NPORT-P false 0000810893 XXXXXXXX S000022557 C000065245 C000069483 C000200461 C000069484 C000065246 C000065243 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Dynamic Bond Fund S000022557 O7M5VNOD7AVYOESOBU56 2020-03-31 2019-09-30 N 5966734378.580000 2065473687.600000 3901260690.980000 0.000000 0.000000 4986663.660000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 19731250.000000 0.000000 0.000000 22521006.310000 USD JPY MXN EUR PEN GBP NZD ARS DKK N N/A N/A 000000000 1.000000 NC USD -44426.690000 0.0011388 N/A DFE JP N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5270785.070000 USD 565100000.000000 JPY 2019-10-02 -44426.690000 N N N N/A N/A 000000000 1.000000 NC USD -6330.810000 0.0001623 N/A DFE JP N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6254610.240000 USD 674100000.000000 JPY 2019-11-05 -6330.810000 N N N N/A N/A 000000000 1.000000 NC 6060.150000 0.0001553 N/A DFE JP N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 674100000.000000 JPY 6240511.020000 USD 2019-10-02 6060.150000 N N N N/A N/A 000000000 1.000000 NC 43202.400000 0.0011074 N/A DFE SE N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 12260000.000000 SEK 1292164.340000 USD 2019-11-15 43202.400000 N N N N/A N/A 000000000 1.000000 NC -112401.830000 0.0028812 N/A DFE SG N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 32515976.260000 SGD 23434515.600000 USD 2019-12-18 -112401.830000 N N N N/A 5493004EHVGF71PDBU58 000000000 1.000000 NC USD 167383.940000 0.0042905 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 RUSSIAN GOVT RUSSIAN FEDERATION SR UNSEC REGS Y Single Leg Swap 2024-06-21 0.000000 USD -267215.130000 USD 16700000.000000 USD 434599.070000 N N N N/A 5493004EHVGF71PDBU58 000000000 1.000000 NC USD 3899.280000 0.0000999 N/A DCR US N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 RUSSIAN GOVT RUSSIAN FEDERATION SR UNSEC REGS Y Single Leg Swap 2023-12-21 0.000000 USD -7814.790000 USD 300000.000000 USD 11714.070000 N N N N/A N/A 000000000 1.000000 NC -5417.270000 0.0001389 N/A DFE RU N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 11117339.170000 RUB 164333.350000 USD 2019-12-16 -5417.270000 N N N N/A N/A 000000000 1.000000 NC USD -606467.520000 0.0155454 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 SOUTH AFRICA GOVT REPUBLIC OF SOUTH AFRICA SR UNSECURED Y Single Leg Swap 2024-06-21 0.000000 USD -770080.910000 USD 17400000.000000 USD 163613.390000 N N N N/A N/A 000000000 1.000000 NC USD -5063.460000 0.0001298 N/A DCR US N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 SOUTH AFRICA GOVT REPUBLIC OF SOUTH AFRICA SR UNSECURED Y Single Leg Swap 2023-12-21 0.000000 USD -10137.570000 USD 200000.000000 USD 5074.110000 N N N N/A N/A 000000000 1.000000 NC USD -638112.570000 0.0163566 N/A DFE JP N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 37974528.750000 USD 4037000000.000000 JPY 2019-10-02 -638112.570000 N N N N/A N/A 000000000 1.000000 NC 4163326.630000 0.1067175 N/A DFE N/A N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 210177000.000000 EUR 233245817.340000 USD 2019-10-02 4163326.630000 N N N ARGENT SECURITIES INC 2004-W3 N/A 040104FW6 967570.900000 PA USD 945317.930000 0.0242311 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.83838 N N N N N N N/A N/A 000000000 1.000000 NC -63730.380000 0.0016336 N/A DFE TW N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 166394000.000000 TWD 5316611.820000 USD 2019-11-21 -63730.380000 N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAQ2 2379940.590000 PA USD 1013806.140000 0.0259866 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.16838 N N N N N N ARGENT SECURITIES INC 2006-M2 N/A 04013BAB8 426271.450000 PA USD 172719.480000 0.0044273 Long ABS-MBS CORP US N 2 2036-09-25 Floating 2.12838 N N N N N N ARGENT SECURITIES INC 2006-M2 N/A 04013BAC6 1005395.650000 PA USD 410554.320000 0.0105236 Long ABS-MBS CORP US N 2 2036-09-25 Floating 2.16838 N N N N N N N/A N/A 000000000 -28800000.000000 NC -505614.180000 0.0129603 N/A DIR DE N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 Call Written Bank of America N.A. B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 12/12/19-30Y **DNU** 2049-12-12 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2019-12-10 XXXX 36494.040000 N N N N/A N/A 000000000 38700000.000000 NC USD 413319.870000 0.0105945 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Purchased J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.43000 12/12/19-30Y LCH N/A N/A 2049-12-12 0.000000 USD 0.000000 USD N/A USD N/A 1.430000 USD 2019-12-10 XXXX -132350.130000 N N N N/A N/A 000000000 59400000.000000 NC USD 57528.900000 0.0014746 N/A DIR US N 2 BARCLAYS BANK PLC LONDON BRANCH G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC LONDON BRANCH G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.94000 11/08/19-10Y CME N/A N/A 2029-11-08 0.000000 USD 0.000000 USD N/A USD N/A 1.940000 USD 2019-11-06 XXXX -275111.100000 N N N N/A N/A 000000000 56700000.000000 NC USD 51375.870000 0.0013169 N/A DIR US N 2 BNP PARIBAS S.A R0MUWSFPU8MPRO8K5P84 Put Purchased BNP PARIBAS S.A R0MUWSFPU8MPRO8K5P84 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.95000 11/08/19-10Y CME N/A N/A 2029-11-08 0.000000 USD 0.000000 USD N/A USD N/A 1.950000 USD 2019-11-06 XXXX -285989.130000 N N N ARGENT SECURITIES TRUST 2006-W5 N/A 04012XAD7 3950567.970000 PA USD 1402040.380000 0.0359381 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.16838 N N N N N N N/A N/A 000000000 1.000000 NC 292651.310000 0.0075015 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2033-10-15 10326.060000 GBP 0.000000 GBP 26800000.000000 GBP 282325.250000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1DM1J8 11450000.000000 PA 119673.480000 0.0030676 Long DBT NUSS AR N 2 2020-05-13 Fixed 0 N N N N N N N/A N/A 000000000 1.000000 NC -3212293.290000 0.0823399 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2025-03-18 0.000000 GBP -383118.450000 GBP 303400000.000000 GBP -2829174.840000 N N N N/A N/A 000000000 1.000000 NC -17413.120000 0.0004463 N/A DIR GB N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2020-01-22 0.000000 GBP -114464.420000 GBP 3300000.000000 GBP 97051.300000 N N N N/A N/A 000000000 1.000000 NC 31153.130000 0.0007985 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2029-09-18 0.000000 JPY 0.000000 JPY 1118000000.000000 JPY 31153.130000 N N N N/A N/A 000000000 1.000000 NC 10703.140000 0.0002744 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2029-09-13 0.000000 JPY 0.000000 JPY 1091000000.000000 JPY 10703.140000 N N N N/A N/A 000000000 1.000000 NC -34923.590000 0.0008952 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2029-09-25 0.000000 JPY 0.000000 JPY 1622000000.000000 JPY -34923.590000 N N N N/A N/A 000000000 1.000000 NC -32080.710000 0.0008223 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2029-09-10 0.000000 JPY 0.000000 JPY 1084000000.000000 JPY -32080.710000 N N N N/A N/A 000000000 1.000000 NC -49957.210000 0.0012805 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2029-09-27 0.000000 JPY 0.000000 JPY 1320000000.000000 JPY -49957.210000 N N N N/A N/A 000000000 1.000000 NC -41091.380000 0.0010533 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2029-09-11 0.000000 JPY 0.000000 JPY 1084000000.000000 JPY -41091.380000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 22575000.000000 PA 236287.950000 0.0060567 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 -59637.770000 0.0015287 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2029-09-10 0.000000 JPY 0.000000 JPY 1103000000.000000 JPY -59637.770000 N N N N/A N/A 000000000 1.000000 NC -3251893.210000 0.0833549 N/A DIR JP N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2026-03-18 0.000000 JPY -1031963.050000 JPY 12280000000.000000 JPY -2219930.160000 N N N N/A N/A 000000000 1.000000 NC -224279.510000 0.0057489 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2028-03-21 64810.520000 JPY 0.000000 JPY 730000000.000000 JPY -289090.030000 N N N N/A N/A 000000000 1.000000 NC 1013795.370000 0.0259864 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2027-09-30 0.000000 MXN -272333.650000 MXN 477755600.000000 MXN 1286129.020000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0VSDQ8 510957200.000000 PA 4369140.450000 0.1119930 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 458118.140000 0.0117428 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-06-22 5179212.330000 USD 0.000000 USD 223600000.000000 USD -4721094.190000 N N N N/A N/A 000000000 1.000000 NC USD -321344.520000 0.0082369 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-06-21 17390976.580000 USD 0.000000 USD 200400000.000000 USD -17712321.100000 N N N N/A N/A 000000000 1.000000 NC USD 37149.420000 0.0009522 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-18 0.000000 USD -24198.120000 USD 1700000.000000 USD 61347.540000 N N N N/A N/A 000000000 1.000000 NC USD 188987.490000 0.0048443 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-02-03 0.000000 USD -30964.770000 USD 8700000.000000 USD 219952.260000 N N N N/A N/A 000000000 1.000000 NC USD -423529.050000 0.0108562 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-01-15 0.000000 USD -291321.090000 USD 24500000.000000 USD -132207.960000 N N N N/A N/A 000000000 1.000000 NC USD -137197.500000 0.0035167 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-24 0.000000 USD -97419.200000 USD 16500000.000000 USD -39778.300000 N N N N/A N/A 000000000 1.000000 NC USD -396.740000 0.0000102 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-21 987.590000 USD 0.000000 USD 20000.000000 USD -1384.330000 N N N N/A N/A 000000000 1.000000 NC USD -7557185.330000 0.1937114 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-21 17240618.990000 USD 0.000000 USD 375500000.000000 USD -24797804.320000 N N N N/A N/A 000000000 1.000000 NC USD -205633.800000 0.0052710 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-18 0.000000 USD -21598.250000 USD 3000000.000000 USD -184035.550000 N N N N/A N/A 000000000 1.000000 NC USD -569245.600000 0.0145913 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-02-12 0.000000 USD -247180.220000 USD 14000000.000000 USD -322065.380000 N N N N/A N/A 000000000 1.000000 NC USD -285189.100000 0.0073102 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-03-11 0.000000 USD -6638.050000 USD 7000000.000000 USD -278551.050000 N N N N/A N/A 000000000 1.000000 NC USD -289739.520000 0.0074268 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2029-12-10 0.000000 USD -12233.010000 USD 7200000.000000 USD -277506.510000 N N N N/A N/A 000000000 1.000000 NC USD -2344733.300000 0.0601019 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-03-14 0.000000 USD -54856.120000 USD 18200000.000000 USD -2289877.180000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 P75735AL7 1900000.000000 PA 806342.310000 0.0206688 Long DBT NUSS AR N 2 2028-01-15 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC USD -12702.880000 0.0003256 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-20 11887.440000 USD 0.000000 USD 200000.000000 USD -24590.320000 N N N N/A N/A 000000000 1.000000 NC USD -694318.500000 0.0177973 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2049-12-13 0.000000 USD -7202.140000 USD 5400000.000000 USD -687116.360000 N N N N/A N/A 000000000 1.000000 NC USD -1036976.300000 0.0265805 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2048-06-22 481900.620000 USD 0.000000 USD 5500000.000000 USD -1518876.920000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HQ6 10600000.000000 PA USD 4332856.000000 0.1110630 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 16534264.230000 0.4238185 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-09-26 0.000000 USD -4140321.470000 USD 395900000.000000 USD 20674585.700000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HR4 4800000.000000 PA USD 2040048.000000 0.0522920 Long DBT NUSS AR N 2 2048-01-11 Fixed 6.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 14292328.500000 0.3663515 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-12-14 0.000000 USD -2737503.030000 USD 258600000.000000 USD 17029831.530000 N N N N/A N/A 000000000 1.000000 NC USD -49419403.520000 1.2667547 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2048-09-28 8621987.500000 USD 0.000000 USD 167800000.000000 USD -58041391.020000 N N N N/A N/A 000000000 1.000000 NC USD -79221.830000 0.0020307 N/A DFE BR N 2 The Toronto-Dominion Bank PT3QB789TSUIDF371261 5509000.000000 USD 22560456.800000 BRL 2019-10-02 -79221.830000 N N N N/A 5493000PCHOG3B6S3Q85 000000000 1.000000 NC USD -1591663.910000 0.0407987 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 TURKEY GOVT TURKEY (REP OF) SR UNSUB Y Single Leg Swap 2024-06-21 0.000000 USD -1936018.790000 USD 15700000.000000 USD 344354.880000 N N N N/A 5493000PCHOG3B6S3Q85 000000000 1.000000 NC USD -91241.880000 0.0023388 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 TURKEY GOVT TURKEY (REP OF) SR UNSUB Y Single Leg Swap 2024-06-21 0.000000 USD -129669.200000 USD 900000.000000 USD 38427.320000 N N N N/A N/A 000000000 1.000000 NC USD -11853.280000 0.0003038 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 5396361.950000 USD 582200000.000000 JPY 2019-10-02 -11853.280000 N N N N/A N/A 000000000 1.000000 NC USD -32131.260000 0.0008236 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 6266582.130000 USD 674100000.000000 JPY 2019-10-02 -32131.260000 N N N N/A N/A 000000000 1.000000 NC USD -33872.670000 0.0008682 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 7323501.900000 USD 788191160.000000 JPY 2019-10-02 -33872.670000 N N N N/A N/A 000000000 1.000000 NC 2236078.290000 0.0573168 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 9717091160.000000 JPY 92105129.480000 USD 2019-10-02 2236078.290000 N N N N/A N/A 000000000 1.000000 NC 34406.240000 0.0008819 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 788191160.000000 JPY 7340204.510000 USD 2019-11-05 34406.240000 N N N N/A N/A 000000000 -65300000.000000 NC USD -84230.470000 0.0021591 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% NOV 30YR N/A 97.460000 USD 2019-11-06 XXXX 252472.660000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 BYQ696II3 1200000.000000 PA 11986.100000 0.0003072 Long DBT NUSS AR N 2 2020-03-01 Floating 54.21 N N N N N N N/A N/A 000000000 -65400000.000000 NC USD -98950.200000 0.0025364 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% NOV 30YR N/A 97.660000 USD 2019-11-06 XXXX 225495.110000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 P0761DAQ6 2200000.000000 PA 39897.150000 0.0010227 Long DBT NUSS AR N 2 2022-10-04 Floating 51.6031 N N N N N N N/A 254900HROIFWPRGM1V77 000000000 -22000000.000000 NC USD -93390.000000 0.0023938 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2019-12-04 N/A 20.970000 USD 2019-12-04 XXXX 120010.000000 N N N N/A 254900HROIFWPRGM1V77 000000000 -20757000.000000 NC USD -140026.720000 0.0035893 N/A DFE GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 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 2019-12-09 N/A 20.680000 USD 2019-12-09 XXXX 54881.510000 N N N N/A 254900HROIFWPRGM1V77 000000000 2473.000000 NC USD -3008275.430000 0.0771103 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2019-12-19 322262812.500000 USD -3008275.430000 N N N N/A 254900HROIFWPRGM1V77 000000000 -1829.000000 NC USD 1898479.690000 0.0486632 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2019-12-31 -217922493.100000 USD 1898479.690000 N N N ASSET BACK SEC CORP HM EQ LN TR 2005-HE2 N/A 04541GQD7 1375664.490000 PA USD 1385441.340000 0.0355127 Long ABS-MBS CORP US N 2 2035-02-25 Floating 3.11338 N N N N N N N/A 254900HROIFWPRGM1V77 000000000 -85.000000 NC USD 297381.000000 0.0076227 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2019-12-19 -13796562.500000 USD 297381.000000 N N N ASSET BACKED FUNDING CERT 2003-WF1 N/A 04542BCD2 427657.940000 PA USD 430456.190000 0.0110338 Long ABS-MBS CORP US N 2 2032-12-25 Variable 3.14338 N N N N N N ASSET BACKED FUNDING CERT 2004-FF1 N/A 04542BHM7 1352991.190000 PA USD 1272013.580000 0.0326052 Long ABS-MBS CORP US N 2 2034-03-25 Floating 3.06838 Y N N N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAP4 3669401.570000 PA USD 2472661.840000 0.0633811 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.12838 N N N N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAC3 1763003.200000 PA USD 1198804.800000 0.0307287 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.17838 N N N N N N ASSET BACKED FUNDING CERT 2007-WMC1 N/A 04545EAC7 54263.320000 PA USD 49372.300000 0.0012655 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.01838 N N N N N N ASSET BACKED FUNDING CERTS 2004-OPT5 N/A 04542BJY9 538305.630000 PA USD 536309.970000 0.0137471 Long ABS-MBS CORP US N 2 2034-06-25 Floating 2.71838 N N N N N N ASSET BACKED SEC CORP HOME EQ 2005-HE8 N/A 04541GUP5 1117762.540000 PA USD 1123618.050000 0.0288014 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.46838 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RGQ9 105000.000000 PA USD 115658.660000 0.0029646 Long DBT CORP US N 2 2030-02-15 Fixed 4.3 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RFZ0 6300000.000000 PA USD 6332099.820000 0.1623091 Long DBT CORP US N 2 2021-06-01 Floating 2.88763 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RGD8 7900000.000000 PA USD 8049992.010000 0.2063434 Long DBT CORP US N 2 2024-06-12 Floating 3.31163 N N N N N N AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA) 95980020140005848404 959FFKII0 300000.000000 PA 332696.550000 0.0085279 Long DBT NUSS ES N 2 2020-02-11 Fixed 4.95 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAG6 3900000.000000 PA USD 3914938.010000 0.1003506 Long DBT CORP US N 2 2021-06-01 Floating 3.08175 N N N N N N AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD) 635400CPI3EOIFF6OC33 70014LAA8 300000.000000 PA USD 316920.000000 0.0081235 Long DBT CORP KY N 2 2022-08-15 Fixed 5.25 N N N N N N AXA EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 5000000.000000 PA USD 5330227.200000 0.1366283 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N BANC OF AMERICA ALT LOAN TRUST 2005-12 N/A 05948KY60 580371.320000 PA USD 576356.020000 0.0147736 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 6 Y N N N N N BANC OF AMERICA FUNDING CORP 2006-7 N/A 05951KAX1 348101.810000 PA USD 335342.420000 0.0085957 Long ABS-MBS CORP US N 2 2036-10-25 Variable 5.8776 Y N N N N N BANC OF AMERICA FUNDING CORP 2006-H N/A 05950PAU7 502706.980000 PA USD 452476.100000 0.0115982 Long ABS-MBS CORP US N 2 2036-10-20 Floating 2.23425 N N N N N N BANC OF AMERICA FUNDING CORP 2006-I N/A 05951VAJ8 1724919.890000 PA USD 1623740.920000 0.0416209 Long ABS-MBS CORP US N 2 2046-10-20 Floating 4.30738 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-2 N/A 05951GAB8 12618.560000 PA USD 12875.900000 0.0003300 Long ABS-MBS CORP US N 2 2037-03-25 Variable 5.8058 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-3 N/A 059515AV8 84544.740000 PA USD 84106.250000 0.0021559 Long ABS-MBS CORP US N 2 2034-09-25 Fixed 5.5 N N N N N N BANC OF AMERICA FUNDING CORP 2007-3 N/A 059515AD8 414601.430000 PA USD 352495.670000 0.0090354 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.22838 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-3 N/A 059515BE5 1067395.170000 PA USD 1065241.270000 0.0273051 Long ABS-MBS CORP US N 2 2034-09-25 Fixed 5.5 N N N N N N BANC OF AMERICA FUNDING CORP 2007-4 N/A 05953YAB7 280126.870000 PA USD 243663.680000 0.0062458 Long ABS-MBS CORP US N 2 2037-05-25 Floating 2.41838 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-8 N/A 05953LAJ8 1033318.100000 PA USD 979214.600000 0.0251000 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-A N/A 05952DAA6 1987038.550000 PA USD 1942401.320000 0.0497891 Long ABS-MBS CORP US N 2 2047-02-20 Floating 2.20425 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-D N/A 05952GAE1 1492541.850000 PA USD 1355646.660000 0.0347489 Long ABS-MBS CORP US N 2 2047-06-20 Floating 2.32425 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-D N/A 05952GAT8 120782.740000 PA USD 118120.580000 0.0030278 Long ABS-MBS CORP US N 2 2037-06-20 Floating 4.56062 Y N N N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 ACI0LW0M3 1600000.000000 PA 1931932.600000 0.0495207 Long DBT CORP ES N 2 2021-04-14 Floating 8.875 N N N N Y Banco Bilbao Vizcaya Argentaria, S.A. EUR XXXX N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 BVG7GWII3 3200000.000000 PA 3557737.390000 0.0911946 Long DBT CORP ES N 2 2020-02-18 Floating 6.75 N N N N Y Banco Bilbao Vizcaya Argentaria, S.A. EUR XXXX N N N BANCO DE CREDITO DEL PERU 549300EQYQ8SCQZ4BY14 05971U2B2 4600000.000000 PA 1367422.780000 0.0350508 Long DBT CORP PE N 2 2024-09-17 Fixed 4.65 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BQQ3S0II9 2800000.000000 PA 3227342.930000 0.0827256 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 060505FL3 5500000.000000 PA USD 5959250.000000 0.1527519 Long DBT CORP US N 2 2028-03-15 Floating 5.875 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GGH6 600000.000000 PA USD 607476.660000 0.0155713 Long DBT CORP US N 2 2023-01-20 Floating 3.43763 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFB0 11000000.000000 PA USD 11857604.000000 0.3039429 Long DBT CORP US N 2 2024-01-22 Fixed 4.125 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHF9 5100000.000000 PA USD 5306519.350000 0.1360206 Long DBT CORP US N 2 2024-03-05 Floating 3.55 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHH5 1300000.000000 PA USD 1326041.520000 0.0339901 Long DBT CORP US N 2 2022-05-17 Floating 3.499 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHK8 3700000.000000 PA USD 3725489.080000 0.0954945 Long DBT CORP US N 2 2024-07-23 Floating 3.21938 N N N N N N BANK OF AMERICA MTGE SEC 2004-2 N/A 05948X4W8 2630.470000 PA USD 2804.620000 0.0000719 Long ABS-MBS CORP US N 2 2031-10-25 Fixed 6.5 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-4 N/A 05949ADN7 152572.070000 PA USD 154899.620000 0.0039705 Long ABS-MBS CORP US N 2 2034-05-25 Floating 4.8433 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-A N/A 05948XT27 58552.670000 PA USD 59568.780000 0.0015269 Long ABS-MBS CORP US N 2 2034-02-25 Fixed 4.80386 N N N N N N BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM) VBHFXSYT7OG62HNT8T76 06675FAR8 2200000.000000 PA USD 2316846.640000 0.0593871 Long DBT CORP FR N 2 2023-07-20 Fixed 3.75 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 B4XDHNII0 25675000.000000 PA 35707969.690000 0.9152931 Long DBT CORP GB N 2 2021-05-21 Fixed 10 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 1900000.000000 PA USD 2086918.180000 0.0534934 Long DBT CORP GB N 2 2029-05-16 Floating 4.972 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 2900000.000000 PA USD 3098494.880000 0.0794229 Long DBT CORP US N 2 2025-12-15 Fixed 4.25 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAL7 700000.000000 PA USD 756649.850000 0.0193950 Long DBT CORP US N 2 2028-12-15 Fixed 4.375 N N N N N N BAYVIEW FINANCIAL ACQUISITION TR 2005-A N/A 073250BN1 109884.440000 PA USD 106281.810000 0.0027243 Long ABS-MBS CORP US N 2 2040-02-28 Floating 2.9735 N N N N N N BAYVIEW FINANCIAL ACQUISITION TR 2006-C N/A 07325DAC8 114702.170000 PA USD 115847.450000 0.0029695 Long ABS-MBS CORP US N 2 2036-11-28 Variable 5.638 N N N N N N BCAP LLC 2011-RR9 TRUST N/A 05536KCN5 44359.030000 PA USD 44377.080000 0.0011375 Long ABS-MBS CORP US N 2 2037-04-26 Floating 1.52142 N N N N N N BCAP LLC 2013-RR5 TRUST N/A 05542MAS4 2750226.920000 PA USD 2777305.650000 0.0711900 Long ABS-MBS CORP US N 2 2046-11-26 Floating 3.28986 N N N N N N BCAP LLC TRUST 2011-RR4 N/A 05533XAC6 2290899.850000 PA USD 1692225.180000 0.0433764 Long ABS-MBS CORP US N 2 2036-02-26 Floating 5.25 N N N N N N BCAP LLC TRUST 2011-RR4 N/A 05533XAD4 765177.550000 PA USD 286493.570000 0.0073436 Long ABS-MBS CORP US N 2 2036-02-26 Floating 12.742 N N N N N N BCAP LLC TRUST 2011-RR5 N/A 05534AAS0 847020.030000 PA USD 488320.940000 0.0125170 Long ABS-MBS CORP US N 2 2036-06-26 Floating 0 N N N N N N BCAP LLC TRUST 2011-RR6 N/A 05535YAF5 886850.560000 PA USD 438952.800000 0.0112516 Long ABS-MBS CORP US N 2 2037-04-26 Variable 14.3399 N N N N N N BCAP LLC TRUST 2011-RR6 N/A 05535YAJ7 995743.670000 PA USD 974570.570000 0.0249809 Long ABS-MBS CORP US N 2 2037-06-26 Fixed 5.25 N N N N N N BCAP LLC TRUST 2011-RR6 N/A 05535YAM0 332573.120000 PA USD 331048.250000 0.0084857 Long ABS-MBS CORP US N 3 2036-10-26 Floating 4.70568 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MN32 27969.300000 PA USD 27916.180000 0.0007156 Long ABS-MBS CORP US N 2 2034-05-25 Floating 4.85452 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MN57 11332.440000 PA USD 10690.950000 0.0002740 Long ABS-MBS CORP US N 2 2034-05-25 Floating 3.44091 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-7 N/A 07384MX98 44423.710000 PA USD 43661.720000 0.0011192 Long ABS-MBS CORP US N 2 2034-10-25 Floating 4.25002 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 3048.280000 PA USD 3161.450000 0.0000810 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.45255 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2005-6 N/A 07387ADM4 130028.480000 PA USD 116651.110000 0.0029901 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.13196 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 253763.190000 PA USD 263002.150000 0.0067415 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.6703 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1 N/A 07384MK27 42318.810000 PA USD 43590.490000 0.0011173 Long ABS-MBS CORP US N 2 2034-04-25 Floating 4.63113 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1 N/A 07384MK35 84.440000 PA USD 85.760000 0.0000022 Long ABS-MBS CORP US N 2 2034-04-25 Floating 5 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-4 N/A 07387ABR5 81579.350000 PA USD 78244.270000 0.0020056 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.25669 Y N N N N N BEAR STEARNS ALT-A TRUST 2004-8 N/A 07386HKS9 140363.490000 PA USD 140690.590000 0.0036063 Long ABS-MBS CORP US N 2 2034-09-25 Floating 2.71838 N N N N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HZJ3 1263428.370000 PA USD 1301802.480000 0.0333688 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 3.97965 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSZ5 2296361.210000 PA USD 2349551.820000 0.0602255 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.49579 N N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HYE5 127655.260000 PA USD 112406.750000 0.0028813 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.03989 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-2 N/A 07386HH46 2248158.710000 PA USD 2672418.410000 0.0685014 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.45838 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-2 N/A 07386HE98 387050.920000 PA USD 338575.500000 0.0086786 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.05512 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-2 N/A 07386HG39 1276453.620000 PA USD 916591.860000 0.0234948 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.15337 N N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AA3 1630928.020000 PA USD 1747199.650000 0.0447855 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.33838 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AN5 15189.210000 PA USD 13622.220000 0.0003492 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.01979 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-5 N/A 073873AA9 719250.700000 PA USD 601764.330000 0.0154249 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.35838 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AM3 559394.390000 PA USD 519249.000000 0.0133098 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.99232 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAY6 93721.170000 PA USD 87326.250000 0.0022384 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.21838 N N N N N N BEAR STEARNS ARM TR 2004-8 N/A 07384MZ88 139583.590000 PA USD 137074.760000 0.0035136 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.72323 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSJ2 4593.600000 PA USD 4383.600000 0.0001124 Long ABS-MBS CORP US N 2 2033-02-25 Floating 4.43289 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2005-HE4 N/A 073879TU2 1813183.220000 PA USD 1822283.220000 0.0467101 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.97838 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1 N/A 07384YGX8 6189.870000 PA USD 6210.080000 0.0001592 Long ABS-MBS CORP US N 2 2042-11-25 Floating 3.01838 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-AC6 N/A 073879LN6 1020702.400000 PA USD 1032086.500000 0.0264552 Long ABS-MBS CORP US N 2 2034-11-25 Variable 5.75 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE11 N/A 0738793Q9 1540262.000000 PA USD 1546567.520000 0.0396428 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.73838 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-EC2 N/A 07387UDS7 4349084.170000 PA USD 4349020.670000 0.1114773 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.64838 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE1 N/A 0738796Q6 468887.110000 PA USD 470643.700000 0.0120639 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.44838 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE10 N/A 07389RAB2 1812849.300000 PA USD 1815243.710000 0.0465297 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.21838 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3 N/A 073888AA7 312943.940000 PA USD 315192.880000 0.0080793 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 5.5 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-AQ2 N/A 073857AB0 842682.280000 PA USD 791481.410000 0.0202878 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.18838 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1 N/A 07389QAE8 4779213.930000 PA USD 3664853.220000 0.0939402 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.5 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2 N/A 07386UAM4 517988.700000 PA USD 503026.860000 0.0128940 Long ABS-MBS CORP US N 2 2046-09-25 Floating 2.41838 N N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE7 N/A 07388HAP4 5798060.220000 PA USD 7062725.000000 0.1810370 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.17838 N N N N N N BEAR STEARNS ASSETBK SEC 2005-AQ2 N/A 0738792V9 2266000.000000 PA USD 2267582.570000 0.0581244 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.50838 Y N N N N N BEAR STEARNS MTGE FUND TR 2006-AR5 N/A 07401NAP4 2702546.530000 PA USD 2678455.490000 0.0686562 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.20838 N N N N N N BELLE HAVEN ABS CDO LTD 2004-1A N/A 078446AG6 24867197.490000 PA USD 10786296.110000 0.2764823 Long ABS-CBDO CORP KY N 2 2044-11-03 Floating 2.68675 N N N N N N BELLE HAVEN ABS CDO LTD 2004-1A N/A 078446AA9 16586310.860000 PA USD 7128879.340000 0.1827327 Long ABS-CBDO CORP KY N 2 2044-11-03 Floating 2.64675 N N N N N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 09659W2G8 1800000.000000 PA USD 1946963.840000 0.0499060 Long DBT CORP FR N 2 2025-01-10 Floating 4.705 N N N N N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 09659W2F0 6000000.000000 PA USD 6630150.180000 0.1699489 Long DBT CORP FR N 2 2028-08-14 Fixed 4.4 N N N N N N BOMBARDIER INC W7L3VLU8EHQY34Z36697 097751BT7 900000.000000 PA USD 898515.000000 0.0230314 Long DBT CORP CA N 2 2027-04-15 Fixed 7.875 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 105756BY5 1750000.000000 PA USD 1963298.750000 0.0503247 Long DBT NUSS BR N 2 2047-02-21 Fixed 5.625 N N N N N N BROADCOM CORP / BROADCOM CAYMAN FINANCE LTD N/A 11134LAD1 5400000.000000 PA USD 5454252.290000 0.1398074 Long DBT CORP US N 2 2022-01-15 Fixed 3 N N N N N N BROADCOM CORP / BROADCOM CAYMAN FINANCE LTD N/A 11134LAF6 500000.000000 PA USD 511907.380000 0.0131216 Long DBT CORP US N 2 2024-01-15 Fixed 3.625 N N N N N N BROOKFIELD RETAIL HOLDINGS VII SUB 3 LLC N/A 11283HAB3 2663741.500000 PA USD 2628542.820000 0.0673768 Long LON CORP US N 2 2025-08-27 Floating 4.5435 N N N N N N BROWN & BROWN INC 549300PC8KTJ71XKFY89 115236AA9 5000000.000000 PA USD 5294303.750000 0.1357075 Long DBT CORP US N 2 2024-09-15 Fixed 4.2 N N N N N N BURGER KING/TIM HORT (1011778 BC UNLIMITED LIABILITY CO/NEW RED FINANCE INC) N/A 68245XAC3 3100000.000000 PA USD 3196751.000000 0.0819415 Long DBT CORP CA N 2 2024-05-15 Fixed 4.25 N N N N N N BUSINESS JET SECURITIES LLC 2018-2 N/A 12326RAA0 2371673.310000 PA USD 2415481.200000 0.0619154 Long ABS-O CORP US N 2 2033-06-15 Fixed 4.447 N N N N N N CALIFORNIA STATE N/A 13063DAE8 2255000.000000 PA USD 2254977.450000 0.0578013 Long DBT MUN US N 2 2047-04-01 Variable 2.193 N N N N N N CALIFORNIA STATE N/A 13063DAF5 3030000.000000 PA USD 3039090.000000 0.0779002 Long DBT MUN US N 2 2047-04-01 Floating 2.796 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BF5 5200000.000000 PA USD 5516675.160000 0.1414075 Long DBT CORP US N 2 2025-03-15 Fixed 3.95 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2016-2 DAC 16-2A N/A ACI1C3JN3 7250000.000000 PA 7919304.780000 0.2029935 Long ABS-CBDO CORP IE N 2 2030-01-18 Floating 0.87 N N N N N N CARRINGTON MORTGAGE LN TR 2004-NC1 N/A 144531AE0 1765564.570000 PA USD 1811180.760000 0.0464255 Long ABS-MBS CORP US N 2 2034-05-25 Floating 2.91838 N N N N N N CARRINGTON MORTGAGE LN TR 2005-NC3 N/A 144531CZ1 220754.980000 PA USD 221996.880000 0.0056904 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.47838 N N N N N N CARRINGTON MORTGAGE LOAN TRUST SERIES 2006-NC2 2006-NC2 N/A 14453FAD1 3400000.000000 PA USD 3252774.220000 0.0833775 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.25838 N N N N N N CARRINGTON MTGE LOAN TRUST 2006-FRE2 N/A 14454AAC3 1228591.130000 PA USD 966271.690000 0.0247682 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.17838 N N N N N N CENTEX HOME EQUITY 2005-D N/A 152314PN4 3679.610000 PA USD 3689.880000 0.0000946 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.47838 N N N N N N CHARTER COMMUNICATIONS (CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CO) N/A 1248EPBX0 2900000.000000 PA USD 3005125.000000 0.0770296 Long DBT CORP US N 2 2028-02-01 Fixed 5 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BQ6 600000.000000 PA USD 645067.740000 0.0165349 Long DBT CORP US N 2 2024-02-01 Fixed 4.5 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BB9 600000.000000 PA USD 631864.340000 0.0161964 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 15700000.000000 PA USD 17267046.520000 0.4426017 Long DBT CORP US N 2 2025-07-23 Fixed 4.908 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AC2 20553.000000 PA USD 21181.910000 0.0005430 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.7108 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AE8 33912.450000 PA USD 34684.390000 0.0008891 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.7108 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A2 N/A 16163LAD4 45851.910000 PA USD 46477.700000 0.0011914 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.40426 N N N N N N CHASEFLEX TRUST 2007-1 N/A 16165VAJ7 708213.630000 PA USD 487297.080000 0.0124908 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 625855.780000 PA USD 557591.620000 0.0142926 Long ABS-MBS CORP US N 2 2037-07-25 Floating 2.31838 N N N N N N CHASEFLEX TRUST 2007-M1 N/A 16165YAT9 2481044.260000 PA USD 2379135.370000 0.0609838 Long ABS-MBS CORP US N 2 2037-08-25 Variable 4.2221 Y N N N N N CHENIERE CORPUS CHRISTI HOLDINGS LLC 549300I7CIEWU1BBLQ53 16412XAC9 1800000.000000 PA USD 2007000.000000 0.0514449 Long DBT CORP US N 2 2025-03-31 Fixed 5.875 N N N N N N CHEVY CHASE MORTGAGE FUND CORP 2005-2A N/A 16678RDL8 1000727.520000 PA USD 972750.980000 0.0249343 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.24838 N N N N N N CHL MORTGAGE PASS-THROUGH TRUST 2002-30 N/A 12669DFF0 4896.480000 PA USD 4709.850000 0.0001207 Long ABS-MBS CORP US N 2 2032-10-19 Floating 4.69628 N N N N N N CHS/COMMUNITY HEALTH SYSTEMS INC 5493007X5NC5XI1BB106 12543DAY6 100000.000000 PA USD 99710.000000 0.0025558 Long DBT CORP US N 2 2023-03-31 Fixed 6.25 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FAQ1 3500000.000000 PA USD 3585948.660000 0.0919177 Long DBT CORP US N 2 2021-07-23 Fixed 3.4 N N N N N N CITICORP MORTGAGE SECURITIES 2007-3 N/A 17312FAR4 115562.190000 PA USD 119248.830000 0.0030567 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 5.5 N N N N N N CITICORP MORTGAGE SECURITIES 2007-8 N/A 17312DAC2 280732.340000 PA USD 302702.570000 0.0077591 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC11 N/A 17320DAJ7 49614.990000 PA USD 50013.250000 0.0012820 Long ABS-MBS CORP US N 2 2046-04-10 Fixed 2.69 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LD1 7000000.000000 PA USD 7496658.890000 0.1921599 Long DBT CORP US N 2 2028-01-10 Floating 3.887 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LH2 1800000.000000 PA USD 1819621.670000 0.0466419 Long DBT CORP US N 2 2022-04-25 Floating 3.2355 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LW9 2400000.000000 PA USD 2622623.980000 0.0672250 Long DBT CORP US N 2 2029-04-23 Floating 4.075 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LZ2 9200000.000000 PA USD 9722313.620000 0.2492095 Long DBT CORP US N 2 2024-06-01 Floating 4.044 N N N N N N CITIGROUP MORTGAGE LOAN TR 2004-HYB1 N/A 17307GDL9 66681.710000 PA USD 67700.710000 0.0017354 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.84259 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR7 N/A 172987AW9 551410.210000 PA USD 523860.490000 0.0134280 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.22624 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-HE3 N/A 17310VAC4 2253091.360000 PA USD 1753472.860000 0.0449463 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.17838 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-NC2 N/A 17309TAC2 14048013.970000 PA USD 11371985.310000 0.2914951 Long ABS-MBS CORP US N 2 2036-09-25 Floating 2.17838 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAU2 2469915.450000 PA USD 2258089.570000 0.0578810 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.52114 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW95 799294.450000 PA USD 810258.450000 0.0207691 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.99 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-3 N/A 17307GTJ7 567062.800000 PA USD 578742.480000 0.0148348 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.56571 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-3 N/A 17307GTK4 62053.410000 PA USD 55740.300000 0.0014288 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.56571 Y N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXR4 235857.250000 PA USD 234465.010000 0.0060100 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.2 N N N N N N CITIMORTGAGE ALTERNATIVE LN TR 2007-A6 N/A 18976GAD8 615109.430000 PA USD 608769.190000 0.0156044 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 Y N N N N N CITIUS FUNDING LTD-2006-1A N/A 17305CAH2 451289722.240000 PA USD 24685547.810000 0.6327582 Long ABS-CBDO CORP KY N 2 2046-05-05 Floating 2.61 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486D22 271000.000000 PA USD 312229.940000 0.0080033 Long DBT MUN US N 2 2042-01-01 Fixed 7.75 N N N N N N CLEAR CHANNEL WORLDWIDE HOLDINGS INC N/A 18451QAN8 3403000.000000 PA USD 3747247.480000 0.0960522 Long DBT CORP US N 2 2024-02-15 Fixed 9.25 N N N N N N CLEVELAND-CLIFFS INC 549300TM2WLI2BJMDD86 185899AB7 1600000.000000 PA USD 1632000.000000 0.0418326 Long DBT CORP US N 2 2024-01-15 Fixed 4.875 N N N N N N CONSECO FINANCE SECURITIZATIONS CORP. N/A 20846QFQ6 8525033.600000 PA USD 9570770.490000 0.2453251 Long ABS-O CORP US N 2 2031-09-01 Variable 7.77 N N N N N N CONSTELLATION OIL SERVICES HOLDING SA 5493005YJTU769NW5I10 74735PAB7 904505.000000 PA USD 393459.680000 0.0100854 Long DBT CORP LU N 2 2024-11-09 Fixed 9.5 Y Y Y N N N CONSTELLATION OIL SERVICES HOLDING SA 5493005YJTU769NW5I10 L7877XAB5 1357042.000000 PA USD 590313.270000 0.0151313 Long DBT CORP LU N 2 2024-11-09 Fixed 9.5 Y Y Y N N N CONTINENTAL AIRLINES 2001-1 CLASS A-1 PASS THROUGH TRUST N/A 210805DH7 50042.120000 PA USD 53135.820000 0.0013620 Long DBT CORP US N 2 2022-12-15 Fixed 6.703 N N N N N N CONTINENTAL RESOURCES INC XXRTID9RYWOZ0UPIVR53 212015AS0 3900000.000000 PA USD 4036544.970000 0.1034677 Long DBT CORP US N 2 2028-01-15 Fixed 4.375 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 ACI0BJ746 600000.000000 PA 674766.450000 0.0172961 Long DBT CORP NL N 2 2020-06-29 Floating 5.5 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 BD2YKYII0 200000.000000 PA 238085.480000 0.0061028 Long DBT CORP NL N 2 2021-06-29 Floating 6.625 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 74977RDD3 2600000.000000 PA USD 2603010.590000 0.0667223 Long DBT CORP NL N 2 2023-09-26 Floating 2.973 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 959SWZII0 4000000.000000 PA 4499240.850000 0.1153279 Long DBT CORP NL N 2 2020-03-19 Fixed 6.875 N N N N N N COOPERATIEVE RABOBANK UA/NEW YORK BRANCH DG3RU1DBUFHT4ZF9WN62 21688AAF9 2000000.000000 PA USD 2012030.040000 0.0515738 Long DBT CORP NL N 2 2021-01-19 Fixed 2.5 N N N N N N CORNERSTONE BUILDING BRANDS 549300IW41QEWQ6T0H29 72431PAA0 2000000.000000 PA USD 1975000.000000 0.0506247 Long DBT CORP US N 2 2026-04-15 Fixed 8 N N N N N N CORPORACION ANDINA DE FOMENTO (CAF) UKZ46SXGNYCZK0UOZE76 ACI08TK92 289090335.450000 PA 14500112.880000 0.3716776 Long DBT CORP N/A N 2 2021-10-15 Fixed 3.95 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-36T2 N/A 02146XAH1 5660604.330000 PA USD 2689070.650000 0.0689282 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.91838 Y N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-41CB N/A 02149CAC5 1027650.020000 PA USD 858802.390000 0.0220135 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 Y N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-43CB N/A 02149FAX2 10050572.400000 PA USD 3488150.650000 0.0894109 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.38838 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-24 N/A 12667GPB3 32864.310000 PA USD 32617.950000 0.0008361 Long ABS-MBS CORP US N 2 2035-07-20 Floating 2.27425 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-25T1 N/A 12667GRF2 2070466.510000 PA USD 1851656.920000 0.0474630 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.75 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-28CB N/A 12667GWR0 93576.450000 PA USD 77531.620000 0.0019873 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.76838 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-37T1 N/A 12667G2X0 3401369.110000 PA USD 2636105.280000 0.0675706 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.46838 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-43 N/A 12667G5Y5 415150.360000 PA USD 387073.990000 0.0099218 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.522 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1 N/A 12668AFM2 1586103.690000 PA USD 1418339.600000 0.0363559 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACG8 1014288.000000 PA USD 975604.370000 0.0250074 Long ABS-MBS CORP US N 2 2035-11-20 Floating 2.68425 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668AQH1 1799285.410000 PA USD 1728680.910000 0.0443108 Long ABS-MBS CORP US N 2 2035-11-20 Floating 2.68425 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1 N/A 12668AUS2 3596758.730000 PA USD 2194904.750000 0.0562614 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.51838 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1 N/A 12668AUX1 291044.040000 PA USD 241792.870000 0.0061978 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-61 N/A 12668AVP7 366382.120000 PA USD 365281.730000 0.0093632 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.29838 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-64CB N/A 12668AZX6 682513.160000 PA USD 601966.640000 0.0154301 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.81838 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDC4 948067.240000 PA USD 970851.000000 0.0248856 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.92605 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-79CB N/A 12668BAC7 369305.290000 PA USD 330253.910000 0.0084653 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J2 N/A 12667F6C4 492752.160000 PA USD 502484.900000 0.0128801 Long ABS-MBS CORP US N 2 2035-04-25 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-12CB N/A 12668BXF5 1365442.210000 PA USD 816498.670000 0.0209291 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.36838 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-20CB N/A 02147MAR2 1223075.330000 PA USD 628362.660000 0.0161067 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.72838 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-22R N/A 02147LAA1 596231.110000 PA USD 501171.420000 0.0128464 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB N/A 12668BLY7 57966.730000 PA USD 42442.710000 0.0010879 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1 N/A 02146VAB8 581910.650000 PA USD 536749.670000 0.0137584 Long ABS-MBS CORP US N 2 2036-11-25 Fixed 6.25 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1 N/A 02149JCA2 2107774.850000 PA USD 1520398.280000 0.0389720 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2 N/A 12668BNA7 791049.290000 PA USD 544725.010000 0.0139628 Long ABS-MBS CORP US N 2 2036-04-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB N/A 12668BRX3 1868165.830000 PA USD 1581443.660000 0.0405367 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.41838 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-7CB N/A 12668BXS7 1495281.040000 PA USD 849153.210000 0.0217661 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.71838 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OC11 N/A 23244JAC0 61446.720000 PA USD 60316.490000 0.0015461 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.18838 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1 N/A 02150GAN8 47039.320000 PA USD 20516.140000 0.0005259 Long ABS-MBS CORP US N 2 2037-05-25 Floating 2.36838 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1 N/A 02150GAD0 1144683.650000 PA USD 512278.440000 0.0131311 Long ABS-MBS CORP US N 2 2037-05-25 Floating 2.51838 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-19 N/A 02151AAA8 685565.220000 PA USD 556622.880000 0.0142678 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1 N/A 23246KAA9 1021468.830000 PA USD 722264.060000 0.0185136 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4 N/A 02150QAK2 165634.070000 PA USD 158206.610000 0.0040553 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.97042 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA3 N/A 02150TAA8 3637472.320000 PA USD 3492337.900000 0.0895182 Long ABS-MBS CORP US N 2 2047-04-25 Floating 2.15838 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6 N/A 02150PAB4 20649.850000 PA USD 19959.310000 0.0005116 Long ABS-MBS CORP US N 2 2037-06-25 Floating 2.21838 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11 N/A 021466AA5 1044668.370000 PA USD 1000480.570000 0.0256451 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.13838 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 120439.450000 PA USD 114664.080000 0.0029392 Long ABS-MBS CORP US N 2 2046-09-25 Floating 2.20838 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAC5 828771.920000 PA USD 610767.530000 0.0156556 Long ABS-MBS CORP US N 2 2046-09-25 Floating 2.26838 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8 N/A 23245LAD2 631558.160000 PA USD 442553.640000 0.0113439 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUS 2005-47CB N/A 12668AAL9 427021.890000 PA USD 379737.460000 0.0097337 Long ABS-MBS CORP US N 2 2035-10-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB N/A 12667GKC6 20446.030000 PA USD 20206.670000 0.0005180 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 5.25 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-54CB N/A 12668APJ8 606370.300000 PA USD 532127.110000 0.0136399 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22 N/A 02151BBG2 1329492.110000 PA USD 898122.840000 0.0230213 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6.5 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-25 N/A 12667TAD7 434778.580000 PA USD 433828.550000 0.0111202 Long ABS-MBS CORP US N 2 2047-06-25 Floating 2.18838 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-BC1 N/A 126670XR4 491636.820000 PA USD 492302.690000 0.0126191 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.36838 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-12 N/A 126673NX6 4400000.000000 PA USD 4495670.960000 0.1152364 Long ABS-MBS CORP US N 2 2035-02-25 Floating 3.51838 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-4 N/A 1266715K8 892473.950000 PA USD 897960.700000 0.0230172 Long ABS-MBS CORP US N 2 2034-07-25 Floating 2.73838 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-7 N/A 126673DQ2 4131028.850000 PA USD 4192912.490000 0.1074758 Long ABS-MBS CORP US N 2 2034-12-25 Variable 4.7019 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-AB2 N/A 126673QG0 2880972.860000 PA USD 2897045.230000 0.0742592 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.87338 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-BC1 N/A 1266712V7 190270.440000 PA USD 192961.820000 0.0049461 Long ABS-MBS CORP US N 2 2034-01-25 Floating 3.62338 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-16 N/A 126670PH5 312287.670000 PA USD 312458.710000 0.0080092 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.47838 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAC0 835989.330000 PA USD 837774.170000 0.0214744 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.16838 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-15 N/A 12666UAC7 1188399.730000 PA USD 1167493.880000 0.0299261 Long ABS-MBS CORP US N 2 2046-10-25 Variable 4.62857 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-16 N/A 23242FAC0 779617.390000 PA USD 781181.930000 0.0200238 Long ABS-MBS CORP US N 2 2046-12-25 Floating 2.16838 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-3 N/A 126670VZ8 1901775.890000 PA USD 1904011.810000 0.0488050 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.30838 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-6 N/A 126670ZM3 1951326.330000 PA USD 1955953.510000 0.0501364 Long ABS-MBS CORP US N 2 2036-09-25 Floating 2.29838 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-8 N/A 045427AC5 343356.300000 PA USD 340589.090000 0.0087302 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.17838 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-SD4 N/A 232433AA0 234021.200000 PA USD 156612.040000 0.0040144 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.35838 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-11 N/A 23247LAC2 5312862.720000 PA USD 5278516.660000 0.1353028 Long ABS-MBS CORP US N 2 2047-06-25 Floating 2.20838 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-2 N/A 12668NAD9 6043253.470000 PA USD 5965264.080000 0.1529061 Long ABS-MBS CORP US N 2 2037-08-25 Floating 2.15838 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAE0 1692559.800000 PA USD 1287252.150000 0.0329958 Long ABS-MBS CORP US N 2 2037-09-25 Floating 2.32838 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2004-14 N/A 126673SU7 1112557.730000 PA USD 1117716.220000 0.0286501 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.88838 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-BC5 N/A 126670NF1 601005.220000 PA USD 603030.250000 0.0154573 