NPORT-P false 0000810893 XXXXXXXX S000014410 C000039229 C000039231 C000064167 C000200458 C000039232 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO StocksPLUS International Fund (Unhedged) S000014410 549300788EIV7LQVH379 2020-03-31 2019-09-30 N 525750950.050000 200192977.460000 325557972.590000 0.000000 0.000000 6898938.640000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1628516.200000 BRL ARS GBP CAD JPY USD EUR N N/A N/A 000000000 1.000000 NC USD 5442.050000 0.0016716 N/A DFE BR N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1292083.440000 USD 5391153.540000 BRL 2019-10-02 5442.050000 N N N N/A N/A 000000000 1.000000 NC USD 19157.850000 0.0058846 N/A DFE TW N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1225617.980000 USD 38496293.000000 TWD 2019-11-21 19157.850000 N N N N/A N/A 000000000 1.000000 NC USD -49311.910000 0.0151469 N/A DFE NO N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3353600.590000 USD 30040000.000000 NOK 2019-11-15 -49311.910000 N N N N/A N/A 000000000 1.000000 NC USD -5920.070000 0.0018184 N/A DFE SE N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 177066.570000 USD 1680000.000000 SEK 2019-11-15 -5920.070000 N N N N/A N/A 000000000 1.000000 NC 95425.530000 0.0293114 N/A DFE CH N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4861000.000000 CHF 4965923.000000 USD 2019-10-02 95425.530000 N N N N/A N/A 000000000 1.000000 NC -15669.760000 0.0048132 N/A DFE SG N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4533000.000000 SGD 3266968.160000 USD 2019-12-18 -15669.760000 N N N N/A N/A 000000000 1.000000 NC USD -955662.440000 0.2935460 N/A DE US N 2 Citibank International Limited 31OGKFG0Y1795OV0AK56 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-10-22 0.000000 USD 0.000000 USD 106106869.880000 USD -955662.440000 N N N N/A N/A 000000000 1.000000 NC USD 4918372.990000 1.5107518 N/A DE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-05-20 0.000000 USD 0.000000 USD 92597840.870000 USD 4918372.990000 N N N N/A N/A 000000000 1.000000 NC USD -918399.040000 0.2821000 N/A DE US N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-05-26 0.000000 USD 0.000000 USD 106106869.880000 USD -918399.040000 N N N N/A N/A 000000000 192.000000 NC USD -93017.380000 0.0285717 N/A DE US N 1 New York Futures Exchange N/A Long MSCI EAFE INDEX N/A N/A 2019-12-20 18224640.000000 USD -93017.380000 N N N N/A N/A 000000000 1.000000 NC USD 4233.850000 0.0013005 N/A DFE CN N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 1248864.700000 USD 8963476.600000 CNY 2019-12-18 4233.850000 N N N N/A N/A 000000000 1.000000 NC USD -13809.060000 0.0042417 N/A DFE RU N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 1550227.580000 USD 99820117.150000 RUB 2019-10-17 -13809.060000 N N N N/A N/A 000000000 1.000000 NC -1585.320000 0.0004870 N/A DFE CA N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 2600000.000000 CAD 1961673.430000 USD 2019-10-25 -1585.320000 N N N N/A N/A 000000000 1.000000 NC USD 24657.940000 0.0075741 N/A DFE ID N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 1648213.990000 USD 23951845755.000000 IDR 2019-12-18 24657.940000 N N N N/A N/A 000000000 1.000000 NC 261741.780000 0.0803979 N/A DFE CN N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 89341401.960000 CNY 12762000.000000 USD 2019-11-13 261741.780000 N N N N/A N/A 000000000 9400000.000000 NC USD 945.640000 0.0002905 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Put Purchased Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 3.37000 03/31/20-30Y CME N/A N/A 2050-03-31 0.000000 USD 0.000000 USD N/A USD N/A 3.370000 USD 2020-03-27 XXXX -375054.360000 N N N N/A N/A 000000000 54100000.000000 NC USD 333629.290000 0.1024792 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Purchased Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.03600 07/21/21-3Y LCH N/A N/A 2024-07-21 0.000000 USD 0.000000 USD N/A USD N/A 1.040000 USD 2021-07-19 XXXX 134811.790000 N N N N/A N/A 000000000 -17300000.000000 NC USD -480092.300000 0.1474675 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.45300 07/21/21-10Y LCH N/A N/A 2031-07-21 0.000000 USD 0.000000 USD N/A USD N/A 1.450000 USD 2021-07-19 XXXX -286683.710000 N N N N/A N/A 000000000 118800000.000000 NC USD 727923.240000 0.2235925 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Purchased Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.02300 08/04/21-3Y LCH N/A N/A 2024-08-04 0.000000 USD 0.000000 USD N/A USD N/A 1.020000 USD 2021-08-02 XXXX 260697.230000 N N N N/A N/A 000000000 -38000000.000000 NC USD -1125339.600000 0.3456649 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.49440 08/04/21-10Y LCH N/A N/A 2031-08-04 0.000000 USD 0.000000 USD N/A USD N/A 1.490000 USD 2021-08-02 XXXX -658326.210000 N N N N/A N/A 000000000 30500000.000000 NC USD 1026730.650000 0.3153757 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Purchased Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.05000 03/15/21-5Y CME N/A N/A 2026-03-15 0.000000 USD 0.000000 USD N/A USD N/A 2.050000 USD 2021-03-11 XXXX 782730.650000 N N N N/A N/A 000000000 -16100000.000000 NC USD -1212072.400000 0.3723062 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.32250 03/15/21-10Y CME N/A N/A 2031-03-15 0.000000 USD 0.000000 USD N/A USD N/A 2.320000 USD 2021-03-11 XXXX -968133.010000 N N N N/A N/A 000000000 31200000.000000 NC USD 785388.240000 0.2412437 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Purchased Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.80000 03/16/21-5Y CME N/A N/A 2026-03-16 0.000000 USD 0.000000 USD N/A USD N/A 1.800000 USD 2021-03-12 XXXX 602352.310000 N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAM1 782372.970000 PA USD 683695.320000 0.2100072 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.16838 N N N N N N N/A N/A 000000000 -16500000.000000 NC USD -970553.100000 0.2981199 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.09400 03/16/21-10Y CME N/A N/A 2031-03-16 0.000000 USD 0.000000 USD N/A USD N/A 2.090000 USD 2021-03-12 XXXX -787185.810000 N N N ARGENT SECURITIES INC 2006-W4 N/A 040104TG6 3334018.440000 PA USD 1265924.130000 0.3888475 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.17838 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1C93Q0 610000.000000 PA 7053.330000 0.0021665 Long DBT NUSS AR N 2 2020-02-26 Fixed 0 N N N N N N N/A N/A 000000000 1.000000 NC -54773.340000 0.0168245 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 91613.890000 GBP 0.000000 GBP 5500000.000000 GBP -146387.230000 N N N N/A N/A 000000000 1.000000 NC USD -8009.320000 0.0024602 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2024-06-19 0.000000 USD 0.000000 USD 2200000.000000 USD -8009.320000 N N N N/A N/A 000000000 1.000000 NC 461333.080000 0.1417054 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 97038.570000 CAD 0.000000 CAD 2950000.000000 CAD 364294.510000 N N N N/A N/A 000000000 1.000000 NC -150816.160000 0.0463254 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2028-06-19 0.000000 JPY -134926.220000 JPY 390000000.000000 JPY -15889.940000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 996000.000000 PA 10424.930000 0.0032022 Long DBT NUSS AR N 2 2022-04-03 Floating 55.4688 N N N N N N N/A N/A 000000000 1.000000 NC USD -1131.850000 0.0003477 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-06-21 50372.620000 USD 0.000000 USD 900000.000000 USD -51504.470000 N N N N/A N/A 000000000 1.000000 NC USD -105412.000000 0.0323789 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-01-07 0.000000 USD -55647.850000 USD 19000000.000000 USD -49764.150000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0VSDQ8 21229000.000000 PA 181526.910000 0.0557587 Long DBT NUSS AR N 2 2020-06-21 Floating 67.4197 N N N N N N N/A N/A 000000000 1.000000 NC USD 398646.360000 0.1224502 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-18 394073.450000 USD 0.000000 USD 24300000.000000 USD 4572.910000 N N N N/A N/A 000000000 1.000000 NC USD -307477.530000 0.0944463 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-21 407260.760000 USD 0.000000 USD 15500000.000000 USD -714738.290000 N N N N/A N/A 000000000 1.000000 NC USD -501058.950000 0.1539077 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-06-20 868825.380000 USD 0.000000 USD 22800000.000000 USD -1369884.330000 N N N N/A N/A 000000000 1.000000 NC USD -57797.290000 0.0177533 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-06-15 4851.080000 USD 0.000000 USD 1100000.000000 USD -62648.370000 N N N N/A N/A 000000000 1.000000 NC USD -560572.870000 0.1721883 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-12-03 0.000000 USD -22996.900000 USD 10700000.000000 USD -537575.970000 N N N N/A N/A 000000000 1.000000 NC USD 2090157.750000 0.6420232 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-12-15 0.000000 USD -233824.660000 USD 99900000.000000 USD 2323982.410000 N N N N/A N/A 000000000 1.000000 NC USD -141964.570000 0.0436065 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-18 0.000000 USD -164829.590000 USD 2900000.000000 USD 22865.020000 N N N N/A N/A 000000000 1.000000 NC USD -250539.670000 0.0769570 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 0.000000 USD -70525.000000 USD 3100000.000000 USD -180014.670000 N N N N/A N/A 000000000 1.000000 NC USD -479256.690000 0.1472109 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 0.000000 USD -93457.780000 USD 5900000.000000 USD -385798.910000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HQ6 748000.000000 PA USD 305752.480000 0.0939164 Long DBT NUSS AR N 2 2028-01-11 Fixed 5.875 N N N N N N N/A N/A 000000000 1.000000 NC USD -360969.000000 0.1108770 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-10-23 0.000000 USD 0.000000 USD 7000000.000000 USD -360969.000000 N N N N/A N/A 000000000 1.000000 NC USD -2750930.830000 0.8449895 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-05-30 5305.960000 USD 0.000000 USD 32300000.000000 USD -2756236.790000 N N N N/A N/A 000000000 1.000000 NC USD -615499.370000 0.1890598 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-05-30 0.000000 USD 0.000000 USD 7200000.000000 USD -615499.370000 N N N N/A N/A 000000000 1.000000 NC USD -1079437.270000 0.3315653 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-06-19 0.000000 USD -796225.320000 USD 14300000.000000 USD -283211.950000 N N N N/A N/A 000000000 1.000000 NC -781560.310000 0.2400679 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL -5627.580000 BRL 21000000.000000 BRL -775932.730000 N N N N/A N/A 000000000 1.000000 NC USD -20759.850000 0.0063767 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 4891257.320000 USD 4861000.000000 CHF 2019-10-02 -20759.850000 N N N N/A N/A 000000000 1.000000 NC USD -160898.550000 0.0494224 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 6627488.150000 USD 699200000.000000 JPY 2019-10-02 -160898.550000 N N N N/A N/A 000000000 1.000000 NC USD -30521.590000 0.0093752 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 6511454.650000 USD 699200000.000000 JPY 2019-11-05 -30521.590000 N N N N/A N/A 000000000 1.000000 NC 20696.030000 0.0063571 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 4861000.000000 CHF 4905141.370000 USD 2019-11-04 20696.030000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114GK0 1629000.000000 PA USD 653652.540000 0.2007792 Long DBT NUSS AR N 2 2038-12-31 Variable 3.75 N N N N N N N/A N/A 000000000 1.000000 NC -739.050000 0.0002270 N/A DFE CN N 2 UBS AG BFM8T61CT2L1QCEMIK50 8972762.700000 CNY 1256161.650000 USD 2019-12-18 -739.050000 N N N N/A N/A 000000000 1.000000 NC 30048.260000 0.0092298 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 699200000.000000 JPY 6496637.860000 USD 2019-10-02 30048.260000 N N N N/A 549300TRUWO2CD2G5692 000000000 1.000000 NC 15697.090000 0.0048216 N/A DCR IT N 2 Citibank International Limited 31OGKFG0Y1795OV0AK56 UNICREDIT SPA UNICREDIT SPA SUB Y Single Leg Swap 2023-12-21 70600.270000 EUR 0.000000 EUR 385000.000000 EUR -54903.180000 N N N N/A 254900HROIFWPRGM1V77 000000000 -1320000.000000 NC USD -275.880000 0.0000847 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 Put Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2019-10-11 N/A 3.960000 USD 2019-10-11 XXXX 6770.280000 N N N N/A 254900HROIFWPRGM1V77 000000000 -1320000.000000 NC USD -10364.640000 0.0031837 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 Call Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2019-10-11 N/A 4.170000 USD 2019-10-11 XXXX -3174.600000 N N N N/A 254900HROIFWPRGM1V77 000000000 -1320000.000000 NC USD -2051.280000 0.0006301 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2019-10-14 N/A 66.380000 USD 2019-10-14 XXXX 3063.720000 N N N N/A 254900HROIFWPRGM1V77 000000000 -1320000.000000 NC USD -1562.880000 0.0004801 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2019-10-14 N/A 63.860000 USD 2019-10-14 XXXX 3433.320000 N N N N/A 254900HROIFWPRGM1V77 000000000 16.000000 NC USD -19014.720000 0.0058407 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2019-12-19 2085000.000000 USD -19014.720000 N N N N/A 254900HROIFWPRGM1V77 000000000 109.000000 NC USD -48386.250000 0.0148626 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2019-12-31 23489500.000000 USD -48386.250000 N N N N/A 254900HROIFWPRGM1V77 000000000 -61.000000 NC USD 38998.760000 0.0119791 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2019-12-31 -7268054.720000 USD 38998.760000 N N N N/A 254900HROIFWPRGM1V77 000000000 -151.000000 NC USD 523277.490000 0.1607325 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2019-12-19 -24509187.500000 USD 523277.490000 N N N N/A 254900HROIFWPRGM1V77 000000000 -106.000000 NC USD 719392.530000 0.2209722 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2019-12-19 -20342062.500000 USD 719392.530000 N N N ASSET BACKED SEC CORP HM EQ 2005-HE6 N/A 04541GTN2 75000.000000 PA USD 75379.580000 0.0231540 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.97838 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RFZ0 1166000.000000 PA USD 1171941.010000 0.3599792 Long DBT CORP US N 2 2021-06-01 Floating 2.88763 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RGD8 726000.000000 PA USD 739784.080000 0.2272357 Long DBT CORP US N 2 2024-06-12 Floating 3.31163 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RDV1 880000.000000 PA USD 888004.080000 0.2727637 Long DBT CORP US N 2 2021-07-15 Floating 3.25338 N N N N N N AXA EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 1400000.000000 PA USD 1492463.620000 0.4584325 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N BANCO DEL ESTADO DE CHILE 5493004R4EJC0W0XVQ72 P1027DEN7 418000.000000 PA USD 424694.790000 0.1304514 Long DBT CORP CL N 2 2020-10-07 Fixed 4.125 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BQQ3S0II9 100000.000000 PA 115262.250000 0.0354045 Long DBT CORP ES N 2 2021-09-11 Floating 6.25 N N N N Y Banco Santander S.A. USD XXXX N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHE2 44000.000000 PA USD 44096.440000 0.0135449 Long DBT CORP US N 2 2024-03-05 Floating 2.91663 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBG9 300000.000000 PA USD 319264.500000 0.0980669 Long DBT CORP GB N 2 2024-06-15 Floating 8 N N N N Y Barclays PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI1CH093 500000.000000 PA 652655.340000 0.2004728 Long DBT CORP GB N 2 2025-06-15 Floating 7.125 N N N N Y Barclays PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBE4 1100000.000000 PA USD 1143282.480000 0.3511763 Long DBT CORP GB N 2 2023-02-15 Floating 4.61 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBC8 1000000.000000 PA USD 995633.950000 0.3058239 Long DBT CORP GB N 2 2024-05-16 Floating 3.54838 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAQ8 800000.000000 PA USD 807840.000000 0.2481401 Long DBT CORP GB N 2 2021-08-10 Fixed 3.2 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAV7 198000.000000 PA USD 199947.720000 0.0614169 Long DBT CORP US N 2 2022-08-15 Fixed 2.764 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAZ8 100000.000000 PA USD 101276.800000 0.0311087 Long DBT CORP US N 2 2024-08-15 Fixed 3.222 N N N N N N BAT INTERNATIONAL FINANCE PLC 21380041YBGOQDFAC823 05530QAK6 30000.000000 PA USD 31259.950000 0.0096020 Long DBT CORP GB N 2 2025-06-15 Fixed 3.95 N N N N N N BAY AREA TOLL AUTHORITY 5493001FUZGUQMIP5D78 072024PY2 20000.000000 PA USD 33826.600000 0.0103903 Long DBT MUN US N 2 2050-10-01 Fixed 6.907 N N N N N N BCAP LLC TRUST 2010-RR11 N/A 05533JBE2 257572.470000 PA USD 222684.230000 0.0684008 Long ABS-MBS CORP US N 2 2037-03-27 Floating 4.12162 N N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HXZ9 2131015.000000 PA USD 2018139.180000 0.6199016 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.09205 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAA8 465376.040000 PA USD 524079.410000 0.1609788 Long ABS-MBS CORP US N 2 2046-06-25 Floating 2.33838 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAX8 11715.150000 PA USD 11608.410000 0.0035657 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.17838 N N N N N N BEAR STEARNS ALT-A TRUST 2007-2 N/A 073870AA5 334896.680000 PA USD 268661.020000 0.0825233 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.18838 N N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE7 N/A 07388HAP4 222196.630000 PA USD 270661.850000 0.0831378 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.17838 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 105756BY5 506000.000000 PA USD 567673.810000 0.1743695 Long DBT NUSS BR N 2 2047-02-21 Fixed 5.625 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 919QJXII3 3887486.400000 PA 1257488.840000 0.3862565 Long DBT NUSS BR N 2 2035-05-15 Fixed 6 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI0BJ183 2915614.800000 PA 1060649.140000 0.3257942 Long DBT NUSS BR N 2 2055-05-15 Fixed 6 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BC2 88000.000000 PA USD 88003.090000 0.0270315 Long DBT CORP US N 2 2021-03-15 Floating 2.7485 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -2800000.000000 PA -2717712.060000 0.8347859 Short DBT NUSS CA N 2 2048-12-01 Fixed 2.75 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC 549300TPZNMN50BJ3745 16117LBS7 3056506.610000 PA USD 3078213.920000 0.9455194 Long LON CORP US N 2 2025-04-30 Floating 4.05 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BB9 66000.000000 PA USD 69505.080000 0.0213495 Long DBT CORP US N 2 2022-07-23 Fixed 4.464 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175AY0 132000.000000 PA USD 145175.170000 0.0445927 Long DBT CORP US N 2 2025-07-23 Fixed 4.908 N N N N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 1563166.840000 PA USD 1392667.070000 0.4277785 Long ABS-MBS CORP US N 2 2037-07-25 Floating 2.31838 N N N N N N CHEVY CHASE MORTGAGE FUND CORP 2005-3A N/A 16678RDU8 229937.100000 PA USD 230598.310000 0.0708317 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.24838 N N N N N N CHICAGO TRANSIT AUTHORITY 549300CB8XLRGIPN3E12 167725AF7 20000.000000 PA USD 28107.200000 0.0086335 Long DBT MUN US N 2 2040-12-01 Fixed 6.899 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAA0 601537.800000 PA USD 609813.820000 0.1873134 Long ABS-MBS CORP US N 2 2037-10-25 Floating 3.36838 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MA6 858000.000000 PA USD 864249.960000 0.2654673 Long DBT CORP US N 2 2024-06-01 Floating 3.16063 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR3 N/A 17306SAA1 38312.170000 PA USD 39345.070000 0.0120854 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.77265 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-NC2 N/A 17309TAC2 1380964.070000 PA USD 1117902.010000 0.3433803 Long ABS-MBS CORP US N 2 2036-09-25 Floating 2.17838 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-OPT4 N/A 17307GUU0 170608.730000 PA USD 171765.900000 0.0527605 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.59838 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486VV8 88000.000000 PA USD 105024.480000 0.0322598 Long DBT MUN US N 2 2033-01-01 Fixed 7.375 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486D22 21000.000000 PA USD 24194.940000 0.0074318 Long DBT MUN US N 2 2042-01-01 Fixed 7.75 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030NCS8 93000.000000 PA USD 101335.540000 0.0311267 Long DBT CORP US N 2 2025-10-15 Fixed 3.95 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA22 N/A 23245PAA9 13980.260000 PA USD 13653.110000 0.0041938 Long ABS-MBS CORP US N 2 2047-02-25 Floating 2.17838 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDE0 9109.410000 PA USD 8676.900000 0.0026652 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.44605 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1 N/A 02150GAN8 776148.760000 PA USD 338516.350000 0.1039804 Long ABS-MBS CORP US N 2 2037-05-25 Floating 2.36838 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7 N/A 126680AA5 88218.630000 PA USD 84663.810000 0.0260058 Long ABS-MBS CORP US N 2 2047-05-25 Floating 2.19838 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-27CB N/A 12667FWU5 1098858.580000 PA USD 1074674.680000 0.3301024 Long ABS-MBS CORP US N 2 2034-12-25 Fixed 6 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-16 N/A 126670PJ1 1540000.000000 PA USD 1518121.220000 0.4663136 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.49838 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-6 N/A 126673W65 616000.000000 PA USD 618830.030000 0.1900829 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.72838 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-13 N/A 23242EAL3 4180000.000000 PA USD 3755436.150000 1.1535384 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.30838 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-15 N/A 12666UAC7 783784.060000 PA USD 769996.040000 0.2365158 Long ABS-MBS CORP US N 2 2046-10-25 Variable 4.62857 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-8 N/A 045427AC5 630967.700000 PA USD 625882.540000 0.1922492 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.17838 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-5 N/A 12668KAA1 594146.420000 PA USD 470311.990000 0.1444634 Long ABS-MBS CORP US N 2 2047-09-25 Floating 2.21838 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-8 N/A 1266735Z1 770000.000000 PA USD 770321.320000 0.2366157 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.05338 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-13 N/A 126670HJ0 1210000.000000 PA USD 1215683.610000 0.3734154 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.45838 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KJ6 125224.730000 PA USD 116638.200000 0.0358272 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.25838 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 4092.740000 PA USD 4143.680000 0.0012728 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.24106 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 2762.150000 PA USD 2796.890000 0.0008591 Long ABS-MBS CORP US N 2 2035-02-20 Floating 4.2437 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AK4 264000.000000 PA USD 282705.720000 0.0868373 Long DBT CORP CH N 2 2025-09-12 Floating 7.25 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AC5 484000.000000 PA USD 508950.580000 0.1563318 Long DBT CORP GG N 2 2025-03-26 Fixed 3.75 N N N N N N CSMC SERIES 2011-10R N/A 12645TAW2 12389.570000 PA USD 12416.650000 0.0038140 Long ABS-MBS CORP US N 2 2037-02-27 Variable 3.55711 N N N N N N CSN RESOURCES SA 222100ZEX458NMOXZP08 12644VAB4 250000.000000 PA USD 261562.500000 0.0803428 Long DBT CORP LU N 2 2023-02-13 Fixed 7.625 N N N N N N GENERAL MOTORS COMPANY 54930070NSV60J38I987 370ESC733 2000.000000 NS USD 0.000000 0.0000000 Long EP CORP DE N 3 N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DV3 500000.000000 PA USD 502757.690000 0.1544295 Long DBT CORP US N 2 2022-02-15 Floating 3.05813 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-AR2 N/A 25151UAA5 499775.480000 PA USD 477257.950000 0.1465969 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.16838 Y N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BS7 1188000.000000 PA USD 1145100.120000 0.3517346 Long DBT CORP DE N 2 2023-02-27 Floating 3.36225 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BX6 1254000.000000 PA USD 1272473.490000 0.3908593 Long DBT CORP DE N 2 2021-10-14 Fixed 4.25 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CBA2 428000.000000 PA USD 429842.080000 0.1320324 Long DBT CORP US N 2 2021-05-14 Floating 2.67525 N N N N N N ELLINGTON LOAN ACQUISITION TRUST 2007-2 N/A 288547AA0 659641.320000 PA USD 661866.220000 0.2033021 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.06838 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NAP0 264000.000000 PA USD 264500.730000 0.0812454 Long DBT CORP CA N 2 2020-06-15 Floating 2.8185 N N N N N N EXPORT-IMPORT BANK OF KOREA (KEXIM) 549300APVP4R32PI3Y06 302154AX7 484000.000000 PA USD 495369.590000 0.1521602 Long DBT NUSS KR N 2 2021-01-29 Fixed 4 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 286000.000000 PA 343381.870000 0.1054749 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FANNIE MAE 2005-79 N/A 31394FHD0 10361.130000 PA USD 10370.540000 0.0031855 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 2.42838 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 1488.120000 PA USD 1487.940000 0.0004570 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 2.36838 N N N N N N FANNIE MAE 2007-65 N/A 31396WLX2 2601.890000 PA USD 2604.760000 0.0008001 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 2.39838 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 17222.500000 PA USD 17501.000000 0.0053757 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 2.73838 N N N N N N FANNIE MAE REMICS 2012-31 N/A 3136A5JJ6 493000.000000 PA USD 560847.250000 0.1722726 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 4 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 6157.860000 PA USD 6155.210000 0.0018907 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 2.41838 N N N N N N FHLMC PASS THRU POOLS N/A 31297MW95 47322.450000 PA USD 51681.980000 0.0158749 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LDVR2 801.900000 PA USD 867.990000 0.0002666 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7KG7 921.280000 PA USD 996.520000 0.0003061 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5R93 530.740000 PA USD 599.720000 0.0001842 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6YJ1 240357.790000 PA USD 265863.790000 0.0816640 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N FIRST FRANKLIN MTG LN ASSET CERT2005-FF8 N/A 362341QR3 40879.540000 PA USD 41163.080000 0.0126439 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.75338 N N N N N N FIRST HORIZON MTGE PT TR 2007-AR3 N/A 32056JAE4 229309.060000 PA USD 223119.250000 0.0685344 Long ABS-MBS CORP US N 2 2037-11-25 Floating 4.37316 Y N N N N N FNMA PASS THRU POOLS N/A 31368HL35 131.650000 PA USD 148.980000 0.0000458 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371PCJ7 3504.070000 PA USD 3948.280000 0.0012128 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31385XQ59 509.650000 PA USD 574.180000 0.0001764 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31391WFK2 383.880000 PA USD 424.550000 0.0001304 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31400BZL3 237.150000 PA USD 260.410000 0.0000800 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31400JSC4 115.630000 PA USD 130.220000 0.0000400 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402DP79 40760.720000 PA USD 46115.570000 0.0141651 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402QV57 6055.110000 PA USD 6565.540000 0.0020167 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31402RCR8 1763.180000 PA USD 1990.980000 0.0006116 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DBL2 301.060000 PA USD 340.650000 0.0001046 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DDX4 692.250000 PA USD 783.320000 0.0002406 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404ABA1 265.250000 PA USD 299.950000 0.0000921 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31406PG78 26938.600000 PA USD 30392.810000 0.0093356 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407FHF0 435.450000 PA USD 492.410000 0.0001513 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407HKP0 2069.730000 PA USD 2339.550000 0.0007186 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407Q6S0 1051.150000 PA USD 1137.640000 0.0003494 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407RTA2 226.250000 PA USD 255.500000 0.0000785 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407WUV3 8119.080000 PA USD 9050.290000 0.0027799 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31407YXM6 7175.530000 PA USD 8141.120000 0.0025007 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31408AEN6 334.100000 PA USD 377.660000 0.0001160 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31408GY92 731.550000 PA USD 798.770000 0.0002454 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409AJ42 2395.210000 PA USD 2703.370000 0.0008304 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409BBV8 3354.810000 PA USD 3787.560000 0.0011634 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409EN80 435.780000 PA USD 492.020000 0.0001511 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410E3F3 1901.300000 PA USD 2114.040000 0.0006494 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410FCT0 2865.980000 PA USD 3229.460000 0.0009920 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410FVW2 91673.500000 PA USD 103611.120000 0.0318257 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410FVY8 7737.070000 PA USD 8725.740000 0.0026802 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410FYE9 381.480000 PA USD 431.710000 0.0001326 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GF99 4070.850000 PA USD 4607.260000 0.0014152 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KNN0 1163.660000 PA USD 1336.860000 0.0004106 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410UFL1 150.530000 PA USD 153.030000 0.0000470 Long ABS-MBS USGSE US N 2 2022-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411DS75 321.380000 PA USD 362.110000 0.0001112 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411JF43 3411.140000 PA USD 3842.260000 0.0011802 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412MNZ7 966.920000 PA USD 1086.330000 0.0003337 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412NEZ5 41218.850000 PA USD 46634.270000 0.0143244 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412N6Z4 11286.940000 PA USD 12721.080000 0.0039075 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412QXQ7 49032.670000 PA USD 54102.950000 0.0166185 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412V5F1 7165.290000 PA USD 8236.000000 0.0025298 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412XES9 7422.230000 PA USD 8536.300000 0.0026221 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412XMC5 5952.420000 PA USD 6442.760000 0.0019790 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31413DRT6 18857.430000 PA USD 20841.360000 0.0064017 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413TJV5 291.520000 PA USD 334.760000 0.0001028 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413TVD1 30246.230000 PA USD 33527.620000 0.0102985 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31413UW47 4162.830000 PA USD 4181.320000 0.0012844 Long ABS-MBS USGSE US N 2 2022-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415MM28 4861.040000 PA USD 5481.250000 0.0016836 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415P3Z9 3766.220000 PA USD 4224.110000 0.0012975 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415P6P8 37215.310000 PA USD 42123.240000 0.0129388 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415YFZ7 1306.160000 PA USD 1412.640000 0.0004339 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416AVY3 11534.940000 PA USD 12770.380000 0.0039226 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416CBU9 4562.790000 PA USD 5182.870000 0.0015920 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416JH53 1942.190000 PA USD 2002.580000 0.0006151 Long ABS-MBS USGSE US N 2 2023-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416J5B3 4446.660000 PA USD 4964.650000 0.0015250 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416Q6N0 3232.730000 PA USD 3499.810000 0.0010750 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418P3W3 15708.120000 PA USD 17751.060000 0.0054525 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418TWY9 70630.880000 PA USD 78962.850000 0.0242546 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418T2H9 11633.070000 PA USD 12119.550000 0.0037227 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418V3Z3 30820.130000 PA USD 32125.260000 0.0098678 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419ARE9 988.130000 PA USD 1117.280000 0.0003432 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31419AVJ3 23425.290000 PA USD 26982.410000 0.0082881 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31419A3K1 661.950000 PA USD 762.460000 0.0002342 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31419JSV1 30055.070000 PA USD 32491.630000 0.0099803 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ABYE3 6823.740000 PA USD 7397.820000 0.0022724 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138APAF5 42147.260000 PA USD 44602.100000 0.0137002 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ARNJ9 41306.670000 PA USD 44785.900000 0.0137567 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EGE26 36464.980000 PA USD 42001.790000 0.0129015 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EGSJ4 273154.480000 PA USD 308066.790000 0.0946273 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EHPD8 348003.440000 PA USD 377059.620000 0.1158195 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EKSM8 92969.440000 PA USD 104998.550000 0.0322519 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EKW35 39395.790000 PA USD 45376.470000 0.0139381 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EK2L8 7250.750000 PA USD 8345.260000 0.0025634 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138ELCT8 77385.670000 PA USD 89134.930000 0.0273791 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138L0MH1 21965.200000 PA USD 22171.740000 0.0068104 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 2.31 N N N N N N FNMA PASS THRU POOLS N/A 3140GQ6E1 200736.970000 PA USD 207262.690000 0.0636638 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H1FD7 205446.100000 PA USD 212064.530000 0.0651388 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H4B45 198354.140000 PA USD 204459.140000 0.0628027 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5LT6 196831.050000 PA USD 203278.870000 0.0624401 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5MJ7 199511.910000 PA USD 206335.410000 0.0633790 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5M32 189312.220000 PA USD 195216.230000 0.0599636 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5NN7 205479.550000 PA USD 212064.830000 0.0651389 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5N64 188309.780000 PA USD 194154.920000 0.0596376 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HBJZ2 197850.830000 PA USD 204610.290000 0.0628491 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HN5H1 174885.390000 PA USD 179526.940000 0.0551444 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9HE6 203905.920000 PA USD 210991.750000 0.0648093 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CS47 865127.220000 PA USD 895527.290000 0.2750746 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CUA0 296749.420000 PA USD 306535.840000 0.0941571 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 7517380.680000 PA USD 7786938.920000 2.3918747 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CV27 200858.440000 PA USD 207852.930000 0.0638451 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CWS9 199897.900000 PA USD 206298.270000 0.0633676 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CXM1 196368.080000 PA USD 202624.260000 0.0622391 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CXN9 1076993.180000 PA USD 1123603.640000 0.3451317 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CYL2 983938.680000 PA USD 1012199.780000 0.3109123 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CZG2 193372.220000 PA USD 198523.070000 0.0609793 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418C3C6 188233.260000 PA USD 193781.590000 0.0595229 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 3.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540RAC0 550000.000000 PA USD 550077.810000 0.1689646 Long DBT CORP US N 2 2020-09-24 Floating 3.06463 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540XAB9 700000.000000 PA USD 700520.330000 0.2151753 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 14811.480000 PA USD 15029.730000 0.0046166 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 2.7275 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 9488.110000 PA USD 9633.980000 0.0029592 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 2.7475 N N N N N N FREDDIE MAC 3368 N/A 31397KL82 8748.550000 PA USD 8883.170000 0.0027286 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 2.7475 N N N N N N FREDDIE MAC 3898 N/A 3137ADX44 89334.510000 PA USD 89885.570000 0.0276097 Long ABS-MBS USGSE US N 2 2041-06-15 Floating 2.5975 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 2608.190000 PA USD 2649.080000 0.0008137 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 2.7375 N N N N N N FREDDIE MAC REMICS 4077 N/A 3137ASAN4 427000.000000 PA USD 494601.440000 0.1519242 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 4 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XBN5 792000.000000 PA USD 792057.220000 0.2432922 Long DBT CORP US N 2 2019-10-04 Floating 3.583 N N N N N N GLS AUTO RECEIVABLES TRUST 2019-3A N/A 36258AAA8 865152.840000 PA USD 866259.540000 0.2660846 Long ABS-O CORP US N 2 2023-07-17 Fixed 2.58 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 40915.080000 PA USD 407227.810000 0.1250861 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 21H0506B3 4900000.000000 PA USD 5160886.730000 1.5852435 Long ABS-MBS USGSE US N 2 2049-11-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295GWA6 19449.540000 PA USD 21930.920000 0.0067364 Long ABS-MBS USGSE US N 2 2037-08-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36296UNU0 32293.230000 PA USD 36315.530000 0.0111549 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620A2UY0 23309.840000 PA USD 26196.460000 0.0080466 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 4264032.120000 PA USD 42184069.750000 12.9574679 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 36241KUL0 1755.160000 PA USD 1974.630000 0.0006065 Long ABS-MBS USGSE US N 2 2038-08-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241KZ35 12011.390000 PA USD 13493.260000 0.0041447 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36177MGP1 12933.660000 PA USD 13643.460000 0.0041908 Long ABS-MBS USGSE US N 2 2042-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36177TAG2 2240.030000 PA USD 2354.090000 0.0007231 Long ABS-MBS USGSE US N 2 2042-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178CLZ4 35192.210000 PA USD 37045.760000 0.0113792 Long ABS-MBS USGSE US N 2 2042-06-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178NB65 10501.480000 PA USD 11053.670000 0.0033953 Long ABS-MBS USGSE US N 2 2042-08-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36180DSZ1 16554.620000 PA USD 17312.720000 0.0053179 Long ABS-MBS USGSE US N 2 2043-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183BCF3 94866.100000 PA USD 99824.000000 0.0306624 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184BZF7 40531.670000 PA USD 42416.980000 0.0130290 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184BZJ9 55878.750000 PA USD 58170.900000 0.0178681 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184EA27 6948.330000 PA USD 7230.650000 0.0022210 Long ABS-MBS USGSE US N 2 2045-05-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184KHZ3 68052.710000 PA USD 70832.090000 0.0217571 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184NBT7 191913.850000 PA USD 201575.650000 0.0619170 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36185BRF5 40467.020000 PA USD 42144.640000 0.0129454 Long ABS-MBS USGSE US N 2 2045-06-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36186SMU9 68837.840000 PA USD 72061.190000 0.0221347 Long ABS-MBS USGSE US N 2 2045-06-15 Fixed 3.5 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAF7 418000.000000 PA USD 421280.890000 0.1294027 Long DBT CORP US N 2 2021-11-15 Floating 3.32813 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H31 N/A 38375BC59 546797.120000 PA USD 546443.780000 0.1678484 Long ABS-MBS USGSE US N 2 2062-11-20 Floating 2.39 N N N N N N GSAMP TRUST 2006-HE8 N/A 3622M8AE6 902000.000000 PA USD 792270.260000 0.2433577 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.24838 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAB7 5293.850000 PA USD 3090.510000 0.0009493 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.08838 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RT8 28910.810000 PA USD 29411.320000 0.0090341 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.92811 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 1028.240000 PA USD 1057.940000 0.0003250 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.28749 N N N N N N GSR MORTGAGE LOAN TRUST 2006-9F N/A 3622X7AE6 168576.920000 PA USD 167746.910000 0.0515260 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.25 Y N N N N N GSR MORTGAGE LOAN TRUST 2007-2F N/A 362636AT9 2318.470000 PA USD 2014.840000 0.0006189 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N HALCYON LOAN ADVISORS FUNDING 2014-3 LTD N/A 40538FAQ6 140896.070000 PA USD 140929.500000 0.0432886 Long ABS-CBDO CORP KY N 2 2025-10-22 Floating 3.37763 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 1700000.000000 PA 2094985.280000 0.6435061 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.76015 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 BFM4XMII1 264000.000000 PA 343748.640000 0.1055875 Long DBT CORP GB N 2 2026-09-28 Floating 5.875 N N N N Y HSBC Holdings plc GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BG3 264000.000000 PA USD 269033.700000 0.0826377 Long DBT CORP GB N 2 2022-01-05 Floating 3.7885 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AV1 308000.000000 PA USD 312799.710000 0.0960811 Long DBT CORP GB N 2 2021-03-08 Fixed 3.4 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AW9 220000.000000 PA USD 238421.950000 0.0732349 Long DBT CORP GB N 2 2026-03-08 Fixed 4.3 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BQ1 352000.000000 PA USD 352403.070000 0.1082459 Long DBT CORP GB N 2 2021-05-18 Floating 2.72375 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BR9 200000.000000 PA USD 200903.030000 0.0617104 Long DBT CORP GB N 2 2024-05-18 Floating 3.12375 N N N N N N HSI ASSET SECUR CORP TRUST 2007-HE1 N/A 40430FAA0 485074.130000 PA USD 386617.370000 0.1187553 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.15838 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAB9 200000.000000 PA USD 200197.040000 0.0614935 Long DBT CORP GB N 2 2026-07-26 Fixed 3.5 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR27 N/A 45661LAC2 225036.660000 PA USD 142519.200000 0.0437769 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.28838 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR14 N/A 45668GAD4 1068561.820000 PA USD 1015340.820000 0.3118771 Long ABS-MBS CORP US N 2 2046-11-25 Floating 2.21838 Y N N N N N IRVINE RANCH WATER DISTRICT 2ZRS7W19IBMY48SFBI68 4636324P1 350000.000000 PA USD 525021.000000 0.1612681 Long DBT MUN US N 2 2040-05-01 Fixed 6.622 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513YJJ8 200000.000000 PA USD 235438.000000 0.0723183 Long DBT NUSS IL N 2 2048-01-17 Fixed 4.125 N N N N N N JAPAN GOVT N/A ACI12NZL6 403711308.000000 PA 3894297.290000 1.1961917 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HHA1 330000.000000 PA USD 332048.310000 0.1019936 Long DBT CORP US N 2 2020-01-30 Floating 5.73575 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAT3 726000.000000 PA USD 728459.380000 0.2237572 Long DBT CORP US N 2 2022-06-18 Floating 2.75513 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAU0 242000.000000 PA USD 255545.090000 0.0784945 Long DBT CORP US N 2 2024-07-23 Floating 3.797 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAW6 638000.000000 PA USD 640702.890000 0.1968015 Long DBT CORP US N 2 2024-07-23 Floating 3.14938 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A3 N/A 46628KAT7 16285.340000 PA USD 16441.850000 0.0050504 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.12844 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAH8 349315.450000 PA USD 359575.330000 0.1104489 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.50792 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 451.450000 PA USD 457.520000 0.0001405 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.68337 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAL0 22000.000000 PA USD 23505.880000 0.0072202 Long DBT CORP US N 2 2035-07-15 Fixed 5 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAM8 22000.000000 PA USD 23176.380000 0.0071190 Long DBT CORP US N 2 2045-07-15 Fixed 5.2 N N N N N N LA QUINTA FINANCING AUTHORITY N/A 50420ABJ2 300000.000000 PA USD 316905.000000 0.0973421 Long DBT MUN US N 2 2036-09-01 Fixed 8.07 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AU3 500000.000000 PA USD 533552.500000 0.1638886 Long DBT CORP GB N 2 2025-09-27 Floating 7.5 N N N N Y Lloyds Banking Group plc GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AT6 2800000.000000 PA USD 3084010.220000 0.9472999 Long DBT CORP GB N 2 2028-08-16 Fixed 4.55 N N N N N N MASTR ASSET BACKED SEC TR 2007-WMC1 N/A 55275TAB4 6081.610000 PA USD 2450.890000 0.0007528 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.06838 N N N N N N MCDONALDS CORPORATION UE2136O97NLB5BYP9H04 58013MFG4 396000.000000 PA USD 396198.080000 0.1216982 Long DBT CORP US N 2 2021-10-28 Floating 2.68575 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 33004.580000 PA USD 30383.100000 0.0093326 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.37362 Y N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAD4 1485553.570000 PA USD 963820.470000 0.2960519 Long ABS-MBS CORP US N 2 2037-08-25 Floating 2.16838 N N N N N N METROPOLITAN GOVERNMENT OF NASHVILLE & DAVIDSON COUNTY CONVENTION CENTER AUTH N/A 592125AM0 20000.000000 PA USD 29795.400000 0.0091521 Long DBT MUN US N 2 2043-07-01 Fixed 6.731 N N N N N N MONARCH GROVE CLO 2018-1A N/A 60909GAA8 1276000.000000 PA USD 1271267.790000 0.3904889 Long ABS-CBDO CORP KY N 2 2028-01-25 Floating 3.1555 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAC4 2643325.460000 PA USD 1630116.870000 0.5007148 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.14838 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAA4 1888002.550000 PA USD 952292.060000 0.2925107 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.23338 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-11AR N/A 61748HTG6 467496.910000 PA USD 357597.830000 0.1098415 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.29838 Y N N N N N MOUNTAIN HAWK III CLO LTD 2014-3A N/A 62405CAN4 179952.640000 PA USD 180065.810000 0.0553099 Long ABS-CBDO CORP KY N 2 2025-04-18 Floating 3.49963 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAC1 374000.000000 PA USD 393029.570000 0.1207249 Long DBT CORP GB N 2 2024-08-01 Floating 4.363 N N N N N N NAVIENT PRIVATE EDUCATION LOAN TRUST 2017-A N/A 63939XAA9 45319.850000 PA USD 45313.490000 0.0139187 Long ABS-O CORP US N 2 2058-12-16 Floating 2.4275 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AZ2 800000.000000 PA USD 804472.580000 0.2471058 Long DBT CORP US N 2 2022-07-13 Fixed 2.65 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BA6 1300000.000000 PA USD 1297045.620000 0.3984070 Long DBT CORP US N 2 2022-07-13 Floating 2.95338 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AP2 N/A 65535VLL0 2819.330000 PA USD 2226.970000 0.0006840 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.476 Y N N N N N NOVASTAR HOME EQUITY LOAN 2006-4 N/A 66988XAD6 1400277.870000 PA USD 783187.600000 0.2405678 Long ABS-MBS CORP US N 2 2036-09-25 Floating 2.26838 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599CQ6 500000.000000 PA USD 503364.730000 0.1546160 Long DBT CORP US N 2 2022-08-15 Floating 3.637 N N N N N N OHA CREDIT PARTNERS IX LTD 2013-9A N/A 67105VAS3 84488.090000 PA USD 84544.900000 0.0259692 Long ABS-CBDO CORP KY N 2 2025-10-20 Floating 3.28763 N N N N N N OPTION ONE MORTGAGE LOAN TR 2005-1 N/A 68389FGK4 1717448.270000 PA USD 1703252.870000 0.5231796 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.79838 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2006-1 N/A 68389FKR4 814000.000000 PA USD 754783.780000 0.2318431 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.37838 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-3 N/A 68402BAA4 582892.450000 PA USD 444675.190000 0.1365886 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.23838 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-4 N/A 68403FAA4 464808.250000 PA USD 383386.770000 0.1177630 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.23838 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-5 N/A 68403HAA0 609043.120000 PA USD 447117.680000 0.1373389 Long ABS-MBS CORP US N 2 2037-05-25 Floating 2.23838 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NBF5 446000.000000 PA USD 465802.400000 0.1430782 Long DBT CORP NL N 2 2030-01-15 Fixed 5.093 N N N N N N PUBLIC POWER GENERATION AGENCY N/A 744434CW9 20000.000000 PA USD 27735.600000 0.0085194 Long DBT MUN US N 2 2041-01-01 Fixed 7.242 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 B45GZMII6 352000.000000 PA USD 355220.800000 0.1091114 Long DBT NUSS QA N 2 2020-01-20 Fixed 5.25 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAF3 215676.590000 PA USD 115310.670000 0.0354194 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.586 N N N N N N RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4 N/A 74923HAK7 1365237.680000 PA USD 1284449.470000 0.3945379 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 138375.330000 PA USD 132063.380000 0.0405652 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.20338 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAC7 477791.540000 PA USD 452123.380000 0.1388765 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.18838 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO2 N/A 761118HU5 11822.470000 PA USD 11204.930000 0.0034418 Long ABS-MBS CORP US N 2 2045-09-25 Floating 3.80605 N N N N N N RESIDENTIAL ASSET SECS CORP 2005-KS12 N/A 753910AF5 2200000.000000 PA USD 2086537.200000 0.6409111 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.49838 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780099CJ4 200000.000000 PA USD 204750.000000 0.0628920 Long DBT CORP GB N 2 2020-08-10 Floating 7.5 N N N N Y Royal Bank of Scotland Group plc GBP XXXX N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 396000.000000 PA USD 436030.090000 0.1339332 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 1800000.000000 PA USD 1804741.520000 0.5543533 Long DBT CORP GB N 2 2024-06-25 Floating 3.65625 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 1100000.000000 PA USD 1157510.670000 0.3555467 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAJ4 440000.000000 PA USD 471644.220000 0.1448726 Long DBT CORP GB N 2 2024-11-15 Floating 4.796 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAX1 700000.000000 PA USD 711168.380000 0.2184460 Long DBT CORP GB N 2 2024-06-18 Fixed 2.875 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TAG4 374000.000000 PA USD 401336.030000 0.1232764 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TAJ8 200000.000000 PA USD 241198.000000 0.0740876 Long DBT NUSS SA N 2 2049-04-17 Fixed 5 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 389073.450000 PA USD 220769.070000 0.0678125 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.25838 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BB4 638000.000000 PA USD 636098.790000 0.1953873 Long DBT CORP US N 2 2021-03-15 Floating 2.5685 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-FRE1 N/A 81879MAV1 2045565.490000 PA USD 1346508.210000 0.4136001 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.19838 N N N N N N SLM STUDENT LOAN TR 2003-2 N/A 99PFQNII6 8933.990000 PA 9743.880000 0.0029930 Long ABS-O CORP US N 2 2023-12-15 Floating 0 N N N N N N SLM STUDENT LOAN TRUST 2010-A N/A 78445MAB6 2475.710000 PA USD 2484.160000 0.0007630 Long ABS-O CORP US N 2 2044-05-16 Floating 5.2775 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2007-20L N/A 83162CRL9 2941.260000 PA USD 3126.140000 0.0009602 Long ABS-O CORP US N 2 2027-12-01 Fixed 5.29 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20L N/A 83162CSE4 3186.420000 PA USD 3509.740000 0.0010781 Long ABS-O CORP US N 2 2028-12-01 Fixed 6.22 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2009-20E N/A 83162CSN4 16433.390000 PA USD 17376.970000 0.0053376 Long ABS-O CORP US N 2 2029-05-01 Fixed 4.43 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAB8 2975.670000 PA USD 2248.590000 0.0006907 Long ABS-MBS CORP US N 2 2037-06-25 Floating 2.09838 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAD4 722605.380000 PA USD 554754.480000 0.1704011 Long ABS-MBS CORP US N 2 2037-06-25 Floating 2.22838 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1 N/A 83612NAC9 1694940.930000 PA USD 632755.010000 0.1943602 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.12838 N N N N N N SOUNDVIEW HOME EQUITY LOAN TRUST 2007-1 N/A 83612PAA8 223449.440000 PA USD 216473.710000 0.0664931 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.16838 N N N N N N ACE SECURITIES CORP 2005-SD2 N/A 004421QH9 691000.000000 PA USD 600941.620000 0.1845882 Long ABS-MBS CORP US N 2 2040-08-25 Floating 5.01838 Y N N N N N ACE SECURITIES CORP 2006-NC2 N/A 00441XAA2 458424.590000 PA USD 368998.380000 0.1133434 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.15838 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BR0 600000.000000 PA USD 603378.000000 0.1853366 Long DBT CORP GB N 2 2022-09-10 Floating 3.33413 N N N N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 BJBQCWII7 107800.000000 PA 148104.520000 0.0454925 Long DBT CORP NL N 2 2049-12-29 Variable 6.5 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-1 N/A 86362TAA5 268985.290000 PA USD 262521.360000 0.0806374 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.16838 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR2 N/A 86363DAH4 6583.640000 PA USD 4457.060000 0.0013691 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.27838 N N N N N N STRUCTURED ASSET SEC CORP 2007-WF1 N/A 86358BAT9 759628.810000 PA USD 750433.960000 0.2305070 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.22838 N N N N N N STRUCTURED ASSET SECURITIES CO-2007-BC3 N/A 86363WAC3 1171585.360000 PA USD 1137431.070000 0.3493790 Long ABS-MBS CORP US N 2 2047-05-25 Floating 2.24838 N N N N N N SYMPHONY CLO XVII LTD 2016-17A N/A 87165UAN1 462000.000000 PA USD 460732.760000 0.1415210 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 3.18338 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 000000000 2600000.000000 PA 1960150.960000 0.6020897 Long DBT CORP CA N 2 2019-10-25 Fixed 0 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 943781.960000 PA 1163304.860000 0.3573265 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.79763 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 ACI07SK20 500000.000000 PA 578143.990000 0.1775856 Long DBT CORP CH N 2 2026-02-12 Floating 4.75 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 462000.000000 PA USD 498463.810000 0.1531106 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UBS AG/STAMFORD CT BRANCH BFM8T61CT2L1QCEMIK50 90261AAB8 363000.000000 PA USD 409861.490000 0.1258951 Long DBT CORP CH N 2 2022-08-17 Fixed 7.625 N N N N N N UBS GROUP FUNDING (SWITZERLAND) AG 506700Q800G1L95S7805 90352JAD5 200000.000000 PA USD 201057.770000 0.0617579 Long DBT CORP CH N 2 2023-08-15 Floating 3.10813 N N N N N N UMBS PASS THRU POOLS N/A 01F0226B6 1700000.000000 PA USD 1690875.320000 0.5193776 Long ABS-MBS USGSE US N 2 2049-11-13 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0306B9 3600000.000000 PA USD 3652874.960000 1.1220352 Long ABS-MBS USGSE US N 2 2049-11-13 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F0326B5 11440000.000000 PA USD 11740076.460000 3.6061401 Long ABS-MBS USGSE US N 2 2049-11-13 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0406A0 24200000.000000 PA USD 25116953.250000 7.7150478 Long ABS-MBS USGSE US N 2 2049-10-10 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F0406B8 40000000.000000 PA USD 41535937.200000 12.7583843 Long ABS-MBS USGSE US N 2 2049-11-13 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F0426B4 5300000.000000 PA USD 5585289.090000 1.7156051 Long ABS-MBS USGSE US N 2 2049-11-13 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0506B7 -3900000.000000 PA USD -4181226.580000 1.2843263 Short ABS-MBS USGSE US N 2 2049-11-13 Fixed 5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 640000.000000 PA USD 750882.430000 0.2306448 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796RM3 25000.000000 PA USD 24955.980000 0.0076656 Long DBT UST US N 2 2019-11-07 Fixed 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828SA9 9145320.040000 PA USD 9063064.750000 2.7838559 Long DBT UST US N 2 2022-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828UH1 660225.060000 PA USD 655198.540000 0.2012540 Long DBT UST US N 2 2023-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N71 107973.000000 PA USD 110859.830000 0.0340523 Long DBT UST US N 2 2026-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FS2 56875.280000 PA USD 63233.980000 0.0194233 Long DBT UST US N 2 2026-01-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PV4 36739.200000 PA USD 41363.460000 0.0127054 Long DBT UST US N 2 2028-01-15 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 111590.000000 PA USD 114692.780000 0.0352296 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 880656.000000 PA USD 1057385.910000 0.3247919 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 866216.000000 PA USD 967554.400000 0.2971988 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 4300972.260000 PA USD 4837976.000000 1.4860567 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 5822197.380000 PA USD 6595852.020000 2.0260146 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X39 1687904.000000 PA USD 1671705.190000 0.5134892 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FD5 69794.120000 PA USD 89708.870000 0.0275554 Long DBT UST US N 2 2028-04-15 Fixed 3.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828VM9 2886187.920000 PA USD 2905651.710000 0.8925144 Long DBT UST US N 2 2023-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Y38 24529.680000 PA USD 25802.920000 0.0079258 Long DBT UST US N 2 2028-07-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828P87 17300000.000000 PA USD 17149638.610000 5.2677680 Long DBT UST US N 2 2021-02-28 Fixed 1.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828B66 6064000.000000 PA USD 6367200.000000 1.9557807 Long DBT UST US N 2 2024-02-15 Fixed 2.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828P46 100000.000000 PA USD 100060.550000 0.0307351 Long DBT UST US N 2 2026-02-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286B1 23656000.000000 PA USD 25613626.490000 7.8676084 Long DBT UST US N 2 2029-02-15 Fixed 2.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QE1 1807000.000000 PA USD 2617926.540000 0.8041353 Long DBT UST US N 2 2040-02-15 Fixed 4.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 6800000.000000 PA USD 8115906.220000 2.4929220 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X70 300000.000000 PA USD 305806.640000 0.0939331 Long DBT UST US N 2 2024-04-30 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XB1 4211000.000000 PA USD 4331655.000000 1.3305326 Long DBT UST US N 2 2025-05-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286T2 7000000.000000 PA USD 7436679.670000 2.2842874 Long DBT UST US N 2 2029-05-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QH4 1606000.000000 PA USD 2260946.880000 0.6944836 Long DBT UST US N 2 2040-05-15 Fixed 4.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282P4 8352000.000000 PA USD 8416597.540000 2.5852838 Long DBT UST US N 2 2022-07-31 Fixed 1.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XQ8 2970000.000000 PA USD 3005036.730000 0.9230420 Long DBT UST US N 2 2022-07-31 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828D56 3862000.000000 PA USD 4007730.180000 1.2310343 Long DBT UST US N 2 2024-08-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282R0 6800000.000000 PA USD 7110515.610000 2.1841012 Long DBT UST US N 2 2027-08-15 Fixed 2.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 154000.000000 PA USD 183320.160000 0.0563095 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828T26 14000000.000000 PA USD 13898834.180000 4.2692348 Long DBT UST US N 2 2023-09-30 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285C0 600000.000000 PA USD 647707.030000 0.1989529 Long DBT UST US N 2 2025-09-30 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285J5 600000.000000 PA USD 648316.400000 0.1991401 Long DBT UST US N 2 2025-10-31 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828A42 3890000.000000 PA USD 3898813.260000 1.1975788 Long DBT UST US N 2 2020-11-30 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828U24 7329000.000000 PA USD 7517235.030000 2.3090312 Long DBT UST US N 2 2026-11-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N48 6162000.000000 PA USD 6159231.910000 1.8919002 Long DBT UST US N 2 2020-12-31 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285T3 200000.000000 PA USD 212023.440000 0.0651262 Long DBT UST US N 2 2025-12-31 Fixed 2.625 N N N N N N UNIVERSITY OF ARIZONA N/A 040484DX2 220000.000000 PA USD 228272.000000 0.0701172 Long DBT MUN US N 2 2035-08-01 Fixed 6.423 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VEP5 396000.000000 PA USD 402442.010000 0.1236161 Long DBT CORP US N 2 2025-05-15 Floating 3.25813 N N N N N N ALLEGRO CLO I LTD 2013-1A N/A 01749GAJ7 84442.360000 PA USD 84493.010000 0.0259533 Long ABS-CBDO CORP KY N 2 2026-01-30 Floating 3.48575 N N N N N N VOLT LXII LLC 2017-NPL9 N/A 92872FAA6 492179.900000 PA USD 493683.900000 0.1516424 Long ABS-MBS CORP US N 2 2047-09-25 Fixed 3.125 N N N N N N WACHOVIA MORTGAGE LN TRUST LLC 2005-B N/A 92977YBR1 128868.690000 PA USD 120912.560000 0.0371401 Long ABS-MBS CORP US N 2 2035-10-20 Floating 4.50535 Y N N N N N ALLERGAN FUNDING SCS 222100FLFVOSKCBCAR54 00507UAR2 220000.000000 PA USD 225552.300000 0.0692818 Long DBT CORP LU N 2 2022-03-15 Fixed 3.45 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 17727.170000 PA USD 17506.130000 0.0053773 Long ABS-MBS CORP US N 2 2042-11-25 Floating 3.64605 N N N N N N ALLERGAN SALES LLC 254900TUPGX2F5Y3AU71 345838AE6 31000.000000 PA USD 31870.990000 0.0097897 Long DBT CORP US N 2 2021-02-15 Fixed 4.875 N N N N N N WASHINGTON MUTUAL 2006-AR11 N/A 93363TAD4 1410680.400000 PA USD 1362982.330000 0.4186604 Long ABS-MBS CORP US N 2 2046-09-25 Floating 3.36605 Y N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AE0 100780.690000 PA USD 95284.520000 0.0292681 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.29433 Y N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 28527.910000 PA USD 29210.930000 0.0089726 Long ABS-MBS CORP US N 2 2046-02-25 Floating 3.44605 N N N N N N WASHINGTON MUTUAL 2006-AR8 N/A 93362FAD5 611345.430000 PA USD 593951.370000 0.1824410 Long ABS-MBS CORP US N 2 2046-08-25 Floating 3.88134 Y N N N N N WELLS FARGO HOME EQUITY TRUST 2005-3 N/A 9497ENAD5 123305.680000 PA USD 123445.190000 0.0379180 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.90338 N N N N N N WELLS FARGO HOME EQUITY TRUST 2005-4 N/A 9497EMAJ4 701000.000000 PA USD 696012.460000 0.2137906 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.51838 N N N N N N WELLS FARGO MTGE BACKED SEC 2004-W N/A 94980QAA7 27982.660000 PA USD 28842.740000 0.0088595 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.84273 N N N N N N WELLS FARGO MTGE BACKED SEC TR 2004-CC N/A 94981MAA5 1297.610000 PA USD 1346.020000 0.0004135 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.98368 N N N N N N WELLS FARGO MTGE BACKED SEC TR 2006-AR10 N/A 94983YAA7 2518.870000 PA USD 2505.850000 0.0007697 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.97547 Y N N N N N N/A N/A 000000000 211000.000000 PA USD 211000.000000 0.0648118 Long RA US N 2 Repurchase N 1.5000000 2019-10-01 215000.000000 USD 216604.120000 USD UST N N N N/A N/A 000000000 1.000000 NC USD -9400.500000 0.0028875 N/A DFE GB N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 4421024.170000 USD 3588000.000000 GBP 2019-10-02 -9400.500000 N N N N/A N/A 000000000 1.000000 NC 9456.110000 0.0029046 N/A DFE GB N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 3588000.000000 GBP 4426999.980000 USD 2019-11-04 9456.110000 N N N N/A N/A 000000000 1.000000 NC USD -4909.930000 0.0015082 N/A DFE N/A N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 890648.140000 USD 810000.000000 EUR 2019-11-15 -4909.930000 N N N N/A N/A 000000000 1.000000 NC USD -322.470000 0.0000991 N/A DFE SG N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 3283684.560000 USD 4534000.000000 SGD 2019-12-18 -322.470000 N N N N/A N/A 000000000 1.000000 NC -619.980000 0.0001904 N/A DFE CA N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 3524000.000000 CAD 2659349.680000 USD 2019-10-02 -619.980000 N N N N/A N/A 000000000 1.000000 NC 106229.280000 0.0326299 N/A DFE N/A N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 2873000.000000 EUR 3247866.170000 USD 2019-11-15 106229.280000 N N N N/A N/A 000000000 1.000000 NC 1324.300000 0.0004068 N/A DFE N/A N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 149000.000000 EUR 164256.390000 USD 2019-11-15 1324.300000 N N N N/A N/A 000000000 1.000000 NC USD -103145.810000 0.0316828 N/A DFE ZA N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 1791365.430000 USD 25584956.240000 ZAR 2019-10-07 -103145.810000 N N N N/A N/A 000000000 1.000000 NC -8441.580000 0.0025930 N/A DFE TW N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 32563736.000000 TWD 1046897.150000 USD 2019-12-18 -8441.580000 N N N N/A N/A 000000000 1.000000 NC USD -581420.490000 0.1785920 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.IG.32 N/A N/A Y Single Leg Swap 2024-06-21 0.000000 USD -572530.910000 USD 27200000.000000 USD -8889.580000 N N N N/A N/A 000000000 1.000000 NC USD 37912.890000 0.0116455 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.33 Y Single Leg Swap 2024-12-21 38483.590000 USD 0.000000 USD 1900000.000000 USD -570.700000 N N N N/A N/A 000000000 1.000000 NC USD -1010.380000 0.0003104 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 33857.320000 USD 114593498.800000 COP 2019-11-25 -1010.380000 N N N N/A N/A 000000000 1.000000 NC 870.930000 0.0002675 N/A DFE CA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 150000.000000 CAD 114093.250000 USD 2019-10-02 870.930000 N N N N/A N/A 000000000 1.000000 NC 10749.150000 0.0033018 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 430000.000000 EUR 480955.860000 USD 2019-11-15 10749.150000 N N N N/A N/A 000000000 1.000000 NC 4945.060000 0.0015189 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 221000.000000 EUR 246609.440000 USD 2019-11-15 4945.060000 N N N N/A N/A 000000000 1.000000 NC 7971.970000 0.0024487 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 542000.000000 EUR 600651.120000 USD 2019-11-15 7971.970000 N N N N/A N/A 000000000 1.000000 NC -33000.340000 0.0101365 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 3588000.000000 GBP 4378623.330000 USD 2019-10-02 -33000.340000 N N N N/A N/A 000000000 -318.000000 NC USD -27825.000000 0.0085469 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 EURO$ CME (WHT) 12/16/19 2019-12-17 N/A USD N/A 97.880000 USD 2019-12-16 XXXX 6251.300000 N N N N/A N/A 000000000 -318.000000 NC USD -67575.000000 0.0207567 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 EURO$ CME (WHT) 12/16/19 2019-12-17 N/A USD N/A 98.000000 USD 2019-12-16 XXXX -2898.700000 N N N N/A N/A 000000000 318.000000 NC USD 129187.500000 0.0396819 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT EURO$ CME (WHT) 12/16/19 2019-12-17 N/A USD N/A 98.130000 USD 2019-12-16 XXXX 15026.300000 N N N N/A 529900AQBND3S6YJLY83 000000000 13.000000 NC -3545.170000 0.0010890 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2019-12-06 2469009.990000 EUR -3545.170000 N N N N/A 529900AQBND3S6YJLY83 000000000 -13.000000 NC 4096.930000 0.0012584 N/A DIR DE N 1 Eurex N/A Call Written Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 12/06/19 2019-12-07 N/A EUR N/A 174.500000 EUR 2019-10-25 XXXX 4096.930000 N N N N/A N/A 000000000 1.000000 NC USD 2696.190000 0.0008282 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2708600.920000 USD 3592000.000000 CAD 2019-10-02 2696.190000 N N N N/A N/A 000000000 1.000000 NC USD -139561.800000 0.0428685 N/A DFE CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1727345.320000 USD 5528627811.200000 COP 2019-10-15 -139561.800000 N N N N/A N/A 000000000 1.000000 NC USD -134.060000 0.0000412 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 11804.820000 USD 230851.460000 MXN 2019-10-16 -134.060000 N N N N/A N/A 000000000 1.000000 NC 189.920000 0.0000583 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 230851.460000 MXN 11874.160000 USD 2019-10-09 189.920000 N N N N/A N/A 000000000 1.000000 NC USD 1951.070000 0.0005993 N/A DFE CA N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 3841569.220000 USD 5092000.000000 CAD 2019-10-02 1951.070000 N N N N/A N/A 000000000 1.000000 NC USD -368770.820000 0.1132735 N/A DFE CN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 7168670.260000 USD 48600000.000000 CNY 2019-11-13 -368770.820000 N N N N/A N/A 000000000 1.000000 NC USD -300856.350000 0.0924125 N/A DFE CN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 5859612.400000 USD 39729344.000000 CNY 2019-11-13 -300856.350000 N N N N/A N/A 000000000 1.000000 NC USD -974626.330000 0.2993711 N/A DFE CN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 18587177.810000 USD 125879803.000000 CNY 2019-11-13 -974626.330000 N N N N/A N/A 000000000 1.000000 NC USD 354.550000 0.0001089 N/A DFE HK N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 220229.050000 USD 1727542.750000 HKD 2019-12-18 354.550000 N N N N/A N/A 000000000 1.000000 NC USD -120.450000 0.0000370 N/A DFE MX N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 11804.690000 USD 230851.460000 MXN 2019-10-09 -120.450000 N N N N/A N/A 000000000 1.000000 NC -110061.830000 0.0338071 N/A DFE BR N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 1400000.000000 BRL 215832.880000 USD 2021-01-05 -110061.830000 N N N N/A N/A 000000000 1.000000 NC -13495.530000 0.0041454 N/A DFE CA N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 5010000.000000 CAD 3768129.890000 USD 2019-10-02 -13495.530000 N N N N/A N/A 000000000 1.000000 NC -2026.740000 0.0006225 N/A DFE CA N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 5092000.000000 CAD 3843526.500000 USD 2019-11-04 -2026.740000 N N N N/A N/A 000000000 1.000000 NC 120.590000 0.0000370 N/A DFE MX N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 230851.460000 MXN 11791.350000 USD 2019-10-16 120.590000 N N N N/A N/A 000000000 1.000000 NC -5485.340000 0.0016849 N/A DFE TW N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 13563000.000000 TWD 433073.630000 USD 2019-11-21 -5485.340000 N N N N/A N/A 000000000 1.000000 NC -19751.040000 0.0060668 N/A DFE TW N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 50756477.000000 TWD 1621457.270000 USD 2019-11-21 -19751.040000 N N N N/A N/A 000000000 1.000000 NC USD 11097.330000 0.0034087 N/A DFE AR N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 1000423.480000 USD 64287212.650000 ARS 2019-10-21 11097.330000 N N N N/A N/A 000000000 1.000000 NC USD -5196.370000 0.0015961 N/A DFE BR N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 1299730.840000 USD 5391153.540000 BRL 2019-11-04 -5196.370000 N N N N/A N/A 000000000 1.000000 NC 4685.510000 0.0014392 N/A DFE BR N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 5391153.540000 BRL 1302211.000000 USD 2019-10-02 4685.510000 N N N N/A N/A 000000000 1.000000 NC 380051.250000 0.1167384 N/A DFE CN N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 124867745.000000 CNY 17851000.000000 USD 2019-11-13 380051.250000 N N N N/A N/A 000000000 1.000000 NC -9630.310000 0.0029581 N/A DFE TW N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 25975000.000000 TWD 830270.100000 USD 2019-11-21 -9630.310000 N N N N/A N/A 000000000 1.000000 NC -9661.800000 0.0029678 N/A DFE TW N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 20666000.000000 TWD 658572.340000 USD 2019-11-21 -9661.800000 N N N 2019-11-13 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer