NPORT-P false 0000810893 XXXXXXXX S000009693 C000066770 C000026584 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Low Duration ESG Fund S000009693 J3HDCJQLI0Z3MYG73Z14 2020-03-31 2019-09-30 N 383037804.150000 102512251.960000 280525552.190000 0.000000 0.000000 29041954.240000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 2221138.670000 USD CAD EUR GBP JPY AUD N APPLE INC HWUPKR0MPOU8FGXBT394 037833BU3 1200000.000000 PA USD 1236189.130000 0.4406690 Long DBT CORP US N 2 2023-02-23 Fixed 2.85 N N N N N N N/A N/A 000000000 1.000000 NC USD -2506.240000 0.0008934 N/A DFE AU N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2731329.510000 USD 4043000.000000 AUD 2019-10-02 -2506.240000 N N N N/A N/A 000000000 1.000000 NC 2263.660000 0.0008069 N/A DFE AU N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4043000.000000 AUD 2734240.470000 USD 2019-11-04 2263.660000 N N N N/A N/A 000000000 1.000000 NC -13744.840000 0.0048997 N/A DFE GB N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 2075000.000000 GBP 2537570.410000 USD 2019-10-02 -13744.840000 N N N N/A N/A 000000000 1.000000 NC -55170.890000 0.0196670 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2030-03-18 42643.590000 GBP 0.000000 GBP 4100000.000000 GBP -97814.480000 N N N N/A N/A 000000000 1.000000 NC 141253.010000 0.0503530 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2024-03-21 39638.030000 JPY 0.000000 JPY 1270000000.000000 JPY 101614.980000 N N N N/A N/A 000000000 1.000000 NC -262164.000000 0.0934546 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2026-03-18 0.000000 JPY -57203.030000 JPY 990000000.000000 JPY -204960.970000 N N N N/A N/A 000000000 1.000000 NC 3867.220000 0.0013786 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2028-06-19 1225.630000 JPY 0.000000 JPY 10000000.000000 JPY 2641.590000 N N N N/A N/A 000000000 1.000000 NC -318884.780000 0.1136741 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2038-03-22 7254.880000 JPY 0.000000 JPY 310000000.000000 JPY -326139.660000 N N N N/A N/A 000000000 1.000000 NC -76660.260000 0.0273274 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2048-03-23 0.000000 JPY -1249.150000 JPY 40000000.000000 JPY -75411.110000 N N N N/A N/A 000000000 1.000000 NC USD -165137.330000 0.0588671 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-20 139041.300000 USD 0.000000 USD 2600000.000000 USD -304178.630000 N N N N/A N/A 000000000 1.000000 NC USD -428342.010000 0.1526927 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 168358.330000 USD 0.000000 USD 5300000.000000 USD -596700.340000 N N N N/A N/A 000000000 1900000.000000 NC USD 0.020000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 3.0% NOV 30YR N/A 72.000000 USD 2019-11-06 XXXX -74.200000 N N N N/A ECTRVYYCEF89VWYS6K36 000000000 -4.000000 NC -3963.130000 0.0014128 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2019-12-27 -660218.910000 GBP -3963.130000 N N N N/A 254900HROIFWPRGM1V77 000000000 6.000000 NC USD 6.000000 0.0000021 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 12/19/19 2019-12-20 N/A USD N/A 144.500000 USD 2019-11-22 XXXX -45.600000 N N N N/A 254900HROIFWPRGM1V77 000000000 4.000000 NC USD 4.000000 0.0000014 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 12/19/19 2019-12-20 N/A USD N/A 146.000000 USD 2019-11-22 XXXX -30.400000 N N N N/A 254900HROIFWPRGM1V77 000000000 3.000000 NC USD 3.000000 0.0000011 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 12/19/19 2019-12-20 N/A USD N/A 148.500000 USD 2019-11-22 XXXX -22.800000 N N N N/A 254900HROIFWPRGM1V77 000000000 44.000000 NC USD 44.000000 0.0000157 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 12/19/19 2019-12-20 N/A USD N/A 149.000000 USD 2019-11-22 XXXX -319.000000 N N N N/A 254900HROIFWPRGM1V77 000000000 -32.000000 NC USD 28348.910000 0.0101056 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2019-12-19 -4170000.000000 USD 28348.910000 N N N N/A 254900HROIFWPRGM1V77 000000000 475.000000 NC USD -142339.500000 0.0507403 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2019-12-31 102362500.000000 USD -142339.500000 N N N N/A 254900HROIFWPRGM1V77 000000000 3.000000 NC USD 3.000000 0.0000011 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 12/31/19 2020-01-01 N/A USD N/A 108.000000 USD 2019-11-22 XXXX -22.800000 N N N N/A 254900HROIFWPRGM1V77 000000000 1.000000 NC USD 1.000000 0.0000004 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 12/31/19 2020-01-01 N/A USD N/A 108.250000 USD 2019-11-22 XXXX -7.600000 N N N N/A 254900HROIFWPRGM1V77 000000000 6.000000 NC USD 6.000000 0.0000021 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 12/31/19 2020-01-01 N/A USD N/A 109.250000 USD 2019-11-22 XXXX -45.600000 N N N N/A 254900HROIFWPRGM1V77 000000000 58.000000 NC USD 58.000000 0.0000207 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 12/31/19 2020-01-01 N/A USD N/A 111.000000 USD 2019-11-22 XXXX -440.800000 N N N N/A 254900HROIFWPRGM1V77 000000000 26.000000 NC USD 26.000000 0.0000093 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 12/31/19 2020-01-01 N/A USD N/A 111.250000 USD 2019-11-22 XXXX -197.600000 N N N N/A 254900HROIFWPRGM1V77 000000000 102.000000 NC USD 102.000000 0.0000364 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 12/31/19 2020-01-01 N/A USD N/A 111.500000 USD 2019-11-22 XXXX -775.200000 N N N ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 045167EB5 800000.000000 PA USD 805075.720000 0.2869884 Long DBT CORP N/A N 2 2022-08-10 Fixed 1.875 N N N N N N N/A 254900HROIFWPRGM1V77 000000000 230.000000 NC USD -38515.740000 0.0137299 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2019-12-31 27404140.740000 USD -38515.740000 N N N AT&T INC 549300Z40J86GGSTL398 00206RDV1 400000.000000 PA USD 403638.220000 0.1438864 Long DBT CORP US N 2 2021-07-15 Floating 3.25338 N N N N N N AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 05253JAV3 500000.000000 PA USD 510424.210000 0.1819528 Long DBT CORP AU N 2 2021-05-17 Fixed 3.3 N N N N N N AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 ACI10VYX5 400000.000000 PA 446709.170000 0.1592401 Long DBT CORP AU N 2 2023-02-21 Fixed 0.625 N N N N N N AVANGRID INC (AKA: IBERDROLA USA INC; ENERGY EAST CORPORATION) 549300OX0Q38NLSKPB49 05351WAA1 1200000.000000 PA USD 1237942.920000 0.4412942 Long DBT CORP US N 2 2024-12-01 Fixed 3.15 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05367AAJ2 600000.000000 PA USD 602644.880000 0.2148271 Long DBT CORP US N 2 2022-01-20 Fixed 2.875 N N N N N N AXA EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AC9 1200000.000000 PA USD 1255604.390000 0.4475900 Long DBT CORP US N 2 2023-04-20 Fixed 3.9 N N N N N N BALTIMORE GAS & ELECTRIC 88V8C2WYSOD1SPSSLH72 059165EF3 1000000.000000 PA USD 1044340.870000 0.3722801 Long DBT CORP US N 2 2023-07-01 Fixed 3.35 N N N N N N BANC OF AMERICA FUNDING CORP 2005-D N/A 06051GDM8 154590.000000 PA USD 158859.170000 0.0566291 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.80848 N N N N N N BANC OF AMERICA MTGE SEC 2004-G N/A 05949ALH1 82308.570000 PA USD 85423.360000 0.0304512 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.63869 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHE2 500000.000000 PA USD 501095.870000 0.1786275 Long DBT CORP US N 2 2024-03-05 Floating 2.91663 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHH5 1900000.000000 PA USD 1938060.690000 0.6908678 Long DBT CORP US N 2 2022-05-17 Floating 3.499 N N N N N N BANK OF AMERICA MTGE SEC 2003-B N/A 06050HD39 180811.920000 PA USD 183437.890000 0.0653908 Long ABS-MBS CORP US N 2 2033-03-25 Floating 4.92667 N N N N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 06050TMJ8 1200000.000000 PA USD 1232294.750000 0.4392808 Long DBT CORP US N 2 2023-01-25 Floating 3.335 N N N N N N BARCLAYS BANK PLC/ NEW YORK BRANCH G5GSEF7VJP5I7OUK5573 06742TJS6 1200000.000000 PA USD 1200279.420000 0.4278681 Long DBT CORP US N 2 2019-10-25 Floating 2.6755 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBE4 800000.000000 PA USD 831478.170000 0.2964002 Long DBT CORP GB N 2 2023-02-15 Floating 4.61 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBF1 700000.000000 PA USD 700118.290000 0.2495738 Long DBT CORP GB N 2 2023-02-15 Floating 3.58813 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI0YRKM8 900000.000000 PA 988258.510000 0.3522882 Long DBT CORP GB N 2 2023-11-14 Floating 0.625 N N N N N N BBVA USA C90VT034M03BN29IRA40 20453KAD7 500000.000000 PA USD 500099.170000 0.1782722 Long DBT CORP US N 2 2021-06-11 Floating 2.86838 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZS4 7883.880000 PA USD 8265.550000 0.0029465 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.88566 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSY8 43164.680000 PA USD 43959.890000 0.0156705 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.49579 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 10754.850000 PA USD 9035.130000 0.0032208 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.20072 Y N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSH6 228.900000 PA USD 235.510000 0.0000840 Long ABS-MBS CORP US N 2 2033-02-25 Floating 4.70246 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSJ2 551.230000 PA USD 526.030000 0.0001875 Long ABS-MBS CORP US N 2 2033-02-25 Floating 4.43289 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7 N/A 07387VAA7 101844.680000 PA USD 102524.660000 0.0365474 Long ABS-MBS CORP US N 2 2037-10-25 Floating 3.01838 N N N N N N BNG BANK NV 529900GGYMNGRQTDOO93 62944BBS2 3000000.000000 PA USD 3008188.650000 1.0723403 Long DBT CORP NL N 2 2020-12-14 Fixed 2.125 N N N N N N CA INC Y7ET3D9SDOFUZ515FE28 12673PAF2 300000.000000 PA USD 302746.290000 0.1079211 Long DBT CORP US N 2 2020-08-01 Fixed 3.6 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BB4 1200000.000000 PA USD 1200216.890000 0.4278458 Long DBT CORP US N 2 2020-03-16 Floating 2.6185 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BC2 500000.000000 PA USD 500017.530000 0.1782431 Long DBT CORP US N 2 2021-03-15 Floating 2.7485 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FAN8 300000.000000 PA USD 301549.650000 0.1074945 Long DBT CORP US N 2 2020-05-01 Fixed 3.05 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LF6 200000.000000 PA USD 200145.120000 0.0713465 Long DBT CORP US N 2 2020-01-10 Fixed 2.45 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LE9 1000000.000000 PA USD 1001277.630000 0.3569292 Long DBT CORP US N 2 2020-01-10 Floating 3.12775 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LV1 600000.000000 PA USD 611397.970000 0.2179473 Long DBT CORP US N 2 2023-01-24 Floating 3.142 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LR0 600000.000000 PA USD 600976.950000 0.2142325 Long DBT CORP US N 2 2022-10-27 Floating 2.94575 N N N N N N CITIGROUP MTGE LOAN TR INC 2008-RR1 N/A 173145AA1 50728.630000 PA USD 47086.470000 0.0167851 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.08838 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 9224.550000 PA USD 9395.940000 0.0033494 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.81 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 5257.450000 PA USD 5455.950000 0.0019449 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.38 N N N N N N CONAGRA BRANDS INC 54930035UDEIH090K650 205887BZ4 900000.000000 PA USD 929049.800000 0.3311819 Long DBT CORP US N 2 2021-10-22 Fixed 3.8 N N N N N N CONSOLIDATED EDISON INC 54930033SBW53OO8T749 209115AC8 900000.000000 PA USD 899269.700000 0.3205661 Long DBT CORP US N 2 2021-05-15 Fixed 2 N N N N N N COOPERATIEVE RABOBANK UA/NEW YORK BRANCH DG3RU1DBUFHT4ZF9WN62 21688AAN2 1300000.000000 PA USD 1322688.160000 0.4715036 Long DBT CORP NL N 2 2021-04-26 Fixed 3.125 N N N N N N COOPERATIEVE RABOBANK UA/NEW YORK BRANCH DG3RU1DBUFHT4ZF9WN62 21688AAP7 1300000.000000 PA USD 1305015.450000 0.4652038 Long DBT CORP NL N 2 2021-04-26 Floating 2.69663 N N N N N N COUNTRYWIDE ASSET BACKED CERT 2006-BC2 N/A 22237JAF4 302690.130000 PA USD 302547.170000 0.1078501 Long ABS-MBS CORP US N 2 2045-01-25 Floating 2.43838 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673AX0 1614242.000000 PA USD 1628837.980000 0.5806380 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.75838 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 27284.940000 PA USD 27624.520000 0.0098474 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 19335.050000 PA USD 19578.240000 0.0069791 Long ABS-MBS CORP US N 2 2035-02-20 Floating 4.2437 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670LE6 50712.610000 PA USD 50242.500000 0.0179101 Long ABS-MBS CORP US N 2 2036-02-20 Floating 4.66738 Y N N N N N CPS AUTO RECEIVABLES TRUST 2019-A N/A 12596HAA5 739175.410000 PA USD 742467.110000 0.2646700 Long ABS-O CORP US N 2 2022-06-15 Fixed 3.18 N N N N N N CREDIT AGRICOLE SA/LONDON BRANCH 969500TJ5KRTCJQWXH05 22535WAF4 1900000.000000 PA USD 1910728.750000 0.6811247 Long DBT CORP FR N 2 2023-04-24 Floating 3.30275 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2002-AR21 N/A 22540V4S8 225.970000 PA USD 227.280000 0.0000810 Long ABS-MBS CORP US N 2 2032-06-25 Floating 5.32945 N N N N N N DANONE SA 969500KMUQ2B6CBAF162 23636TAB6 1600000.000000 PA USD 1599263.260000 0.5700954 Long DBT CORP FR N 2 2019-10-30 Fixed 1.691 N N N N N N DANONE SA 969500KMUQ2B6CBAF162 23636TAC4 580000.000000 PA USD 579300.960000 0.2065056 Long DBT CORP FR N 2 2021-11-02 Fixed 2.077 N N N N N N DANONE SA 969500KMUQ2B6CBAF162 23636TAD2 600000.000000 PA USD 608680.470000 0.2169786 Long DBT CORP FR N 2 2023-11-02 Fixed 2.589 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 25272KAD5 900000.000000 PA USD 928221.860000 0.3308867 Long DBT CORP US N 2 2021-06-15 Fixed 4.42 N N N N N N DEXIA CREDIT LOCAL F4G136OIPBYND1F41110 25214BAV6 1400000.000000 PA USD 1410546.100000 0.5028227 Long DBT NUSS FR N 2 2021-01-25 Fixed 2.5 N N N N N N DRIVE AUTO RECEIVABLES TRUST 2019-2 N/A 26208RAB1 1369831.480000 PA USD 1372694.020000 0.4893294 Long ABS-O CORP US N 2 2022-03-15 Fixed 2.93 N N N N N N DRIVE AUTO RECEIVABLES TRUST 2019-2 N/A 26208RAC9 1369831.480000 PA USD 1369591.490000 0.4882234 Long ABS-O CORP US N 2 2022-03-15 Floating 2.3075 N N N N N N DXC TECHNOLOGY COMPANY 549300DOVZ3EDJB7O259 23355LAE6 692000.000000 PA USD 691796.410000 0.2466073 Long DBT CORP US N 2 2021-03-01 Floating 3.08175 N N N N N N EBAY INC OML71K8X303XQONU6T67 278642AN3 700000.000000 PA USD 725371.860000 0.2585760 Long DBT CORP US N 2 2022-03-09 Fixed 3.8 N N N N N N EBAY INC OML71K8X303XQONU6T67 278642AR4 800000.000000 PA USD 800342.300000 0.2853010 Long DBT CORP US N 2 2020-06-05 Fixed 2.15 N N N N N N EDUCATIONAL SERVICES OF AMERICA INC 2012-1 N/A 281380AA3 87333.150000 PA USD 87332.350000 0.0311317 Long ABS-O CORP US N 2 2040-09-25 Floating 3.16838 N N N N N N ELECTRICITE DE FRANCE SA (EDF) 549300X3UK4GG3FNMO06 268317AS3 500000.000000 PA USD 529163.650000 0.1886330 Long DBT CORP FR N 2 2025-10-13 Fixed 3.625 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAL2 2100000.000000 PA USD 2104910.540000 0.7503454 Long DBT CORP NL N 2 2024-09-10 Fixed 2.65 N N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26884TAM4 1200000.000000 PA USD 1200086.530000 0.4277994 Long DBT CORP US N 2 2019-10-15 Fixed 2.35 N N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26884TAQ5 300000.000000 PA USD 301616.090000 0.1075182 Long DBT CORP US N 2 2021-12-01 Fixed 2.6 N N N N N N EUROPEAN BANK FOR RECONSTRUCTION & DEVELOPMENT (EBRD) 549300HTGDOVDU6OGK19 29874QAY0 2800000.000000 PA USD 2797628.900000 0.9972813 Long DBT CORP N/A N 2 2024-09-27 Fixed 1.625 N N N N N N EUROSAIL-UK 2007-4BL PLC 4X N/A BTGD2JII9 1016197.000000 PA 1238241.460000 0.4414006 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 1.73463 N N N N N N EXELON CORPORATION 3SOUA6IRML7435B56G12 30161NAH4 500000.000000 PA USD 502147.130000 0.1790023 Long DBT CORP US N 2 2020-06-15 Fixed 2.85 N N N N N N EXPORT DEVELOPMENT CANADA (EDC) Z6MHCSLXHKYG4B6PHW02 30216BGV8 1700000.000000 PA 1287437.820000 0.4589378 Long DBT CORP CA N 2 2022-09-01 Fixed 1.8 N N N N N N FANNIE MAE 2005-84 N/A 31394FN50 11431.790000 PA USD 12692.960000 0.0045247 Long ABS-MBS USGSE US N 2 2035-10-25 Fixed 5.75 N N N N N N FANNIE MAE 2009-111 N/A 31398GRQ4 150122.400000 PA USD 165520.750000 0.0590038 Long ABS-MBS USGSE US N 2 2040-01-25 Fixed 5 N N N N N N FANNIE MAE G92-35 N/A 31358PHT7 3864.770000 PA USD 4040.860000 0.0014405 Long ABS-MBS USGSE US N 2 2022-07-25 Fixed 7.5 N N N N N N FANNIE MAE REMICS 2010-78 N/A 31398TAJ0 129587.960000 PA USD 141318.430000 0.0503763 Long ABS-MBS USGSE US N 2 2040-07-25 Fixed 5 N N N N N N FANNIE MAE REMICS 2012-146 N/A 3136ABFP3 20833.620000 PA USD 20053.160000 0.0071484 Long ABS-MBS USGSE US N 2 2043-01-25 Fixed 1 N N N N N N FANNIE MAE REMICS 2013-31 N/A 3136ADGG8 1165122.920000 PA USD 114547.430000 0.0408332 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3.5 N N N N N N FANNIE MAE-G-16 N/A 31358G7A9 160.880000 PA USD 160.310000 0.0000571 Long ABS-MBS USGSE US N 2 2021-06-25 Floating 2.46838 N N N N N N FANNIE MAE-G-17 N/A 31358HAF2 598.290000 PA USD 586.880000 0.0002092 Long ABS-MBS USGSE US N 2 2021-06-25 Floating 2.91838 N N N N N N FANNIE MAE-G-28 N/A 31358JQB0 6.610000 PA USD 6.630000 0.0000024 Long ABS-MBS USGSE US N 2 2021-09-25 Floating 2.91838 N N N N N N FANNIEMAE WHOLE LOAN 2003-W1 N/A 31392GVX0 4918.890000 PA USD 5381.390000 0.0019183 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 5.31283 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 48203.820000 PA USD 47759.000000 0.0170248 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 2.49525 N N N N N N FDIC STRUCTURED SALE GUARANTEED NOTES 2010-S2 N/A 30250WAA1 62711.670000 PA USD 62670.190000 0.0223403 Long ABS-MBS USGA US N 2 2037-11-29 Floating 2.612 N N N N N N FHLMC PASS THRU POOLS N/A 3128QJ4L7 7840.800000 PA USD 8245.580000 0.0029393 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 4.489 N N N N N N FHLMC PASS THRU POOLS N/A 3128Q2FP3 21708.800000 PA USD 22969.830000 0.0081881 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 4.518 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRGY6 30547.130000 PA USD 32163.160000 0.0114653 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 4.579 N N N N N N FHLMC PASS THRU POOLS N/A 31296PDS8 5557.930000 PA USD 6142.170000 0.0021895 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ5C0 4953060.510000 PA USD 5155998.840000 1.8379783 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ5H9 1638268.460000 PA USD 1702019.090000 0.6067252 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132Y0FG0 1564456.680000 PA USD 1642634.400000 0.5855561 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XGGJ9 3600000.000000 PA USD 3652007.260000 1.3018448 Long ABS-MBS USGSE US N 2 2023-08-01 Fixed 2.7 N N N N N N FHLMC PASS THRU POOLS N/A 3132A5KB0 196773.770000 PA USD 204191.300000 0.0727888 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132ACYH7 203936.830000 PA USD 212171.220000 0.0756335 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 25870.310000 PA USD 26104.580000 0.0093056 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 3.49173 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-57 N/A 31394JD87 51648.690000 PA USD 61507.050000 0.0219256 Long ABS-MBS USGSE US N 2 2043-07-25 Fixed 6.5 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-75 N/A 31397JME1 3439.100000 PA USD 3453.670000 0.0012311 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 2.18525 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2004-AA6 N/A 32051GCB9 145149.320000 PA USD 147933.680000 0.0527345 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.95703 N N N N N N FIRSTMAC MORTGAGE FUNDING TRUST 2018-1 N/A ACI11D2X9 504870.710000 PA 339941.980000 0.1211804 Long ABS-MBS CORP AU N 2 2049-03-08 Floating 2.1012 N N N N N N FIRSTMAC MORTGAGE FUNDING TRUST 2018-1 N/A ACI11DPY2 800000.000000 PA 538988.160000 0.1921351 Long ABS-MBS CORP AU N 2 2049-03-08 Floating 2.3512 N N N N N N FNMA PASS THRU POOLS N/A 31365H6M3 4534.400000 PA USD 4803.660000 0.0017124 Long ABS-MBS USGSE US N 2 2031-02-01 Floating 5.944 N N N N N N FNMA PASS THRU POOLS N/A 31371MFZ5 44400.190000 PA USD 46819.890000 0.0166901 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 4.463 N N N N N N FNMA PASS THRU POOLS N/A 31371NQ40 2900.440000 PA USD 3162.230000 0.0011273 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31373ULX3 9136.520000 PA USD 9139.330000 0.0032579 Long ABS-MBS USGSE US N 2 2029-08-01 Floating 3.537 N N N N N N FNMA PASS THRU POOLS N/A 31386C2X9 2790.860000 PA USD 2771.770000 0.0009881 Long ABS-MBS USGSE US N 2 2040-09-01 Floating 3.847 N N N N N N FNMA PASS THRU POOLS N/A 31390STH4 11097.050000 PA USD 11325.590000 0.0040373 Long ABS-MBS USGSE US N 2 2042-07-01 Floating 3.647 N N N N N N FNMA PASS THRU POOLS N/A 31391XDM8 32596.800000 PA USD 33239.890000 0.0118491 Long ABS-MBS USGSE US N 2 2041-09-01 Floating 3.697 N N N N N N FNMA PASS THRU POOLS N/A 31402RN62 2055.000000 PA USD 2137.350000 0.0007619 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 4.573 N N N N N N FNMA PASS THRU POOLS N/A 31405UV97 3381.550000 PA USD 3553.550000 0.0012667 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 3.91 N N N N N N FNMA PASS THRU POOLS N/A 31406L2T4 341.220000 PA USD 343.780000 0.0001225 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 4.8 N N N N N N FNMA PASS THRU POOLS N/A 31406NUU6 5522.000000 PA USD 5739.200000 0.0020459 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 4.394 N N N N N N FNMA PASS THRU POOLS N/A 31407YHH5 5622.380000 PA USD 5871.400000 0.0020930 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 4.234 N N N N N N FNMA PASS THRU POOLS N/A 31407YZR3 13181.000000 PA USD 13905.400000 0.0049569 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 4.003 N N N N N N FNMA PASS THRU POOLS N/A 31411YAC7 812.630000 PA USD 918.920000 0.0003276 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31418MWY4 230609.520000 PA USD 240697.730000 0.0858024 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138LMRP0 1178520.980000 PA USD 1239664.660000 0.4419079 Long ABS-MBS USGSE US N 2 2023-11-01 Fixed 3.33 N N N N N N FNMA PASS THRU POOLS N/A 3140HJ2Q3 167552.290000 PA USD 174124.410000 0.0620708 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HNZC9 818091.700000 PA USD 858875.560000 0.3061666 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q7HT7 3113904.720000 PA USD 3272573.450000 1.1665866 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q92H5 370891.540000 PA USD 393059.270000 0.1401153 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CZ98 800196.850000 PA USD 833194.230000 0.2970119 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418C3D4 11316190.350000 PA USD 11782041.020000 4.1999885 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4 N N N N N N FORD CREDIT AUTO OWNER TRUST 2015-2 N/A 34530WAA5 400000.000000 PA USD 401031.680000 0.1429573 Long ABS-O CORP US N 2 2027-01-15 Fixed 2.44 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397WX7 500000.000000 PA USD 500035.960000 0.1782497 Long DBT CORP US N 2 2019-11-04 Floating 3.21675 N N N N N N FREDDIE MAC 2266 N/A 3133TQFM4 997.260000 PA USD 998.230000 0.0003558 Long ABS-MBS USGSE US N 2 2030-11-15 Floating 2.4775 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KG01 N/A 3137FMCZ3 1900000.000000 PA USD 2038668.460000 0.7267318 Long ABS-MBS USGSE US N 2 2029-04-25 Fixed 2.939 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KG01 N/A 3137FMD25 1900000.000000 PA USD 2003450.440000 0.7141775 Long ABS-MBS USGSE US N 2 2026-04-25 Fixed 2.875 N N N N N N FREDDIE MAC REMICS 1499 N/A 312915GU9 1187.670000 PA USD 1249.640000 0.0004455 Long ABS-MBS USGSE US N 2 2023-04-15 Fixed 7 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 53349.340000 PA USD 54185.760000 0.0193158 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 2.7375 N N N N N N FREDDIE MAC REMICS 4272 N/A 3137B6DF5 432898.160000 PA USD 434173.610000 0.1547715 Long ABS-MBS USGSE US N 2 2026-11-15 Fixed 2 N N N N N N FREDDIE MAC REMICS 4678 N/A 3137BWWX8 1196741.340000 PA USD 1195971.950000 0.4263326 Long ABS-MBS USGSE US N 2 2042-12-15 Floating 2.62975 N N N N N N FREDDIE MAC STRIPS 332 N/A 3132HUCJ0 385014.360000 PA USD 444264.280000 0.1583686 Long ABS-MBS USGSE US N 2 2044-08-15 Floating 6.436 N N N N N N GE-WMC MORTGAGE SECURITIES LLC 2006-1 N/A 36829JAA9 2198.840000 PA USD 1281.210000 0.0004567 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.05838 N N N N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 370334CB8 500000.000000 PA USD 501278.460000 0.1786926 Long DBT CORP US N 2 2021-04-16 Floating 2.86225 N N N N N N GEORGIA-PACIFIC LLC L2EVHWFHVAQK72TMH265 37331NAB7 200000.000000 PA USD 206913.960000 0.0737594 Long DBT CORP US N 2 2020-11-01 Fixed 5.4 N N N N N N GEORGIA-PACIFIC LLC L2EVHWFHVAQK72TMH265 37331NAF8 800000.000000 PA USD 800146.330000 0.2852312 Long DBT CORP US N 2 2019-11-15 Fixed 2.539 N N N N N N GMAC MORTGAGE CORP LOAN TRUST 2005-AR6 N/A 36185MBG6 12150.760000 PA USD 12044.980000 0.0042937 Long ABS-MBS CORP US N 2 2035-11-19 Floating 4.53242 Y N N N N N GNMA PASS THRU POOLS N/A 36225CCY0 7763.210000 PA USD 8028.270000 0.0028619 Long ABS-MBS USGSE US N 2 2027-06-20 Floating 3.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CN36 11405.720000 PA USD 11854.720000 0.0042259 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 3.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CUD6 7716.490000 PA USD 8022.290000 0.0028597 Long ABS-MBS USGSE US N 2 2032-02-20 Floating 4 N N N N N N GNMA PASS THRU POOLS N/A 3617BXXD0 2468860.020000 PA USD 2615425.620000 0.9323306 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617JRQG6 265418.060000 PA USD 277880.200000 0.0990570 Long ABS-MBS USGSE US N 2 2049-07-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617JRQH4 466131.390000 PA USD 486851.240000 0.1735497 Long ABS-MBS USGSE US N 2 2049-07-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617K06B6 656226.290000 PA USD 687088.970000 0.2449292 Long ABS-MBS USGSE US N 2 2049-06-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617K1H30 250164.730000 PA USD 263089.700000 0.0937846 Long ABS-MBS USGSE US N 2 2049-05-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617KPXT2 405655.970000 PA USD 423185.010000 0.1508544 Long ABS-MBS USGSE US N 2 2049-07-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617L7VQ9 1469591.150000 PA USD 1538591.780000 0.5484676 Long ABS-MBS USGSE US N 2 2049-08-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179T7M1 660399.190000 PA USD 701741.320000 0.2501524 Long ABS-MBS USGSE US N 2 2048-08-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179UMN9 4260301.130000 PA USD 4498583.310000 1.6036269 Long ABS-MBS USGSE US N 2 2049-02-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179UPC0 2097854.460000 PA USD 2218687.580000 0.7909039 Long ABS-MBS USGSE US N 2 2049-03-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179UQ62 484658.620000 PA USD 507258.560000 0.1808244 Long ABS-MBS USGSE US N 2 2049-04-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179UQ70 324431.130000 PA USD 343215.970000 0.1223475 Long ABS-MBS USGSE US N 2 2049-04-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179UUK6 198463.480000 PA USD 206937.860000 0.0737679 Long ABS-MBS USGSE US N 2 2049-06-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 21H0406A6 -2700000.000000 PA USD -2808158.220000 1.0010347 Short ABS-MBS USGSE US N 2 2049-10-21 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 21H0426B0 6800000.000000 PA USD 7101750.070000 2.5315876 Long ABS-MBS USGSE US N 2 2049-11-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 21H0506B3 6500000.000000 PA USD 6846074.240000 2.4404459 Long ABS-MBS USGSE US N 2 2049-11-20 Fixed 5 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148LAB2 1200000.000000 PA USD 1205360.300000 0.4296793 Long DBT CORP US N 2 2020-04-23 Floating 3.41938 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GVW1 500000.000000 PA USD 506929.300000 0.1807070 Long DBT CORP US N 2 2021-04-23 Floating 3.6355 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141EA66 400000.000000 PA USD 410654.930000 0.1463877 Long DBT CORP US N 2 2020-06-15 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORT ASSOC 2000-35 N/A 383739AA7 1185.380000 PA USD 1185.660000 0.0004227 Long ABS-MBS USGSE US N 2 2025-12-16 Floating 2.5775 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-49 N/A 38375CJ92 1269.460000 PA USD 48.610000 0.0000173 Long ABS-MBS USGSE US N 2 2041-02-20 Fixed 5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H08 N/A 38375UUZ1 982127.430000 PA USD 982715.040000 0.3503121 Long ABS-MBS USGSE US N 2 2065-03-20 Floating 2.8585 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H10 N/A 38376RAM8 209021.500000 PA USD 208925.540000 0.0744765 Long ABS-MBS USGSE US N 2 2065-04-20 Floating 2.8285 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H10 N/A 38376RAT3 180984.710000 PA USD 180895.210000 0.0644844 Long ABS-MBS USGSE US N 2 2065-04-20 Floating 2.6785 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H17 N/A 38376REV4 278662.240000 PA USD 278598.150000 0.0993129 Long ABS-MBS USGSE US N 2 2065-06-20 Floating 2.8395 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H31 N/A 38376RMX1 609118.760000 PA USD 611693.990000 0.2180529 Long ABS-MBS USGSE US N 2 2065-11-20 Floating 2.8785 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-154 N/A 38380BXS9 172979.250000 PA USD 172671.990000 0.0615530 Long ABS-MBS USGSE US N 2 2045-11-20 Floating 2.50025 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H08 N/A 38376RTW6 601233.330000 PA USD 604539.570000 0.2155025 Long ABS-MBS USGSE US N 2 2066-02-20 Floating 2.9485 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H13 N/A 38376RUS3 434342.110000 PA USD 435041.660000 0.1550809 Long ABS-MBS USGSE US N 2 2066-05-20 Floating 2.8085 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ N/A 38376RC95 870832.610000 PA USD 876268.960000 0.3123669 Long ABS-MBS USGSE US N 2 2066-10-20 Floating 2.9985 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H07 N/A 38376RY26 732877.460000 PA USD 732719.010000 0.2611951 Long ABS-MBS USGSE US N 2 2067-02-20 Floating 2.6885 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14 N/A 38376R5H5 363475.110000 PA USD 370121.690000 0.1319387 Long ABS-MBS USGSE US N 2 2067-06-20 Floating 3.48688 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14 N/A 38376R4U7 752383.880000 PA USD 766593.100000 0.2732703 Long ABS-MBS USGSE US N 2 2067-06-20 Floating 3.48688 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H15 N/A 38376R5Y8 1384514.880000 PA USD 1385620.830000 0.4939375 Long ABS-MBS USGSE US N 2 2067-07-20 Floating 2.7285 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-38 N/A 38380V2S9 911752.080000 PA USD 908379.050000 0.3238133 Long ABS-MBS USGSE US N 2 2043-10-20 Floating 2.40025 N N N N N N GRACECHURCH CARD FUNDING PLC 2018-1A N/A 38406EAG4 600000.000000 PA USD 600297.600000 0.2139903 Long ABS-MBS CORP GB N 2 2022-07-15 Floating 2.4275 N N N N N N GREAT HALL MORTGAGES PLC 2007-2X N/A B1Z97QII7 140918.150000 PA USD 137052.340000 0.0488556 Long ABS-MBS CORP GB N 2 2039-06-18 Floating 2.27513 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2016-RENT N/A 36251GAG9 500000.000000 PA USD 506635.300000 0.1806022 Long ABS-MBS CORP US N 2 2029-02-10 Fixed 3.98 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 41542.630000 PA USD 42858.990000 0.0152781 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.47963 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 53468.240000 PA USD 55012.400000 0.0196105 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.28749 N N N N N N GSR MTGE LOAN TRUST 2004-7 N/A 36228F4P8 13497.510000 PA USD 13503.320000 0.0048136 Long ABS-MBS CORP US N 2 2034-06-25 Floating 3.91572 N N N N N N HANWHA ENERGY USA HOLDINGS CORPORATION 549300VVIE7XDIYNIT55 41135WAA9 1200000.000000 PA USD 1202144.890000 0.4285331 Long DBT CORP US N 2 2022-07-30 Fixed 2.375 N N N N N N HEATHROW FUNDING LIMITED 7TI96JO3DYEIQWZ7Z726 05607MAA5 600000.000000 PA USD 626337.320000 0.2232728 Long DBT CORP JE N 2 2023-07-15 Fixed 4.875 N N N N N N HONG KONG GOVT 549300DSMAD69T7GGN13 43858AAB6 1800000.000000 PA USD 1848105.200000 0.6588010 Long DBT NUSS HK N 2 2024-05-28 Fixed 2.5 N N N N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TAY2 700000.000000 PA USD 699328.850000 0.2492924 Long DBT CORP US N 2 2029-12-15 Fixed 3.375 N N N N N N HSBC FRANCE SA F0HUI1NY1AZMJMD8LP67 ACI0J7WC8 900000.000000 PA 991714.420000 0.3535202 Long DBT CORP FR N 2 2020-12-03 Fixed 0.625 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BV0 500000.000000 PA USD 500757.870000 0.1785070 Long DBT CORP GB N 2 2021-09-11 Floating 2.78163 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BM0 700000.000000 PA USD 710730.240000 0.2533567 Long DBT CORP GB N 2 2023-11-22 Floating 3.033 N N N N N N ING BANK NV/AMSTERDAM BRANCH 3TK20IVIUJ8J3ZU0QE75 ACI0J2N62 400000.000000 PA 441103.330000 0.1572418 Long DBT CORP NL N 2 2020-11-24 Fixed 0.75 N N N N N N INTEL CORPORATION KNX4USFCNGPY45LOCE31 458140BA7 700000.000000 PA USD 700614.150000 0.2497506 Long DBT CORP US N 2 2020-05-11 Floating 2.261 N N N N N N INTEL CORPORATION KNX4USFCNGPY45LOCE31 458140AW0 400000.000000 PA USD 399628.540000 0.1424571 Long DBT CORP US N 2 2021-05-19 Fixed 1.7 N N N N N N INTERNATIONAL FLAVORS & FRAGRANCES INC BZLRL03D3GPGMOGFO832 459506AC5 1000000.000000 PA USD 1019256.970000 0.3633384 Long DBT CORP US N 2 2023-05-01 Fixed 3.2 N N N N N N INTERNATIONAL LEASE FINANCE CORPORATION N/A 459745GF6 500000.000000 PA USD 535088.890000 0.1907452 Long DBT CORP US N 2 2020-12-15 Fixed 8.25 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI19Z2M6 6500000.000000 PA 7601178.450000 2.7096207 Long DBT NUSS IT N 2 2024-07-01 Fixed 1.75 N N N N N N JAPAN BANK FOR INTERNATIONAL COOPERATION 549300TJ3QFYVCTSCJ29 471048BD9 1600000.000000 PA USD 1627064.000000 0.5800056 Long DBT NUSS JP N 2 2022-06-01 Fixed 2.5 N N N N N N JAPAN BANK FOR INTERNATIONAL COOPERATION 549300TJ3QFYVCTSCJ29 471048BL1 500000.000000 PA USD 506947.660000 0.1807135 Long DBT NUSS JP N 2 2022-07-21 Fixed 2.375 N N N N N N JAPAN FINANCE ORGANIZATION FOR MUNICIPALITIES (JFM) 5493007YYYNZ4NMEOD64 471068AL0 1200000.000000 PA USD 1198589.560000 0.4272657 Long DBT NUSS JP N 2 2020-09-08 Fixed 2 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAT3 400000.000000 PA USD 401355.030000 0.1430725 Long DBT CORP US N 2 2022-06-18 Floating 2.75513 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HNX4 300000.000000 PA USD 301593.190000 0.1075101 Long DBT CORP US N 2 2020-10-29 Fixed 2.55 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 31107.700000 PA USD 24510.430000 0.0087373 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 Y N N N N N JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 48125LRN4 800000.000000 PA USD 804302.220000 0.2867126 Long DBT CORP US N 2 2021-04-26 Floating 3.086 N N N N N N JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 48125LRP9 1800000.000000 PA USD 1801151.590000 0.6420633 Long DBT CORP US N 2 2021-04-26 Floating 2.60663 N N N N N N KEB HANA BANK (AKA: KOREA EXCHANGE BANK) 6RPK2YDJN6L35AS0M510 482466AD1 2100000.000000 PA USD 2144655.280000 0.7645133 Long DBT CORP KR N 2 2022-01-30 Fixed 3.375 N N N N N N KOMATSU FINANCE AMERICA INC 549300SRAAFEEQ8Z4D68 ACI0XJX92 500000.000000 PA USD 498636.840000 0.1777510 Long DBT CORP US N 2 2020-09-11 Fixed 2.118 N N N N N N KOMATSU FINANCE AMERICA INC 549300SRAAFEEQ8Z4D68 ACI0XK426 500000.000000 PA USD 501106.410000 0.1786313 Long DBT CORP US N 2 2022-09-11 Fixed 2.437 N N N N N N KREDITANSTALT FUER WIEDERAUFBAU (KFW) 549300GDPG70E3MBBU98 500769HP2 4400000.000000 PA USD 4447541.210000 1.5854318 Long DBT CORP DE N 2 2022-09-29 Fixed 2 N N N N N N LLOYDS BANK CORPORATE MARKETS PLC/NEW YORK BRANCH 213800MBWEIJDM5CU638 53947BAE0 1000000.000000 PA USD 1002485.540000 0.3573598 Long DBT CORP GB N 2 2020-10-26 Floating 2.81138 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAK9 800000.000000 PA USD 802865.260000 0.2862004 Long DBT CORP GB N 2 2023-03-17 Floating 2.858 N N N N N N LOCAL INITIATIVES SUPPORT CORP 549300V1ATNB9BHB6146 539565AE1 700000.000000 PA USD 710716.340000 0.2533517 Long DBT CORP US N 2 2022-03-01 Fixed 3.005 N N N N N N MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 55608PAR5 1000000.000000 PA USD 1007793.100000 0.3592518 Long DBT CORP AU N 2 2020-07-29 Floating 3.37575 N N N N N N MARSH & MCLENNAN COMPANIES INC 549300XMP3KDCKJXIU47 571748AY8 400000.000000 PA USD 400216.370000 0.1426666 Long DBT CORP US N 2 2020-03-06 Fixed 2.35 N N N N N N MARSH & MCLENNAN COMPANIES INC 549300XMP3KDCKJXIU47 571748BE1 600000.000000 PA USD 609733.430000 0.2173540 Long DBT CORP US N 2 2020-12-29 Fixed 3.5 N N N N N N MARSH & MCLENNAN COMPANIES INC 549300XMP3KDCKJXIU47 571748BK7 700000.000000 PA USD 701416.180000 0.2500365 Long DBT CORP US N 2 2021-12-29 Floating 3.30438 N N N N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 21037.110000 PA USD 21152.810000 0.0075404 Long ABS-O CORP US N 2 2038-04-25 Floating 3.2255 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822AH7 2200000.000000 PA USD 2220110.900000 0.7914113 Long DBT CORP JP N 2 2023-09-13 Fixed 2.527 N N N N N N MIZUHO BANK LTD (AKA: MIZUHO CORPORATE BANK LTD) RB0PEZSDGCO3JS6CEU02 60688XAS9 600000.000000 PA USD 600839.330000 0.2141835 Long DBT CORP JP N 2 2020-03-26 Fixed 2.4 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 ACI13W744 1100000.000000 PA 748723.590000 0.2669003 Long DBT CORP JP N 2 2023-07-19 Floating 2.52 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL60 278.200000 PA USD 280.170000 0.0000999 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.26838 N N N N N N MONDELEZ INTERNATIONAL HOLDINGS NETHERLANDS BV 549300CW356R8I7N8D33 60920LAA2 400000.000000 PA USD 399840.590000 0.1425327 Long DBT CORP NL N 2 2019-10-28 Fixed 1.625 N N N N N N MONDELEZ INTERNATIONAL HOLDINGS NETHERLANDS BV 549300CW356R8I7N8D33 60920LAC8 1400000.000000 PA USD 1397622.510000 0.4982158 Long DBT CORP NL N 2 2021-10-28 Fixed 2 N N N N N N MONDELEZ INTERNATIONAL INC 549300DV9GIB88LZ5P30 609207AN5 500000.000000 PA USD 502617.810000 0.1791701 Long DBT CORP US N 2 2020-05-07 Fixed 3 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BEC6 500000.000000 PA USD 509268.200000 0.1815408 Long DBT CORP US N 2 2023-10-24 Floating 3.68275 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-WMC2 N/A 61749KAB9 10541.900000 PA USD 5116.190000 0.0018238 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.06838 N N N N N N NATIONAL AUSTRALIA BANK LIMITED F8SB4JFBSYQFRQEH3Z21 63253WAK7 1500000.000000 PA USD 1591606.620000 0.5673660 Long DBT CORP AU N 2 2023-12-04 Fixed 3.45 N N N N N N NATIONAL AUSTRALIA BANK LIMITED F8SB4JFBSYQFRQEH3Z21 ACI0SSSD5 300000.000000 PA 331658.370000 0.1182275 Long DBT CORP AU N 2 2022-09-07 Fixed 0.35 N N N N N N NATIONAL AUSTRALIA BANK LTD/NEW YORK BRANCH F8SB4JFBSYQFRQEH3Z21 63254ABA5 1500000.000000 PA USD 1579813.190000 0.5631620 Long DBT CORP AU N 2 2023-06-20 Fixed 3.625 N N N N N N NAVIENT STUDENT LOAN TRUST 2018-BA N/A 63940QAA1 192052.540000 PA USD 192005.240000 0.0684448 Long ABS-O CORP US N 2 2059-12-15 Floating 2.3775 N N N N N N NEDERLANDSE WATERSCHAPSBANK NV (NWB BANK) JLP5FSPH9WPSHY3NIM24 63983TBK0 2100000.000000 PA USD 2115487.500000 0.7541158 Long DBT NUSS NL N 2 2021-11-15 Fixed 2.125 N N N N N N NELNET STUDENT LOAN TRUST 2008-3 N/A 64032LAD3 478799.780000 PA USD 478617.640000 0.1706146 Long ABS-O CORP US N 2 2024-11-25 Floating 3.78225 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KAZ3 500000.000000 PA USD 500033.090000 0.1782487 Long DBT CORP US N 2 2020-08-21 Floating 2.54438 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KAQ3 100000.000000 PA USD 101142.140000 0.0360545 Long DBT CORP US N 2 2020-09-01 Fixed 3.342 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KAS9 900000.000000 PA USD 905941.060000 0.3229442 Long DBT CORP US N 2 2021-09-01 Fixed 2.403 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-1 N/A 669884AA6 303987.780000 PA USD 300283.840000 0.1070433 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.33838 N N N N N N NTT FINANCE CORPORATION 3538007PR116187GD960 ACI0NPCG6 500000.000000 PA USD 497302.910000 0.1772754 Long DBT CORP JP N 2 2021-07-21 Fixed 1.9 N N N N N N OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5 N/A 68383NCU5 50646.870000 PA USD 48014.930000 0.0171161 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.29838 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XBK0 1000000.000000 PA USD 999953.720000 0.3564573 Long DBT CORP US N 2 2021-09-15 Fixed 1.9 N N N N N N ORIX CORPORATION 35380016EMHNBOVYE123 686330AL5 900000.000000 PA USD 959904.940000 0.3421809 Long DBT CORP JP N 2 2024-01-16 Fixed 4.05 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2018-2A N/A 69700HAA8 436943.670000 PA USD 436805.990000 0.1557099 Long ABS-CBDO CORP KY N 2 2026-07-15 Floating 2.95338 N N N N N N PANHANDLE-PLAINS HIGHER EDU AUTH 2010-2 N/A 698475AM2 92209.890000 PA USD 92607.020000 0.0330120 Long ABS-O CORP US N 2 2035-10-01 Floating 3.22863 N N N N N N PENARTH MASTER ISSUER PLC 18-2A N/A 70659PAK7 600000.000000 PA USD 600061.800000 0.2139063 Long ABS-MBS CORP GB N 2 2022-09-18 Floating 2.49088 N N N N N N PENARTH MASTER ISSUER PLC 2018-1A N/A 70659PAJ0 600000.000000 PA USD 600205.800000 0.2139576 Long ABS-MBS CORP GB N 2 2022-03-18 Floating 2.42088 N N N N N N PNC BANK NA AD6GFRVSDT01YPT1CS68 69353RFQ6 600000.000000 PA USD 600056.790000 0.2139045 Long DBT CORP US N 2 2022-07-22 Floating 2.709 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 2506.450000 PA USD 2377.730000 0.0008476 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.41838 N N N N N N PRIVATE EXPORT FUNDING CORPORATION (PEFCO) CYQE6SAYPFKNQJ6FMH60 74274TAB6 1000000.000000 PA USD 1011244.630000 0.3604822 Long DBT CORP US N 2 2021-02-16 Fixed 2.65 N N N N N N PRIVATE EXPORT FUNDING CORPORATION (PEFCO) CYQE6SAYPFKNQJ6FMH60 74274TAA8 1500000.000000 PA USD 1500314.210000 0.5348227 Long DBT CORP US N 2 2019-12-19 Fixed 2.1 N N N N N N PROVINCE OF ONTARIO CANADA C7PVKCRGLG18EBQGZV36 6832348K7 1200000.000000 PA USD 1214778.970000 0.4330368 Long DBT NUSS CA N 2 2020-04-14 Fixed 4.4 N N N N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 748148RW5 1000000.000000 PA 753206.570000 0.2684984 Long DBT NUSS CA N 2 2022-03-03 Fixed 1.65 N N N N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 748148BY8 3000000.000000 PA 2314405.130000 0.8250247 Long DBT NUSS CA N 2 2023-03-01 Fixed 2.45 N N N N N N RAAC SERIES 2007-SP1 N/A 74978AAC4 30229.620000 PA USD 30341.420000 0.0108159 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.49838 N N N N N N RBSSP RESECURITIZATION TRUST 2009-12 N/A 74928UBY2 124442.950000 PA USD 128244.780000 0.0457159 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.31727 N N N N N N RELIANCE STANDARD LIFE GLOBAL FUNDING II N/A 75951AAB4 1500000.000000 PA USD 1501176.030000 0.5351299 Long DBT CORP US N 2 2020-01-15 Fixed 2.5 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 780082AF0 2300000.000000 PA USD 2367701.010000 0.8440233 Long DBT CORP CA N 2 2021-10-22 Fixed 3.35 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 500000.000000 PA USD 501317.090000 0.1787064 Long DBT CORP GB N 2 2024-06-25 Floating 3.65625 N N N N N N RYDER SYSTEM INC ZXJ6Y2OSPZXIVGRILD15 78355HKM0 1200000.000000 PA USD 1220157.740000 0.4349542 Long DBT CORP US N 2 2022-06-01 Fixed 2.875 N N N N N N SBA COMMUNICATIONS CORPORATION 5299001HX8ZN8Y8QIT49 78388JAV8 400000.000000 PA USD 415500.000000 0.1481148 Long DBT CORP US N 2 2024-09-01 Fixed 4.875 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1 N/A 81377JAB9 46508.410000 PA USD 15208.090000 0.0054213 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.07838 Y N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BD0 1200000.000000 PA USD 1199033.410000 0.4274240 Long DBT CORP US N 2 2021-01-15 Floating 2.80338 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851AW9 500000.000000 PA USD 500278.300000 0.1783361 Long DBT CORP US N 2 2020-03-15 Fixed 2.4 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BB4 700000.000000 PA USD 697914.040000 0.2487880 Long DBT CORP US N 2 2021-03-15 Floating 2.5685 N N N N N N SINGTEL OPTUS FINANCE PTY LTD 254900UAM2PKZZ3FLH23 B50098II3 1300000.000000 PA USD 1300653.850000 0.4636490 Long DBT CORP AU N 2 2019-10-15 Fixed 4.625 N N N N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 BYYTKMII6 400000.000000 PA 439006.270000 0.1564942 Long DBT CORP NL N 2 2020-06-09 Fixed 0.75 N N N N N N SL GREEN OPERATING PARTNERSHIP LP 2K1OXW4LY7IS2U150Y32 78444FAG1 600000.000000 PA USD 600104.200000 0.2139214 Long DBT CORP US N 2 2021-08-16 Floating 3.14838 N N N N N N SLC STUDENT LOAN TRUST 2006-1 N/A 784427AE6 196079.700000 PA USD 195231.280000 0.0695948 Long ABS-O CORP US N 2 2027-03-15 Floating 2.2285 N N N N N N SLC STUDENT LOAN TRUST-2006-2 N/A 784428AE4 169417.150000 PA USD 169172.580000 0.0603056 Long ABS-O CORP US N 2 2026-09-15 Floating 2.2185 N N N N N N SLM STUDENT LOAN TR 2003-2 N/A 99PFQNII6 17766.500000 PA 19377.080000 0.0069074 Long ABS-O CORP US N 2 2023-12-15 Floating 0 N N N N N N SLM STUDENT LOAN TR 2005-3 N/A 78442GPB6 71370.000000 PA USD 71336.530000 0.0254296 Long ABS-O CORP US N 2 2024-10-25 Floating 2.3655 N N N N N N SLM STUDENT LOAN TRUST 2004-8A N/A 78442GMS2 54084.310000 PA USD 54092.080000 0.0192824 Long ABS-O CORP US N 2 2024-04-25 Floating 2.7755 N N N N N N SLM STUDENT LOAN TRUST 2005-4 N/A 78442GPG5 201200.020000 PA USD 201080.310000 0.0716799 Long ABS-O CORP US N 2 2027-01-25 Floating 2.3955 N N N N N N SLM STUDENT LOAN TRUST 2005-7 N/A 78442GQJ8 426763.500000 PA USD 423880.970000 0.1511024 Long ABS-O CORP US N 2 2029-10-25 Floating 2.4255 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 50064FAR5 1200000.000000 PA USD 1204361.040000 0.4293231 Long DBT NUSS KR N 2 2024-06-19 Fixed 2 N N N N N N SOUTHERN POWER COMPANY 5LADC78JBG2BMZD5XF57 843646AS9 1700000.000000 PA USD 1699426.060000 0.6058008 Long DBT CORP US N 2 2019-12-15 Fixed 1.95 N N N N N N SPAIN GOVT 9598007A56S18711AH60 939FFQII2 1100000.000000 PA 1230115.550000 0.4385039 Long DBT NUSS ES N 2 2020-04-30 Fixed 4 N N N N N N STADSHYPOTEK AB 549300UOX05QGUJJ5707 85235XAF2 1000000.000000 PA USD 1015903.310000 0.3621429 Long DBT CORP SE N 2 2022-04-05 Fixed 2.5 N N N N N N ADANI GREEN ENERGY UP LTD / PRAYATNA DEVELOPERS PVT LTD / PARAMPUJYA SOLAR ENERG N/A 00654AAA4 2300000.000000 PA USD 2407295.000000 0.8581375 Long DBT CORP IN N 2 2024-12-10 Fixed 6.25 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 41094.620000 PA USD 40288.230000 0.0143617 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.84605 Y N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGG0 37841.820000 PA USD 38653.160000 0.0137788 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.45757 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC11 N/A 86358EEM4 23676.560000 PA USD 23802.980000 0.0084851 Long ABS-MBS CORP US N 2 2033-10-25 Floating 2.99338 N N N N N N STRUCTURED ASSET INVESTMENT LN TR 2004-2 N/A 86358EGW0 106383.680000 PA USD 105703.140000 0.0376804 Long ABS-MBS CORP US N 2 2034-03-25 Floating 2.72338 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPE3 17014.560000 PA USD 16855.150000 0.0060084 Long ABS-MBS CORP US N 2 2035-07-19 Floating 2.307 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 20249.490000 PA USD 19617.790000 0.0069932 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.29838 Y N N N N N STRUCTURED ASSET MTG INV INC 2007-AR2 N/A 86363DAH4 79003.700000 PA USD 53484.680000 0.0190659 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.27838 N N N N N N STUDENT LOAN MARKETING ASSOC 2007-1 N/A 78443VAE2 240352.760000 PA USD 239833.140000 0.0854942 Long ABS-O CORP US N 2 2026-01-26 Floating 2.3655 N N N N N N SUMITOMO MITSUI BANKING CORPORATION 5U0XI89JRFVHWIBS4F54 865622BY9 1700000.000000 PA USD 1707823.010000 0.6087941 Long DBT CORP JP N 2 2020-10-20 Fixed 2.45 N N N N N N SUMITOMO MITSUI BANKING CORPORATION 5U0XI89JRFVHWIBS4F54 865622CN2 900000.000000 PA USD 902070.330000 0.3215644 Long DBT CORP JP N 2 2020-10-16 Floating 2.69225 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 ACI0Y4108 900000.000000 PA 1019328.310000 0.3633638 Long DBT CORP JP N 2 2024-10-11 Fixed 0.934 N N N N N N SUMITOMO MITSUI TRUST BANK LIMITED 5493006GGLR4BTEL8O61 86563VAF6 1200000.000000 PA USD 1200649.320000 0.4280000 Long DBT CORP JP N 2 2019-10-18 Floating 3.20963 N N N N N N SWEDBANK AB M312WZV08Y7LYUC71685 ACI0YMCJ5 400000.000000 PA 439852.940000 0.1567960 Long DBT CORP SE N 2 2022-11-07 Fixed 0.25 N N N N N N TELEFONICA EMISIONES SA 549300Y5MFC4SW5Z3K71 87938WAP8 500000.000000 PA USD 522070.060000 0.1861043 Long DBT CORP ES N 2 2021-02-16 Fixed 5.462 N N N N N N TELEFONICA EMISIONES SA 549300Y5MFC4SW5Z3K71 87938WAM5 1000000.000000 PA USD 1016111.460000 0.3622171 Long DBT CORP ES N 2 2020-04-27 Fixed 5.134 N N N N N N TELSTRA CORPORATION LIMITED PCTXNQGRJVR3OG33JG65 87969NAC9 600000.000000 PA USD 628992.620000 0.2242194 Long DBT CORP AU N 2 2021-10-12 Fixed 4.8 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 064159QD1 1200000.000000 PA USD 1211068.840000 0.4317143 Long DBT CORP CA N 2 2023-01-18 Fixed 2.375 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89117FJB6 2300000.000000 PA USD 2367828.820000 0.8440689 Long DBT CORP CA N 2 2021-10-22 Fixed 3.35 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 943781.960000 PA 1163304.860000 0.4146877 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.79763 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00772BAQ4 700000.000000 PA USD 716681.570000 0.2554782 Long DBT CORP IE N 2 2020-10-30 Fixed 4.625 N N N N N N UBS AG/LONDON BRANCH BFM8T61CT2L1QCEMIK50 902674XE5 200000.000000 PA USD 200572.270000 0.0714988 Long DBT CORP CH N 2 2020-06-08 Floating 2.68213 N N N N N N UBS AG/LONDON BRANCH BFM8T61CT2L1QCEMIK50 902674XK1 1300000.000000 PA USD 1305424.610000 0.4653496 Long DBT CORP CH N 2 2020-12-01 Fixed 2.45 N N N N N N UBS AG/LONDON BRANCH BFM8T61CT2L1QCEMIK50 902674XJ4 1300000.000000 PA USD 1303725.940000 0.4647441 Long DBT CORP CH N 2 2020-12-01 Floating 2.61763 N N N N N N UBS GROUP FUNDING (SWITZERLAND) AG 506700Q800G1L95S7805 90351DAE7 800000.000000 PA USD 816940.260000 0.2912178 Long DBT CORP CH N 2 2021-04-14 Floating 4.08338 N N N N N N UMBS PASS THRU POOLS N/A 01F0306C7 2000000.000000 PA USD 2027432.980000 0.7227267 Long ABS-MBS USGSE US N 2 2049-12-12 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F0326B5 6500000.000000 PA USD 6670497.990000 2.3778575 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 01F0326C3 2000000.000000 PA USD 2052268.500000 0.7315799 Long ABS-MBS USGSE US N 2 2049-12-12 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0406A0 -4300000.000000 PA USD -4462929.710000 1.5909174 Short ABS-MBS USGSE US N 2 2049-10-10 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F0406B8 -500000.000000 PA USD -519199.220000 0.1850809 Short ABS-MBS USGSE US N 2 2049-11-13 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F0426B4 1400000.000000 PA USD 1475359.380000 0.5259269 Long ABS-MBS USGSE US N 2 2049-11-13 Fixed 4.5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AL3 600000.000000 PA USD 628909.150000 0.2241896 Long DBT CORP IT N 2 2022-01-14 Floating 6.20338 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 1200000.000000 PA USD 1407904.560000 0.5018810 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828UH1 7780430.000000 PA USD 7721194.940000 2.7524034 Long DBT UST US N 2 2023-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 1841406.000000 PA USD 1848146.060000 0.6588156 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285W6 4572270.000000 PA USD 4862985.900000 1.7335269 Long DBT UST US N 2 2029-01-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 713692.000000 PA USD 808527.520000 0.2882188 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X39 9810942.000000 PA USD 9716786.390000 3.4637794 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284H0 9605691.000000 PA USD 9691251.770000 3.4546770 Long DBT UST US N 2 2023-04-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828VM9 9591228.000000 PA USD 9655909.040000 3.4420783 Long DBT UST US N 2 2023-07-15 Fixed 0.375 N N N N N N US BANK NA/CINCINNATI BRANCH 6BYL5QZYBDK8S7L73M02 90331HNU3 600000.000000 PA USD 604683.920000 0.2155540 Long DBT CORP US N 2 2020-07-24 Fixed 3.05 N N N N N N US BANK NA/CINCINNATI BRANCH 6BYL5QZYBDK8S7L73M02 90331HNW9 1200000.000000 PA USD 1201779.640000 0.4284029 Long DBT CORP US N 2 2020-07-24 Floating 2.53275 N N N N N N ALEXANDRIA REAL ESTATE EQUITIES INC MGCJBT4MKTQBVLNUIS88 015271AM1 1200000.000000 PA USD 1281322.130000 0.4567577 Long DBT CORP US N 2 2024-01-15 Fixed 4 N N N N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBH2 500000.000000 PA USD 527521.140000 0.1880474 Long DBT CORP GB N 2 2024-01-16 Fixed 3.75 N N N N N N VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2018-2 N/A 92869BAB8 341435.970000 PA USD 342472.300000 0.1220824 Long ABS-O CORP US N 2 2021-08-20 Fixed 3.05 N N N N N N WASHINGTON MUTUAL 2002-AR6 N/A 929227QB5 10482.700000 PA USD 10464.600000 0.0037304 Long ABS-MBS CORP US N 2 2042-06-25 Floating 3.84605 N N N N N N WASHINGTON MUTUAL 2004-AR13 N/A 92922FB72 45143.990000 PA USD 45606.760000 0.0162576 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.75838 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 91287.000000 PA USD 90772.590000 0.0323580 Long ABS-MBS CORP US N 2 2045-10-25 Floating 2.30838 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 13781.780000 PA USD 13738.540000 0.0048974 Long ABS-MBS CORP US N 2 2045-12-25 Floating 2.28838 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1 N/A 939336PM9 1259.630000 PA USD 1240.940000 0.0004424 Long ABS-MBS CORP US N 2 2033-02-25 Floating 3.82584 N N N N N N WEA FINANCE LLC / WESTFIELD UK & EUROPE FINANCE PLC N/A 92890HAE2 700000.000000 PA USD 707220.900000 0.2521057 Long DBT CORP US N 2 2020-10-05 Fixed 3.25 N N N N N N WELLS FARGO MTGE BACKED SEC TR 2005-AR16 N/A 94981QAU2 188768.410000 PA USD 194029.690000 0.0691665 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.91472 N N N N N N WELLS FARGO MTGE BKD SEC TR 2005-AR10 N/A 94983CAD9 61786.080000 PA USD 64717.220000 0.0230700 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.96832 N N N N N N WESTPAC BANKING CORPORATION EN5TNI6CI43VEPAMHL14 96122WAL4 1000000.000000 PA USD 1002264.020000 0.3572808 Long DBT CORP AU N 2 2021-02-25 Fixed 2.1 N N N N N N WESTPAC BANKING CORPORATION EN5TNI6CI43VEPAMHL14 961214DX8 600000.000000 PA USD 603951.270000 0.2152928 Long DBT CORP AU N 2 2020-05-15 Fixed 3.05 N N N N N N WESTPAC BANKING CORPORATION EN5TNI6CI43VEPAMHL14 ACI0MR761 1600000.000000 PA 1113385.290000 0.3968926 Long DBT CORP AU N 2 2021-06-03 Fixed 3.1 N N N N N N WORLD BANK (INTERNATIONAL BANK FOR RECONSTRUCTION AND DEVELOPMENT: IBRD) ZTMSNXROF84AHWJNKQ93 459058GG2 2800000.000000 PA 2148466.620000 0.7658720 Long DBT CORP N/A N 2 2023-01-17 Fixed 2.25 N N N N N N WORLD BANK (INTERNATIONAL BANK FOR RECONSTRUCTION AND DEVELOPMENT: IBRD) ZTMSNXROF84AHWJNKQ93 45905UZT4 3600000.000000 PA USD 3590976.100000 1.2800888 Long DBT CORP N/A N 2 2021-11-22 Fixed 1.75 N N N N N N ZOETIS INC 549300HD9Q1LOC9KLJ48 98978VAB9 900000.000000 PA USD 924421.180000 0.3295319 Long DBT CORP US N 2 2023-02-01 Fixed 3.25 N N N N N N N/A N/A 000000000 529000.000000 PA USD 529000.000000 0.1885746 Long RA US N 2 Repurchase N 1.5000000 2019-10-01 540000.000000 USD 544028.940000 USD UST N N N N/A N/A 000000000 15000000.000000 PA USD 15000000.000000 5.3471065 Long RA US N 2 Repurchase N 2.5000000 2019-10-01 15025000.000000 USD 15216627.500000 USD UST N N N N/A N/A 000000000 -9718500.000000 PA USD -9761901.200000 3.4798617 Short RA US N 2 Reverse repurchase N 2.3300000 2019-10-22 9791784.000000 USD 9692788.870000 USD UST N N N N/A N/A 000000000 -6374500.000000 PA USD -6399041.830000 2.2810905 Short RA US N 2 Reverse repurchase N 2.3100000 2019-10-03 6289405.000000 USD 6341791.340000 USD UST N N N N/A N/A 000000000 -3765500.000000 PA USD -3777267.190000 1.3464967 Short RA US N 2 Reverse repurchase N 2.2500000 2019-10-11 3772606.000000 USD 3741721.790000 USD UST N N N N/A N/A 000000000 -1309500.000000 PA USD -1313456.870000 0.4682129 Short RA US N 2 Reverse repurchase N 2.2200000 2019-10-15 1217172.000000 USD 1291753.510000 USD UST N N N N/A 213800J6B7JSBDETCB42 000000000 -215.000000 NC -61280.310000 0.0218448 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Short N/A AUSTRALIA GOVT 2019-12-16 -16788394.980000 AUD -61280.310000 N N N N/A N/A 000000000 1.000000 NC USD -5436.460000 0.0019380 N/A DFE GB N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 2556751.710000 USD 2075000.000000 GBP 2019-10-02 -5436.460000 N N N N/A N/A 000000000 1.000000 NC 5468.630000 0.0019494 N/A DFE GB N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 2075000.000000 GBP 2560207.630000 USD 2019-11-04 5468.630000 N N N N/A N/A 000000000 1.000000 NC 471024.960000 0.1679080 N/A DFE N/A N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 12739000.000000 EUR 14401171.980000 USD 2019-11-15 471024.960000 N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816BU2 900000.000000 PA USD 918247.890000 0.3273313 Long DBT CORP US N 2 2021-05-17 Fixed 3.375 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816BV0 1000000.000000 PA USD 1002896.780000 0.3575064 Long DBT CORP US N 2 2021-05-17 Floating 2.64875 N N N N N N N/A N/A 000000000 1.000000 NC 1666.020000 0.0005939 N/A DFE N/A N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 104000.000000 EUR 115390.430000 USD 2019-11-15 1666.020000 N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816BY4 600000.000000 PA USD 619672.040000 0.2208968 Long DBT CORP US N 2 2021-11-05 Fixed 3.7 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816BZ1 600000.000000 PA USD 603676.250000 0.2151947 Long DBT CORP US N 2 2021-11-05 Floating 2.88675 N N N N N N AMERICAN HOME MTGE INV TRUST 2004-3 N/A 02660TBP7 4330.000000 PA USD 4341.140000 0.0015475 Long ABS-MBS CORP US N 2 2034-10-25 Floating 3.68463 N N N N N N AMERICAN HOME MTGE INV TRUST 2004-4 N/A 02660TCS0 8597.450000 PA USD 8660.930000 0.0030874 Long ABS-MBS CORP US N 2 2045-02-25 Floating 4.03138 N N N N N N N/A N/A 000000000 1.000000 NC USD -2960.450000 0.0010553 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 151676.990000 USD 136000.000000 EUR 2019-11-15 -2960.450000 N N N N/A N/A 000000000 1.000000 NC USD -17211.870000 0.0061356 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 724896.880000 USD 76300000.000000 JPY 2019-11-15 -17211.870000 N N N N/A N/A 000000000 1.000000 NC USD -4934.800000 0.0017591 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 411181.240000 USD 43800000.000000 JPY 2019-11-15 -4934.800000 N N N N/A N/A 000000000 1.000000 NC 2324.820000 0.0008287 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 93000.000000 EUR 104020.690000 USD 2019-11-15 2324.820000 N N N N/A N/A 000000000 1.000000 NC 3676.740000 0.0013107 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 220000.000000 EUR 244247.610000 USD 2019-11-15 3676.740000 N N N N/A N/A 000000000 1.000000 NC 3574.150000 0.0012741 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 243000.000000 EUR 269295.610000 USD 2019-11-15 3574.150000 N N N N/A N/A 000000000 1.000000 NC 44218.970000 0.0157629 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2038000.000000 EUR 2272780.050000 USD 2019-11-15 44218.970000 N N N N/A N/A 000000000 1.000000 NC 4159.860000 0.0014829 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 23300000.000000 JPY 220268.130000 USD 2019-11-15 4159.860000 N N N N/A N/A 000000000 1.000000 NC USD 46703.290000 0.0166485 N/A DCR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 CMBX.NA.AAA.11 N/A N/A Y Single Leg Swap 2054-11-19 0.000000 USD -101905.120000 USD 12000000.000000 USD 148608.410000 N N N N/A N/A 000000000 1.000000 NC -26617.610000 0.0094885 N/A DFE CN N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 37876417.780000 CNY 5257327.750000 USD 2020-03-18 -26617.610000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAF7 1500000.000000 PA USD 1505875.280000 0.5368050 Long DBT CORP US N 2 2020-06-01 Fixed 2.8 N N N N N N N/A N/A 000000000 -160.000000 NC 51651.000000 0.0184122 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A EUIB 2020-12-14 -43839982.210000 EUR 51651.000000 N N N N/A N/A 000000000 -113.000000 NC 39141.060000 0.0139528 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A EUIB 2020-09-14 -30958908.330000 EUR 39141.060000 N N N N/A 969500KCGF3SUYJHPV70 000000000 -40.000000 NC 95666.680000 0.0341027 N/A DIR DE N 1 Eurex N/A Short N/A FRANCE GOVT 2019-12-06 -7425177.630000 EUR 95666.680000 N N N N/A 969500KCGF3SUYJHPV70 000000000 2.000000 NC -1.110000 0.0000004 N/A DIR DE N 1 Eurex N/A Call Purchased Eurex N/A N/A 969500KCGF3SUYJHPV70 000000000 0.000000 NC 0.000000 0.000000 DIR FR N/A N/A FIN FUT EURO-OAT EUX 10YR 12/06/19 2019-12-07 N/A EUR N/A 200.000000 EUR 2019-11-22 XXXX -1.110000 N N N N/A 529900AQBND3S6YJLY83 000000000 -21.000000 NC 11620.990000 0.0041426 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2019-12-06 -3104887.010000 EUR 11620.990000 N N N N/A 529900AQBND3S6YJLY83 000000000 43.000000 NC 35141.520000 0.0125270 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2019-12-06 8166725.340000 EUR 35141.520000 N N N N/A 529900AQBND3S6YJLY83 000000000 -25.000000 NC 6243.780000 0.0022257 N/A DIR DE N 1 Eurex N/A Put 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 171.000000 EUR 2019-10-25 XXXX 6243.780000 N N N AMERIQUEST MORTGAGE SEC 2005-R1 N/A 03072SYB5 1300000.000000 PA USD 1319293.430000 0.4702935 Long ABS-MBS CORP US N 2 2035-03-25 Floating 3.12838 N N N N N N N/A N/A 000000000 1.000000 NC USD 822.490000 0.0002932 N/A DFE AU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 257008.450000 USD 382000.000000 AUD 2019-10-02 822.490000 N N N N/A N/A 000000000 1.000000 NC USD 3397.430000 0.0012111 N/A DFE CA N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 6689402.020000 USD 8866802.380000 CAD 2019-10-02 3397.430000 N N N N/A N/A 000000000 1.000000 NC USD -6235.320000 0.0022227 N/A DFE DK N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 263171.500000 USD 1760000.000000 DKK 2019-10-01 -6235.320000 N N N N/A N/A 000000000 1.000000 NC USD -30881.930000 0.0110086 N/A DFE N/A N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 2479237.310000 USD 2239000.000000 EUR 2019-11-15 -30881.930000 N N N N/A N/A 000000000 1.000000 NC USD -319215.590000 0.1137920 N/A DFE JP N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 10389118.760000 USD 1085700000.000000 JPY 2019-11-15 -319215.590000 N N N N/A N/A 000000000 1.000000 NC 1386.780000 0.0004944 N/A DFE AU N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 4425000.000000 AUD 2988040.990000 USD 2019-10-02 1386.780000 N N N N/A N/A 000000000 1.000000 NC -23884.660000 0.0085143 N/A DFE CA N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 8866802.380000 CAD 6668914.790000 USD 2019-10-02 -23884.660000 N N N N/A N/A 000000000 1.000000 NC -3529.190000 0.0012581 N/A DFE CA N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 8866802.380000 CAD 6692810.280000 USD 2019-11-04 -3529.190000 N N N N/A N/A 000000000 1.000000 NC -15781.620000 0.0056257 N/A DFE CN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 18216907.400000 CNY 2525565.980000 USD 2020-03-18 -15781.620000 N N N N/A N/A 000000000 1.000000 NC 33875.150000 0.0120756 N/A DFE JP N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 150000000.000000 JPY 1425130.080000 USD 2019-11-15 33875.150000 N N N N/A 815600DE60799F5A9309 000000000 42.000000 NC 119089.910000 0.0424524 N/A DIR DE N 1 Eurex N/A Long N/A ITALY GOVT 2019-12-06 6676250.960000 EUR 119089.910000 N N N N/A 815600DE60799F5A9309 000000000 138.000000 NC 47170.350000 0.0168150 N/A DIR DE N 1 Eurex N/A Long N/A ITALY GOVT 2019-12-06 16950057.390000 EUR 47170.350000 N N N N/A N/A 000000000 1.000000 NC USD -2302.100000 0.0008206 N/A DFE N/A N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 126961.550000 USD 114000.000000 EUR 2019-11-15 -2302.100000 N N N N/A N/A 000000000 1.000000 NC 13469.420000 0.0048015 N/A DFE DK N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 1760000.000000 DKK 270405.600000 USD 2019-10-01 13469.420000 N N N 2019-11-13 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer