NPORT-P false 0001047304 XXXXXXXX S000009661 C000030983 C000026483 C000026482 PIMCO Variable Insurance Trust 811-08399 0001047304 549300KNGHUU7TTJOR56 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Real Return Portfolio S000009661 VOI6QOMEXKGNKFIHJ560 2023-12-31 2023-06-30 N 2602802395.290000 1076406937.640000 1526395457.650000 0.000000 0.000000 813389857.350000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 8992657.850000 AUD CAD EUR GBP JPY NZD USD N Bloomberg US Treasury Inflation Total Return Unhedged Index LBUTTRUU N/A N/A 000000000 1.000000 NC -40756.630000 -0.0026701 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3208381.000000 AUD 2096506.940000 USD 2023-07-05 -40756.630000 N N N N/A N/A 000000000 1.000000 NC -183.590000 -0.0000120 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 79312.000000 AUD 52692.200000 USD 2023-08-02 -183.590000 N N N N/A N/A 000000000 1.000000 NC -50453.200000 -0.0033054 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 7710821.000000 NZD 4681676.630000 USD 2023-07-05 -50453.200000 N N N N/A N/A 000000000 -52700000.000000 NC USD -60857.960000 -0.0039870 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/3.75000 09/14/23-2Y LCH 2025-09-14 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2023-09-12 XXXX 86702.040000 N N N N/A N/A 000000000 -37800000.000000 NC USD -43651.440000 -0.0028598 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/3.75000 09/14/23-2Y LCH 2025-09-14 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2023-09-12 XXXX 63628.560000 N N N N/A N/A 000000000 -90400000.000000 NC USD -386622.720000 -0.0253291 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/4.42000 09/25/23-2Y LCH 2025-09-25 0.000000 USD 0.000000 USD N/A USD N/A 4.420000 USD 2023-09-21 XXXX 127753.280000 N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAR2 120000.000000 PA USD 101301.750000 0.0066367 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N N/A N/A 000000000 -53300000.000000 NC USD -4040641.020000 -0.2647178 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 IRS USD R 2.30000 11/15/23-5Y LCH N/A N/A 2028-11-15 0.000000 USD 0.000000 USD N/A USD N/A 2.300000 USD 2023-11-13 XXXX -3337081.020000 N N N N/A N/A 000000000 10900000.000000 NC USD 2300472.250000 0.1507127 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 IRS USD R 2.28500 11/15/23-30Y LCH N/A N/A 2053-11-15 0.000000 USD 0.000000 USD N/A USD N/A 2.290000 USD 2023-11-13 XXXX 1615899.080000 N N N N/A N/A 000000000 -26200000.000000 NC USD -1932538.200000 -0.1266080 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 IRS USD R 2.34000 11/21/23-5Y LCH N/A N/A 2028-11-21 0.000000 USD 0.000000 USD N/A USD N/A 2.340000 USD 2023-11-17 XXXX -1602418.200000 N N N N/A N/A 000000000 5300000.000000 NC USD 1162843.850000 0.0761823 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.23650 11/21/23-30Y LCH N/A N/A 2053-11-21 0.000000 USD 0.000000 USD N/A USD N/A 2.240000 USD 2023-11-17 XXXX 833878.330000 N N N N/A N/A 000000000 1.000000 NC -4555203.250000 -0.2984288 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2031-03-15 0.000000 EUR -142491.830000 EUR 19800000.000000 EUR -4412711.420000 N N N N/A N/A 000000000 1.000000 NC 26964.980000 0.0017666 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2028-03-15 0.000000 EUR 0.000000 EUR 1300000.000000 EUR 26964.980000 N N N N/A N/A 000000000 1.000000 NC 125528.290000 0.0082238 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2030-08-15 0.000000 EUR 0.000000 EUR 2500000.000000 EUR 125528.290000 N N N N/A N/A 000000000 1.000000 NC -90684.170000 -0.0059411 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-05-15 0.000000 EUR 0.000000 EUR 550000.000000 EUR -90684.170000 N N N N/A N/A 000000000 1.000000 NC 135629.520000 0.0088856 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2032-07-15 0.000000 EUR 0.000000 EUR 2800000.000000 EUR 135629.520000 N N N N/A N/A 000000000 1.000000 NC -280756.680000 -0.0183934 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2037-05-15 4368.900000 EUR 0.000000 EUR 3740000.000000 EUR -285125.580000 N N N N/A N/A 000000000 1.000000 NC 6503.800000 0.0004261 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2028-03-15 0.000000 EUR 0.000000 EUR 800000.000000 EUR 6503.800000 N N N N/A N/A 000000000 1.000000 NC -25607.890000 -0.0016777 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-04-15 256.100000 EUR 0.000000 EUR 200000.000000 EUR -25863.990000 N N N N/A N/A 000000000 1.000000 NC 85017.760000 0.0055698 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2032-06-15 0.000000 EUR 0.000000 EUR 2200000.000000 EUR 85017.760000 N N N N/A N/A 000000000 1.000000 NC -105655.630000 -0.0069219 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-03-15 601.690000 EUR 0.000000 EUR 800000.000000 EUR -106257.320000 N N N N/A N/A 000000000 1.000000 NC -167234.720000 -0.0109562 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-03-15 0.000000 EUR -33907.780000 EUR 1300000.000000 EUR -133326.940000 N N N N/A N/A 000000000 1.000000 NC -113724.930000 -0.0074506 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-12-15 0.000000 EUR 0.000000 EUR 2000000.000000 EUR -113724.930000 N N N N/A N/A 000000000 1.000000 NC 275233.920000 0.0180316 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2032-05-15 26704.790000 EUR 0.000000 EUR 5300000.000000 EUR 248529.130000 N N N N/A N/A 000000000 1.000000 NC -12339.750000 -0.0008084 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2053-04-15 12030.780000 EUR 0.000000 EUR 1800000.000000 EUR -24370.530000 N N N N/A N/A 000000000 1.000000 NC 117073.040000 0.0076699 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2032-06-15 0.000000 EUR -29567.470000 EUR 5200000.000000 EUR 146640.510000 N N N N/A N/A 000000000 1.000000 NC 68636.650000 0.0044966 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2027-05-15 963.620000 EUR 0.000000 EUR 1900000.000000 EUR 67673.030000 N N N N/A N/A 000000000 1.000000 NC 34846.560000 0.0022829 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2027-05-15 0.000000 EUR 0.000000 EUR 1200000.000000 EUR 34846.560000 N N N N/A N/A 000000000 1.000000 NC -32076.740000 -0.0021015 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2024-09-15 0.000000 EUR -6265.400000 EUR 2400000.000000 EUR -25811.340000 N N N N/A N/A 000000000 1.000000 NC USD -1866372.670000 -0.1222732 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2029-11-04 0.000000 USD -11273.740000 USD 12300000.000000 USD -1855098.930000 N N N N/A N/A 000000000 1.000000 NC USD 1010262.930000 0.0661862 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2027-08-25 0.000000 USD 0.000000 USD 7000000.000000 USD 1010262.930000 N N N N/A N/A 000000000 1.000000 NC USD 979313.180000 0.0641585 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2027-08-27 0.000000 USD 0.000000 USD 7100000.000000 USD 979313.180000 N N N N/A N/A 000000000 1.000000 NC USD -856801.070000 -0.0561323 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2029-06-03 0.000000 USD 0.000000 USD 6450000.000000 USD -856801.070000 N N N N/A N/A 000000000 1.000000 NC USD -2546061.550000 -0.1668022 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2029-07-25 0.000000 USD 0.000000 USD 20100000.000000 USD -2546061.550000 N N N N/A N/A 000000000 1.000000 NC USD -2051914.890000 -0.1344288 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2029-04-16 0.000000 USD 0.000000 USD 18000000.000000 USD -2051914.890000 N N N N/A N/A 000000000 1.000000 NC USD 2352850.740000 0.1541442 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2031-02-24 470.310000 USD 0.000000 USD 21800000.000000 USD 2352380.430000 N N N N/A N/A 000000000 1.000000 NC USD 266399.660000 0.0174529 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-02-26 0.000000 USD 0.000000 USD 2700000.000000 USD 266399.660000 N N N N/A N/A 000000000 1.000000 NC USD -313851.030000 -0.0205616 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2028-07-09 0.000000 USD -2127.500000 USD 3700000.000000 USD -311723.530000 N N N N/A N/A 000000000 1.000000 NC USD 954354.840000 0.0625234 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-03-05 0.000000 USD 0.000000 USD 10200000.000000 USD 954354.840000 N N N N/A N/A 000000000 1.000000 NC USD 49352.110000 0.0032332 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2028-08-26 0.000000 USD 0.000000 USD 800000.000000 USD 49352.110000 N N N N/A N/A 000000000 1.000000 NC USD 102921.600000 0.0067428 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2028-09-10 0.000000 USD 0.000000 USD 1900000.000000 USD 102921.600000 N N N N/A N/A 000000000 1.000000 NC USD 29955.750000 0.0019625 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-06-01 0.000000 USD 0.000000 USD 400000.000000 USD 29955.750000 N N N N/A N/A 000000000 1.000000 NC USD 448808.770000 0.0294032 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-05-25 0.000000 USD 0.000000 USD 5980000.000000 USD 448808.770000 N N N N/A N/A 000000000 1.000000 NC USD 561799.500000 0.0368056 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-05-13 0.000000 USD 0.000000 USD 7700000.000000 USD 561799.500000 N N N N/A N/A 000000000 1.000000 NC USD 233079.730000 0.0152699 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-05-14 0.000000 USD 0.000000 USD 3300000.000000 USD 233079.730000 N N N BABSON CLO LTD 2016-2A N/A 06761CAL3 2100000.000000 PA USD 2073546.070000 0.1358459 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 -1484497.010000 -0.0972551 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 3 Month ACT/360 Y 2023-11-21 0.000000 EUR 0.000000 EUR 58000000.000000 EUR -1484497.010000 N N N N/A N/A 000000000 1.000000 NC 2811884.430000 0.1842173 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2052-11-04 334288.580000 EUR 0.000000 EUR 5400000.000000 EUR 2477595.850000 N N N N/A N/A 000000000 1.000000 NC 2909698.120000 0.1906254 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2052-11-04 3503.580000 EUR 0.000000 EUR 5600000.000000 EUR 2906194.540000 N N N N/A N/A 000000000 1.000000 NC 5137515.560000 0.3365783 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2052-11-08 615726.190000 EUR 0.000000 EUR 9900000.000000 EUR 4521789.370000 N N N N/A N/A 000000000 1.000000 NC -9680.170000 -0.0006342 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 -694.240000 EUR 200000.000000 EUR -8985.930000 N N N N/A N/A 000000000 1.000000 NC -670944.490000 -0.0439561 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 -32617.490000 EUR 6000000.000000 EUR -638327.000000 N N N N/A N/A 000000000 1.000000 NC -324318.820000 -0.0212474 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 -21870.240000 EUR 2900000.000000 EUR -302448.580000 N N N N/A N/A 000000000 1.000000 NC -285747.540000 -0.0187204 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 -12754.750000 EUR 2600000.000000 EUR -272992.790000 N N N N/A N/A 000000000 1.000000 NC -556287.320000 -0.0364445 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 -20799.320000 EUR 5700000.000000 EUR -535488.000000 N N N N/A N/A 000000000 1.000000 NC -244111.030000 -0.0159926 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 -9361.350000 EUR 2500000.000000 EUR -234749.680000 N N N N/A N/A 000000000 1.000000 NC 17127.230000 0.0011221 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2053-09-20 91508.360000 EUR 0.000000 EUR 5900000.000000 EUR -74381.130000 N N N N/A N/A 000000000 1.000000 NC -230305.050000 -0.0150882 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2032-08-15 0.000000 EUR 0.000000 EUR 18600000.000000 EUR -230305.050000 N N N N/A N/A 000000000 1.000000 NC 98337.180000 0.0064424 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-09-20 69425.910000 EUR 0.000000 EUR 60300000.000000 EUR 28911.270000 N N N N/A N/A 000000000 1.000000 NC -1086.970000 -0.0000712 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2028-03-20 0.000000 JPY -2259.040000 JPY 118480000.000000 JPY 1172.070000 N N N N/A N/A 000000000 1.000000 NC -6916.180000 -0.0004531 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2027-09-20 0.000000 JPY -7239.220000 JPY 400000000.000000 JPY 323.040000 N N N N/A N/A 000000000 1.000000 NC -81717.080000 -0.0053536 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2031-12-15 70882.020000 JPY 0.000000 JPY 3581000000.000000 JPY -152599.100000 N N N BANC OF AMERICA FUNDING CORP 2006-A N/A 058927AA2 75192.080000 PA USD 70728.790000 0.0046337 Long ABS-MBS CORP US N 2 2036-02-20 Floating 4.4488 N N N N N N N/A N/A 000000000 1.000000 NC USD 948608.550000 0.0621470 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-02-13 461726.300000 USD 0.000000 USD 22300000.000000 USD 486882.250000 N N N N/A N/A 000000000 1.000000 NC USD -1283148.560000 -0.0840640 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-13 0.000000 USD -386066.850000 USD 49900000.000000 USD -897081.710000 N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 71816.010000 PA USD 66637.700000 0.0043657 Long ABS-MBS CORP US N 2 2047-01-20 Floating 4.41632 Y N N N N N N/A N/A 000000000 1.000000 NC USD 95493.840000 0.0062562 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-12-20 0.000000 USD -209402.290000 USD 50800000.000000 USD 304896.130000 N N N N/A N/A 000000000 1.000000 NC USD 1271764.620000 0.0833182 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-11-15 0.000000 USD -1878.370000 USD 13300000.000000 USD 1273642.990000 N N N N/A N/A 000000000 1.000000 NC USD -423169.500000 -0.0277235 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-21 534.740000 USD 0.000000 USD 1500000.000000 USD -423704.240000 N N N N/A N/A 000000000 1.000000 NC USD 685459.440000 0.0449071 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-11-21 0.000000 USD -1492.010000 USD 7200000.000000 USD 686951.450000 N N N N/A N/A 000000000 1.000000 NC USD -746331.320000 -0.0488950 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-15 805.880000 USD 0.000000 USD 2800000.000000 USD -747137.200000 N N N N/A N/A 000000000 1.000000 NC 551.490000 0.0000361 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 64468.100000 USD 97605.000000 AUD 2023-07-05 551.490000 N N N N/A N/A 000000000 1.000000 NC -8908.240000 -0.0005836 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 4291340.000000 USD 5673151.480000 CAD 2023-07-05 -8908.240000 N N N N/A N/A 000000000 1.000000 NC 2361.530000 0.0001547 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1276910.200000 USD 1694715.220000 CAD 2023-07-05 2361.530000 N N N N/A N/A 000000000 1.000000 NC -3747.970000 -0.0002455 N/A DFE GB N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 6796974.300000 USD 5349000.000000 GBP 2023-07-05 -3747.970000 N N N N/A N/A 000000000 1.000000 NC -27895.200000 -0.0018275 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 13644535.620000 USD 1964813129.000000 JPY 2023-07-05 -27895.200000 N N N N/A N/A 000000000 1.000000 NC 44160.460000 0.0028931 N/A DFE NZ N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 5722229.160000 USD 9396107.000000 NZD 2023-07-05 44160.460000 N N N N/A N/A 000000000 1.000000 NC -15720.530000 -0.0010299 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1299198.000000 AUD 849740.450000 USD 2023-07-05 -15720.530000 N N N N/A N/A 000000000 1.000000 NC -550.770000 -0.0000361 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 97605.000000 AUD 64520.610000 USD 2023-08-02 -550.770000 N N N N/A N/A 000000000 1.000000 NC 8874.400000 0.0005814 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 5670898.530000 CAD 4291340.000000 USD 2023-08-02 8874.400000 N N N N/A N/A 000000000 1.000000 NC -2372.660000 -0.0001554 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1694043.560000 CAD 1276910.200000 USD 2023-08-02 -2372.660000 N N N N/A N/A 000000000 1.000000 NC 3868.150000 0.0002534 N/A DFE GB N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 5349000.000000 GBP 6798455.970000 USD 2023-08-02 3868.150000 N N N N/A N/A 000000000 1.000000 NC 28333.780000 0.0018563 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1956480411.000000 JPY 13644535.620000 USD 2023-08-02 28333.780000 N N N N/A N/A 000000000 1.000000 NC -44084.560000 -0.0028881 N/A DFE NZ N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 9396107.000000 NZD 5721637.210000 USD 2023-08-02 -44084.560000 N N N N/A N/A 000000000 1.000000 NC 218.860000 0.0000143 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 31133.500000 USD 47065.000000 AUD 2023-07-05 218.860000 N N N N/A N/A 000000000 1.000000 NC -3420.040000 -0.0002241 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 297390.000000 AUD 194686.360000 USD 2023-07-05 -3420.040000 N N N N/A N/A 000000000 1.000000 NC -218.650000 -0.0000143 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 47065.000000 AUD 31158.680000 USD 2023-08-02 -218.650000 N N N N/A N/A 000000000 1.000000 NC USD -698383.990000 -0.0457538 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 25000000.000000 USD -698383.990000 N N N N/A N/A 000000000 1.000000 NC USD -93524.510000 -0.0061271 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 30000000.000000 USD -93524.510000 N N N N/A N/A 000000000 1.000000 NC USD -84680.070000 -0.0055477 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 20000000.000000 USD -84680.070000 N N N N/A N/A 000000000 1.000000 NC USD -305751.920000 -0.0200310 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 20000000.000000 USD -305751.920000 N N N N/A N/A 000000000 1.000000 NC USD -508052.540000 -0.0332845 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 20000000.000000 USD -508052.540000 N N N N/A N/A 000000000 1.000000 NC USD -222630.740000 -0.0145854 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 25000000.000000 USD -222630.740000 N N N N/A N/A 000000000 1.000000 NC USD -410178.490000 -0.0268724 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 25000000.000000 USD -410178.490000 N N N N/A N/A 000000000 1.000000 NC USD -1389151.640000 -0.0910086 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 50000000.000000 USD -1389151.640000 N N N N/A N/A 000000000 1.000000 NC USD -113273.690000 -0.0074210 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 5000000.000000 USD -113273.690000 N N N N/A N/A 000000000 1.000000 NC USD -519735.150000 -0.0340498 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-06 0.000000 USD 0.000000 USD 50000000.000000 USD -519735.150000 N N N N/A N/A 000000000 1.000000 NC USD -250386.540000 -0.0164038 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-06 0.000000 USD 0.000000 USD 25000000.000000 USD -250386.540000 N N N N/A N/A 000000000 1.000000 NC USD -130455.610000 -0.0085466 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-06 0.000000 USD 0.000000 USD 20000000.000000 USD -130455.610000 N N N N/A N/A 000000000 1.000000 NC USD -362505.920000 -0.0237491 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-06 0.000000 USD 0.000000 USD 50000000.000000 USD -362505.920000 N N N N/A N/A 000000000 1.000000 NC USD -314156.430000 -0.0205816 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-06 0.000000 USD 0.000000 USD 50000000.000000 USD -314156.430000 N N N N/A N/A 000000000 -236.000000 NC USD -262712.840000 -0.0172113 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 113.000000 USD 2023-07-21 XXXX -96132.240000 N N N N/A N/A 000000000 -1392.000000 NC USD 2658856.690000 0.1741919 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-09-20 -156328125.700000 USD 2658856.690000 N N N N/A N/A 000000000 569.000000 NC USD -802368.100000 -0.0525662 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-09-20 67439836.220000 USD -802368.100000 N N N N/A N/A 000000000 -468.000000 NC USD 765972.720000 0.0501818 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-09-29 -95184984.020000 USD 765972.720000 N N N N/A N/A 000000000 565.000000 NC USD -1124124.560000 -0.0736457 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-09-29 60532246.240000 USD -1124124.560000 N N N N/A N/A 000000000 -538.000000 NC USD -43778.330000 -0.0028681 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-09-20 -68401656.250000 USD -43778.330000 N N N N/A N/A 000000000 5.000000 NC USD 8195.280000 0.0005369 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-09-20 683046.880000 USD 8195.280000 N N N BANK OF AMERICA MTG SEC 2005-3 N/A 05949A6C9 13389.570000 PA USD 11348.750000 0.0007435 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.5959 Y N N N N N BANK OF AMERICA MTGE SECS-2006-A N/A 05949CRS7 75351.190000 PA USD 68143.430000 0.0044643 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.89596 Y N N N N N BASTILLE FUNDING 20-3A N/A ACI1S2JN8 500000.000000 PA 531550.970000 0.0348239 Long ABS-CBDO CORP IE N 2 2034-01-15 Floating 4.327 N N N N N N BDS 2022-FL11 LLC N/A 054980AA5 1600000.000000 PA USD 1582480.000000 0.1036743 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 6.87629 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2005-9 N/A 07387AEG6 117681.050000 PA USD 111764.720000 0.0073221 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.23 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-2 N/A 07388DAS7 102385.700000 PA USD 90675.000000 0.0059405 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.22243 Y N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4E9 64594.840000 PA USD 60106.300000 0.0039378 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.03268 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-1 N/A 07387AAB1 94189.770000 PA USD 86222.900000 0.0056488 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.04204 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AGE9 20747.480000 PA USD 18659.230000 0.0012224 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.52395 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 560407.960000 PA USD 348598.020000 0.0228380 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.20184 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-2 N/A 07386HF71 187162.690000 PA USD 143442.120000 0.0093974 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.8273 Y N N N N N BENEFIT STREET PARTNERS CLO XII LTD 2017-12A N/A 08179HAE0 755024.120000 PA USD 748939.950000 0.0490659 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.21029 N N N N N N BGCLO 19A N/A 09075JAL3 800000.000000 PA USD 793037.470000 0.0519549 Long ABS-CBDO CORP KY N 2 2031-06-15 Floating 6.682 N N N N N N BLACK DIAMOND CLO 2019-1 DAC 19-1A N/A ACI20P3Q5 400000.000000 PA 427052.170000 0.0279778 Long ABS-CBDO CORP IE N 2 2032-05-15 Floating 4.303 N N N N N N BLACKROCK EUROPEAN CLO IX DAC 9A N/A ACI1G0FC3 700000.000000 PA 744154.780000 0.0487524 Long ABS-CBDO CORP IE N 2 2032-12-15 Floating 4.426 N N N N N N BLUEMOUNTAIN FUJI EUR CLO III DAC 3A N/A ACI1XNPD1 298251.140000 PA 318877.620000 0.0208909 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 3.897 N N N N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 300000.000000 PA 320870.290000 0.0210214 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.957 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087VS0 6696597.600000 PA 5447534.210000 0.3568888 Long DBT NUSS CA N 2 2026-12-01 Fixed 4.25 N N N N N N CAPITAL FOUR US CLO 2022-1A N/A 14016CAA4 954670.530000 PA USD 957697.630000 0.0627424 Long ABS-CBDO CORP JE N 2 2030-10-20 Floating 7.18845 N N N N N N CARLYLE EURO CLO 2017-2 DAC 17-2A N/A ACI1VWGV3 543305.400000 PA 579604.720000 0.0379721 Long ABS-CBDO CORP IE N 2 2030-08-15 Floating 3.953 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2012-4A N/A 14309YBQ6 300000.000000 PA USD 296625.000000 0.0194330 Long ABS-CBDO CORP KY N 2 2032-04-22 Floating 6.35271 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2013-1A N/A 14310BAU5 1638182.270000 PA USD 1627474.550000 0.1066221 Long ABS-CBDO CORP KY N 2 2030-08-14 Floating 6.27071 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A N/A ACI1XGH29 700000.000000 PA 749437.800000 0.0490985 Long ABS-CBDO CORP IE N 2 2031-11-15 Floating 4.073 N N N N N N CARLYLE US CLO LTD 2017-1A N/A 14314BAL1 2500000.000000 PA USD 2468941.380000 0.1617498 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.25043 N N N N N N CARLYLE US CLO LTD 2017-4 N/A 14315BAA4 494352.730000 PA USD 490181.240000 0.0321136 Long ABS-CBDO CORP KY N 2 2030-01-15 Floating 6.44029 N N N N N N CATAMARAN CLO LTD 2014-1A N/A 14889DAJ7 1323106.570000 PA USD 1315194.390000 0.0861634 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 6.37271 N N N N N N CBAM LTD 2017-1A N/A 12480VAC9 559251.760000 PA USD 557163.860000 0.0365019 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 6.50043 N N N N N N CEDAR FUNDING V CLO LTD 2016-5A N/A 15032AAN7 600000.000000 PA USD 594982.360000 0.0389796 Long ABS-CBDO CORP KY N 2 2031-07-17 Floating 6.36029 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AQ1 7867.450000 PA USD 7454.010000 0.0004883 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.72491 N N N N N N CHASEFLEX TRUST 2007-1 N/A 16165VAJ7 286294.130000 PA USD 113796.960000 0.0074553 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N CHEVY CHASE MTGE FUNDING CORP 2004-1A N/A 16678RAS6 1603.640000 PA USD 1511.090000 0.0000990 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.43043 N N N N N N CIFC EUROPEAN FUNDING CLO 3A N/A ACI27MSP0 1000000.000000 PA 1070336.480000 0.0701218 Long ABS-CBDO CORP IE N 2 2034-01-15 Floating 4.227 N N N N N N CIFC FUNDING LTD 2017-1A N/A 12551AAL9 399849.740000 PA USD 397341.050000 0.0260313 Long ABS-CBDO CORP KY N 2 2029-04-23 Floating 6.27143 N N N N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 2760818.140000 PA USD 2741548.180000 0.1796093 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 6.22271 N N N N N N CIFC FUNDING LTD 2018-1A N/A 12551RAA6 500000.000000 PA USD 495832.770000 0.0324839 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 6.26171 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAA0 43595.440000 PA USD 43518.160000 0.0028510 Long ABS-MBS CORP US N 2 2037-10-25 Floating 6.50043 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAF9 3400000.000000 PA USD 3309971.060000 0.2168489 Long ABS-MBS CORP US N 2 2037-10-25 Floating 6.65043 N N N N N N CITIGROUP MORTGAGE LOAN TR 2004-NCM2 N/A 17307GGX0 26598.220000 PA USD 23709.910000 0.0015533 Long ABS-MBS CORP US N 2 2034-08-25 Fixed 5.5 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR1 N/A 17307G3C0 120608.060000 PA USD 111277.160000 0.0072902 Long ABS-MBS CORP US N 2 2036-03-25 Floating 6.38 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 213239.550000 PA USD 187249.830000 0.0122675 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.97438 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAA3 80580.200000 PA USD 59095.150000 0.0038715 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.23043 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AR4 N/A 17311WAA5 923906.390000 PA USD 799555.610000 0.0523819 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.00072 Y N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 2093.940000 PA USD 2037.340000 0.0001335 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.98 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXR4 1627.690000 PA USD 1603.930000 0.0001051 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.43 N N N N N N CONTEGO CLO IV DAC 4A N/A ACI25QZ00 797882.800000 PA 853411.110000 0.0559102 Long ABS-CBDO CORP IE N 2 2030-01-23 Floating 3.851 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-61 N/A 12668AVP7 15578.330000 PA USD 14073.420000 0.0009220 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.71043 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-62 N/A 12668ATT2 31590.530000 PA USD 26607.250000 0.0017431 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.9762 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19 N/A 12668RAA6 210429.550000 PA USD 164175.870000 0.0107558 Long ABS-MBS CORP US N 2 2047-02-20 Floating 5.33657 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1 N/A 23246KAA9 2591730.470000 PA USD 1038906.300000 0.0680627 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 1226025.570000 PA USD 1146896.900000 0.0751376 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.53043 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7 N/A 126680AA5 54266.500000 PA USD 46787.590000 0.0030652 Long ABS-MBS CORP US N 2 2047-05-25 Floating 5.51043 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB N/A 02148FBX2 253737.100000 PA USD 216715.790000 0.0141979 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AA9 119734.200000 PA USD 113937.890000 0.0074645 Long ABS-MBS CORP US N 2 2047-08-25 Floating 5.89043 N N N N N N COUNTRYWIDE ASSET-BACKED CERTI 2006-19 N/A 12667CAD4 1132999.550000 PA USD 1068408.150000 0.0699955 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.65043 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8 N/A 12669WAA4 2482778.770000 PA USD 2282144.180000 0.1495120 Long ABS-MBS CORP US N 2 2037-11-25 Floating 5.34043 N N N N N N COUNTRYWIDE HOME LOANS 2005-19 N/A 126694AF5 20279.890000 PA USD 14804.260000 0.0009699 Long ABS-MBS CORP US N 3 2035-08-25 Fixed 5.5 Y N N N N N COUNTRYWIDE HOME LOANS 2005-HYB6 N/A 126694BH0 643602.400000 PA USD 607329.550000 0.0397885 Long ABS-MBS CORP US N 2 2035-10-20 Floating 3.85083 N N N N N N COUNTRYWIDE HOME LOANS 2006-6 N/A 126694K64 244015.250000 PA USD 132012.640000 0.0086487 Long ABS-MBS CORP US N 2 2036-04-25 Fixed 6 N N N N N N COUNTRYWIDE HOME LOANS 2006-HYB3 N/A 1266944F2 44326.390000 PA USD 40800.860000 0.0026730 Long ABS-MBS CORP US N 2 2036-05-20 Floating 3.57347 Y N N N N N COUNTRYWIDE HOME LOANS 2007-1 N/A 170255AA1 803052.640000 PA USD 405668.390000 0.0265769 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N CQS US CLO 2022-2A LTD N/A 12664BAA5 1937327.860000 PA USD 1949755.510000 0.1277359 Long ABS-CBDO CORP JE N 2 2031-07-20 Floating 7.69845 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A 12465MAA2 48753.410000 PA USD 22916.190000 0.0015013 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.27043 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB6 N/A 1248RHAC1 649430.220000 PA USD 428708.180000 0.0280863 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.37043 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-4R N/A 12639QAA4 99194.510000 PA USD 83977.360000 0.0055017 Long ABS-MBS CORP US N 2 2036-10-26 Fixed 5.42767 N N N N N N CREDIT-BASED ASSET SERVC SEC 2005-CB3 N/A 12489WLH5 386000.000000 PA USD 365878.510000 0.0239701 Long ABS-MBS CORP US N 2 2035-06-25 Floating 6.20043 N N N N N N CRESTLINE DENALI CLO XIV LTD 2016-1A N/A 22615MAW2 498220.620000 PA USD 492026.720000 0.0322346 Long ABS-CBDO CORP KY N 2 2031-10-23 Floating 6.41271 N N N N N N CRESTLINE DENALI CLO XV 2017-1A N/A 22616CAJ2 585660.430000 PA USD 580543.300000 0.0380336 Long ABS-CBDO CORP KY N 2 2030-04-20 Floating 6.28043 N N N N N N DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4 N/A 251513AR8 4972.350000 PA USD 3761.820000 0.0002465 Long ABS-MBS CORP US N 3 2036-10-25 Floating 5.25043 Y N N N N N DRYDEN 44 EURO CLO 2015 BV 15-44A N/A ACI1VYV26 2194000.000000 PA 2322814.450000 0.1521765 Long ABS-CBDO CORP IE N 2 2034-04-15 Floating 4.057 N N N N N N DRYDEN 52 EURO CLO 2017 17-52A N/A ACI1YL2T4 300000.000000 PA 320342.780000 0.0209869 Long ABS-CBDO CORP IE N 2 2034-05-15 Floating 4.183 N N N N N N DRYDEN 60 CLO LTD N/A 26251NAB6 1700000.000000 PA USD 1687320.480000 0.1105428 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.31029 N N N N N N DRYDEN CLO LTD 2018-64A N/A 26251LAC8 600000.000000 PA USD 594300.000000 0.0389349 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 6.23171 N N N N N N ELLINGTON LOAN ACQUISITION TRUST 2007-1 N/A 288542AA1 289973.640000 PA USD 277702.040000 0.0181933 Long ABS-MBS CORP US N 2 2037-05-25 Floating 6.25043 N N N N N N EUROSAIL PLC 2007-3X N/A ACI01JMT5 658666.280000 PA 828305.120000 0.0542654 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 5.70851 N N N N N N EUROSAIL PLC 2007-3X N/A B23DWGII5 258256.500000 PA 324049.750000 0.0212297 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 5.70851 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040WAD0 100000.000000 PA USD 96287.960000 0.0063082 Long DBT CORP US N 2 2024-10-01 Fixed 2.9 N N N N N N FANNIE MAE 2004-63 N/A 31394ANT9 3147.360000 PA USD 3094.510000 0.0002027 Long ABS-MBS USGSE US N 2 2034-08-25 Floating 5.288 N N N N N N FANNIE MAE 2006-118 N/A 31396L4T4 10845.360000 PA USD 10523.550000 0.0006894 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 5.5236 N N N N N N FANNIE MAE 2006-30 N/A 31395B6R9 4696.570000 PA USD 4623.940000 0.0003029 Long ABS-MBS USGSE US N 2 2036-05-25 Floating 5.59043 N N N N N N FANNIE MAE 2006-5 N/A 31394VL73 70084.080000 PA USD 71309.210000 0.0046717 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 4.08199 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 2501.680000 PA USD 2450.340000 0.0001605 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 5.50043 N N N N N N FANNIEMAE WHOLE LOAN 2003-W-8 N/A 31393CX40 21689.890000 PA USD 21494.530000 0.0014082 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 5.50043 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCVN1 17954.700000 PA USD 17616.540000 0.0011541 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 4.126 N N N N N N FHLMC PASS THRU POOLS N/A 31336CLR2 11970.280000 PA USD 11926.590000 0.0007814 Long ABS-MBS USGSE US N 2 2034-01-01 Floating 4.35 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 252865.070000 PA USD 243639.770000 0.0159618 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 5.1762 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-32 N/A 3133TSQG1 14227.450000 PA USD 14266.160000 0.0009346 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 5.28043 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-62 N/A 31395HHV5 814472.240000 PA USD 748771.040000 0.0490549 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 5.1762 N N N N N N FIDELITY GRAND HARBOUR CLO 2019-1 DAC 19-1A N/A ACI280L41 700000.000000 PA 750843.120000 0.0491906 Long ABS-CBDO CORP IE N 2 2032-03-15 Floating 4.726 N N N N N N FIRST FRANKLIN MTG LOAN 2005-FF12 N/A 32027NXX4 2044769.010000 PA USD 1952350.970000 0.1279060 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.85543 N N N N N N FIRST HORIZON ALT MTG SEC 2006-FA8 N/A 32052DAG6 268696.630000 PA USD 116207.670000 0.0076132 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N FIRST HORIZON ALT MTGE SEC 2004-AA1 N/A 32051D3G5 63978.210000 PA USD 60128.940000 0.0039393 Long ABS-MBS CORP US N 2 2034-06-25 Fixed 6.22679 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR3 N/A 32051GQL2 88165.690000 PA USD 62992.900000 0.0041269 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.71505 Y N N N N N FNMA PASS THRU POOLS N/A 31405PRS1 2108.340000 PA USD 2038.700000 0.0001336 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 5.177 N N N N N N FNMA PASS THRU POOLS N/A 31405YPX3 7499.240000 PA USD 7249.740000 0.0004750 Long ABS-MBS USGSE US N 2 2044-09-01 Floating 5.177 N N N N N N FNMA PASS THRU POOLS N/A 31406RHY4 12289.770000 PA USD 12012.020000 0.0007870 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 4.038 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 2982708.650000 PA USD 29000876.170000 1.8999582 Long STIV RF US N 1 N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1N4959 14716674.000000 PA 15738626.440000 1.0310976 Long DBT NUSS FR N 2 2026-03-01 Fixed 0.1 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1VB392 2456580.000000 PA 2606340.930000 0.1707514 Long DBT NUSS FR N 2 2031-07-25 Fixed 0.1 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI25Z7H4 5513184.000000 PA 5604434.510000 0.3671679 Long DBT NUSS FR N 2 2038-07-25 Fixed 0.1 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI04Z888 8839145.000000 PA 9555866.330000 0.6260413 Long DBT NUSS FR N 2 2024-07-25 Fixed 0.25 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KBX1 N/A 3137F4CZ3 100000.000000 PA USD 95727.260000 0.0062715 Long ABS-MBS USGSE US N 2 2026-01-25 Fixed 2.92 N N N N N N FREDDIE MAC REMICS 4687 N/A 3137BY3C2 771926.860000 PA USD 742898.940000 0.0486701 Long ABS-MBS USGSE US N 2 2047-01-15 Floating 5.54329 N N N N N N FREDDIE MAC REMICS 4779 N/A 3137F4BX9 891548.020000 PA USD 859861.070000 0.0563328 Long ABS-MBS USGSE US N 2 2044-07-15 Floating 4.40112 N N N N N N FREDDIE MAC STRIPS 278 N/A 3132HTBH8 1389322.740000 PA USD 1349069.270000 0.0883827 Long ABS-MBS USGSE US N 2 2042-09-15 Floating 5.64329 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAA0 653238.530000 PA USD 575324.680000 0.0376917 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.28543 N N N N N N GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A N/A 36361UAL4 500000.000000 PA USD 490407.360000 0.0321285 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.35029 N N N N N N GOLDENTREE LOAN MANAGEMENT US CLO 2 LTD 2017-2A N/A 38136MAU2 500000.000000 PA USD 497065.250000 0.0325646 Long ABS-CBDO CORP KY N 2 2030-11-20 Floating 6.16043 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10 N/A 38375UZZ6 1391412.720000 PA USD 1384039.210000 0.0906737 Long ABS-MBS USGSE US N 2 2067-04-20 Floating 6.464 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15 N/A 38380LJY0 1745408.520000 PA USD 1700063.160000 0.1113776 Long ABS-MBS USGSE US N 2 2068-08-20 Floating 3.85771 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H22 N/A 38382YB36 2216468.080000 PA USD 2196019.830000 0.1438697 Long ABS-MBS USGSE US N 2 2072-10-20 Floating 5.96629 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11 N/A 38382Y5C3 600000.000000 PA USD 600594.300000 0.0393472 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 6.16629 N N N N N N GREAT HALL MORTGAGES PLC 2006-1 N/A 991XUKII4 17249.040000 PA 21741.550000 0.0014244 Long ABS-MBS CORP GB N 2 2038-06-18 Floating 4.96513 N N N N N N GREAT HALL MORTGAGES PLC 2007-1 N/A B1S83ZII1 24275.040000 PA 30573.390000 0.0020030 Long ABS-MBS CORP GB N 2 2039-03-18 Floating 4.94513 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR1 N/A 39538RAB5 93887.170000 PA USD 87547.200000 0.0057356 Long ABS-MBS CORP US N 2 2045-06-25 Floating 5.59043 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR5 N/A 39538WEA2 53193.780000 PA USD 46937.690000 0.0030751 Long ABS-MBS CORP US N 2 2045-11-25 Floating 5.69043 N N N N N N GREENPOINT MTGE FUUNDING TRUST 2006-AR4 N/A 39539FAK0 192933.180000 PA USD 173311.820000 0.0113543 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.51043 N N N N N N GSAA HOME EQUITY TRUST 2006-7 N/A 362334ND2 240416.910000 PA USD 137792.190000 0.0090273 Long ABS-MBS CORP US N 2 2046-03-25 Variable 6.72 N N N N N N GSAMP TRUST 2005-HE2 N/A 36242DA60 35095.110000 PA USD 31278.570000 0.0020492 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.12543 Y N N N N N GSAMP TRUST 2005-WMC1 N/A 362341PU7 31440.860000 PA USD 30420.500000 0.0019930 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.88543 Y N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAB7 63349.510000 PA USD 31077.930000 0.0020360 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.22043 N N N N N N GSR MORTGAGE LOAN TRUST 2004-12 N/A 36242DLF8 68100.000000 PA USD 59571.600000 0.0039028 Long ABS-MBS CORP US N 3 2034-12-25 Floating 3.96728 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR1 N/A 36242DUL5 30321.590000 PA USD 27971.410000 0.0018325 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.36647 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR4 N/A 362341FR5 53751.910000 PA USD 50175.280000 0.0032872 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.65954 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 55408.560000 PA USD 52429.950000 0.0034349 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.07002 N N N N N N HALSEYPOINT CLO 3 LTD 2020-3A N/A 40638UAA7 600000.000000 PA USD 594990.120000 0.0389801 Long ABS-CBDO CORP KY N 2 2032-11-30 Floating 6.74914 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-13 N/A 41161PWB5 72256.920000 PA USD 37681.370000 0.0024687 Long ABS-MBS CORP US N 2 2036-02-19 Floating 5.71657 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 25661.060000 PA USD 23490.780000 0.0015390 Long ABS-MBS CORP US N 2 2035-05-19 Floating 5.59657 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-9 N/A 41161PSK0 38021.320000 PA USD 34658.780000 0.0022706 Long ABS-MBS CORP US N 2 2035-06-20 Floating 5.83657 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2007-5 N/A 41165AAB8 33012.420000 PA USD 28926.480000 0.0018951 Long ABS-MBS CORP US N 2 2037-09-19 Floating 5.34657 N N N N N N HARVEST CLO XVIII DAC 8A N/A ACI278F26 851363.550000 PA 915319.820000 0.0599661 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 3.907 N N N N N N HARVEST CLO XXI DAC 21A N/A ACI1WSV44 1400000.000000 PA 1490952.140000 0.0976780 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 3.937 N N N N N N HILTON WORLDWIDE FINANCE LLC 549300406TN7EY0NPH20 43289DAH6 76682.130000 PA USD 76709.350000 0.0050255 Long LON CORP US N 2 2026-06-22 Floating 6.9392 N N N N N N HOME EQUITY PASS-THRU CERTS 2005-8 N/A 437084QA7 1491337.600000 PA USD 1433326.210000 0.0939027 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.88343 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE1 N/A 44328AAB6 4056.180000 PA USD 1633.340000 0.0001070 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.25043 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 1220000.000000 NS USD 1115799.800000 0.0731003 Long EP CORP US N 2 N N N INDYMAC INDA MORTGAGE LOAN TR 2005-AR1 N/A 45660LZK8 22829.320000 PA USD 21948.760000 0.0014379 Long ABS-MBS CORP US N 3 2035-11-25 Floating 4.2571 Y N N N N N INDYMAC INDB MORTGAGE LOAN TR 2006-1 N/A 45661JAA1 546654.150000 PA USD 171196.450000 0.0112157 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.29043 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR14 N/A 45660LRU5 117639.430000 PA USD 85541.680000 0.0056042 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.71043 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR10 N/A 45660N2Y0 6553.450000 PA USD 5742.970000 0.0003762 Long ABS-MBS CORP US N 3 2034-05-25 Floating 5.93043 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR11 N/A 45660N6S9 38780.690000 PA USD 36827.120000 0.0024127 Long ABS-MBS CORP US N 2 2034-12-25 Floating 3.91643 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI1MHM64 43914756.000000 PA 47449703.560000 3.1086114 Long DBT NUSS IT N 2 2025-05-26 Fixed 1.4 N N N N N N ITALY GOVT 815600DE60799F5A9309 BK5MSXII1 5930450.000000 PA 5919565.250000 0.3878133 Long DBT NUSS IT N 2 2030-05-15 Fixed 0.4 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 1519478730.000000 PA 11099002.610000 0.7271381 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1BXN03 1906536000.000000 PA 13985712.300000 0.9162575 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1XV2Q9 296136400.000000 PA 2201090.050000 0.1442018 Long DBT NUSS JP N 2 2031-03-10 Fixed 0.005 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAA3 18133.310000 PA USD 17233.130000 0.0011290 Long ABS-MBS CORP US N 3 2035-07-25 Floating 4.36727 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAJ4 93257.000000 PA USD 87682.310000 0.0057444 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.18611 N N N N N N JP MORGAN MORTGAGE TRUST 2008-R2 N/A 46632TAA3 218615.170000 PA USD 197953.370000 0.0129687 Long ABS-MBS CORP US N 2 2037-07-27 Floating 3.65515 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 31072.100000 PA USD 27945.690000 0.0018308 Long ABS-MBS CORP US N 3 2035-02-25 Floating 4.08642 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A6 N/A 466247TQ6 50710.150000 PA USD 47411.560000 0.0031061 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.35649 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A6 N/A 466247TZ6 12012.240000 PA USD 10414.020000 0.0006823 Long ABS-MBS CORP US N 3 2035-09-25 Floating 4.11643 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A6 N/A 466247UG6 41096.900000 PA USD 34411.210000 0.0022544 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.07605 Y N N N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 23583.260000 PA USD 23215.740000 0.0015210 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.36043 N N N N N N JUBILEE CLO 2015-XVI BV 15-16A N/A ACI0YWRZ1 843613.570000 PA 910149.000000 0.0596273 Long ABS-CBDO CORP IE N 2 2029-12-15 Floating 4.326 N N N N N N KKR CLO 9 LTD N/A 48250LAW9 883032.210000 PA USD 876173.060000 0.0574014 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 6.21029 N N N N N N LAURELIN 2016-1 DAC 16-1A N/A ACI1WVS58 500000.000000 PA 535736.050000 0.0350981 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 3.92 N N N N N N LCM LP 13A N/A 50184KBL1 2334679.490000 PA USD 2322854.390000 0.1521791 Long ABS-CBDO CORP KY N 2 2027-07-19 Floating 6.135 N N N N N N LCM XV LP 15A N/A 50184NAR3 250463.200000 PA USD 248792.960000 0.0162994 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 6.25043 N N N N N N LCM XXV LTD 25A N/A 50189PAY8 859806.520000 PA USD 855206.560000 0.0560279 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 6.14845 N N N N N N LEHMAN ABS MANUFACTURED HOUSING 2001-B N/A 52519SAM5 860208.310000 PA USD 618173.650000 0.0404989 Long ABS-O CORP US N 2 2040-04-15 Variable 7.17 Y N N N N N LEHMAN XS TRUST 2006-7 N/A 52522EAA7 629732.560000 PA USD 542827.330000 0.0355627 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.47043 N N N N N N LEHMAN XS TRUST 2006-8 N/A 52522HAM4 489008.800000 PA USD 458896.220000 0.0300640 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.9 N N N N N N LEHMAN XS TRUST SERIES 2007-20N N/A 52525AAA2 1717179.940000 PA USD 1739829.890000 0.1139829 Long ABS-MBS CORP US N 2 2037-12-25 Floating 7.45043 Y N N N N N 522 FUNDING CLO I LTD 2018-3A N/A 33835NAA9 1200000.000000 PA USD 1183715.840000 0.0775497 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 6.29043 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI080964 600000.000000 PA 598528.840000 0.0392119 Long DBT CORP GB N 2 2025-06-27 Floating 4.947 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LOANCORE 2022-CRE7 ISSUER LTD N/A 53946PAA8 1800000.000000 PA USD 1771132.390000 0.1160337 Long ABS-CBDO CORP KY N 2 2037-01-17 Floating 6.61629 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-7 N/A 54251TAC3 953612.950000 PA USD 393449.360000 0.0257764 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.39043 N N N N N N MADISON PARK FUNDING XXX LTD 2018-30A N/A 55821TAA5 474972.140000 PA USD 469859.970000 0.0307823 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 6.01029 N N N N N N MAGNETITE VIII CLO LTD 2014-8A N/A 55952YAP2 392899.690000 PA USD 390476.750000 0.0255816 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.24029 N N N N N N MAGNETITE XVIII LTD 2016-18A N/A 55953TAS6 1355317.260000 PA USD 1346728.190000 0.0882293 Long ABS-CBDO CORP KY N 2 2028-11-15 Floating 6.20071 N N N N N N MAN GLG EURO CLO II DAC 2A N/A ACI1DJHC3 351721.250000 PA 379088.000000 0.0248355 Long ABS-CBDO CORP IE N 2 2030-01-15 Floating 4.047 N N N N N N MAN GLG EURO CLO IV DAC 4A N/A ACI26HCW4 798538.870000 PA 855958.140000 0.0560771 Long ABS-CBDO CORP IE N 2 2031-05-15 Floating 4.023 N N N N N N MARATHON STATIC CLO 2022-18A LTD N/A 56586PAA6 1214154.000000 PA USD 1215648.040000 0.0796417 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 7.26845 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UM6 39010.900000 PA USD 36894.960000 0.0024171 Long ABS-MBS CORP US N 2 2034-11-21 Floating 4.56041 N N N N N N MASTR ASSET BACKED SECUR TR 2005-FRE1 N/A 57643LMA1 47936.630000 PA USD 44784.020000 0.0029340 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.65043 Y N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 27946.480000 PA USD 26359.280000 0.0017269 Long ABS-MBS CORP US N 2 2030-12-15 Floating 5.63329 N N N N N N MELLON RESIDENTIAL FUNDING CO 2001-TBC1 N/A 585525FC7 25944.740000 PA USD 24734.120000 0.0016204 Long ABS-MBS CORP US N 2 2031-11-15 Floating 5.89329 N N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE2 N/A 59024LAB7 250340.640000 PA USD 75359.470000 0.0049371 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.39043 N N N N N N MERRILL LYNCH MORTGAGE INVESTO-2006-RM4 N/A 59023QAB7 12825.630000 PA USD 2783.860000 0.0001824 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.31043 N N N N N N MF1 2021-FL6 LTD N/A 55283TAA6 500000.000000 PA USD 488316.060000 0.0319915 Long ABS-CBDO CORP KY N 2 2036-07-16 Floating 6.31636 N N N N N N MF1 2022-FL9 LLC N/A 55285AAA5 1600000.000000 PA USD 1595520.000000 0.1045286 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 7.22629 N N N N N N MIDOCEAN CREDIT CLO II 2013-2A N/A 59863KAS6 524445.690000 PA USD 521536.400000 0.0341678 Long ABS-CBDO CORP KY N 2 2030-01-29 Floating 6.32914 N N N N N N MIDOCEAN CREDIT CLO VIII 2018-8A N/A 59801MAL2 992488.250000 PA USD 982945.940000 0.0643965 Long ABS-CBDO CORP KY N 2 2031-02-20 Floating 6.42914 N N N N N N MITSUBISHI HC CAPITAL INC 353800MZ3QX9RLMH7B09 60682LAC6 400000.000000 PA USD 398040.000000 0.0260771 Long DBT CORP JP N 2 2023-09-19 Fixed 3.96 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL78 25329.070000 PA USD 23829.080000 0.0015611 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.65043 N N N N N N ACE SECURITIES CORP 2007-ASP1 N/A 00442JAC8 341326.350000 PA USD 149428.410000 0.0097896 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.55043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAF9 1606250.880000 PA USD 699336.580000 0.0458162 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.37043 N N N N N N MORGAN STANLEY IXIS RE CAP TR 2006-2 N/A 617463AA2 8267.260000 PA USD 2919.400000 0.0001913 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.20043 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAP6 98225.950000 PA USD 96568.680000 0.0063266 Long ABS-MBS CORP US N 2 2036-06-25 Floating 6.11496 N N N N N N MP CLO VII LTD 2015-1A N/A 55320RAQ0 1257581.920000 PA USD 1249767.020000 0.0818770 Long ABS-CBDO CORP KY N 2 2028-10-18 Floating 6.15171 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2006-2 N/A 007034BN0 67668.660000 PA USD 59456.930000 0.0038953 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.18878 Y N N N N N NEW CENTURY HOME EQUITY LOAN TR 2004-4 N/A 64352VJJ1 74555.550000 PA USD 68113.850000 0.0044624 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.91543 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2006-2 N/A 64360YAB1 1215596.930000 PA USD 1162451.880000 0.0761567 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.31043 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 3547562.950000 PA USD 3276721.420000 0.2146705 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI02MK69 6101784.000000 PA 3739480.110000 0.2449876 Long DBT NUSS NZ N 2 2025-09-20 Fixed 2 N N N N N N NOVASTAR HOME EQUITY LOAN 2005-3 N/A 66987XGY5 516318.840000 PA USD 509912.410000 0.0334063 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.85543 N N N N N N OAK HILL EUROPEAN CREDIT PARTNERS VII DAC 18-7A N/A ACI1WXMN1 1700000.000000 PA 1806627.920000 0.1183591 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 3.94 N N N N N N OAKTREE CLO 2019-1A N/A 67401XAS0 600000.000000 PA USD 590850.000000 0.0387088 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 6.38271 N N N N N N OCP EURO CLO DAC 2017-2A N/A ACI0YSL94 789626.550000 PA 850555.240000 0.0557231 Long ABS-CBDO CORP IE N 2 2032-01-15 Floating 3.997 N N N N N N OCTAGON INVESTMENT PARTNERS XXI LTD 2014-1A N/A 67590QBK2 800000.000000 PA USD 790838.580000 0.0518109 Long ABS-CBDO CORP KY N 2 2031-02-14 Floating 6.32071 N N N N N N OCTAGON INVESTMENTS PARTNERS LTD 2018-18A N/A 67576FAA7 1200000.000000 PA USD 1188259.670000 0.0778474 Long ABS-CBDO CORP KY N 2 2031-04-16 Floating 6.22029 N N N N N N OSD CLO 2021-23A LTD N/A 671026AA0 2050964.480000 PA USD 2028190.340000 0.1328745 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 6.13029 N N N N N N OZLM IX LTD 2014-9A N/A 67109KBC7 300000.000000 PA USD 295500.000000 0.0193593 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 6.35043 N N N N N N OZLM VIII LTD 2014-8A N/A 67107FBL0 721339.490000 PA USD 716825.200000 0.0469620 Long ABS-CBDO CORP KY N 2 2029-10-17 Floating 6.24029 N N N N N N OZLM XI LTD 2015-11A N/A 67109UAS1 315306.750000 PA USD 314128.130000 0.0205797 Long ABS-CBDO CORP KY N 2 2030-10-30 Floating 6.54914 N N N N N N OZLM XXIV LTD 2019-24A N/A 67113DAW4 600000.000000 PA USD 587862.760000 0.0385131 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.41043 N N N N N N PALMER SQUARE CLO LTD 2018-2 N/A 69688MAA3 800000.000000 PA USD 793031.940000 0.0519546 Long ABS-CBDO CORP KY N 2 2031-07-16 Floating 6.36029 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 22-2A N/A ACI24FF23 1223109.040000 PA 1314694.410000 0.0861307 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.227 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 22-3A N/A ACI28QN42 4487909.980000 PA 4923443.740000 0.3225536 Long ABS-CBDO CORP IE N 2 2032-04-12 Floating 5.025 N N N N N N PALMER SQUARE LOAN FUNDING 2021-3 N/A 69702BAA9 1626083.300000 PA USD 1606505.080000 0.1052483 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 6.05043 N N N N N N PALMER SQUARE LOAN FUNDING 2021-4 N/A 69702HAA6 2414509.940000 PA USD 2389440.010000 0.1565413 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 6.06029 N N N N N N PARK PLACE SEC INC 2005-WHQ4 N/A 70069FMT1 425289.120000 PA USD 409123.800000 0.0268033 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.88543 N N N N N N PARK PLACE SECURITIES INC 2004-WCW2 N/A 70069FAZ0 2171323.680000 PA USD 2123664.650000 0.1391294 Long ABS-MBS CORP US N 2 2034-10-25 Floating 6.20043 N N N N N N RAD CLO LTD 2019-5A N/A 74923EAA6 4200000.000000 PA USD 4142799.820000 0.2714106 Long ABS-CBDO CORP KY N 2 2032-07-24 Floating 6.39271 N N N N N N RALI SERIES 2005-QO1 TRUST N/A 761118EN4 36981.080000 PA USD 28158.080000 0.0018447 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.45043 N N N N N N ALLIANCE BANCORP TRUST 2007-OA1 N/A 01852TAA1 548267.200000 PA USD 468232.740000 0.0306757 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.63043 N N N N N N REGATTA VIII FUNDING LTD 2017-1A N/A 75888KAA2 721650.810000 PA USD 718601.180000 0.0470783 Long ABS-CBDO CORP KY N 2 2030-10-17 Floating 6.51029 N N N N N N RENAISSANCE HOME EQ LN TRUST 2002-3 N/A 75970NAA5 47391.090000 PA USD 42386.260000 0.0027769 Long ABS-MBS CORP US N 3 2032-12-25 Floating 5.91043 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 652494.880000 PA USD 579233.280000 0.0379478 Long ABS-MBS CORP US N 2 2037-10-25 Variable 4.64615 N N N N N N ALME LOAN FUNDING III DAC 3A N/A ACI26NDV2 698322.490000 PA 751390.830000 0.0492265 Long ABS-CBDO CORP IE N 2 2032-04-15 Floating 3.927 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-EMX4 N/A 75406DAD5 1989841.290000 PA USD 1908326.450000 0.1250218 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.61043 N N N N N N RESIDENTIAL ASSET SEC TRUST 2005-A5 N/A 45660LJZ3 431025.860000 PA USD 288061.050000 0.0188720 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.5 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A10 N/A 76113LAE7 210105.800000 PA USD 75206.190000 0.0049270 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.5 Y N N N N N RESIDENTIAL ASSET SECURITIES 2006-KS7 N/A 75406XAE9 1102022.080000 PA USD 1071514.360000 0.0701990 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.43043 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2007-S6 N/A 762009AK4 123604.210000 PA USD 93852.440000 0.0061486 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 Y N N N N N RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A N/A ACI1PKR28 1603506.160000 PA 2042907.270000 0.1338387 Long ABS-MBS CORP GB N 2 2070-06-20 Floating 5.95864 N N N N N N ROMARK CLO LTD 2017-1A N/A 77587UAL6 794208.900000 PA USD 785281.890000 0.0514468 Long ABS-CBDO CORP KY N 2 2030-10-23 Floating 6.30271 N N N N N N SARANAC CLO II LTD 2014-2A N/A 80317EAA7 276752.740000 PA USD 276337.070000 0.0181039 Long ABS-CBDO CORP JE N 2 2029-11-20 Floating 6.60914 N N N N N N SARANAC CLO LTD 2018-6A N/A 80317LAJ2 1400000.000000 PA USD 1383375.980000 0.0906302 Long ABS-CBDO CORP JE N 2 2031-08-13 Floating 6.68443 N N N N N N SAXON ASSET SECURITIES TRUST 2007-3 N/A 80557BAA2 424170.060000 PA USD 400479.230000 0.0262369 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.46043 N N N N N N SECURITIZED ASSET BACKED REC 2006-HE1 N/A 81376YAD3 2680461.540000 PA USD 940738.000000 0.0616313 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.47043 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAD4 189418.870000 PA USD 78144.300000 0.0051195 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.45043 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1 N/A 81377JAB9 262537.030000 PA USD 62372.230000 0.0040862 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.27043 Y N N N N N SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A N/A ACI1YTXT3 600000.000000 PA 637926.630000 0.0417930 Long ABS-CBDO CORP IE N 2 2032-07-20 Floating 4.08 N N N N N N SEQUOIA MORTGAGE TRUST 2007-3 N/A 81744MAA0 193556.900000 PA USD 166129.890000 0.0108838 Long ABS-MBS CORP US N 2 2036-07-20 Floating 5.55657 N N N N N N SEQUOIA MORTGAGE TRUST 5 N/A 81743WAA9 7811.630000 PA USD 7261.650000 0.0004757 Long ABS-MBS CORP US N 3 2026-10-19 Floating 5.84629 N N N N N N SLM STUDENT LOAN TRUST 2004-3A N/A 78442GLL8 1803474.780000 PA USD 1764563.370000 0.1156033 Long ABS-O CORP US N 2 2064-10-25 Floating 5.80514 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20H N/A 83162CRY1 89257.340000 PA USD 87010.850000 0.0057004 Long ABS-O CORP US N 2 2028-08-01 Fixed 6.02 N N N N N N SOUND POINT CLO IX LTD 2015-2A N/A 83609GBN4 1200000.000000 PA USD 1178190.940000 0.0771878 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.46043 N N N N N N SOUND POINT CLO XIV LTD 2016-3A N/A 83609NAN0 397204.040000 PA USD 397409.180000 0.0260358 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 6.26271 N N N N N N SOUND POINT CLO XV LTD 2017-1A N/A 83609RAL5 223436.770000 PA USD 223141.400000 0.0146188 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 6.17271 N N N N N N SOUND POINT CLO XVII 2017-3A N/A 83611GAL5 481205.380000 PA USD 475792.900000 0.0311710 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 6.23043 N N N N N N SOUNDS POINT CLO IV-R LTD 2013-3RA N/A 83609YAC0 400000.000000 PA USD 393012.200000 0.0257477 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 6.41171 N N N N N N SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1 N/A 83611DAA6 38461.790000 PA USD 11169.770000 0.0007318 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.27043 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAA0 1391891.400000 PA USD 951183.790000 0.0623157 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.35043 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2 N/A 83613DAD8 729385.930000 PA USD 621362.120000 0.0407078 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.33043 N N N N N N SOUTHERN COMPANY GAS CAPITAL CORPORATION E8CD46SWUD2TSN8PA636 8426EPAA6 100000.000000 PA USD 99171.050000 0.0064971 Long DBT CORP US N 2 2023-10-01 Fixed 2.45 N N N N N N ST PAULS CLO 4A N/A ACI217GH0 597457.760000 PA 642011.100000 0.0420606 Long ABS-CBDO CORP IE N 2 2030-04-25 Floating 4.091 N N N N N N STRATUS CLO 2021-2A LTD N/A 86315TAA3 411321.330000 PA USD 406496.570000 0.0266311 Long ABS-CBDO CORP KY N 2 2029-12-28 Floating 6.15043 N N N N N N STRATUS CLO 2021-3A LTD N/A 86315WAA6 800225.530000 PA USD 793872.800000 0.0520096 Long ABS-CBDO CORP KY N 2 2029-12-29 Floating 6.20043 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 46634.740000 PA USD 39487.630000 0.0025870 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.3762 Y N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGG0 27363.670000 PA USD 25745.510000 0.0016867 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.28211 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VM7 40097.330000 PA USD 34787.810000 0.0022791 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.22208 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR5 N/A 86359LDX4 18630.690000 PA USD 17439.050000 0.0011425 Long ABS-MBS CORP US N 2 2034-10-19 Floating 5.80629 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR4 N/A 86360QAB1 14102.180000 PA USD 13736.760000 0.0008999 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.53043 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPD5 39052.210000 PA USD 35342.800000 0.0023154 Long ABS-MBS CORP US N 2 2035-07-19 Floating 5.64629 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPE3 35790.920000 PA USD 34318.500000 0.0022483 Long ABS-MBS CORP US N 2 2035-07-19 Floating 5.64629 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPF0 150518.250000 PA USD 137143.180000 0.0089848 Long ABS-MBS CORP US N 2 2035-07-19 Floating 5.64629 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAA6 72711.630000 PA USD 64385.300000 0.0042181 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.57043 N N N N N N STRUCTURED ASSET SEC CORP 2005-7XS N/A 86359B7K1 56593.000000 PA USD 55596.240000 0.0036423 Long ABS-MBS CORP US N 2 2035-04-25 Floating 6.67043 N N N N N N TCW CLO LTD 2018-1A N/A 87240UAR1 1100000.000000 PA USD 1088812.630000 0.0713323 Long ABS-CBDO CORP KY N 2 2031-04-25 Floating 6.22514 N N N N N N THL CREDIT WIND RIVER 2019-3 CLO LTD N/A 97314JAA3 1600000.000000 PA USD 1580363.940000 0.1035357 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.34029 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2004-2 N/A 885220FE8 1860526.130000 PA USD 1696016.360000 0.1111125 Long ABS-MBS CORP US N 2 2044-06-25 Floating 5.77043 N N N N N N TORO EUROPEAN CLO 5 DAC 5A N/A ACI2773P0 551742.500000 PA 590419.360000 0.0386806 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 3.917 N N N N N N TORO EUROPEAN CLO 5 DAC 5A N/A ACI1RL4C7 735656.670000 PA 787225.820000 0.0515742 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 3.917 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 2573673.530000 PA 3273254.000000 0.2144434 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 5.57473 N N N N N N TOYOTA TSUSHO CORPORATION 549300CEE2ENIUJNXB84 ACI14XK12 200000.000000 PA USD 199115.000000 0.0130448 Long DBT CORP JP N 2 2023-09-13 Fixed 3.625 N N N N N N TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5 N/A 87277JAA9 1500000.000000 PA USD 1458817.310000 0.0955727 Long ABS-CBDO CORP KY N 2 2039-02-15 Floating 6.71662 N N N N N N TRALEE CLO VII LTD N/A 89288CAA7 1400000.000000 PA USD 1366315.200000 0.0895125 Long ABS-CBDO CORP KY N 2 2034-04-25 Floating 6.57514 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AY4 300000.000000 PA USD 298180.700000 0.0195350 Long DBT CORP CH N 2 2026-07-15 Floating 6.373 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 ACI1V1BM6 100000.000000 PA 107455.950000 0.0070398 Long DBT CORP CH N 2 2026-01-16 Floating 4.177 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 ACI2B33K5 100000.000000 PA 121018.590000 0.0079284 Long DBT CORP CH N 2 2029-03-01 Floating 7.75 N N N N N N UMBS PASS THRU POOLS N/A 01F040685 42700000.000000 PA USD 40109644.640000 2.6277361 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 19500000.000000 PA USD 18758086.040000 1.2289139 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 01F050692 5200000.000000 PA USD 5098843.780000 0.3340447 Long ABS-MBS USGSE US N 2 2053-09-14 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A 01F052698 17500000.000000 PA USD 17413867.280000 1.1408490 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 01F062689 20600000.000000 PA USD 21021656.460000 1.3772091 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 6.5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 8450000.000000 PA USD 8500799.370000 0.5569199 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796CQ0 539000.000000 PA USD 533364.640000 0.0349428 Long DBT UST US N 2 2023-09-14 None 0 N N N N N N AMMC CLO 22 LTD 2018-22A N/A 00177HAA7 700000.000000 PA USD 694054.620000 0.0454702 Long ABS-CBDO CORP KY N 2 2031-04-25 Floating 6.28514 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828B25 12092325.000000 PA USD 11887944.150000 0.7788247 Long DBT UST US N 2 2024-01-15 Fixed 0.625 N N N N N N AMMC CLO XII LTD 2013-12A N/A 00176CAW1 735448.640000 PA USD 729999.320000 0.0478250 Long ABS-CBDO CORP KY N 2 2030-11-10 Floating 6.28686 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 14602374.000000 PA USD 13999998.770000 0.9171934 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FR4 50715660.100000 PA USD 50191723.210000 3.2882516 Long DBT UST US N 2 2025-01-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N71 27701886.720000 PA USD 26419395.460000 1.7308356 Long DBT UST US N 2 2026-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FS2 26863264.920000 PA USD 26510362.480000 1.7367952 Long DBT UST US N 2 2026-01-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828V49 8414932.000000 PA USD 7897741.610000 0.5174112 Long DBT UST US N 2 2027-01-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PS1 466370.200000 PA USD 468841.980000 0.0307156 Long DBT UST US N 2 2027-01-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 78936961.050000 PA USD 73858906.880000 4.8387793 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PV4 51435009.060000 PA USD 50854793.870000 3.3316919 Long DBT UST US N 2 2028-01-15 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285W6 64161168.000000 PA USD 60755087.060000 3.9802979 Long DBT UST US N 2 2029-01-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PZ5 25121736.240000 PA USD 25880888.480000 1.6955559 Long DBT UST US N 2 2029-01-15 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Z37 40611648.000000 PA USD 36445488.690000 2.3876833 Long DBT UST US N 2 2030-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBF7 15116016.200000 PA USD 13440661.260000 0.8805491 Long DBT UST US N 2 2031-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDX6 11601276.000000 PA USD 10218631.630000 0.6694616 Long DBT UST US N 2 2032-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGK1 5932762.500000 PA USD 5687872.780000 0.3726343 Long DBT UST US N 2 2033-01-15 Fixed 1.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QF8 10274864.400000 PA USD 11033223.060000 0.7228286 Long DBT UST US N 2 2040-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QP6 9074304.500000 PA USD 9745185.350000 0.6384443 Long DBT UST US N 2 2041-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QV3 45851839.000000 PA USD 38997449.880000 2.5548720 Long DBT UST US N 2 2042-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 8735685.800000 PA USD 7173578.680000 0.4699686 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 57980390.400000 PA USD 54667816.470000 3.5814976 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 60091107.070000 PA USD 49714364.380000 3.2569780 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 29170528.440000 PA USD 25332516.510000 1.6596300 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RW0 26776550.100000 PA USD 22490779.030000 1.4734569 Long DBT UST US N 2 2047-02-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 6676838.100000 PA USD 5749838.520000 0.3766939 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SM1 11765198.200000 PA USD 8239163.480000 0.5397791 Long DBT UST US N 2 2050-02-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SV1 19169185.000000 PA USD 12807661.120000 0.8390788 Long DBT UST US N 2 2051-02-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TE8 6539100.000000 PA USD 4344399.060000 0.2846182 Long DBT UST US N 2 2052-02-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286N5 48116.800000 PA USD 46956.030000 0.0030763 Long DBT UST US N 2 2024-04-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZJ2 10230330.500000 PA USD 9733511.790000 0.6376796 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCA7 19319562.000000 PA USD 18119518.520000 1.1870789 Long DBT UST US N 2 2026-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEJ6 8811064.000000 PA USD 8157755.850000 0.5344458 Long DBT UST US N 2 2027-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FD5 45097262.340000 PA USD 48420448.940000 3.1722087 Long DBT UST US N 2 2028-04-15 Fixed 3.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FH6 51836404.000000 PA USD 57289895.390000 3.7532800 Long DBT UST US N 2 2029-04-15 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FQ6 2574100.380000 PA USD 2928684.020000 0.1918693 Long DBT UST US N 2 2032-04-15 Fixed 3.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XL9 42772174.220000 PA USD 40937907.070000 2.6819987 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828S50 36932834.200000 PA USD 34700207.440000 2.2733432 Long DBT UST US N 2 2026-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282L3 9004215.000000 PA USD 8443129.410000 0.5531417 Long DBT UST US N 2 2027-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Y38 40114761.600000 PA USD 38026589.690000 2.4912672 Long DBT UST US N 2 2028-07-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128287D6 8512352.620000 PA USD 7775962.020000 0.5094330 Long DBT UST US N 2 2029-07-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZZ6 47213670.000000 PA USD 42360343.630000 2.7751880 Long DBT UST US N 2 2030-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCM1 12247807.200000 PA USD 10866463.370000 0.7119035 Long DBT UST US N 2 2031-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 81342401.000000 PA USD 74808058.560000 4.9009618 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YL8 29917250.000000 PA USD 28860065.330000 1.8907332 Long DBT UST US N 2 2024-10-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAQ4 42444138.000000 PA USD 40246445.050000 2.6366984 Long DBT UST US N 2 2025-10-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDC2 41523724.000000 PA USD 38828352.220000 2.5437937 Long DBT UST US N 2 2026-10-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CFR7 22736574.000000 PA USD 22409408.570000 1.4681260 Long DBT UST US N 2 2027-10-15 Fixed 1.625 N N N N N N ANCHORAGE CAPITAL CLO 11 LTD 2019-11A N/A 03330NAJ3 1100000.000000 PA USD 1084933.380000 0.0710781 Long ABS-CBDO CORP KY N 2 2032-07-22 Floating 6.41271 N N N N N N ANCHORAGE CAPITAL CLO LTD 2015-6A N/A 03328QAY7 1156511.660000 PA USD 1149905.920000 0.0753347 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 6.31029 N N N N N N ANGEL OAK MORTGAGE TRUST 2020-4 N/A 03464LAA4 120278.190000 PA USD 110763.730000 0.0072566 Long ABS-MBS CORP US N 2 2065-06-25 Variable 1.469 N N N N N N VENTURE CLO LTD 2013-4A N/A 92328GBA3 898641.350000 PA USD 894026.000000 0.0585711 Long ABS-CBDO CORP KY N 2 2029-08-28 Floating 6.49314 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 485387.540000 PA USD 483837.520000 0.0316980 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 6.14029 N N N N N N VENTURE XXIV CLO LTD 2016-24A N/A 92330WBJ5 512734.710000 PA USD 510511.690000 0.0334456 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 6.15043 N N N N N N VENTURE XXVIII CLO LTD 2017-28A N/A 92331AAU8 282997.020000 PA USD 279001.440000 0.0182785 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 6.24043 N N N N N N VIBRANT CLO VII LTD N/A 92558BAJ7 418150.380000 PA USD 413431.780000 0.0270855 Long ABS-CBDO CORP KY N 2 2030-09-15 Floating 6.29043 N N N N N N VIBRANT CLO XI LTD 2019-11A N/A 92558NAJ1 1200000.000000 PA USD 1168701.500000 0.0765661 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.37043 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AC9 190000.000000 PA USD 180251.390000 0.0118090 Long DBT CORP US N 2 2027-08-21 Fixed 3.9 N N N N N N VOYA CLO LTD 2015-1A N/A 92914NAJ0 1151767.580000 PA USD 1146538.980000 0.0751142 Long ABS-CBDO CORP KY N 2 2029-01-18 Floating 6.16171 N N N N N N VOYA CLO LTD 2017-1A N/A 92916MAF8 248073.520000 PA USD 246279.920000 0.0161347 Long ABS-CBDO CORP KY N 2 2030-04-17 Floating 6.21029 N N N N N N VOYA CLO LTD 2019-1A N/A 92917NAJ7 500000.000000 PA USD 495875.000000 0.0324867 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.32029 N N N N N N WACHOVIA MTGE LOAN TRUST 2006-ALT1 N/A 92978GAC3 1109917.540000 PA USD 426634.430000 0.0279505 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.61043 N N N N N N APIDOS CLO 2017-27A N/A 03767JAF2 1087855.880000 PA USD 1079399.070000 0.0707156 Long ABS-CBDO CORP KY N 2 2030-07-17 Floating 6.19029 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 4229.990000 PA USD 3923.870000 0.0002571 Long ABS-MBS CORP US N 2 2042-11-25 Floating 5.1762 N N N N N N APIDOS CLO XXVI LLC 2017-26A N/A 03766GAL6 2370895.290000 PA USD 2353082.420000 0.1541594 Long ABS-CBDO CORP KY N 2 2029-07-18 Floating 6.16171 N N N N N N WASHINGTON MUTUAL 2005-AR10 N/A 92922FW87 8814.830000 PA USD 7787.690000 0.0005102 Long ABS-MBS CORP US N 3 2035-08-25 Floating 3.85179 N N N N N N WASHINGTON MUTUAL 2005-AR14 N/A 92922F4F2 44984.390000 PA USD 41428.990000 0.0027142 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.76519 N N N N N N WASHINGTON MUTUAL 2006 AR7 N/A 93363CAC3 291329.430000 PA USD 245288.510000 0.0160698 Long ABS-MBS CORP US N 2 2046-07-25 Floating 5.0242 N N N N N N WASHINGTON MUTUAL 2006-AR15 N/A 93363QAC2 40028.180000 PA USD 35317.370000 0.0023138 Long ABS-MBS CORP US N 2 2046-11-25 Floating 5.4762 N N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAB6 28785.580000 PA USD 25552.960000 0.0016741 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.00754 N N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AB4 196088.710000 PA USD 182980.750000 0.0119878 Long ABS-MBS CORP US N 2 2047-01-25 Floating 4.7062 N N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 45404.570000 PA USD 40538.930000 0.0026559 Long ABS-MBS CORP US N 2 2046-02-25 Floating 4.9762 N N N N N N WASHINGTON MUTUAL 2007-OA4 N/A 93364CAA6 152591.840000 PA USD 123616.180000 0.0080986 Long ABS-MBS CORP US N 2 2047-05-25 Floating 4.7462 N N N N N N WELLFLEET CLO LTD 2015-1 N/A 949496BJ1 320675.040000 PA USD 317211.210000 0.0207817 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 6.14043 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1 N/A 03880XAA4 4700000.000000 PA USD 4621980.000000 0.3028036 Long ABS-CBDO CORP KY N 2 2037-01-15 Floating 6.51662 N N N N N N N/A N/A 000000000 134000.000000 PA USD 134000.000000 0.0087789 Long RA US N 2 Repurchase N 2.4000000 2023-07-03 149700.000000 USD 136683.120000 USD UST N N N ARES EUROPEAN CLO VI BV 2013-6A N/A ACI248306 1180275.160000 PA 1263130.050000 0.0827525 Long ABS-CBDO CORP IE N 2 2030-04-15 Floating 3.787 N N N N N N ARES EUROPEAN CLO X BV 10A N/A ACI1Y2RR3 300000.000000 PA 321759.100000 0.0210797 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.957 N N N N N N ARES L CLO LTD 2018-50A N/A 04018LAJ4 700000.000000 PA USD 692643.410000 0.0453777 Long ABS-CBDO CORP KY N 2 2032-01-15 Floating 6.31029 N N N N N N ARES XL CLO LTD 2016-40A N/A 04016GBB3 193002.540000 PA USD 191788.910000 0.0125648 Long ABS-CBDO CORP KY N 2 2029-01-15 Floating 6.13029 N N N N N N N/A N/A 000000000 -2.000000 NC 354.800000 0.0000232 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Short N/A AUSTRALIA GOVT 2023-09-15 -154776.410000 AUD 354.800000 N N N N/A N/A 000000000 1.000000 NC 137.700000 0.0000090 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 35832.410000 USD 53997.000000 AUD 2023-07-05 137.700000 N N N ARGENT SECURITIES INC 2005-W1 N/A 040104MX6 451206.320000 PA USD 406815.690000 0.0266521 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 -4349.590000 -0.0002850 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 371627.000000 AUD 243209.800000 USD 2023-07-05 -4349.590000 N N N N/A N/A 000000000 1.000000 NC -138.000000 -0.0000090 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 53997.000000 AUD 35860.760000 USD 2023-08-02 -138.000000 N N N N/A N/A 000000000 1.000000 NC -31224.620000 -0.0020456 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2366187.000000 AUD 1545011.270000 USD 2023-07-05 -31224.620000 N N N N/A N/A 000000000 1.000000 NC -146883.520000 -0.0096229 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7367355.930000 CAD 5414434.410000 USD 2023-07-05 -146883.520000 N N N ARGENT SECURITIES INC 2006-W4 N/A 040104TG6 113443.760000 PA USD 28137.470000 0.0018434 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.47043 N N N N N N N/A N/A 000000000 1.000000 NC -173815.840000 -0.0113873 N/A DFE MX N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 43920788.920000 MXN 2385702.820000 USD 2023-07-18 -173815.840000 N N N N/A N/A 000000000 1.000000 NC -20709.710000 -0.0013568 N/A DFE NZ N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2960700.000000 NZD 1796271.490000 USD 2023-07-05 -20709.710000 N N N N/A N/A 000000000 1.000000 NC -488806.830000 -0.0320236 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 119028082.400000 USD 108632000.000000 EUR 2023-07-05 -488806.830000 N N N N/A N/A 000000000 1.000000 NC 17945.120000 0.0011757 N/A DFE NZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1978802.960000 USD 3254000.000000 NZD 2023-08-02 17945.120000 N N N N/A N/A 000000000 1.000000 NC -5872.060000 -0.0003847 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 440000.000000 AUD 287234.020000 USD 2023-07-05 -5872.060000 N N N N/A N/A 000000000 1.000000 NC -2505.330000 -0.0001641 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2342000.000000 EUR 2553085.870000 USD 2023-07-05 -2505.330000 N N N N/A N/A 000000000 1.000000 NC 493617.110000 0.0323387 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 108632000.000000 EUR 119195267.050000 USD 2023-08-02 493617.110000 N N N N/A N/A 000000000 1.000000 NC 796683.040000 0.0521938 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2979661298.000000 JPY 21446472.000000 USD 2023-07-05 796683.040000 N N N N/A N/A 000000000 1.000000 NC 1914.160000 0.0001254 N/A DFE NZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 872000.000000 NZD 537060.440000 USD 2023-07-05 1914.160000 N N N N/A N/A 000000000 1.000000 NC -38463.580000 -0.0025199 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9080786.100000 USD 13574000.000000 AUD 2023-07-05 -38463.580000 N N N N/A N/A 000000000 1.000000 NC 9258.240000 0.0006065 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 818962.820000 USD 759000.000000 EUR 2023-07-05 9258.240000 N N N N/A N/A 000000000 1.000000 NC -2943.020000 -0.0001928 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1186895.390000 USD 1085000.000000 EUR 2023-07-05 -2943.020000 N N N N/A N/A 000000000 1.000000 NC -187.870000 -0.0000123 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 44714.000000 AUD 29622.090000 USD 2023-08-02 -187.870000 N N N N/A N/A 000000000 -100.000000 NC 77064.930000 0.0050488 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A FRANCE GOVT 2023-09-07 -14011012.390000 EUR 77064.930000 N N N N/A N/A 000000000 1.000000 NC USD 3015.900000 0.0001976 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2023-12-20 0.000000 USD -44706.160000 USD 800000.000000 USD 47722.060000 N N N N/A N/A 000000000 -119.000000 NC 196520.550000 0.0128748 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2023-09-07 -15025272.200000 EUR 196520.550000 N N N N/A N/A 000000000 4.000000 NC -5547.490000 -0.0003634 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2023-09-07 583748.540000 EUR -5547.490000 N N N N/A N/A 000000000 -14.000000 NC -31179.350000 -0.0020427 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2023-09-07 -2132641.950000 EUR -31179.350000 N N N N/A N/A 000000000 -3040.000000 NC 2823280.760000 0.1849639 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2023-09-07 -347813561.870000 EUR 2823280.760000 N N N N/A N/A 000000000 -20.000000 NC USD -24739.790000 -0.0016208 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Short N/A Gold 2023-08-29 -3858800.000000 USD -24739.790000 N N N N/A N/A 000000000 1.000000 NC 14247.340000 0.0009334 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 909999.350000 USD 847000.000000 EUR 2023-07-05 14247.340000 N N N N/A N/A 000000000 1.000000 NC -8833.440000 -0.0005787 N/A DFE NZ N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1447345.930000 USD 2344000.000000 NZD 2023-07-05 -8833.440000 N N N N/A N/A 000000000 1.000000 NC 1397.610000 0.0000916 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1186000.000000 AUD 791451.720000 USD 2023-07-05 1397.610000 N N N N/A N/A 000000000 1.000000 NC -171902.490000 -0.0112620 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5349000.000000 GBP 6621323.840000 USD 2023-07-05 -171902.490000 N N N N/A N/A 000000000 -31900000.000000 NC USD -3.190000 -0.0000002 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written US CPI Urban Consumers NSA N/A N/A N/A 4.000000 USD 2024-04-22 XXXX 232069.310000 N N N N/A N/A 000000000 -8600000.000000 NC -376087.160000 -0.0246389 N/A DIR DE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Eurostat Eurozone HICP Ex Tob N/A N/A N/A 3.000000 EUR 2035-06-22 XXXX 15161.160000 N N N N/A N/A 000000000 -77.000000 NC -79476.400000 -0.0052068 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A ITALY GOVT 2023-09-07 -9755843.920000 EUR -79476.400000 N N N N/A N/A 000000000 -230.000000 NC 243902.260000 0.0159790 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A ITALY GOVT 2023-09-07 -26264646.640000 EUR 243902.260000 N N N N/A N/A 000000000 -52.000000 NC -191676.500000 -0.0125575 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE 3538001249AILNPRUX57 Short N/A JAPAN GOVT 2023-09-12 -53533386.470000 JPY -191676.500000 N N N N/A N/A 000000000 1.000000 NC -63187.060000 -0.0041396 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7095390.000000 USD 1014711723.000000 JPY 2023-07-05 -63187.060000 N N N N/A N/A 000000000 1.000000 NC 77292.420000 0.0050637 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3003715.500000 USD 52829000.000000 MXN 2023-07-14 77292.420000 N N N N/A N/A 000000000 1.000000 NC -28124.710000 -0.0018426 N/A DFE AU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2272855.000000 AUD 1485938.050000 USD 2023-07-05 -28124.710000 N N N N/A N/A 000000000 1.000000 NC 63472.740000 0.0041583 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1010399855.000000 JPY 7095390.000000 USD 2023-08-02 63472.740000 N N N N/A N/A 000000000 1.000000 NC 19458.850000 0.0012748 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 962621.460000 USD 900000.000000 EUR 2023-07-05 19458.850000 N N N AT&T INC 549300Z40J86GGSTL398 0020A2CK6 4000000.000000 PA USD 3829166.880000 0.2508634 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 -1666.820000 -0.0001092 N/A DFE NZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 196586.000000 NZD 118977.980000 USD 2023-07-05 -1666.820000 N N N N/A N/A 000000000 1.000000 NC 63.580000 0.0000042 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 14526.470000 USD 251743.730000 MXN 2023-08-16 63.580000 N N N ATLAS SENIOR LOAN FUND LTD 2017-8A N/A 04943AAC3 900170.750000 PA USD 895851.180000 0.0586906 Long ABS-CBDO CORP KY N 2 2030-01-16 Floating 6.41029 N N N N N N ATLAS SENIOR LOAN FUND LTD 2018-10A N/A 04942JAC5 461037.500000 PA USD 455135.150000 0.0298176 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 6.35029 N N N N N N N/A N/A 000000000 1.000000 NC -16199.720000 -0.0010613 N/A DFE AU N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1338247.000000 AUD 875273.760000 USD 2023-07-05 -16199.720000 N N N N/A N/A 000000000 1.000000 NC -12990.910000 -0.0008511 N/A DFE AU N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1116808.000000 AUD 730970.940000 USD 2023-07-05 -12990.910000 N N N N/A N/A 000000000 1.000000 NC -1698852.800000 -0.1112983 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 109881000.000000 EUR 118203332.000000 USD 2023-07-05 -1698852.800000 N N N N/A N/A 000000000 1.000000 NC 183.140000 0.0000120 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 52650.560000 USD 79312.000000 AUD 2023-07-05 183.140000 N N N ATRIUM XII 12A N/A 04965CAJ7 1582178.240000 PA USD 1573811.520000 0.1031064 Long ABS-CBDO CORP KY N 2 2027-04-22 Floating 6.10271 N N N N N N 2023-08-17 PIMCO Variable Insurance Trust /s/ Bijal Parikh Bijal Parikh Treasurer