -800000.000000 NC USD -103.440000 -0.0000183 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.97300 10/27/23-1Y LCH 2024-10-27 0.000000 USD 0.000000 USD N/A USD N/A 2.970000 USD 2023-10-25 XXXX 5396.560000 N N N N/A N/A 000000000 -800000.000000 NC USD -16582.960000 -0.0029370 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.97300 10/27/23-1Y LCH 2024-10-27 0.000000 USD 0.000000 USD N/A USD N/A 2.970000 USD 2023-10-25 XXXX -11082.960000 N N N N/A N/A 000000000 -800000.000000 NC USD -17444.320000 -0.0030896 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.84100 10/31/23-1Y LCH 2024-10-31 0.000000 USD 0.000000 USD N/A USD N/A 2.840000 USD 2023-10-27 XXXX -11964.320000 N N N N/A N/A 000000000 -800000.000000 NC USD -92.560000 -0.0000164 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.84100 10/31/23-1Y LCH 2024-10-31 0.000000 USD 0.000000 USD N/A USD N/A 2.840000 USD 2023-10-27 XXXX 5387.440000 N N N N/A N/A 000000000 -700000.000000 NC USD -134.610000 -0.0000238 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.08750 11/07/23-1Y LCH 2024-11-07 0.000000 USD 0.000000 USD N/A USD N/A 3.090000 USD 2023-11-03 XXXX 4940.390000 N N N N/A N/A 000000000 -700000.000000 NC USD -13525.050000 -0.0023955 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.08750 11/07/23-1Y LCH 2024-11-07 0.000000 USD 0.000000 USD N/A USD N/A 3.090000 USD 2023-11-03 XXXX -8450.050000 N N N N/A N/A 000000000 -700000.000000 NC USD -13942.670000 -0.0024694 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.02000 11/08/23-1Y LCH 2024-11-08 0.000000 USD 0.000000 USD N/A USD N/A 3.020000 USD 2023-11-06 XXXX -9392.670000 N N N N/A N/A 000000000 -700000.000000 NC USD -126.560000 -0.0000224 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.02000 11/08/23-1Y LCH 2024-11-08 0.000000 USD 0.000000 USD N/A USD N/A 3.020000 USD 2023-11-06 XXXX 4423.440000 N N N N/A N/A 000000000 -300000.000000 NC USD -6228.690000 -0.0011032 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.91000 11/14/23-1Y LCH 2024-11-14 0.000000 USD 0.000000 USD N/A USD N/A 2.910000 USD 2023-11-10 XXXX -4237.440000 N N N N/A N/A 000000000 -300000.000000 NC USD -53.130000 -0.0000094 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.91000 11/14/23-1Y LCH 2024-11-14 0.000000 USD 0.000000 USD N/A USD N/A 2.910000 USD 2023-11-10 XXXX 1938.120000 N N N N/A N/A 000000000 -1100000.000000 NC USD -184.250000 -0.0000326 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.84500 11/15/23-1Y LCH 2024-11-15 0.000000 USD 0.000000 USD N/A USD N/A 2.850000 USD 2023-11-13 XXXX 6773.250000 N N N N/A N/A 000000000 -1100000.000000 NC USD -23469.160000 -0.0041567 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.84500 11/15/23-1Y LCH 2024-11-15 0.000000 USD 0.000000 USD N/A USD N/A 2.850000 USD 2023-11-13 XXXX -16511.660000 N N N N/A N/A 000000000 -1100000.000000 NC USD -14307.480000 -0.0025340 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75000 11/21/23-1Y LCH 2024-11-21 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2023-11-17 XXXX -10319.980000 N N N N/A N/A 000000000 -1100000.000000 NC USD -98.560000 -0.0000175 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.25000 11/21/23-1Y LCH 2024-11-21 0.000000 USD 0.000000 USD N/A USD N/A 2.250000 USD 2023-11-17 XXXX 3888.940000 N N N N/A N/A 000000000 -1300000.000000 NC USD -18013.320000 -0.0031904 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.65000 11/22/23-1Y LCH 2024-11-22 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2023-11-20 XXXX -13479.570000 N N N N/A N/A 000000000 -1300000.000000 NC USD -106.210000 -0.0000188 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.15000 11/22/23-1Y LCH 2024-11-22 0.000000 USD 0.000000 USD N/A USD N/A 2.150000 USD 2023-11-20 XXXX 4427.540000 N N N N/A N/A 000000000 -1600000.000000 NC USD -21635.680000 -0.0038319 N/A DIR 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 DIR US N/A RFR USD SOFR/3.65000 12/05/23-1Y LCH 2024-12-05 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2023-12-01 XXXX -16675.680000 N N N N/A N/A 000000000 -1600000.000000 NC USD -168.800000 -0.0000299 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.15000 12/05/23-1Y LCH 2024-12-05 0.000000 USD 0.000000 USD N/A USD N/A 2.150000 USD 2023-12-01 XXXX 4791.200000 N N N N/A N/A 000000000 -1100000.000000 NC USD -13769.360000 -0.0024387 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75000 12/11/23-1Y LCH 2024-12-11 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2023-12-07 XXXX -10331.860000 N N N N/A N/A 000000000 -1100000.000000 NC USD -146.520000 -0.0000260 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.25000 12/11/23-1Y LCH 2024-12-11 0.000000 USD 0.000000 USD N/A USD N/A 2.250000 USD 2023-12-07 XXXX 3290.980000 N N N N/A N/A 000000000 -6200000.000000 NC -3048.020000 -0.0005398 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB RFR GBP SONIO/0.82000 12/16/24-1Y LCH N/A N/A 2025-12-16 0.000000 GBP 0.000000 GBP N/A GBP N/A 0.820000 GBP 2024-12-16 XXXX 40737.930000 N N N N/A N/A 000000000 -1100000.000000 NC -421150.290000 -0.0745909 N/A DIR DE N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 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 -337874.430000 N N N N/A N/A 000000000 -1300000.000000 NC USD -13223.340000 -0.0023420 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.80000 09/05/23-5Y LCH 2028-09-05 0.000000 USD 0.000000 USD N/A USD N/A 3.800000 USD 2023-08-31 XXXX -3700.840000 N N N N/A N/A 000000000 -1300000.000000 NC USD -1866.020000 -0.0003305 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.10000 09/05/23-5Y LCH 2028-09-05 0.000000 USD 0.000000 USD N/A USD N/A 3.100000 USD 2023-08-31 XXXX 7656.480000 N N N N/A N/A 000000000 -100000.000000 NC USD -1.970000 -0.0000003 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.40000 07/06/23-30Y LCH 2053-07-06 0.000000 USD 0.000000 USD N/A USD N/A 3.400000 USD 2023-07-03 XXXX 680.530000 N N N N/A N/A 000000000 -100000.000000 NC USD -6.920000 -0.0000012 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.00000 07/06/23-30Y LCH 2053-07-06 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2023-07-03 XXXX 675.580000 N N N N/A N/A 000000000 -310000.000000 NC USD -333.750000 -0.0000591 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.65000 07/10/23-10Y LCH 2033-07-10 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2023-07-06 XXXX 658.250000 N N N N/A N/A 000000000 -310000.000000 NC USD -4.250000 -0.0000008 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.20000 07/10/23-10Y LCH 2033-07-10 0.000000 USD 0.000000 USD N/A USD N/A 3.200000 USD 2023-07-06 XXXX 987.750000 N N N N/A N/A 000000000 -290000.000000 NC USD -312.210000 -0.0000553 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 N/A RFR USD SOFR/3.65000 07/10/23-10Y LCH 2033-07-10 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2023-07-06 XXXX 623.040000 N N N N/A N/A 000000000 -290000.000000 NC USD -3.970000 -0.0000007 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.20000 07/10/23-10Y LCH 2033-07-10 0.000000 USD 0.000000 USD N/A USD N/A 3.200000 USD 2023-07-06 XXXX 931.280000 N N N N/A N/A 000000000 -300000.000000 NC USD -188.580000 -0.0000334 N/A DIR 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75000 07/12/23-10Y LCH 2033-07-12 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2023-07-10 XXXX 876.420000 N N N N/A N/A 000000000 -300000.000000 NC USD -111.690000 -0.0000198 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.30000 07/12/23-10Y LCH 2033-07-12 0.000000 USD 0.000000 USD N/A USD N/A 3.300000 USD 2023-07-10 XXXX 953.310000 N N N N/A N/A 000000000 -400000.000000 NC USD -309.560000 -0.0000548 N/A DIR 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 DIR US N/A RFR USD SOFR/3.37000 07/12/23-30Y LCH 2053-07-12 0.000000 USD 0.000000 USD N/A USD N/A 3.370000 USD 2023-07-10 XXXX 2310.440000 N N N N/A N/A 000000000 -400000.000000 NC USD -998.000000 -0.0001768 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.07000 07/12/23-30Y LCH 2053-07-12 0.000000 USD 0.000000 USD N/A USD N/A 3.070000 USD 2023-07-10 XXXX 1622.000000 N N N N/A N/A 000000000 -300000.000000 NC USD -709.260000 -0.0001256 N/A DIR 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 DIR US N/A RFR USD SOFR/3.36000 07/18/23-30Y LCH 2053-07-18 0.000000 USD 0.000000 USD N/A USD N/A 3.360000 USD 2023-07-14 XXXX 1480.740000 N N N N/A N/A 000000000 -300000.000000 NC USD -1340.820000 -0.0002375 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.06000 07/18/23-30Y LCH 2053-07-18 0.000000 USD 0.000000 USD N/A USD N/A 3.060000 USD 2023-07-14 XXXX 849.180000 N N N N/A N/A 000000000 -900000.000000 NC USD -3739.050000 -0.0006622 N/A DIR 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.65000 07/24/23-10Y LCH 2033-07-24 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2023-07-20 XXXX -667.800000 N N N N/A N/A 000000000 -900000.000000 NC USD -1141.470000 -0.0002022 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.25000 07/24/23-10Y LCH 2033-07-24 0.000000 USD 0.000000 USD N/A USD N/A 3.250000 USD 2023-07-20 XXXX 1929.780000 N N N N/A N/A 000000000 -700000.000000 NC USD -12674.270000 -0.0022448 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.68750 04/04/24-1Y LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.690000 USD 2024-04-02 XXXX -7196.770000 N N N N/A N/A 000000000 -2000000.000000 NC USD -36051.400000 -0.0063851 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.69700 04/04/24-1Y LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.700000 USD 2024-04-02 XXXX -20363.900000 N N N N/A N/A 000000000 -700000.000000 NC USD -600.880000 -0.0001064 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.68750 04/04/24-1Y LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.690000 USD 2024-04-02 XXXX 4876.620000 N N N N/A N/A 000000000 -2000000.000000 NC USD -1732.800000 -0.0003069 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.69700 04/04/24-1Y LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.700000 USD 2024-04-02 XXXX 13954.700000 N N N N/A N/A 000000000 44100000.000000 NC USD 151906.860000 0.0269046 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.75000 06/24/24-1Y LCH 2025-06-24 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2024-06-20 XXXX 43861.860000 N N N N/A N/A 000000000 -44100000.000000 NC USD -87494.400000 -0.0154963 N/A DIR AU N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.25000 06/24/24-1Y LCH 2025-06-24 0.000000 USD 0.000000 USD N/A USD N/A 5.250000 USD 2024-06-20 XXXX -32369.400000 N N N N/A N/A 000000000 -700000.000000 NC USD -12345.130000 -0.0021865 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.72100 04/10/24-1Y LCH 2025-04-10 0.000000 USD 0.000000 USD N/A USD N/A 2.720000 USD 2024-04-08 XXXX -7060.130000 N N N N/A N/A 000000000 -700000.000000 NC USD -653.310000 -0.0001157 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 USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.72100 04/10/24-1Y LCH 2025-04-10 0.000000 USD 0.000000 USD N/A USD N/A 2.720000 USD 2024-04-08 XXXX 4631.690000 N N N N/A N/A 000000000 -1100000.000000 NC USD -1146.090000 -0.0002030 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.83500 04/10/24-1Y LCH 2025-04-10 0.000000 USD 0.000000 USD N/A USD N/A 2.840000 USD 2024-04-08 XXXX 7241.410000 N N N AVOLON TLB BORROWER 1 (US) LLC 635400O84AGITYFZQB55 05400KAH3 1170000.000000 PA USD 1169912.250000 0.2072059 Long LON CORP US N 2 2027-12-01 Floating 7.3963 N N N N N N N/A N/A 000000000 -1100000.000000 NC USD -18353.170000 -0.0032506 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.83500 04/10/24-1Y LCH 2025-04-10 0.000000 USD 0.000000 USD N/A USD N/A 2.840000 USD 2024-04-08 XXXX -9965.670000 N N N N/A N/A 000000000 -1100000.000000 NC USD -18810.440000 -0.0033316 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.78500 04/10/24-1Y LCH 2025-04-10 0.000000 USD 0.000000 USD N/A USD N/A 2.790000 USD 2024-04-08 XXXX -10340.440000 N N N N/A N/A 000000000 -1100000.000000 NC USD -1092.080000 -0.0001934 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.78500 04/10/24-1Y LCH 2025-04-10 0.000000 USD 0.000000 USD N/A USD N/A 2.790000 USD 2024-04-08 XXXX 7377.920000 N N N N/A N/A 000000000 -22600000.000000 NC USD -546750.500000 -0.0968362 N/A DIR 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 DIR US N/A RFR USD SOFR/2.31000 01/16/24-1Y LCH 2025-01-16 0.000000 USD 0.000000 USD N/A USD N/A 2.310000 USD 2024-01-11 XXXX -473847.270000 N N N N/A N/A 000000000 2600000.000000 NC USD 266963.580000 0.0472825 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.18000 01/16/24-10Y LCH 2034-01-16 0.000000 USD 0.000000 USD N/A USD N/A 2.180000 USD 2024-01-11 XXXX 192677.870000 N N N AVON FINANCE NO 2 PLC 2A N/A ACI1RJQB0 651428.570000 PA 827096.670000 0.1464890 Long ABS-MBS CORP GB N 2 2048-09-20 Floating 5.60864 N N N N N N N/A N/A 000000000 1.000000 NC 9802.610000 0.0017362 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 -3917680.000000 USD 5200000.000000 AUD 2031-01-04 -15158.030000 N N N N/A N/A 000000000 1.000000 NC 4812.700000 0.0008524 N/A DFE AU N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 -1293120.000000 USD 1800000.000000 AUD 2030-10-14 -4816.900000 N N N N/A N/A 000000000 1.000000 NC 7302.730000 0.0012934 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -2898000.000000 USD 4200000.000000 AUD 2029-07-31 6671.990000 N N N N/A N/A 000000000 1.000000 NC -8421.690000 -0.0014916 N/A DFE AU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 -2829000.000000 USD 4100000.000000 AUD 2029-08-01 6803.730000 N N N N/A N/A 000000000 1.000000 NC 489878.080000 0.0867634 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2030-06-17 0.000000 AUD -83637.870000 AUD 3900000.000000 AUD 573515.950000 N N N N/A N/A 000000000 1.000000 NC -139024.280000 -0.0246229 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-06-21 24081.510000 AUD 0.000000 AUD 6000000.000000 AUD -163105.790000 N N N N/A N/A 000000000 1.000000 NC -127879.410000 -0.0226490 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-03-15 258238.840000 AUD 0.000000 AUD 16700000.000000 AUD -386118.250000 N N N N/A N/A 000000000 1.000000 NC -8987.490000 -0.0015918 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2032-09-15 0.000000 AUD -1973.830000 AUD 1600000.000000 AUD -7013.660000 N N N N/A N/A 000000000 1.000000 NC 22924.540000 0.0040602 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2032-09-15 0.000000 AUD -33641.330000 AUD 32700000.000000 AUD 56565.870000 N N N N/A N/A 000000000 1.000000 NC -250929.930000 -0.0444428 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CAD-BA-CDOR 3M N/A N/A Y 2026-06-16 0.000000 CAD -39365.250000 CAD 3200000.000000 CAD -211564.680000 N N N N/A N/A 000000000 1.000000 NC -346064.410000 -0.0612923 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CAD-BA-CDOR 3M N/A N/A Y 2025-03-03 0.000000 CAD 0.000000 CAD 6000000.000000 CAD -346064.410000 N N N N/A N/A 000000000 1.000000 NC -1286436.610000 -0.2278438 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CAD-BA-CDOR 3M N/A N/A Y 2030-06-17 0.000000 CAD -88459.310000 CAD 11700000.000000 CAD -1197977.300000 N N N N/A N/A 000000000 1.000000 NC -181568.770000 -0.0321581 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CAD-BA-CDOR 3M N/A N/A Y 2025-06-17 0.000000 CAD -39450.260000 CAD 3500000.000000 CAD -142118.510000 N N N N/A N/A 000000000 1.000000 NC -143120.720000 -0.0253484 N/A DIR CA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2046-12-16 0.000000 CAD -86138.050000 CAD 600000.000000 CAD -56982.670000 N N N N/A N/A 000000000 1.000000 NC -713924.090000 -0.1264447 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CAD-BA-CDOR 3M N/A N/A Y 2029-12-18 108788.780000 CAD 0.000000 CAD 8200000.000000 CAD -822712.870000 N N N N/A N/A 000000000 1.000000 NC -346591.030000 -0.0613855 N/A DIR CA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2029-06-19 172616.780000 CAD 0.000000 CAD 5898700.000000 CAD -519207.810000 N N N N/A N/A 000000000 1.000000 NC -70650.800000 -0.0125131 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 19745.300000 CAD 0.000000 CAD 600000.000000 CAD -90396.100000 N N N N/A N/A 000000000 1.000000 NC 114478.400000 0.0202755 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CAD-BA-CDOR 3M N/A N/A Y 2033-03-15 1779.530000 CAD 0.000000 CAD 3100000.000000 CAD 112698.870000 N N N N/A N/A 000000000 1.000000 NC 264243.520000 0.0468008 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CAD-BA-CDOR 3M N/A N/A Y 2028-03-15 0.000000 CAD -24941.850000 CAD 8050000.000000 CAD 289185.370000 N N N BABSON CLO LTD 2016-2A N/A 06761CAL3 1500000.000000 PA USD 1481104.340000 0.2623218 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 6.32043 N N N N N N N/A N/A 000000000 1.000000 NC 58807.820000 0.0104156 N/A DIR CN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2027-03-16 0.000000 CNY -54186.960000 CNY 55900000.000000 CNY 112994.780000 N N N N/A N/A 000000000 1.000000 NC 31300.990000 0.0055438 N/A DIR CN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2027-12-21 0.000000 CNY -60965.510000 CNY 38700000.000000 CNY 92266.500000 N N N N/A N/A 000000000 1.000000 NC 95234.260000 0.0168672 N/A DIR CN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2028-06-21 73971.880000 CNY 0.000000 CNY 42300000.000000 CNY 21262.380000 N N N N/A N/A 000000000 1.000000 NC -91409.950000 -0.0161898 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2029-01-30 0.000000 CZK 0.000000 CZK 13900000.000000 CZK -91409.950000 N N N N/A N/A 000000000 1.000000 NC 134879.730000 0.0238889 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2050-05-27 0.000000 EUR 0.000000 EUR 300000.000000 EUR 134879.730000 N N N N/A N/A 000000000 1.000000 NC 328998.220000 0.0582696 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2052-11-17 0.000000 EUR 0.000000 EUR 600000.000000 EUR 328998.220000 N N N N/A N/A 000000000 1.000000 NC -29040.140000 -0.0051434 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2024-08-10 0.000000 EUR -2082.720000 EUR 600000.000000 EUR -26957.420000 N N N N/A N/A 000000000 1.000000 NC -201283.340000 -0.0356498 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-04-12 0.000000 EUR -9785.250000 EUR 1800000.000000 EUR -191498.090000 N N N N/A N/A 000000000 1.000000 NC -134200.840000 -0.0237686 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-11 0.000000 EUR -9049.750000 EUR 1200000.000000 EUR -125151.090000 N N N N/A N/A 000000000 1.000000 NC -109902.920000 -0.0194652 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-04-11 0.000000 EUR -4905.670000 EUR 1000000.000000 EUR -104997.250000 N N N N/A N/A 000000000 1.000000 NC -665492.990000 -0.1178670 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2024-03-30 0.000000 EUR -80438.170000 EUR 22739000.000000 EUR -585054.820000 N N N N/A N/A 000000000 1.000000 NC -204947.860000 -0.0362988 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-13 0.000000 EUR -7649.100000 EUR 2100000.000000 EUR -197298.760000 N N N N/A N/A 000000000 1.000000 NC -97644.400000 -0.0172940 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-18 0.000000 EUR -3744.540000 EUR 1000000.000000 EUR -93899.860000 N N N N/A N/A 000000000 1.000000 NC -99801.610000 -0.0176761 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 3 Month ACT/360 Y 2024-04-05 0.000000 EUR -11096.060000 EUR 5700000.000000 EUR -88705.550000 N N N N/A N/A 000000000 1.000000 NC -49363.610000 -0.0087429 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 3 Month ACT/360 Y 2024-04-06 0.000000 EUR -5420.530000 EUR 2800000.000000 EUR -43943.080000 N N N N/A N/A 000000000 1.000000 NC -150079.100000 -0.0265809 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 3 Month ACT/360 Y 2024-04-13 0.000000 EUR -19433.950000 EUR 8400000.000000 EUR -130645.150000 N N N N/A N/A 000000000 1.000000 NC -35691.880000 -0.0063215 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 3 Month ACT/360 Y 2024-05-16 0.000000 EUR -4480.330000 EUR 1900000.000000 EUR -31211.550000 N N N N/A N/A 000000000 1.000000 NC -15060.450000 -0.0026674 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 3 Month ACT/360 Y 2024-05-17 0.000000 EUR -1467.120000 EUR 800000.000000 EUR -13593.330000 N N N N/A N/A 000000000 1.000000 NC -30252.740000 -0.0053581 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 3 Month ACT/360 Y 2024-04-26 0.000000 EUR -5183.120000 EUR 1800000.000000 EUR -25069.620000 N N N N/A N/A 000000000 1.000000 NC -31828.930000 -0.0056373 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 3 Month ACT/360 Y 2024-04-28 0.000000 EUR -3449.680000 EUR 1900000.000000 EUR -28379.250000 N N N N/A N/A 000000000 1.000000 NC -30258.880000 -0.0053592 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 3 Month ACT/360 Y 2024-05-03 0.000000 EUR -3274.280000 EUR 1800000.000000 EUR -26984.600000 N N N N/A N/A 000000000 1.000000 NC -597075.600000 -0.1057494 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2037-09-21 117317.090000 EUR 0.000000 EUR 7600000.000000 EUR -714392.690000 N N N N/A N/A 000000000 1.000000 NC -219750.700000 -0.0389206 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2042-09-21 204519.790000 EUR 0.000000 EUR 2650000.000000 EUR -424270.490000 N N N N/A N/A 000000000 1.000000 NC 40931.180000 0.0072494 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2053-09-20 108399.670000 EUR 0.000000 EUR 14100000.000000 EUR -67468.490000 N N N N/A N/A 000000000 1.000000 NC -139140.470000 -0.0246435 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-03-15 0.000000 EUR -108419.630000 EUR 10690000.000000 EUR -30720.840000 N N N N/A N/A 000000000 1.000000 NC -1778.670000 -0.0003150 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-03-19 159853.530000 EUR 0.000000 EUR 24220000.000000 EUR -161632.200000 N N N N/A N/A 000000000 1.000000 NC 119537.560000 0.0211716 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-09-20 0.000000 EUR -164176.580000 EUR 73300000.000000 EUR 283714.140000 N N N N/A N/A 000000000 1.000000 NC -1178880.060000 -0.2087942 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-09-20 0.000000 EUR -1102387.300000 EUR 115100000.000000 EUR -76492.760000 N N N N/A N/A 000000000 1.000000 NC -40983.020000 -0.0072586 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2025-09-20 36312.690000 EUR 0.000000 EUR 6200000.000000 EUR -77295.710000 N N N N/A N/A 000000000 1.000000 NC 13441.500000 0.0023807 N/A DIR KR N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SOUTH KOREAN WON 3 MONTH N/A N/A Y 2033-03-15 10614.540000 KRW 0.000000 KRW 1234249000.000000 KRW 2826.960000 N N N N/A N/A 000000000 1.000000 NC -314238.570000 -0.0556555 N/A DIR KR N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SOUTH KOREAN WON 3 MONTH N/A N/A Y 2028-03-15 176474.470000 KRW 0.000000 KRW 35020111000.000000 KRW -490713.040000 N N N N/A N/A 000000000 1.000000 NC 36061.850000 0.0063870 N/A DIR KR N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SOUTH KOREAN WON 3 MONTH N/A N/A Y 2033-09-20 28597.540000 KRW 0.000000 KRW 3477550000.000000 KRW 7464.310000 N N N N/A N/A 000000000 1.000000 NC -158137.100000 -0.0280080 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2025-07-07 4695.180000 MXN 0.000000 MXN 29200000.000000 MXN -162832.280000 N N N N/A N/A 000000000 1.000000 NC 34581.460000 0.0061248 N/A DIR MY N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A Klibor Interbank Offered Rate Y 2028-03-15 0.000000 MYR -8979.640000 MYR 23271000.000000 MYR 43561.100000 N N N N/A N/A 000000000 1.000000 NC 7702.180000 0.0013642 N/A DIR MY N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Klibor Interbank Offered Rate Y 2028-03-15 0.000000 MYR -2077.010000 MYR 5183000.000000 MYR 9779.190000 N N N N/A N/A 000000000 1.000000 NC 20853.490000 0.0036934 N/A DIR MY N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Klibor Interbank Offered Rate Y 2028-03-15 0.000000 MYR -4986.900000 MYR 14033000.000000 MYR 25840.390000 N N N N/A N/A 000000000 1.000000 NC 10305.660000 0.0018253 N/A DIR MY N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A Klibor Interbank Offered Rate Y 2028-03-15 0.000000 MYR -3540.180000 MYR 6935000.000000 MYR 13845.840000 N N N N/A N/A 000000000 1.000000 NC 7330.810000 0.0012984 N/A DIR MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A Klibor Interbank Offered Rate Y 2028-05-05 0.000000 MYR 0.000000 MYR 6223000.000000 MYR 7330.810000 N N N N/A N/A 000000000 1.000000 NC -521.610000 -0.0000924 N/A DIR MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A Klibor Interbank Offered Rate Y 2024-04-05 0.000000 MYR -1588.440000 MYR 6954000.000000 MYR 1066.830000 N N N N/A N/A 000000000 1.000000 NC 17302.880000 0.0030646 N/A DIR MY N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A Klibor Interbank Offered Rate Y 2033-03-15 0.000000 MYR -2213.390000 MYR 7680000.000000 MYR 19516.270000 N N N N/A N/A 000000000 1.000000 NC 6015.440000 0.0010654 N/A DIR MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A Klibor Interbank Offered Rate Y 2033-03-15 5585.890000 MYR 0.000000 MYR 2670000.000000 MYR 429.550000 N N N N/A N/A 000000000 1.000000 NC -9170.140000 -0.0016241 N/A DIR NZ N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 NZ$ Bank Bill 3M FRA N/A N/A Y 2024-03-17 0.000000 NZD -21.400000 NZD 400000.000000 NZD -9148.740000 N N N N/A N/A 000000000 1.000000 NC -152612.980000 -0.0270296 N/A DIR NZ N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 NZ$ Bank Bill 3M FRA N/A N/A Y 2027-06-15 0.000000 NZD -10928.570000 NZD 6200000.000000 NZD -141684.410000 N N N N/A N/A 000000000 1.000000 NC -428643.660000 -0.0759181 N/A DIR NZ N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 NZ$ Bank Bill 3M FRA N/A N/A Y 2024-06-14 0.000000 NZD -121825.050000 NZD 39400000.000000 NZD -306818.610000 N N N N/A N/A 000000000 1.000000 NC -60088.080000 -0.0106423 N/A DIR NZ N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 NZ$ Bank Bill 3M FRA N/A N/A Y 2025-03-20 0.000000 NZD -3888.550000 NZD 16200000.000000 NZD -56199.530000 N N N N/A N/A 000000000 1.000000 NC -16330.800000 -0.0028924 N/A DIR NZ N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 NZ$ Bank Bill 3M FRA N/A N/A Y 2025-03-20 0.000000 NZD -5659.980000 NZD 18500000.000000 NZD -10670.820000 N N N N/A N/A 000000000 1.000000 NC -149099.760000 -0.0264074 N/A DIR SE N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SEK-STIBOR-Bloomberg 3M Y 2029-06-19 51212.270000 SEK 0.000000 SEK 13200000.000000 SEK -200312.030000 N N N N/A N/A 000000000 1.000000 NC USD 36405.810000 0.0064479 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-09-30 0.000000 USD 0.000000 USD 2550000.000000 USD 36405.810000 N N N N/A N/A 000000000 1.000000 NC USD 84065.850000 0.0148891 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-08-25 0.000000 USD 0.000000 USD 5950000.000000 USD 84065.850000 N N N N/A N/A 000000000 1.000000 NC USD 100995.490000 0.0178875 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-08-31 0.000000 USD 0.000000 USD 7050000.000000 USD 100995.490000 N N N N/A N/A 000000000 1.000000 NC USD 188427.200000 0.0333728 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-09-15 0.000000 USD 0.000000 USD 13000000.000000 USD 188427.200000 N N N N/A N/A 000000000 1.000000 NC USD 16790.190000 0.0029737 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-09-16 0.000000 USD 0.000000 USD 1320000.000000 USD 16790.190000 N N N N/A N/A 000000000 1.000000 NC USD 161585.710000 0.0286188 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-09-15 0.000000 USD 0.000000 USD 14300000.000000 USD 161585.710000 N N N N/A N/A 000000000 1.000000 NC USD -3815.640000 -0.0006758 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-07-26 0.000000 USD 0.000000 USD 700000.000000 USD -3815.640000 N N N N/A N/A 000000000 1.000000 NC USD 22122.870000 0.0039182 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-07-04 0.000000 USD 0.000000 USD 10100000.000000 USD 22122.870000 N N N N/A N/A 000000000 1.000000 NC USD -22345.130000 -0.0039576 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 1M N/A N/A Y 2023-07-04 0.000000 USD 0.000000 USD 10100000.000000 USD -22345.130000 N N N N/A N/A 000000000 1.000000 NC USD -9593.860000 -0.0016992 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 1M N/A N/A Y 2023-07-27 0.000000 USD 0.000000 USD 12700000.000000 USD -9593.860000 N N N N/A N/A 000000000 1.000000 NC USD 40075.790000 0.0070979 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-09-27 0.000000 USD 0.000000 USD 12700000.000000 USD 40075.790000 N N N N/A N/A 000000000 1.000000 NC USD -8261.270000 -0.0014632 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 1M N/A N/A Y 2023-07-06 0.000000 USD 0.000000 USD 12700000.000000 USD -8261.270000 N N N N/A N/A 000000000 1.000000 NC USD 38386.290000 0.0067987 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-09-06 0.000000 USD 0.000000 USD 12700000.000000 USD 38386.290000 N N N N/A N/A 000000000 1.000000 NC USD -1977.440000 -0.0003502 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 1M N/A N/A Y 2023-07-07 0.000000 USD 0.000000 USD 4300000.000000 USD -1977.440000 N N N N/A N/A 000000000 1.000000 NC USD 9229.170000 0.0016346 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-09-07 0.000000 USD 0.000000 USD 4300000.000000 USD 9229.170000 N N N N/A N/A 000000000 1.000000 NC -116222.590000 -0.0205845 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2033-06-21 0.000000 CAD -155788.230000 CAD 9200000.000000 CAD 39565.640000 N N N N/A N/A 000000000 1.000000 NC -600102.710000 -0.1062856 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2025-05-10 0.000000 CAD -108544.510000 CAD 80300000.000000 CAD -491558.200000 N N N N/A N/A 000000000 1.000000 NC 11721.300000 0.0020760 N/A DIR IN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Financial Benchmarks India Overnight Mumbai Interbank Outright Rate N/A N/A Y 2032-03-16 64332.540000 INR 0.000000 INR 90500000.000000 INR -52611.240000 N N N N/A N/A 000000000 1.000000 NC 13133.460000 0.0023261 N/A DIR IN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Financial Benchmarks India Overnight Mumbai Interbank Outright Rate N/A N/A Y 2028-03-15 0.000000 INR -960.250000 INR 142260000.000000 INR 14093.710000 N N N N/A N/A 000000000 1.000000 NC -57252.500000 -0.0101401 N/A DIR SG N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Singapore Domestic Interbank Overnight Rate Average Y 2028-03-15 30473.000000 SGD 0.000000 SGD 4620000.000000 SGD -87725.500000 N N N N/A N/A 000000000 1.000000 NC 21311.220000 0.0037745 N/A DIR TH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Thailand Overnight Repo Rate ON Y 2028-03-15 0.000000 THB -7116.990000 THB 84380000.000000 THB 28428.210000 N N N N/A N/A 000000000 1.000000 NC USD 340724.300000 0.0603465 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-03-31 0.000000 USD 0.000000 USD 11100000.000000 USD 340724.300000 N N N N/A N/A 000000000 1.000000 NC USD -590230.950000 -0.1045372 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-06-30 0.000000 USD 0.000000 USD 25500000.000000 USD -590230.950000 N N N N/A N/A 000000000 1.000000 NC USD -233437.470000 -0.0413446 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-06-30 0.000000 USD 0.000000 USD 10100000.000000 USD -233437.470000 N N N N/A N/A 000000000 1.000000 NC -134772.780000 -0.0238699 N/A DIR CH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SARON Fixing 3 Y 2027-02-14 0.000000 CHF 0.000000 CHF 2000000.000000 CHF -134772.780000 N N N N/A N/A 000000000 1.000000 NC -440640.610000 -0.0780429 N/A DIR CH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A SARON Fixing 3 Y 2027-02-10 0.000000 CHF -13303.200000 CHF 6600000.000000 CHF -427337.410000 N N N N/A N/A 000000000 1.000000 NC -696798.530000 -0.1234116 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A ESTR Volume Weighted Trimmed Mean Rate Y 2024-11-23 0.000000 EUR -442638.140000 EUR 13600000.000000 EUR -254160.390000 N N N N/A N/A 000000000 1.000000 NC -337239.480000 -0.0597293 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2053-09-20 0.000000 GBP -84355.390000 GBP 2800000.000000 GBP -252884.090000 N N N N/A N/A 000000000 1.000000 NC -2908320.780000 -0.5150994 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2033-09-20 0.000000 GBP -1083503.540000 GBP 36000000.000000 GBP -1824817.240000 N N N N/A N/A 000000000 1.000000 NC -614975.960000 -0.1089198 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2028-09-20 0.000000 GBP -41585.680000 GBP 9000000.000000 GBP -573390.280000 N N N N/A N/A 000000000 1.000000 NC -554540.510000 -0.0982159 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2025-09-20 0.000000 GBP -101158.700000 GBP 12300000.000000 GBP -453381.810000 N N N N/A N/A 000000000 1.000000 NC -478847.050000 -0.0848097 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2031-03-17 0.000000 JPY -214316.530000 JPY 1790000000.000000 JPY -264530.520000 N N N N/A N/A 000000000 1.000000 NC -64815.510000 -0.0114796 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2029-06-19 152679.820000 JPY 0.000000 JPY 900000000.000000 JPY -217495.330000 N N N N/A N/A 000000000 1.000000 NC 6353.110000 0.0011252 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2023-12-15 14751.790000 JPY 0.000000 JPY 2310000000.000000 JPY -8398.680000 N N N N/A N/A 000000000 1.000000 NC -109638.130000 -0.0194183 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2031-12-15 0.000000 JPY -109021.350000 JPY 430000000.000000 JPY -616.780000 N N N N/A N/A 000000000 1.000000 NC -43589.270000 -0.0077202 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2032-09-14 0.000000 JPY -48890.030000 JPY 260000000.000000 JPY 5300.760000 N N N N/A N/A 000000000 1.000000 NC -244112.550000 -0.0432353 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2051-12-15 0.000000 JPY -310632.080000 JPY 240000000.000000 JPY 66519.530000 N N N N/A N/A 000000000 1.000000 NC -155588.760000 -0.0275567 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2052-06-15 0.000000 JPY -179297.790000 JPY 360000000.000000 JPY 23709.030000 N N N N/A N/A 000000000 1.000000 NC USD 762395.010000 0.1350295 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-15 257416.990000 USD 0.000000 USD 6700000.000000 USD 504978.020000 N N N N/A N/A 000000000 1.000000 NC USD -967193.500000 -0.1713019 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-06-15 0.000000 USD -569789.010000 USD 6500000.000000 USD -397404.490000 N N N N/A N/A 000000000 1.000000 NC USD 430496.410000 0.0762462 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-06-15 408936.220000 USD 0.000000 USD 3060000.000000 USD 21560.190000 N N N N/A N/A 000000000 1.000000 NC USD 1618145.600000 0.2865935 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-06-15 1809017.700000 USD 0.000000 USD 45700000.000000 USD -190872.100000 N N N N/A N/A 000000000 1.000000 NC USD 857081.230000 0.1517996 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-06-15 803161.260000 USD 0.000000 USD 3180000.000000 USD 53919.970000 N N N N/A N/A 000000000 1.000000 NC USD 1223305.060000 0.2166624 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-15 1204008.360000 USD 0.000000 USD 14160000.000000 USD 19296.700000 N N N N/A N/A 000000000 1.000000 NC USD -58181.390000 -0.0103046 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-03-25 0.000000 USD -1603.000000 USD 560000.000000 USD -56578.390000 N N N N/A N/A 000000000 1.000000 NC USD 413936.370000 0.0733132 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-03-31 0.000000 USD 0.000000 USD 13100000.000000 USD 413936.370000 N N N N/A N/A 000000000 1.000000 NC USD 59312.540000 0.0105050 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-06-21 62842.980000 USD 0.000000 USD 720000.000000 USD -3530.440000 N N N N/A N/A 000000000 1.000000 NC USD -92935.030000 -0.0164599 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-09-16 0.000000 USD 0.000000 USD 1400000.000000 USD -92935.030000 N N N N/A N/A 000000000 1.000000 NC USD 940679.150000 0.1666059 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-11-30 32.720000 USD 0.000000 USD 18600000.000000 USD 940646.430000 N N N N/A N/A 000000000 1.000000 NC USD 360713.290000 0.0638868 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-06-21 217746.390000 USD 0.000000 USD 7690000.000000 USD 142966.900000 N N N N/A N/A 000000000 1.000000 NC USD 474600.000000 0.0840575 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-11-15 0.000000 USD -5620.270000 USD 10200000.000000 USD 480220.270000 N N N N/A N/A 000000000 1.000000 NC USD -14870.260000 -0.0026337 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-09-08 0.000000 USD -1890.000000 USD 300000.000000 USD -12980.260000 N N N N/A N/A 000000000 1.000000 NC USD 138887.510000 0.0245987 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-11-15 0.000000 USD 0.000000 USD 3100000.000000 USD 138887.510000 N N N N/A N/A 000000000 1.000000 NC USD 227387.940000 0.0402732 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-11-15 0.000000 USD 0.000000 USD 5200000.000000 USD 227387.940000 N N N N/A N/A 000000000 1.000000 NC USD 165129.180000 0.0292464 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-11-15 38103.890000 USD 0.000000 USD 3800000.000000 USD 127025.290000 N N N N/A N/A 000000000 1.000000 NC USD 220379.760000 0.0390320 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-11-15 0.000000 USD 0.000000 USD 5100000.000000 USD 220379.760000 N N N N/A N/A 000000000 1.000000 NC USD -78956.060000 -0.0139841 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-09-09 0.000000 USD -10667.500000 USD 1700000.000000 USD -68288.560000 N N N N/A N/A 000000000 1.000000 NC USD 108773.430000 0.0192651 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-11-15 0.000000 USD 0.000000 USD 2600000.000000 USD 108773.430000 N N N N/A N/A 000000000 1.000000 NC USD 137065.410000 0.0242760 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-11-15 0.000000 USD 0.000000 USD 3500000.000000 USD 137065.410000 N N N N/A N/A 000000000 1.000000 NC USD 666290.800000 0.1180083 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-05-13 98839.610000 USD 0.000000 USD 58100000.000000 USD 567451.190000 N N N N/A N/A 000000000 1.000000 NC USD -86677.310000 -0.0153516 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-09-30 0.000000 USD 0.000000 USD 2300000.000000 USD -86677.310000 N N N N/A N/A 000000000 1.000000 NC USD 2486.720000 0.0004404 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-03 0.000000 USD 0.000000 USD 800000.000000 USD 2486.720000 N N N N/A N/A 000000000 1.000000 NC USD 83812.080000 0.0148442 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-11-15 0.000000 USD -988.600000 USD 2300000.000000 USD 84800.680000 N N N N/A N/A 000000000 1.000000 NC USD 108991.550000 0.0193037 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-11-15 0.000000 USD 0.000000 USD 3000000.000000 USD 108991.550000 N N N N/A N/A 000000000 1.000000 NC USD 40717.760000 0.0072116 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-05-13 0.000000 USD -1090.420000 USD 3700000.000000 USD 41808.180000 N N N N/A N/A 000000000 1.000000 NC USD -208276.950000 -0.0368884 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-09-30 697.680000 USD 0.000000 USD 6100000.000000 USD -208974.630000 N N N N/A N/A 000000000 1.000000 NC USD 13727.280000 0.0024313 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-03 0.000000 USD 0.000000 USD 800000.000000 USD 13727.280000 N N N N/A N/A 000000000 1.000000 NC USD -87435.490000 -0.0154859 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-06-21 0.000000 USD -35091.250000 USD 2900000.000000 USD -52344.240000 N N N N/A N/A 000000000 1.000000 NC USD 56693.850000 0.0100412 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-12-20 52475.880000 USD 0.000000 USD 2300000.000000 USD 4217.970000 N N N N/A N/A 000000000 1.000000 NC USD 797.500000 0.0001412 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2038-10-03 0.000000 USD 0.000000 USD 2500000.000000 USD 797.500000 N N N N/A N/A 000000000 1.000000 NC USD -74820.240000 -0.0132516 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-06-30 0.000000 USD 0.000000 USD 4200000.000000 USD -74820.240000 N N N N/A N/A 000000000 1.000000 NC USD -18353.940000 -0.0032507 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-02-22 0.000000 USD -3166.880000 USD 900000.000000 USD -15187.060000 N N N N/A N/A 000000000 1.000000 NC USD -5374.330000 -0.0009519 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-06-21 0.000000 USD -4600.000000 USD 1000000.000000 USD -774.330000 N N N N/A N/A 000000000 1.000000 NC USD -17761.740000 -0.0031458 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-06-22 0.000000 USD -5145.000000 USD 1400000.000000 USD -12616.740000 N N N N/A N/A 000000000 1.000000 NC USD 1703.600000 0.0003017 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-20 4232.270000 USD 0.000000 USD 348000.000000 USD -2528.670000 N N N N/A N/A 000000000 1.000000 NC USD 182.380000 0.0000323 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-12-20 0.000000 USD -777.070000 USD 100000.000000 USD 959.450000 N N N N/A N/A 000000000 1.000000 NC USD -24357.500000 -0.0043140 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2038-10-03 0.000000 USD 0.000000 USD 2500000.000000 USD -24357.500000 N N N N/A N/A 000000000 1.000000 NC USD 139680.150000 0.0247391 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-06-21 28736.290000 USD 0.000000 USD 6900000.000000 USD 110943.860000 N N N N/A N/A 000000000 1.000000 NC USD -39167.930000 -0.0069371 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-12-20 0.000000 USD -150072.100000 USD 12805000.000000 USD 110904.170000 N N N N/A N/A 000000000 1.000000 NC USD -5011.200000 -0.0008875 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-10-03 0.000000 USD 0.000000 USD 3200000.000000 USD -5011.200000 N N N N/A N/A 000000000 1.000000 NC USD -10484.020000 -0.0018568 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-03-10 0.000000 USD -2137.500000 USD 1000000.000000 USD -8346.520000 N N N N/A N/A 000000000 1.000000 NC USD -45230.040000 -0.0080108 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-05-15 0.000000 USD 0.000000 USD 2900000.000000 USD -45230.040000 N N N N/A N/A 000000000 1.000000 NC USD 8857.600000 0.0015688 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-10-03 0.000000 USD 0.000000 USD 3200000.000000 USD 8857.600000 N N N N/A N/A 000000000 1.000000 NC USD 22714.550000 0.0040230 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-06-30 0.000000 USD 0.000000 USD 4000000.000000 USD 22714.550000 N N N N/A N/A 000000000 1.000000 NC USD 398039.110000 0.0704976 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-03-31 0.000000 USD -74542.530000 USD 29000000.000000 USD 472581.640000 N N N N/A N/A 000000000 1.000000 NC USD 83162.350000 0.0147291 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-12-20 0.000000 USD -150916.100000 USD 44240000.000000 USD 234078.450000 N N N N/A N/A 000000000 1.000000 NC USD -125195.560000 -0.0221737 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2024-10-04 1756.500000 USD 0.000000 USD 10100000.000000 USD -126952.060000 N N N N/A N/A 000000000 1.000000 NC USD -147697.190000 -0.0261590 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2024-09-27 3983.980000 USD 0.000000 USD 12700000.000000 USD -151681.170000 N N N N/A N/A 000000000 1.000000 NC USD -148518.880000 -0.0263045 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2024-09-06 38676.990000 USD 0.000000 USD 12700000.000000 USD -187195.870000 N N N N/A N/A 000000000 1.000000 NC USD -22844.180000 -0.0040460 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2024-03-07 11686.020000 USD 0.000000 USD 4300000.000000 USD -34530.200000 N N N N/A N/A 000000000 1.000000 NC USD 130751.570000 0.0231577 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2024-10-04 0.000000 USD -1178.810000 USD 10100000.000000 USD 131930.380000 N N N N/A N/A 000000000 1.000000 NC USD 126305.310000 0.0223702 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2024-09-27 0.000000 USD -3012.600000 USD 12700000.000000 USD 129317.910000 N N N N/A N/A 000000000 1.000000 NC USD 131329.430000 0.0232601 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2024-09-06 0.000000 USD -1314.100000 USD 12700000.000000 USD 132643.530000 N N N N/A N/A 000000000 1.000000 NC USD 18806.050000 0.0033308 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2024-03-07 0.000000 USD -159.630000 USD 4300000.000000 USD 18965.680000 N N N N/A N/A 000000000 1.000000 NC USD -36112.500000 -0.0063960 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2023-09-30 0.000000 USD 0.000000 USD 2550000.000000 USD -36112.500000 N N N N/A N/A 000000000 1.000000 NC USD -185265.390000 -0.0328128 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2023-09-15 0.000000 USD 0.000000 USD 13000000.000000 USD -185265.390000 N N N N/A N/A 000000000 1.000000 NC USD -84313.440000 -0.0149329 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2023-08-25 0.000000 USD 0.000000 USD 5950000.000000 USD -84313.440000 N N N N/A N/A 000000000 1.000000 NC USD -100063.180000 -0.0177224 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2023-08-31 0.000000 USD 0.000000 USD 7050000.000000 USD -100063.180000 N N N N/A N/A 000000000 1.000000 NC USD 280234.630000 0.0496330 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-03-30 21216.990000 USD 0.000000 USD 2550000.000000 USD 259017.640000 N N N N/A N/A 000000000 1.000000 NC USD 269316.560000 0.0476993 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-06-16 88556.600000 USD 0.000000 USD 1320000.000000 USD 180759.960000 N N N N/A N/A 000000000 1.000000 NC USD 1344598.970000 0.2381450 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-12-15 0.000000 USD -132700.940000 USD 14300000.000000 USD 1477299.910000 N N N N/A N/A 000000000 1.000000 NC USD 343691.400000 0.0608720 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-08-31 0.000000 USD -890.140000 USD 7050000.000000 USD 344581.540000 N N N N/A N/A 000000000 1.000000 NC USD 1368413.580000 0.2423629 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-12-15 0.000000 USD -111468.150000 USD 13000000.000000 USD 1479881.730000 N N N N/A N/A 000000000 1.000000 NC USD 289504.550000 0.0512748 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-08-25 0.000000 USD -1234.460000 USD 5950000.000000 USD 290739.010000 N N N N/A N/A 000000000 1.000000 NC USD -83818.630000 -0.0148453 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-01-26 0.000000 USD -1372.340000 USD 700000.000000 USD -82446.290000 N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI1FY8R5 900000.000000 PA 876888.700000 0.1553078 Long DBT CORP IT N 2 2027-10-08 Fixed 0.875 N N N N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI1J7WJ1 500000.000000 PA 512201.800000 0.0907172 Long DBT CORP IT N 2 2025-04-28 Fixed 2.625 N N N N N N N/A N/A 000000000 1.000000 NC 12260.270000 0.0021714 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 662703.740000 USD 1013231.000000 AUD 2023-07-05 12260.270000 N N N N/A N/A 000000000 1.000000 NC 9094.010000 0.0016107 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1065342.060000 USD 1611620.000000 AUD 2023-08-02 9094.010000 N N N N/A N/A 000000000 1.000000 NC -4162.200000 -0.0007372 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 2005045.000000 USD 2650669.490000 CAD 2023-07-05 -4162.200000 N N N N/A N/A 000000000 1.000000 NC 685.220000 0.0001214 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 370504.020000 USD 491732.940000 CAD 2023-07-05 685.220000 N N N N/A N/A 000000000 1.000000 NC -12930.640000 -0.0022902 N/A DFE GB N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 23449816.750000 USD 18454251.000000 GBP 2023-07-05 -12930.640000 N N N N/A N/A 000000000 1.000000 NC -25980.160000 -0.0046014 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 12707819.040000 USD 1829925941.000000 JPY 2023-07-05 -25980.160000 N N N N/A N/A 000000000 1.000000 NC 21252.750000 0.0037641 N/A DFE NZ N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 2753891.300000 USD 4521989.000000 NZD 2023-07-05 21252.750000 N N N N/A N/A 000000000 1.000000 NC -9105.940000 -0.0016128 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1611620.000000 AUD 1064475.010000 USD 2023-07-05 -9105.940000 N N N N/A N/A 000000000 1.000000 NC 4146.390000 0.0007344 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 2649616.840000 CAD 2005045.000000 USD 2023-08-02 4146.390000 N N N N/A N/A 000000000 1.000000 NC -688.440000 -0.0001219 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 491538.050000 CAD 370504.020000 USD 2023-08-02 -688.440000 N N N N/A N/A 000000000 1.000000 NC 13345.280000 0.0023636 N/A DFE GB N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 18454251.000000 GBP 23454928.570000 USD 2023-08-02 13345.280000 N N N N/A N/A 000000000 1.000000 NC 26388.630000 0.0046738 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1822165276.000000 JPY 12707819.040000 USD 2023-08-02 26388.630000 N N N N/A N/A 000000000 1.000000 NC 21113.730000 0.0037395 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 270000000.000000 JPY 1916232.260000 USD 2023-09-25 21113.730000 N N N N/A N/A 000000000 1.000000 NC -21216.220000 -0.0037577 N/A DFE NZ N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 4521989.000000 NZD 2753606.420000 USD 2023-08-02 -21216.220000 N N N N/A N/A 000000000 1.000000 NC 2667.260000 0.0004724 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 151834.280000 USD 231932.000000 AUD 2023-07-05 2667.260000 N N N N/A N/A 000000000 1.000000 NC -8085.900000 -0.0014321 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 1135089.080000 USD 1690469.000000 AUD 2023-08-02 -8085.900000 N N N N/A N/A 000000000 1.000000 NC 3610.330000 0.0006394 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 514482.630000 USD 777123.000000 AUD 2023-08-02 3610.330000 N N N N/A N/A 000000000 1.000000 NC 410.010000 0.0000726 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 66871.410000 USD 100920.000000 AUD 2023-08-02 410.010000 N N N N/A N/A 000000000 1.000000 NC 66603.300000 0.0117963 N/A DFE NO N 2 UBS AG BFM8T61CT2L1QCEMIK50 2154253.000000 USD 23837783.170000 NOK 2023-07-05 66603.300000 N N N N/A N/A 000000000 1.000000 NC 472.710000 0.0000837 N/A DFE NO N 2 UBS AG BFM8T61CT2L1QCEMIK50 211791.000000 USD 2276050.740000 NOK 2023-08-02 472.710000 N N N N/A N/A 000000000 1.000000 NC -6519.870000 -0.0011547 N/A DFE TH N 2 UBS AG BFM8T61CT2L1QCEMIK50 512702.140000 CNY 17812554.000000 THB 2023-09-20 -6519.870000 N N N N/A N/A 000000000 1.000000 NC 8097.040000 0.0014341 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 1690469.000000 AUD 1134203.270000 USD 2023-07-05 8097.040000 N N N N/A N/A 000000000 1.000000 NC -3613.760000 -0.0006400 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 777123.000000 AUD 514066.860000 USD 2023-07-05 -3613.760000 N N N N/A N/A 000000000 1.000000 NC -408.750000 -0.0000724 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 100920.000000 AUD 66819.130000 USD 2023-07-05 -408.750000 N N N BANCO DE CREDITO DEL PERU SA 549300EQYQ8SCQZ4BY14 05971U2B2 2200000.000000 PA 581451.310000 0.1029822 Long DBT CORP PE N 2 2024-09-17 Fixed 4.65 N N N N N N N/A N/A 000000000 1.000000 NC 3633.380000 0.0006435 N/A DFE CN N 2 UBS AG BFM8T61CT2L1QCEMIK50 3678000.000000 CNY 512702.140000 THB 2023-09-20 3633.380000 N N N N/A N/A 000000000 1.000000 NC -13122.220000 -0.0023241 N/A DFE DK N 2 UBS AG BFM8T61CT2L1QCEMIK50 13452967.270000 DKK 1961680.180000 USD 2023-08-02 -13122.220000 N N N N/A N/A 000000000 1.000000 NC 10801.110000 0.0019130 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 1235060.470000 ILS 344960.050000 USD 2023-09-20 10801.110000 N N N N/A N/A 000000000 1.000000 NC 207886.310000 0.0368192 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 300000000.000000 JPY 2288497.100000 USD 2023-07-10 207886.310000 N N N N/A N/A 000000000 1.000000 NC 4692.980000 0.0008312 N/A DFE SG N 2 UBS AG BFM8T61CT2L1QCEMIK50 702767.480000 SGD 525840.540000 USD 2023-09-20 4692.980000 N N N N/A N/A 000000000 -52.000000 NC 55508.980000 0.0098313 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2023-09-27 -6293608.600000 GBP 55508.980000 N N N N/A N/A 000000000 -13.000000 NC USD -645.940000 -0.0001144 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 09/20/23 2023-09-21 N/A USD N/A 115.500000 USD 2023-07-21 XXXX 3907.440000 N N N N/A N/A 000000000 -13.000000 NC USD -4887.220000 -0.0008656 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 09/20/23 2023-09-21 N/A USD N/A 111.500000 USD 2023-07-21 XXXX 783.380000 N N N N/A N/A 000000000 8.000000 NC USD -10550.420000 -0.0018686 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-09-20 898437.500000 USD -10550.420000 N N N N/A N/A 000000000 -62.000000 NC USD 83708.800000 0.0148259 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-09-20 -7348453.160000 USD 83708.800000 N N N N/A N/A 000000000 -74.000000 NC USD 218144.450000 0.0386361 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-09-29 -15050617.130000 USD 218144.450000 N N N N/A N/A 000000000 -259.000000 NC USD 523301.960000 0.0926832 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-09-29 -27748410.220000 USD 523301.960000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAL9 200000.000000 PA USD 179077.820000 0.0317169 Long DBT CORP ES N 2 2026-03-25 Fixed 1.849 N N N N N N N/A N/A 000000000 -21.000000 NC USD 624.960000 0.0001107 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-09-20 -2669953.130000 USD 624.960000 N N N N/A N/A 000000000 7.000000 NC USD 13442.140000 0.0023808 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-09-20 956265.630000 USD 13442.140000 N N N N/A N/A 000000000 1.000000 NC -29.400000 -0.0000052 N/A DFE CL N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 2640.550000 USD 2095673.000000 CLP 2023-07-14 -29.400000 N N N BANK OF AMERICA MTGE SECS-2006-A N/A 05949CRS7 16814.110000 PA USD 15205.750000 0.0026931 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.89596 Y N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAG8 500000.000000 PA USD 499509.080000 0.0884692 Long DBT CORP US N 2 2023-12-15 Floating 6.562 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 300000.000000 PA USD 289567.120000 0.0512859 Long DBT CORP US N 2 2025-12-15 Fixed 4.25 N N N N N N BDS 2021-FL10 LTD N/A 07335YAA4 1700000.000000 PA USD 1667592.900000 0.2953512 Long ABS-CBDO CORP KY N 2 2036-12-16 Floating 6.50657 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAC9 12656.210000 PA USD 9546.060000 0.0016907 Long ABS-MBS CORP US N 2 2046-12-26 Floating 3.48431 Y N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-5 N/A 07384MWG3 527.390000 PA USD 490.550000 0.0000869 Long ABS-MBS CORP US N 3 2033-08-25 Floating 4.34183 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 12912.630000 PA USD 8032.210000 0.0014226 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.20184 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HYE5 11257.420000 PA USD 8789.830000 0.0015568 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.99017 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-2 N/A 07386HF71 55455.610000 PA USD 42501.370000 0.0075275 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.8273 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-5 N/A 073873AK7 24451.720000 PA USD 12783.130000 0.0022640 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.11564 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAX8 18485.440000 PA USD 16487.610000 0.0029202 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.47043 N N N N N N BENEFIT STREET PARTNERS CLO XII LTD 2017-12A N/A 08179HAE0 1604426.250000 PA USD 1591497.380000 0.2818738 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.21029 N N N N N N BLACKSTONE HOLDINGS FINANCE CO LLC 549300D2L6J4NC1QVZ22 ACI25ZFG7 600000.000000 PA 569146.970000 0.1008029 Long DBT CORP US N 2 2034-06-01 Fixed 3.5 N N N N N N BLUEMOUNTAIN FUJI EUR CLO II DAC 17-2A N/A ACI1VBS38 979988.980000 PA 1050355.720000 0.1860309 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 3.827 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBH3 400000.000000 PA USD 325486.800000 0.0576477 Long DBT CORP US N 2 2031-02-15 Fixed 2.45 N N N N N N BUSINESS MORTGAGE FINANCE 7 PLC X N/A ACI085MJ0 11402.030000 PA 14454.480000 0.0025601 Long ABS-MBS CORP GB N 2 2041-02-15 Floating 5.64714 N N N N N N CAIRN CLO IV BV 14-4A N/A ACI1W1H64 1084151.810000 PA 1159366.290000 0.2053380 Long ABS-CBDO CORP IE N 2 2031-04-30 Floating 3.842 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087M68 910000.000000 PA 506990.350000 0.0897942 Long DBT NUSS CA N 2 2053-12-01 Fixed 1.75 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087ZH0 541240.000000 PA 408856.300000 0.0724135 Long DBT NUSS CA N 2 2044-12-01 Fixed 1.5 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2013-1A N/A 14310BAU5 1547172.140000 PA USD 1537059.300000 0.2722321 Long ABS-CBDO CORP KY N 2 2030-08-14 Floating 6.27071 N N N N N N CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI 81560029E2CE4D14F425 147918AB2 900000.000000 PA USD 888912.270000 0.1574373 Long DBT MUN IT N 2 2026-05-05 Fixed 5.75 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC 549300TPZNMN50BJ3745 16117LBX6 558882.900000 PA USD 556203.060000 0.0985104 Long LON CORP US N 2 2027-02-01 Floating 6.7954 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BJ2 100000.000000 PA USD 91721.460000 0.0162450 Long DBT CORP US N 2 2028-02-15 Fixed 3.75 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175CG7 900000.000000 PA USD 554499.600000 0.0982087 Long DBT CORP US N 2 2062-06-30 Fixed 3.95 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A2 N/A 16163LAQ5 22768.730000 PA USD 17494.520000 0.0030985 Long ABS-MBS CORP US N 2 2037-07-25 Variable 4.52883 Y N N N N N CHINA GOVT 300300CHN201808MOF68 ACI1X4BQ9 9000000.000000 PA 1385102.310000 0.2453187 Long DBT NUSS CN N 2 2051-04-12 Fixed 3.72 N N N N N N CHINA GOVT 300300CHN201808MOF68 ACI2FG9Z3 300000.000000 PA 42794.910000 0.0075795 Long DBT NUSS CN N 2 2053-04-15 Fixed 3.19 N N N N N N CHINA GOVT 300300CHN201808MOF68 ACI1XSY40 3800000.000000 PA 537544.920000 0.0952058 Long DBT NUSS CN N 2 2028-05-13 Fixed 3.01 N N N N N N CHINA GOVT 300300CHN201808MOF68 ACI1MK202 9600000.000000 PA 1325379.970000 0.2347411 Long DBT NUSS CN N 2 2030-05-21 Fixed 2.68 N N N N N N CHINA GOVT 300300CHN201808MOF68 ACI29D7C0 133180000.000000 PA 18356834.830000 3.2512213 Long DBT NUSS CN N 2 2027-10-15 Fixed 2.44 N N N N N N CHINA GOVT 300300CHN201808MOF68 ACI217GZ0 28000000.000000 PA 4174601.390000 0.7393733 Long DBT NUSS CN N 2 2051-10-18 Fixed 3.53 N N N N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 1713611.230000 PA USD 1701650.570000 0.3013833 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 6.22271 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV2 N/A 17329RAY4 761405.910000 PA USD 614848.830000 0.1088973 Long ABS-MBS CORP US N 2 2051-05-25 Variable 2.5 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2022-INV1 N/A 17290FBA6 1769581.500000 PA USD 1494105.790000 0.2646245 Long ABS-MBS CORP US N 2 2051-11-27 Fixed 3 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-8 N/A 17310CAC6 1020043.530000 PA USD 517832.540000 0.0917145 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.50043 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 383843.900000 PA USD 215777.500000 0.0382169 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.47043 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-WFH3 N/A 17313CAD1 1469683.670000 PA USD 1447596.090000 0.2563871 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.54043 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXP8 1091.270000 PA USD 1097.410000 0.0001944 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.08 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-7 N/A 17307GA57 87755.570000 PA USD 76093.250000 0.0134771 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.6258 Y N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-OPT4 N/A 17307GUW6 1200000.000000 PA USD 1104867.960000 0.1956857 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.14043 N N N N N N CONAGRA BRANDS INC 54930035UDEIH090K650 20600HU51 600000.000000 PA USD 599546.500000 0.1061871 Long DBT CORP US N 2 2023-07-05 None 0 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668ALV5 5544.110000 PA USD 4753.270000 0.0008419 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.4762 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-62 N/A 12668ATT2 22680.380000 PA USD 19102.640000 0.0033833 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.9762 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 24675.790000 PA USD 20436.750000 0.0036196 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.71043 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1 N/A 126694A32 30408.390000 PA USD 24906.550000 0.0044113 Long ABS-MBS CORP US N 2 2046-03-20 Floating 5.57657 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB N/A 12667GKC6 3588.580000 PA USD 2773.380000 0.0004912 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 5.25 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-20 N/A 12667HAD3 2136.230000 PA USD 2083.350000 0.0003690 Long ABS-MBS CORP US N 3 2047-04-25 Floating 5.30043 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-22 N/A 12666BAA3 228275.900000 PA USD 198910.720000 0.0352295 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.29043 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-25 N/A 12667TAA3 691530.040000 PA USD 636007.650000 0.1126448 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.29043 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-BC5 N/A 12666SAA6 1081234.160000 PA USD 1028490.800000 0.1821584 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.43043 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-15 N/A 126673UR1 382685.140000 PA USD 365860.690000 0.0647984 Long ABS-MBS CORP US N 2 2035-04-25 Floating 6.50043 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAA4 263696.950000 PA USD 236230.300000 0.0418393 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.41043 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAA9 237571.510000 PA USD 211740.120000 0.0375018 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.29043 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-26 N/A 12668HAA8 296101.410000 PA USD 273308.590000 0.0484063 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.29043 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-1 N/A 23245CAA8 203742.390000 PA USD 185117.220000 0.0327865 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.29043 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-4 N/A 12668WAF4 115694.560000 PA USD 101095.970000 0.0179053 Long ABS-MBS CORP US N 3 2035-08-25 Variable 5.683 Y N N N N N COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2004-J9 N/A 12669GFK2 183507.940000 PA USD 178513.700000 0.0316170 Long ABS-MBS CORP US N 2 2035-01-25 Fixed 5.5 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 2373.790000 PA USD 2159.460000 0.0003825 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.80962 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GJY8 2811.330000 PA USD 2567.430000 0.0004547 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.81043 N N N N N N COUNTRYWIDE HOME LOANS 2005-1 N/A 12669GRM5 10196.370000 PA USD 8880.860000 0.0015729 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.79043 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPN5 6485.460000 PA USD 5361.690000 0.0009496 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.79043 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 2535.330000 PA USD 2374.030000 0.0004205 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.79043 N N N N N N COUNTRYWIDE HOME LOANS 2005-9 N/A 12669GZQ7 11983.120000 PA USD 10149.110000 0.0017975 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.61043 N N N N N N CPI PROPERTY GROUP SA 222100CO2ZOTEPGJO223 ACI1M88D5 300000.000000 PA 266468.180000 0.0471948 Long DBT CORP LU N 2 2026-05-12 Fixed 2.75 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB3 N/A 12489WQX5 335638.560000 PA USD 299794.270000 0.0530973 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.67043 N N N N N N CREDIT SUISSE AG/ ZURICH BRANCH ANGGYXNX0JLX3X63JN86 ACI06K5Q2 700000.000000 PA USD 697452.000000 0.1235273 Long DBT CORP CH N 2 2023-08-08 Fixed 6.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPKII9 300000.000000 PA USD 12000.000000 0.0021253 Long DBT CORP US N 3 2060-12-31 None 0 Y N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-1 N/A 126378AL2 147299.850000 PA USD 34921.700000 0.0061851 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 5.8631 Y N N N N N CREDIT SUISSE MRTG CAPITAL CERT 2006-7 N/A 22942KBD1 656417.310000 PA USD 472478.680000 0.0836818 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 5.5 Y N N N N N CRESTLINE DENALI CLO XV 2017-1A N/A 22616CAJ2 1244528.410000 PA USD 1233654.500000 0.2184954 Long ABS-CBDO CORP KY N 2 2030-04-20 Floating 6.28043 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 329.840000 PA USD 314.790000 0.0000558 Long ABS-MBS CORP US N 2 2032-01-25 Floating 5.77043 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-8 N/A 22541NX20 102.550000 PA USD 97.770000 0.0000173 Long ABS-MBS CORP US N 3 2033-04-25 Fixed 6.5 N N N N N N CVC CORDATUS LOAN FUND XI DAC 21-1 N/A ACI1W60L8 800000.000000 PA 856561.720000 0.1517076 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.827 N N N N N N DELTA AIR LINES INC / SKYMILES IP LTD N/A 830867AB3 800000.000000 PA USD 777195.580000 0.1376509 Long DBT CORP US N 2 2028-10-20 Fixed 4.75 N N N N N N DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3 N/A 25151KAC3 518581.540000 PA USD 422225.100000 0.0747813 Long ABS-MBS CORP US N 2 2047-10-25 Floating 5.90043 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CC1 1800000.000000 PA USD 1777358.790000 0.3147921 Long DBT CORP DE N 2 2024-09-18 Floating 2.222 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CD9 1000000.000000 PA USD 831080.270000 0.1471945 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 251526CB3 1250000.000000 PA USD 1192473.860000 0.2112018 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 1100000.000000 PA USD 832485.200000 0.1474434 Long DBT CORP DE Y 2 2032-01-14 Floating 3.729 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI1J0CL3 2200000.000000 PA 2134911.430000 0.3781191 Long DBT CORP DE N 2 2027-01-20 Fixed 1.625 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI183TV9 1200000.000000 PA 1239910.830000 0.2196035 Long DBT CORP DE N 2 2026-02-12 Fixed 2.625 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI1SQBN3 600000.000000 PA 518125.930000 0.0917665 Long DBT CORP DE N 2 2030-11-19 Floating 1.75 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI1J0BM2 300000.000000 PA 354614.420000 0.0628066 Long DBT CORP DE N 2 2024-12-16 Fixed 2.625 N N N N N N DEVELOPMENT BANK OF JAPAN INC (DBJ) 5493001HGBABMWFZUI25 25159MAX5 1400000.000000 PA USD 1338904.000000 0.2371364 Long DBT CORP JP N 2 2024-08-28 Fixed 1.75 N N N N N N DOCTORS CO/THE MKYKR1GWDRIJRLI1S211 256141AB8 200000.000000 PA USD 158799.960000 0.0281254 Long DBT CORP US N 2 2032-01-18 Fixed 4.5 N N N N N N DRYDEN 61 CLO LTD 2018-61A N/A 26251CAQ7 1700000.000000 PA USD 1674918.760000 0.2966487 Long ABS-CBDO CORP KY N 2 2032-01-17 Floating 6.25029 N N N N N N DRYDEN XXVII-R EURO CLO BV 2017-27A N/A ACI1W43B2 900000.000000 PA 960681.660000 0.1701485 Long ABS-CBDO CORP IE N 2 2033-04-15 Floating 3.837 N N N N N N ELEVATION CLO LTD 2017-8A N/A 28622VAN0 1638121.140000 PA USD 1626272.740000 0.2880329 Long ABS-CBDO CORP KY N 2 2030-10-25 Floating 6.20514 N N N N N N EUROHOME UK MORTGAGES 2007-1 A N/A B1VBS4II2 143470.150000 PA 175060.410000 0.0310054 Long ABS-MBS CORP GB N 2 2044-06-15 Floating 5.1367 N N N N N N EUROPEAN INVESTMENT BANK (EIB) 5493006YXS1U5GIHE750 B42XTXII5 400000.000000 PA 265423.220000 0.0470097 Long DBT CORP N/A N 2 2023-08-10 Fixed 0.5 N N N N N N EUROSAIL PLC 2007-3X N/A ACI01JMT5 201474.390000 PA 253363.920000 0.0448739 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 5.70851 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAA8 1541980.620000 PA USD 1513354.830000 0.2680338 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.274 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 ACI11PCM5 500000.000000 PA 491543.200000 0.0870583 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 569.480000 PA USD 568.020000 0.0001006 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 5.258 N N N N N N FANNIE MAE 2004-63 N/A 31394ANT9 197.930000 PA USD 194.610000 0.0000345 Long ABS-MBS USGSE US N 2 2034-08-25 Floating 5.288 N N N N N N FANNIE MAE 2006-48 N/A 31395NLE5 7878.030000 PA USD 7752.210000 0.0013730 Long ABS-MBS USGSE US N 2 2036-06-25 Floating 5.55043 N N N N N N FANNIE MAE 2006-5 N/A 31394VL73 2503.000000 PA USD 2546.750000 0.0004511 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 4.08199 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 6747.420000 PA USD 6649.480000 0.0011777 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 5.50043 N N N N N N FANNIEMAE WHOLE LOAN 2004-W12 N/A 31394A6Y7 4158.440000 PA USD 4136.490000 0.0007326 Long ABS-MBS USGSE US N 2 2044-07-25 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCFN9 9235.270000 PA USD 9002.890000 0.0015945 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 4.569 N N N N N N FHLMC PASS THRU POOLS N/A 3128HDZD4 32.290000 PA USD 31.900000 0.0000056 Long ABS-MBS USGSE US N 2 2029-02-01 Floating 4.571 N N N N N N FHLMC PASS THRU POOLS N/A 3133KLBK2 465028.340000 PA USD 397128.680000 0.0703364 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 3133KNL92 1870886.620000 PA USD 1590219.370000 0.2816474 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYR92 153862.830000 PA USD 144175.730000 0.0255353 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-62 N/A 31395HHV5 15494.080000 PA USD 14244.220000 0.0025228 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 5.1762 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF10 N/A 32028HAA1 561685.530000 PA USD 522860.760000 0.0926051 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.26543 N N N N N N FNMA PASS THRU POOLS N/A 31405U6G9 993.480000 PA USD 967.710000 0.0001714 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 3.621 N N N N N N FNMA PASS THRU POOLS N/A 31406DAF3 4667.430000 PA USD 4511.550000 0.0007991 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 5.177 N N N N N N FNMA PASS THRU POOLS N/A 31407UMR5 6981.340000 PA USD 7132.400000 0.0012632 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 4.536 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 32158.960000 PA USD 309851.590000 0.0548785 Long STIV RF US N 1 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 3343189.830000 PA USD 32505834.720000 5.7571833 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140FXLQ3 960011.180000 PA USD 876104.170000 0.1551688 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 545081.690000 PA USD 481826.700000 0.0853374 Long ABS-MBS USGSE US N 2 2060-03-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140HAU57 134246.070000 PA USD 124938.270000 0.0221281 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 3140KYNP5 149484.320000 PA USD 127658.270000 0.0226099 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 3140QBZL5 982188.420000 PA USD 873550.610000 0.1547166 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 438207.430000 PA USD 415844.420000 0.0736512 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140X47J9 92440.350000 PA USD 88166.480000 0.0156154 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 270486.770000 PA USD 249624.480000 0.0442116 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 526415.630000 PA USD 486574.680000 0.0861784 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 3140XBHT0 77886.990000 PA USD 68681.410000 0.0121643 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI1TC740 400000.000000 PA 486193.840000 0.0861109 Long DBT CORP US N 2 2024-06-14 Fixed 2.748 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A78 600000.000000 PA USD 594389.340000 0.1052737 Long DBT CORP US N 2 2023-11-17 Fixed 3.37 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI12NHW2 100000.000000 PA 109046.270000 0.0193134 Long DBT CORP US N 2 2023-11-15 Floating 4.053 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B28 400000.000000 PA USD 372321.760000 0.0659428 Long DBT CORP US N 2 2025-11-13 Fixed 3.375 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1V7HH8 1000000.000000 PA 429900.200000 0.0761406 Long DBT NUSS FR N 2 2072-05-25 Fixed 0.5 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1JFLL0 4650000.000000 PA 2767099.650000 0.4900874 Long DBT NUSS FR N 2 2052-05-25 Fixed 0.75 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI0V7KW3 6200000.000000 PA 5351600.030000 0.9478342 Long DBT NUSS FR N 2 2048-05-25 Fixed 2 N N N N N N FREDDIE MAC 2610 N/A 31393QX80 1817.220000 PA USD 1810.170000 0.0003206 Long ABS-MBS USGSE US N 2 2032-12-15 Floating 5.69329 N N N N N N FREDDIE MAC 3397 N/A 31397PLU2 2572.600000 PA USD 2549.520000 0.0004516 Long ABS-MBS USGSE US N 2 2037-12-15 Floating 5.79329 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPPH6 125356.040000 PA USD 121842.170000 0.0215797 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 4.34803 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPS83 125356.040000 PA USD 5223.900000 0.0009252 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 0 N N N N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2G9 400000.000000 PA USD 354690.060000 0.0628200 Long DBT CORP US N 2 2027-01-06 Fixed 2.25 N N N N N N GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A N/A 36361UAL4 2100000.000000 PA USD 2059710.890000 0.3648001 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.35029 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37961DUU2 400000.000000 PA USD 398174.400000 0.0705216 Long DBT CORP US N 2 2023-07-28 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36225CF50 98.620000 PA USD 95.640000 0.0000169 Long ABS-MBS USGSE US N 2 2028-04-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CNP7 124.280000 PA USD 120.140000 0.0000213 Long ABS-MBS USGSE US N 2 2030-04-20 Floating 3 N N N N N N GNMA PASS THRU POOLS N/A 36225CN36 279.780000 PA USD 272.790000 0.0000483 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 3 N N N N N N GNMA PASS THRU POOLS N/A 36225CN85 358.880000 PA USD 352.970000 0.0000625 Long ABS-MBS USGSE US N 2 2030-06-20 Floating 2.875 N N N N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122NC59 600000.000000 PA USD 546245.820000 0.0967469 Long DBT MUN US N 2 2026-06-01 Fixed 2.158 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZR8 300000.000000 PA USD 281720.860000 0.0498962 Long DBT CORP US N 2 2028-03-15 Floating 3.615 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 ACI21KTC8 800000.000000 PA 719072.220000 0.1273565 Long DBT CORP US N 2 2029-05-09 Fixed 0.875 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11 N/A 38375UXM7 1251518.740000 PA USD 1241218.740000 0.2198351 Long ABS-MBS USGSE US N 2 2066-05-20 Floating 5.89386 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H14 N/A 38376RVV5 774877.400000 PA USD 771115.600000 0.1365741 Long ABS-MBS USGSE US N 2 2066-06-20 Floating 5.89386 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H24 N/A 38376RJ72 367213.420000 PA USD 364969.050000 0.0646405 Long ABS-MBS USGSE US N 2 2066-11-20 Floating 5.94386 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121 N/A 38380TV37 9414.660000 PA USD 8878.510000 0.0015725 Long ABS-MBS USGSE US N 2 2046-07-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-133 N/A 38380HCH3 4215.470000 PA USD 3935.590000 0.0006970 Long ABS-MBS USGSE US N 2 2047-05-20 Fixed 3 N N N N N N GPMT LTD 2021-FL4 N/A 36262TAA1 1800000.000000 PA USD 1739250.000000 0.3080426 Long ABS-CBDO CORP KY N 2 2036-12-15 Floating 6.49757 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2 N/A 36262JAB1 678116.600000 PA USD 547591.220000 0.0969851 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-GR3 N/A 36263TAB8 434934.220000 PA USD 351217.120000 0.0622049 Long ABS-MBS CORP US N 2 2052-04-25 Variable 2.5 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-HP1 N/A 36262RAB3 1496689.520000 PA USD 1208603.430000 0.2140585 Long ABS-MBS CORP US N 2 2052-01-25 Variable 2.5 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1 N/A 36263KAB7 342372.660000 PA USD 276898.340000 0.0490421 Long ABS-MBS CORP US N 2 2051-12-25 Variable 2.5 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2022-GR2 N/A 36267BAB3 1838343.980000 PA USD 1552163.830000 0.2749073 Long ABS-MBS CORP US N 2 2052-08-26 Variable 3 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2022-MM1 N/A 36266PAB3 1171110.450000 PA USD 948609.070000 0.1680103 Long ABS-MBS CORP US N 2 2052-07-25 Variable 2.5 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ4 N/A 36264RAE5 2952767.680000 PA USD 2391766.030000 0.4236112 Long ABS-MBS CORP US N 2 2052-09-25 Variable 2.5 N N N N N N GSAMP TRUST 2005-HE6 N/A 362341G60 1000000.000000 PA USD 809084.600000 0.1432988 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.87043 N N N N N N GSAMP TRUST 2005-WMC2 N/A 362341VA4 1000368.090000 PA USD 871646.630000 0.1543793 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.79543 Y N N N N N GSR MORTGAGE LOAN TRUST 2004-14 N/A 36242DPB3 6007.910000 PA USD 5109.070000 0.0009049 Long ABS-MBS CORP US N 3 2034-12-25 Floating 5.48043 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR2 N/A 36242DH89 30845.240000 PA USD 29274.160000 0.0051848 Long ABS-MBS CORP US N 3 2035-04-25 Floating 4.30377 N N N N N N GSR MORTGAGE LOAN TRUST 2006-AR1 N/A 3623414A4 15232.390000 PA USD 14908.130000 0.0026404 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.93531 Y N N N N N HALEON UK CAPITAL PLC 5493004B26DRJNN0OV17 36264NAB0 900000.000000 PA USD 860336.310000 0.1523761 Long DBT CORP GB N 2 2025-03-24 Fixed 3.125 N N N N N N HALSEYPOINT CLO 3 LTD 2020-3A N/A 40638UAA7 1600000.000000 PA USD 1586640.320000 0.2810135 Long ABS-CBDO CORP KY N 2 2032-11-30 Floating 6.74914 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BK4 1000000.000000 PA USD 937299.900000 0.1660073 Long DBT CORP GB N 2 2028-03-13 Floating 4.041 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BT5 800000.000000 PA USD 753618.710000 0.1334751 Long DBT CORP GB N 2 2029-06-19 Floating 4.583 N N N N N N HSI ASSET SECUR CORP TRUST 2007-HE2 N/A 40430RAD8 607246.450000 PA USD 311209.920000 0.0551191 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.41043 N N N N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 445545AS5 900000.000000 PA USD 924345.000000 0.1637129 Long DBT NUSS HU N 2 2032-09-22 Fixed 6.25 N N N N N N HYATT HOTELS CORPORATION T27JQIMTYSH41TCD5186 448579AL6 300000.000000 PA USD 297275.130000 0.0526511 Long DBT CORP US N 2 2023-10-01 Fixed 1.3 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR4 N/A 45661EAV6 238001.910000 PA USD 211703.080000 0.0374952 Long ABS-MBS CORP US N 2 2046-05-25 Floating 5.57043 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR12 N/A 45660LMG1 8923.010000 PA USD 8368.850000 0.0014822 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.63043 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAD8 421030.640000 PA USD 274796.000000 0.0486698 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.39043 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI0RRBN4 4400000.000000 PA 1116584.010000 0.1977608 Long DBT NUSS IL N 2 2027-03-31 Fixed 2 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46514BRA7 400000.000000 PA USD 394320.000000 0.0698389 Long DBT NUSS IL N 2 2033-01-17 Fixed 4.5 N N N N N N ITALY GOVT 815600DE60799F5A9309 551287II8 400000.000000 PA 495975.370000 0.0878433 Long DBT NUSS IT N 2 2028-08-04 Fixed 6 N N N N N N J.P. MORGAN MORTGAGE TRUST 2021-INV5 N/A 46653XAD2 1451530.900000 PA USD 1225567.020000 0.2170630 Long ABS-MBS CORP US N 2 2051-12-25 Variable 3 N N N N N N JAMESTOWN CLO VI-R LTD 2020-15A N/A 47050EAA7 1300000.000000 PA USD 1281864.400000 0.2270340 Long ABS-CBDO CORP KY N 2 2033-04-15 Floating 6.60029 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI23YHP0 500000000.000000 PA 3468900.520000 0.6143850 Long DBT NUSS JP N 2 2024-03-01 Fixed 0.005 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI24QFW3 560000000.000000 PA 3885556.670000 0.6881799 Long DBT NUSS JP N 2 2024-04-01 Fixed 0.005 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI258YF8 250000000.000000 PA 1734710.140000 0.3072385 Long DBT NUSS JP N 2 2024-05-01 Fixed 0.005 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2905P1 1010000000.000000 PA 7011308.780000 1.2417890 Long DBT NUSS JP N 2 2024-10-01 Fixed 0.005 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI0GYYD8 1210000000.000000 PA 8999173.220000 1.5938643 Long DBT NUSS JP N 2 2035-09-20 Fixed 1.2 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1B32J1 740000000.000000 PA 4346099.310000 0.7697477 Long DBT NUSS JP N 2 2049-03-20 Fixed 0.5 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI0MYW19 620000000.000000 PA 3607038.360000 0.6388509 Long DBT NUSS JP N 2 2046-06-20 Fixed 0.3 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI0PP6W6 202000000.000000 PA 1228658.930000 0.2176106 Long DBT NUSS JP N 2 2046-09-20 Fixed 0.5 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 BJB9V0II4 612000000.000000 PA 3794361.830000 0.6720282 Long DBT NUSS JP N 2 2048-12-20 Fixed 0.7 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 678509370.000000 PA 4956158.400000 0.8777966 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2F1ZB0 300000000.000000 PA 2079124.020000 0.3682384 Long DBT NUSS JP N 2 2023-07-10 None 0 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2F5WK4 4190000000.000000 PA 29039245.150000 5.1432076 Long DBT NUSS JP N 2 2023-07-18 None 0 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2FCWD5 4390000000.000000 PA 30426005.540000 5.3888199 Long DBT NUSS JP N 2 2023-07-24 None 0 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2FJ0Z6 970000000.000000 PA 6722998.440000 1.1907257 Long DBT NUSS JP N 2 2023-07-31 None 0 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2G4WF7 320000000.000000 PA 2218058.280000 0.3928454 Long DBT NUSS JP N 2 2023-08-21 None 0 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2G94Q3 4860000000.000000 PA 33687602.210000 5.9664888 Long DBT NUSS JP N 2 2023-08-28 None 0 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 938ZJNII2 270000000.000000 PA 1871716.830000 0.3315041 Long DBT NUSS JP N 2 2023-09-25 None 0 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2GDV92 1550000000.000000 PA 10744246.160000 1.9029382 Long DBT NUSS JP N 2 2023-09-04 None 0 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 J2S39LJ21 290000000.000000 PA 2010426.830000 0.3560713 Long DBT NUSS JP N 2 2023-10-02 None 0 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A1 N/A 466247F57 11558.330000 PA USD 8607.460000 0.0015245 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.0004 Y N N N N N JP MORGAN MORTGAGE TRUST 2008-R2 N/A 46632TAA3 33633.100000 PA USD 30454.360000 0.0053938 Long ABS-MBS CORP US N 2 2037-07-27 Floating 3.65515 N N N N N N JP MORGAN MORTGAGE TRUST 2021-INV8 N/A 46654RAG7 3802899.790000 PA USD 3206156.360000 0.5678497 Long ABS-MBS CORP US N 2 2052-05-25 Variable 3 N N N N N N JP MORGAN MORTGAGE TRUST 2021-LTV4 N/A 46654DAD5 4327162.560000 PA USD 3653541.050000 0.6470871 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N JP MORGAN MORTGAGE TRUST 2022-INV1 N/A 465973AC9 2789530.820000 PA USD 2355276.750000 0.4171485 Long ABS-MBS CORP US N 2 2052-03-25 Variable 3 N N N N N N JUBILEE CLO 2014-XI BV 14-11A N/A ACI1W2T93 800000.000000 PA 855451.570000 0.1515110 Long ABS-CBDO CORP IE N 2 2030-04-15 Floating 3.787 N N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2W24 500000.000000 PA 532677.360000 0.0943437 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 3.827 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 K1R19DGD3 8200000.000000 PA 1179305.050000 0.2088694 Long DBT CORP DK N 2 2024-04-01 Fixed 1 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 BD9H2PII9 1.190000 PA 0.130000 0.0000000 Long DBT CORP DK N 2 2050-07-01 Fixed 1.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 BKLH46II9 14867893.970000 PA 1473497.960000 0.2609746 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1W77N5 1984781.480000 PA 205863.450000 0.0364609 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1X8QV3 1828285.580000 PA 201755.810000 0.0357334 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1CPNN9 23039274.940000 PA 2432131.680000 0.4307604 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N KBC GROEP NV 213800X3Q9LSAKRUWY91 48241FAB0 800000.000000 PA USD 795270.170000 0.1408521 Long DBT CORP BE N 2 2029-01-19 Floating 5.796 N N N N N N KREF 2022-FL3 LTD N/A 48275EAA4 1700000.000000 PA USD 1664735.390000 0.2948451 Long ABS-CBDO CORP KY N 2 2039-02-17 Floating 6.52629 N N N N N N LCM LP 13A N/A 50184KBL1 1089517.110000 PA USD 1083998.730000 0.1919895 Long ABS-CBDO CORP KY N 2 2027-07-19 Floating 6.135 N N N N N N LCM XX LP 20A N/A 50188WAE8 175764.080000 PA USD 175984.600000 0.0311690 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 6.29043 N N N N N N LIBERTY LENDING ABS TRUST 2021-1A N/A 53934QAA0 256011.720000 PA USD 249291.800000 0.0441526 Long ABS-O CORP US N 2 2029-05-15 Fixed 1.07 N N N N N N 7-ELEVEN INC 549300K23JPL0SS3LB18 817826AB6 200000.000000 PA USD 193882.350000 0.0343389 Long DBT CORP US N 2 2024-02-10 Fixed 0.8 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI12SMB1 800000.000000 PA 529221.490000 0.0937316 Long DBT CORP GB N 2 2023-11-23 Fixed 3.9 N N N N N N LOANCORE 2022-CRE7 ISSUER LTD N/A 53946PAA8 1700000.000000 PA USD 1672736.150000 0.2962622 Long ABS-CBDO CORP KY N 2 2037-01-17 Floating 6.61629 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 12369.070000 PA USD 11499.170000 0.0020366 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.71043 N N N N N N LUMEN TECHNOLOGIES INC 8M3THTGWLTYZVE6BBY25 15669GAH7 371663.480000 PA USD 287806.910000 0.0509741 Long LON CORP US N 2 2027-03-15 Floating 7.467 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI1S5B09 1709000.000000 PA 337040.760000 0.0596941 Long DBT NUSS MY N 2 2031-04-15 Fixed 2.632 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 BDVLNFII4 8067000.000000 PA 1741714.970000 0.3084792 Long DBT NUSS MY N 2 2029-08-15 Fixed 3.885 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI1LRNH8 2379000.000000 PA 498688.710000 0.0883239 Long DBT NUSS MY N 2 2030-10-15 Fixed 3.465 N N N N N N MAN GLG EURO CLO V DAC 5A N/A ACI1WBHS4 999030.040000 PA 1070353.230000 0.1895727 Long ABS-CBDO CORP IE N 2 2031-12-15 Floating 4.216 N N N N N N MANHATTAN WEST 2020-1MW N/A 563136AA8 1400000.000000 PA USD 1196527.780000 0.2119198 Long ABS-MBS CORP US N 2 2039-09-10 Fixed 2.13 N N N N N N MANSARD MORTGAGES PLC 2007-2X N/A B29VVWII5 65415.440000 PA 81391.610000 0.0144155 Long ABS-MBS CORP GB N 2 2049-12-15 Floating 5.42427 N N N N N N MARBLE POINT CLO X LTD 2017-1A N/A 566061AL1 767512.670000 PA USD 762355.180000 0.1350225 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.30029 N N N N N N MDGH GMTN (RSC) LTD 213800WRY6FRL9IXLT77 55285GAB0 400000.000000 PA USD 421122.000000 0.0745859 Long DBT MUN AE N 2 2033-04-28 Fixed 5.5 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 1415.020000 PA USD 1334.650000 0.0002364 Long ABS-MBS CORP US N 2 2030-12-15 Floating 5.63329 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAD4 1027808.330000 PA USD 534132.460000 0.0946014 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.45043 N N N N N N METROPOLIS OF TOKYO JAPAN 353800FABE4GGB1BMO18 59173LAD2 2100000.000000 PA USD 1914969.060000 0.3391646 Long DBT NUSS JP N 2 2025-07-16 Fixed 0.75 N N N N N N MF1 2021-FL5 LTD N/A 55282XAA8 248171.250000 PA USD 244585.040000 0.0433190 Long ABS-MBS CORP KY N 2 2036-07-15 Floating 6.11147 N N N N N N MF1 2022-FL8 LTD N/A 55284JAA7 1800000.000000 PA USD 1760040.000000 0.3117247 Long ABS-CBDO CORP KY N 2 2037-02-19 Floating 6.41662 N N N N N N MFA 2020-NQM2 TRUST N/A 552751AA7 505691.910000 PA USD 454400.790000 0.0804800 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.381 N N N N N N MFA 2020-NQM2 TRUST N/A 552751AC3 183889.440000 PA USD 166339.070000 0.0294607 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.947 N N N N N N MGM CHINA HOLDINGS LIMITED 529900VZFN87OS7WJM66 55300RAG6 500000.000000 PA USD 455532.500000 0.0806804 Long DBT CORP KY N 2 2027-02-01 Fixed 4.75 N N N N N N MIDOCEAN CREDIT CLO II 2013-2A N/A 59863KAS6 990619.630000 PA USD 985124.310000 0.1744776 Long ABS-CBDO CORP KY N 2 2030-01-29 Floating 6.32914 N N N N N N ACE SECURITIES CORP 2006-NC2 N/A 00441XAA2 976547.510000 PA USD 730822.570000 0.1294377 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.43043 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YAS8 500000.000000 PA USD 497664.860000 0.0881426 Long DBT CORP JP N 2 2024-09-11 Floating 3.922 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YAU3 900000.000000 PA USD 901144.850000 0.1596038 Long DBT CORP JP N 2 2024-09-11 Floating 6.53971 N N N N N N MONDELEZ INTERNATIONAL INC 549300DV9GIB88LZ5P30 60920WUQ1 600000.000000 PA USD 597874.000000 0.1058908 Long DBT CORP US N 2 2023-07-24 None 0 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEM3 1000000.000000 PA USD 948574.030000 0.1680041 Long DBT CORP US N 2 2026-02-18 Floating 2.63 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAA0 95074.290000 PA USD 84101.390000 0.0148954 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.28043 N N N N N N MORGAN STANLEY CAPITAL I INC 2021-230P N/A 61772WAA5 1700000.000000 PA USD 1602536.110000 0.2838289 Long ABS-MBS CORP US N 2 2038-12-15 Floating 6.43067 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-1 N/A 61751QAB1 776352.690000 PA USD 376651.780000 0.0667097 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.25043 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAC9 623483.510000 PA USD 327432.340000 0.0579923 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.38043 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAP6 10861.700000 PA USD 10678.440000 0.0018913 Long ABS-MBS CORP US N 2 2036-06-25 Floating 6.11496 N N N N N N MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS N/A 61752JAE0 134950.440000 PA USD 32390.550000 0.0057368 Long ABS-MBS CORP US N 2 2046-09-25 Variable 6.4188 Y N N N N N MOUNTAIN VIEW CLO LLC 2017-1A N/A 62432HAJ9 1014201.050000 PA USD 1007925.740000 0.1785160 Long ABS-CBDO CORP KY N 2 2029-10-16 Floating 6.35029 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAF4 1200000.000000 PA USD 1079042.350000 0.1911117 Long DBT CORP GB N 2 2028-02-16 Floating 2.972 N N N N N N NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 ACI1C3V82 800000.000000 PA 848650.950000 0.1503065 Long DBT CORP GB N 2 2024-05-28 Fixed 1 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 793533.820000 PA USD 732950.850000 0.1298146 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 674824.380000 PA USD 621732.980000 0.1101166 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI1FN6F7 700000.000000 PA 343200.100000 0.0607850 Long DBT NUSS NZ N 2 2031-05-15 Fixed 1.5 N N N N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQFII2 153056.320000 PA 186517.920000 0.0330346 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 6.0049 N N N N N N NEWGATE FUNDING PLC-2007-1X N/A 994BNLII5 181329.000000 PA 217771.010000 0.0385699 Long ABS-MBS CORP GB N 2 2050-12-01 Floating 5.0381 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 65480CAD7 500000.000000 PA USD 399598.120000 0.0707737 Long DBT CORP US N 2 2028-09-15 Fixed 2.45 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAZ2 500000.000000 PA USD 442377.680000 0.0783505 Long DBT CORP JP N 2 2027-01-22 Fixed 2.329 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-WF1 N/A 65536RAF3 303086.830000 PA USD 297297.140000 0.0526550 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.58543 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BJ7H8RII8 20300000.000000 PA 2919439.580000 0.5170687 Long DBT CORP DK N 2 2024-04-01 Fixed 1 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BVG7BHII1 1.010000 PA 0.130000 0.0000000 Long DBT CORP DK N 2 2037-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BKDSHHII6 19258705.670000 PA 1909669.940000 0.3382260 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BH3VWJII6 1.240000 PA 0.130000 0.0000000 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1Z8QZ2 10.000000 PA 0.970000 0.0000002 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 4423598.280000 PA 488466.120000 0.0865134 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BK99HJII9 21031036.040000 PA 2221550.550000 0.3934639 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAV7 600000.000000 PA USD 536353.210000 0.0949948 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAW5 600000.000000 PA USD 519261.550000 0.0919676 Long DBT CORP IE N 2 2028-10-29 Fixed 3 N N N N N N NOVASTAR HOME EQUITY LOAN 2007-1 N/A 669971AA1 525434.880000 PA USD 350147.810000 0.0620155 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.28043 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1CY5Z3 4541028.960000 PA 449610.780000 0.0796316 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BK9CXBII1 20985377.420000 PA 2208854.370000 0.3912153 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N7309 1.000000 PA 0.100000 0.0000000 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N9610 13.210000 PA 1.280000 0.0000002 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1NN643 1788239.680000 PA 185331.180000 0.0328244 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 17168377.840000 PA 1893817.880000 0.3354184 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N ONE NEW YORK PLAZA TRUST 2020-1NYP N/A 68249DAA7 1600000.000000 PA USD 1518541.440000 0.2689524 Long ABS-MBS CORP US N 2 2036-01-15 Floating 6.143 N N N N N N ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2 N/A 67114WAA9 1803445.710000 PA USD 1522698.270000 0.2696886 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-1 N/A 68400DAA2 310989.540000 PA USD 202834.750000 0.0359245 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.29043 N N N N N N ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV N/A ACI1X1236 200000.000000 PA 189959.430000 0.0336442 Long DBT CORP US N 2 2028-04-30 Fixed 2.875 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HP5 100000.000000 PA USD 91653.890000 0.0162330 Long DBT CORP US N 2 2026-03-01 Fixed 2.95 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308KB2 600000.000000 PA USD 539760.700000 0.0955983 Long DBT CORP US N 2 2029-03-01 Fixed 4.2 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JL2 100000.000000 PA USD 94465.620000 0.0167310 Long DBT CORP US N 2 2025-07-01 Fixed 3.45 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JM0 200000.000000 PA USD 181155.000000 0.0320848 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JF5 100000.000000 PA USD 85495.490000 0.0151423 Long DBT CORP US N 2 2027-08-01 Fixed 2.1 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HR1 100000.000000 PA USD 67173.700000 0.0118973 Long DBT CORP US N 2 2046-12-01 Fixed 4 N N N N N N AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST N/A 00908PAA5 76960.000000 PA USD 68258.040000 0.0120893 Long DBT CORP CA N 2 2031-07-15 Fixed 3.3 N N N N N N PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP N/A 709599AZ7 1400000.000000 PA USD 1346385.630000 0.2384615 Long DBT CORP US N 2 2025-03-10 Fixed 3.95 N N N N N N PEPPER RESIDENTIAL SECURITIES TRUST NO. 25A N/A 71336JAA2 72933.970000 PA USD 72873.450000 0.0129068 Long ABS-MBS CORP AU N 2 2061-03-12 Floating 6.14929 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638DQ2 700000.000000 PA USD 429842.000000 0.0761303 Long DBT NUSS PE N 2 2060-12-01 Fixed 2.78 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AE9 1800000.000000 PA 487586.520000 0.0863576 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94 N N N N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 716743AR0 200000.000000 PA USD 183892.640000 0.0325696 Long DBT CORP MY N 2 2050-04-21 Fixed 4.55 N N N N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 716743AS8 200000.000000 PA USD 188502.550000 0.0333861 Long DBT CORP MY N 2 2060-04-21 Fixed 4.8 N N N N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 71675CAE8 400000.000000 PA USD 285667.890000 0.0505953 Long DBT CORP MY N 2 2061-04-28 Fixed 3.404 N N N N N N PFIZER INVESTMENT ENTERPRISES PTE LTD 5493000FQO8XF9C0RT95 716973AD4 500000.000000 PA USD 494274.620000 0.0875421 Long DBT CORP SG N 2 2030-05-19 Fixed 4.65 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 731011AW2 300000.000000 PA USD 302685.600000 0.0536093 Long DBT NUSS PL N 2 2053-04-04 Fixed 5.5 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 731011AV4 400000.000000 PA USD 393392.000000 0.0696746 Long DBT NUSS PL N 2 2033-10-04 Fixed 4.875 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI2CX7L2 1000000.000000 PA 1084020.240000 0.1919933 Long DBT NUSS PL N 2 2033-02-14 Fixed 3.875 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI2CX2R4 300000.000000 PA 322040.500000 0.0570373 Long DBT NUSS PL N 2 2043-02-14 Fixed 4.25 N N N N N N PRECISE MORTGAGE FUNDING 2019-1B PLC 19-1B N/A ACI1RRM26 670430.920000 PA 854205.500000 0.1512903 Long ABS-MBS CORP GB N 2 2055-12-12 Floating 5.8322 N N N N N N PREFERRED TERM SECS XVII LTD N/A 74042EAA2 527822.730000 PA USD 496153.370000 0.0878749 Long DBT CORP KY N 2 2035-06-23 Floating 5.91371 N N N N N N PRINCIPAL LIFE GLOBAL FUNDING II 635400WSLKBQWSOIIT41 74256LET2 400000.000000 PA USD 373298.530000 0.0661158 Long DBT CORP US N 2 2025-01-10 Fixed 1.375 N N N N N N PROVINCE OF ONTARIO CANADA C7PVKCRGLG18EBQGZV36 ACI0S0LD3 1000000.000000 PA 634621.290000 0.1123992 Long DBT NUSS CA N 2 2027-01-27 Fixed 3.5 N N N N N N QATARENERGY N/A 74730DAC7 300000.000000 PA USD 251986.500000 0.0446299 Long DBT CORP QA N 2 2031-07-12 Fixed 2.25 N N N N N N REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A N/A 75585RRT4 358699.690000 PA 247785.060000 0.0438858 Long ABS-MBS CORP CA N 2 2055-02-12 Fixed 2.381 N N N N N N REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A N/A 75585RRU1 1000000.000000 PA 650847.330000 0.1152731 Long ABS-MBS CORP CA N 2 2055-02-12 Fixed 2.867 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BVFMDWII4 46800000.000000 PA 6730187.730000 1.1919991 Long DBT CORP DK N 2 2024-04-01 Fixed 1 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BKDSHLII7 5225248.250000 PA 550582.730000 0.0975150 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BL63VKII4 1.840000 PA 0.190000 0.0000000 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI1WVDP0 2187037.210000 PA 226848.020000 0.0401776 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 2497417.400000 PA 275449.750000 0.0487855 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N RENAISSANCE HOME EQ LN TRUST 2002-3 N/A 75970NAC1 117684.210000 PA USD 94905.390000 0.0168089 Long ABS-MBS CORP US N 3 2032-12-25 Floating 7.70043 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAJ5 967198.530000 PA USD 364376.090000 0.0645355 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.731 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-4 N/A 75970HAF7 635400.050000 PA USD 221422.370000 0.0392166 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.294 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-2 N/A 75970QAE0 1052816.740000 PA USD 304783.180000 0.0539809 Long ABS-MBS CORP US N 2 2037-06-25 Variable 5.675 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO3 N/A 761118WP9 369364.530000 PA USD 109141.090000 0.0193302 Long ABS-MBS CORP US N 2 2046-04-25 Floating 5.57043 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO6 N/A 75114NAA2 230738.860000 PA USD 56219.940000 0.0099572 Long ABS-MBS CORP US N 2 2046-06-25 Floating 4.16523 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS6 N/A 74922EAA7 364723.160000 PA USD 291005.790000 0.0515407 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 147846.280000 PA USD 131246.220000 0.0232453 Long ABS-MBS CORP US N 2 2037-10-25 Variable 4.64615 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2007-QO2 N/A 75116AAA8 20537.770000 PA USD 7774.330000 0.0013769 Long ABS-MBS CORP US N 2 2047-02-25 Floating 5.30043 N N N N N N RESIDENTIAL ASSET MGTE PROD INC 2005-EFC7 N/A 76112BR85 676875.130000 PA USD 542652.750000 0.0961105 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.61043 N N N N N N RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1 N/A 76112BR36 210130.590000 PA USD 187650.190000 0.0332352 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.59043 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-KS9 N/A 75406YAD9 1640625.930000 PA USD 1420233.920000 0.2515409 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.40043 Y N N N N N RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A N/A ACI1PKR28 593891.170000 PA 756632.330000 0.1340089 Long ABS-MBS CORP GB N 2 2070-06-20 Floating 5.95864 N N N N N N RESIMAC BASTILLE TRUST SERIES 2019-1NC N/A 76119UAA9 116114.740000 PA USD 116113.560000 0.0205651 Long ABS-MBS CORP AU N 2 2057-09-05 Floating 6.14771 N N N N N N RIPON MORTGAGES PLC 1RA N/A ACI23KYX4 4054133.350000 PA 5130468.530000 0.9086691 Long ABS-MBS CORP GB N 2 2056-08-28 Floating 5.27337 N N N N N N RMAC SECURITIES PLC 2006-NS3X N/A B1FJ01II9 285164.600000 PA 346962.700000 0.0614514 Long ABS-MBS CORP GB N 2 2044-06-12 Floating 4.90151 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI23CJP6 600000.000000 PA 530552.520000 0.0939674 Long DBT NUSS RO N 2 2034-02-07 Fixed 3.75 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI23CKY5 400000.000000 PA 379724.620000 0.0672539 Long DBT NUSS RO N 2 2028-03-07 Fixed 2.125 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI28TF11 700000.000000 PA 767529.590000 0.1359389 Long DBT NUSS RO N 2 2026-09-27 Fixed 5 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI28T967 300000.000000 PA 340755.680000 0.0603520 Long DBT NUSS RO N 2 2029-09-27 Fixed 6.625 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1J8690 100000.000000 PA 80283.970000 0.0142193 Long DBT NUSS RO N 2 2032-01-28 Fixed 2 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1D66B5 100000.000000 PA 82984.690000 0.0146976 Long DBT NUSS RO N 2 2031-07-16 Fixed 2.124 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1X0BQ7 500000.000000 PA 386421.320000 0.0684400 Long DBT NUSS RO N 2 2033-04-14 Fixed 2 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1Z3VF1 800000.000000 PA 537979.230000 0.0952827 Long DBT NUSS RO N 2 2042-04-13 Fixed 2.875 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1Z3TC1 700000.000000 PA 583963.500000 0.1034271 Long DBT NUSS RO N 2 2030-07-13 Fixed 1.75 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1T3QY3 540000.000000 PA 458040.290000 0.0811246 Long DBT NUSS RO N 2 2029-12-02 Fixed 1.375 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1T3QG2 400000.000000 PA 266527.870000 0.0472054 Long DBT NUSS RO N 2 2040-12-02 Fixed 2.625 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAF2 200000.000000 PA USD 195248.480000 0.0345809 Long DBT CORP KY N 2 2025-08-08 Variable 5.625 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 500000.000000 PA USD 477075.200000 0.0844959 Long DBT CORP KY N 2 2028-08-08 Variable 5.9 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAJ4 2400000.000000 PA USD 2382014.450000 0.4218841 Long DBT CORP GB N 2 2024-11-15 Floating 4.796 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 ACI1JX7D5 500000.000000 PA 635914.060000 0.1126282 Long DBT CORP GB N 2 2027-02-12 Floating 5.0374 N N N N N N SARANAC CLO LTD 2018-6A N/A 80317LAJ2 1700000.000000 PA USD 1679813.690000 0.2975157 Long ABS-CBDO CORP JE N 2 2031-08-13 Floating 6.68443 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 48266XAF2 400000.000000 PA USD 408928.000000 0.0724262 Long DBT NUSS KY N 2 2028-10-25 Fixed 5.268 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TBC2 1600000.000000 PA USD 1588307.200000 0.2813087 Long DBT NUSS SA N 2 2028-01-18 Fixed 4.75 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 000000000 1800000.000000 PA USD 1800385.200000 0.3188704 Long DBT NUSS SA N 2 2033-07-18 Fixed 4.875 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI1LTCD5 200000.000000 PA USD 181728.400000 0.0321863 Long DBT NUSS SA N 2 2030-10-22 Fixed 3.25 N N N N N N SAXON ASSET SECURITIES TRUST 2007-4 N/A 80557CAB8 288159.000000 PA USD 238125.640000 0.0421750 Long ABS-MBS CORP US N 2 2037-12-25 Floating 6.90043 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAE8 900000.000000 PA USD 847335.830000 0.1500736 Long DBT CORP DE N 2 2027-05-15 Fixed 6 N N Y N N N SERBIA GOVT 254900W94OCY91V32O78 ACI20JFB9 500000.000000 PA 335555.020000 0.0594309 Long DBT NUSS RS N 2 2036-09-23 Fixed 2.05 N N N N N N SHAMROCK RESIDENTIAL 2022-1 DAC 22-1 N/A ACI2439Q4 1240903.910000 PA 1339856.990000 0.2373052 Long ABS-MBS CORP IE N 2 2061-01-24 Floating 4.289 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAB3 1134663.800000 PA USD 1124999.530000 0.1992513 Long ABS-O CORP US N 2 2055-02-16 Floating 6.51662 N N N N N N AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST N/A 023771R91 209187.610000 PA USD 185751.050000 0.0328988 Long DBT CORP US N 2 2030-04-15 Fixed 3 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83368RBG6 400000.000000 PA USD 371691.380000 0.0658311 Long DBT CORP FR N 2 2026-01-21 Floating 2.226 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83368RBH4 400000.000000 PA USD 354662.370000 0.0628151 Long DBT CORP FR N 2 2028-01-19 Floating 2.797 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83368RBJ0 500000.000000 PA USD 400796.870000 0.0709861 Long DBT CORP FR N 2 2033-01-21 Floating 3.337 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83368RAZ5 2400000.000000 PA USD 2113365.410000 0.3743030 Long DBT CORP FR N 2 2026-12-14 Floating 1.488 N N N N N N SOUNDVIEW HOME EQUITY LN TR 2006-3 N/A 83612HAD0 1098710.750000 PA USD 1020026.800000 0.1806593 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.65043 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAC6 58803.360000 PA USD 39598.520000 0.0070134 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.30043 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 B2QK2VII4 1350000000.000000 PA 1122428.920000 0.1987960 Long DBT NUSS KR N 2 2028-03-10 Fixed 5.5 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 BD6K2YII6 1225000000.000000 PA 878784.070000 0.1556435 Long DBT NUSS KR N 2 2027-06-10 Fixed 2.125 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI12HKN1 2450000000.000000 PA 1774381.850000 0.3142649 Long DBT NUSS KR N 2 2028-06-10 Fixed 2.625 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI2FJ0G8 5111540000.000000 PA 3758054.170000 0.6655976 Long DBT NUSS KR N 2 2033-06-10 Fixed 3.25 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI0Z91H9 1350000000.000000 PA 972138.430000 0.1721777 Long DBT NUSS KR N 2 2027-12-10 Fixed 2.375 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 BGGL77II0 5820000000.000000 PA 4140088.420000 0.7332606 Long DBT NUSS KR N 2 2028-12-10 Fixed 2.375 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI29DC42 9350320000.000000 PA 7432998.370000 1.3164755 Long DBT NUSS KR N 2 2032-12-10 Fixed 4.25 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI1X9C46 1378630000.000000 PA 927936.880000 0.1643490 Long DBT NUSS KR N 2 2031-06-10 Fixed 2 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HB2 300000.000000 PA USD 289702.650000 0.0513099 Long DBT CORP US N 2 2024-04-01 Fixed 1.1 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HC0 100000.000000 PA USD 99875.120000 0.0176891 Long DBT CORP US N 2 2024-04-01 Floating 5.90629 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI1X3J42 200000.000000 PA 152497.430000 0.0270092 Long DBT NUSS ES N 2 2037-07-30 Fixed 0.85 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI2D6391 1100000.000000 PA 1227231.560000 0.2173578 Long DBT NUSS ES N 2 2039-07-30 Fixed 3.9 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BYZK81II4 2700000.000000 PA 2686765.490000 0.4758592 Long DBT NUSS ES N 2 2066-07-30 Fixed 3.45 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BLH1ZLII0 1600000.000000 PA 847400.000000 0.1500850 Long DBT NUSS ES N 2 2071-10-31 Fixed 1.45 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CG3 1400000.000000 PA USD 1240802.650000 0.2197614 Long DBT CORP GB N 2 2028-01-12 Floating 2.608 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BY5 1200000.000000 PA USD 1163868.440000 0.2061354 Long DBT CORP GB N 2 2025-01-12 Floating 0.991 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CT5 1400000.000000 PA USD 1401342.910000 0.2481951 Long DBT CORP GB N 2 2027-07-06 Floating 6.187 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CU2 1400000.000000 PA USD 1402992.180000 0.2484872 Long DBT CORP GB N 2 2034-07-06 Floating 6.296 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2 N/A 78486BAA2 1700000.000000 PA USD 1638331.400000 0.2901686 Long ABS-CBDO CORP KY N 2 2038-04-18 Floating 6.35814 N N N N N N STRATTON MORTGAGE FUNDING 21-2A N/A ACI1W61K9 1464408.260000 PA 1859974.170000 0.3294243 Long ABS-MBS CORP GB N 2 2060-07-20 Floating 5.33043 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-4 N/A 86359BNU1 501.210000 PA USD 482.620000 0.0000855 Long ABS-MBS CORP US N 3 2034-04-25 Floating 5.70102 N N N N N N STRUCTURED ASSEET MTGE INV INC 2002-AR3 N/A 86358HNX3 366.030000 PA USD 351.600000 0.0000623 Long ABS-MBS CORP US N 2 2032-09-19 Floating 5.80629 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2006-1 N/A 86358EA97 713993.040000 PA USD 657430.230000 0.1164390 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.77043 N N N N N N STRUCTURED ASSET INVST LN TR 2006-4 N/A 86360WAB8 329972.580000 PA USD 236962.450000 0.0419690 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.28043 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR1 N/A 86359LAQ2 1239.590000 PA USD 1148.670000 0.0002034 Long ABS-MBS CORP US N 2 2034-03-19 Floating 5.84629 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR3 N/A 86359LBY4 627.280000 PA USD 558.860000 0.0000990 Long ABS-MBS CORP US N 3 2034-07-19 Floating 5.72629 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR2 N/A 86359LJA8 7504.940000 PA USD 6804.610000 0.0012052 Long ABS-MBS CORP US N 2 2045-05-25 Floating 5.61043 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAE8 39397.740000 PA USD 31594.960000 0.0055959 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.59043 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR4 N/A 86364MAC4 50040.440000 PA USD 41747.740000 0.0073940 Long ABS-MBS CORP US N 2 2047-09-25 Floating 5.37043 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 4306.620000 PA USD 2903.350000 0.0005142 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.57043 N N N N N N STRUCTURED ASSET MTGE INVEST 2007-AR6 N/A 86364RAA7 19083.350000 PA USD 17182.180000 0.0030432 Long ABS-MBS CORP US N 2 2047-08-25 Floating 5.4762 Y N N N N N STRUCTURED ASSET SEC CORP 2006-RF1 N/A 86359DXP7 172107.580000 PA USD 136759.250000 0.0242217 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.43043 N N N N N N STRUCTURED ASSET SEC CORP 2006-RF4 N/A 863911AA1 342510.740000 PA USD 287077.950000 0.0508450 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.44043 N N N N N N TBW MTGE BACKED PASS THRU CERT 2006-4 N/A 872224AG5 189270.430000 PA USD 5799.930000 0.0010272 Long ABS-MBS CORP US N 2 2036-09-25 Variable 6.47 Y N N N N N TERWIN MORTGAGE TRUST SERIES TMTS 2003-6HE N/A 881561CE2 14967.370000 PA USD 13015.010000 0.0023051 Long ABS-MBS CORP US N 2 2033-11-25 Floating 6.09043 N N N N N N TEXAS NATURAL GAS SECURITIZATION FINANCE CORP N/A 88258MAA3 300000.000000 PA USD 301389.390000 0.0533798 Long DBT MUN US N 2 2035-04-01 Fixed 5.102 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAV2 800000.000000 PA USD 765539.130000 0.1355864 Long DBT CORP US N 2 2025-01-15 Fixed 2.95 N N N N N N THL CREDIT WIND RIVER 2019-3 CLO LTD N/A 97314JAA3 1700000.000000 PA USD 1679136.680000 0.2973958 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.34029 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAC5 4356.290000 PA USD 4123.200000 0.0007303 Long ABS-MBS CORP US N 2 2047-06-25 Floating 7.15114 Y N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAE1 8568.080000 PA USD 7249.200000 0.0012839 Long ABS-MBS CORP US N 2 2047-06-25 Floating 7.15114 Y N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAG6 312.520000 PA USD 295.160000 0.0000523 Long ABS-MBS CORP US N 3 2047-06-25 Floating 7.15114 Y N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 1351618.000000 PA 1717326.380000 0.3041596 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 5.78043 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 591249.320000 PA 751963.750000 0.1331820 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 5.57473 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 2337988.040000 PA USD 2150616.300000 0.3809006 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 315162.390000 PA USD 314620.310000 0.0557231 Long ABS-MBS CORP US N 2 2058-05-25 Floating 6.15043 N N N N N N TOWD POINT MORTGAGE TRUST 2020-1 N/A 89178WAU2 655569.060000 PA USD 605504.690000 0.1072423 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 770795.160000 PA USD 667717.650000 0.1182610 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 1400000.000000 PA USD 1359931.440000 0.2408606 Long ABS-O CORP US N 2 2031-11-25 Fixed 2.56 N N N N N N TRINITY SQUARE 2021-1 PLC A N/A ACI1WK7V8 764663.540000 PA 969741.530000 0.1717532 Long ABS-MBS CORP GB N 2 2059-07-15 Floating 5.27286 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AC2 250000.000000 PA USD 231249.980000 0.0409572 Long DBT CORP CH N 2 2028-01-09 Fixed 4.282 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AF5 800000.000000 PA USD 723912.960000 0.1282139 Long DBT CORP CH N 2 2029-01-12 Floating 3.869 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AP3 1200000.000000 PA USD 1068696.100000 0.1892792 Long DBT CORP CH N 2 2031-04-01 Floating 4.194 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AU2 500000.000000 PA USD 404672.120000 0.0716724 Long DBT CORP CH N 2 2032-05-14 Floating 3.091 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AQ1 1200000.000000 PA USD 1100996.660000 0.1950001 Long DBT CORP CH N 2 2026-06-05 Floating 2.193 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AY4 600000.000000 PA USD 596361.410000 0.1056229 Long DBT CORP CH N 2 2026-07-15 Floating 6.373 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AZ1 2200000.000000 PA USD 2255029.940000 0.3993935 Long DBT CORP CH N 2 2033-08-12 Floating 6.537 N N N N N N UMBS PASS THRU POOLS N/A 01F020471 -9300000.000000 PA USD -8242125.000000 -1.4597817 Short ABS-MBS USGSE US N 2 2038-07-18 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F020687 -58950000.000000 PA USD -48157084.430000 -8.5292122 Short ABS-MBS USGSE US N 2 2053-08-14 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F022675 -2900000.000000 PA USD -2459562.530000 -0.4356188 Short ABS-MBS USGSE US N 2 2053-07-13 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030686 -900000.000000 PA USD -793371.090000 -0.1405158 Short ABS-MBS USGSE US N 2 2053-08-14 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F040685 19550000.000000 PA USD 18364017.630000 3.2524935 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F042681 38300000.000000 PA USD 36842804.880000 6.5253140 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F050684 14280000.000000 PA USD 13995515.700000 2.4787780 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A 01F050692 1320000.000000 PA USD 1294321.880000 0.2292403 Long ABS-MBS USGSE US N 2 2053-09-14 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A 01F052680 18200000.000000 PA USD 18110421.970000 3.2075786 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F052698 2600000.000000 PA USD 2587203.140000 0.4582255 Long ABS-MBS USGSE US N 2 2053-09-14 Fixed 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F060675 23100000.000000 PA USD 23305734.610000 4.1277323 Long ABS-MBS USGSE US N 2 2053-07-13 Fixed 6 N N N N N N UMBS PASS THRU POOLS N/A 01F060683 21400000.000000 PA USD 21585578.230000 3.8230715 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 6 N N N N N N UMBS PASS THRU POOLS N/A 01F062671 40200000.000000 PA USD 41047969.150000 7.2701004 Long ABS-MBS USGSE US N 2 2053-07-13 Fixed 6.5 N N N N N N UMBS PASS THRU POOLS N/A 01F062689 4000000.000000 PA USD 4081875.040000 0.7229503 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 6.5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 1200000.000000 PA USD 1207214.110000 0.2138125 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B84Z9VII5 900000.000000 PA 951306.960000 0.1684882 Long DBT NUSS GB N 2 2044-01-22 Fixed 3.25 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI14WP35 1300000.000000 PA 977441.000000 0.1731168 Long DBT NUSS GB N 2 2049-01-22 Fixed 1.75 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BLH381II0 2100000.000000 PA 1323418.030000 0.2343936 Long DBT NUSS GB N 2 2051-07-31 Fixed 1.25 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BMBL1FII0 1300000.000000 PA 671164.160000 0.1188714 Long DBT NUSS GB N 2 2050-10-22 Fixed 0.625 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B64605II9 1200000.000000 PA 1476450.400000 0.2614975 Long DBT NUSS GB N 2 2040-12-07 Fixed 4.25 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI215R58 1100000.000000 PA 729596.830000 0.1292206 Long DBT NUSS GB N 2 2053-07-31 Fixed 1.5 N N N N N N AMMC CLO 16 LTD 2015-16A N/A 00176JAT3 196602.800000 PA USD 196700.940000 0.0348382 Long ABS-CBDO CORP KY N 2 2029-04-14 Floating 6.23129 N N N N N N AMMC CLO XII LTD 2013-12A N/A 00176CAW1 1378966.210000 PA USD 1368748.730000 0.2424222 Long ABS-CBDO CORP KY N 2 2030-11-10 Floating 6.28686 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 4867458.000000 PA USD 4666666.260000 0.8265240 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 10946555.000000 PA USD 10242357.640000 1.8140476 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDX6 985014.000000 PA USD 867619.670000 0.1536661 Long DBT UST US N 2 2032-01-15 Fixed 0.125 N N N N N N AMORTIZING RESIDENTIAL COLLAT 2001-BC6 N/A 86358RMY0 423.770000 PA USD 407.640000 0.0000722 Long ABS-MBS CORP US N 2 2031-10-25 Floating 5.85043 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGK1 4074000.000000 PA USD 3905835.380000 0.6917715 Long DBT UST US N 2 2033-01-15 Fixed 1.125 N N N N N N AMRESCO RES SEC 1999-1 N/A 03215PFN4 562.510000 PA USD 538.930000 0.0000955 Long ABS-MBS CORP US N 2 2029-06-25 Floating 6.09043 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZJ2 4404562.500000 PA USD 4190662.370000 0.7422179 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FH6 922750.000000 PA USD 1019828.670000 0.1806242 Long DBT UST US N 2 2029-04-15 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCM1 2377116.000000 PA USD 2109017.850000 0.3735330 Long DBT UST US N 2 2031-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 313257.000000 PA USD 288092.650000 0.0510248 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGP0 700000.000000 PA USD 694955.080000 0.1230851 Long DBT UST US N 2 2028-02-29 Fixed 4 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGM7 700000.000000 PA USD 681953.130000 0.1207823 Long DBT UST US N 2 2033-02-15 Fixed 3.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284M9 7700000.000000 PA USD 7416212.880000 1.3135025 Long DBT UST US N 2 2025-04-30 Fixed 2.875 N N N N N N UNITED WHOLESALE MORTGAGE LLC 2021-INV3 N/A 90355RAC6 1957271.100000 PA USD 1580531.250000 0.2799315 Long ABS-MBS CORP US N 2 2051-11-25 Variable 2.5 N N N N N N UNITED WHOLESALE MORTGAGE LLC 2021-INV5 N/A 90355DAV5 543933.830000 PA USD 459258.130000 0.0813403 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N UWM-2021-INV4 N/A 918307AC3 89851.970000 PA USD 72557.070000 0.0128507 Long ABS-MBS CORP US N 2 2051-12-25 Fixed 2.5 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 145616.030000 PA USD 145151.020000 0.0257080 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 6.14029 N N N N N N VENTURE XXIX CLO LTD 2017-29A N/A 92331EAF3 1214657.520000 PA USD 1204619.640000 0.2133530 Long ABS-CBDO CORP KY N 2 2030-09-07 Floating 6.31071 N N N N N N VIBRANT CLO IV LTD 2016-4A N/A 92557WAW3 1600000.000000 PA USD 1572800.000000 0.2785622 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.37043 N N N N N N VIBRANT CLO VII LTD N/A 92558BAJ7 1421711.270000 PA USD 1405668.040000 0.2489611 Long ABS-CBDO CORP KY N 2 2030-09-15 Floating 6.29043 N N N N N N ANNINGTON FUNDING PLC 549300KK63W8VZIONZ83 ACI0W49K8 800000.000000 PA 837636.810000 0.1483558 Long DBT CORP GB N 2 2024-07-12 Fixed 1.65 N N N N N N WACHOVIA MORTGAGE LN TRUST LLC 2005-B N/A 92977YBW0 21803.290000 PA USD 20536.060000 0.0036372 Long ABS-MBS CORP US N 3 2035-10-20 Floating 4.2915 Y N N N N N WASHINGTON MUTUAL 2002 AR2 N/A 929227LE4 1227.440000 PA USD 1156.270000 0.0002048 Long ABS-MBS CORP US N 2 2034-02-27 Floating 3.823 N N N N N N WASHINGTON MUTUAL 2003-AR1 N/A 939336PB3 2887.190000 PA USD 2736.770000 0.0004847 Long ABS-MBS CORP US N 2 2033-03-25 Floating 4.01565 N N N N N N WASHINGTON MUTUAL 2005-AR2 N/A 92922FD21 24491.970000 PA USD 24067.000000 0.0042626 Long ABS-MBS CORP US N 2 2045-01-25 Floating 5.77043 N N N N N N WASHINGTON MUTUAL 2005-AR3 N/A 939336Z48 12892.900000 PA USD 12226.670000 0.0021655 Long ABS-MBS CORP US N 3 2035-03-25 Floating 4.07928 N N N N N N WASHINGTON MUTUAL 2005-AR4 N/A 92922FG77 10674.250000 PA USD 10118.970000 0.0017922 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.91327 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAC7 80525.380000 PA USD 68527.080000 0.0121370 Long ABS-MBS CORP US N 3 2036-12-25 Floating 3.43546 Y N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 35151.920000 PA USD 31384.980000 0.0055587 Long ABS-MBS CORP US N 2 2046-02-25 Floating 4.9762 N N N N N N WASHINGTON MUTUAL 2006-AR5 N/A 93362YAB8 14732.280000 PA USD 13494.410000 0.0023900 Long ABS-MBS CORP US N 2 2046-06-25 Floating 4.9562 N N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR5 N/A 93935AAC6 15530.530000 PA USD 9706.940000 0.0017192 Long ABS-MBS CORP US N 2 2046-07-25 Floating 4.9162 Y N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2X0 300000.000000 PA USD 290195.270000 0.0513972 Long DBT CORP US N 2 2026-04-25 Floating 3.908 N N N N N N WEST VIRGINIA UNITED HEALTH SYSTEM OBLIGATED GROUP N/A 956708AB7 800000.000000 PA USD 535986.950000 0.0949299 Long DBT CORP US N 2 2050-06-01 Fixed 3.129 N N N N N N N/A N/A 000000000 888000.000000 PA USD 888000.000000 0.1572757 Long RA US N 2 Repurchase N 2.4000000 2023-07-03 909900.000000 USD 905777.020000 USD UST N N N AREIT TRUST 2021-CRE5 N/A 04002PAA2 1129492.270000 PA USD 1100496.850000 0.1949115 Long ABS-MBS CORP KY N 2 2038-11-17 Floating 6.23657 N N N N N N N/A N/A 000000000 -61.000000 NC 24019.460000 0.0042541 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Short N/A AUSTRALIA GOVT 2023-09-15 -4720680.510000 AUD 24019.460000 N N N N/A N/A 000000000 242.000000 NC -98543.210000 -0.0174532 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Long N/A AUSTRALIA GOVT 2023-09-15 17028500.160000 AUD -98543.210000 N N N N/A N/A 000000000 1.000000 NC 3392.190000 0.0006008 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 189676.780000 USD 289828.000000 AUD 2023-07-05 3392.190000 N N N ARGENT SECURITIES INC 2005-W1 N/A 040104MX6 1044701.780000 PA USD 941921.830000 0.1668259 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.63043 N N N N N N N/A N/A 000000000 1.000000 NC 2278.700000 0.0004036 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 592125.880000 USD 891588.000000 AUD 2023-08-02 2278.700000 N N N N/A N/A 000000000 1.000000 NC -2273.710000 -0.0004027 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 891588.000000 AUD 591657.800000 USD 2023-07-05 -2273.710000 N N N N/A N/A 000000000 1.000000 NC 8642.520000 0.0015307 N/A DFE PE N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 620704.000000 USD 2284190.720000 PEN 2023-07-10 8642.520000 N N N N/A N/A 000000000 1.000000 NC -13166.110000 -0.0023319 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 690640.840000 USD 1017000.000000 AUD 2023-07-05 -13166.110000 N N N ARGENT SECURITIES INC 2005-W4 N/A 040104PT2 1263344.320000 PA USD 965507.860000 0.1710033 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.91043 N N N N N N N/A N/A 000000000 1.000000 NC -994.990000 -0.0001762 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 598843.640000 USD 792000.000000 CAD 2023-07-05 -994.990000 N N N N/A N/A 000000000 1.000000 NC 62.220000 0.0000110 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 226395.600000 USD 300000.000000 CAD 2023-07-05 62.220000 N N N N/A N/A 000000000 1.000000 NC -25155.000000 -0.0044553 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7073774.000000 USD 48096251.760000 DKK 2023-07-05 -25155.000000 N N N N/A N/A 000000000 1.000000 NC 5900.120000 0.0010450 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1396179.120000 USD 1104000.000000 GBP 2023-07-05 5900.120000 N N N N/A N/A 000000000 1.000000 NC 71212.880000 0.0126127 N/A DFE NO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2971730.000000 USD 32661731.690000 NOK 2023-07-05 71212.880000 N N N N/A N/A 000000000 1.000000 NC 3617.580000 0.0006407 N/A DFE NO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 128416.000000 USD 1417195.640000 NOK 2023-07-05 3617.580000 N N N N/A N/A 000000000 1.000000 NC 2019.880000 0.0003577 N/A DFE PE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 198981.000000 USD 729663.330000 PEN 2023-07-12 2019.880000 N N N N/A N/A 000000000 1.000000 NC 2165.300000 0.0003835 N/A DFE PE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 410000.000000 USD 1504290.000000 PEN 2023-09-20 2165.300000 N N N N/A N/A 000000000 1.000000 NC -151778.200000 -0.0268818 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7612862.120000 CAD 5594862.390000 USD 2023-07-05 -151778.200000 N N N N/A N/A 000000000 1.000000 NC -8950.520000 -0.0015852 N/A DFE CL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 697395241.000000 CLP 853291.620000 USD 2023-09-14 -8950.520000 N N N N/A N/A 000000000 1.000000 NC -56932.640000 -0.0100835 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 26496945.480000 DKK 3826257.140000 USD 2023-07-05 -56932.640000 N N N N/A N/A 000000000 1.000000 NC 25363.060000 0.0044921 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 48015964.430000 DKK 7073774.000000 USD 2023-08-02 25363.060000 N N N N/A N/A 000000000 1.000000 NC 447.720000 0.0000793 N/A DFE HK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3246281.630000 HKD 415449.600000 USD 2023-09-20 447.720000 N N N N/A N/A 000000000 1.000000 NC 826398.630000 0.1463654 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3121623000.000000 JPY 22639568.910000 USD 2023-08-28 826398.630000 N N N N/A N/A 000000000 1.000000 NC 456406.640000 0.0808352 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1500000000.000000 JPY 10951223.250000 USD 2023-09-05 456406.640000 N N N N/A N/A 000000000 1.000000 NC 88551.520000 0.0156836 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3251069092.000000 KRW 2566019.000000 USD 2023-09-20 88551.520000 N N N N/A N/A 000000000 1.000000 NC -6844.650000 -0.0012123 N/A DFE NZ N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 978525.000000 NZD 593676.010000 USD 2023-07-05 -6844.650000 N N N N/A N/A 000000000 1.000000 NC 23002.350000 0.0040740 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 32792253.000000 TWD 1078196.000000 USD 2023-09-20 23002.350000 N N N N/A N/A 000000000 1.000000 NC 26639.060000 0.0047181 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 32240863.000000 TWD 1064090.000000 USD 2023-09-20 26639.060000 N N N N/A N/A 000000000 1.000000 NC 18855.540000 0.0033395 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 712664.060000 USD 576000.000000 GBP 2023-07-05 18855.540000 N N N N/A N/A 000000000 1.000000 NC 2271.380000 0.0004023 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 711468.230000 USD 562000.000000 GBP 2023-07-05 2271.380000 N N N N/A N/A 000000000 1.000000 NC 22560.220000 0.0039957 N/A DFE PE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2661555.190000 USD 9737299.670000 PEN 2023-07-05 22560.220000 N N N N/A N/A 000000000 1.000000 NC -2488.130000 -0.0004407 N/A DFE TH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 284000.000000 USD 9906402.800000 THB 2023-09-20 -2488.130000 N N N N/A N/A 000000000 1.000000 NC -580.130000 -0.0001027 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 26430.000000 USD 488516.260000 ZAR 2023-08-15 -580.130000 N N N N/A N/A 000000000 1.000000 NC 6702.470000 0.0011871 N/A DFE DK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 19975658.840000 DKK 2984196.430000 USD 2024-04-02 6702.470000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI2GN722 20340820.500000 PA 41172.480000 0.0072922 Long DBT NUSS AR N 2 2023-10-18 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -14678.180000 -0.0025997 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 512000.000000 GBP 635561.470000 USD 2023-07-05 -14678.180000 N N N N/A N/A 000000000 1.000000 NC 13.170000 0.0000023 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 32556640.000000 IDR 2175.000000 USD 2023-09-22 13.170000 N N N N/A N/A 000000000 1.000000 NC 13379.510000 0.0023697 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1487109.370000 ILS 415733.000000 USD 2023-09-20 13379.510000 N N N N/A N/A 000000000 1.000000 NC 3300526.210000 0.5845638 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4190000000.000000 JPY 32394736.440000 USD 2023-07-18 3300526.210000 N N N N/A N/A 000000000 1.000000 NC -7066.830000 -0.0012516 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 290000000.000000 JPY 2030715.620000 USD 2023-10-02 -7066.830000 N N N N/A N/A 000000000 1.000000 NC 232092.160000 0.0411064 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 250006250.000000 JPY 2042326.150000 USD 2024-04-01 232092.160000 N N N N/A N/A 000000000 1.000000 NC 293756.350000 0.0520279 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 310008000.000000 JPY 2538448.310000 USD 2024-04-01 293756.350000 N N N N/A N/A 000000000 1.000000 NC 203552.610000 0.0360517 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 250000000.000000 JPY 2022081.130000 USD 2024-05-01 203552.610000 N N N N/A N/A 000000000 1.000000 NC 463.680000 0.0000821 N/A DFE MY N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 191317.500000 MYR 41698.630000 USD 2023-07-20 463.680000 N N N N/A N/A 000000000 1.000000 NC -22601.290000 -0.0040030 N/A DFE PE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 9737299.670000 PEN 2660246.340000 USD 2023-07-10 -22601.290000 N N N N/A N/A 000000000 1.000000 NC 17375.940000 0.0030775 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 849951.590000 USD 1302000.000000 AUD 2023-07-05 17375.940000 N N N N/A N/A 000000000 1.000000 NC 2416.050000 0.0004279 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 422514.940000 USD 637383.000000 AUD 2023-08-02 2416.050000 N N N N/A N/A 000000000 1.000000 NC -496.360000 -0.0000879 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 456618.100000 USD 418000.000000 EUR 2023-07-05 -496.360000 N N N N/A N/A 000000000 1.000000 NC -25024.450000 -0.0044321 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2921070.160000 USD 2654000.000000 EUR 2023-07-05 -25024.450000 N N N N/A N/A 000000000 1.000000 NC 1183.140000 0.0002095 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1205684.440000 USD 1106000.000000 EUR 2023-07-05 1183.140000 N N N N/A N/A 000000000 1.000000 NC -153244.480000 -0.0271415 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 37316163.960000 USD 34056917.000000 EUR 2023-07-05 -153244.480000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI2GN714 19844032.780000 PA 40997.840000 0.0072612 Long DBT NUSS AR N 2 2023-11-23 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 1234.810000 0.0002187 N/A DFE NO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 751551.000000 USD 8071934.010000 NOK 2023-08-02 1234.810000 N N N N/A N/A 000000000 1.000000 NC -331.100000 -0.0000586 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 21695.840000 USD 403755.240000 ZAR 2023-08-15 -331.100000 N N N N/A N/A 000000000 1.000000 NC -137.520000 -0.0000244 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 585000.000000 AUD 389560.330000 USD 2023-07-05 -137.520000 N N N N/A N/A 000000000 1.000000 NC 4851.620000 0.0008593 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 427000.000000 AUD 289297.750000 USD 2023-07-05 4851.620000 N N N N/A N/A 000000000 1.000000 NC -2409.290000 -0.0004267 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 637383.000000 AUD 422183.510000 USD 2023-07-05 -2409.290000 N N N N/A N/A 000000000 1.000000 NC -3037.300000 -0.0005379 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 618000.000000 CAD 463465.810000 USD 2023-07-05 -3037.300000 N N N N/A N/A 000000000 1.000000 NC 232962.550000 0.0412605 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 34708047.660000 CNY 5022945.000000 USD 2023-08-16 232962.550000 N N N N/A N/A 000000000 1.000000 NC 43782.820000 0.0077545 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 19353000.000000 CNY 2714648.410000 USD 2023-08-16 43782.820000 N N N N/A N/A 000000000 1.000000 NC 69485.340000 0.0123067 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 12685127.520000 CNY 1821000.000000 USD 2023-08-22 69485.340000 N N N N/A N/A 000000000 1.000000 NC -235.900000 -0.0000418 N/A DFE DK N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 95000.000000 DKK 13686.570000 USD 2023-07-05 -235.900000 N N N N/A N/A 000000000 1.000000 NC 1178.730000 0.0002088 N/A DFE DK N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 15445689.720000 DKK 2303453.120000 USD 2024-04-02 1178.730000 N N N N/A N/A 000000000 1.000000 NC 6086.300000 0.0010780 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1402000.000000 EUR 1535949.180000 USD 2023-07-05 6086.300000 N N N N/A N/A 000000000 1.000000 NC 154752.530000 0.0274086 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 34056917.000000 EUR 37368577.550000 USD 2023-08-02 154752.530000 N N N N/A N/A 000000000 1.000000 NC 741989.610000 0.1314155 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2775103285.000000 JPY 19974141.000000 USD 2023-07-05 741989.610000 N N N N/A N/A 000000000 1.000000 NC 13390.550000 0.0023716 N/A DFE MY N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5768000.000000 MYR 1256576.440000 USD 2023-07-20 13390.550000 N N N N/A N/A 000000000 1.000000 NC -1214.630000 -0.0002151 N/A DFE NO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8079885.190000 NOK 751551.000000 USD 2023-07-05 -1214.630000 N N N N/A N/A 000000000 1.000000 NC -2994.530000 -0.0005304 N/A DFE NZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 543000.000000 NZD 330205.900000 USD 2023-08-02 -2994.530000 N N N N/A N/A 000000000 1.000000 NC 2.510000 0.0000004 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3470.600000 THB 101.130000 USD 2023-09-20 2.510000 N N N N/A N/A 000000000 1.000000 NC 20600.880000 0.0036487 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 32551328.000000 TWD 1066173.000000 USD 2023-08-22 20600.880000 N N N N/A N/A 000000000 20.000000 NC -2747.190000 -0.0004866 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL 549300DKBYNOI0B1NP44 Long N/A CANADA GOVT 2023-09-20 1849858.460000 CAD -2747.190000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HX1 5040.000000 PA USD 1647.830000 0.0002919 Long DBT NUSS AR N 2 2029-07-09 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC USD 186470.570000 0.0330262 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.40 Y Single Leg Swap 2033-06-20 822623.110000 USD 0.000000 USD 59500000.000000 USD -636152.540000 N N N N/A N/A 000000000 1.000000 NC USD 865683.670000 0.1533232 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.40 Y Single Leg Swap 2028-06-20 447498.000000 USD 0.000000 USD 56500000.000000 USD 418185.670000 N N N N/A N/A 000000000 1.000000 NC 14119.910000 0.0025008 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1687823.590000 USD 1365955631.000000 CLP 2023-07-14 14119.910000 N N N N/A N/A 000000000 1.000000 NC 32.800000 0.0000058 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3244.010000 USD 2658791.000000 CLP 2023-10-19 32.800000 N N N N/A N/A 000000000 1.000000 NC -4994.440000 -0.0008846 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 132099.650000 USD 921000.000000 CNY 2023-08-16 -4994.440000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HS2 229987.000000 PA USD 76806.460000 0.0136034 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 -1104.000000 -0.0001955 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 429945.730000 USD 393000.000000 EUR 2023-07-05 -1104.000000 N N N N/A N/A 000000000 1.000000 NC -498.520000 -0.0000883 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 24784.500000 USD 31869397.000000 KRW 2023-09-20 -498.520000 N N N N/A N/A 000000000 1.000000 NC 6289.140000 0.0011139 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 131966.020000 USD 1483975.580000 NOK 2023-07-05 6289.140000 N N N N/A N/A 000000000 1.000000 NC 11924.550000 0.0021120 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 341638.090000 USD 3795000.000000 NOK 2023-07-05 11924.550000 N N N N/A N/A 000000000 1.000000 NC 1618.110000 0.0002866 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1524694.030000 USD 5537078.850000 PEN 2023-07-03 1618.110000 N N N N/A N/A 000000000 1.000000 NC 2710.180000 0.0004800 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 308897.000000 USD 1131180.810000 PEN 2023-07-12 2710.180000 N N N N/A N/A 000000000 1.000000 NC 5206.490000 0.0009221 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 594674.000000 USD 2178052.990000 PEN 2023-07-14 5206.490000 N N N N/A N/A 000000000 1.000000 NC -31927.700000 -0.0056548 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1470000.000000 USD 50605764.300000 THB 2023-09-20 -31927.700000 N N N N/A N/A 000000000 1.000000 NC -8727.990000 -0.0015458 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 415392.110000 CAD 304834.650000 USD 2023-07-05 -8727.990000 N N N N/A N/A 000000000 1.000000 NC -9218.280000 -0.0016327 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 579101530.000000 CLP 707775.030000 USD 2023-08-31 -9218.280000 N N N N/A N/A 000000000 1.000000 NC 26536.050000 0.0046999 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5290294.500000 CNY 757000.000000 USD 2023-08-22 26536.050000 N N N N/A N/A 000000000 1.000000 NC 23298.630000 0.0041265 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12208019.970000 CNY 1713000.000000 USD 2023-09-20 23298.630000 N N N N/A N/A 000000000 1.000000 NC 465741.210000 0.0824885 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1738377000.000000 JPY 12613112.470000 USD 2023-08-28 465741.210000 N N N N/A N/A 000000000 1.000000 NC -372.600000 -0.0000660 N/A DFE NZ N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 995000.000000 NZD 610258.770000 USD 2023-07-05 -372.600000 N N N N/A N/A 000000000 1.000000 NC -101213.350000 -0.0179261 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5537078.850000 PEN 1425098.790000 USD 2023-07-03 -101213.350000 N N N N/A N/A 000000000 1.000000 NC -285470.340000 -0.0505603 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9737299.670000 PEN 2398645.070000 USD 2023-07-05 -285470.340000 N N N N/A N/A 000000000 1.000000 NC 20128.480000 0.0035650 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 31326804.000000 TWD 1026368.000000 USD 2023-08-22 20128.480000 N N N N/A N/A 000000000 1.000000 NC 1492.490000 0.0002643 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2562806.000000 TWD 83811.670000 USD 2023-08-22 1492.490000 N N N N/A N/A 000000000 1.000000 NC 8463.520000 0.0014990 N/A DFE CN N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 2793000.000000 CNY 393919.400000 USD 2023-08-16 8463.520000 N N N N/A N/A 000000000 1.000000 NC -172013.240000 -0.0304657 N/A DFE DK N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 77870302.220000 DKK 11240063.000000 USD 2023-07-05 -172013.240000 N N N N/A N/A 000000000 1.000000 NC 12414.980000 0.0021988 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1513897.160000 USD 5537078.850000 PEN 2023-07-03 12414.980000 N N N N/A N/A 000000000 1.000000 NC 1715.830000 0.0003039 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 394345.000000 USD 1444880.080000 PEN 2023-09-13 1715.830000 N N N N/A N/A 000000000 1.000000 NC -1618.110000 -0.0002866 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 5537078.850000 PEN 1524694.030000 USD 2023-07-03 -1618.110000 N N N N/A N/A 000000000 1.000000 NC -12480.100000 -0.0022104 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 5537078.850000 PEN 1513111.120000 USD 2023-07-10 -12480.100000 N N N ARMADA EURO CLO III DAC 3A N/A ACI1WGZB0 699698.120000 PA 746940.890000 0.1322924 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 3.897 N N N N N N N/A N/A 000000000 1.000000 NC USD 10984.700000 0.0019455 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 FORD MOTOR CREDIT COMPANY LLC FORD MOTOR CREDIT CO LLC Y Single Leg Swap 2024-12-20 7085.900000 USD 0.000000 USD 200000.000000 USD 3898.800000 N N N AROUNDTOWN SA 529900H4DWG3KWMBMQ39 BG070KII6 700000.000000 PA 540629.320000 0.0957521 Long DBT CORP LU N 2 2028-01-31 Fixed 1.625 N N N N N N AROUNDTOWN SA 529900H4DWG3KWMBMQ39 BJH8G7II2 200000.000000 PA USD 148195.030000 0.0262472 Long DBT CORP LU N 2 2029-03-21 Fixed 5.375 N N N N N N N/A N/A 000000000 1100000.000000 NC 458549.910000 0.0812148 N/A DIR DE N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased FRANCE GOVT FRANCE GOVT OAT BD N/A 97.000000 EUR 2025-05-23 XXXX 375274.050000 N N N N/A N/A 000000000 -120.000000 NC 94754.160000 0.0167821 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A FRANCE GOVT 2023-09-07 -16813214.870000 EUR 94754.160000 N N N N/A N/A 000000000 -467.000000 NC 899653.300000 0.1593397 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2023-09-07 -58964723.680000 EUR 899653.300000 N N N N/A N/A 000000000 -13.000000 NC 17860.240000 0.0031633 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2023-09-07 -1897182.740000 EUR 17860.240000 N N N N/A N/A 000000000 18.000000 NC 40050.020000 0.0070934 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2023-09-07 2741968.220000 EUR 40050.020000 N N N N/A N/A 000000000 217.000000 NC -208602.940000 -0.0369461 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2023-09-07 24827481.230000 EUR -208602.940000 N N N N/A N/A 000000000 1.000000 NC 19448.780000 0.0034446 N/A DFE NO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4623347.000000 USD 49783538.430000 NOK 2023-08-02 19448.780000 N N N N/A N/A 000000000 1.000000 NC 1184.240000 0.0002097 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 511572.270000 USD 1866727.210000 PEN 2023-08-14 1184.240000 N N N N/A N/A 000000000 1.000000 NC 4804.710000 0.0008510 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 624607.800000 USD 2297182.570000 PEN 2023-09-20 4804.710000 N N N N/A N/A 000000000 1.000000 NC -21897.230000 -0.0038783 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2613665.860000 USD 3495000.000000 SGD 2023-09-20 -21897.230000 N N N N/A N/A 000000000 1.000000 NC -20.180000 -0.0000036 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1000.000000 USD 34480.000000 THB 2023-09-20 -20.180000 N N N N/A N/A 000000000 1.000000 NC 3710.000000 0.0006571 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2051000.000000 CNY 286764.070000 USD 2023-08-16 3710.000000 N N N N/A N/A 000000000 1.000000 NC 10000.340000 0.0017712 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1926469.510000 CNY 276000.000000 USD 2023-08-22 10000.340000 N N N N/A N/A 000000000 1.000000 NC -19321.430000 -0.0034221 N/A DFE NO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 49832545.910000 NOK 4623347.000000 USD 2023-07-05 -19321.430000 N N N N/A N/A 000000000 1.000000 NC -5255.000000 -0.0009307 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2286064.550000 PEN 624607.800000 USD 2023-07-10 -5255.000000 N N N N/A N/A 000000000 1.000000 NC -1529.020000 -0.0002708 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1862634.640000 PEN 511572.270000 USD 2023-07-12 -1529.020000 N N N N/A N/A 000000000 1.000000 NC 23440.850000 0.0041517 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1019774.850000 USD 1382000.000000 CAD 2023-07-05 23440.850000 N N N N/A N/A 000000000 1.000000 NC 7715.880000 0.0013666 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1004550.590000 USD 1341000.000000 CAD 2023-07-05 7715.880000 N N N N/A N/A 000000000 1.000000 NC -4850.080000 -0.0008590 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1279807.620000 USD 1689000.000000 CAD 2023-07-05 -4850.080000 N N N N/A N/A 000000000 1.000000 NC 34117.990000 0.0060427 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1688887.350000 USD 1579000.000000 EUR 2023-07-05 34117.990000 N N N N/A N/A 000000000 1.000000 NC 39072.060000 0.0069201 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2044996.810000 USD 1641000.000000 GBP 2023-07-05 39072.060000 N N N N/A N/A 000000000 1.000000 NC 1265.160000 0.0002241 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 38689468.560000 DKK 5768166.750000 USD 2024-04-02 1265.160000 N N N N/A N/A 000000000 1.000000 NC -21570.890000 -0.0038205 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1054000.000000 EUR 1128554.270000 USD 2023-07-05 -21570.890000 N N N N/A N/A 000000000 1.000000 NC -610520.620000 -0.1081307 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 18997251.000000 GBP 23515975.120000 USD 2023-07-05 -610520.620000 N N N N/A N/A 000000000 1.000000 NC 20736.730000 0.0036727 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2389000.000000 GBP 3054765.090000 USD 2023-07-05 20736.730000 N N N N/A N/A 000000000 1.000000 NC 3103222.750000 0.5496189 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4390000000.000000 JPY 33613908.650000 USD 2023-07-24 3103222.750000 N N N N/A N/A 000000000 1.000000 NC 108753.870000 0.0192616 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 320000000.000000 JPY 2342386.660000 USD 2023-08-21 108753.870000 N N N N/A N/A 000000000 1.000000 NC 234145.480000 0.0414700 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 250006300.000000 JPY 2035419.480000 USD 2024-03-01 234145.480000 N N N N/A N/A 000000000 1.000000 NC 252165.800000 0.0446617 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 250006250.000000 JPY 2053439.430000 USD 2024-03-01 252165.800000 N N N N/A N/A 000000000 1.000000 NC 81946.090000 0.0145137 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 140000000.000000 JPY 1121974.680000 USD 2024-10-01 81946.090000 N N N N/A N/A 000000000 1.000000 NC 162815.680000 0.0288367 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 274990000.000000 JPY 2205654.700000 USD 2024-10-01 162815.680000 N N N N/A N/A 000000000 1.000000 NC 32499.470000 0.0057561 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 55010000.000000 JPY 441156.420000 USD 2024-10-01 32499.470000 N N N N/A N/A 000000000 1.000000 NC 133079.370000 0.0235700 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6026541101.000000 KRW 4725587.000000 USD 2023-09-20 133079.370000 N N N N/A N/A 000000000 1.000000 NC 3363.770000 0.0005958 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2980000.000000 NOK 280996.620000 USD 2023-07-05 3363.770000 N N N N/A N/A 000000000 1.000000 NC 426.580000 0.0000756 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 80000.000000 SGD 59606.080000 USD 2023-07-17 426.580000 N N N N/A N/A 000000000 1.000000 NC USD -81186.230000 -0.0143791 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A US SOFR COMPOUNDED INDEX Y 2024-03-20 125119.650000 USD 0.000000 USD 10500000.000000 USD -206305.880000 N N N N/A N/A 000000000 1.000000 NC USD -144.870000 -0.0000257 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A US SOFR COMPOUNDED INDEX Y 2024-03-20 36174.100000 USD 0.000000 USD 3000000.000000 USD -36318.970000 N N N N/A N/A 000000000 1.000000 NC USD -12262.280000 -0.0021718 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A US SOFR COMPOUNDED INDEX Y 2023-09-20 29106.580000 USD 0.000000 USD 3700000.000000 USD -41368.860000 N N N N/A N/A 000000000 1.000000 NC USD -24411.960000 -0.0043237 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A US SOFR COMPOUNDED INDEX Y 2023-09-20 24203.120000 USD 0.000000 USD 3130000.000000 USD -48615.080000 N N N N/A N/A 000000000 76.000000 NC 77471.990000 0.0137212 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A ITALY GOVT 2023-09-07 9629144.650000 EUR 77471.990000 N N N N/A N/A 000000000 1.000000 NC USD 3681.330000 0.0006520 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2025-06-20 0.000000 USD -7251.270000 USD 300000.000000 USD 10932.600000 N N N N/A N/A 000000000 1.000000 NC USD 7362.670000 0.0013040 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2025-06-20 0.000000 USD -14591.510000 USD 600000.000000 USD 21954.180000 N N N N/A N/A 000000000 1.000000 NC USD 7362.670000 0.0013040 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2025-06-20 0.000000 USD -14609.690000 USD 600000.000000 USD 21972.360000 N N N N/A N/A 000000000 -151.000000 NC 160337.640000 0.0283978 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A ITALY GOVT 2023-09-07 -17243311.490000 EUR 160337.640000 N N N N/A N/A 000000000 1.000000 NC 81611.250000 0.0144544 N/A DCR N/A N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 39 Y Single Leg Swap 2033-06-20 205662.330000 EUR 0.000000 EUR 8800000.000000 EUR -124051.080000 N N N N/A N/A 000000000 1.000000 NC 9441.390000 0.0016722 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 JAGUAR LAND ROVER AUTOMOTIVE PLC (AKA: JAGUAR LAND ROVER PLC) JAGUAR LAND ROVER AUTOMO Y Single Leg Swap 2026-06-20 53092.710000 EUR 0.000000 EUR 800000.000000 EUR -43651.320000 N N N N/A N/A 000000000 -1.000000 NC -4264.560000 -0.0007553 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE 3538001249AILNPRUX57 Short N/A JAPAN GOVT 2023-09-12 -1029488.200000 JPY -4264.560000 N N N N/A N/A 000000000 1.000000 NC -58849.180000 -0.0104229 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6608281.000000 USD 945050265.000000 JPY 2023-07-05 -58849.180000 N N N N/A N/A 000000000 1.000000 NC 15633.170000 0.0027688 N/A DFE IL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1427050.170000 ILS 401737.000000 USD 2023-09-20 15633.170000 N N N N/A N/A 000000000 1.000000 NC 59115.250000 0.0104700 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 941034413.000000 JPY 6608281.000000 USD 2023-08-02 59115.250000 N N N N/A N/A 000000000 1.000000 NC 191269.170000 0.0338761 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 290000000.000000 JPY 2345614.110000 USD 2024-10-01 191269.170000 N N N N/A N/A 000000000 1.000000 NC 73586.370000 0.0130331 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 125100000.000000 JPY 1002926.200000 USD 2024-10-01 73586.370000 N N N N/A N/A 000000000 1.000000 NC 73950.610000 0.0130976 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 124900000.000000 JPY 1001804.690000 USD 2024-10-01 73950.610000 N N N N/A N/A 000000000 1.000000 NC 4522.070000 0.0008009 N/A DFE SG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 264651.000000 SGD 200296.000000 USD 2023-07-17 4522.070000 N N N N/A N/A 000000000 1.000000 NC 11435.660000 0.0020254 N/A DFE SG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 666000.000000 SGD 504105.010000 USD 2023-07-17 11435.660000 N N N N/A N/A 000000000 1.000000 NC -9.550000 -0.0000017 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 844.270000 USD 12570336.000000 IDR 2023-09-20 -9.550000 N N N N/A N/A 000000000 1.000000 NC 2589.200000 0.0004586 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1638862.000000 USD 135066811.730000 INR 2023-09-20 2589.200000 N N N N/A N/A 000000000 1.000000 NC -156.890000 -0.0000278 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 223000.000000 USD 18402238.750000 INR 2023-12-20 -156.890000 N N N N/A N/A 000000000 1.000000 NC 2814.520000 0.0004985 N/A DFE PE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 318271.790000 USD 1171876.740000 PEN 2023-09-20 2814.520000 N N N N/A N/A 000000000 1.000000 NC -14921.500000 -0.0026428 N/A DFE TH N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 584730.000000 USD 20051561.160000 THB 2023-09-20 -14921.500000 N N N N/A N/A 000000000 1.000000 NC 186711.050000 0.0330688 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 27860708.050000 CNY 4031707.000000 USD 2023-08-16 186711.050000 N N N N/A N/A 000000000 1.000000 NC 703.580000 0.0001246 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 311000.000000 CNY 43624.020000 USD 2023-08-16 703.580000 N N N N/A N/A 000000000 1.000000 NC 2.750000 0.0000005 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 45288460.000000 IDR 3010.000000 USD 2023-09-22 2.750000 N N N N/A N/A 000000000 1.000000 NC 114941.580000 0.0203576 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4237531046.000000 KRW 3332702.360000 USD 2023-07-19 114941.580000 N N N N/A N/A 000000000 1.000000 NC 40277.950000 0.0071337 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1552065828.000000 KRW 1218836.050000 USD 2023-07-19 40277.950000 N N N N/A N/A 000000000 1.000000 NC 83938.100000 0.0148665 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4034535627.000000 KRW 3147554.710000 USD 2023-07-19 83938.100000 N N N N/A N/A 000000000 1.000000 NC -3207.380000 -0.0005681 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 654702.250000 USD 978000.000000 AUD 2023-07-05 -3207.380000 N N N N/A N/A 000000000 1.000000 NC -1999.190000 -0.0003541 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6288124.000000 USD 42893372.660000 DKK 2023-07-05 -1999.190000 N N N AT&T INC 549300Z40J86GGSTL398 0020A2CK6 2250000.000000 PA USD 2153906.370000 0.3814833 Long DBT CORP US N 2 2024-03-19 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -22.880000 -0.0000041 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 9147.050000 USD 136794133.000000 IDR 2023-07-03 -22.880000 N N N N/A N/A 000000000 1.000000 NC -5560.190000 -0.0009848 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 670668.000000 USD 10016091246.000000 IDR 2023-09-20 -5560.190000 N N N N/A N/A 000000000 1.000000 NC 848.940000 0.0001504 N/A DFE IN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 353694.880000 USD 29173637.940000 INR 2023-09-20 848.940000 N N N N/A N/A 000000000 1.000000 NC -7237.530000 -0.0012819 N/A DFE TH N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 266969.140000 USD 9139955.480000 THB 2023-09-20 -7237.530000 N N N N/A N/A 000000000 1.000000 NC 2173.770000 0.0003850 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 42821845.250000 DKK 6288124.000000 USD 2023-08-02 2173.770000 N N N N/A N/A 000000000 1.000000 NC -11913.280000 -0.0021100 N/A DFE GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 439000.000000 GBP 545616.420000 USD 2023-07-05 -11913.280000 N N N N/A N/A 000000000 1.000000 NC -20.340000 -0.0000036 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 136794133.000000 IDR 9103.830000 USD 2023-07-03 -20.340000 N N N N/A N/A 000000000 1.000000 NC 56.200000 0.0000100 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 136913044.000000 IDR 9147.050000 USD 2023-09-26 56.200000 N N N N/A N/A 000000000 1.000000 NC 131175.480000 0.0232328 N/A DFE KR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6772857679.000000 KRW 5292411.430000 USD 2023-09-20 131175.480000 N N N N/A N/A 000000000 1.000000 NC 107.460000 0.0000190 N/A DFE MY N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 63772.500000 MYR 13852.440000 USD 2023-07-20 107.460000 N N N N/A N/A 000000000 1.000000 NC 7163.250000 0.0012687 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 10632844.000000 TWD 348697.860000 USD 2023-08-22 7163.250000 N N N N/A N/A 000000000 1.000000 NC 29961.400000 0.0053065 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 35027346.000000 TWD 1155065.000000 USD 2023-08-22 29961.400000 N N N N/A N/A 000000000 1.000000 NC -1728.360000 -0.0003061 N/A DFE IN N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 2369000.000000 USD 195487747.900000 INR 2023-12-20 -1728.360000 N N N N/A N/A 000000000 1.000000 NC 326896.530000 0.0578974 N/A DFE CN N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 42589230.920000 CNY 6204544.000000 USD 2023-08-16 326896.530000 N N N N/A N/A 000000000 1.000000 NC 21946.290000 0.0038870 N/A DFE SG N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 2407552.180000 SGD 1807302.000000 USD 2023-09-20 21946.290000 N N N N/A N/A 000000000 1.000000 NC 10131.490000 0.0017944 N/A DFE AU N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 570077.320000 USD 870988.000000 AUD 2023-07-05 10131.490000 N N N N/A N/A 000000000 1.000000 NC 12633.990000 0.0022376 N/A DFE AU N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 682616.960000 USD 1043685.000000 AUD 2023-07-05 12633.990000 N N N N/A N/A 000000000 1.000000 NC -583660.970000 -0.1033735 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 37750917.000000 EUR 40610152.580000 USD 2023-07-05 -583660.970000 N N N N/A N/A 000000000 -132.000000 NC USD 343566.190000 0.0608498 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2024-03-19 -31233675.000000 USD 343566.190000 N N N N/A N/A 000000000 -57.000000 NC USD 20227.590000 0.0035826 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2024-09-17 -13573481.250000 USD 20227.590000 N N N N/A N/A 000000000 57.000000 NC USD -12903.660000 -0.0022854 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A 90SOFR 2024-06-18 13522537.500000 USD -12903.660000 N N N N/A N/A 000000000 -10.000000 NC USD -517.400000 -0.0000916 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Call Written CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT SOFR 90DAY CME (WHT) 03/19/24 2024-03-20 N/A USD N/A 98.000000 USD 2023-12-15 XXXX 7467.550000 N N N N/A N/A 000000000 -10.000000 NC USD -47101.530000 -0.0083423 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT SOFR 90DAY CME (WHT) 03/19/24 2024-03-20 N/A USD N/A 96.500000 USD 2023-12-15 XXXX -37616.580000 N N N N/A N/A 000000000 1.000000 NC 16311.030000 0.0028889 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 839033.790000 USD 1284012.000000 AUD 2023-07-05 16311.030000 N N N N/A N/A 000000000 1.000000 NC 3031.360000 0.0005369 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 870035.780000 USD 1309573.000000 AUD 2023-08-02 3031.360000 N N N 2023-08-17 PIMCO Variable Insurance Trust /s/ Bijal Parikh Bijal Parikh Treasurer