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.49838 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-2 N/A 126670UU0 1274753.880000 PA USD 1278404.010000 0.0327690 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.31838 N N N N N N COUNTRYWIDE HOME LOANS 2003-56 N/A 12669FBQ5 21411.210000 PA USD 21433.510000 0.0005494 Long ABS-MBS CORP US N 2 2033-12-25 Floating 4.45362 N N N N N N COUNTRYWIDE HOME LOANS 2004-11 N/A 12669FA86 142074.280000 PA USD 144595.470000 0.0037064 Long ABS-MBS CORP US N 2 2034-07-25 Floating 3.82923 N N N N N N COUNTRYWIDE HOME LOANS 2004-12 N/A 12669FN58 6515.960000 PA USD 6247.500000 0.0001601 Long ABS-MBS CORP US N 2 2034-08-25 Floating 3.80288 Y N N N N N COUNTRYWIDE HOME LOANS 2004-12 N/A 12669FN66 100524.120000 PA USD 98370.590000 0.0025215 Long ABS-MBS CORP US N 2 2034-08-25 Floating 3.80288 N N N N N N COUNTRYWIDE HOME LOANS 2004-16 N/A 12669FY23 4190.430000 PA USD 4222.940000 0.0001082 Long ABS-MBS CORP US N 2 2034-09-25 Floating 2.77838 N N N N N N COUNTRYWIDE HOME LOANS 2004-20 N/A 12669F2H5 24964.030000 PA USD 18688.980000 0.0004790 Long ABS-MBS CORP US N 2 2034-09-25 Floating 3.47221 Y N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 60026.870000 PA USD 60773.950000 0.0015578 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.24106 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GJY8 63021.210000 PA USD 63181.670000 0.0016195 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.67838 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GKH3 1072809.300000 PA USD 1034578.780000 0.0265191 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.75838 N N N N N N COUNTRYWIDE HOME LOANS 2004-R1 N/A 12669F7J6 27660.640000 PA USD 26048.710000 0.0006677 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.41838 Y N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 147031.830000 PA USD 150878.830000 0.0038674 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.65838 N N N N N N COUNTRYWIDE HOME LOANS 2005-24 N/A 126694JR0 92602.380000 PA USD 85213.830000 0.0021843 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A 12669GTV3 2197.480000 PA USD 2089.440000 0.0000536 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.59838 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB3 N/A 12669GA50 12794.750000 PA USD 12657.920000 0.0003245 Long ABS-MBS CORP US N 2 2035-06-20 Floating 3.91567 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JY5 314076.010000 PA USD 278658.290000 0.0071428 Long ABS-MBS CORP US N 2 2036-02-20 Floating 3.71138 Y N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670LE6 828305.970000 PA USD 820627.570000 0.0210349 Long ABS-MBS CORP US N 2 2036-02-20 Floating 4.66738 Y N N N N N COUNTRYWIDE HOME LOANS 2005-R2 N/A 12669GN64 1123918.430000 PA USD 1084405.950000 0.0277963 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.35838 Y N N N N N COUNTRYWIDE HOME LOANS 2006-1 N/A 126694XC7 5247.940000 PA USD 4309.770000 0.0001105 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 6 Y N N N N N COUNTRYWIDE HOME LOANS 2006-J1 N/A 126694XX1 618902.290000 PA USD 471450.370000 0.0120846 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 6 Y N N N N N COUNTRYWIDE HOME LOANS 2007-10 N/A 12545CAB6 641233.880000 PA USD 510387.220000 0.0130826 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 5.5 Y N N N N N COUNTRYWIDE HOME LOANS 2007-9 N/A 12544XAW5 3014490.250000 PA USD 2527518.940000 0.0647872 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 5.75 Y N N N N N COUNTRYWIDE HOME LOANS 2007-HYB1 N/A 22239EAG1 129478.430000 PA USD 121342.980000 0.0031104 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.84232 Y N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A 12465MAC8 1140243.860000 PA USD 716594.460000 0.0183683 Long ABS-MBS CORP US N 2 2036-11-25 Floating 2.16838 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB1 N/A 1248MGAL8 1393184.670000 PA USD 658180.560000 0.0168710 Long ABS-MBS CORP US N 2 2037-01-25 Variable 3.54891 Y N N N N N CREDIT SUISSE AG/ ZURICH BRANCH ANGGYXNX0JLX3X63JN86 22546DAA4 7700000.000000 PA USD 8593692.800000 0.2202799 Long DBT CORP CH N 2 2023-08-08 Fixed 6.5 N N N N N N CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2012-3R N/A 12640HAW3 2638916.630000 PA USD 2498689.090000 0.0640482 Long ABS-MBS CORP US N 2 2037-07-27 Floating 3.81368 N N N N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A 22540VK43 66374.460000 PA USD 65092.850000 0.0016685 Long ABS-MBS CORP US N 2 2032-03-25 Floating 3.05139 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AJ7 2300000.000000 PA USD 2459769.500000 0.0630506 Long DBT CORP CH N 2 2023-07-17 Floating 7.5 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AC5 14975000.000000 PA USD 15746972.930000 0.4036381 Long DBT CORP GG N 2 2025-03-26 Fixed 3.75 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2006-OMA N/A 225470TC7 153755980.710000 PA USD 250084.100000 0.0064103 Long ABS-MBS CORP US N 2 2023-05-15 Variable 0.411996 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-5 N/A 22944BAL2 971197.240000 PA USD 798114.350000 0.0204579 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 7 Y N N N N N CREDIT SUISSE MRTG CAPITAL CERT 2006-7 N/A 22942KAN0 489319.640000 PA USD 392344.710000 0.0100569 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 Y N N N N N CREDIT-BACKED ASSET SERVICING 2006-RP1 N/A 124779AE9 3039000.000000 PA USD 2938857.660000 0.0753310 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.76838 N N N N N N CREDIT-BACKED ASSET SERVICING 2007-CB3 N/A 17311YAC7 4037463.650000 PA USD 2244748.640000 0.0575391 Long ABS-MBS CORP US N 2 2037-03-25 Variable 3.78082 Y N N N N N CREDIT-BACKED ASSET SERVICING 2007-CB3 N/A 17311YAD5 5863902.720000 PA USD 3259078.560000 0.0835391 Long ABS-MBS CORP US N 2 2037-03-25 Variable 3.78082 Y N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 4952.670000 PA USD 4902.260000 0.0001257 Long ABS-MBS CORP US N 2 2032-01-25 Floating 2.63838 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR18 N/A 22541QFC1 4960.940000 PA USD 5105.490000 0.0001309 Long ABS-MBS CORP US N 2 2033-07-25 Floating 4.19818 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2004-1 N/A 22541SAN8 181169.470000 PA USD 202386.730000 0.0051877 Long ABS-MBS CORP US N 2 2034-02-25 Fixed 7 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2005-12 N/A 225470SB0 1432235.010000 PA USD 1101732.170000 0.0282404 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 6 Y N N N N N CSMC SERIES 2011-5R N/A 12645LAH2 1858333.440000 PA USD 1874340.940000 0.0480445 Long ABS-MBS CORP US N 2 2046-08-27 Floating 3.92057 N N N N N N CSN RESOURCES SA 222100ZEX458NMOXZP08 L21779AA8 295000.000000 PA USD 301640.450000 0.0077319 Long DBT CORP LU N 2 2020-07-21 Fixed 6.5 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650CK4 500000.000000 PA USD 516420.910000 0.0132373 Long DBT CORP US N 2 2022-07-20 Fixed 3.5 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650CN8 1700000.000000 PA USD 1940165.730000 0.0497318 Long DBT CORP US N 2 2045-07-20 Fixed 5.125 N N N N N N CWHL-2007-12 N/A 17025LAJ7 10786506.510000 PA USD 9407754.750000 0.2411465 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 5.75 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAB0 200000.000000 PA USD 209000.000000 0.0053572 Long DBT CORP US N 2 2024-08-01 Fixed 5 N N N N N N DELL INTERNATIONAL LLC N/A 24702NAZ3 287878.780000 PA USD 289215.400000 0.0074134 Long LON CORP US N 2 2023-09-07 Floating 4.05 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 25272KAD5 4250000.000000 PA USD 4383269.890000 0.1123552 Long DBT CORP US N 2 2021-06-15 Fixed 4.42 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 25272KAK9 2250000.000000 PA USD 2539218.670000 0.0650871 Long DBT CORP US N 2 2026-06-15 Fixed 6.02 N N N N N N DELTA FNDG HOME EQ LN TR 1999-2 N/A 24763LFN5 139650.460000 PA USD 140434.710000 0.0035997 Long ABS-MBS CORP US N 2 2030-08-15 Fixed 7.03 N N N N N N DELTA FUNDING HOME EQUITY LN TR 1998-1 N/A 24763LDB3 407442.490000 PA USD 416784.330000 0.0106833 Long ABS-MBS CORP US N 2 2030-05-25 Variable 7.79 Y N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2007-AB1 N/A 25151WAA1 606517.640000 PA USD 387735.930000 0.0099387 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.31838 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR3 N/A 25151AAB7 2360017.200000 PA USD 2254552.750000 0.0577904 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.13838 Y N N N N N DEUTSCHE ALT-A SECURITIES LN TR 2007-1 N/A 25151YAJ8 614250.370000 PA USD 516085.180000 0.0132287 Long ABS-MBS CORP US N 2 2037-08-25 Floating 2.11838 Y N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI0Z7P46 200000.000000 PA 216635.040000 0.0055529 Long DBT CORP DE N 2 2020-12-07 Floating 0.059 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 25160PAD9 1100000.000000 PA USD 1092458.300000 0.0280027 Long DBT CORP DE N 2 2021-02-04 Floating 3.57675 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CA5 9900000.000000 PA USD 10254925.490000 0.2628618 Long DBT CORP US N 2 2022-02-14 Fixed 5 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BX6 20050000.000000 PA USD 20345369.580000 0.5215076 Long DBT CORP DE N 2 2021-10-14 Fixed 4.25 N N N N N N DISCOVER BANK/GREENWOOD BRANCH X05BVSK68TQ7YTOSNR22 25466AAP6 5000000.000000 PA USD 5574672.300000 0.1428941 Long DBT CORP US N 2 2028-09-13 Fixed 4.65 N N N N N N DORIC NIMROD AIR ALPHA 2013-1 CLASS A PASS THROUGH TRUST N/A 233283AA8 3489341.280000 PA USD 3588961.970000 0.0919949 Long DBT CORP GG N 2 2025-05-30 Fixed 5.25 N N N N N N DORIC NIMROD AIR FINANCE ALPHA LTD 2012-1 CLASS A PASS THROUGH TRUST N/A 258258AA0 2747756.880000 PA USD 2794537.740000 0.0716317 Long DBT CORP GG N 2 2024-11-30 Fixed 5.125 N N N N N N DRYDEN EURO CLO 16-46A N/A ACI1C3DT6 7550000.000000 PA 8232130.020000 0.2110120 Long ABS-CBDO CORP NL N 2 2030-01-15 Floating 0.88 N N N N N N DRYDEN XXV SENIOR LOAN FUND 2012-25A N/A 26250JAS9 3800000.000000 PA USD 3798234.100000 0.0973591 Long ABS-CBDO CORP KY N 2 2027-10-15 Floating 3.20338 N N N N N N DSLA MORTGAGE LOAN TRUST 2005-AR4 N/A 23332UEM2 17184.350000 PA USD 16899.720000 0.0004332 Long ABS-MBS CORP US N 2 2045-08-19 Floating 2.317 N N N N N N DSLA MORTGAGE LOAN TRUST 2006-AR1 N/A 23332UGK4 753438.190000 PA USD 702780.700000 0.0180142 Long ABS-MBS CORP US N 2 2046-03-19 Floating 3.36605 Y N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CBD6 7000000.000000 PA USD 7039984.630000 0.1804541 Long DBT CORP US N 2 2022-03-11 Floating 2.78838 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CBA2 2700000.000000 PA USD 2711620.580000 0.0695063 Long DBT CORP US N 2 2021-05-14 Floating 2.67525 N N N N N N E*TRADE FINANCIAL CORPORATION 549300LYE2HSVYJFJD24 269246BS2 5000000.000000 PA USD 5450288.600000 0.1397058 Long DBT CORP US N 2 2028-06-20 Fixed 4.5 N N N N N N EMF-NL BV 2008-APRX N/A B39M0PII2 4226128.920000 PA 4433242.970000 0.1136362 Long ABS-MBS CORP NL N 2 2041-04-17 Floating 0.437 N N N N N N ENABLE MIDSTREAM PARTNERS LP 549300TLGDBYE711G509 292480AL4 2500000.000000 PA USD 2599208.450000 0.0666248 Long DBT CORP US N 2 2028-05-15 Fixed 4.95 N N N N N N ENERGY NORTHWEST N/A 29270CYP4 8500000.000000 PA USD 8638380.000000 0.2214253 Long DBT MUN US N 2 2021-07-01 Fixed 2.803 N N N N N N ENERGY NORTHWEST N/A 29270CYQ2 15000000.000000 PA USD 15443700.000000 0.3958643 Long DBT MUN US N 2 2022-07-01 Fixed 2.953 N N N N N N ENERGY NORTHWEST N/A 29270CYR0 4300000.000000 PA USD 4493758.000000 0.1151873 Long DBT MUN US N 2 2023-07-01 Fixed 3.103 N N N N N N ENTERPRISE PRODUCTS OPERATING LLC 5493004LGN656HWLDA30 29379VAP8 3275000.000000 PA USD 3365611.680000 0.0862698 Long DBT CORP US N 2 2020-09-01 Fixed 5.2 N N N N N N EQUIFAX INC 5493004MCF8JDC86VS77 294429AP0 1200000.000000 PA USD 1199800.030000 0.0307542 Long DBT CORP US N 2 2021-08-15 Floating 3.02813 N N N N N N EUROSAIL PLC 2007-NL2X N/A 919AJRII1 2250303.720000 PA 2464492.340000 0.0631717 Long ABS-MBS CORP NL N 2 2040-10-17 Floating 1.137 N N N N N N EXELA INTERMEDIATE LLC / EXELA FINANCE INC N/A 30162RAA9 1300000.000000 PA USD 731250.000000 0.0187439 Long DBT CORP US N 2 2023-07-15 Fixed 10 N N N N N N FAIRBANKS CAPITAL MORTGAGE LN TR 1999-1 N/A 303471AA4 5213.730000 PA USD 5229.270000 0.0001340 Long ABS-MBS CORP US N 2 2028-05-25 Floating 3.34525 N N N N N N FANNIE MAE 1998-66 N/A 31359U3G8 1367.120000 PA USD 1356.840000 0.0000348 Long ABS-MBS USGSE US N 2 2028-12-25 Floating 2.31838 N N N N N N FANNIE MAE 1999-57 N/A 31359XHE2 616.110000 PA USD 615.480000 0.0000158 Long ABS-MBS USGSE US N 2 2019-12-25 Fixed 7.5 N N N N N N FANNIE MAE 2000-32 N/A 31358SNY3 1520.690000 PA USD 1528.370000 0.0000392 Long ABS-MBS USGSE US N 2 2030-10-18 Floating 2.49088 N N N N N N FANNIE MAE 2002-21 N/A 31392CRD8 1039.160000 PA USD 1055.710000 0.0000271 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 2.91838 N N N N N N FANNIE MAE 2002-33 N/A 31392DGT3 15195.740000 PA USD 17816.570000 0.0004567 Long ABS-MBS USGSE US N 2 2032-06-25 Fixed 7.5 N N N N N N FANNIE MAE 2002-34 N/A 31392CP32 26212.800000 PA USD 26465.080000 0.0006784 Long ABS-MBS USGSE US N 2 2032-04-18 Floating 2.59088 N N N N N N FANNIE MAE 2002-95 N/A 31392HGU1 54513.620000 PA USD 62595.610000 0.0016045 Long ABS-MBS USGSE US N 2 2033-01-25 Fixed 6 N N N N N N FANNIE MAE 2002-W12 N/A 31392GSN6 109180.910000 PA USD 118006.110000 0.0030248 Long ABS-O USGSE US N 2 2033-02-25 Variable 5.67519 N N N N N N FANNIE MAE 2003-34 N/A 31393CEY5 12982.950000 PA USD 14822.880000 0.0003800 Long ABS-MBS USGSE US N 2 2043-04-25 Fixed 6 N N N N N N FANNIE MAE 2004-11 N/A 31393T7H3 35817.090000 PA USD 35683.220000 0.0009147 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 2.13838 N N N N N N FANNIE MAE 2004-63 N/A 31394ANT9 11427.670000 PA USD 11317.500000 0.0002901 Long ABS-MBS USGSE US N 2 2034-08-25 Floating 2.16838 N N N N N N FANNIE MAE 2005-5 N/A 31394B5A8 12294.310000 PA USD 13208.160000 0.0003386 Long ABS-MBS USGSE US N 2 2035-01-25 Fixed 5 N N N N N N FANNIE MAE 2006-118 N/A 31396L4T4 45040.580000 PA USD 44587.640000 0.0011429 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 2.20525 N N N N N N FANNIE MAE 2006-15 N/A 31395BVE0 22127.060000 PA USD 22009.450000 0.0005642 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 2.35109 N N N N N N FANNIE MAE 2006-5 N/A 31394VL73 12091.460000 PA USD 12737.100000 0.0003265 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 4.41397 N N N N N N FANNIE MAE 2007-9 N/A 31396PTW1 128384.730000 PA USD 128338.770000 0.0032897 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 2.36838 N N N N N N FANNIE MAE REMICS 2014-78 N/A 3136ALQ46 18820657.000000 PA USD 3009054.170000 0.0771303 Long ABS-MBS USGSE US N 2 2043-07-25 Floating 2.19 N N N N N N FANNIE MAE REMICS 2017-87 N/A 3136AYZ97 1280091.930000 PA USD 193305.400000 0.0049549 Long ABS-MBS USGSE US N 2 2041-06-25 Fixed 5 N N N N N N FANNIE MAE WHOLE LOAN 2001-W4 N/A 3139216U7 27570.720000 PA USD 29166.390000 0.0007476 Long ABS-O USGSE US N 2 2032-01-25 Variable 5.61 N N N N N N FANNIE MAE-1989-97 N/A 313603JS2 204.880000 PA USD 204.520000 0.0000052 Long ABS-MBS USGSE US N 2 2019-12-25 Fixed 9 N N N N N N FANNIE MAE-1993-202 N/A 31359FDB1 11350.560000 PA USD 10989.210000 0.0002817 Long ABS-MBS USGSE US N 2 2023-11-25 Floating 3.625 N N N N N N FANNIE MAE-2006-56 N/A 31395NWV5 16280.010000 PA USD 18602.960000 0.0004768 Long ABS-MBS USGSE US N 2 2036-07-25 Fixed 6 N N N N N N FANNIE MAE-G92-54 N/A 31358QKQ7 6856.840000 PA USD 7148.120000 0.0001832 Long ABS-MBS USGSE US N 2 2022-09-25 Fixed 7.5 N N N N N N FANNIEMAE GRANTOR TRUST 2004-T3 N/A 31393YU52 13009.740000 PA USD 14894.530000 0.0003818 Long ABS-MBS USGSE US N 2 2044-02-25 Fixed 6 N N N N N N FANNIEMAE WHOLE LOAN 2001-W2 N/A 313920XZ8 47047.030000 PA USD 49708.020000 0.0012742 Long ABS-O USGSE US N 2 2031-10-25 Variable 6.589 N N N N N N FANNIEMAE WHOLE LOAN 2001-W2 N/A 313920YH7 727.620000 PA USD 746.930000 0.0000191 Long ABS-O USGSE US N 2 2031-10-25 Variable 6.473 N N N N N N FANNIEMAE WHOLE LOAN 2003-W-8 N/A 31393CX40 1623.700000 PA USD 1632.660000 0.0000418 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 2.36838 N N N N N N FANNIEMAE WHOLE LOAN 2003-W17 N/A 31393UAK9 40513.220000 PA USD 44316.590000 0.0011360 Long ABS-MBS USGSE US N 2 2033-08-25 Fixed 5.75 N N N N N N FANNIEMAE WHOLE LOAN 2004-W12 N/A 31394A6Y7 61511.050000 PA USD 69120.150000 0.0017717 Long ABS-MBS USGSE US N 2 2044-07-25 Fixed 6 N N N N N N FHA REILLY 1997 N/A 3229929W0 36730.800000 PA USD 36878.320000 0.0009453 Long ABS-MBS USGA US N 2 2020-07-01 Fixed 6.896 N N N N N N FHA-MERRILL LYNCH 54 N/A 3229939U2 1958.430000 PA USD 1967.350000 0.0000504 Long ABS-MBS USGA US N 2 2023-02-01 Fixed 7.43 N N N N N N FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K016 N/A 3137AJMG6 31518999.300000 PA USD 819654.730000 0.0210100 Long ABS-MBS USGSE US N 2 2021-10-25 Fixed 1.63454 N N N N N N FHLMC PASS THRU POOLS N/A 3128JMN94 2836.270000 PA USD 2982.480000 0.0000764 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 4.105 N N N N N N FHLMC PASS THRU POOLS N/A 3128NC6C3 7860.020000 PA USD 8263.640000 0.0002118 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 4.224 N N N N N N FHLMC PASS THRU POOLS N/A 3128NHK36 5359.750000 PA USD 5554.040000 0.0001424 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 3.82 N N N N N N FHLMC PASS THRU POOLS N/A 31342AC31 1518.180000 PA USD 1556.140000 0.0000399 Long ABS-MBS USGSE US N 2 2032-12-01 Floating 4.723 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRLP9 32256.610000 PA USD 33885.850000 0.0008686 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 4.789 N N N N N N FHLMC PASS THRU POOLS N/A 3132WPND5 386980.590000 PA USD 406933.370000 0.0104308 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XT6P8 44228.750000 PA USD 46487.380000 0.0011916 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FHLMC STRUC PASS THRU SEC T-30 N/A 3133TQCA3 116623.880000 PA USD 122463.620000 0.0031391 Long ABS-MBS USGSE US N 2 2030-12-25 Variable 8.61 N N N N N N FHLMC STRUCTURED PASS THROUGH SECURITIES T-13 N/A 3133TGDA4 41212.980000 PA USD 44462.330000 0.0011397 Long ABS-MBS USGSE US N 2 2029-09-25 Variable 6.555 N N N N N N FHLMC STRUCTURED PASS THROUGH SECURITIES T-48 N/A 31392UZ56 1871.770000 PA USD 2044.220000 0.0000524 Long ABS-MBS USGSE US N 2 2033-07-25 Variable 4.92079 N N N N N N FHLMC STRUCTURED PASS THROUGH T-31 N/A 3133TR7B5 7031.280000 PA USD 7254.900000 0.0001860 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 6.502 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-57 N/A 31394JD95 39219.880000 PA USD 47639.330000 0.0012211 Long ABS-MBS USGSE US N 2 2043-07-25 Fixed 7 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-57 N/A 31394JDA2 16820.980000 PA USD 20742.470000 0.0005317 Long ABS-MBS USGSE US N 2 2043-07-25 Fixed 7.5 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-59 N/A 31394PPQ0 62677.470000 PA USD 75245.830000 0.0019288 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 6.5 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-59 N/A 31394PPS6 24731.480000 PA USD 30143.940000 0.0007727 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 7.5 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-60 N/A 31394XVF0 23662.460000 PA USD 31036.050000 0.0007955 Long ABS-MBS USGSE US N 2 2044-03-25 Fixed 7.5 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-61 N/A 31395A3J2 1601735.520000 PA USD 1654082.480000 0.0423987 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 3.84605 N N N N N N FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-3 N/A 316599AD1 1750267.450000 PA USD 1231732.690000 0.0315727 Long ABS-MBS CORP US N 2 2036-11-25 Floating 2.30525 N N N N N N FIRST FRANKLIN MTG LN ABS CERT 2004-FF3 N/A 36228FU61 552368.420000 PA USD 550903.430000 0.0141212 Long ABS-MBS CORP US N 2 2034-05-25 Floating 2.84338 N N N N N N FIRST FRANKLIN MTG LN ASST BKD 2005-FF2 N/A 36242DN66 2900000.000000 PA USD 2911587.240000 0.0746320 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.96338 N N N N N N FIRST FRANKLIN MTG LOAN 2004-FF10 N/A 32027NMJ7 689542.720000 PA USD 694283.050000 0.0177964 Long ABS-MBS CORP US N 2 2034-07-25 Floating 3.29338 N N N N N N FIRST FRANKLIN MTG LOAN 2005-FF7 N/A 32027NUN9 300000.000000 PA USD 301880.700000 0.0077380 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.50838 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF12 N/A 32027GAD8 841883.820000 PA USD 838015.530000 0.0214806 Long ABS-MBS CORP US N 2 2036-09-25 Floating 2.15838 N N N N N N FIRST HORIZON ALT MTGE SEC 2005-AA1 N/A 32051GGD1 34595.180000 PA USD 28386.660000 0.0007276 Long ABS-MBS CORP US N 2 2035-03-25 Floating 3.89584 Y N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA1 N/A 32051GV44 520761.460000 PA USD 494936.480000 0.0126866 Long ABS-MBS CORP US N 2 2036-04-25 Floating 3.94041 Y N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA3 N/A 320516AA5 588925.210000 PA USD 549353.380000 0.0140814 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.20078 Y N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 2005-AA11 N/A 32051GH65 3736472.960000 PA USD 2796215.690000 0.0716747 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.01032 Y N N N N N FIRST HORIZON MTGE PASS THRU TR 2005-7 N/A 32051GC86 1005606.630000 PA USD 850564.810000 0.0218023 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 5.5 Y N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR3 N/A 32051GQL2 167615.930000 PA USD 140838.900000 0.0036101 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.60341 Y N N N N N FNMA PASS THRU POOLS N/A 31362J4X0 321.570000 PA USD 327.080000 0.0000084 Long ABS-MBS USGSE US N 2 2027-03-01 Floating 4.75 N N N N N N FNMA PASS THRU POOLS N/A 31362M2N7 1641.630000 PA USD 1677.390000 0.0000430 Long ABS-MBS USGSE US N 2 2028-08-01 Floating 4.194 N N N N N N FNMA PASS THRU POOLS N/A 31374CL53 177060.110000 PA USD 202238.180000 0.0051839 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31374TYQ6 7865.410000 PA USD 8220.170000 0.0002107 Long ABS-MBS USGSE US N 2 2029-08-01 Floating 4.424 N N N N N N FNMA PASS THRU POOLS N/A 31384VWA6 18611.740000 PA USD 19005.530000 0.0004872 Long ABS-MBS USGSE US N 2 2039-09-01 Floating 4.358 N N N N N N FNMA PASS THRU POOLS N/A 31384VYH9 302.840000 PA USD 305.670000 0.0000078 Long ABS-MBS USGSE US N 2 2030-06-01 Floating 4.757 N N N N N N FNMA PASS THRU POOLS N/A 31385HJE3 11547.440000 PA USD 11970.840000 0.0003068 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 4.218 N N N N N N FNMA PASS THRU POOLS N/A 31385HU59 4703.660000 PA USD 4746.910000 0.0001217 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 3.495 N N N N N N FNMA PASS THRU POOLS N/A 31387MFF1 233.110000 PA USD 236.870000 0.0000061 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31388JK53 10435.550000 PA USD 10834.440000 0.0002777 Long ABS-MBS USGSE US N 2 2031-09-01 Floating 4.528 N N N N N N FNMA PASS THRU POOLS N/A 31402RHT9 10609.530000 PA USD 10827.820000 0.0002775 Long ABS-MBS USGSE US N 2 2042-08-01 Floating 3.647 N N N N N N FNMA PASS THRU POOLS N/A 31403DWH8 72432.060000 PA USD 82822.720000 0.0021230 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31404Q5M7 135870.590000 PA USD 138902.390000 0.0035604 Long ABS-MBS USGSE US N 2 2044-03-01 Floating 3.647 N N N N N N FNMA PASS THRU POOLS N/A 31405JE91 3835.760000 PA USD 3964.150000 0.0001016 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 3.884 N N N N N N FNMA PASS THRU POOLS N/A 31405U6G9 15023.990000 PA USD 15570.860000 0.0003991 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 4.287 N N N N N N FNMA PASS THRU POOLS N/A 31405YPX3 20610.940000 PA USD 21071.890000 0.0005401 Long ABS-MBS USGSE US N 2 2044-09-01 Floating 3.647 N N N N N N FNMA PASS THRU POOLS N/A 31406BJJ0 6673.060000 PA USD 6940.700000 0.0001779 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 4.545 N N N N N N FNMA PASS THRU POOLS N/A 31406DAF3 6936.740000 PA USD 7090.600000 0.0001818 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 3.647 N N N N N N FNMA PASS THRU POOLS N/A 31406L3G1 114004.630000 PA USD 120684.960000 0.0030935 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 4.795 N N N N N N FNMA PASS THRU POOLS N/A 31407H6U5 78130.440000 PA USD 90201.860000 0.0023121 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31407JFM9 1115712.950000 PA USD 1286932.950000 0.0329876 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31407UMR5 160354.940000 PA USD 170187.140000 0.0043624 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 4.708 N N N N N N FNMA PASS THRU POOLS N/A 31408BQ50 1212.590000 PA USD 1230.580000 0.0000315 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 4.737 N N N N N N FNMA PASS THRU POOLS N/A 31409GEL6 111100.240000 PA USD 115530.230000 0.0029614 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 4.647 N N N N N N FNMA PASS THRU POOLS N/A 31409GLM6 44617.900000 PA USD 50384.530000 0.0012915 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31409URU1 46947.290000 PA USD 49349.310000 0.0012650 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 4.75 N N N N N N FNMA PASS THRU POOLS N/A 31409VJZ7 52293.460000 PA USD 55137.740000 0.0014133 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 4.646 N N N N N N FNMA PASS THRU POOLS N/A 31410C6C1 4802.190000 PA USD 5354.630000 0.0001373 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31410DDR8 23648.300000 PA USD 26359.740000 0.0006757 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31410EPA0 43804.150000 PA USD 51073.550000 0.0013092 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GGD9 7763.220000 PA USD 8955.970000 0.0002296 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GL27 33254.590000 PA USD 37159.800000 0.0009525 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31410LTW2 7259241.140000 PA USD 7548645.810000 0.1934925 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31410RGA1 5792.430000 PA USD 6529.060000 0.0001674 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31410S7J0 199430.490000 PA USD 228306.300000 0.0058521 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31411HNR7 38017.260000 PA USD 43989.830000 0.0011276 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31413UKC2 148068.900000 PA USD 171971.070000 0.0044081 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31413YRZ6 67646.990000 PA USD 77153.410000 0.0019777 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31414KJL5 414.740000 PA USD 462.260000 0.0000118 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31415RJG0 1287.970000 PA USD 1454.530000 0.0000373 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WFUZ7 646514.260000 PA USD 679287.750000 0.0174120 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WFX84 497990.980000 PA USD 518942.040000 0.0133019 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WGA46 351093.180000 PA USD 365538.780000 0.0093698 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WGQR8 2590565.020000 PA USD 2696153.060000 0.0691098 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WGRY2 866886.460000 PA USD 903347.820000 0.0231553 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WGVR2 2702905.460000 PA USD 2814385.120000 0.0721404 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WHDW9 339599.680000 PA USD 353066.250000 0.0090501 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WLCK7 81329.570000 PA USD 84926.110000 0.0021769 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140E9S56 607144.710000 PA USD 632756.180000 0.0162193 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140EU4G1 205185.720000 PA USD 213730.280000 0.0054785 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140EW6F7 2104516.630000 PA USD 2192922.660000 0.0562106 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140F1EQ1 170349.300000 PA USD 177295.710000 0.0045446 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GQJ98 104310.090000 PA USD 108921.350000 0.0027920 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GQ3F1 164719.980000 PA USD 173117.430000 0.0044375 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GRAN4 933062.530000 PA USD 967717.440000 0.0248052 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GTQM5 3045565.340000 PA USD 3150299.380000 0.0807508 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GVJU0 56351.660000 PA USD 59275.900000 0.0015194 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140H1WH9 639560.550000 PA USD 660221.250000 0.0169233 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 3140H2DC9 880085.360000 PA USD 908074.140000 0.0232764 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 3140H2Z43 884943.620000 PA USD 911136.540000 0.0233549 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 3140H3BU9 60674.600000 PA USD 63476.480000 0.0016271 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140H5K91 240229.190000 PA USD 247946.820000 0.0063556 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 3140H5LR0 877650.310000 PA USD 905461.720000 0.0232095 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 3140H5MU2 2325263.930000 PA USD 2411615.950000 0.0618163 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 3140HFGF0 914807.420000 PA USD 941361.820000 0.0241297 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 3140HKXX1 2835321.860000 PA USD 2923255.620000 0.0749311 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 3140J6GM3 3174609.020000 PA USD 3329276.350000 0.0853385 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J7UF0 794518.940000 PA USD 821913.330000 0.0210679 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 3140J9MD0 37719752.860000 PA USD 39682117.720000 1.0171614 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JPKH7 267732956.510000 PA USD 275456811.350000 7.0607128 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q7EF0 1195401.670000 PA USD 1256492.120000 0.0322073 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418B2L9 353989.630000 PA USD 368574.310000 0.0094476 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CR89 157162.950000 PA USD 162963.540000 0.0041772 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 31418CXM1 892106.060000 PA USD 920528.060000 0.0235957 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 31418CZG2 1761928.150000 PA USD 1808860.610000 0.0463661 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 128399.220000 PA USD 132183.890000 0.0033882 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418C4W1 20709905.470000 PA USD 21536419.160000 0.5520374 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZL0 1400000.000000 PA USD 1421679.350000 0.0364415 Long DBT CORP US N 2 2021-01-07 Floating 4.85263 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZN6 800000.000000 PA USD 822526.180000 0.0210836 Long DBT CORP US N 2 2022-01-07 Floating 5.44263 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZC0 7900000.000000 PA USD 7664899.950000 0.1964724 Long DBT CORP US N 2 2023-02-15 Floating 3.39313 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540RAC0 9800000.000000 PA USD 9801386.500000 0.2512364 Long DBT CORP US N 2 2020-09-24 Floating 3.06463 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZG1 400000.000000 PA USD 393312.190000 0.0100817 Long DBT CORP US N 2 2021-10-12 Floating 3.2195 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540XAB9 3700000.000000 PA USD 3702750.320000 0.0949116 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FREDDIE MAC 2246 N/A 3133TPLV9 9447.460000 PA USD 10963.220000 0.0002810 Long ABS-MBS USGSE US N 2 2030-08-15 Fixed 7.5 N N N N N N FREDDIE MAC 2400 N/A 31339NC79 6016.420000 PA USD 6046.730000 0.0001550 Long ABS-MBS USGSE US N 2 2032-01-15 Floating 2.5275 N N N N N N FREDDIE MAC 2411 N/A 31339D4L9 40615.020000 PA USD 39945.610000 0.0010239 Long ABS-MBS USGSE US N 2 2029-12-15 Floating 2.3775 N N N N N N FREDDIE MAC 2437 N/A 31339WVY9 90.600000 PA USD 90.600000 0.0000023 Long ABS-MBS USGSE US N 2 2020-10-15 Floating 2.2275 N N N N N N FREDDIE MAC REMICS 3622 N/A 31398LXT0 76577.350000 PA USD 85446.370000 0.0021902 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 3876 N/A 3137ACKZ1 22948.470000 PA USD 23278.840000 0.0005967 Long ABS-MBS USGSE US N 2 2038-08-15 Fixed 5 N N N N N N FREDDIE MAC REMICS 4902 N/A 3137FN3J7 12374400.000000 PA USD 1797632.800000 0.0460783 Long ABS-MBS USGSE US N 2 2043-01-15 Fixed 2 N N N N N N FREDDIE MAC REMICS 4923 N/A 965GZQII5 10000000.000000 PA USD 2298953.400000 0.0589285 Long ABS-MBS USGSE US N 2 2049-10-25 Floating 3.94637 N N N N N N FREDDIE MAC REMICS 4923 N/A 965GMR906 33000000.000000 PA USD 7623614.460000 0.1954141 Long ABS-MBS USGSE US N 2 2049-10-15 Floating 3.96412 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XUV0 19829954.530000 PA USD 3126699.580000 0.0801459 Long ABS-MBS USGSE US N 2 2049-06-15 Fixed 3.5 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XWE6 16290135.200000 PA USD 2977655.080000 0.0763255 Long ABS-MBS USGSE US N 2 2049-06-15 Fixed 4 N N N N N N FREDDIE MAC-1048 N/A 312905DB5 10377.480000 PA USD 10452.030000 0.0002679 Long ABS-MBS USGSE US N 2 2021-03-15 Fixed 5 N N N N N N FREDDIE MAC-2980 N/A 31395UEG2 126857.120000 PA USD 145690.530000 0.0037344 Long ABS-MBS USGSE US N 2 2035-05-15 Fixed 6 N N N N N N FREDDIEMAC STRIP-362 N/A 31325W4P4 13597058.000000 PA USD 1922841.280000 0.0492877 Long ABS-MBS USGSE US N 2 2047-12-15 Fixed 3 N N N N N N FREDDIEMAC STRIP-362 N/A 31325W4R0 15214410.400000 PA USD 2198056.000000 0.0563422 Long ABS-MBS USGSE US N 2 2047-12-15 Fixed 3.5 N N N N N N FREMONT HOME LOAN TRUST 2004-B N/A 35729PDQ0 3923453.480000 PA USD 3886761.340000 0.0996283 Long ABS-MBS CORP US N 2 2034-05-25 Floating 2.88838 N N N N N N FREMONT HOME LOAN TRUST 2006-3 N/A 35729MAE7 4513600.460000 PA USD 2340037.790000 0.0599816 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.25838 N N N N N N FREMONT HOME LOAN TRUST 2006-A N/A 35729RAF3 10360279.600000 PA USD 7245522.660000 0.1857226 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.26838 N N N N N N FREMONT HOME LOAN TRUST 2006-D N/A 35729VAC1 6006957.160000 PA USD 2747241.610000 0.0704193 Long ABS-MBS CORP US N 2 2036-11-25 Floating 2.14838 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAD7 1712572.290000 PA USD 1003586.540000 0.0257247 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.16838 N N N N N N GE-WMC MORTGAGE SECURITIES LLC 2006-1 N/A 36829JAB7 3071346.440000 PA USD 1842748.590000 0.0472347 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.16838 N N N N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 370334CC6 400000.000000 PA USD 403153.870000 0.0103339 Long DBT CORP US N 2 2023-10-17 Floating 3.31325 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XBX3 900000.000000 PA USD 900803.980000 0.0230901 Long DBT CORP US N 2 2022-06-30 Floating 3.41438 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCU8 2400000.000000 PA USD 2452453.200000 0.0628631 Long DBT CORP US N 2 2022-07-08 Fixed 3.55 N N N N N N GNMA PASS THRU POOLS N/A 36202DGE5 11162.800000 PA USD 13401.210000 0.0003435 Long ABS-MBS USGSE US N 2 2030-03-20 Fixed 8 N N N N N N GNMA PASS THRU POOLS N/A 36202DGT2 572.410000 PA USD 664.210000 0.0000170 Long ABS-MBS USGSE US N 2 2030-04-20 Fixed 8.5 N N N N N N GNMA PASS THRU POOLS N/A 36202DHY0 475.180000 PA USD 545.660000 0.0000140 Long ABS-MBS USGSE US N 2 2030-07-20 Fixed 8.5 N N N N N N GNMA PASS THRU POOLS N/A 36202ETV1 25508.890000 PA USD 27692.510000 0.0007098 Long ABS-MBS USGSE US N 2 2038-06-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202KFV2 1517.120000 PA USD 1550.530000 0.0000397 Long ABS-MBS USGSE US N 2 2023-09-20 Floating 3.75 N N N N N N GNMA PASS THRU POOLS N/A 36202KJQ9 3950.540000 PA USD 4040.590000 0.0001036 Long ABS-MBS USGSE US N 2 2024-02-20 Floating 4 N N N N N N GNMA PASS THRU POOLS N/A 36202KTE5 713.100000 PA USD 719.940000 0.0000185 Long ABS-MBS USGSE US N 2 2025-07-20 Floating 3.75 N N N N N N GNMA PASS THRU POOLS N/A 36202KXJ9 19557.130000 PA USD 19748.230000 0.0005062 Long ABS-MBS USGSE US N 2 2026-01-20 Floating 4 N N N N N N GNMA PASS THRU POOLS N/A 36202KXZ3 7396.190000 PA USD 7435.540000 0.0001906 Long ABS-MBS USGSE US N 2 2021-06-20 Floating 3.875 N N N N N N GNMA PASS THRU POOLS N/A 36202K2Q7 1744.500000 PA USD 1764.050000 0.0000452 Long ABS-MBS USGSE US N 2 2021-12-20 Floating 4.125 N N N N N N GNMA PASS THRU POOLS N/A 36202K4M4 1092.760000 PA USD 1110.620000 0.0000285 Long ABS-MBS USGSE US N 2 2026-07-20 Floating 3.75 N N N N N N GNMA PASS THRU POOLS N/A 36202K5U5 1872.160000 PA USD 1896.940000 0.0000486 Long ABS-MBS USGSE US N 2 2026-08-20 Floating 3.75 N N N N N N GNMA PASS THRU POOLS N/A 36202K6U4 11274.330000 PA USD 11558.370000 0.0002963 Long ABS-MBS USGSE US N 2 2026-09-20 Floating 3.75 N N N N N N GNMA PASS THRU POOLS N/A 36225CA89 39606.830000 PA USD 40875.090000 0.0010477 Long ABS-MBS USGSE US N 2 2027-01-20 Floating 4 N N N N N N GNMA PASS THRU POOLS N/A 36225CBA3 2187.330000 PA USD 2205.460000 0.0000565 Long ABS-MBS USGSE US N 2 2027-01-20 Floating 4 N N N N N N GNMA PASS THRU POOLS N/A 36225CDZ6 24749.010000 PA USD 25557.270000 0.0006551 Long ABS-MBS USGSE US N 2 2027-10-20 Floating 4.125 N N N N N N GNMA PASS THRU POOLS N/A 36225CD60 1714.980000 PA USD 1720.140000 0.0000441 Long ABS-MBS USGSE US N 2 2027-10-20 Floating 4.125 N N N N N N GNMA PASS THRU POOLS N/A 36225CLM6 1007.430000 PA USD 1043.700000 0.0000268 Long ABS-MBS USGSE US N 2 2029-10-20 Floating 4.125 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 36888537.350000 PA USD 367151612.250000 9.4111017 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 36225CNM4 11441.260000 PA USD 11887.460000 0.0003047 Long ABS-MBS USGSE US N 2 2030-04-20 Floating 3.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CPL4 16389.300000 PA USD 17048.840000 0.0004370 Long ABS-MBS USGSE US N 2 2030-07-20 Floating 3.75 N N N N N N GNMA PASS THRU POOLS N/A 36210B4E2 284901.600000 PA USD 316220.640000 0.0081056 Long ABS-MBS USGSE US N 2 2039-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36211RSK6 22574.050000 PA USD 25613.480000 0.0006565 Long ABS-MBS USGSE US N 2 2035-03-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36200TSX7 52545.350000 PA USD 57610.290000 0.0014767 Long ABS-MBS USGSE US N 2 2034-10-15 Fixed 5.5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 4186921.040000 PA USD 41421209.850000 1.0617391 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 36296JMU6 464396.540000 PA USD 521716.510000 0.0133730 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QRY7 140744.820000 PA USD 158301.370000 0.0040577 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWL4 16100000.000000 PA USD 16916260.820000 0.4336101 Long DBT CORP US N 2 2028-06-05 Floating 3.691 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148YAC2 6000000.000000 PA USD 6070943.760000 0.1556149 Long DBT CORP US N 2 2022-10-31 Floating 2.876 N N N N N N GOVERNMENT NATIONAL MORT ASSOC 2000-35 N/A 383739AA7 21336.780000 PA USD 21341.820000 0.0005470 Long ABS-MBS USGSE US N 2 2025-12-16 Floating 2.5775 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-110 N/A 38381YWG5 27779342.000000 PA USD 5955196.440000 0.1526480 Long ABS-MBS USGSE US N 2 2049-09-20 Floating 3.98312 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-97 N/A 38381YJG0 33387127.310000 PA USD 5245291.310000 0.1344512 Long ABS-MBS USGSE US N 2 2049-08-20 Floating 4.05575 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-99 N/A 38381XTJ5 12339148.200000 PA USD 1805907.140000 0.0462903 Long ABS-MBS USGSE US N 2 2049-08-20 Floating 4.00575 N N N N N N GOVT NATL MORTGAGE ASSOC SERIES 2007-30 N/A 38375J3R4 534792.480000 PA USD 534270.360000 0.0136948 Long ABS-MBS USGSE US N 2 2037-05-20 Floating 2.34425 N N N N N N GREENPOINT MRGT PASS THRU CER 2003-1 N/A 395387AA1 23137.310000 PA USD 23513.680000 0.0006027 Long ABS-MBS CORP US N 2 2033-10-25 Floating 4.77483 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR1 N/A 39538RAB5 11320.240000 PA USD 10823.630000 0.0002774 Long ABS-MBS CORP US N 2 2045-06-25 Floating 2.45838 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR5 N/A 39538WEA2 84758.830000 PA USD 75505.750000 0.0019354 Long ABS-MBS CORP US N 2 2045-11-25 Floating 2.55838 N N N N N N GRIFONAS FINANCE NO.1 PLC GRIF-1 N/A B1DFQWII3 616621.410000 PA 618003.220000 0.0158411 Long ABS-MBS CORP GB N 2 2039-08-28 Floating 0 N N N N N N GS MORTGAGE SECURITIES CORP II 2013-GC12 N/A 36197XAK0 310000.000000 PA USD 319888.260000 0.0081996 Long ABS-MBS CORP US N 2 2046-06-10 Fixed 3.135 N N N N N N GSAA HOME EQUITY TRUST 2005-12 N/A 362341TK5 141265.210000 PA USD 149218.440000 0.0038249 Long ABS-MBS CORP US N 2 2035-09-25 Variable 4.999 N N N N N N GSAA HOME EQUITY TRUST 2007-7 N/A 36249BAE0 31411890.100000 PA USD 18426689.050000 0.4723265 Long ABS-MBS CORP US N 2 2037-07-25 Floating 2.29838 N N N N N N GSAA HOME EQUITY TRUST 2007-8 N/A 38144RAC1 632638.180000 PA USD 619500.880000 0.0158795 Long ABS-MBS CORP US N 2 2037-08-25 Floating 2.46838 N N N N N N GSAMP TRUST 2004-OPT N/A 36242DNU3 1750747.390000 PA USD 1745355.260000 0.0447382 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.88838 N N N N N N GSAMP TRUST 2006-FM1 N/A 362334PK4 3145644.390000 PA USD 2383118.170000 0.0610858 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.28838 N N N N N N GSAMP TRUST 2006-FM2 N/A 36245DAD2 1733667.120000 PA USD 854618.140000 0.0219062 Long ABS-MBS CORP US N 2 2036-09-25 Floating 2.16838 N N N N N N GSAMP TRUST 2006-HE6 N/A 36245AAD8 1126239.090000 PA USD 997589.700000 0.0255710 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.25838 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAB4 1376710.350000 PA USD 852033.510000 0.0218400 Long ABS-MBS CORP US N 2 2046-12-25 Floating 2.06838 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAC2 5024154.020000 PA USD 3137384.220000 0.0804198 Long ABS-MBS CORP US N 2 2046-12-25 Floating 2.11838 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAD0 3232566.310000 PA USD 2036611.810000 0.0522039 Long ABS-MBS CORP US N 2 2046-12-25 Floating 2.16838 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAE8 621647.370000 PA USD 397195.490000 0.0101812 Long ABS-MBS CORP US N 2 2046-12-25 Floating 2.24838 N N N N N N GSMPS MORTGAGE LOAN TRUST 2005-RP2 N/A 36242DT52 53258.550000 PA USD 49735.620000 0.0012749 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.36838 N N N N N N GSR MORTGAGE LOAN TRUST 2003-1 N/A 36229RJJ9 10691.640000 PA USD 10883.960000 0.0002790 Long ABS-MBS CORP US N 2 2033-03-25 Floating 4.3 N N N N N N GSR MORTGAGE LOAN TRUST 2006-1F N/A 3623417Z6 1974170.210000 PA USD 1473871.650000 0.0377794 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 6 Y N N N N N GSR MORTGAGE LOAN TRUST 2006-3F N/A 362334JR6 327278.990000 PA USD 350675.250000 0.0089888 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 5.75 Y N N N N N GSR MORTGAGE LOAN TRUST 2006-8F N/A 362611AA3 468599.340000 PA USD 364061.480000 0.0093319 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.5 Y N N N N N GSR MORTGAGE LOAN TRUST 2007-1F N/A 3622MPAT5 694912.210000 PA USD 631616.970000 0.0161901 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 5.75 Y N N N N N GSR MORTGAGE LOAN TRUST 2007-2F N/A 362636AT9 1326164.140000 PA USD 1152485.440000 0.0295414 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N GSR MORTGAGE LOAN TRUST 2007-3F N/A 3622MWAN3 436638.690000 PA USD 403928.380000 0.0103538 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 Y N N N N N GSR MTGE LOAN TRUST 2004-7 N/A 36228F4R4 107725.080000 PA USD 107724.080000 0.0027613 Long ABS-MBS CORP US N 2 2034-06-25 Floating 4.05854 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2004-8 N/A 41161PHB2 680455.950000 PA USD 643242.900000 0.0164881 Long ABS-MBS CORP US N 2 2034-11-19 Floating 2.877 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-10 N/A 41161PTN3 1036814.140000 PA USD 1004035.990000 0.0257362 Long ABS-MBS CORP US N 2 2035-11-19 Floating 2.367 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-13 N/A 41161PWB5 1004944.540000 PA USD 844904.910000 0.0216572 Long ABS-MBS CORP US N 2 2036-02-19 Floating 2.617 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-3 N/A 41161PMG5 57280.550000 PA USD 57804.160000 0.0014817 Long ABS-MBS CORP US N 2 2035-06-19 Floating 2.537 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-7 N/A 41161PPN7 3131642.980000 PA USD 2065165.720000 0.0529359 Long ABS-MBS CORP US N 2 2045-06-19 Floating 3.005 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-10 N/A 41162CAC5 168098.490000 PA USD 169685.170000 0.0043495 Long ABS-MBS CORP US N 2 2036-11-19 Floating 2.237 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-13 N/A 41162KAA1 47145.370000 PA USD 40570.870000 0.0010399 Long ABS-MBS CORP US N 2 2046-11-19 Floating 2.237 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-5 N/A 41161MAC4 168295.830000 PA USD 116705.380000 0.0029915 Long ABS-MBS CORP US N 2 2046-07-19 Floating 2.237 Y N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2004-1 N/A 41161PCY7 6296.630000 PA USD 6417.570000 0.0001645 Long ABS-MBS CORP US N 2 2034-04-19 Floating 4.2955 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-12 N/A 41161PVK6 609143.370000 PA USD 532696.610000 0.0136545 Long ABS-MBS CORP US N 2 2035-10-19 Floating 3.557 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A 41161PYZ0 1432649.430000 PA USD 1147282.570000 0.0294080 Long ABS-MBS CORP US N 2 2036-01-19 Floating 2.557 Y N N N N N HARLEY-DAVIDSON FINANCIAL SERVICES INC RLUFFFFW4GRYU77BTS24 41283LAT2 4500000.000000 PA USD 4506145.650000 0.1155049 Long DBT CORP US N 2 2021-03-02 Floating 3.07763 N N N N N N HEWLETT PACKARD ENTERPRISE COMPANY 549300BX44RGX6ANDV88 42824CBB4 5700000.000000 PA USD 5700550.510000 0.1461207 Long DBT CORP US N 2 2021-10-05 Floating 3.0085 N N N N N N HILTON DOMESTIC OPERATING COMPANY INC 5493003EG7H0N1E4XV50 432833AD3 3200000.000000 PA USD 3368000.000000 0.0863311 Long DBT CORP US N 2 2026-05-01 Fixed 5.125 N N N N N N HOME EQUITY ASSET TRUST 2005-6 N/A 437084ND4 52501.070000 PA USD 52735.090000 0.0013517 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.50838 N N N N N N HOME EQUITY LOAN TRUST 2007-FRE1 N/A 43710XAE8 3000000.000000 PA USD 2568707.700000 0.0658430 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.35838 N N N N N N HOME EQUITY MTGE TRUST 2006-2 N/A 225470W25 187776.270000 PA USD 57023.170000 0.0014617 Long ABS-MBS CORP US N 2 2036-07-25 Variable 5.8672 Y N N N N N HOMEBANC MORTGAGE TRUST 2006-1 N/A 43739ECR6 10248642.690000 PA USD 9637393.140000 0.2470328 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.16033 Y N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BN8 200000.000000 PA USD 206843.000000 0.0053020 Long DBT CORP GB N 2 2023-03-23 Floating 6.25 N N N N Y HSBC Holdings Plc USD XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 BFM4XMII1 6200000.000000 PA 8072884.740000 0.2069302 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 404280AV1 400000.000000 PA USD 406233.380000 0.0104129 Long DBT CORP GB N 2 2021-03-08 Fixed 3.4 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AW9 400000.000000 PA USD 433494.460000 0.0111117 Long DBT CORP GB N 2 2026-03-08 Fixed 4.3 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BT5 5600000.000000 PA USD 6217143.740000 0.1593624 Long DBT CORP GB N 2 2029-06-19 Floating 4.583 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAD0 4046633.850000 PA USD 1594330.840000 0.0408671 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.12838 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAE8 1170342.300000 PA USD 462944.930000 0.0118665 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.18838 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAF5 8660532.990000 PA USD 3472835.620000 0.0890183 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.23838 N N N N N N HSI ASSET SECUR CORP TRUST 2007-HE1 N/A 40430FAD4 2068879.280000 PA USD 1644273.880000 0.0421472 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.20838 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 452152GS4 1100000.000000 PA USD 1341923.000000 0.0343972 Long DBT MUN US N 2 2035-07-01 Fixed 7.35 N N N N N N IMPAC CMB TRUST 2004-11 N/A 45254NMB0 111306.920000 PA USD 111709.630000 0.0028634 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.67838 N N N N N N IMPAC FUNDING LLC 2010-1 N/A 45257HAA5 305676.950000 PA USD 334454.660000 0.0085730 Long ABS-MBS CORP US N 2 2051-01-25 Fixed 5.314 N N N N N N IMPAC SECURED ASSETS CORP 2006-1 N/A 45254TTN4 156468.550000 PA USD 159774.140000 0.0040954 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.36838 N N N N N N INDYMAC IMSC MTGE LN TRUST 2007-AR1 N/A 456672AC8 704545.780000 PA USD 601192.440000 0.0154102 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.74194 Y N N N N N INDYMAC INDA MORTGAGE LOAN TR 2005-AR2 N/A 45660LY86 936089.940000 PA USD 940043.240000 0.0240959 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.53179 N N N N N N INDYMAC INDA MTGE LOAN TRUST 2006-AR3 N/A 45662FAA8 38437.930000 PA USD 36930.760000 0.0009466 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.30646 Y N N N N N INDYMAC INDEX MORTGAGE LOAN TRUST 2007-FLX2 N/A 45668RAA6 490316.460000 PA USD 482485.760000 0.0123674 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.17838 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR31 N/A 45660LV97 409776.330000 PA USD 383134.110000 0.0098208 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.92667 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR11 N/A 45661KAD2 866433.820000 PA USD 821211.430000 0.0210499 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.08887 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 30820.070000 PA USD 29612.660000 0.0007591 Long ABS-MBS CORP US N 2 2046-09-25 Floating 2.20838 N N N N N N INDYMAC INDX MTGE LOAN TR 2004-AR6 N/A 45660NX83 1082257.350000 PA USD 1129637.930000 0.0289557 Long ABS-MBS CORP US N 2 2034-10-25 Floating 4.28942 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR11 N/A 45660N6S9 370806.970000 PA USD 374668.410000 0.0096038 Long ABS-MBS CORP US N 2 2034-12-25 Floating 4.24482 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR14 N/A 45668GAD4 476186.200000 PA USD 452469.170000 0.0115980 Long ABS-MBS CORP US N 2 2046-11-25 Floating 2.21838 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2007-FLX1 N/A 45668WAC1 2140187.760000 PA USD 1624027.120000 0.0416283 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.26838 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAD8 2498013.260000 PA USD 1883891.190000 0.0482893 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.25838 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-B N/A 43710EAD2 3357863.810000 PA USD 2292998.230000 0.0587758 Long ABS-MBS CORP US N 2 2037-07-25 Floating 2.17838 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-B N/A 43710EAE0 3464296.670000 PA USD 2382773.740000 0.0610770 Long ABS-MBS CORP US N 2 2037-07-25 Floating 2.21838 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AK9 4000000.000000 PA USD 4249142.000000 0.1089172 Long DBT CORP NL N 2 2023-10-02 Fixed 4.1 N N N N N N INTELSAT JACKSON HOLDINGS SA 8XJ8KF85PBKK1TLMFN29 45824TBA2 2300000.000000 PA USD 2322287.000000 0.0595266 Long DBT CORP LU N 2 2024-10-15 Fixed 8.5 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HBJ5 5800000.000000 PA USD 5791560.070000 0.1484536 Long DBT CORP IT N 2 2024-09-23 Fixed 3.25 N N N N N N IXIS REAL ESTATE CAPITAL TRUST 2006-HE3 N/A 46602UAD0 4559251.970000 PA USD 2267315.550000 0.0581175 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.24838 N N N N N N JAMESTOWN CLO IV LTD 2014-4A N/A 470474AU1 979981.380000 PA USD 978571.260000 0.0250835 Long ABS-CBDO CORP KY N 2 2026-07-15 Floating 2.99338 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A6 N/A 466285AK9 1185.240000 PA USD 902.130000 0.0000231 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.5 Y N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-S3 N/A 46628VAG1 2385795.560000 PA USD 2265118.200000 0.0580612 Long ABS-MBS CORP US N 2 2036-08-25 Variable 6.31 Y N N N N N JP MORGAN ALTERNATIVE LN TRUST 2007-A1 N/A 466287AA7 848895.410000 PA USD 845539.560000 0.0216735 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.15838 Y N N N N N JP MORGAN ALTERNATIVE LN TRUST 2007-A2 N/A 466278AR9 1449173.690000 PA USD 1332797.510000 0.0341633 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.17261 Y N N N N N JP MORGAN ALTERNATIVE LN TRUST 2008-R4 N/A 466309AC5 446545.870000 PA USD 386235.430000 0.0099003 Long ABS-MBS CORP US N 2 2037-06-27 Floating 2.64525 N N N N N N JP MORGAN ALTERNATIVE LOAN TRUST 2008-R3 N/A 466308AE3 5356329.120000 PA USD 4672794.570000 0.1197765 Long ABS-MBS CORP US N 2 2037-05-26 Variable 5.6486 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 000000000 7900000.000000 PA USD 8127125.000000 0.2083205 Long DBT CORP US N 2 2024-08-01 Floating 5 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAH9 8000000.000000 PA USD 8291272.320000 0.2125280 Long DBT CORP US N 2 2025-03-01 Floating 3.22 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAR7 1000000.000000 PA USD 1094356.590000 0.0280514 Long DBT CORP US N 2 2029-04-23 Floating 4.005 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAU0 2000000.000000 PA USD 2111942.880000 0.0541349 Long DBT CORP US N 2 2024-07-23 Floating 3.797 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2013-C13 N/A 46640JAS6 37855.670000 PA USD 38705.820000 0.0009921 Long ABS-MBS CORP US N 2 2046-01-15 Fixed 3.4137 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2013-LC11 N/A 46639YAR8 187738.240000 PA USD 189105.800000 0.0048473 Long ABS-MBS CORP US N 2 2046-04-15 Fixed 2.5539 N N N N N N JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2 N/A 46628TAD3 1695490.430000 PA USD 962471.250000 0.0246708 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.16838 N N N N N N JP MORGAN MORTGAGE TRUST 2003-A2 N/A 466247AZ6 8658.160000 PA USD 8970.660000 0.0002299 Long ABS-MBS CORP US N 2 2033-11-25 Floating 4.2465 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A8 N/A 466247YH0 388421.550000 PA USD 365467.780000 0.0093679 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.22225 Y N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZN6 585465.610000 PA USD 459439.100000 0.0117767 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 6.5 Y N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 1104323.400000 PA USD 870120.370000 0.0223036 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 Y N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZR7 47283.920000 PA USD 37256.030000 0.0009550 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A2 N/A 466247J95 258668.820000 PA USD 239582.920000 0.0061412 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.36751 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-S2 N/A 46628YBF6 1745945.120000 PA USD 1328055.430000 0.0340417 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6.25 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-S3 N/A 46629AAN1 1994914.930000 PA USD 1418593.180000 0.0363624 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.5 Y N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAJ4 28227.510000 PA USD 29324.920000 0.0007517 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.50792 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A2 N/A 46630PAG0 45376.720000 PA USD 42891.550000 0.0010994 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.4142 Y N N N N N JP MORGAN MORTGAGE TRUST 2007-S3 N/A 46631NDZ9 14497.480000 PA USD 11464.070000 0.0002939 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6 Y N N N N N JP MORGAN MORTGAGE TRUST-2004-A2 N/A 466247CL5 71104.910000 PA USD 72327.820000 0.0018540 Long ABS-MBS CORP US N 2 2034-05-25 Floating 4.24346 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-WF1 N/A 46628SAF0 1660924.520000 PA USD 697148.980000 0.0178698 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.17838 Y N N N N N JP MORGAN MTGE ACQUIS CORP 2006-WF1 N/A 46628SAG8 1321977.940000 PA USD 664442.110000 0.0170315 Long ABS-MBS CORP US N 2 2036-07-25 Variable 6.13 Y N N N N N KINDER MORGAN ENERGY PARTNERS LP 549300PDHUGWPWGOT525 494550BB1 5534000.000000 PA USD 5627302.240000 0.1442432 Long DBT CORP US N 2 2020-02-15 Fixed 6.85 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAL0 100000.000000 PA USD 106844.920000 0.0027387 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 100000.000000 PA USD 105347.170000 0.0027003 Long DBT CORP US N 2 2045-07-15 Fixed 5.2 N N N N N N KUWAIT GOVT 549300FSC1YD0D9XX589 000000000 14900000.000000 PA USD 16090212.000000 0.4124362 Long DBT NUSS KW N 2 2027-03-20 Fixed 3.5 N N N N N N LEHMAN XS TRUST 2006-12N N/A 525226AJ5 2546868.720000 PA USD 2467579.350000 0.0632508 Long ABS-MBS CORP US N 2 2046-08-25 Floating 2.21838 N N N N N N LEHMAN XS TRUST 2006-20 N/A 52523QAB7 397924.240000 PA USD 390212.870000 0.0100022 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.18838 N N N N N N LEHMAN XS TRUST 2006-4N N/A 525221KM8 2052154.310000 PA USD 2052788.630000 0.0526186 Long ABS-MBS CORP US N 2 2046-04-25 Floating 2.24838 Y N N N N N LEHMAN XS TRUST 2006-9 N/A 52523DAC4 44893484.880000 PA USD 41813226.160000 1.0717875 Long ABS-MBS CORP US N 2 2046-05-25 Floating 2.27838 Y N N N N N LEHMAN XS TRUST 2007-9 N/A 52524MAT6 12010.490000 PA USD 11629.630000 0.0002981 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.16838 Y N N N N N LLOYDS BANK CORPORATE MARKETS PLC/NEW YORK BRANCH 213800MBWEIJDM5CU638 53947BAE0 11800000.000000 PA USD 11829329.370000 0.3032181 Long DBT CORP GB N 2 2020-10-26 Floating 2.81138 N N N N N N LLOYDS BANK PLC H7FNTJ4851HG0EXQ1Z70 539473AE8 750000.000000 PA USD 902722.500000 0.0231393 Long DBT CORP GB N 2 2024-12-16 Floating 12 N N N N N N LLOYDS BANK PLC H7FNTJ4851HG0EXQ1Z70 53944VAS8 4450000.000000 PA USD 4447252.210000 0.1139953 Long DBT CORP GB N 2 2022-08-14 Fixed 2.25 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI0808F5 8100000.000000 PA 10862594.520000 0.2784381 Long DBT CORP GB N 2 2023-06-27 Floating 7.625 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI0808H1 2700000.000000 PA 3901575.790000 0.1000081 Long DBT CORP GB N 2 2029-06-27 Floating 7.875 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI080964 1000000.000000 PA 1123653.780000 0.0288023 Long DBT CORP GB N 2 2020-06-27 Floating 6.375 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAK9 3700000.000000 PA USD 3713251.850000 0.0951808 Long DBT CORP GB N 2 2023-03-17 Floating 2.858 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAF0 12900000.000000 PA USD 13895696.050000 0.3561848 Long DBT CORP GB N 2 2025-05-08 Fixed 4.45 N N N N N N LOAN TO LEARN EDUCATION LOAN TRUST 2006-1A N/A 50246NAC2 4213896.580000 PA USD 4028276.960000 0.1032558 Long ABS-O CORP US N 2 2031-06-15 Floating 2.53513 N N N N N N LOANCORE ISSUER LTD 2019-CRE2 N/A 53946JAA2 20200000.000000 PA USD 20227270.000000 0.5184803 Long ABS-O CORP KY N 2 2036-05-15 Floating 3.1575 N N N N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RM8 2026533.630000 PA USD 1767919.770000 0.0453166 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.31838 N N N N N N LONG BEACH MORTGAGE LOAD TR 2006-WL1 N/A 542514QV9 4623679.580000 PA USD 4626544.410000 0.1185910 Long ABS-MBS CORP US N 2 2046-01-25 Floating 2.69838 N N N N N N LONG BEACH MTGE LOAN TRUST 2002-2 N/A 542514CK8 130363.970000 PA USD 131962.680000 0.0033826 Long ABS-MBS CORP US N 2 2032-07-25 Floating 3.94525 Y N N N N N MARVELL TECHNOLOGY GROUP LTD 8DF36O58U3QIHUCGZB18 57385LAB4 1200000.000000 PA USD 1334140.420000 0.0341977 Long DBT CORP BM N 2 2028-06-22 Fixed 4.875 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UM6 36370.540000 PA USD 37517.140000 0.0009617 Long ABS-MBS CORP US N 2 2034-11-21 Floating 4.73419 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2004-4 N/A 576433ME3 111841.290000 PA USD 113107.580000 0.0028993 Long ABS-MBS CORP US N 2 2034-05-25 Floating 4.06137 N N N N N N MASTR ASSET BACKED SEC TR 2006-AM3 N/A 57645EAM2 1700000.000000 PA USD 1600423.520000 0.0410232 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.25838 N N N N N N MASTR ASSET BACKED SEC TR 2006-FRE2 N/A 57643GAE7 3947764.240000 PA USD 2967498.060000 0.0760651 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.25838 N N N N N N MASTR ASSET BACKED SEC TR 2006-HE4 N/A 576449AA0 66702.610000 PA USD 31005.710000 0.0007948 Long ABS-MBS CORP US N 2 2036-11-25 Floating 2.06838 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC2 N/A 55275BAD9 1064100.070000 PA USD 560818.300000 0.0143753 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.16838 N N N N N N MASTR ASSET BACKED SECUR TR 2005-FRE1 N/A 57643LMA1 862768.760000 PA USD 828099.350000 0.0212265 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.51838 Y N N N N N MASTR ASSET BACKED SECUR TR 2006-WMC4 N/A 57645MAC6 1067123.770000 PA USD 469084.030000 0.0120239 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.06838 N N N N N N MASTR ASSET SECURIZATION TR 2007-3 N/A 57645NAQ3 13144.800000 PA USD 416762.850000 0.0106828 Long ABS-MBS CORP US N 2 2047-05-25 Floating 2.43838 Y N N N N N MASTR ASSET SECURIZATION TR 2007-3 N/A 57645NAS9 565036.270000 PA USD 821717.670000 0.0210629 Long ABS-MBS CORP US N 2 2047-05-25 Floating 2.61838 Y N N N N N MASTR SEASONED SECURITIES TRUST 2005-2 N/A 55265WDM2 18164.630000 PA USD 18742.300000 0.0004804 Long ABS-MBS CORP US N 2 2032-10-25 Floating 4.02118 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 181521.790000 PA USD 178083.280000 0.0045648 Long ABS-MBS CORP US N 2 2030-12-15 Floating 2.4675 N N N N N N MELLON RESIDENTIAL FUNDING CO 2001-TBC1 N/A 585525FC7 80932.820000 PA USD 81939.840000 0.0021003 Long ABS-MBS CORP US N 2 2031-11-15 Floating 2.7275 N N N N N N MERITAGE MORTGAGE LOAN TRUST 2005-2 N/A 59001FCS8 78470.860000 PA USD 81356.180000 0.0020854 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.76838 N N N N N N MERRILL LYNCH ALTERNATIVE NOTE ASSET 2007-OAR1 N/A 59023TAA3 102127.800000 PA USD 102401.300000 0.0026248 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.31525 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A6 N/A 59020UZJ7 779214.780000 PA USD 785064.890000 0.0201234 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.39838 N N N N N N MERRILL LYNCH MORTGAGE INVESTOR 2006-RM1 N/A 59020U5D3 1705519.160000 PA USD 333752.360000 0.0085550 Long ABS-MBS CORP US N 2 2037-02-25 Variable 4.22664 Y N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A2 N/A 589929M70 16673.480000 PA USD 16314.440000 0.0004182 Long ABS-MBS CORP US N 2 2033-02-25 Floating 4.43654 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A4 N/A 589929W87 3886.260000 PA USD 3942.830000 0.0001011 Long ABS-MBS CORP US N 2 2033-05-25 Floating 4.87988 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-AR1 N/A 59020UG90 244653.660000 PA USD 246207.310000 0.0063110 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.76838 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAC6 2328371.170000 PA USD 1499153.440000 0.0384274 Long ABS-MBS CORP US N 2 2037-08-25 Floating 2.12838 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAD4 14049168.910000 PA USD 9115037.570000 0.2336434 Long ABS-MBS CORP US N 2 2037-08-25 Floating 2.16838 N N N N N N MERRILL LYNCH MTGE INV TRUST 2007-SD1 N/A 590232AA2 610144.490000 PA USD 448555.650000 0.0114977 Long ABS-MBS CORP US N 2 2047-02-25 Floating 2.46838 N N N N N N MERRILL LYNCH MTGE INVESTORS 2006-A1 N/A 59020U5W1 1161655.310000 PA USD 838759.510000 0.0214997 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.32435 Y N N N N N MGM RESORTS INTERNATIONAL 54930066VBP7DZEGGJ87 552953BY6 500000.000000 PA USD 520000.000000 0.0133290 Long DBT CORP US N 2 2020-10-01 Fixed 6.75 N N N N N N MLCC MORTGAGE INVESTORS INC 2004-E N/A 59020UJU0 1644603.300000 PA USD 37882.780000 0.0009710 Long ABS-O CORP US N 2 2029-11-25 Floating 0.756006 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL60 139.100000 PA USD 140.090000 0.0000036 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.26838 N N N N N N MLCC MORTGAGE INVESTORS INC 2006-1 N/A 59020U4S1 720751.420000 PA USD 732300.310000 0.0187709 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.24551 N N N N N N MLCC MORTGAGE INVESTORS INC. 2003-C N/A 589929S41 1716.520000 PA USD 1724.270000 0.0000442 Long ABS-MBS CORP US N 2 2028-06-25 Floating 2.67838 N N N N N N MONROE CAPITAL BSL CLO LTD 2015-1A N/A 610332AU2 14392087.180000 PA USD 14396347.240000 0.3690178 Long ABS-CBDO CORP KY N 2 2027-05-22 Floating 3.2695 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAN8 1800000.000000 PA USD 1847654.210000 0.0473604 Long DBT CORP US N 2 2023-01-23 Fixed 3.125 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAP3 1900000.000000 PA USD 2032184.100000 0.0520904 Long DBT CORP US N 2 2029-01-24 Floating 3.772 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAG3 1300000.000000 PA USD 1318732.840000 0.0338027 Long DBT CORP US N 2 2024-05-08 Floating 3.407 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAJ7 1700000.000000 PA USD 1713325.720000 0.0439172 Long DBT CORP US N 2 2022-07-22 Floating 3.20763 N N N N N N MORGAN STANLEY ABS CAPITAL I 2003-NC8 N/A 61746RDM0 1017878.860000 PA USD 1019383.790000 0.0261296 Long ABS-MBS CORP US N 2 2033-09-25 Floating 3.06838 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-NC2 N/A 61744CPK6 1100000.000000 PA USD 1107937.710000 0.0283995 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.93338 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC5 N/A 61744CRW8 4000000.000000 PA USD 3795403.600000 0.0972866 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.06838 Y N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE4 N/A 61748BAD6 1287849.760000 PA USD 921815.300000 0.0236287 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.25838 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE5 N/A 61749NAE7 146739.520000 PA USD 91784.940000 0.0023527 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.26838 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAE5 2005038.060000 PA USD 1128080.930000 0.0289158 Long ABS-MBS CORP US N 2 2036-09-25 Floating 2.17838 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC5 N/A 61749BAE3 24272344.720000 PA USD 15905521.860000 0.4077021 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.16838 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A 617526AE8 3668647.620000 PA USD 2570104.470000 0.0658788 Long ABS-MBS CORP US N 2 2036-11-25 Floating 2.16838 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE3 N/A 617538AA1 4199892.010000 PA USD 2586445.960000 0.0662977 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.07838 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE3 N/A 617538AC7 929294.690000 PA USD 578675.890000 0.0148330 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.16838 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE4 N/A 61753VAC6 2372239.140000 PA USD 1094588.860000 0.0280573 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.19838 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE4 N/A 61753VAE2 1705046.880000 PA USD 810153.540000 0.0207665 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.37838 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAB2 1722914.430000 PA USD 930866.720000 0.0238607 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.12838 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAD8 18476165.320000 PA USD 10201721.840000 0.2614981 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.26838 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC1 N/A 617505AD4 10964042.020000 PA USD 7073314.660000 0.1813084 Long ABS-MBS CORP US N 2 2036-11-25 Floating 2.15838 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC1 N/A 617505AE2 5928195.760000 PA USD 3866540.600000 0.0991100 Long ABS-MBS CORP US N 2 2036-11-25 Floating 2.23838 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC2 N/A 61753NAD2 70531.620000 PA USD 42412.570000 0.0010872 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.21838 N N N N N N MORGAN STANLEY ABS CAPITAL-2006-HE6 N/A 61750FAE0 11226250.400000 PA USD 5484888.860000 0.1405927 Long ABS-MBS CORP US N 2 2036-09-25 Floating 2.16838 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C5 N/A 61761AAY4 82729.190000 PA USD 83518.100000 0.0021408 Long ABS-MBS CORP US N 2 2045-08-15 Fixed 2.825 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10 N/A 61762MBU4 33179.180000 PA USD 34132.460000 0.0008749 Long ABS-MBS CORP US N 2 2046-07-15 Fixed 3.912 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C7 N/A 61690KAC6 86613.980000 PA USD 87168.170000 0.0022344 Long ABS-MBS CORP US N 2 2046-02-15 Fixed 2.469 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C9 N/A 61762DAU5 93919.280000 PA USD 94726.370000 0.0024281 Long ABS-MBS CORP US N 2 2046-05-15 Fixed 2.657 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-1 N/A 61751QAB1 1765062.070000 PA USD 1022475.390000 0.0262088 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.24525 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-3AR N/A 61748HWP2 449905.680000 PA USD 368517.830000 0.0094461 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.27838 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAJ0 3012611.080000 PA USD 3022376.460000 0.0774718 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.2687 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAP6 29153.950000 PA USD 30416.810000 0.0007797 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.36453 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2004-6AR N/A 61748HBM2 21296.910000 PA USD 21509.600000 0.0005513 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.71533 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2004-6AR N/A 61748HBS9 208340.140000 PA USD 197981.340000 0.0050748 Long ABS-MBS CORP US N 2 2034-08-25 Floating 3.9462 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-3AR N/A 61745M4P5 178136.470000 PA USD 168071.370000 0.0043081 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.60802 Y N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-3AR N/A 61745M4R1 128787.920000 PA USD 120879.570000 0.0030985 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.16483 Y N N N N N MORGAN STANLEY MTGE LN TRUST 2007-15AR N/A 61756XBT1 1871150.620000 PA USD 1585719.320000 0.0406463 Long ABS-MBS CORP US N 2 2037-12-25 Variable 3.60816 N N N N N N MURPHY OIL CORPORATION QBKYQD0ODE7DC7PDIN91 626717AJ1 700000.000000 PA USD 714000.000000 0.0183018 Long DBT CORP US N 2 2025-08-15 Fixed 5.75 N N N N N N NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORPORATION 4NYF266XZC35SCTGX023 63743HES7 500000.000000 PA USD 501950.080000 0.0128664 Long DBT CORP US N 2 2021-06-30 Floating 2.47938 N N N N N N NATIONSTAR MORTGAGE HOLDINGS INC N/A 93369KAB1 7000000.000000 PA USD 7463750.000000 0.1913164 Long DBT CORP US N 2 2026-07-15 Fixed 9.125 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 ACI07BWB4 18500.000000 PA 3571226.570000 0.0915403 Long DBT CORP GB N 2 2049-12-31 Variable 10.25 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAA5 10400000.000000 PA USD 10685831.000000 0.2739071 Long DBT CORP GB N 2 2024-03-08 Floating 3.766 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAB3 13500000.000000 PA USD 14466342.290000 0.3708120 Long DBT CORP GB N 2 2029-03-08 Floating 4.302 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 638602BP6 2800000.000000 PA USD 2987480.660000 0.0765773 Long DBT CORP GB N 2 2025-07-21 Fixed 3.9 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAC1 5000000.000000 PA USD 5254406.000000 0.1346848 Long DBT CORP GB N 2 2024-08-01 Floating 4.363 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 78442FEJ3 100000.000000 PA USD 102250.000000 0.0026209 Long DBT CORP US N 2 2020-03-25 Fixed 8 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAC2 6604000.000000 PA USD 6884670.000000 0.1764730 Long DBT CORP US N 2 2021-03-25 Fixed 5.875 N N N N N N NELNET STUDENT LOAN TRUST 2005-1 N/A 64031QBR1 390331.870000 PA USD 383761.180000 0.0098369 Long ABS-O CORP US N 2 2033-10-25 Floating 2.3855 N N N N N N NELNET STUDENT LOAN TRUST 2005-2 N/A 64031QBX8 229954.890000 PA USD 226613.280000 0.0058087 Long ABS-O CORP US N 2 2037-03-23 Floating 2.25888 N N N N N N NELNET STUDENT LOAN TRUST 2007-1 N/A 64032EAC1 187136.600000 PA USD 185912.950000 0.0047655 Long ABS-O CORP US N 2 2025-05-27 Floating 2.20225 N N N N N N NELNET STUDENT LOAN TRUST-2007-2A N/A 64032FAG9 342380.800000 PA USD 337866.470000 0.0086604 Long ABS-O CORP US N 2 2026-03-25 Floating 2.45625 N N N N N N NEW CENTURY HOME EQUITY LOAN TRUST 2003-2 N/A 64352VCS8 532880.060000 PA USD 490123.470000 0.0125632 Long ABS-MBS CORP US N 2 2033-01-25 Floating 5.01838 Y N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI02MK69 17379200.000000 PA 12127709.720000 0.3108664 Long DBT NUSS NZ N 2 2025-09-20 Fixed 2 N N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI06Z1N0 4629380.000000 PA 3759962.840000 0.0963781 Long DBT NUSS NZ N 2 2030-09-20 Fixed 3 N N N N N N NEWFIELD EXPLORATION COMPANY T8W3X1PFLPW2YE0UIP44 651290AR9 5100000.000000 PA USD 5548047.550000 0.1422117 Long DBT CORP US N 2 2026-01-01 Fixed 5.375 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KBC3 8100000.000000 PA USD 8176226.020000 0.2095791 Long DBT CORP US N 2 2022-02-25 Floating 2.85225 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2004-R3 N/A 62951MAY6 694395.170000 PA USD 713279.940000 0.0182833 Long ABS-MBS CORP US N 2 2035-02-25 Fixed 6.5 Y N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AR4 N/A 65535VMX3 191125.180000 PA USD 193357.660000 0.0049563 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.67257 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AR5 N/A 65535VPU6 503083.730000 PA USD 501922.660000 0.0128657 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.72592 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2007-2 N/A 655378AE7 5880531.040000 PA USD 4902875.700000 0.1256741 Long ABS-MBS CORP US N 2 2037-06-25 Floating 2.43838 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-AF1 N/A 65535AAD6 4732021.940000 PA USD 1583934.090000 0.0406006 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.34838 Y N N N N N NOMURA HOME EQUITY LOAN INC 2007-1 N/A 65537KAY6 499147.810000 PA USD 195799.260000 0.0050189 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.41838 Y N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BXNTDFII3 113600000.000000 PA 16584062.660000 0.4250950 Long DBT CORP DK N 2 2019-10-01 Fixed 2 N N N N N N NORTH CAROLINA STATE EDUCATION ASSISTANCE AUTHORITY 2012-1 N/A 658262GE4 662056.590000 PA USD 654337.010000 0.0167725 Long ABS-O MUN US N 2 2039-07-25 Floating 2.81838 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-3 N/A 66988WAE6 1396646.530000 PA USD 832214.880000 0.0213319 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.39525 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-4 N/A 66988XAC8 4200833.580000 PA USD 2300651.200000 0.0589720 Long ABS-MBS CORP US N 2 2036-09-25 Floating 2.16838 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-5 N/A 66988YAD4 9037323.250000 PA USD 3974743.100000 0.1018836 Long ABS-MBS CORP US N 2 2036-11-25 Floating 2.18838 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-6 N/A 66988RAE7 3448108.180000 PA USD 1696942.990000 0.0434973 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.22838 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BYMKKKII2 109100000.000000 PA 15927123.560000 0.4082558 Long DBT CORP DK N 2 2019-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI14QBR0 214100000.000000 PA 31255702.600000 0.8011693 Long DBT CORP DK N 2 2019-10-01 Fixed 1 N N N N N N OFSI FUND VII LTD 7A N/A 67106MAN3 4497379.490000 PA USD 4495623.080000 0.1152351 Long ABS-CBDO CORP KY N 2 2026-10-18 Floating 3.19963 N N N N N N OMX TIMBER FINANCE INVESTMENTS I LLC N/A 670877AA7 600000.000000 PA USD 601169.100000 0.0154096 Long DBT CORP US N 2 2020-01-29 Floating 5.42 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680AW3 8900000.000000 PA USD 9530889.140000 0.2443028 Long DBT CORP US N 2 2029-03-15 Fixed 4.35 N N N N N N OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5 N/A 68383NCY7 4076432.080000 PA USD 3899922.570000 0.0999657 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.39838 N N N N N N OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5 N/A 68383NDR1 40949.230000 PA USD 41306.630000 0.0010588 Long ABS-MBS CORP US N 2 2035-12-25 Variable 5.675 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2006-1 N/A 68389FKP8 36030.440000 PA USD 36121.830000 0.0009259 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.20838 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-1 N/A 68400DAF1 1033638.960000 PA USD 712960.950000 0.0182751 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.23838 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-2 N/A 68401TAE8 681785.320000 PA USD 404361.080000 0.0103649 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.26838 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-3 N/A 68402BAC0 1158380.300000 PA USD 756917.200000 0.0194019 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.19838 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-4 N/A 68403FAD8 1293685.980000 PA USD 927019.670000 0.0237621 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.25838 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-6 N/A 68403KAB1 1227530.250000 PA USD 885913.610000 0.0227084 Long ABS-MBS CORP US N 2 2037-07-25 Floating 2.14838 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-6 N/A 68403KAD7 1661475.200000 PA USD 1219322.760000 0.0312546 Long ABS-MBS CORP US N 2 2037-07-25 Floating 2.26838 N N N N N N OWENS CORNING INC JO5M6676RDJIZ2U8X907 690742AF8 400000.000000 PA USD 402278.120000 0.0103115 Long DBT CORP US N 2 2026-08-15 Fixed 3.4 N N N N N N OWNIT MORTGAGE LN ASSET-BCK CERT 2006-1 N/A 69121PCH4 767155.500000 PA USD 488908.120000 0.0125321 Long ABS-MBS CORP US N 2 2035-10-25 Variable 3.25508 N N N N N N OWNIT MORTGAGE LOAN ASSET BACKED CERTIFICATES 2006-4 N/A 69121QAD3 2265384.440000 PA USD 1907523.020000 0.0488950 Long ABS-MBS CORP US N 2 2037-05-25 Floating 2.16838 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 69431EBK8 7050000.000000 PA USD 7094626.500000 0.1818547 Long LON CORP US N 2 2020-12-31 Floating 4.32 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 69431EBL6 2350000.000000 PA USD 2364875.500000 0.0606182 Long LON CORP US N 2 2020-12-31 Floating 2.25 N N N N N N URBI DESARROLLOS URBANOS SA DE CV (AKA: URBIMM) N/A B0126X906 9536.000000 NS 724.840000 0.0000186 Long EC CORP MX N 1 N N N PALMER SQUARE LOAN FUNDING LTD 2019-2A N/A 69689PAA5 8050000.000000 PA USD 8051934.660000 0.2063931 Long ABS-CBDO CORP KY N 2 2027-04-20 Floating 3.49338 N N N N N N PANHANDLE-PLAINS HIGHER EDU AUTH 2010-2 N/A 698475AM2 2881559.110000 PA USD 2893969.410000 0.0741804 Long ABS-O CORP US N 2 2035-10-01 Floating 3.22863 N N N N N N PARK PLACE SEC INC 2005-WHQ4 N/A 70069FMS3 1196400.120000 PA USD 1200643.750000 0.0307758 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.48838 N N N N N N PARK PLACE SECURITIES INC 2004-MHQ1 N/A 70069FCY1 753579.560000 PA USD 769023.270000 0.0197122 Long ABS-MBS CORP US N 2 2034-12-25 Floating 3.81838 N N N N N N PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP N/A 709599AZ7 3400000.000000 PA USD 3594035.890000 0.0921250 Long DBT CORP US N 2 2025-03-10 Fixed 3.95 N N N N N N PEOPLE'S FINANCE REALTY MTGE SEC 2006-1 N/A 71103XAS3 2643947.540000 PA USD 1021862.460000 0.0261931 Long ABS-MBS CORP US N 2 2036-09-25 Floating 2.15838 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI0WBN59 20800000.000000 PA 7049418.270000 0.1806959 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BX9 16200000.000000 PA 5441677.240000 0.1394851 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BV3 75475000.000000 PA 26089586.550000 0.6687476 Long DBT NUSS PE N 2 2028-08-12 Fixed 6.35 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NAY5 26210000.000000 PA USD 29211045.000000 0.7487591 Long DBT CORP NL N 2 2028-01-27 Fixed 5.999 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 ACI07KN16 1200000.000000 PA 1752550.700000 0.0449227 Long DBT CORP NL N 2 2034-01-16 Fixed 6.625 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NAN9 200000.000000 PA USD 229040.000000 0.0058709 Long DBT CORP NL N 2 2099-12-31 Fixed 6.85 N N N N N N PIPER JAFFRAY COMPANIES INC QUQDBTUSOAKFEVMRMF78 935MJPII9 3600000.000000 PA USD 3614004.860000 0.0926368 Long DBT CORP US Y 3 2023-10-15 Fixed 5.2 N N N N N N PIPER JAFFRAY COMPANIES INC QUQDBTUSOAKFEVMRMF78 935REMII0 2600000.000000 PA USD 2607305.660000 0.0668324 Long DBT CORP US Y 3 2021-10-15 Fixed 4.74 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 2506.450000 PA USD 2377.730000 0.0000609 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.41838 N N N N N N PRIME MORTGAGE TRUST 2006-1 N/A 74161BAA3 113998.670000 PA USD 114713.530000 0.0029404 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 5.5 Y N N N N N PROVINCE OF BUENOS AIRES ARGENTINA N/A ACI0VF965 1970000.000000 PA 14295.280000 0.0003664 Long DBT NUSS AR N 2 2022-05-31 Floating 54.8058 N N N N N N PROVINCE OF BUENOS AIRES ARGENTINA N/A P1910WRC5 325360000.000000 PA 2887553.760000 0.0740159 Long DBT NUSS AR N 2 2025-04-12 Floating 54.5011 N N N N N N PUERTO RICO GOVT 549300X44HXPLJU48U63 74514LC54 280000.000000 PA USD 183050.000000 0.0046921 Long DBT NUSS PR N 2 2021-07-01 Fixed 5 Y Y N N N N PUERTO RICO GOVT 549300X44HXPLJU48U63 74514LKA4 275000.000000 PA USD 205906.250000 0.0052779 Long DBT NUSS PR N 2 2026-07-01 Fixed 5.25 Y Y N N N N PUERTO RICO GOVT 549300X44HXPLJU48U63 74514LA98 120000.000000 PA USD 78900.000000 0.0020224 Long DBT NUSS PR N 2 2026-07-01 Fixed 5.5 Y Y N N N N PUERTO RICO GOVT 549300X44HXPLJU48U63 74514LYW1 155000.000000 PA USD 111212.500000 0.0028507 Long DBT NUSS PR N 2 2041-07-01 Fixed 5.75 Y Y N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI0178P5 4700000.000000 PA USD 4949476.000000 0.1268686 Long DBT NUSS QA N 2 2022-01-20 Fixed 4.5 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI122SK2 6700000.000000 PA USD 7095300.000000 0.1818720 Long DBT NUSS QA N 2 2023-04-23 Fixed 3.875 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 M8489SAH0 2100000.000000 PA USD 2397704.400000 0.0614597 Long DBT NUSS QA N 2 2028-04-23 Fixed 4.5 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 M8489SAG2 800000.000000 PA USD 1024440.000000 0.0262592 Long DBT NUSS QA N 2 2048-04-23 Fixed 5.103 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 963TAKII9 14500000.000000 PA USD 14463750.000000 0.3707455 Long LON NUSS QA N 3 2020-12-21 Floating 2.9827 N N N N N N QBE INSURANCE GROUP LIMITED 549300D2FBW76FPUSG65 74737EAA2 17650000.000000 PA USD 19688928.000000 0.5046812 Long DBT CORP AU N 2 2043-11-24 Floating 7.5 N N N N N N QUALCOMM INCORPORATED H1J8DDZKZP6H7RWC0H53 747525AJ2 1500000.000000 PA USD 1770504.860000 0.0453829 Long DBT CORP US N 2 2035-05-20 Fixed 4.65 N N N N N N QUALCOMM INCORPORATED H1J8DDZKZP6H7RWC0H53 747525AK9 1900000.000000 PA USD 2273311.560000 0.0582712 Long DBT CORP US N 2 2045-05-20 Fixed 4.8 N N N N N N RAAC SERIES 2005-SP2 N/A 76112BF54 491686.060000 PA USD 451341.060000 0.0115691 Long ABS-MBS CORP US N 2 2044-06-25 Floating 2.31838 N N N N N N RAAC SERIES 2006-SP2 N/A 74919PAD1 596607.820000 PA USD 598685.210000 0.0153459 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.35838 N N N N N N RAAC SERIES 2006-SP3 N/A 74919QAD9 2546213.920000 PA USD 2580430.960000 0.0661435 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.35838 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746804 3500.000000 NS USD 5328715.000000 0.1365896 Long EP CORP US N 1 N N N RALI TRUST 2006-QA10 N/A 74922NAA7 122364.190000 PA USD 116341.380000 0.0029821 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.20338 N N N N N N RAMP SERIES TRUST 2005-RZ3 N/A 76112BA34 162016.640000 PA USD 162551.040000 0.0041666 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.51838 N N N N N N RASC TRUST 2006-EMX6 N/A 754065AC4 5024485.770000 PA USD 4808465.040000 0.1232541 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.16838 Y N N N N N RASC TRUST 2006-EMX6 N/A 754065AD2 2827566.970000 PA USD 2344428.520000 0.0600941 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.28838 Y N N N N N RBSGC MORTGAGE PASS THROUGH CERTIFICATES 2008-A N/A 74928AAA9 4408721.240000 PA USD 4335476.070000 0.1111301 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N RBSSP RESECURITIZATION TRUST 2011-4 N/A 74930PAG9 1481307.420000 PA USD 1458894.940000 0.0373955 Long ABS-MBS CORP US N 2 2037-08-27 Floating 2.38525 N N N N N N RBSSP RESECURITIZATION TRUST 2011-4 N/A 74930PAL8 5389810.660000 PA USD 5145263.630000 0.1318872 Long ABS-MBS CORP US N 2 2036-06-27 Floating 2.62525 N N N N N N RBSSP RESECURITIZATION TRUST 2011-4 N/A 74930PAM6 3500000.000000 PA USD 2188782.750000 0.0561045 Long ABS-MBS CORP US N 2 2036-06-27 Floating 2.62525 N N N N N N REFINITIV US HOLDINGS INC (AKA: FINANCIAL & RISK US HOLDINGS I) 549300NF240HXJO7N016 31740MAD3 3275250.000000 PA 3619391.620000 0.0927749 Long LON CORP US N 2 2025-10-01 Floating 4 N N N N N N REGIONAL CARE CAPELLA (REGIONALCARE HOSPITAL PARTNERS HOLDINGS INC) N/A 75915TAD4 7344500.000000 PA USD 7359416.680000 0.1886420 Long LON CORP US N 2 2025-11-17 Floating 6.5536 N N N N N N REGIONS BANK EQTWLK1G7ODGC2MGLV11 759187CE5 1100000.000000 PA USD 1100672.570000 0.0282133 Long DBT CORP US N 2 2021-08-13 Floating 2.67563 N N N N N N RENAISSANCE HOME EQUITY LN TR 2003-3 N/A 759950BD9 14869.370000 PA USD 14906.970000 0.0003821 Long ABS-MBS CORP US N 2 2033-12-25 Floating 3.01838 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-1 N/A 75970JAF3 3808694.210000 PA USD 1713886.880000 0.0439316 Long ABS-MBS CORP US N 2 2037-04-25 Variable 5.612 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3W N/A 75971FAX1 3294153.590000 PA USD 2643483.150000 0.0677597 Long ABS-MBS CORP US N 2 2037-09-25 Variable 3.40891 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3W N/A 75971FAY9 3119474.460000 PA USD 2509429.100000 0.0643235 Long ABS-MBS CORP US N 2 2037-09-25 Variable 3.40891 N N N N N N RESIDENTIAL ACCREDIT LOANS 2004-QA6 N/A 76110HG94 263925.320000 PA USD 189151.870000 0.0048485 Long ABS-MBS CORP US N 2 2034-12-26 Floating 4.76251 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QA2 N/A 76110HT90 725423.780000 PA USD 638217.760000 0.0163593 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.30101 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QA3 N/A 76110H2K4 197760.840000 PA USD 179322.230000 0.0045965 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.83264 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA1 N/A 761118TB4 2191880.890000 PA USD 2006090.490000 0.0514216 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.91395 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA4 N/A 748939AA3 1682730.600000 PA USD 1624814.380000 0.0416484 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.19838 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS16 N/A 74922LAA1 394984.820000 PA USD 299240.740000 0.0076704 Long ABS-MBS CORP US N 2 2036-11-25 Floating 2.41838 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS6 N/A 74922EAB5 331669.700000 PA USD 312046.330000 0.0079986 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAA1 1311937.610000 PA USD 1282641.520000 0.0328776 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.15838 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA5 N/A 749236AC9 11437169.800000 PA USD 9699134.020000 0.2486154 Long ABS-MBS CORP US N 2 2037-09-25 Variable 6.0932 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH7 N/A 75115LAA5 94650.450000 PA USD 91238.070000 0.0023387 Long ABS-MBS CORP US N 2 2037-08-25 Floating 2.26838 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QS10 N/A 74924DAA7 423548.710000 PA USD 416767.310000 0.0106829 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6.5 Y N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QA10 N/A 761118GE2 282713.320000 PA USD 255949.590000 0.0065607 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.11691 Y N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO3 N/A 761118KU1 221184.790000 PA USD 202533.650000 0.0051915 Long ABS-MBS CORP US N 2 2045-10-25 Floating 2.81838 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QA2 N/A 761118TN8 263318.510000 PA USD 204389.380000 0.0052391 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.26838 Y N N N N N RESIDENTIAL ASSET MTGE PROD INC 2002-RS3 N/A 760985LY5 4250.500000 PA USD 4131.010000 0.0001059 Long ABS-MBS CORP US N 2 2032-06-25 Floating 2.57838 N N N N N N RESIDENTIAL ASSET SEC CORP 2004-KS11 N/A 76110WJ31 725198.700000 PA USD 726417.400000 0.0186201 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.85838 N N N N N N RESIDENTIAL ASSET SEC CORP 2004-KS6 N/A 76110WZX7 421505.540000 PA USD 419762.070000 0.0107597 Long ABS-MBS CORP US N 2 2034-07-25 Floating 2.84338 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-EMX3 N/A 76113ABZ3 244999.830000 PA USD 245510.510000 0.0062931 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.19838 N N N N N N RESIDENTIAL ASSET SEC TRUST 2005-A10 N/A 45660LXM6 114857.610000 PA USD 94909.990000 0.0024328 Long ABS-MBS CORP US N 2 2035-09-25 Fixed 5.5 Y N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A6 N/A 76113FBC3 469281.050000 PA USD 392328.910000 0.0100565 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-R1 N/A 76113MAB1 1864458.140000 PA USD 807134.000000 0.0206891 Long ABS-MBS CORP US N 2 2046-01-25 Floating 2.41838 Y N N N N N RESIDENTIAL ASSET SECUR TR 2003-A15 N/A 45660NWT8 111883.310000 PA USD 101946.830000 0.0026132 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.46838 N N N N N N RESIDENTIAL ASSET SECUR TR 2007-A7 N/A 76114QAA3 1491918.700000 PA USD 925123.270000 0.0237134 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 Y N N N N N RESIDENTIAL ASSET SECUR TRUST 2005-A14 N/A 45660LT41 321507.510000 PA USD 266280.560000 0.0068255 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 5.5 Y N N N N N RESIDENTIAL ASSET SECUR TRUST 2005-A15 N/A 45660L4G1 53250.850000 PA USD 36841.720000 0.0009444 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.75 Y N N N N N RESIDENTIAL ASSET SECUR TRUST 2005-A15 N/A 45660L4H9 991988.860000 PA USD 686309.770000 0.0175920 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.75 Y N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS7 N/A 76110W3C8 2000000.000000 PA USD 2019120.800000 0.0517556 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.05338 N N N N N N RESIDENTIAL ASSET SECURITIES 2006-KS2 N/A 75406BAE7 116665.030000 PA USD 116843.920000 0.0029950 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.38838 N N N N N N RESIDENTIAL ASSET SECURITIES 2006-KS3 N/A 76113ABJ9 206761.060000 PA USD 207512.840000 0.0053191 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.28838 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2003-S9 N/A 76111JZ72 15170.850000 PA USD 15789.100000 0.0004047 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6.5 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2006-S10 N/A 74958DAG3 635939.050000 PA USD 606238.030000 0.0155395 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6 Y N N N N N RESIDENTIAL FUNDING MTG SEC I 2006-SA1 N/A 76111XG72 501338.150000 PA USD 469393.530000 0.0120318 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.7814 Y N N N N N RESIDENTIAL FUNDING MTG SEC I 2006-SA3 N/A 749575AA4 33011.040000 PA USD 22452.040000 0.0005755 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.24091 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BF2 800000.000000 PA USD 833732.410000 0.0213708 Long DBT CORP US N 2 2022-06-12 Fixed 4 N N N N N N RIO OIL FINANCE TRUST SERIES 2014-1 549300V5D1W52HY8NO65 U76673AA7 149037.400000 PA USD 166923.380000 0.0042787 Long DBT CORP US N 2 2024-07-06 Variable 9.25 N N N N N N RIO OIL FINANCE TRUST SERIES 2018-1 N/A 76716XAC6 400000.000000 PA USD 459000.000000 0.0117654 Long DBT CORP US N 2 2028-04-06 Fixed 8.2 N N N N N N RMAC SECURITIES PLC 2007-NS1X N/A B1ZPGKII4 790536.890000 PA 912193.630000 0.0233820 Long ABS-MBS CORP GB N 2 2044-06-12 Floating 0.92988 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097AH4 2125000.000000 PA USD 2943125.000000 0.0754404 Long DBT CORP GB N 2 2031-09-30 Floating 7.648 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780099CK1 900000.000000 PA USD 994950.000000 0.0255033 Long DBT CORP GB N 2 2025-08-10 Floating 8 N N N N Y Royal Bank of Scotland Group plc GBP XXXX N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 2200000.000000 PA USD 2422389.400000 0.0620925 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 780097BJ9 600000.000000 PA USD 631369.460000 0.0161837 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097AW1 42650000.000000 PA USD 42743882.460000 1.0956428 Long DBT CORP GB N 2 2019-10-21 Fixed 6.4 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780099CE5 180000.000000 PA USD 194885.350000 0.0049954 Long DBT CORP GB N 2 2022-12-15 Fixed 6.125 N N N N N N SALOMON BROTHERS MTGE SEC VII 2002-1 N/A 79549AQP7 68166.820000 PA USD 67953.170000 0.0017418 Long ABS-MBS CORP US N 2 2032-05-25 Floating 2.51838 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAF2 7700000.000000 PA USD 8473234.000000 0.2171922 Long DBT CORP KY N 2 2025-08-08 Fixed 5.125 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 1500000.000000 PA USD 1693314.110000 0.0434043 Long DBT CORP KY N 2 2028-08-08 Fixed 5.4 N N N N N N SANTANDER HOLDINGS USA INC 549300SMVCQN2P0O6I58 80282KAU0 2400000.000000 PA USD 2507419.320000 0.0642720 Long DBT CORP US N 2 2021-12-03 Fixed 4.45 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAG0 650000.000000 PA USD 669811.540000 0.0171691 Long DBT CORP GB N 2 2028-11-03 Floating 3.823 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TAD1 1600000.000000 PA USD 1627880.000000 0.0417270 Long DBT NUSS SA N 2 2023-03-04 Fixed 2.875 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TAE9 4300000.000000 PA USD 4566230.200000 0.1170450 Long DBT NUSS SA N 2 2028-03-04 Fixed 3.625 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TAH2 13700000.000000 PA USD 15615808.000000 0.4002759 Long DBT NUSS SA N 2 2030-04-17 Fixed 4.5 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TAJ8 1400000.000000 PA USD 1688386.000000 0.0432780 Long DBT NUSS SA N 2 2049-04-17 Fixed 5 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TAC3 5100000.000000 PA USD 5699556.000000 0.1460952 Long DBT NUSS SA N 2 2046-10-26 Fixed 4.5 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TAF6 5500000.000000 PA USD 6260375.000000 0.1604706 Long DBT NUSS SA N 2 2047-10-04 Fixed 4.625 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI0QG399 600000.000000 PA USD 601536.000000 0.0154190 Long DBT NUSS SA N 2 2021-10-26 Fixed 2.375 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI0QG3C2 1600000.000000 PA USD 1655115.200000 0.0424251 Long DBT NUSS SA N 2 2026-10-26 Fixed 3.25 N N N N N N SAXON ASSET SECURITIES TRUST 2004-1 N/A 805564PN5 569751.720000 PA USD 557418.360000 0.0142882 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.81338 Y N N N N N SAXON ASSET SECURITIES TRUST 2006-3 N/A 80556AAC1 1918178.940000 PA USD 1889647.370000 0.0484368 Long ABS-MBS CORP US N 2 2046-10-25 Floating 2.18838 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAQ2 4700000.000000 PA USD 4891166.530000 0.1253740 Long DBT CORP US N 2 2025-05-14 Fixed 3.6 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAR0 4500000.000000 PA USD 4858765.470000 0.1245435 Long DBT CORP US N 2 2035-05-14 Fixed 4.5 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 ACI0PR4T1 3600000.000000 PA 4046440.600000 0.1037214 Long DBT CORP DE N 2 2026-09-15 Fixed 3.75 N N Y N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2004-OP1 N/A 81375WAB2 1412471.140000 PA USD 1405895.800000 0.0360370 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.78338 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-FR2 N/A 81376VAC1 3098568.650000 PA USD 2218715.520000 0.0568718 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.26838 N N N N N N SECURITIZED ASSET SALES,INC.-1993-6 N/A 81375FDN0 23076.960000 PA USD 21290.200000 0.0005457 Long ABS-MBS CORP US N 2 2023-11-26 Floating 4.36144 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAL3 500000.000000 PA USD 509936.790000 0.0130711 Long DBT CORP US N 2 2022-11-06 Fixed 2.9 N N N N N N SEQUOIA MORTGAGE TRUST N/A 81743TAA6 17909.230000 PA USD 17948.680000 0.0004601 Long ABS-MBS CORP US N 2 2024-11-22 Floating 2.89 N N N N N N SEQUOIA MORTGAGE TRUST 2007-1 N/A 81744HAH6 87584.640000 PA USD 72021.470000 0.0018461 Long ABS-MBS CORP US N 2 2046-09-20 Floating 3.78626 Y N N N N N SG MORTGAGE SECURITIES TRUST 2006-FRE1 N/A 81879MAW9 6429308.760000 PA USD 4322216.610000 0.1107903 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.28838 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-OPT2 N/A 78420MAE9 5100000.000000 PA USD 4750482.210000 0.1217679 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.16838 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-OPT2 N/A 78420MAF6 2300000.000000 PA USD 1898793.750000 0.0486713 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.22838 N N N N N N SIERRA MADRE FUNDING LTD 2004-1A N/A 82639RAB3 26966762.200000 PA USD 24957738.420000 0.6397352 Long ABS-CBDO CORP KY N 2 2039-09-07 Floating 2.42213 N N N N N N SIERRA MADRE FUNDING LTD 2004-1A N/A 82639RAA5 62936179.180000 PA USD 58247433.830000 1.4930413 Long ABS-CBDO CORP KY N 2 2039-09-07 Floating 2.44213 N N N N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 00080QAF2 1400000.000000 PA USD 1510223.010000 0.0387112 Long DBT CORP NL N 2 2025-07-28 Fixed 4.75 N N N N N N SLC STUDENT LOAN TRUST 2007-2 N/A 784422AB3 15150.190000 PA USD 15155.250000 0.0003885 Long ABS-O CORP US N 2 2028-05-15 Floating 2.55813 N N N N N N SLM STUDENT LOAN TR 2003-2 N/A 99PFQNII6 591370.590000 PA 644979.960000 0.0165326 Long ABS-O CORP US N 2 2023-12-15 Floating 0 N N N N N N SLM STUDENT LOAN TRUST 2007-2 N/A 78443XAE8 128000.000000 PA USD 117385.250000 0.0030089 Long ABS-O CORP US N 2 2025-07-25 Floating 2.4455 N N N N N N SLM STUDENT LOAN TRUST 2008-9 N/A 78445JAA5 3683177.570000 PA USD 3706990.050000 0.0950203 Long ABS-O CORP US N 2 2023-04-25 Floating 3.7755 N N N N N N SLM STUDENT LOAN TRUST 2010-A N/A 78445MAB6 123785.530000 PA USD 124208.060000 0.0031838 Long ABS-O CORP US N 2 2044-05-16 Floating 5.2775 N N N N N N SLM STUDENT LOAN TRUST 2013-1 N/A 78447MAD0 141000.000000 PA USD 140975.310000 0.0036136 Long ABS-O CORP US N 2 2070-11-25 Floating 3.81838 N N N N N N SLM STUDENT LOAN TRUST 2013-2 N/A 78446CAB7 103000.000000 PA USD 100605.450000 0.0025788 Long ABS-O CORP US N 2 2043-06-25 Floating 3.51838 N N N N N N SLM STUDENT LOAN TRUST 2013-3 N/A 78447YAD4 104000.000000 PA USD 101556.670000 0.0026032 Long ABS-O CORP US N 2 2076-09-25 Floating 3.51838 N N N N N N SLM STUDENT LOAN TRUST 2013-B N/A 78447VAB4 11991.530000 PA USD 11989.120000 0.0003073 Long ABS-O CORP US N 2 2030-06-17 Fixed 1.85 N N N N N N SMALL BUS ADMINISTRATION SERIES 1999-20L N/A 83162CKK8 2843.680000 PA USD 2852.140000 0.0000731 Long ABS-O CORP US N 2 2019-12-01 Fixed 7.19 N N N N N N SMALL BUSINESS ADMIN PART CERT 1999-20J N/A 83162CKG7 9984.190000 PA USD 9984.710000 0.0002559 Long ABS-O CORP US N 2 2019-10-01 Fixed 7.2 N N N N N N SMALL BUSINESS ADMIN PART CERT 2004-20C N/A 83162CNQ2 29830.850000 PA USD 30821.360000 0.0007900 Long ABS-O CORP US N 2 2024-03-01 Fixed 4.34 N N N N N N SMALL BUSINESS ADMIN PART CERT 2005-20I N/A 83162CPU1 32876.310000 PA USD 34413.810000 0.0008821 Long ABS-O CORP US N 2 2025-09-01 Fixed 4.76 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20I N/A 83162CSA2 131261.650000 PA USD 143148.260000 0.0036693 Long ABS-O CORP US N 2 2028-09-01 Fixed 5.6 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20L N/A 83162CSE4 127456.850000 PA USD 140389.600000 0.0035986 Long ABS-O CORP US N 2 2028-12-01 Fixed 6.22 N N N N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 78448TAD4 1500000.000000 PA USD 1577714.220000 0.0404411 Long DBT CORP IE N 2 2023-07-15 Fixed 4.125 N N N N N N SOUND POINT CLO XIV LTD 2016-3A N/A 83609NAL4 10600000.000000 PA USD 10594374.260000 0.2715628 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 3.30117 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-WF1 N/A 83612LAU3 5895099.580000 PA USD 5884270.870000 0.1508300 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.29838 N N N N N N ACE SECURITIES CORP 2003-HE1 N/A 004421DA8 230638.120000 PA USD 229559.910000 0.0058842 Long ABS-MBS CORP US N 2 2033-11-25 Floating 2.99338 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT4 N/A 83613AAQ5 2957641.930000 PA USD 2838281.260000 0.0727529 Long ABS-MBS CORP US N 2 2037-09-25 Floating 2.96838 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1 N/A 83612NAC9 4888928.480000 PA USD 1825133.800000 0.0467832 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.12838 N N N N N N SOUNDVIEW HOME LOAN TRUST 2005-3 N/A 83611MFP8 24727.070000 PA USD 24734.560000 0.0006340 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.84338 N N N N N N SOUTH AFRICA GOVT N/A 836205BA1 10000000.000000 PA USD 9977890.000000 0.2557607 Long DBT NUSS ZA N 2 2029-09-30 Fixed 4.85 N N N N N N ACE SECURITIES CORP 2006-FM2 N/A 00442CAC3 3240187.350000 PA USD 1136030.750000 0.0291196 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.13838 Y N N N N N SPECIALTY UNDERWRITING & RESID 2007-AB1 N/A 84752CAB3 1348007.300000 PA USD 694004.570000 0.0177892 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.13838 N N N N N N ACE SECURITIES CORP 2006-FM2 N/A 00442CAD1 1737366.010000 PA USD 616101.430000 0.0157924 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.17838 Y N N N N N SPECIALTY UNDERWRITING & RESIDL 2006-BC4 N/A 84751YAD2 5071437.840000 PA USD 2590057.860000 0.0663903 Long ABS-MBS CORP US N 2 2037-09-25 Floating 2.16838 N N N N N N SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I) N/A 00846NAA5 6600000.000000 PA USD 3597000.000000 0.0922010 Long DBT CORP US N 2 2067-01-15 Floating 4.05338 N N N N N N SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP) 5493008I795YYBFWFU90 85172FAL3 2400000.000000 PA USD 2568000.000000 0.0658249 Long DBT CORP US N 2 2023-03-15 Fixed 5.625 N N N N N N SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP) 5493008I795YYBFWFU90 85172FAP4 9700000.000000 PA USD 10463875.000000 0.2682178 Long DBT CORP US N 2 2024-03-15 Fixed 6.125 N N N N N N SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP) 5493008I795YYBFWFU90 85172FAK5 950000.000000 PA USD 1021250.000000 0.0261774 Long DBT CORP US N 2 2022-05-15 Fixed 6.125 N N N N N N ACE SECURITIES CORP 2006-NC3 N/A 00442EAH8 5724947.920000 PA USD 2109172.150000 0.0540639 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.21838 N N N N N N SPRINT CORP (SPRINT COMMUNICATIONS INC) 549300JKU50UT08ZWD77 852061AR1 4900000.000000 PA USD 5070079.000000 0.1299600 Long DBT CORP US N 2 2020-08-15 Fixed 7 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAK1 6600000.000000 PA USD 7301250.000000 0.1871510 Long DBT CORP US N 2 2026-03-01 Fixed 7.625 N N N N N N SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC / SPRINT SPECTRUM CO III LLC N/A 85208NAD2 5600000.000000 PA USD 5966856.000000 0.1529469 Long DBT CORP US N 2 2029-09-20 Fixed 4.738 N N N N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 BJBQCWII7 3400000.000000 PA 4671200.130000 0.1197357 Long DBT CORP NL N 2 2049-12-29 Variable 6.5 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 18264.280000 PA USD 17905.890000 0.0004590 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.84605 Y N N N N N STRUCTURED ADJ RATE MTG LN 2006-3 N/A 863579Y69 538520.650000 PA USD 454139.260000 0.0116408 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.0319 Y N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-8 N/A 86361JAB6 404552.600000 PA USD 317618.410000 0.0081414 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.72047 Y N N N N N STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN 2006-9 N/A 86361PAA4 456674.790000 PA USD 368481.710000 0.0094452 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.98472 Y N N N N N STRUCTURED ADJUSTABLE RT MTG LN 2004-20 N/A 863579GY8 144768.380000 PA USD 144957.100000 0.0037156 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.11975 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2004-2 N/A 86359BLE9 12704.050000 PA USD 12838.760000 0.0003291 Long ABS-MBS CORP US N 2 2034-03-25 Floating 4.12216 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-5 N/A 86363XAA5 2413292.220000 PA USD 2352985.250000 0.0603135 Long ABS-MBS CORP US N 2 2037-06-25 Floating 2.23838 N N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 4411743.120000 PA USD 4300281.310000 0.1102280 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.33838 N N N N N N STRUCTURED ASSEET MTGE INV INC 2002-AR3 N/A 86358HNX3 2357.750000 PA USD 2338.310000 0.0000599 Long ABS-MBS CORP US N 2 2032-09-19 Floating 2.717 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC2 N/A 86358EAN6 35907.410000 PA USD 36456.270000 0.0009345 Long ABS-MBS CORP US N 2 2033-04-25 Floating 3.39838 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPR1 1712587.210000 PA USD 1682293.430000 0.0431218 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.99338 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPS9 605777.310000 PA USD 538356.050000 0.0137995 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.14338 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPT7 684250.040000 PA USD 361782.700000 0.0092735 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.59338 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPU4 507340.430000 PA USD 74813.890000 0.0019177 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.74338 Y N N N N N STRUCTURED ASSET INVST LN TR 2005-8 N/A 86358EXQ4 1000000.000000 PA USD 991669.400000 0.0254192 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.73838 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR1 N/A 86359LAQ2 2989.680000 PA USD 3010.460000 0.0000772 Long ABS-MBS CORP US N 2 2034-03-19 Floating 2.757 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR3 N/A 86359LBY4 8340.400000 PA USD 8417.490000 0.0002158 Long ABS-MBS CORP US N 2 2034-07-19 Floating 2.637 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR2 N/A 86359LJA8 58557.150000 PA USD 58650.030000 0.0015034 Long ABS-MBS CORP US N 2 2045-05-25 Floating 2.47838 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPD5 2820.800000 PA USD 2810.310000 0.0000720 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-AR5 N/A 86359LPE3 302008.430000 PA USD 299178.940000 0.0076688 Long ABS-MBS CORP US N 2 2035-07-19 Floating 2.307 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-5 N/A 007036LJ3 8127.850000 PA USD 7856.970000 0.0002014 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.60243 Y N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 425239.300000 PA USD 411973.530000 0.0105600 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.29838 Y N N N N N STRUCTURED ASSET MTG INV INC 2006-AR7 N/A 86361HAP9 763651.850000 PA USD 674880.610000 0.0172990 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.31838 Y N N N N N STRUCTURED ASSET MTG INV INC 2006-AR7 N/A 86361HAA2 1353555.030000 PA USD 1283739.470000 0.0329058 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.22838 Y N N N N N STRUCTURED ASSET MTG INV INC 2006-AR7 N/A 86361HAB0 275467.380000 PA USD 253656.420000 0.0065019 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.13838 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-7 N/A 007036MX1 874145.540000 PA USD 841682.480000 0.0215746 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.30557 Y N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 229897.900000 PA USD 219180.150000 0.0056182 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.22838 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR6 N/A 86360UAA4 2984905.200000 PA USD 2816415.960000 0.0721925 Long ABS-MBS CORP US N 2 2046-07-25 Floating 2.19838 N N N N N N STRUCTURED ASSET SEC CORP 2003-6A N/A 86359AMR1 72257.670000 PA USD 74063.820000 0.0018985 Long ABS-MBS CORP US N 2 2033-03-25 Floating 4.57392 N N N N N N STRUCTURED ASSET SEC CORP 2005-AR1 N/A 86359DVX2 11700000.000000 PA USD 11449766.250000 0.2934889 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.47838 N N N N N N STRUCTURED ASSET SEC CORP 2007-GEL2 N/A 86363MAB7 527649.980000 PA USD 527497.810000 0.0135212 Long ABS-MBS CORP US N 2 2037-05-25 Floating 2.33838 N N N N N N ADJUSTABLE RATE MORTGAGE TRUST 2006-1 N/A 225470B93 307786.100000 PA USD 219078.790000 0.0056156 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.27838 N N N N N N TALON FUNDING LTD 1A N/A 87483UAA4 1550863.270000 PA USD 410978.770000 0.0105345 Long ABS-CBDO CORP KY N 2 2035-06-05 Floating 2.61663 N N N N N N AEGIS ASSET BACKED SEC TR 2004-6 N/A 00764MDY0 400058.670000 PA USD 389681.670000 0.0099886 Long ABS-MBS CORP US N 2 2035-03-25 Floating 3.01838 Y N N N N N TEVA PHARMACEUTICAL FINANCE NETHERLANDS II BV 549300HSQCIKJAOYIT23 933THVII5 2100000.000000 PA 2133694.830000 0.0546924 Long DBT CORP NL N 2 2022-04-15 Fixed 3.25 N N N N N N TEVA PHARMACEUTICAL FINANCE NETHERLANDS II BV 549300HSQCIKJAOYIT23 ACI0NSTF4 400000.000000 PA 328167.480000 0.0084118 Long DBT CORP NL N 2 2024-10-15 Fixed 1.125 N N N N N N TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV 5493004T21MOAFINJP35 88167AAL5 1700000.000000 PA USD 1471562.500000 0.0377202 Long DBT CORP NL N 2 2024-04-15 Fixed 6 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2003-5 N/A 885220EB5 97856.860000 PA USD 97771.230000 0.0025061 Long ABS-MBS CORP US N 2 2043-10-25 Floating 3.94826 N N N N N N THORNBURG MORTGAGE SECURITIES TRUST 2007-2 N/A 88522WAB9 20855520.180000 PA USD 19825889.410000 0.5081919 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.28338 N N N N N N TIAAS SEASONED COMMERCIAL MTG TR 2007-C4 N/A 87246AAE8 62852.930000 PA USD 62992.090000 0.0016147 Long ABS-MBS CORP US N 2 2039-08-15 Variable 5.48345 N N N N N N TOBACCO SETTLEMENT FINANCE AUTHORITY N/A 88880LAA1 5120000.000000 PA USD 5302886.400000 0.1359275 Long DBT MUN US N 2 2047-06-01 Fixed 7.467 N N N N N N TOBACCO SETTLEMENT FINANCE AUTHORITY N/A 88880LAB9 34905000.000000 PA USD 2277900.300000 0.0583888 Long DBT MUN US N 2 2047-06-01 None 0 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89114QBH0 13300000.000000 PA USD 13471572.530000 0.3453133 Long DBT CORP CA N 2 2021-04-07 Floating 3.30263 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 23500170.800000 PA 28966291.000000 0.7424854 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.79763 N N N N N N TRANSOCEAN INC DOL4HJ22ADYSIWES4H94 893830BF5 600000.000000 PA USD 535500.000000 0.0137263 Long DBT CORP KY N 2 2026-01-15 Fixed 7.5 N N N N N N TRANSOCEAN INC DOL4HJ22ADYSIWES4H94 893830BK4 7375000.000000 PA USD 6526875.000000 0.1673017 Long DBT CORP KY N 2 2025-11-01 Fixed 7.25 N N N N N N TRANSOCEAN PROTEUS LIMITED 5493000CTMQ2LH21VM89 893829AA9 1912500.000000 PA USD 1950750.000000 0.0500031 Long DBT CORP KY N 2 2024-12-01 Fixed 6.25 N N N N N N TRIAXX PRIME CDO 2007-1A N/A 896006AB9 6325553.090000 PA USD 3317752.600000 0.0850431 Long ABS-CBDO CORP KY N 2 2039-10-02 Floating 2.27563 N N N N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 900123CF5 5200000.000000 PA USD 5193427.200000 0.1331218 Long DBT NUSS TR N 2 2024-03-22 Fixed 5.75 N N N N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 900123CV0 1100000.000000 PA USD 1122016.500000 0.0287604 Long DBT NUSS TR N 2 2024-08-10 Fixed 6.35 N N N N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 900123CR9 7000000.000000 PA USD 7414477.000000 0.1900534 Long DBT NUSS TR N 2 2023-12-23 Fixed 7.25 N N N N N N UBS AG/STAMFORD CT BRANCH BFM8T61CT2L1QCEMIK50 90261AAB8 35100000.000000 PA USD 39631234.500000 1.0158571 Long DBT CORP CH N 2 2022-08-17 Fixed 7.625 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AA6 5000000.000000 PA USD 5041817.750000 0.1292356 Long DBT CORP CH N 2 2030-08-13 Floating 3.126 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAG0 2800000.000000 PA USD 2989578.230000 0.0766311 Long DBT CORP IE N 2 2025-10-01 Fixed 4.45 N N N N N N UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C5 N/A 90270YBF5 86000.000000 PA USD 88476.510000 0.0022679 Long ABS-MBS CORP US N 2 2046-03-10 Fixed 3.1847 N N N N N N UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C6 N/A 90349GBF1 40000.000000 PA USD 41287.280000 0.0010583 Long ABS-MBS CORP US N 2 2046-04-10 Fixed 3.2443 N N N N N N UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 2011-C1 N/A 90268TAE4 21746742.340000 PA USD 720528.290000 0.0184691 Long ABS-MBS CORP US N 2 2045-01-10 Variable 2.3675 N N N N N N UMBS PASS THRU POOLS N/A 01F0306B9 183200000.000000 PA USD 185890748.170000 4.7648892 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 215100000.000000 PA USD 220742171.950000 5.6582266 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 28000000.000000 PA USD 28731759.000000 0.7364737 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 406700000.000000 PA USD 422110119.220000 10.8198388 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 272700000.000000 PA USD 283171251.860000 7.2584550 Long ABS-MBS USGSE US N 2 2049-11-13 Fixed 4 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AL3 6700000.000000 PA USD 7022818.800000 0.1800141 Long DBT CORP IT N 2 2022-01-14 Floating 6.20338 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 14700000.000000 PA USD 17246830.860000 0.4420835 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNIGEL LUXEMBOURG SA N/A 904752AB8 3700000.000000 PA USD 3700000.000000 0.0948411 Long DBT CORP LU N 2 2026-10-01 Fixed 8.75 N N N N N N UNIGEL LUXEMBOURG SA N/A L9467UAA5 4000000.000000 PA USD 4405000.000000 0.1129122 Long DBT CORP LU N 2 2024-01-22 Fixed 10.5 N N N N N N AIA GROUP LIMITED ZP5ILWVSYE4LJGMMVD57 00131LAF2 2800000.000000 PA USD 3049274.730000 0.0781613 Long DBT CORP HK N 2 2028-04-06 Fixed 3.9 N N N N N N AIA GROUP LIMITED ZP5ILWVSYE4LJGMMVD57 00131LAG0 1900000.000000 PA USD 1900000.000000 0.0487022 Long DBT CORP HK N 2 2021-09-20 Floating 2.67588 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 38669526.000000 PA USD 38811067.290000 0.9948340 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FR4 20416050.000000 PA USD 22749594.100000 0.5831344 Long DBT UST US N 2 2025-01-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N71 19594940.040000 PA USD 20118841.920000 0.5157010 Long DBT UST US N 2 2026-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PS1 52796300.000000 PA USD 61064808.270000 1.5652583 Long DBT UST US N 2 2027-01-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PV4 15063072.000000 PA USD 16959017.640000 0.4347061 Long DBT UST US N 2 2028-01-15 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285W6 114814780.000000 PA USD 122114979.270000 3.1301415 Long DBT UST US N 2 2029-01-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PZ5 6859070.400000 PA USD 8300186.950000 0.2127565 Long DBT UST US N 2 2029-01-15 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Q60 79238268.000000 PA USD 78421825.410000 2.0101662 Long DBT UST US N 2 2021-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828S50 52445.680000 PA USD 52407.640000 0.0013434 Long DBT UST US N 2 2026-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282L3 26849280.000000 PA USD 27320043.190000 0.7002876 Long DBT UST US N 2 2027-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Y38 4803729.000000 PA USD 5053071.550000 0.1295241 Long DBT UST US N 2 2028-07-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128287D6 15947382.000000 PA USD 16128841.840000 0.4134264 Long DBT UST US N 2 2029-07-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828P38 700000.000000 PA USD 703869.140000 0.0180421 Long DBT UST US N 2 2023-01-31 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828V80 9520000.000000 PA USD 9792584.350000 0.2510108 Long DBT UST US N 2 2024-01-31 Fixed 2.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828J27 2400000.000000 PA USD 2451468.740000 0.0628379 Long DBT UST US N 2 2025-02-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828P46 7210000.000000 PA USD 7214365.440000 0.1849240 Long DBT UST US N 2 2026-02-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286B1 3310000.000000 PA USD 3583915.440000 0.0918656 Long DBT UST US N 2 2029-02-15 Fixed 2.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RK6 20000.000000 PA USD 21543.360000 0.0005522 Long DBT UST US N 2 2045-02-15 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X70 40000.000000 PA USD 40774.220000 0.0010452 Long DBT UST US N 2 2024-04-30 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XT2 158100000.000000 PA USD 161302143.170000 4.1346159 Long DBT UST US N 2 2024-05-31 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828WJ5 18400000.000000 PA USD 19164750.000000 0.4912450 Long DBT UST US N 2 2024-05-15 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XB1 1485000.000000 PA USD 1527548.720000 0.0391553 Long DBT UST US N 2 2025-05-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286T2 550000.000000 PA USD 584310.550000 0.0149775 Long DBT UST US N 2 2029-05-15 Fixed 2.375 N N N N N N AIRCRAFT CERTIFICATE OWNER TRUST 2003-1 N/A 009325AE1 448581.750000 PA USD 464865.270000 0.0119158 Long ABS-O CORP US N 2 2022-09-20 Fixed 7.001 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828S35 2000.000000 PA USD 1985.820000 0.0000509 Long DBT UST US N 2 2023-06-30 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YE4 83300000.000000 PA USD 82154625.000000 2.1058481 Long DBT UST US N 2 2024-08-31 Fixed 1.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828D56 61170000.000000 PA USD 63478212.020000 1.6271205 Long DBT UST US N 2 2024-08-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828G38 18700000.000000 PA USD 19320898.340000 0.4952476 Long DBT UST US N 2 2024-11-15 Fixed 2.25 N N N N N N UNITED TECHNOLOGIES CORPORATION I07WOS4YJ0N7YRFE7309 913017CY3 2900000.000000 PA USD 3284483.130000 0.0841903 Long DBT CORP US N 2 2028-11-16 Fixed 4.125 N N N N N N VALE OVERSEAS LTD 254900BA3U6G5DNV5V04 91911TAP8 700000.000000 PA USD 810250.000000 0.0207689 Long DBT CORP KY N 2 2026-08-10 Fixed 6.25 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VDY7 7400000.000000 PA USD 8174140.050000 0.2095256 Long DBT CORP US N 2 2027-03-16 Fixed 4.125 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VEP5 3000000.000000 PA USD 3048803.070000 0.0781492 Long DBT CORP US N 2 2025-05-15 Floating 3.25813 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VER1 7144000.000000 PA USD 8110267.440000 0.2078884 Long DBT CORP US N 2 2028-09-21 Fixed 4.329 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VEU4 1362000.000000 PA USD 1515526.890000 0.0388471 Long DBT CORP US N 2 2029-12-03 Fixed 4.016 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AN2 700000.000000 PA USD 711515.920000 0.0182381 Long DBT CORP US N 2 2020-11-13 Fixed 3.875 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AV4 12000000.000000 PA USD 12042562.800000 0.3086839 Long DBT CORP US N 2 2020-11-13 Floating 2.94563 N N N N N N WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP) 06BTX5UWZD0GQ5N5Y745 960386AP5 2800000.000000 PA USD 2800098.620000 0.0717742 Long DBT CORP US N 2 2021-09-15 Floating 3.4185 N N N N N N WACHOVIA MORTGAGE LN TRUST LLC 2005-B N/A 92977YBR1 1101851.240000 PA USD 1033824.820000 0.0264998 Long ABS-MBS CORP US N 2 2035-10-20 Floating 4.50535 Y N N N N N WACHOVIA MORTGAGE LN TRUST LLC 2007-A N/A 92979DAE5 264493.260000 PA USD 260913.930000 0.0066879 Long ABS-MBS CORP US N 2 2037-03-20 Floating 4.57306 Y N N N N N WACHOVIA MTGE LOAN TRUST 2006-A N/A 92977TAC6 531371.050000 PA USD 527447.030000 0.0135199 Long ABS-MBS CORP US N 2 2036-05-20 Floating 4.84681 Y N N N N N WAMU MTGE P/T CERT 2007-HY3 N/A 933634AC1 28469030.370000 PA USD 26680944.660000 0.6839057 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.69856 Y N N N N N WAMU MTGE P/T CERT 2007-HY5 N/A 92990GAD5 76757.350000 PA USD 69407.660000 0.0017791 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.69283 Y N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAC8 1731847.840000 PA USD 1637391.650000 0.0419708 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.7199 Y N N N N N WAMU MTGE P/T CERT 2007-HY7 N/A 93364FAD3 388704.160000 PA USD 356296.110000 0.0091328 Long ABS-MBS CORP US N 2 2037-07-25 Floating 3.59838 Y N N N N N WAMU MTGE P/T CERT 2007-OA5 N/A 93364BAB6 91195.200000 PA USD 32535.320000 0.0008340 Long ABS-MBS CORP US N 2 2047-06-25 Floating 3.19605 Y N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KL0 8200358.510000 PA 10083289.300000 0.2584623 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 1.565 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KJ5 910000.000000 PA 1120710.380000 0.0287269 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 2.265 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KH9 455000.000000 PA 562946.320000 0.0144299 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 2.765 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JX6 260000.000000 PA 322653.750000 0.0082705 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 3.265 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JP3 260000.000000 PA 318271.700000 0.0081582 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 3.765 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0Q6 71.000000 PA 119184.580000 0.0030550 Long ABS-MBS CORP GB N 2 2049-12-21 Variable 0 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0R4 71.000000 PA 451964.090000 0.0115851 Long ABS-MBS CORP GB N 2 2049-12-21 Fixed 0 N N N N N N WASHINGTON MUTUAL 2002-AR15 N/A 939336DN0 3324240.160000 PA USD 3501616.960000 0.0897560 Long ABS-MBS CORP US N 2 2032-12-25 Floating 4.61688 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 14921.860000 PA USD 14735.800000 0.0003777 Long ABS-MBS CORP US N 2 2042-11-25 Floating 3.64605 N N N N N N WASHINGTON MUTUAL 2002-AR6 N/A 929227QB5 264802.120000 PA USD 264344.990000 0.0067759 Long ABS-MBS CORP US N 2 2042-06-25 Floating 3.84605 N N N N N N WASHINGTON MUTUAL 2002-AR9 N/A 9393357P4 151237.810000 PA USD 148581.450000 0.0038085 Long ABS-MBS CORP US N 2 2042-08-25 Floating 3.84605 N N N N N N WASHINGTON MUTUAL 2003-AR1 N/A 939336PB3 58053.770000 PA USD 59840.540000 0.0015339 Long ABS-MBS CORP US N 2 2033-03-25 Floating 4.51857 N N N N N N WASHINGTON MUTUAL 2003-AR5 N/A 929227R65 80952.340000 PA USD 83786.500000 0.0021477 Long ABS-MBS CORP US N 2 2033-06-25 Floating 4.68389 N N N N N N WASHINGTON MUTUAL 2003-AR9 N/A 92922FBX5 13723.050000 PA USD 14165.340000 0.0003631 Long ABS-MBS CORP US N 2 2033-09-25 Floating 4.40118 N N N N N N WASHINGTON MUTUAL 2004-AR1 N/A 92922FLD8 3020.600000 PA USD 3105.570000 0.0000796 Long ABS-MBS CORP US N 2 2034-03-25 Floating 4.86325 N N N N N N WASHINGTON MUTUAL 2004-AR11 N/A 92922FYA0 210861.440000 PA USD 214388.350000 0.0054954 Long ABS-MBS CORP US N 2 2034-10-25 Floating 4.16729 N N N N N N WASHINGTON MUTUAL 2005-AR17 N/A 92922F7Q5 617777.210000 PA USD 608123.270000 0.0155879 Long ABS-MBS CORP US N 2 2045-12-25 Floating 2.30838 N N N N N N WASHINGTON MUTUAL 2005-AR18 N/A 92922F8M3 948169.420000 PA USD 982404.970000 0.0251817 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.25935 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 6890.890000 PA USD 6869.270000 0.0001761 Long ABS-MBS CORP US N 2 2045-12-25 Floating 2.28838 N N N N N N WASHINGTON MUTUAL 2005-AR3 N/A 939336Z30 230229.600000 PA USD 229557.930000 0.0058842 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.42253 N N N N N N WASHINGTON MUTUAL 2005-AR7 N/A 92922FQ50 464203.280000 PA USD 473626.840000 0.0121404 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.27027 N N N N N N WASHINGTON MUTUAL 2006-AR12 N/A 93363NAH8 43345.390000 PA USD 40842.100000 0.0010469 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.30306 Y N N N N N WASHINGTON MUTUAL 2006-AR12 N/A 93363NAM7 1050910.150000 PA USD 980714.710000 0.0251384 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.72395 Y N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAB6 355799.140000 PA USD 359090.990000 0.0092045 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.2925 N N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAD2 490347.480000 PA USD 497512.340000 0.0127526 Long ABS-MBS CORP US N 2 2046-12-25 Floating 2.641 N N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AB4 161604.830000 PA USD 166950.720000 0.0042794 Long ABS-MBS CORP US N 2 2047-01-25 Floating 3.17605 N N N N N N WASHINGTON MUTUAL 2006-AR4 N/A 93934FPT3 154022.350000 PA USD 148646.620000 0.0038102 Long ABS-MBS CORP US N 2 2046-05-25 Floating 2.641 N N N N N N WASHINGTON MUTUAL 2006-AR5 N/A 93362YAB8 913896.740000 PA USD 914801.130000 0.0234489 Long ABS-MBS CORP US N 2 2046-06-25 Floating 3.42605 N N N N N N WASHINGTON MUTUAL ASSET BACKED 2006-HE2 N/A 93934JAD6 2044019.200000 PA USD 1750476.990000 0.0448695 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.25838 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1 N/A 939336PM9 7443.240000 PA USD 7332.810000 0.0001880 Long ABS-MBS CORP US N 2 2033-02-25 Floating 3.82584 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3 N/A 939336G49 42653.590000 PA USD 43016.670000 0.0011026 Long ABS-MBS CORP US N 2 2033-06-25 Floating 4.26838 N N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AD5 4906422.040000 PA USD 3780216.640000 0.0968973 Long ABS-MBS CORP US N 2 2047-04-25 Floating 3.21605 Y N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746RG8 1300000.000000 PA USD 1396398.250000 0.0357935 Long DBT CORP US N 2 2024-06-15 Floating 5.9 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2A0 9900000.000000 PA USD 10496143.250000 0.2690449 Long DBT CORP US N 2 2028-05-22 Floating 3.584 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGM6 4800000.000000 PA USD 4823382.580000 0.1236365 Long DBT CORP US N 2 2020-07-22 Fixed 2.6 N N N N N N WELLS FARGO ALTERNATIVE LOAN TRUST 2007-PA2 N/A 94985FAL2 1790933.970000 PA USD 1283779.620000 0.0329068 Long ABS-MBS CORP US N 2 2037-06-25 Floating 2.36838 Y N N N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J5P8 1500000.000000 PA USD 1513813.650000 0.0388032 Long DBT CORP US N 2 2021-07-23 Floating 3.325 N N N N N N WELLS FARGO HOME EQUITY TRUST 2005-2 N/A 94981PAK6 3600000.000000 PA USD 3624725.880000 0.0929117 Long ABS-MBS CORP US N 2 2035-02-25 Floating 3.59338 N N N N N N WELLS FARGO MORTGAGE BACKED SEC 2005-AR2 N/A 94981UAE9 127664.270000 PA USD 131351.780000 0.0033669 Long ABS-MBS CORP US N 2 2035-03-25 Fixed 5.14315 N N N N N N WELLS FARGO MTGE BACKED SEC 2004-S N/A 94981WAH8 277713.740000 PA USD 278344.480000 0.0071347 Long ABS-MBS CORP US N 2 2034-09-25 Floating 4.92237 N N N N N N WELLS FARGO MTGE BACKED SEC 2007-2 N/A 94984XAG5 29902.530000 PA USD 29740.450000 0.0007623 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N WELLS FARGO MTGE BACKED SEC 2007-2 N/A 94984XAH3 670.300000 PA USD 662.170000 0.0000170 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 5.75 Y N N N N N WELLS FARGO MTGE BACKED SEC 2007-2 N/A 94984XAJ9 39870.020000 PA USD 39653.420000 0.0010164 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N WELLS FARGO MTGE BACKED SEC TR 2005-AR6 N/A 94981JAA2 23346.870000 PA USD 24381.890000 0.0006250 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.15452 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NAZ3 100000.000000 PA USD 100875.000000 0.0025857 Long DBT CORP US N 2 2020-03-30 Fixed 4.125 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR4 N/A 94983PAF5 121541.450000 PA USD 120821.570000 0.0030970 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.21988 Y N N N N N WELLS FARGO MTGE BK SEC TRUST 2003-M N/A 94980DAA6 1990.060000 PA USD 2078.600000 0.0000533 Long ABS-MBS CORP US N 2 2033-12-25 Floating 4.88653 N N N N N N WELLS FARGO MTGE BKD SEC TR 2005-AR9 N/A 94982HAC1 222342.650000 PA USD 228640.770000 0.0058607 Long ABS-MBS CORP US N 2 2033-10-25 Floating 4.65839 N N N N N N WMALT MTGE PASS-THRU CERT 2005-10 N/A 93934FFZ0 1081557.630000 PA USD 1061571.850000 0.0272110 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.75 Y N N N N N WMALT MTGE PASS-THRU CERT 2005-11 N/A 93934FHZ8 4371178.310000 PA USD 3282972.160000 0.0841516 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.71838 Y N N N N N WMALT MTGE PASS-THRU CERT 2005-8 N/A 93934FDF6 563393.770000 PA USD 464362.890000 0.0119029 Long ABS-MBS CORP US N 2 2035-10-25 Fixed 6 Y N N N N N WMALT MTGE PASS-THRU CERT 2005-9 N/A 93934FFK3 160394.560000 PA USD 143423.130000 0.0036763 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N ZAIS CLO 1 LTD 2014-1A N/A 98886MBA1 7300000.000000 PA USD 7309695.570000 0.1873675 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 3.45338 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAK8 3100000.000000 PA USD 3105534.930000 0.0796034 Long DBT CORP US N 2 2020-04-01 Fixed 2.7 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAL6 3000000.000000 PA USD 3059022.060000 0.0784111 Long DBT CORP US N 2 2022-04-01 Fixed 3.15 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAF9 1500000.000000 PA USD 1576059.890000 0.0403987 Long DBT CORP US N 2 2025-04-01 Fixed 3.55 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAC6 200000.000000 PA USD 204151.510000 0.0052330 Long DBT CORP US N 2 2021-11-30 Fixed 3.375 N N N N N N ALTICE FINANCING SA 549300DIYGW8HVDF7Q17 02154CAD5 700000.000000 PA USD 720125.000000 0.0184588 Long DBT CORP LU N 2 2023-02-15 Fixed 6.625 N N N N N N N/A N/A 000000000 3743000.000000 PA USD 3743000.000000 0.0959433 Long RA US N 2 Repurchase N 1.5000000 2019-10-01 3790000.000000 USD 3818277.190000 USD UST N N N N/A N/A 000000000 -4973918.000000 PA USD -4986663.660000 0.1278219 Short RA US N 2 Reverse repurchase N 2.2500000 2021-08-20 10600000.000000 USD 4332856.000000 USD N N N ALTICE FRANCE SA (AKA: SFR GROUP SA) 5493001ZMCICV4N02J21 ACI08B382 1020000.000000 PA 1146146.860000 0.0293789 Long DBT CORP FR N 2 2024-05-15 Fixed 5.625 N N N N N N AMAZONCOM INC ZXTILKJKG63JELOEG630 023135BJ4 6300000.000000 PA USD 7594225.510000 0.1946608 Long DBT CORP US N 2 2047-08-22 Fixed 4.05 N N N N N N N/A 549300KPBYGYF7HCHO27 000000000 1.000000 NC USD -674104.570000 0.0172791 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 ARGENTINA GOVT REPUBLIC OF ARGENTINA SR UNSECURED REGS Y Single Leg Swap 2022-06-21 93621.070000 USD 0.000000 USD 1150000.000000 USD -767725.640000 N N N N/A 549300KPBYGYF7HCHO27 000000000 1.000000 NC USD -3077433.870000 0.0788831 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 ARGENTINA GOVT REPUBLIC OF ARGENTINA SR UNSECURED REGS Y Single Leg Swap 2022-06-21 430967.110000 USD 0.000000 USD 5250000.000000 USD -3508400.980000 N N N N/A 549300Z40J86GGSTL398 000000000 1.000000 NC USD 28259.310000 0.0007244 N/A DCR US N 2 Credit Suisse International DL6FFRRLF74S01HE2M14 AT&T INC AT&T INC SR UNSEC SMR Y Single Leg Swap 2024-06-21 0.000000 USD -6546.920000 USD 2300000.000000 USD 34806.230000 N N N AMBAC ASSURANCE CORPORATION 549300RYYRVPPB8NC636 023138AA8 1187.060000 PA USD 1730.140000 0.0000443 Long DBT CORP US N 2 2020-06-07 Fixed 5.1 N N N N N N N/A N/A 000000000 1.000000 NC USD -39944.550000 0.0010239 N/A DFE AU N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 37501025.240000 USD 55502000.000000 AUD 2019-10-02 -39944.550000 N N N N/A N/A 000000000 1.000000 NC USD -88793.920000 0.0022760 N/A DFE BR N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 6594000.000000 USD 27028806.000000 BRL 2019-10-02 -88793.920000 N N N N/A N/A 000000000 1.000000 NC USD -8678.110000 0.0002224 N/A DFE DK N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 1133357.850000 USD 7704000.000000 DKK 2019-10-01 -8678.110000 N N N N/A N/A 000000000 1.000000 NC USD -4212.670000 0.0001080 N/A DFE GB N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 1216548.490000 USD 986000.000000 GBP 2019-10-02 -4212.670000 N N N N/A N/A 000000000 1.000000 NC USD -254211.650000 0.0065161 N/A DFE GB N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 119554942.250000 USD 97028000.000000 GBP 2019-10-02 -254211.650000 N N N AMBAC LSNI LLC N/A 02315QAA6 5064.710000 PA USD 5128.020000 0.0001314 Long DBT CORP KY N 2 2023-02-12 Floating 7.10438 N N N N N N N/A N/A 000000000 1.000000 NC USD -75465.450000 0.0019344 N/A DFE NZ N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 13412525.290000 USD 21298404.320000 NZD 2019-10-02 -75465.450000 N N N N/A N/A 000000000 1.000000 NC 38290.590000 0.0009815 N/A DFE AU N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 55502000.000000 AUD 37542662.840000 USD 2019-11-04 38290.590000 N N N N/A N/A 000000000 1.000000 NC 3381340.580000 0.0866730 N/A DFE DK N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 450008000.000000 DKK 69076418.650000 USD 2019-10-01 3381340.580000 N N N N/A N/A 000000000 1.000000 NC 9098.300000 0.0002332 N/A DFE DK N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 7704000.000000 DKK 1142602.890000 USD 2020-01-02 9098.300000 N N N N/A N/A 000000000 1.000000 NC 255715.630000 0.0065547 N/A DFE GB N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 97028000.000000 GBP 119716542.380000 USD 2019-11-04 255715.630000 N N N N/A N/A 000000000 1.000000 NC 75652.870000 0.0019392 N/A DFE NZ N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 21298404.320000 NZD 13422509.980000 USD 2019-11-04 75652.870000 N N N N/A N/A 000000000 1.000000 NC -58472.880000 0.0014988 N/A DFE TW N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 130162000.000000 TWD 4150309.290000 USD 2019-11-21 -58472.880000 N N N N/A N/A 000000000 1.000000 NC USD -632772.790000 0.0162197 N/A DFE N/A N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 200562362.000000 USD 183430000.000000 EUR 2019-10-02 -632772.790000 N N N N/A N/A 000000000 1.000000 NC USD -65404.110000 0.0016765 N/A DFE JP N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 5558120.870000 USD 593900000.000000 JPY 2019-10-02 -65404.110000 N N N N/A N/A 000000000 1.000000 NC USD -32809.330000 0.0008410 N/A DFE JP N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 7526913.380000 USD 810300000.000000 JPY 2019-10-02 -32809.330000 N N N N/A N/A 000000000 1.000000 NC USD -111754.740000 0.0028646 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 9736841.210000 USD 190167646.000000 MXN 2019-10-09 -111754.740000 N N N N/A N/A 000000000 1.000000 NC 625068.730000 0.0160222 N/A DFE N/A N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 183430000.000000 EUR 201051753.240000 USD 2019-11-04 625068.730000 N N N N/A N/A 000000000 1.000000 NC 112107.610000 0.0028736 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 190167646.000000 MXN 9726084.660000 USD 2019-10-16 112107.610000 N N N N/A 5493000C01ZX7D35SD85 000000000 1.000000 NC USD 68496.110000 0.0017557 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BERKSHIRE HATHAWAY INC BERKSHIRE HATHAWAY INC SR UNSEC Y Single Leg Swap 2023-03-21 0.000000 USD -10101.050000 USD 3000000.000000 USD 78597.160000 N N N N/A 5493000C01ZX7D35SD85 000000000 1.000000 NC USD 327220.310000 0.0083876 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BERKSHIRE HATHAWAY INC BERKSHIRE HATHAWAY INC SR UNSEC Y Single Leg Swap 2020-09-21 492455.280000 USD 0.000000 USD 36400000.000000 USD -165234.970000 N N N N/A N/A 000000000 1.000000 NC USD -11198.030000 0.0002870 N/A DFE N/A N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 1376905.790000 USD 1253000.000000 EUR 2019-10-02 -11198.030000 N N N N/A N/A 000000000 1.000000 NC USD -18689.170000 0.0004791 N/A DFE N/A N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 1408375.840000 USD 1275000.000000 EUR 2019-10-02 -18689.170000 N N N N/A N/A 000000000 1.000000 NC USD -172101.960000 0.0044114 N/A DFE MX N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 10558970.330000 USD 208376000.000000 MXN 2020-01-16 -172101.960000 N N N N/A N/A 000000000 1.000000 NC 58272.390000 0.0014937 N/A DFE N/A N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 2678000.000000 EUR 2977159.380000 USD 2019-10-02 58272.390000 N N N N/A 254900ZFY40OYEADAP90 000000000 1.000000 NC USD -1777.640000 0.0000456 N/A DCR US N 2 Citibank International Limited 31OGKFG0Y1795OV0AK56 BRAZIL GOVT BRAZIL BD GLBL Y Single Leg Swap 2024-12-21 0.000000 USD -1726.960000 USD 100000.000000 USD -50.680000 N N N N/A 254900ZFY40OYEADAP90 000000000 1.000000 NC USD -3555.290000 0.0000911 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 BRAZIL GOVT BRAZIL BD GLBL Y Single Leg Swap 2024-12-21 0.000000 USD -3112.480000 USD 200000.000000 USD -442.810000 N N N N/A 254900ZFY40OYEADAP90 000000000 1.000000 NC USD -674.260000 0.0000173 N/A DCR US N 2 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 BRAZIL GOVT BRAZIL BD GLBL Y Single Leg Swap 2023-12-21 0.000000 USD -6900.460000 USD 200000.000000 USD 6226.200000 N N N N/A 254900ZFY40OYEADAP90 000000000 1.000000 NC USD -11731.290000 0.0003007 N/A DCR US N 2 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 BRAZIL GOVT BRAZIL BD GLBL Y Single Leg Swap 2024-06-21 0.000000 USD -32182.110000 USD 1100000.000000 USD 20450.820000 N N N AMERICAN HOME MORTGAGE ASSETS 2006-1 N/A 02660WAC0 482089.680000 PA USD 458758.610000 0.0117592 Long ABS-MBS CORP US N 2 2046-05-25 Floating 2.20838 Y N N N N N N/A N/A 000000000 1.000000 NC USD 174614.890000 0.0044759 N/A DCR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 CALIFORNIA STATE CA ST Y Single Leg Swap 2024-09-21 31307.670000 USD 0.000000 USD 5000000.000000 USD 143307.220000 N N N N/A N/A 000000000 1.000000 NC USD 223507.060000 0.0057291 N/A DCR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 CALIFORNIA STATE CA ST Y Single Leg Swap 2024-09-21 50132.550000 USD 0.000000 USD 6400000.000000 USD 173374.510000 N N N AMERICAN HOME MORTGAGE ASSETS 2006-5 N/A 02660KAA0 10025396.660000 PA USD 5001051.830000 0.1281907 Long ABS-MBS CORP US N 2 2046-11-25 Floating 3.36605 N N N N N N N/A N/A 000000000 1.000000 NC USD -1784875.070000 0.0457512 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.HY.31 N/A N/A Y Single Leg Swap 2023-12-21 0.000000 USD -1650489.600000 USD 22656000.000000 USD -134385.470000 N N N N/A N/A 000000000 1.000000 NC USD -57092.000000 0.0014634 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.HY.32 N/A N/A Y Single Leg Swap 2024-06-21 0.000000 USD -51480.000000 USD 792000.000000 USD -5612.000000 N N N N/A N/A 000000000 1.000000 NC USD -941607.720000 0.0241360 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.33 Y Single Leg Swap 2024-12-21 0.000000 USD -920820.000000 USD 13800000.000000 USD -20787.720000 N N N AMERICAN HOME MTGE ASSETS 2006-3 N/A 02660UAA8 221944.460000 PA USD 216496.700000 0.0055494 Long ABS-MBS CORP US N 2 2046-10-25 Floating 3.4515 N N N N N N AMERICAN HOME MTGE INV TRUST 2004-3 N/A 02660TBP7 3149.090000 PA USD 3157.190000 0.0000809 Long ABS-MBS CORP US N 2 2034-10-25 Floating 3.68463 N N N N N N N/A N/A 000000000 1.000000 NC USD -529483.120000 0.0135721 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 17742713.760000 USD 60051989000.000000 COP 2019-11-25 -529483.120000 N N N AMERICAN HOME MTGE INV TRUST 2005-2 N/A 02660TEQ2 165894.920000 PA USD 168260.760000 0.0043130 Long ABS-MBS CORP US N 2 2045-09-25 Floating 3.53138 N N N N N N N/A N/A 000000000 1.000000 NC USD -38278.950000 0.0009812 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2939726.730000 USD 2662000.000000 EUR 2019-10-02 -38278.950000 N N N N/A N/A 000000000 1.000000 NC USD -144863.760000 0.0037133 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 32944739.070000 USD 30093000.000000 EUR 2019-10-02 -144863.760000 N N N N/A N/A 000000000 1.000000 NC USD -18073.910000 0.0004633 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1247537.880000 USD 1128000.000000 EUR 2019-10-02 -18073.910000 N N N N/A N/A 000000000 1.000000 NC USD -31217.350000 0.0008002 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2387034.230000 USD 1916000.000000 GBP 2019-10-02 -31217.350000 N N N N/A N/A 000000000 1.000000 NC USD -206835.480000 0.0053018 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 10425563.800000 USD 1104900000.000000 JPY 2019-10-02 -206835.480000 N N N N/A N/A 000000000 1.000000 NC USD -128651.910000 0.0032977 N/A DFE MX N 2 Citibank NA E57ODZWZ7FF32TWEFA76 8246246.550000 USD 162851000.000000 MXN 2020-01-16 -128651.910000 N N N N/A N/A 000000000 1.000000 NC 48792.220000 0.0012507 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2912000.000000 EUR 3222727.580000 USD 2019-10-02 48792.220000 N N N N/A N/A 000000000 1.000000 NC 56432.110000 0.0014465 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 4074000.000000 EUR 4496889.760000 USD 2019-10-02 56432.110000 N N N N/A N/A 000000000 1.000000 NC -919097.950000 0.0235590 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 99930000.000000 GBP 121949785.350000 USD 2019-10-02 -919097.950000 N N N N/A N/A 000000000 1.000000 NC 3482.280000 0.0000893 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2653000.000000 GBP 3269854.600000 USD 2019-11-04 3482.280000 N N N N/A N/A 000000000 1.000000 NC 180262.120000 0.0046206 N/A DFE NZ N 2 Citibank NA E57ODZWZ7FF32TWEFA76 21298404.320000 NZD 13517321.960000 USD 2019-10-02 180262.120000 N N N N/A N/A 000000000 1.000000 NC 114356.100000 0.0029313 N/A DFE ZA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 28165174.680000 ZAR 1972586.000000 USD 2019-10-08 114356.100000 N N N N/A N/A 000000000 1.000000 NC USD 8222.910000 0.0002108 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-18 0.000000 USD -26609.200000 USD 900000.000000 USD 34832.110000 N N N N/A N/A 000000000 1.000000 NC USD 165371.770000 0.0042389 N/A DCR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-18 0.000000 USD -627720.110000 USD 18100000.000000 USD 793091.880000 N N N N/A N/A 000000000 1.000000 NC USD 110552.400000 0.0028338 N/A DCR US N 2 UBS AG STAMFORD BFM8T61CT2L1QCEMIK50 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-18 0.000000 USD -423808.590000 USD 12100000.000000 USD 534360.990000 N N N N/A 549300MHDRBVRF6B9117 000000000 1.000000 NC USD 5542.390000 0.0001421 N/A DCR US N 2 Bank of America, N.A. 9DJT3UXIJIZJI4WXO774 COLOMBIAN GOVT COLOMBIA (REP OF) GLBL UNSUBORDINATED Y Single Leg Swap 2021-06-21 0.000000 USD -16095.600000 USD 500000.000000 USD 21637.990000 N N N N/A 549300MHDRBVRF6B9117 000000000 1.000000 NC USD 12193.260000 0.0003125 N/A DCR US N 2 BNPParibas R0MUWSFPU8MPRO8K5P83 COLOMBIAN GOVT COLOMBIA (REP OF) GLBL UNSUBORDINATED Y Single Leg Swap 2021-06-21 0.000000 USD -34979.650000 USD 1100000.000000 USD 47172.910000 N N N N/A 549300MHDRBVRF6B9117 000000000 1.000000 NC USD 9341.600000 0.0002395 N/A DCR US N 2 BNPParibas R0MUWSFPU8MPRO8K5P83 COLOMBIAN GOVT COLOMBIA (REP OF) GLBL UNSUBORDINATED Y Single Leg Swap 2021-12-21 0.000000 USD -26461.460000 USD 700000.000000 USD 35803.060000 N N N N/A 549300MHDRBVRF6B9117 000000000 1.000000 NC USD 50990.010000 0.0013070 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 COLOMBIAN GOVT COLOMBIA (REP OF) GLBL UNSUBORDINATED Y Single Leg Swap 2021-06-21 0.000000 USD -148162.920000 USD 4600000.000000 USD 199152.930000 N N N N/A 549300MHDRBVRF6B9117 000000000 1.000000 NC USD 3099.750000 0.0000795 N/A DCR US N 2 Citibank International Limited 31OGKFG0Y1795OV0AK56 COLOMBIAN GOVT COLOMBIA (REP OF) GLBL UNSUBORDINATED Y Single Leg Swap 2024-06-21 0.000000 USD -4071.300000 USD 400000.000000 USD 7171.050000 N N N N/A 549300MHDRBVRF6B9117 000000000 1.000000 NC USD 3805.260000 0.0000975 N/A DCR US N 2 Citibank International Limited 31OGKFG0Y1795OV0AK56 COLOMBIAN GOVT COLOMBIA (REP OF) GLBL UNSUBORDINATED Y Single Leg Swap 2024-12-21 4313.550000 USD 0.000000 USD 1100000.000000 USD -508.290000 N N N N/A 549300MHDRBVRF6B9117 000000000 1.000000 NC USD 1108.480000 0.0000284 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 COLOMBIAN GOVT COLOMBIA (REP OF) GLBL UNSUBORDINATED Y Single Leg Swap 2021-06-21 0.000000 USD -3115.400000 USD 100000.000000 USD 4223.880000 N N N N/A 549300MHDRBVRF6B9117 000000000 1.000000 NC USD 28820.430000 0.0007387 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 COLOMBIAN GOVT COLOMBIA (REP OF) GLBL UNSUBORDINATED Y Single Leg Swap 2021-06-21 0.000000 USD -83817.250000 USD 2600000.000000 USD 112637.680000 N N N N/A 549300MHDRBVRF6B9117 000000000 1.000000 NC USD 23044.620000 0.0005907 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 COLOMBIAN GOVT COLOMBIA (REP OF) GLBL UNSUBORDINATED Y Single Leg Swap 2023-12-21 0.000000 USD -28456.380000 USD 1900000.000000 USD 51501.000000 N N N N/A 549300MHDRBVRF6B9117 000000000 1.000000 NC USD 2216.960000 0.0000568 N/A DCR US N 2 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 COLOMBIAN GOVT COLOMBIA (REP OF) GLBL UNSUBORDINATED Y Single Leg Swap 2021-06-21 0.000000 USD -6317.850000 USD 200000.000000 USD 8534.810000 N N N N/A 549300MHDRBVRF6B9117 000000000 1.000000 NC USD 9341.610000 0.0002395 N/A DCR US N 2 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 COLOMBIAN GOVT COLOMBIA (REP OF) GLBL UNSUBORDINATED Y Single Leg Swap 2021-12-21 0.000000 USD -34385.440000 USD 700000.000000 USD 43727.050000 N N N N/A 549300MHDRBVRF6B9117 000000000 1.000000 NC USD 13855.980000 0.0003552 N/A DCR US N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 COLOMBIAN GOVT COLOMBIA (REP OF) GLBL UNSUBORDINATED Y Single Leg Swap 2021-06-21 0.000000 USD -39805.780000 USD 1250000.000000 USD 53661.760000 N N N N/A 529900R27DL06UVNT076 000000000 1.000000 NC 21146.080000 0.0005420 N/A DCR DE N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 DAIMLER AG DAIMLER AG Y Single Leg Swap 2020-12-21 29835.840000 EUR 0.000000 EUR 1800000.000000 EUR -8689.760000 N N N N/A N/A 000000000 1.000000 NC USD 48252.460000 0.0012368 N/A DFE BR N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 2351942.600000 USD 10310916.370000 BRL 2021-01-05 48252.460000 N N N N/A 7LTWFZYICNSX8D621K86 000000000 1.000000 NC 2010.650000 0.0000515 N/A DCR DE N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A DEUTSCHE BANK AG Y Single Leg Swap 2019-12-21 3078.890000 EUR 0.000000 EUR 1200000.000000 EUR -1068.240000 N N N N/A UDSQCVRUX5BONN0VY111 000000000 1.000000 NC USD 91655.640000 0.0023494 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 FORD MOTOR CREDIT COMPANY LLC FORD MOTOR CREDIT CO LLC Y Single Leg Swap 2023-12-21 93138.360000 USD 0.000000 USD 700000.000000 USD -1482.720000 N N N N/A 529900AQBND3S6YJLY83 000000000 -41.000000 NC -25048.050000 0.0006421 N/A DIR DK 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 173.000000 EUR 2019-11-22 XXXX -25048.050000 N N N N/A 529900AQBND3S6YJLY83 000000000 -164.000000 NC -4357.390000 0.0001117 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 175.000000 EUR 2019-11-22 XXXX -4357.390000 N N N N/A 529900AQBND3S6YJLY83 000000000 -41.000000 NC 29046.180000 0.0007445 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 173.000000 EUR 2019-11-22 XXXX 29046.180000 N N N N/A 529900AQBND3S6YJLY83 000000000 -164.000000 NC 54354.580000 0.0013933 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 175.000000 EUR 2019-11-22 XXXX 54354.580000 N N N AMERIQUEST MORTGAGE SEC INC 2004-R10 N/A 03072SVS1 870374.370000 PA USD 876120.580000 0.0224574 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.14338 N N N N N N N/A N/A 000000000 1.000000 NC USD -110433.020000 0.0028307 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9724410.070000 USD 190167646.010000 MXN 2019-10-16 -110433.020000 N N N N/A N/A 000000000 1.000000 NC -35884.090000 0.0009198 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3950639.090000 TRY 660032.000000 USD 2019-10-16 -35884.090000 N N N N/A N/A 000000000 1.000000 NC USD -838241.170000 0.0214864 N/A DFE AR N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 6598081.000000 USD 473412311.750000 ARS 2020-02-20 -838241.170000 N N N N/A N/A 000000000 1.000000 NC USD 108.600000 0.0000028 N/A DFE AR N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 33872.560000 USD 2171231.000000 ARS 2019-10-28 108.600000 N N N AMERIQUEST MTGE SECURITIES INC 2005-R9 N/A 03072SQ24 12.960000 PA USD 12.930000 0.0000003 Long ABS-MBS CORP US N 2 2035-11-25 Variable 5.325 N N N N N N N/A N/A 000000000 1.000000 NC USD 8310.430000 0.0002130 N/A DFE CA N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 16362881.930000 USD 21689000.000000 CAD 2019-10-02 8310.430000 N N N N/A N/A 000000000 1.000000 NC USD 67523.200000 0.0017308 N/A DFE IN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 2422020.630000 USD 177548644.190000 INR 2019-12-18 67523.200000 N N N N/A N/A 000000000 1.000000 NC USD -4601.100000 0.0001179 N/A DFE MX N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 311623.750000 USD 6066000.000000 MXN 2019-10-09 -4601.100000 N N N N/A N/A 000000000 1.000000 NC 17394.090000 0.0004459 N/A DFE AU N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 55502000.000000 AUD 37478474.780000 USD 2019-10-02 17394.090000 N N N N/A N/A 000000000 1.000000 NC -810598.760000 0.0207779 N/A DFE BR N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 10310916.370000 BRL 1589596.300000 USD 2021-01-05 -810598.760000 N N N AMORTIZING RESIDENTIAL COLLAT 2001-BC6 N/A 86358RMY0 488733.550000 PA USD 483991.420000 0.0124060 Long ABS-MBS CORP US N 2 2031-10-25 Floating 2.71838 N N N N N N N/A N/A 000000000 1.000000 NC -58424.040000 0.0014976 N/A DFE CA N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 21689000.000000 CAD 16312768.320000 USD 2019-10-02 -58424.040000 N N N N/A N/A 000000000 1.000000 NC -8632.720000 0.0002213 N/A DFE CA N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 21689000.000000 CAD 16371218.840000 USD 2019-11-04 -8632.720000 N N N N/A N/A 000000000 1.000000 NC -2480.330000 0.0000636 N/A DFE HK N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 12085368.000000 HKD 1540656.020000 USD 2019-12-18 -2480.330000 N N N N/A N/A 000000000 1.000000 NC -1423.340000 0.0000365 N/A DFE KR N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 167691617.000000 KRW 138719.950000 USD 2019-12-18 -1423.340000 N N N N/A N/A 000000000 1.000000 NC -395.360000 0.0000101 N/A DFE NO N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 2440000.000000 NOK 267805.770000 USD 2019-10-02 -395.360000 N N N N/A N/A 000000000 1.000000 NC -35395.660000 0.0009073 N/A DFE TW N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 87519000.000000 TWD 2794527.110000 USD 2019-11-21 -35395.660000 N N N N/A N/A 000000000 1.000000 NC -128694.380000 0.0032988 N/A DFE TW N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 330720587.000000 TWD 10565140.310000 USD 2019-11-21 -128694.380000 N N N N/A 2W8N8UU78PMDQKZENC08 000000000 1.000000 NC -46628.540000 0.0011952 N/A DCR IT N 2 BNPParibas R0MUWSFPU8MPRO8K5P83 INTESA SANPAOLO SPA INTESA SANPAOLO SPA SUB Y Single Leg Swap 2023-06-21 0.000000 EUR -210228.620000 EUR 1500000.000000 EUR 163600.080000 N N N N/A 815600DE60799F5A9309 000000000 -2056.000000 NC -1728894.210000 0.0443163 N/A DIR DE N 1 Eurex N/A Short N/A ITALY GOVT 2019-12-06 -326818380.490000 EUR -1728894.210000 N N N N/A N/A 000000000 1.000000 NC -646141.030000 0.0165624 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ITRAXX EUROPE SENIOR FINANCIALS SERIES 27 N/A N/A Y Single Leg Swap 2022-06-21 0.000000 EUR -172710.620000 EUR 28700000.000000 EUR -473430.410000 N N N N/A N/A 000000000 1.000000 NC -189123.980000 0.0048478 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ITRAXX EUROPE SERIES 26 N/A N/A Y Single Leg Swap 2021-12-21 0.000000 EUR -126236.140000 EUR 9300000.000000 EUR -62887.840000 N N N N/A N/A 000000000 1.000000 NC -1052851.480000 0.0269875 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ITRAXX EUROPE SERIES 28 N/A N/A Y Single Leg Swap 2022-12-21 0.000000 EUR -1099959.610000 EUR 41500000.000000 EUR 47108.130000 N N N N/A N/A 000000000 1.000000 NC USD 36775.240000 0.0009427 N/A DFE AR N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 3315285.560000 USD 213040249.880000 ARS 2019-10-21 36775.240000 N N N ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FINANCE CORP N/A 03690AAD8 10500000.000000 PA USD 8793540.000000 0.2254025 Long DBT CORP US N 2 2027-03-01 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -47797.540000 0.0012252 N/A DFE BR N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 11955269.610000 USD 49589262.800000 BRL 2019-11-04 -47797.540000 N N N N/A N/A 000000000 1.000000 NC 43098.550000 0.0011047 N/A DFE BR N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 49589262.800000 BRL 11978082.800000 USD 2019-10-02 43098.550000 N N N N/A N/A 000000000 1.000000 NC USD -66902.480000 0.0017149 N/A DFE JP N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 5598463.170000 USD 598100000.000000 JPY 2019-10-02 -66902.480000 N N N N/A N/A 000000000 1.000000 NC USD -2227.460000 0.0000571 N/A DFE JP N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 5897256.360000 USD 637400000.000000 JPY 2019-10-02 -2227.460000 N N N N/A N/A 000000000 1.000000 NC -3845.910000 0.0000986 N/A DFE IL N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 1106000.000000 ILS 315583.760000 USD 2019-12-16 -3845.910000 N N N N/A N/A 000000000 1.000000 NC 82049.440000 0.0021032 N/A DFE MX N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 190167646.010000 MXN 9707135.910000 USD 2019-10-09 82049.440000 N N N N/A N/A 000000000 1.000000 NC -29410.140000 0.0007539 N/A DFE MX N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 683426646.000000 MXN 34007247.330000 USD 2020-01-22 -29410.140000 N N N N/A C4BXATY60WC6XEOZDX54 000000000 1.000000 NC USD 534914.100000 0.0137113 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 METLIFE INC METLIFE INC Y Single Leg Swap 2021-12-21 28483.500000 USD 0.000000 USD 31300000.000000 USD 506430.600000 N N N N/A C4BXATY60WC6XEOZDX54 000000000 1.000000 NC USD 231357.470000 0.0059303 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 METLIFE INC METLIFE INC Y Single Leg Swap 2022-06-21 102808.570000 USD 0.000000 USD 12400000.000000 USD 128548.900000 N N N N/A C4BXATY60WC6XEOZDX54 000000000 1.000000 NC USD 315347.940000 0.0080832 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 METLIFE INC METLIFE INC Y Single Leg Swap 2022-12-21 315011.160000 USD 0.000000 USD 15600000.000000 USD 336.780000 N N N N/A 254900EGTWEU67VP6075 000000000 1.000000 NC USD 46595.530000 0.0011944 N/A DCR US N 2 Bank of America, N.A. 9DJT3UXIJIZJI4WXO774 MEXICO GOVT MEXICO GOVT (UMS) GLOBAL SR NT Y Single Leg Swap 2021-12-21 0.000000 USD -184192.580000 USD 4700000.000000 USD 230788.110000 N N N N/A 254900EGTWEU67VP6075 000000000 1.000000 NC USD 20819.280000 0.0005337 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 MEXICO GOVT MEXICO GOVT (UMS) GLOBAL SR NT Y Single Leg Swap 2021-12-21 0.000000 USD -81390.710000 USD 2100000.000000 USD 102209.990000 N N N 2019-11-13 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer