NPORT-P false 0000810893 XXXXXXXX S000032698 C000100920 C000100916 C000100919 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO RAE PLUS International Fund S000032698 FRE2ROMRMC2BDS43QJ31 2020-03-31 2019-09-30 N 662868531.570000 247934438.350000 414934093.220000 0.000000 0.000000 9626806.450000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1827918.410000 USD BRL CAD EUR GBP JPY ARS N N/A N/A 000000000 1.000000 NC USD 20770.000000 0.0050056 N/A DFE TW N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1328754.140000 USD 41735769.000000 TWD 2019-11-21 20770.000000 N N N N/A N/A 000000000 1.000000 NC USD -64176.060000 0.0154666 N/A DFE NO N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4364481.190000 USD 39095000.000000 NOK 2019-11-15 -64176.060000 N N N N/A N/A 000000000 1.000000 NC 129700.990000 0.0312582 N/A DFE CH N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6607000.000000 CHF 6749609.810000 USD 2019-10-02 129700.990000 N N N N/A N/A 000000000 1.000000 NC -20149.790000 0.0048561 N/A DFE SG N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5829000.000000 SGD 4201005.390000 USD 2019-12-18 -20149.790000 N N N N/A N/A 000000000 1.000000 NC USD 27268.370000 0.0065717 N/A DFE CN N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 8043381.490000 USD 57729761.990000 CNY 2019-12-18 27268.370000 N N N N/A N/A 000000000 1.000000 NC USD -123.680000 0.0000298 N/A DFE SG N 2 Royal Bank of Canada 549300XWG7K5S2JIV532 4205347.240000 USD 5807000.000000 SGD 2019-12-18 -123.680000 N N N N/A N/A 000000000 1.000000 NC 3956.340000 0.0009535 N/A DFE CA N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 4207000.000000 CAD 3181612.920000 USD 2019-11-15 3956.340000 N N N N/A N/A 000000000 1.000000 NC -2073.110000 0.0004996 N/A DFE CA N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 3400000.000000 CAD 2565265.250000 USD 2019-10-25 -2073.110000 N N N N/A N/A 000000000 1.000000 NC -26131.750000 0.0062978 N/A DFE GB N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 3945000.000000 GBP 4824441.100000 USD 2019-10-02 -26131.750000 N N N N/A 549300JKU50UT08ZWD77 000000000 1.000000 NC USD 30186.970000 0.0072751 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 SPRINT CORP (SPRINT COMMUNICATIONS INC) SPRINT COMMUNICATIONS GLBL SR UNSEC Y Single Leg Swap 2019-12-21 240783.050000 USD 0.000000 USD 2500000.000000 USD -210596.080000 N N N N/A N/A 000000000 1.000000 NC 183368.850000 0.0441923 N/A DFE N/A N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 9257000.000000 EUR 10273039.060000 USD 2019-10-02 183368.850000 N N N N/A N/A 000000000 1.000000 NC USD -10591.350000 0.0025525 N/A DFE BR N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 2430203.370000 USD 10076595.250000 BRL 2019-11-04 -10591.350000 N N N N/A N/A 000000000 1.000000 NC USD 31614.370000 0.0076191 N/A DFE ID N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 2113203.780000 USD 30709077284.000000 IDR 2019-12-18 31614.370000 N N N N/A N/A 000000000 1.000000 NC 9639.860000 0.0023232 N/A DFE BR N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 10076595.250000 BRL 2434842.390000 USD 2019-10-02 9639.860000 N N N N/A N/A 000000000 1.000000 NC 44464.520000 0.0107160 N/A DFE CN N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 15177257.440000 CNY 2168000.000000 USD 2019-11-13 44464.520000 N N N N/A N/A 000000000 1.000000 NC -1553.890000 0.0003745 N/A DFE RU N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 15067694.920000 RUB 229507.150000 USD 2019-11-15 -1553.890000 N N N N/A N/A 000000000 1.000000 NC USD -900.620000 0.0002171 N/A DFE HK N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 480745.870000 USD 3758000.000000 HKD 2019-12-18 -900.620000 N N N N/A N/A 000000000 13500000.000000 NC USD 1358.100000 0.0003273 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Put Purchased Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 3.37000 03/31/20-30Y CME N/A N/A 2050-03-31 0.000000 USD 0.000000 USD N/A USD N/A 3.370000 USD 2020-03-27 XXXX -541371.900000 N N N N/A N/A 000000000 71800000.000000 NC USD 442783.420000 0.1067117 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Purchased Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.03600 07/21/21-3Y LCH N/A N/A 2024-07-21 0.000000 USD 0.000000 USD N/A USD N/A 1.040000 USD 2021-07-19 XXXX 178918.420000 N N N N/A N/A 000000000 -23000000.000000 NC USD -638273.000000 0.1538252 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.45300 07/21/21-10Y LCH N/A N/A 2031-07-21 0.000000 USD 0.000000 USD N/A USD N/A 1.450000 USD 2021-07-19 XXXX -381140.190000 N N N N/A N/A 000000000 157500000.000000 NC USD 931171.500000 0.2244143 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Purchased Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.01700 07/06/21-3Y LCH N/A N/A 2024-07-06 0.000000 USD 0.000000 USD N/A USD N/A 1.020000 USD 2021-07-02 XXXX 329697.530000 N N N N/A N/A 000000000 -50400000.000000 NC USD -1460007.360000 0.3518649 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.49100 07/06/21-10Y LCH N/A N/A 2031-07-06 0.000000 USD 0.000000 USD N/A USD N/A 1.490000 USD 2021-07-02 XXXX -858553.950000 N N N N/A N/A 000000000 42400000.000000 NC USD 1427323.920000 0.3439881 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Purchased Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.05000 03/15/21-5Y CME N/A N/A 2026-03-15 0.000000 USD 0.000000 USD N/A USD N/A 2.050000 USD 2021-03-11 XXXX 1088123.920000 N N N N/A N/A 000000000 -22400000.000000 NC USD -1686361.600000 0.4064167 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.32250 03/15/21-10Y CME N/A N/A 2031-03-15 0.000000 USD 0.000000 USD N/A USD N/A 2.320000 USD 2021-03-11 XXXX -1346967.660000 N N N N/A N/A 000000000 43400000.000000 NC USD 1092495.180000 0.2632937 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Purchased Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.80000 03/16/21-5Y CME N/A N/A 2026-03-16 0.000000 USD 0.000000 USD N/A USD N/A 1.800000 USD 2021-03-12 XXXX 837887.500000 N N N N/A N/A 000000000 -22900000.000000 NC USD -1347010.060000 0.3246323 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.09400 03/16/21-10Y CME N/A N/A 2031-03-16 0.000000 USD 0.000000 USD N/A USD N/A 2.090000 USD 2021-03-12 XXXX -1092518.490000 N N N N/A N/A 000000000 1.000000 NC -152924.280000 0.0368551 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2033-03-15 0.000000 EUR -1745.440000 EUR 1300000.000000 EUR -151178.840000 N N N N/A N/A 000000000 1.000000 NC 317833.350000 0.0765985 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2048-03-15 3704.060000 EUR 0.000000 EUR 1000000.000000 EUR 314129.290000 N N N N/A N/A 000000000 1.000000 NC 8622.340000 0.0020780 N/A DIR N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2020-03-30 0.000000 EUR -1618.720000 EUR 9800000.000000 EUR 10241.060000 N N N N/A N/A 000000000 1.000000 NC -141144.400000 0.0340161 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-09-15 0.000000 GBP -41845.950000 GBP 5000000.000000 GBP -99298.450000 N N N N/A N/A 000000000 1.000000 NC -8293.240000 0.0019987 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 0.000000 GBP 0.000000 GBP 800000.000000 GBP -8293.240000 N N N N/A N/A 000000000 1.000000 NC -37843.400000 0.0091203 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 43308.380000 GBP 0.000000 GBP 3800000.000000 GBP -81151.780000 N N N N/A N/A 000000000 1.000000 NC -5192.010000 0.0012513 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 0.000000 GBP 0.000000 GBP 600000.000000 GBP -5192.010000 N N N N/A N/A 000000000 1.000000 NC USD -80812.130000 0.0194759 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2024-06-19 0.000000 USD 0.000000 USD 21600000.000000 USD -80812.130000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1DM1J8 290000.000000 PA 3031.030000 0.0007305 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 109468.750000 0.0263822 N/A DIR CA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 0.000000 CAD -18157.810000 CAD 700000.000000 CAD 127626.560000 N N N N/A N/A 000000000 1.000000 NC 390959.950000 0.0942222 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 0.000000 CAD -16059.390000 CAD 2500000.000000 CAD 407019.340000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 3291000.000000 PA 34446.230000 0.0083016 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 -382842.160000 0.0922658 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2028-06-19 0.000000 JPY -342501.540000 JPY 990000000.000000 JPY -40340.620000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0VSDQ8 28591000.000000 PA 244478.590000 0.0589199 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 2185.260000 0.0005267 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 -1423.420000 USD 100000.000000 USD 3608.680000 N N N N/A N/A 000000000 1.000000 NC USD 6516.810000 0.0015706 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 -819.080000 USD 300000.000000 USD 7335.890000 N N N N/A N/A 000000000 1.000000 NC USD -4989.000000 0.0012024 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 -3413.310000 USD 600000.000000 USD -1575.690000 N N N N/A N/A 000000000 1.000000 NC USD 508561.200000 0.1225643 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-18 502731.620000 USD 0.000000 USD 31000000.000000 USD 5829.580000 N N N N/A N/A 000000000 1.000000 NC USD -309461.250000 0.0745808 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-21 197696.790000 USD 0.000000 USD 15600000.000000 USD -507158.040000 N N N N/A N/A 000000000 1.000000 NC USD -6854.460000 0.0016519 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 -719.940000 USD 100000.000000 USD -6134.520000 N N N N/A N/A 000000000 1.000000 NC USD -329733.770000 0.0794665 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-20 582055.140000 USD 0.000000 USD 10400000.000000 USD -911788.910000 N N N N/A N/A 000000000 1.000000 NC USD -826776.450000 0.1992549 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-20 692033.650000 USD 0.000000 USD 25900000.000000 USD -1518810.100000 N N N N/A N/A 000000000 1.000000 NC USD -58641.730000 0.0141328 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-12-18 17420.940000 USD 0.000000 USD 1500000.000000 USD -76062.670000 N N N N/A N/A 000000000 1.000000 NC USD -669630.520000 0.1613824 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-13 0.000000 USD -12247.620000 USD 5200000.000000 USD -657382.900000 N N N N/A N/A 000000000 1.000000 NC USD -26271.500000 0.0063315 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-06-15 542.290000 USD 0.000000 USD 500000.000000 USD -26813.790000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HQ6 800000.000000 PA USD 327008.000000 0.0788096 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 -37708.220000 0.0090878 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2048-06-22 2790.290000 USD 0.000000 USD 200000.000000 USD -40498.510000 N N N N/A N/A 000000000 1.000000 NC USD 1102615.750000 0.2657327 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-12-15 81225.360000 USD 0.000000 USD 52700000.000000 USD 1021390.390000 N N N N/A N/A 000000000 1.000000 NC USD -186022.540000 0.0448318 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-18 0.000000 USD -215982.700000 USD 3800000.000000 USD 29960.160000 N N N N/A N/A 000000000 1.000000 NC USD -3338550.870000 0.8045979 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 1791808.830000 USD 0.000000 USD 41100000.000000 USD -5130359.700000 N N N N/A N/A 000000000 1.000000 NC USD -1160648.820000 0.2797188 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-15 0.000000 USD -481458.680000 USD 34200000.000000 USD -679190.140000 N N N N/A N/A 000000000 1.000000 NC USD -1251971.630000 0.3017278 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-05-30 20714.490000 USD 0.000000 USD 14700000.000000 USD -1272686.120000 N N N N/A N/A 000000000 1.000000 NC USD -547110.550000 0.1318548 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-05-30 0.000000 USD 0.000000 USD 6400000.000000 USD -547110.550000 N N N N/A N/A 000000000 1.000000 NC USD 422798.560000 0.1018954 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2029-06-05 332999.310000 USD 0.000000 USD 3100000.000000 USD 89799.250000 N N N N/A N/A 000000000 1.000000 NC USD 865497.840000 0.2085868 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-09-28 0.000000 USD 0.000000 USD 15000000.000000 USD 865497.840000 N N N N/A N/A 000000000 1.000000 NC -617804.820000 0.1488923 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL -37628.000000 BRL 16600000.000000 BRL -580176.820000 N N N N/A N/A 000000000 1.000000 NC USD -27302.550000 0.0065800 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 6432793.260000 USD 6393000.000000 CHF 2019-10-02 -27302.550000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114GK0 1700000.000000 PA USD 682142.000000 0.1643977 Long DBT NUSS AR N 2 2038-12-31 Variable 3.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -91264.830000 0.0219950 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 3759241.710000 USD 396600000.000000 JPY 2019-10-02 -91264.830000 N N N N/A N/A 000000000 1.000000 NC USD -425.620000 0.0001026 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 1186090.360000 USD 128200000.000000 JPY 2019-10-02 -425.620000 N N N N/A N/A 000000000 1.000000 NC USD -14479.410000 0.0034896 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 3089029.610000 USD 331700000.000000 JPY 2019-11-05 -14479.410000 N N N N/A N/A 000000000 1.000000 NC 6558.460000 0.0015806 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 742000.000000 AUD 507371.440000 USD 2019-10-02 6558.460000 N N N N/A N/A 000000000 1.000000 NC 27218.620000 0.0065597 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 6393000.000000 CHF 6451053.030000 USD 2019-11-04 27218.620000 N N N N/A N/A 000000000 1.000000 NC -4723.180000 0.0011383 N/A DFE CN N 2 UBS AG BFM8T61CT2L1QCEMIK50 57344357.820000 CNY 8028049.530000 USD 2019-12-18 -4723.180000 N N N N/A N/A 000000000 1.000000 NC 14254.880000 0.0034355 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 331700000.000000 JPY 3082000.540000 USD 2019-10-02 14254.880000 N N N N/A 549300TRUWO2CD2G5692 000000000 1.000000 NC 15289.380000 0.0036848 N/A DCR IT N 2 BNPParibas R0MUWSFPU8MPRO8K5P83 UNICREDIT SPA UNICREDIT SPA SUB Y Single Leg Swap 2023-12-21 69235.000000 EUR 0.000000 EUR 375000.000000 EUR -53945.620000 N N N N/A 549300TRUWO2CD2G5692 000000000 1.000000 NC 8154.350000 0.0019652 N/A DCR IT N 2 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 UNICREDIT SPA UNICREDIT SPA SUB Y Single Leg Swap 2023-12-21 38153.540000 EUR 0.000000 EUR 200000.000000 EUR -29999.190000 N N N N/A 254900HROIFWPRGM1V77 000000000 -1722000.000000 NC USD -359.900000 0.0000867 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 Put Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2019-10-11 N/A 3.960000 USD 2019-10-11 XXXX 8832.140000 N N N N/A 254900HROIFWPRGM1V77 000000000 -1722000.000000 NC USD -13521.140000 0.0032586 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 Call Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2019-10-11 N/A 4.170000 USD 2019-10-11 XXXX -4141.410000 N N N N/A 254900HROIFWPRGM1V77 000000000 -1722000.000000 NC USD -2675.990000 0.0006449 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2019-10-14 N/A 66.380000 USD 2019-10-14 XXXX 3996.760000 N N N N/A 254900HROIFWPRGM1V77 000000000 -1722000.000000 NC USD -2038.850000 0.0004914 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2019-10-14 N/A 63.860000 USD 2019-10-14 XXXX 4478.920000 N N N N/A 254900HROIFWPRGM1V77 000000000 67.000000 NC USD 67.000000 0.0000161 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 12/19/19 2019-12-20 N/A USD N/A 115.000000 USD 2019-11-22 XXXX -509.200000 N N N N/A 254900HROIFWPRGM1V77 000000000 10.000000 NC USD 10.000000 0.0000024 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 12/19/19 2019-12-20 N/A USD N/A 115.500000 USD 2019-11-22 XXXX -76.000000 N N N N/A 254900HROIFWPRGM1V77 000000000 411.000000 NC USD 411.000000 0.0000991 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 12/19/19 2019-12-20 N/A USD N/A 116.000000 USD 2019-11-22 XXXX -3123.600000 N N N N/A 254900HROIFWPRGM1V77 000000000 22.000000 NC USD 22.000000 0.0000053 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 12/19/19 2019-12-20 N/A USD N/A 117.000000 USD 2019-11-22 XXXX -167.200000 N N N N/A 254900HROIFWPRGM1V77 000000000 260.000000 NC USD -363740.080000 0.0876621 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2019-12-19 33881250.000000 USD -363740.080000 N N N N/A 254900HROIFWPRGM1V77 000000000 40.000000 NC USD 40.000000 0.0000096 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 2YR CBT 12/31/19 2020-01-01 N/A USD N/A 111.380000 USD 2019-11-22 XXXX -304.000000 N N N N/A 254900HROIFWPRGM1V77 000000000 1.000000 NC USD 1.000000 0.0000002 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 2YR CBT 12/31/19 2020-01-01 N/A USD N/A 112.000000 USD 2019-11-22 XXXX -7.600000 N N N N/A 254900HROIFWPRGM1V77 000000000 -221.000000 NC USD 111982.470000 0.0269880 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2019-12-31 -47625500.000000 USD 111982.470000 N N N N/A 254900HROIFWPRGM1V77 000000000 10.000000 NC USD 10.000000 0.0000024 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 12/31/19 2020-01-01 N/A USD N/A 127.000000 USD 2019-11-22 XXXX -76.000000 N N N N/A 254900HROIFWPRGM1V77 000000000 68.000000 NC USD 68.000000 0.0000164 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 12/31/19 2020-01-01 N/A USD N/A 127.250000 USD 2019-11-22 XXXX -516.800000 N N N N/A 254900HROIFWPRGM1V77 000000000 84.000000 NC USD 84.000000 0.0000202 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 12/31/19 2020-01-01 N/A USD N/A 127.500000 USD 2019-11-22 XXXX -638.400000 N N N N/A 254900HROIFWPRGM1V77 000000000 21.000000 NC USD 21.000000 0.0000051 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 12/31/19 2020-01-01 N/A USD N/A 128.000000 USD 2019-11-22 XXXX -159.600000 N N N N/A 254900HROIFWPRGM1V77 000000000 8.000000 NC USD 8.000000 0.0000019 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 12/31/19 2020-01-01 N/A USD N/A 130.750000 USD 2019-11-22 XXXX -60.800000 N N N N/A 254900HROIFWPRGM1V77 000000000 6.000000 NC USD 6.000000 0.0000014 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 12/31/19 2020-01-01 N/A USD N/A 131.500000 USD 2019-11-22 XXXX -45.600000 N N N N/A 254900HROIFWPRGM1V77 000000000 5.000000 NC USD 5.000000 0.0000012 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 12/31/19 2020-01-01 N/A USD N/A 132.000000 USD 2019-11-22 XXXX -38.000000 N N N N/A 254900HROIFWPRGM1V77 000000000 108.000000 NC USD 108.000000 0.0000260 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 12/31/19 2020-01-01 N/A USD N/A 133.000000 USD 2019-11-22 XXXX -820.800000 N N N N/A 254900HROIFWPRGM1V77 000000000 25.000000 NC USD 25.000000 0.0000060 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 12/31/19 2020-01-01 N/A USD N/A 134.000000 USD 2019-11-22 XXXX -190.000000 N N N N/A 254900HROIFWPRGM1V77 000000000 -623.000000 NC USD 505376.980000 0.1217969 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2019-12-31 -74229476.870000 USD 505376.980000 N N N N/A 254900HROIFWPRGM1V77 000000000 -217.000000 NC USD 759196.200000 0.1829679 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2019-12-19 -35221812.500000 USD 759196.200000 N N N N/A 254900HROIFWPRGM1V77 000000000 -23.000000 NC USD 137284.860000 0.0330859 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2019-12-19 -4413843.750000 USD 137284.860000 N N N AT&T INC 549300Z40J86GGSTL398 00206RGD8 500000.000000 PA USD 509493.170000 0.1227889 Long DBT CORP US N 2 2024-06-12 Floating 3.31163 N N N N N N BALTIMORE GAS & ELECTRIC 88V8C2WYSOD1SPSSLH72 059165ED8 100000.000000 PA USD 102612.220000 0.0247298 Long DBT CORP US N 2 2021-11-15 Fixed 3.5 N N N N N N BANC OF AMERICA FUNDING CORP 2006-6 N/A 05950RBJ7 75870.150000 PA USD 74454.050000 0.0179436 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-D N/A 05952GAT8 106573.010000 PA USD 104224.040000 0.0251182 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 200000.000000 PA 241491.580000 0.0582000 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 BF2PHRII3 800000.000000 PA 924571.730000 0.2228238 Long DBT CORP ES N 2 2023-09-24 Floating 5.875 N N N N Y BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) EUR XXXX N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BQQ3S0II9 400000.000000 PA 461048.990000 0.1111138 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 BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BF8PC7II6 200000.000000 PA 225470.610000 0.0543389 Long DBT CORP ES N 2 2023-09-29 Floating 5.25 N N N N Y Banco Santander S.A. EUR XXXX N N N BANK OF AMERICA MTGE SEC 2003-D N/A 05948XBS9 81156.810000 PA USD 83520.780000 0.0201287 Long ABS-MBS CORP US N 2 2033-05-25 Floating 5.17776 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-A N/A 05948XT27 43442.300000 PA USD 44196.180000 0.0106514 Long ABS-MBS CORP US N 2 2034-02-25 Fixed 4.80386 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-E N/A 05949AHA1 51691.330000 PA USD 52307.670000 0.0126063 Long ABS-MBS CORP US N 2 2034-06-25 Floating 4.79247 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-L N/A 05949AZE3 43480.520000 PA USD 42059.540000 0.0101364 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.59761 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06739FFU0 700000.000000 PA USD 783042.810000 0.1887150 Long DBT CORP GB N 2 2021-06-12 Fixed 10.179 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI07CRC6 400000.000000 PA 467052.440000 0.1125606 Long DBT CORP GB N 2 2020-12-15 Floating 8 N N N N Y Barclays PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBE4 400000.000000 PA USD 415739.080000 0.1001940 Long DBT CORP GB N 2 2023-02-15 Floating 4.61 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBC8 900000.000000 PA USD 896070.560000 0.2159549 Long DBT CORP GB N 2 2024-05-16 Floating 3.54838 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAQ8 2800000.000000 PA USD 2827440.000000 0.6814191 Long DBT CORP GB N 2 2021-08-10 Fixed 3.2 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAV7 800000.000000 PA USD 807869.580000 0.1946983 Long DBT CORP US N 2 2022-08-15 Fixed 2.764 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-1 N/A 07387AGZ2 27590.640000 PA USD 28391.710000 0.0068425 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.91 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AGE9 567979.970000 PA USD 543274.940000 0.1309304 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.06912 Y N N N N N BEAR STEARNS ALT-A TRUST 2007-1 N/A 07386XAA4 281817.360000 PA USD 222762.670000 0.0536863 Long ABS-MBS CORP US N 2 2047-01-25 Floating 2.33838 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE2 N/A 07389YAT8 3383384.260000 PA USD 5323946.290000 1.2830824 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.18838 N N N N N N BG ENERGY CAPITAL PLC S2M8QDKEE05NZN8JD460 05541VAE6 300000.000000 PA USD 310942.220000 0.0749377 Long DBT CORP GB N 2 2021-10-15 Fixed 4 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 105756BY5 1100000.000000 PA USD 1234073.500000 0.2974143 Long DBT NUSS BR N 2 2047-02-21 Fixed 5.625 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 919QJXII3 3239572.000000 PA 1047907.360000 0.2525479 Long DBT NUSS BR N 2 2035-05-15 Fixed 6 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI0BJ183 2267700.400000 PA 824949.330000 0.1988145 Long DBT NUSS BR N 2 2055-05-15 Fixed 6 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -3200000.000000 PA -3105956.640000 0.7485422 Short DBT NUSS CA N 2 2048-12-01 Fixed 2.75 N N N N N N CANADIAN IMPERIAL BANK OF COMMERCE (CIBC) 2IGI19DL77OX0HC3ZE78 000000000 3900000.000000 PA 2939784.880000 0.7084944 Long DBT CORP CA N 2 2019-10-28 Fixed 0 N N N N N N CENTEX HOME EQUITY 2004-B N/A 152314JV3 991020.690000 PA USD 984655.360000 0.2373040 Long ABS-MBS CORP US N 2 2034-03-25 Floating 2.66338 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC 549300TPZNMN50BJ3745 16117LBS7 483881.250000 PA USD 487317.770000 0.1174446 Long LON CORP US N 2 2025-04-30 Floating 4.05 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BB9 900000.000000 PA USD 947796.510000 0.2284210 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 800000.000000 PA USD 879849.500000 0.2120456 Long DBT CORP US N 2 2025-07-23 Fixed 4.908 N N N N N N CHASE FUNDING MTGE LN ASSET BK 2002-3 N/A 161546DB9 64240.350000 PA USD 63375.050000 0.0152735 Long ABS-MBS CORP US N 2 2032-08-25 Floating 2.65838 N N N N N N DOMMO ENERGIA SA (AKA: OGX PETROLEO E GAS SA) 254900VV84SMDXCU2986 BYXHG7900 289678.060000 NS 305155.770000 0.0735432 Long EC CORP BR N 3 N N N CHASE MORGAGE FINANCE CORP 2005-A2 N/A 16162WPX1 54687.710000 PA USD 54341.850000 0.0130965 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.33896 Y N N N N N DOMMO ENERGIA SA (AKA: OGX PETROLEO E GAS SA) 254900VV84SMDXCU2986 257553206 613.000000 NS USD 8211.790000 0.0019791 Long EC CORP BR N 3 N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 3350169.160000 PA USD 2984755.150000 0.7193323 Long ABS-MBS CORP US N 2 2037-07-25 Floating 2.31838 N N N N N N CHEVY CHASE MORTGAGE FUND CORP 2005-2A N/A 16678RDL8 780511.710000 PA USD 758691.570000 0.1828463 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.24838 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR1 N/A 17307G2Z0 142248.450000 PA USD 142944.560000 0.0344499 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.97 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-FX1 N/A 17309YAC1 623372.390000 PA USD 470548.350000 0.1134032 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.31838 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 97262.790000 PA USD 100934.970000 0.0243255 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.38 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXQ6 140223.920000 PA USD 144273.920000 0.0347703 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.55 N N N N N N CITIMORTGAGE ALTERNATIVE LN TR 2007-A6 N/A 18976GAG1 471571.100000 PA USD 466743.860000 0.1124863 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 Y N N N N N CITIMORTGAGE ALTERNATIVE LOAN TR 2006-A7 N/A 12566TAM9 361590.550000 PA USD 359599.490000 0.0866642 Long ABS-MBS CORP US N 2 2036-12-25 Fixed 6 Y N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486D22 6000.000000 PA USD 6912.840000 0.0016660 Long DBT MUN US N 2 2042-01-01 Fixed 7.75 N N N N N N CITY OF CHICAGO IL WATERWORKS REVENUE N/A 167736YV3 500000.000000 PA USD 630170.000000 0.1518723 Long DBT MUN US N 2 2029-11-01 Fixed 6.642 N N N N N N ENEVA SA 549300T1AP7HKCABII19 ACI072474 2348.000000 NS 17331.900000 0.0041770 Long EC CORP BR N 1 N N N ENEVA SA 549300T1AP7HKCABII19 935EJZ904 6459.000000 NS 47677.480000 0.0114904 Long EC CORP BR N 1 N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 ACI0BJ746 400000.000000 PA 449844.300000 0.1084134 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 0.0573791 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 959SWZII0 400000.000000 PA 449924.080000 0.1084327 Long DBT CORP NL N 2 2020-03-19 Fixed 6.875 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-31 N/A 12667GZB2 1776700.740000 PA USD 1749153.710000 0.4215498 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.31838 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACP8 369312.590000 PA USD 361944.360000 0.0872294 Long ABS-MBS CORP US N 2 2035-11-20 Floating 2.64425 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-61 N/A 12668AVL6 46303.880000 PA USD 46273.650000 0.0111520 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.53838 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDC4 553039.220000 PA USD 566329.750000 0.1364867 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.92605 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB N/A 02147QAC6 295990.760000 PA USD 261890.320000 0.0631161 Long ABS-MBS CORP US N 2 2036-08-25 Floating 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12 N/A 23243AAD8 118831.940000 PA USD 96543.560000 0.0232672 Long ABS-MBS CORP US N 2 2046-09-20 Floating 2.25425 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GL84 164784.190000 PA USD 165802.940000 0.0399589 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.84605 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-18 N/A 23243WAC2 121467.150000 PA USD 120851.850000 0.0291256 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.17838 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-3 N/A 126670VZ8 289069.940000 PA USD 289409.800000 0.0697484 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.30838 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAD2 1353648.650000 PA USD 1155505.620000 0.2784793 Long ABS-MBS CORP US N 2 2037-09-25 Floating 2.23838 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-13 N/A 126670HJ0 4100000.000000 PA USD 4119258.520000 0.9927501 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.45838 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KK3 1501146.950000 PA USD 1395800.660000 0.3363909 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.28838 N N N N N N COUNTRYWIDE HOME LOANS 2004-15 N/A 12669FL50 80826.750000 PA USD 75907.460000 0.0182939 Long ABS-MBS CORP US N 2 2034-10-20 Floating 4.316 N N N N N N COUNTRYWIDE HOME LOANS 2004-29 N/A 12669GJB8 30123.850000 PA USD 29903.250000 0.0072067 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.67838 N N N N N N COUNTRYWIDE HOME LOANS 2005-9 N/A 12669GYY1 310322.080000 PA USD 292491.940000 0.0704912 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.61838 N N N N N N COUNTRYWIDE HOME LOANS 2007-5 N/A 12544VCN7 29813.390000 PA USD 25727.960000 0.0062005 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 5.75 Y N N N N N CREDIT SUISSE MRTG CAPITAL CERT 2006-7 N/A 22942KAJ9 93836.720000 PA USD 87718.940000 0.0211405 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 5.75 Y N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VAL5 1250000.000000 PA USD 1381598.180000 0.3329681 Long DBT CORP US N 2 2029-02-15 Fixed 4.3 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2004-AR8 N/A 22541SXE3 101204.600000 PA USD 102198.610000 0.0246301 Long ABS-MBS CORP US N 2 2034-09-25 Floating 4.21858 N N N N N N CSN RESOURCES SA 222100ZEX458NMOXZP08 12644VAB4 250000.000000 PA USD 261562.500000 0.0630371 Long DBT CORP LU N 2 2023-02-13 Fixed 7.625 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DR2 1000000.000000 PA USD 1023395.770000 0.2466406 Long DBT CORP US N 2 2022-02-22 Fixed 3.4 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DV3 600000.000000 PA USD 603309.220000 0.1453988 Long DBT CORP US N 2 2022-02-15 Floating 3.05813 N N N N N N DANONE SA 969500KMUQ2B6CBAF162 23636TAC4 200000.000000 PA USD 199758.950000 0.0481423 Long DBT CORP FR N 2 2021-11-02 Fixed 2.077 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 25272KAD5 600000.000000 PA USD 618814.570000 0.1491356 Long DBT CORP US N 2 2021-06-15 Fixed 4.42 N N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2005-1 N/A 251510CV3 430753.390000 PA USD 422954.690000 0.1019330 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.51838 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BS7 900000.000000 PA USD 867500.090000 0.2090694 Long DBT CORP DE N 2 2023-02-27 Floating 3.36225 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BX6 2500000.000000 PA USD 2536829.130000 0.6113812 Long DBT CORP DE N 2 2021-10-14 Fixed 4.25 N N N N N N DORIC NIMROD AIR FINANCE ALPHA LTD 2012-1 CLASS A PASS THROUGH TRUST N/A 258258AA0 426376.080000 PA USD 433635.180000 0.1045070 Long DBT CORP GG N 2 2024-11-30 Fixed 5.125 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CAJ4 500000.000000 PA USD 512048.980000 0.1234049 Long DBT CORP US N 2 2022-08-15 Fixed 3.05 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CAF2 300000.000000 PA USD 307129.510000 0.0740189 Long DBT CORP US N 2 2021-09-15 Fixed 3.55 N N N N N N EMC MORTGAGE LOAN TRUST 2002-B N/A 268668BD1 30647.820000 PA USD 30446.470000 0.0073377 Long ABS-MBS CORP US N 2 2041-02-25 Floating 3.31838 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29364GAF0 100000.000000 PA USD 102037.880000 0.0245913 Long DBT CORP US N 2 2020-09-15 Fixed 5.125 N N N N N N EQT CORPORATION 4NT01YGM4X7ZX86ISY52 26884LAC3 100000.000000 PA USD 99857.210000 0.0240658 Long DBT CORP US N 2 2020-10-01 Fixed 2.5 N N N N N N EQUIFAX INC 5493004MCF8JDC86VS77 294429AP0 200000.000000 PA USD 199966.670000 0.0481924 Long DBT CORP US N 2 2021-08-15 Floating 3.02813 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 300000.000000 PA 360190.760000 0.0868067 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FANNIE MAE 2003-66 N/A 31393C4W0 140168.960000 PA USD 22320.130000 0.0053792 Long ABS-MBS USGSE US N 2 2033-07-25 Floating 5.63162 N N N N N N FANNIE MAE 2007-15 N/A 31396PWK3 575273.680000 PA USD 108324.720000 0.0261065 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 4.36162 N N N N N N FANNIE MAE 2007-4 N/A 31396PMQ1 243032.050000 PA USD 47391.860000 0.0114215 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 5.18162 N N N N N N FANNIE MAE 2009-87 N/A 31398FR45 219442.300000 PA USD 36799.680000 0.0088688 Long ABS-MBS USGSE US N 2 2039-11-25 Floating 4.13162 N N N N N N FANNIE MAE 2010-111 N/A 31398NWE0 53269.210000 PA USD 53571.590000 0.0129109 Long ABS-MBS USGSE US N 2 2040-10-25 Floating 2.53838 N N N N N N FANNIE MAE 2010-2 N/A 31398G7B9 1390353.130000 PA USD 230718.810000 0.0556037 Long ABS-MBS USGSE US N 2 2037-05-25 Floating 4.38162 N N N N N N FANNIE MAE REMICS 2007-22 N/A 31396PT92 441202.670000 PA USD 72723.920000 0.0175266 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 4.03162 N N N N N N FANNIE MAE REMICS 2007-25 N/A 31396VCB2 9218.270000 PA USD 9195.430000 0.0022161 Long ABS-MBS USGSE US N 2 2037-04-25 Floating 2.34838 N N N N N N FANNIE MAE REMICS 2007-32 N/A 31396VDT2 2600742.000000 PA USD 564809.640000 0.1361203 Long ABS-MBS USGSE US N 2 2037-04-25 Floating 4.77162 N N N N N N FANNIE MAE REMICS 2007-32 N/A 31396VDR6 1128763.240000 PA USD 189066.040000 0.0455653 Long ABS-MBS USGSE US N 2 2037-04-25 Floating 4.08162 N N N N N N FANNIE MAE REMICS 2007-70 N/A 31396WRQ1 16571.380000 PA USD 16580.020000 0.0039958 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 2.36838 N N N N N N FANNIE MAE REMICS 2011-40 N/A 31397SWJ9 4286.000000 PA USD 5411.230000 0.0013041 Long ABS-MBS USGSE US N 2 2040-11-25 Floating 4.84436 N N N N N N FANNIE MAE REMICS 2011-60 N/A 31397U3F4 860245.770000 PA USD 823824.430000 0.1985434 Long ABS-MBS USGSE US N 2 2039-08-25 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 1520797.770000 PA USD 1596464.530000 0.3847514 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132LAY63 874160.500000 PA USD 912304.840000 0.2198674 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2005-AA10 N/A 32051GA88 236546.790000 PA USD 215836.360000 0.0520170 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.81556 N N N N N N FNMA PASS THRU POOLS N/A 31371NSN6 10779.990000 PA USD 11666.350000 0.0028116 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WKW27 2004601.720000 PA USD 2108251.500000 0.5080931 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9C84 2469399.650000 PA USD 2578031.900000 0.6213112 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZL0 300000.000000 PA USD 304645.580000 0.0734202 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 200000.000000 PA USD 205631.540000 0.0495576 Long DBT CORP US N 2 2022-01-07 Floating 5.44263 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YY3 400000.000000 PA USD 395431.480000 0.0952998 Long DBT CORP US N 2 2021-04-05 Floating 3.0985 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540RAC0 400000.000000 PA USD 400056.590000 0.0964145 Long DBT CORP US N 2 2020-09-24 Floating 3.06463 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YR8 400000.000000 PA USD 396605.600000 0.0955828 Long DBT CORP US N 2 2020-11-02 Floating 2.69563 N N N N N N FREDDIE MAC 2764 N/A 31394TYD1 281640.030000 PA USD 314203.420000 0.0757237 Long ABS-MBS USGSE US N 2 2034-03-15 Fixed 5.5 N N N N N N FREDDIE MAC 3218 N/A 31397BJY8 447591.590000 PA USD 78008.190000 0.0188001 Long ABS-MBS USGSE US N 2 2036-09-15 Floating 4.5425 N N N N N N FREDDIE MAC 3311 N/A 31397H6P8 16159.000000 PA USD 16166.420000 0.0038961 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 2.3275 N N N N N N FREDDIE MAC REMICS 3828 N/A 3137A7VH0 2985.400000 PA USD 4595.130000 0.0011074 Long ABS-MBS USGSE US N 2 2041-02-15 Floating 7.1175 N N N N N N FREDDIE MAC REMICS 3844 N/A 3137A8VQ8 1224000.000000 PA USD 1526509.400000 0.3678920 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 5 N N N N N N FREDDIE MAC REMICS 3848 N/A 3137A9D52 400000.000000 PA USD 457285.760000 0.1102068 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 5 N N N N N N FREDDIE MAC REMICS 3922 N/A 3137AFHT2 602120.490000 PA USD 884477.190000 0.2131609 Long ABS-MBS USGSE US N 2 2041-09-15 Floating 8.24925 N N N N N N FREDDIE MAC REMICS 3951 N/A 3137AHVF2 169221.470000 PA USD 200889.860000 0.0484149 Long ABS-MBS USGSE US N 2 2040-02-15 Floating 6.805 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XBN5 843000.000000 PA USD 843060.910000 0.2031795 Long DBT CORP US N 2 2019-10-04 Floating 3.583 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCN4 300000.000000 PA USD 300180.340000 0.0723441 Long DBT CORP US N 2 2021-11-06 Floating 3.33925 N N N N N N GEORGIA-PACIFIC LLC L2EVHWFHVAQK72TMH265 37331NAB7 200000.000000 PA USD 206913.960000 0.0498667 Long DBT CORP US N 2 2020-11-01 Fixed 5.4 N N N N N N GLS AUTO RECEIVABLES TRUST 2019-3A N/A 36258AAA8 1153537.120000 PA USD 1155012.720000 0.2783605 Long ABS-O CORP US N 2 2023-07-17 Fixed 2.58 N N N N N N GNMA PASS THRU POOLS N/A 21H0506B3 1300000.000000 PA USD 1369214.850000 0.3299837 Long ABS-MBS USGSE US N 2 2049-11-20 Fixed 5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 10828413.210000 PA USD 107125491.890000 25.8174717 Long STIV RF US N 1 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAF7 1000000.000000 PA USD 1007849.020000 0.2428938 Long DBT CORP US N 2 2021-11-15 Floating 3.32813 N N N N N N GS MORTGAGE SECURITIES CORP II 2010-C2 N/A 36248EAB1 1585000.000000 PA USD 1630662.900000 0.3929932 Long ABS-MBS CORP US N 2 2043-12-10 Variable 5.162 N N N N N N GSAA HOME EQUITY TRUST 2006-4 N/A 362334FF6 943046.510000 PA USD 424470.890000 0.1022984 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.60027 N N N N N N GSAA HOME EQUITY TRUST 2007-5 N/A 3622ECAA4 1018591.540000 PA USD 500364.450000 0.1205889 Long ABS-MBS CORP US N 2 2037-05-25 Floating 2.11838 Y N N N N N GSR MORTGAGE LOAN TRUST 2004-12 N/A 36242DLF8 44884.160000 PA USD 45802.040000 0.0110384 Long ABS-MBS CORP US N 2 2034-12-25 Floating 4.22349 N N N N N N GSR MORTGAGE LOAN TRUST 2004-4 N/A 36228FD45 48576.530000 PA USD 44444.410000 0.0107112 Long ABS-MBS CORP US N 2 2032-04-25 Floating 4.04 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR4 N/A 362341FR5 40598.880000 PA USD 41659.920000 0.0100401 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.64294 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341SF7 226125.310000 PA USD 232465.640000 0.0560247 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.54688 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341WZ8 54224.920000 PA USD 54772.140000 0.0132002 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.68168 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 172743.550000 PA USD 177732.380000 0.0428339 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.28749 N N N N N N GSR MORTGAGE LOAN TRUST 2007-1F N/A 3622MPAN8 200667.490000 PA USD 223856.630000 0.0539499 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 5.5 Y N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-12 N/A 41161PVF7 1997453.980000 PA USD 1550023.890000 0.3735591 Long ABS-MBS CORP US N 2 2035-10-19 Floating 4.44605 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 2300000.000000 PA 2834391.850000 0.6830945 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.76015 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BP3 300000.000000 PA USD 314055.000000 0.0756879 Long DBT CORP GB N 2 2028-03-23 Floating 6.5 N N N N Y HSBC Holdings Plc USD XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 BFM4XMII1 200000.000000 PA 260415.640000 0.0627607 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 BYXL2ZII5 300000.000000 PA 347217.300000 0.0836801 Long DBT CORP GB N 2 2029-07-04 Floating 4.75 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AL3 900000.000000 PA USD 953299.160000 0.2297471 Long DBT CORP GB N 2 2022-01-14 Fixed 4.875 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BG3 600000.000000 PA USD 611440.220000 0.1473584 Long DBT CORP GB N 2 2022-01-05 Floating 3.7885 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AV1 700000.000000 PA USD 710908.420000 0.1713304 Long DBT CORP GB N 2 2021-03-08 Fixed 3.4 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AW9 500000.000000 PA USD 541868.070000 0.1305914 Long DBT CORP GB N 2 2026-03-08 Fixed 4.3 N N N N N N IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1 N/A 45254TRR7 168565.110000 PA USD 151109.150000 0.0364176 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.70611 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 453140AD7 600000.000000 PA USD 602270.460000 0.1451485 Long DBT CORP GB N 2 2020-07-21 Fixed 2.95 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 430636.590000 PA USD 413765.970000 0.0997185 Long ABS-MBS CORP US N 2 2046-09-25 Floating 2.20838 N N N N N N INTERNATIONAL LEASE FINANCE CORPORATION N/A 459745GN9 100000.000000 PA USD 109601.330000 0.0264142 Long DBT CORP US N 2 2022-08-15 Fixed 5.875 N N N N N N INTERPUBLIC GROUP OF COMPANIES INC 5493008IUOJ5VWTRC333 460690BH2 500000.000000 PA USD 516830.040000 0.1245571 Long DBT CORP US N 2 2022-03-15 Fixed 4 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513YJJ8 500000.000000 PA USD 588595.000000 0.1418526 Long DBT NUSS IL N 2 2048-01-17 Fixed 4.125 N N N N N N JAPAN GOVT N/A ACI12NZL6 988104600.000000 PA 9531496.860000 2.2971110 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HHA1 400000.000000 PA USD 402482.800000 0.0969992 Long DBT CORP US N 2 2020-01-30 Floating 5.73575 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A3 N/A 466247PW7 31911.340000 PA USD 32266.530000 0.0077763 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.49674 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAC9 39171.050000 PA USD 40274.410000 0.0097062 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.35691 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAD7 548394.640000 PA USD 571167.390000 0.1376526 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.35691 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAJ4 17642.190000 PA USD 18328.070000 0.0044171 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.50792 N N N N N N KINDER MORGAN ENERGY PARTNERS LP 549300PDHUGWPWGOT525 28370TAE9 200000.000000 PA USD 209221.870000 0.0504229 Long DBT CORP US N 2 2021-10-01 Fixed 5 N N N N N N KOMATSU FINANCE AMERICA INC 549300SRAAFEEQ8Z4D68 ACI0XJX92 200000.000000 PA USD 199454.740000 0.0480690 Long DBT CORP US N 2 2020-09-11 Fixed 2.118 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAM8 100000.000000 PA USD 105347.170000 0.0253889 Long DBT CORP US N 2 2045-07-15 Fixed 5.2 N N N N N N SL GREEN REALTY CORP 549300VQZPJU97H3GT17 78440X507 121300.000000 NS USD 3152587.000000 0.7597802 Long EP CORP US N 1 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAK9 2700000.000000 PA USD 2709670.270000 0.6530363 Long DBT CORP GB N 2 2023-03-17 Floating 2.858 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UM6 61829.920000 PA USD 63779.130000 0.0153709 Long ABS-MBS CORP US N 2 2034-11-21 Floating 4.73419 N N N N N N MASTR ASSET BACKED SEC TR 2004-FRE1 N/A 57643LEA0 1000000.000000 PA USD 1002799.800000 0.2416769 Long ABS-MBS CORP US N 2 2034-07-25 Floating 4.71838 Y N N N N N MELLON RESIDENTIAL FUND CORP 2002-TBC2 N/A 585525FX1 194921.570000 PA USD 192511.420000 0.0463957 Long ABS-MBS CORP US N 2 2032-08-15 Floating 2.8875 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAD6 709272.540000 PA USD 296740.130000 0.0715150 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.12838 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A2 N/A 589929M96 97849.890000 PA USD 97525.450000 0.0235038 Long ABS-MBS CORP US N 2 2033-02-25 Floating 3.53138 N N N N N N MERRILL LYNCH MTGE INVESTORS 2006-A3 N/A 59023CAK8 383398.850000 PA USD 360321.800000 0.0868383 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.10438 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BN2 400000.000000 PA USD 440169.260000 0.1060817 Long DBT CORP US N 2 2029-02-06 Fixed 5.327 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-NC2 N/A 61744CPK6 1000000.000000 PA USD 1007216.100000 0.2427412 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.93338 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAB6 812569.550000 PA USD 498430.320000 0.1201228 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.10838 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE4 N/A 61753VAA0 3913550.580000 PA USD 2045832.050000 0.4930499 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.14838 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAA4 10856014.640000 PA USD 5475679.340000 1.3196504 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.23338 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAB2 3201124.860000 PA USD 1729523.270000 0.4168188 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.12838 N N N N N N MORGAN STANLEY CAPITAL I 2011-C2 N/A 617459AD4 250000.000000 PA USD 257947.850000 0.0621660 Long ABS-MBS CORP US N 2 2044-06-15 Fixed 4.661 N N N N N N MORGAN STANLEY DEAN WITTER CAP I2002-AM3 N/A 61746WWR7 487069.710000 PA USD 488568.810000 0.1177461 Long ABS-MBS CORP US N 2 2033-02-25 Floating 2.99838 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAP6 16953.660000 PA USD 17688.040000 0.0042629 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.36453 N N N N N N MORGAN STANLEY REREMIC TRUST 2011-R2 N/A 61760JAA8 265561.910000 PA USD 226311.590000 0.0545416 Long ABS-MBS CORP US N 2 2037-05-26 Floating 5.25 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAC1 300000.000000 PA USD 315264.360000 0.0759794 Long DBT CORP GB N 2 2024-08-01 Floating 4.363 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 78442FEJ3 200000.000000 PA USD 204500.000000 0.0492849 Long DBT CORP US N 2 2020-03-25 Fixed 8 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAC2 100000.000000 PA USD 104250.000000 0.0251245 Long DBT CORP US N 2 2021-03-25 Fixed 5.875 N N N N N N NAVIENT PRIVATE EDUCATION LOAN TRUST 2017-A N/A 63939XAA9 137332.890000 PA USD 137313.610000 0.0330929 Long ABS-O CORP US N 2 2058-12-16 Floating 2.4275 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KAA8 600000.000000 PA USD 619334.390000 0.1492609 Long DBT CORP US N 2 2021-06-01 Fixed 4.5 N N N N N N NORTH CAROLINA STATE EDUCATION ASSISTANCE AUTHORITY 2012-1 N/A 658262GE4 1418692.690000 PA USD 1402150.730000 0.3379213 Long ABS-O MUN US N 2 2039-07-25 Floating 2.81838 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599CT0 600000.000000 PA USD 603982.000000 0.1455609 Long DBT CORP US N 2 2021-02-08 Floating 3.137 N N N N N N OHIO STATE UNIVERSITY JFC10ZULKO4X2E3HBY86 677632PA3 300000.000000 PA USD 400110.000000 0.0964274 Long DBT MUN US N 2 2111-06-01 Fixed 4.8 N N N N N N PANHANDLE-PLAINS HIGHER EDU AUTH 2010-2 N/A 698475AM2 115262.360000 PA USD 115758.770000 0.0278981 Long ABS-O CORP US N 2 2035-10-01 Floating 3.22863 N N N N N N PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP N/A 709599BB9 300000.000000 PA USD 315932.890000 0.0761405 Long DBT CORP US N 2 2024-02-01 Fixed 3.9 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NBF5 57000.000000 PA USD 59530.800000 0.0143470 Long DBT CORP NL N 2 2030-01-15 Fixed 5.093 N N N N N N RESIDENTIAL ASSET MORTGAGE PROD 2006-RS2 N/A 76112B2D1 1789800.310000 PA USD 1766207.160000 0.4256597 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.31838 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780099CJ4 1300000.000000 PA USD 1330875.000000 0.3207437 Long DBT CORP GB N 2 2020-08-10 Floating 7.5 N N N N Y Royal Bank of Scotland Group plc GBP XXXX N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TAG4 500000.000000 PA USD 536545.500000 0.1293086 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TAJ8 250000.000000 PA USD 301497.500000 0.0726615 Long DBT NUSS SA N 2 2049-04-17 Fixed 5 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4 N/A 81375WFJ0 1461549.810000 PA USD 1169665.450000 0.2818919 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.97838 Y N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 1237960.970000 PA USD 702447.030000 0.1692912 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.25838 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAL3 800000.000000 PA USD 815898.860000 0.1966334 Long DBT CORP US N 2 2022-11-06 Fixed 2.9 N N N N N N SEQUOIA MORTGAGE TRUST 2004-3 N/A 81744FAZ0 110798.690000 PA USD 109630.170000 0.0264211 Long ABS-MBS CORP US N 2 2034-05-20 Floating 3.13363 N N N N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 44106MAQ5 800000.000000 PA USD 836676.920000 0.2016409 Long DBT CORP US N 2 2022-08-15 Fixed 5 N N N N N N SLM STUDENT LOAN TRUST 2003-5 N/A B010CSII5 119370.130000 PA 130232.660000 0.0313863 Long ABS-O CORP US N 2 2024-06-17 Floating 0 N N N N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 78448TAB8 200000.000000 PA USD 202238.070000 0.0487398 Long DBT CORP IE N 2 2022-07-15 Fixed 3 N N N N N N SPECIALTY UNDERWRT& RES FIN 2006-BC3 N/A 84751WAD6 224844.080000 PA USD 149493.840000 0.0360283 Long ABS-MBS CORP US N 2 2037-06-25 Floating 2.16838 N N N N N N ACTIVISION BLIZZARD INC (AKA: ACTIVISION INC) 549300TPQQDBP9GNOF40 00507VAL3 700000.000000 PA USD 707417.800000 0.1704892 Long DBT CORP US N 2 2022-06-15 Fixed 2.6 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BR0 800000.000000 PA USD 804504.000000 0.1938872 Long DBT CORP GB N 2 2022-09-10 Floating 3.33413 N N N N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 BJBQCWII7 350000.000000 PA 480858.840000 0.1158880 Long DBT CORP NL N 2 2049-12-29 Variable 6.5 N N N N N N STRUCTURED ADJUSTABLE RT MTG LN 2004-20 N/A 863579HD3 341633.910000 PA USD 345712.610000 0.0833175 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.03888 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC8 N/A 86358EEC6 539952.780000 PA USD 531809.000000 0.1281671 Long ABS-MBS CORP US N 2 2033-08-25 Floating 5.16838 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAA6 263949.570000 PA USD 262830.240000 0.0633426 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.22838 N N N N N N STRUCTURED ASSET SEC CORP 2007-WF1 N/A 86358BAT9 3619261.030000 PA USD 3575452.050000 0.8616916 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.22838 N N N N N N SUNTRUST ADJR MRTG LN TR 2007-S1 N/A 855541AA6 492033.070000 PA USD 463980.640000 0.1118203 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.79847 Y N N N N N TELSTRA CORPORATION LIMITED PCTXNQGRJVR3OG33JG65 87969NAC9 500000.000000 PA USD 524160.520000 0.1263238 Long DBT CORP AU N 2 2021-10-12 Fixed 4.8 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAC5 910430.060000 PA USD 874017.770000 0.2106401 Long ABS-MBS CORP US N 2 2047-06-25 Floating 3.28338 Y N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAG6 104037.850000 PA USD 96257.160000 0.0231982 Long ABS-MBS CORP US N 2 2047-06-25 Floating 3.28338 Y N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 000000000 3400000.000000 PA 2563274.330000 0.6177546 Long DBT CORP CA N 2 2019-10-25 Fixed 0 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 1038160.160000 PA 1279635.350000 0.3083948 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.79763 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00772BAF8 300000.000000 PA USD 309790.700000 0.0746602 Long DBT CORP IE N 2 2021-05-15 Fixed 4.5 N N N N N N TRANSOCEAN POSEIDON LIMITED N/A 89383JAA6 1300000.000000 PA USD 1345500.000000 0.3242684 Long DBT CORP KY N 2 2027-02-01 Fixed 6.875 N N N N N N TTX COMPANY 549300I8CNSYS1OGX775 87305QCK5 250000.000000 PA USD 250605.750000 0.0603965 Long DBT CORP US N 2 2020-06-15 Fixed 2.6 N N N N N N UBS AG/STAMFORD CT BRANCH BFM8T61CT2L1QCEMIK50 90261AAB8 1200000.000000 PA USD 1354914.000000 0.3265372 Long DBT CORP CH N 2 2022-08-17 Fixed 7.625 N N N N N N UBS GROUP FUNDING (SWITZERLAND) AG 506700Q800G1L95S7805 90352JAD5 200000.000000 PA USD 201057.770000 0.0484554 Long DBT CORP CH N 2 2023-08-15 Floating 3.10813 N N N N N N UBS GROUP FUNDING (SWITZERLAND) AG 506700Q800G1L95S7805 90351DAA5 200000.000000 PA USD 201756.450000 0.0486237 Long DBT CORP CH N 2 2020-09-24 Fixed 2.95 N N N N N N UBS GROUP FUNDING (SWITZERLAND) AG 506700Q800G1L95S7805 90351DAB3 200000.000000 PA USD 216268.320000 0.0521211 Long DBT CORP CH N 2 2025-09-24 Fixed 4.125 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAH8 500000.000000 PA USD 520061.350000 0.1253359 Long DBT CORP IE N 2 2021-12-16 Fixed 4.45 N N N N N N UMBS PASS THRU POOLS N/A 01F0226B6 2200000.000000 PA USD 2188191.590000 0.5273588 Long ABS-MBS USGSE US N 2 2049-11-13 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0306B9 22500000.000000 PA USD 22830468.530000 5.5021915 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 19500000.000000 PA USD 20011493.970000 4.8228127 Long ABS-MBS USGSE US N 2 2049-11-13 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0406A0 44900000.000000 PA USD 46601289.290000 11.2310099 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 22000000.000000 PA USD 22844765.460000 5.5056371 Long ABS-MBS USGSE US N 2 2049-11-13 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F0426B4 6900000.000000 PA USD 7271414.100000 1.7524263 Long ABS-MBS USGSE US N 2 2049-11-13 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0506B7 -1300000.000000 PA USD -1393742.190000 0.3358948 Short ABS-MBS USGSE US N 2 2049-11-13 Fixed 5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 800000.000000 PA USD 938603.040000 0.2262053 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796WA3 14000.000000 PA USD 13985.290000 0.0033705 Long DBT UST US N 2 2019-10-22 Fixed 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796RM3 262000.000000 PA USD 261538.640000 0.0630314 Long DBT UST US N 2 2019-11-07 Fixed 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796SX8 543000.000000 PA USD 540937.370000 0.1303671 Long DBT UST US N 2 2019-12-19 Fixed 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828SA9 7027886.000000 PA USD 6964675.440000 1.6785016 Long DBT UST US N 2 2022-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 223180.000000 PA USD 229385.560000 0.0552824 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 1100820.000000 PA USD 1321732.390000 0.3185403 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 1191047.000000 PA USD 1330387.300000 0.3206262 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 5826184.000000 PA USD 6553620.130000 1.5794364 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 5556602.000000 PA USD 6294964.270000 1.5170998 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X39 5485688.000000 PA USD 5433041.850000 1.3093747 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828P46 900000.000000 PA USD 900544.920000 0.2170332 Long DBT UST US N 2 2026-02-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286B1 40900000.000000 PA USD 44284634.920000 10.6726913 Long DBT UST US N 2 2029-02-15 Fixed 2.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QE1 1500000.000000 PA USD 2173154.300000 0.5237348 Long DBT UST US N 2 2040-02-15 Fixed 4.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 5200000.000000 PA USD 6206281.220000 1.4957270 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284S6 2200000.000000 PA USD 2291824.220000 0.5523345 Long DBT UST US N 2 2023-05-31 Fixed 2.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286T2 11800000.000000 PA USD 12536117.160000 3.0212309 Long DBT UST US N 2 2029-05-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SC3 560000.000000 PA USD 681340.630000 0.1642045 Long DBT UST US N 2 2048-05-15 Fixed 3.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828VV9 100000.000000 PA USD 100255.860000 0.0241619 Long DBT UST US N 2 2020-08-31 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284V9 1000000.000000 PA USD 1099882.810000 0.2650741 Long DBT UST US N 2 2028-08-15 Fixed 2.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 200000.000000 PA USD 238078.120000 0.0573773 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828L65 200000.000000 PA USD 199152.340000 0.0479961 Long DBT UST US N 2 2020-09-30 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285C0 7600000.000000 PA USD 8204289.070000 1.9772511 Long DBT UST US N 2 2025-09-30 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828L99 100000.000000 PA USD 99544.920000 0.0239905 Long DBT UST US N 2 2020-10-31 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285J5 7600000.000000 PA USD 8212007.780000 1.9791114 Long DBT UST US N 2 2025-10-31 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828A42 100000.000000 PA USD 100226.560000 0.0241548 Long DBT UST US N 2 2020-11-30 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285M8 -1050000.000000 PA USD -1179260.740000 0.2842043 Short DBT UST US N 2 2028-11-15 Fixed 3.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N48 200000.000000 PA USD 199910.160000 0.0481788 Long DBT UST US N 2 2020-12-31 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828U81 34500000.000000 PA USD 34786376.910000 8.3835909 Long DBT UST US N 2 2021-12-31 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285T3 3100000.000000 PA USD 3286363.290000 0.7920206 Long DBT UST US N 2 2025-12-31 Fixed 2.625 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VEP5 400000.000000 PA USD 406507.080000 0.0979691 Long DBT CORP US N 2 2025-05-15 Floating 3.25813 N N N N N N WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP) 06BTX5UWZD0GQ5N5Y745 960386AN0 500000.000000 PA USD 532905.010000 0.1284312 Long DBT CORP US N 2 2024-03-15 Variable 4.4 N N N N N N WAMU MTGE P/T CERT 2007-OA5 N/A 93364BAA8 1088041.590000 PA USD 1049618.050000 0.2529602 Long ABS-MBS CORP US N 2 2047-06-25 Floating 3.19605 N N N N N N WASHINGTON MUTUAL 2003-AR6 N/A 9292274D5 222053.150000 PA USD 229843.440000 0.0553928 Long ABS-MBS CORP US N 2 2033-06-25 Floating 4.70922 N N N N N N WASHINGTON MUTUAL 2005-AR17 N/A 92922F7P7 1043830.450000 PA USD 1068344.180000 0.2574732 Long ABS-MBS CORP US N 2 2045-12-25 Floating 2.28838 N N N N N N ALLERGAN SALES LLC 254900TUPGX2F5Y3AU71 345838AA4 500000.000000 PA USD 525431.310000 0.1266301 Long DBT CORP US N 2 2021-12-15 Fixed 5 N N N N N N WASHINGTON MUTUAL 2005-AR7 N/A 92922FQ50 165902.220000 PA USD 169270.120000 0.0407945 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.27027 N N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAB6 122305.950000 PA USD 123437.520000 0.0297487 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.2925 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAB3 272439.250000 PA USD 267569.230000 0.0644848 Long ABS-MBS CORP US N 2 2046-08-25 Floating 2.655 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746PM7 161000.000000 PA USD 163213.750000 0.0393349 Long DBT CORP US N 2 2019-12-15 Floating 5.8885 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SJ1 200000.000000 PA USD 203125.350000 0.0489536 Long DBT CORP US N 2 2023-10-31 Floating 3.4855 N N N N N N WELLS FARGO HOME EQUITY TRUST 2005-2 N/A 94981PAJ9 1100000.000000 PA USD 1109097.110000 0.2672948 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.96338 N N N N N N WELLS FARGO HOME EQUITY TRUST 2005-4 N/A 9497EMAJ4 1900000.000000 PA USD 1886481.690000 0.4546461 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.51838 N N N N N N WELLS FARGO MTGE BKD SEC TR 2005-AR1 N/A 949781AC2 166272.130000 PA USD 171916.540000 0.0414323 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.08562 N N N N N N N/A N/A 000000000 577000.000000 PA USD 577000.000000 0.1390582 Long RA US N 2 Repurchase N 1.5000000 2019-10-01 585000.000000 USD 589364.680000 USD UST N N N N/A N/A 000000000 4168000.000000 PA 3146016.530000 0.7581967 Long RA CA N 2 Repurchase N 1.7000000 2019-11-07 3200000.000000 CAD 4114926.660000 CAD N N N N/A N/A 000000000 1187813.000000 PA USD 1187813.000000 0.2862655 Long RA US N 2 Repurchase N 2.0000000 2019-10-03 1050000.000000 USD 1178973.630000 USD UST N N N N/A N/A 000000000 -3937500.000000 PA USD -3947846.880000 0.9514395 Short RA US N 2 Reverse repurchase N 2.2000000 2019-10-16 3600000.000000 USD 3896929.690000 USD UST N N N N/A N/A 000000000 1.000000 NC USD -179566.920000 0.0432760 N/A DCR US N 2 Bank of America, N.A. 9DJT3UXIJIZJI4WXO774 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -519650.500000 USD 2477421.240000 USD 340083.580000 N N N N/A N/A 000000000 1.000000 NC USD -9866.860000 0.0023779 N/A DFE GB N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 4640350.340000 USD 3766000.000000 GBP 2019-10-02 -9866.860000 N N N N/A N/A 000000000 1.000000 NC -12036.280000 0.0029008 N/A DFE CA N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 5508000.000000 CAD 4148299.450000 USD 2019-11-15 -12036.280000 N N N N/A N/A 000000000 1.000000 NC -1155.890000 0.0002786 N/A DFE CA N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 4167000.000000 CAD 3146287.650000 USD 2019-11-15 -1155.890000 N N N N/A N/A 000000000 1.000000 NC 9925.230000 0.0023920 N/A DFE GB N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 3766000.000000 GBP 4646622.610000 USD 2019-11-04 9925.230000 N N N N/A N/A 000000000 1.000000 NC USD -26245.080000 0.0063251 N/A DFE N/A N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 8318587.200000 USD 7608000.000000 EUR 2019-10-02 -26245.080000 N N N N/A N/A 000000000 1.000000 NC USD -3204.140000 0.0007722 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 150869.860000 USD 2965000.000000 MXN 2020-01-22 -3204.140000 N N N N/A N/A 000000000 1.000000 NC 2667.960000 0.0006430 N/A DFE CH N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 665000.000000 CHF 668967.240000 USD 2019-10-02 2667.960000 N N N N/A N/A 000000000 1.000000 NC 25925.540000 0.0062481 N/A DFE N/A N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 7608000.000000 EUR 8338885.340000 USD 2019-11-04 25925.540000 N N N N/A N/A 000000000 1.000000 NC 3376.870000 0.0008138 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 2965000.000000 MXN 153446.460000 USD 2019-10-09 3376.870000 N N N N/A N/A 000000000 1.000000 NC 12091.880000 0.0029142 N/A DFE ZA N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 2379000.000000 ZAR 169049.150000 USD 2019-10-08 12091.880000 N N N N/A N/A 000000000 1.000000 NC USD -5653.590000 0.0013625 N/A DFE N/A N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 1034566.700000 USD 944000.000000 EUR 2019-10-02 -5653.590000 N N N N/A N/A 000000000 1.000000 NC USD -13295.160000 0.0032042 N/A DFE N/A N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 679254.810000 USD 611000.000000 EUR 2019-10-02 -13295.160000 N N N N/A N/A 000000000 1.000000 NC USD -139585.400000 0.0336404 N/A DFE ZA N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 2424223.150000 USD 34623668.720000 ZAR 2019-10-07 -139585.400000 N N N N/A N/A 000000000 1.000000 NC 2609.590000 0.0006289 N/A DFE N/A N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 292000.000000 EUR 320875.090000 USD 2019-10-02 2609.590000 N N N N/A N/A 000000000 1.000000 NC 30957.710000 0.0074609 N/A DFE N/A N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 1933000.000000 EUR 2137831.700000 USD 2019-10-02 30957.710000 N N N N/A N/A 000000000 1.000000 NC -15234.910000 0.0036716 N/A DFE TW N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 58769363.000000 TWD 1889386.370000 USD 2019-12-18 -15234.910000 N N N AMERICAN HOME MORTGAGE ASSETS 2006-5 N/A 02660KAA0 10914966.430000 PA USD 5444803.300000 1.3122092 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 -468907.860000 0.1130078 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 -426547.840000 USD 5952000.000000 USD -42360.020000 N N N N/A N/A 000000000 1.000000 NC USD 199821.910000 0.0481575 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.HY.32 N/A N/A Y Single Leg Swap 2024-06-21 178378.200000 USD 0.000000 USD 2772000.000000 USD 21443.710000 N N N N/A N/A 000000000 1.000000 NC USD 799453.160000 0.1926699 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.IG.32 N/A N/A Y Single Leg Swap 2024-06-21 696216.670000 USD 0.000000 USD 37400000.000000 USD 103236.490000 N N N N/A N/A 000000000 1.000000 NC USD 307293.890000 0.0740585 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.33 Y Single Leg Swap 2024-12-21 312000.260000 USD 0.000000 USD 15400000.000000 USD -4706.370000 N N N N/A N/A 000000000 1.000000 NC USD -12631.530000 0.0030442 N/A DFE AU N 2 Citibank NA E57ODZWZ7FF32TWEFA76 678807.280000 USD 987000.000000 AUD 2019-10-02 -12631.530000 N N N N/A N/A 000000000 1.000000 NC USD 11385.530000 0.0027439 N/A DFE CA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2968375.630000 USD 3945000.000000 CAD 2019-11-15 11385.530000 N N N N/A N/A 000000000 1.000000 NC USD 13785.840000 0.0033224 N/A DFE CA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 3442586.040000 USD 4576000.000000 CAD 2019-11-15 13785.840000 N N N AMERICAN HOME MTGE INV TRUST 2004-4 N/A 02660TCS0 154754.120000 PA USD 155896.820000 0.0375715 Long ABS-MBS CORP US N 2 2045-02-25 Floating 4.03138 N N N N N N N/A N/A 000000000 1.000000 NC USD -65524.340000 0.0157915 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2195687.580000 USD 7431524174.600000 COP 2019-11-25 -65524.340000 N N N N/A N/A 000000000 1.000000 NC USD -37157.260000 0.0089550 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2564752.080000 USD 2319000.000000 EUR 2019-10-02 -37157.260000 N N N N/A N/A 000000000 1.000000 NC USD -17531.250000 0.0042251 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1340526.530000 USD 1076000.000000 GBP 2019-10-02 -17531.250000 N N N N/A N/A 000000000 1.000000 NC USD -40448.840000 0.0097483 N/A DFE RU N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2352982.070000 USD 150243787.460000 RUB 2019-10-17 -40448.840000 N N N N/A N/A 000000000 1.000000 NC 5035.800000 0.0012136 N/A DFE BR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 901475.400000 BRL 222000.000000 USD 2019-10-02 5035.800000 N N N N/A N/A 000000000 1.000000 NC 1633.920000 0.0003938 N/A DFE CA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 3900000.000000 CAD 2946663.800000 USD 2019-10-28 1633.920000 N N N N/A N/A 000000000 1.000000 NC 15817.410000 0.0038120 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 897000.000000 GBP 1118723.330000 USD 2019-10-02 15817.410000 N N N AMERICAN INTERNATIONAL GROUP INC ODVCVCQG2BP6VHV36M30 026874CY1 2100000.000000 PA USD 2248883.180000 0.5419856 Long DBT CORP US N 2 2024-02-15 Fixed 4.125 N N N N N N N/A N/A 000000000 1.000000 NC 489.870000 0.0001181 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 193100000.000000 JPY 1786385.820000 USD 2019-10-02 489.870000 N N N N/A N/A 000000000 1.000000 NC USD -1137691.700000 0.2741861 N/A DE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 USD-LIBOR-BBA-Bloomberg 1M N/A N/A Y 2020-04-22 0.000000 USD 0.000000 USD 62278678.310000 USD -1137691.700000 N N N N/A N/A 000000000 1.000000 NC USD -810351.330000 0.1952964 N/A DE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 USD-LIBOR-BBA-Bloomberg 1M N/A N/A Y 2020-03-18 0.000000 USD 0.000000 USD 96938500.460000 USD -810351.330000 N N N N/A N/A 000000000 1.000000 NC USD -1129512.290000 0.2722149 N/A DE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 USD-LIBOR-BBA-Bloomberg 1M N/A N/A Y 2020-07-15 0.000000 USD 0.000000 USD 134921716.460000 USD -1129512.290000 N N N N/A N/A 000000000 1.000000 NC USD -5565644.750000 1.3413322 N/A DE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 USD-LIBOR-BBA-Bloomberg 1M N/A N/A Y 2019-10-10 0.000000 USD 0.000000 USD 124986354.500000 USD -5565644.750000 N N N N/A N/A 000000000 -411.000000 NC USD -35962.500000 0.0086670 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT EURO$ CME (WHT) 12/16/19 2019-12-17 N/A USD N/A 97.880000 USD 2019-12-16 XXXX 8108.670000 N N N N/A N/A 000000000 -411.000000 NC USD -87337.500000 0.0210485 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT EURO$ CME (WHT) 12/16/19 2019-12-17 N/A USD N/A 98.000000 USD 2019-12-16 XXXX -3703.830000 N N N N/A N/A 000000000 411.000000 NC USD 166968.750000 0.0402398 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT EURO$ CME (WHT) 12/16/19 2019-12-17 N/A USD N/A 98.130000 USD 2019-12-16 XXXX 19396.170000 N N N N/A 529900AQBND3S6YJLY83 000000000 17.000000 NC -4635.990000 0.0011173 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2019-12-06 3228705.370000 EUR -4635.990000 N N N N/A 529900AQBND3S6YJLY83 000000000 -17.000000 NC 5357.520000 0.0012912 N/A DIR DE N 1 Eurex N/A Call Written Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 12/06/19 2019-12-07 N/A EUR N/A 174.500000 EUR 2019-10-25 XXXX 5357.520000 N N N N/A N/A 000000000 1.000000 NC USD -3200.170000 0.0007712 N/A DFE AR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 78925.300000 USD 5205123.540000 ARS 2019-11-21 -3200.170000 N N N N/A N/A 000000000 1.000000 NC USD -7434.740000 0.0017918 N/A DFE CH N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 888152.140000 USD 879000.000000 CHF 2019-10-02 -7434.740000 N N N N/A N/A 000000000 1.000000 NC USD -62979.380000 0.0151782 N/A DFE CN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 1224279.080000 USD 8300000.000000 CNY 2019-11-13 -62979.380000 N N N N/A N/A 000000000 1.000000 NC USD -51035.280000 0.0122996 N/A DFE CN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 993985.870000 USD 6739423.000000 CNY 2019-11-13 -51035.280000 N N N N/A N/A 000000000 1.000000 NC USD -165331.120000 0.0398452 N/A DFE CN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 3153043.090000 USD 21353669.000000 CNY 2019-11-13 -165331.120000 N N N N/A N/A 000000000 1.000000 NC 186.790000 0.0000450 N/A DFE AU N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 596000.000000 AUD 402457.050000 USD 2019-10-02 186.790000 N N N N/A N/A 000000000 1.000000 NC -76257.120000 0.0183781 N/A DFE BR N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 970000.000000 BRL 149541.360000 USD 2021-01-05 -76257.120000 N N N N/A N/A 000000000 1.000000 NC -160.530000 0.0000387 N/A DFE CA N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 172000.000000 CAD 129755.550000 USD 2019-11-15 -160.530000 N N N N/A N/A 000000000 1.000000 NC -394.130000 0.0000950 N/A DFE HK N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 1920406.280000 HKD 244815.510000 USD 2019-12-18 -394.130000 N N N N/A N/A 000000000 1.000000 NC 233.620000 0.0000563 N/A DFE HK N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 2136000.000000 HKD 272971.630000 USD 2019-12-18 233.620000 N N N N/A N/A 000000000 1.000000 NC 1870.810000 0.0004509 N/A DFE MX N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 2370000.000000 MXN 119903.780000 USD 2020-01-22 1870.810000 N N N N/A N/A 000000000 1.000000 NC -5923.340000 0.0014275 N/A DFE TW N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 14646000.000000 TWD 467654.380000 USD 2019-11-21 -5923.340000 N N N N/A N/A 000000000 1.000000 NC -21328.460000 0.0051402 N/A DFE TW N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 54810185.000000 TWD 1750956.300000 USD 2019-11-21 -21328.460000 N N N N/A N/A 000000000 1.000000 NC USD 12735.930000 0.0030694 N/A DFE AR N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 1148142.750000 USD 73779653.280000 ARS 2019-10-21 12735.930000 N N N N/A N/A 000000000 1.000000 NC USD -10534.320000 0.0025388 N/A DFE BR N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 2652701.050000 USD 10978070.650000 BRL 2019-10-02 -10534.320000 N N N N/A N/A 000000000 1.000000 NC 64573.160000 0.0155623 N/A DFE CN N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 21215835.000000 CNY 3033000.000000 USD 2019-11-13 64573.160000 N N N N/A N/A 000000000 1.000000 NC -10398.890000 0.0025062 N/A DFE TW N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 28048000.000000 TWD 896531.880000 USD 2019-11-21 -10398.890000 N N N N/A N/A 000000000 1.000000 NC -10433.210000 0.0025144 N/A DFE TW N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 22316000.000000 TWD 711153.600000 USD 2019-11-21 -10433.210000 N N N N/A N/A 000000000 1.000000 NC USD -1279.430000 0.0003083 N/A DFE MX N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 151366.610000 USD 2965347.490000 MXN 2019-10-09 -1279.430000 N N N N/A N/A 000000000 1.000000 NC 201.660000 0.0000486 N/A DFE CA N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 1191000.000000 CAD 899794.950000 USD 2019-11-15 201.660000 N N N 2019-11-13 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer