NPORT-P false 0000810893 XXXXXXXX S000022556 C000065241 C000074976 C000065240 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Global Advantage Strategy Bond Fund S000022556 YPZSSUF52R5JGG5DTZ31 2020-03-31 2019-12-31 N 713349098.750000 333531355.890000 379817742.860000 0.000000 0.000000 81904400.740000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 5715743.450000 USD AUD BRL CAD CLP CNY COP CZK DKK EUR GBP ARS ILS JPY KRW MXN ZAR NOK NZD PEN PHP PLN RON RUB SEK SGD THB IDR MYR N N/A N/A 000000000 1.000000 NC USD 4526.270000 0.0011917 N/A DFE CL N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 103000.000000 USD 80844700.000000 CLP 2020-01-09 4526.270000 N N N N/A N/A 000000000 1.000000 NC USD 5242.030000 0.0013801 N/A DFE CL N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 412756.790000 USD 314211110.000000 CLP 2020-01-27 5242.030000 N N N N/A N/A 000000000 1.000000 NC USD 36408.380000 0.0095858 N/A DFE MX N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 1927412.770000 USD 37809092.560000 MXN 2020-05-05 36408.380000 N N N N/A N/A 000000000 1.000000 NC -5373.770000 -0.0014148 N/A DFE CL N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 314211110.000000 CLP 412512.940000 USD 2020-01-06 -5373.770000 N N N N/A N/A 000000000 1.000000 NC -263118.410000 -0.0692749 N/A DFE CN N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 55646392.330000 CNY 7716982.950000 USD 2020-03-18 -263118.410000 N N N N/A N/A 000000000 1.000000 NC -37269.470000 -0.0098125 N/A DFE MX N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 37809092.560000 MXN 1956891.080000 USD 2020-01-22 -37269.470000 N N N N/A 02S2RPPVO9RP4NEU2740 000000000 1.000000 NC USD -19133.770000 -0.0050376 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 REYNOLDS AMERICAN INC REYNOLDS AMERICAN INC SR UNSEC Y Single Leg Swap 2020-12-21 0.000000 USD -58996.080000 USD 2000000.000000 USD 39862.310000 N N N N/A 5493004EHVGF71PDBU58 000000000 1.000000 NC USD 49276.390000 0.0129737 N/A DCR US N 2 Citibank International Limited 31OGKFG0Y1795OV0AK56 RUSSIAN GOVT RUSSIAN FEDERATION SR UNSEC REGS Y Single Leg Swap 2021-12-21 0.000000 USD -92680.150000 USD 2900000.000000 USD 141956.540000 N N N N/A 5493004EHVGF71PDBU58 000000000 1.000000 NC USD 28886.160000 0.0076053 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 RUSSIAN GOVT RUSSIAN FEDERATION SR UNSEC REGS Y Single Leg Swap 2021-12-21 0.000000 USD -55604.250000 USD 1700000.000000 USD 84490.410000 N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAQ2 744355.070000 PA USD 323748.310000 0.0852378 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.942 N N N N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAA7 930443.840000 PA USD 414845.360000 0.1092222 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.032 N N N N N N N/A ZXJ6Y2OSPZXIVGRILD15 000000000 1.000000 NC USD 5226.900000 0.0013762 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 RYDER SYSTEM INC RYDER SYSTEM INC Y Single Leg Swap 2022-06-21 5302.560000 USD 0.000000 USD 300000.000000 USD -75.660000 N N N N/A 213800ITMMKU4Z7I4F78 000000000 1.000000 NC 72834.950000 0.0191763 N/A DCR NL N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 SHELL INTERNATIONAL FINANCE BV SHELL INTERNATIONAL FIN Y Single Leg Swap 2026-12-22 0.000000 EUR -28982.360000 EUR 1400000.000000 EUR 101817.310000 N N N N/A N/A 000000000 1.000000 NC -9341.040000 -0.0024593 N/A DFE ZA N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 2058508.040000 ZAR 136322.900000 USD 2020-03-11 -9341.040000 N N N N/A N/A 000000000 1.000000 NC USD -728.840000 -0.0001919 N/A DCR US N 2 Citibank International Limited 31OGKFG0Y1795OV0AK56 SOUTH AFRICA GOVT REPUBLIC OF SOUTH AFRICA SR UNSECURED Y Single Leg Swap 2023-06-21 0.000000 USD -4977.530000 USD 100000.000000 USD 4248.690000 N N N N/A N/A 000000000 1.000000 NC USD 460.930000 0.0001214 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 SOUTH AFRICA GOVT REPUBLIC OF SOUTH AFRICA SR UNSECURED Y Single Leg Swap 2022-06-21 0.000000 USD -17034.780000 USD 400000.000000 USD 17495.710000 N N N N/A N/A 000000000 1.000000 NC USD -14536.600000 -0.0038273 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 -30980.260000 USD 700000.000000 USD 16443.660000 N N N N/A N/A 000000000 1.000000 NC USD -1457.670000 -0.0003838 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 2023-06-21 0.000000 USD -10696.010000 USD 200000.000000 USD 9238.340000 N N N N/A 549300O0QCVSQGPGDT58 000000000 1.000000 NC USD -44335.790000 -0.0116729 N/A DCR US N 2 BNPParibas R0MUWSFPU8MPRO8K5P83 SOUTH KOREA GOVT REPUBLIC OF KOREA Y Single Leg Swap 2023-06-21 0.000000 USD -36888.070000 USD 1500000.000000 USD -7447.720000 N N N N/A 549300O0QCVSQGPGDT58 000000000 1.000000 NC USD -53202.950000 -0.0140075 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 SOUTH KOREA GOVT REPUBLIC OF KOREA Y Single Leg Swap 2023-06-21 0.000000 USD -45408.970000 USD 1800000.000000 USD -7793.980000 N N N N/A 549300O0QCVSQGPGDT58 000000000 1.000000 NC USD -20690.040000 -0.0054474 N/A DCR US N 2 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 SOUTH KOREA GOVT REPUBLIC OF KOREA Y Single Leg Swap 2023-06-21 0.000000 USD -17461.380000 USD 700000.000000 USD -3228.660000 N N N N/A 549300O0QCVSQGPGDT58 000000000 1.000000 NC USD -26601.480000 -0.0070037 N/A DCR US N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 SOUTH KOREA GOVT REPUBLIC OF KOREA Y Single Leg Swap 2023-06-21 0.000000 USD -21555.460000 USD 900000.000000 USD -5046.020000 N N N ARGENT SECURITIES TRUST 2006-W5 N/A 04012XAD7 1281498.370000 PA USD 476191.470000 0.1253737 Long ABS-MBS CORP US N 2 2036-06-25 Floating 1.942 N N N N N N N/A N/A 000000000 1.000000 NC USD 32031.810000 0.0084335 N/A DFE AU N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 1136685.680000 USD 1665000.000000 AUD 2020-01-13 32031.810000 N N N N/A N/A 000000000 1.000000 NC USD 7446.270000 0.0019605 N/A DFE CH N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 386429.530000 USD 381000.000000 CHF 2020-01-13 7446.270000 N N N N/A N/A 000000000 1.000000 NC USD 26060.940000 0.0068614 N/A DFE NZ N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 760306.560000 USD 1168000.000000 NZD 2020-01-13 26060.940000 N N N N/A N/A 000000000 1.000000 NC USD 6074.990000 0.0015994 N/A DFE SE N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 382136.490000 USD 3634249.520000 SEK 2020-01-13 6074.990000 N N N N/A N/A 000000000 1.000000 NC -7390.030000 -0.0019457 N/A DFE N/A N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 680416.000000 EUR 756307.830000 USD 2020-01-13 -7390.030000 N N N N/A N/A 000000000 1.000000 NC -16530.710000 -0.0043523 N/A DFE HK N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 17808494.000000 HKD 2266000.000000 USD 2020-09-03 -16530.710000 N N N N/A N/A 000000000 1.000000 NC -20075.950000 -0.0052857 N/A DFE ZA N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 2990403.750000 ZAR 191917.680000 USD 2020-02-26 -20075.950000 N N N N/A N/A 000000000 1.000000 NC USD 129687.610000 0.0341447 N/A DFE PL N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 3889324.500000 USD 15245938.130000 PLN 2020-02-10 129687.610000 N N N N/A N/A 000000000 1.000000 NC -6926.640000 -0.0018237 N/A DFE CN N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 5347049.290000 CNY 759426.960000 USD 2020-03-18 -6926.640000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 933XZP908 790000.000000 PA 8441.100000 0.0022224 Long DBT NUSS AR N 2 2020-02-26 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 306588.670000 0.0807199 N/A DFE BR N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 6032351.430000 USD 25499654.340000 BRL 2020-01-03 306588.670000 N N N N/A N/A 000000000 1.000000 NC USD 31926.010000 0.0084056 N/A DFE CN N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 1124810.980000 USD 8070856.210000 CNY 2020-03-18 31926.010000 N N N N/A N/A 000000000 1.000000 NC 7697.740000 0.0020267 N/A DFE IN N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 131367310.130000 INR 1827337.740000 USD 2020-05-04 7697.740000 N N N N/A N/A 000000000 -10800000.000000 NC USD -79317.360000 -0.0208830 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.88000 09/17/21-3Y CME N/A N/A 2024-09-17 0.000000 USD 0.000000 USD N/A USD N/A 1.880000 USD 2021-09-15 XXXX -25712.340000 N N N N/A N/A 000000000 1300000.000000 NC USD 83977.010000 0.0221098 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Purchased BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.17500 09/17/21-30Y CME N/A N/A 2051-09-17 0.000000 USD 0.000000 USD N/A USD N/A 2.170000 USD 2021-09-15 XXXX 30281.360000 N N N N/A N/A 000000000 -695000000.000000 NC -9144.920000 -0.0024077 N/A DIR JP N 2 MORGAN STANLEY CAPITAL SERVICES INC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES INC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR JP IRS JPY R -0.04650 07/01/20-2Y JSC N/A N/A 2022-07-01 0.000000 JPY 0.000000 JPY N/A JPY N/A 0.050000 JPY 2020-06-29 XXXX -6856.510000 N N N N/A N/A 000000000 -11600000.000000 NC USD -107650.320000 -0.0283426 N/A DIR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Written Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.45600 08/21/20-3Y LCH N/A N/A 2023-08-21 0.000000 USD 0.000000 USD N/A USD N/A 1.460000 USD 2020-08-19 XXXX -34453.200000 N N N N/A N/A 000000000 1400000.000000 NC USD 128978.780000 0.0339581 N/A DIR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Purchased Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.77850 08/21/20-30Y LCH N/A N/A 2050-08-21 0.000000 USD 0.000000 USD N/A USD N/A 1.780000 USD 2020-08-19 XXXX 55478.780000 N N N N/A N/A 000000000 -8400000.000000 NC USD -25518.360000 -0.0067186 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.54000 02/26/20-2Y CME N/A N/A 2022-02-26 0.000000 USD 0.000000 USD N/A USD N/A 1.540000 USD 2020-02-24 XXXX -6093.360000 N N N N/A N/A 000000000 -8400000.000000 NC USD -3945.480000 -0.0010388 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.54000 02/26/20-2Y CME N/A N/A 2022-02-26 0.000000 USD 0.000000 USD N/A USD N/A 1.540000 USD 2020-02-24 XXXX 15479.520000 N N N N/A N/A 000000000 -10400000.000000 NC USD -26944.320000 -0.0070940 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.57000 02/27/20-2Y CME N/A N/A 2022-02-27 0.000000 USD 0.000000 USD N/A USD N/A 1.570000 USD 2020-02-25 XXXX -3674.320000 N N N N/A N/A 000000000 -10400000.000000 NC USD -6433.440000 -0.0016938 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.57000 02/27/20-2Y CME N/A N/A 2022-02-27 0.000000 USD 0.000000 USD N/A USD N/A 1.570000 USD 2020-02-25 XXXX 16836.560000 N N N N/A N/A 000000000 -9200000.000000 NC USD -127055.680000 -0.0334517 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Put Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.44800 08/25/21-3Y LCH N/A N/A 2024-08-25 0.000000 USD 0.000000 USD N/A USD N/A 1.450000 USD 2021-08-23 XXXX -45112.360000 N N N N/A N/A 000000000 1100000.000000 NC USD 130107.560000 0.0342553 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 1.75200 08/25/21-30Y LCH N/A N/A 2051-08-25 0.000000 USD 0.000000 USD N/A USD N/A 1.750000 USD 2021-08-23 XXXX 48591.770000 N N N N/A N/A 000000000 -10800000.000000 NC USD -158844.240000 -0.0418212 N/A DIR US N 2 Credit Suisse Securities (USA) LLC 1V8Y6QCX6YMJ2OELII46 Put Written Credit Suisse Securities (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.39900 08/31/21-3Y LCH N/A N/A 2024-08-31 0.000000 USD 0.000000 USD N/A USD N/A 1.400000 USD 2021-08-26 XXXX -62919.480000 N N N N/A N/A 000000000 1300000.000000 NC USD 157563.120000 0.0414839 N/A DIR US N 2 Credit Suisse Securities (USA) LLC 1V8Y6QCX6YMJ2OELII46 Put Purchased Credit Suisse Securities (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.73250 08/31/21-30Y LCH N/A N/A 2051-08-31 0.000000 USD 0.000000 USD N/A USD N/A 1.730000 USD 2021-08-26 XXXX 61476.160000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1DM1J8 800000.000000 PA 9718.540000 0.0025587 Long DBT NUSS AR N 2 2020-05-13 None 0 N N N N N N N/A N/A 000000000 -28800000.000000 NC USD -53326.080000 -0.0140399 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Put Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.60000 06/10/21-1Y (RED) LCH N/A N/A 2022-06-10 0.000000 USD 0.000000 USD N/A USD N/A 1.600000 USD 2020-06-08 XXXX -5326.080000 N N N N/A N/A 000000000 1200000.000000 NC USD 58916.160000 0.0155117 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 2.00500 06/10/20-30Y LCH N/A N/A 2050-06-10 0.000000 USD 0.000000 USD N/A USD N/A 2.000000 USD 2020-06-08 XXXX 10916.160000 N N N N/A N/A 000000000 -14400000.000000 NC USD -26392.320000 -0.0069487 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Put Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.60000 06/11/21-1Y (RED) LCH N/A N/A 2022-06-11 0.000000 USD 0.000000 USD N/A USD N/A 1.600000 USD 2020-06-09 XXXX -3392.320000 N N N N/A N/A 000000000 600000.000000 NC USD 31347.840000 0.0082534 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 1.98400 06/11/20-30Y LCH N/A N/A 2050-06-11 0.000000 USD 0.000000 USD N/A USD N/A 1.980000 USD 2020-06-09 XXXX 8347.840000 N N N N/A N/A 000000000 1.000000 NC USD 4336.590000 0.0011418 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-04-26 0.000000 USD 0.000000 USD 26900000.000000 USD 4336.590000 N N N N/A N/A 000000000 1.000000 NC 37314.020000 0.0098242 N/A DFE AU N 2 Citibank International Limited 31OGKFG0Y1795OV0AK56 -1932000.000000 USD 2800000.000000 AUD 2029-07-31 36893.530000 N N N N/A N/A 000000000 1.000000 NC 36213.100000 0.0095343 N/A DFE AU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 -1863000.000000 USD 2700000.000000 AUD 2029-08-01 46158.380000 N N N N/A N/A 000000000 1.000000 NC 4412.600000 0.0011618 N/A DFE N/A N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 -1229800.000000 USD 1100000.000000 EUR 2030-03-18 11342.260000 N N N N/A N/A 000000000 1.000000 NC 1423.190000 0.0003747 N/A DFE N/A N 2 Citibank International Limited 31OGKFG0Y1795OV0AK56 -2464000.000000 USD 2200000.000000 EUR 2030-01-23 12423.230000 N N N N/A N/A 000000000 1.000000 NC 19707.370000 0.0051886 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 -1100000.000000 USD 1000000.000000 EUR 2030-02-19 18907.090000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 2100000.000000 PA 18624.570000 0.0049036 Long DBT NUSS AR N 2 2022-04-03 Floating 52.5635 N N N N N N N/A N/A 000000000 1.000000 NC -62683.900000 -0.0165037 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2029-10-02 393.950000 CAD 0.000000 CAD 2000000.000000 CAD -63077.850000 N N N N/A N/A 000000000 1.000000 NC -117263.890000 -0.0308737 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2029-12-18 101235.570000 CAD 0.000000 CAD 6300000.000000 CAD -218499.460000 N N N N/A N/A 000000000 1.000000 NC 163978.930000 0.0431731 N/A DIR CA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2029-06-19 151456.380000 CAD 0.000000 CAD 7000000.000000 CAD 12522.550000 N N N N/A N/A 000000000 1.000000 NC 83257.030000 0.0219203 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2049-03-08 0.000000 CAD 0.000000 CAD 1600000.000000 CAD 83257.030000 N N N N/A N/A 000000000 1.000000 NC 269945.460000 0.0710724 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 -11959.320000 CAD 3300000.000000 CAD 281904.780000 N N N N/A N/A 000000000 1.000000 NC -1240641.560000 -0.3266413 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2030-03-18 0.000000 EUR -765394.910000 EUR 29300000.000000 EUR -475246.650000 N N N N/A N/A 000000000 1.000000 NC -26385.680000 -0.0069469 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2025-06-17 0.000000 EUR -218.230000 EUR 5400000.000000 EUR -26167.450000 N N N N/A N/A 000000000 1.000000 NC 9918.830000 0.0026115 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2022-06-17 442.750000 EUR 0.000000 EUR 9900000.000000 EUR 9476.080000 N N N N/A N/A 000000000 1.000000 NC -180597.850000 -0.0475486 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2025-03-18 0.000000 EUR -73833.720000 EUR 7800000.000000 EUR -106764.130000 N N N N/A N/A 000000000 1.000000 NC 654062.760000 0.1722044 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2050-03-18 476740.540000 EUR 0.000000 EUR 5400000.000000 EUR 177322.220000 N N N N/A N/A 000000000 1.000000 NC 116889.840000 0.0307752 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2029-06-19 79588.790000 EUR 0.000000 EUR 2400000.000000 EUR 37301.050000 N N N N/A N/A 000000000 1.000000 NC 138539.990000 0.0364754 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2030-03-18 17647.820000 GBP 0.000000 GBP 3950000.000000 GBP 120892.170000 N N N N/A N/A 000000000 1.000000 NC -4575.350000 -0.0012046 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2022-03-18 0.000000 GBP -5334.330000 GBP 4600000.000000 GBP 758.980000 N N N N/A N/A 000000000 1.000000 NC -63080.200000 -0.0166080 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2050-06-17 0.000000 GBP -28310.560000 GBP 1600000.000000 GBP -34769.640000 N N N N/A N/A 000000000 1.000000 NC 26234.500000 0.0069071 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2025-06-17 32940.040000 GBP 0.000000 GBP 4000000.000000 GBP -6705.540000 N N N N/A N/A 000000000 1.000000 NC -5495.280000 -0.0014468 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2039-12-05 0.000000 GBP 0.000000 GBP 900000.000000 GBP -5495.280000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0VSDQ8 8990000.000000 PA 83174.810000 0.0218986 Long DBT NUSS AR N 2 2020-06-21 Floating 70.2531 N N N N N N N/A N/A 000000000 1.000000 NC -94316.640000 -0.0248321 N/A DIR IL N 2 BNPParibas R0MUWSFPU8MPRO8K5P83 TELBOR ILS 3M N/A N/A Y 2028-06-20 0.000000 ILS -39064.340000 ILS 3000000.000000 ILS -55252.300000 N N N N/A N/A 000000000 1.000000 NC 381887.320000 0.1005449 N/A DIR IL N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 TELBOR ILS 3M N/A N/A Y 2024-03-01 0.000000 ILS 0.000000 ILS 35600000.000000 ILS 381887.320000 N N N N/A N/A 000000000 1.000000 NC -79569.750000 -0.0209495 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2029-06-19 0.000000 JPY -92698.900000 JPY 1010000000.000000 JPY 13129.150000 N N N N/A N/A 000000000 1.000000 NC 4865.120000 0.0012809 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2049-11-29 1467.490000 JPY 0.000000 JPY 17000000.000000 JPY 3397.630000 N N N N/A N/A 000000000 1.000000 NC 32734.550000 0.0086185 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2039-06-20 0.000000 JPY -4683.230000 JPY 261762000.000000 JPY 37417.780000 N N N N/A N/A 000000000 1.000000 NC -32230.440000 -0.0084858 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2049-06-21 0.000000 JPY -1341.070000 JPY 190000000.000000 JPY -30889.370000 N N N N/A N/A 000000000 1.000000 NC 81840.590000 0.0215473 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2037-06-19 0.000000 MXN -227.920000 MXN 34200000.000000 MXN 82068.510000 N N N N/A N/A 000000000 1.000000 NC 89521.880000 0.0235697 N/A DIR NZ N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 NZ$ Bank Bill 3M FRA N/A N/A Y 2020-02-14 13534.190000 NZD 0.000000 NZD 14660000.000000 NZD 75987.690000 N N N N/A N/A 000000000 1.000000 NC 159261.010000 0.0419309 N/A DIR NZ N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 NZ$ Bank Bill 3M FRA N/A N/A Y 2028-03-21 182551.240000 NZD 0.000000 NZD 1800000.000000 NZD -23290.230000 N N N N/A N/A 000000000 1.000000 NC 29494.260000 0.0077654 N/A DIR PL N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2023-09-19 0.000000 PLN -4181.450000 PLN 3900000.000000 PLN 33675.710000 N N N N/A N/A 000000000 1.000000 NC 10217.940000 0.0026902 N/A DIR PL N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2028-09-19 0.000000 PLN 0.000000 PLN 400000.000000 PLN 10217.940000 N N N N/A N/A 000000000 1.000000 NC 40225.430000 0.0105907 N/A DIR SE N 2 London Clearing house N/A N/A SEK-STIBOR-Bloomberg 3M Y 2024-06-19 93972.120000 SEK 0.000000 SEK 41100000.000000 SEK -53746.690000 N N N N/A N/A 000000000 1.000000 NC 177799.380000 0.0468118 N/A DIR TH N 2 Citibank International Limited 31OGKFG0Y1795OV0AK56 Thailand 6M N/A N/A Y 2037-05-18 0.000000 THB 0.000000 THB 29000000.000000 THB 177799.380000 N N N N/A N/A 000000000 1.000000 NC USD 60824.850000 0.0160142 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-08-30 0.000000 USD 0.000000 USD 4550000.000000 USD 60824.850000 N N N N/A N/A 000000000 1.000000 NC USD 47113.950000 0.0124044 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-08-27 0.000000 USD 0.000000 USD 3900000.000000 USD 47113.950000 N N N N/A N/A 000000000 1.000000 NC USD 48631.200000 0.0128038 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-08-21 0.000000 USD 0.000000 USD 4600000.000000 USD 48631.200000 N N N N/A N/A 000000000 1.000000 NC USD 32591.080000 0.0085807 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-09-17 0.000000 USD 0.000000 USD 3050000.000000 USD 32591.080000 N N N N/A N/A 000000000 1.000000 NC USD 102062.730000 0.0268715 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2029-12-18 64690.580000 USD 0.000000 USD 2700000.000000 USD 37372.150000 N N N N/A N/A 000000000 1.000000 NC USD 28545.610000 0.0075156 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2021-12-20 25822.700000 USD 0.000000 USD 7100000.000000 USD 2722.910000 N N N N/A N/A 000000000 1.000000 NC USD 46406.710000 0.0122182 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-18 18219.780000 USD 0.000000 USD 4100000.000000 USD 28186.930000 N N N N/A N/A 000000000 1.000000 NC USD 232215.280000 0.0611386 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-01-07 0.000000 USD -160601.450000 USD 8800000.000000 USD 392816.730000 N N N N/A N/A 000000000 1.000000 NC USD -37822.640000 -0.0099581 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-08-31 0.000000 USD 0.000000 USD 350000.000000 USD -37822.640000 N N N N/A N/A 000000000 1.000000 NC USD -33783.640000 -0.0088947 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-09-18 0.000000 USD 0.000000 USD 350000.000000 USD -33783.640000 N N N N/A N/A 000000000 1.000000 NC USD 12490.470000 0.0032885 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-06-22 418908.000000 USD 0.000000 USD 21400000.000000 USD -406417.530000 N N N N/A N/A 000000000 1.000000 NC USD -31785.640000 -0.0083687 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2049-12-20 0.000000 USD -6668.800000 USD 400000.000000 USD -25116.840000 N N N N/A N/A 000000000 1.000000 NC USD -118417.450000 -0.0311774 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2045-05-15 0.000000 USD 0.000000 USD 2300000.000000 USD -118417.450000 N N N N/A N/A 000000000 1.000000 NC USD -61485.570000 -0.0161882 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2045-05-15 0.000000 USD 0.000000 USD 1200000.000000 USD -61485.570000 N N N N/A N/A 000000000 1.000000 NC USD -35808.320000 -0.0094278 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2045-05-15 0.000000 USD 0.000000 USD 700000.000000 USD -35808.320000 N N N N/A N/A 000000000 1.000000 NC USD -40613.480000 -0.0106929 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2045-05-15 0.000000 USD 0.000000 USD 800000.000000 USD -40613.480000 N N N N/A N/A 000000000 1.000000 NC USD -58114.700000 -0.0153007 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-01-15 0.000000 USD -28802.410000 USD 6100000.000000 USD -29312.290000 N N N N/A N/A 000000000 1.000000 NC USD -438101.340000 -0.1153451 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-20 852729.750000 USD 0.000000 USD 13700000.000000 USD -1290831.090000 N N N N/A N/A 000000000 1.000000 NC USD -261096.080000 -0.0687425 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2021-12-20 0.000000 USD -231172.600000 USD 16600000.000000 USD -29923.480000 N N N N/A N/A 000000000 1.000000 NC USD -86713.150000 -0.0228302 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-12-21 46260.000000 USD 0.000000 USD 9000000.000000 USD -132973.150000 N N N N/A N/A 000000000 1.000000 NC USD -692161.210000 -0.1822351 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-05-30 0.000000 USD 0.000000 USD 10800000.000000 USD -692161.210000 N N N N/A N/A 000000000 1.000000 NC USD -501712.750000 -0.1320930 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 7700000.000000 USD -501712.750000 N N N N/A N/A 000000000 1.000000 NC USD 2532.220000 0.0006667 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-03-02 0.000000 USD 0.000000 USD 18200000.000000 USD 2532.220000 N N N N/A N/A 000000000 1.000000 NC USD 3224.670000 0.0008490 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-04-27 0.000000 USD 0.000000 USD 14800000.000000 USD 3224.670000 N N N N/A N/A 000000000 1.000000 NC USD 4055.860000 0.0010678 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-06-12 0.000000 USD 0.000000 USD 5700000.000000 USD 4055.860000 N N N N/A N/A 000000000 1.000000 NC USD 14742.600000 0.0038815 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-06-19 1620.000000 USD 0.000000 USD 21600000.000000 USD 13122.600000 N N N N/A N/A 000000000 1.000000 NC USD 1994.610000 0.0005251 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-04-12 0.000000 USD 0.000000 USD 8600000.000000 USD 1994.610000 N N N N/A N/A 000000000 1.000000 NC USD 800.390000 0.0002107 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2029-05-23 0.000000 USD 0.000000 USD 3700000.000000 USD 800.390000 N N N N/A N/A 000000000 1.000000 NC USD 8416.990000 0.0022161 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-03-18 0.000000 USD -1333.230000 USD 84600000.000000 USD 9750.220000 N N N N/A N/A 000000000 1.000000 NC 15446.040000 0.0040667 N/A DIR ZA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2023-06-20 4535.810000 ZAR 0.000000 ZAR 13300000.000000 ZAR 10910.230000 N N N N/A N/A 000000000 1.000000 NC 17866.210000 0.0047039 N/A DIR ZA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2022-03-15 5265.980000 ZAR 0.000000 ZAR 7300000.000000 ZAR 12600.230000 N N N N/A N/A 000000000 1.000000 NC -13501.450000 -0.0035547 N/A DIR CO N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2029-02-12 0.000000 COP 0.000000 COP 1026400000.000000 COP -13501.450000 N N N N/A N/A 000000000 1.000000 NC 5319.560000 0.0014006 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2039-12-05 0.000000 GBP 0.000000 GBP 900000.000000 GBP 5319.560000 N N N N/A N/A 000000000 1.000000 NC USD -57712.060000 -0.0151947 N/A DIR US N 2 London Clearing house N/A N/A US Federal Funds Effective Rate (continuous series) Y 2025-04-30 0.000000 USD -28.650000 USD 900000.000000 USD -57683.410000 N N N N/A N/A 000000000 1.000000 NC USD -64825.890000 -0.0170676 N/A DIR US N 2 London Clearing house N/A N/A US Federal Funds Effective Rate (continuous series) Y 2025-04-30 0.000000 USD 0.000000 USD 1000000.000000 USD -64825.890000 N N N N/A N/A 000000000 1.000000 NC USD -65643.940000 -0.0172830 N/A DIR US N 2 London Clearing house N/A N/A US Federal Funds Effective Rate (continuous series) Y 2025-04-30 0.000000 USD 0.000000 USD 1000000.000000 USD -65643.940000 N N N N/A N/A 000000000 1.000000 NC USD -139466.010000 -0.0367192 N/A DIR US N 2 London Clearing house N/A N/A US Federal Funds Effective Rate (continuous series) Y 2025-04-30 0.000000 USD -32.570000 USD 2100000.000000 USD -139433.440000 N N N N/A N/A 000000000 1.000000 NC 14771.990000 0.0038892 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 0.000000 BRL 6300000.000000 BRL 14771.990000 N N N N/A N/A 000000000 1.000000 NC 64032.700000 0.0168588 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2025-01-02 0.000000 BRL -2576.620000 BRL 12400000.000000 BRL 66609.320000 N N N N/A N/A 000000000 1.000000 NC USD 22770.220000 0.0059950 N/A DFE CL N 2 The Toronto-Dominion Bank PT3QB789TSUIDF371261 393000.000000 USD 312619710.000000 CLP 2020-01-06 22770.220000 N N N N/A N/A 000000000 1.000000 NC USD -18689.340000 -0.0049206 N/A DFE JP N 2 The Toronto-Dominion Bank PT3QB789TSUIDF371261 3519877.580000 USD 380000000.000000 JPY 2020-01-27 -18689.340000 N N N N/A N/A 000000000 1.000000 NC 30.290000 0.0000080 N/A DFE CL N 2 The Toronto-Dominion Bank PT3QB789TSUIDF371261 3735750.000000 CLP 5000.000000 USD 2020-01-27 30.290000 N N N N/A N/A 000000000 1.000000 NC 12.990000 0.0000034 N/A DFE CL N 2 The Toronto-Dominion Bank PT3QB789TSUIDF371261 1493640.000000 CLP 2000.000000 USD 2020-01-27 12.990000 N N N N/A N/A 000000000 1.000000 NC -22198.830000 -0.0058446 N/A DFE RO N 2 UBS AG BFM8T61CT2L1QCEMIK50 863679.390000 EUR 4204000.000000 RON 2020-03-16 -22198.830000 N N N N/A N/A 000000000 1.000000 NC -136800.770000 -0.0360175 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 7269000.000000 CAD 5461307.290000 USD 2020-01-10 -136800.770000 N N N N/A N/A 000000000 1.000000 NC 30844.080000 0.0081208 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 863679.390000 EUR 4204000.000000 RON 2020-03-16 30844.080000 N N N N/A N/A 000000000 1.000000 NC 20000.510000 0.0052658 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 380000000.000000 JPY 3521188.750000 USD 2020-01-27 20000.510000 N N N N/A N/A 000000000 7100000.000000 NC USD 0.070000 0.0000000 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Purchased UMBS PASS THRU POOLS FNMA TBA 3.5% JAN 30YR N/A 73.000000 USD 2020-01-07 XXXX -277.270000 N N N N/A ECTRVYYCEF89VWYS6K36 000000000 -1430000.000000 NC -1043.690000 -0.0002748 N/A DFE GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written None N/A N/A ECTRVYYCEF89VWYS6K36 000000000 0.000000 NC USD 0.000000 0.000000 DFE GB 0.000000 N/A 0.000000 N/A 2020-01-17 N/A 1.280000 GBP 2020-01-17 XXXX 10359.640000 N N N N/A ECTRVYYCEF89VWYS6K36 000000000 -1437000.000000 NC -1621.730000 -0.0004270 N/A DFE GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written None N/A N/A ECTRVYYCEF89VWYS6K36 000000000 0.000000 NC USD 0.000000 0.000000 DFE GB 0.000000 N/A 0.000000 N/A 2020-01-24 N/A 1.280000 GBP 2020-01-24 XXXX 9951.550000 N N N N/A ECTRVYYCEF89VWYS6K36 000000000 48.000000 NC -668.170000 -0.0001759 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Call Purchased Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ECTRVYYCEF89VWYS6K36 000000000 0.000000 NC 0.000000 0.000000 DIR GB N/A N/A FIN FUT UK GILT ICE 03/27/20 2020-03-28 N/A GBP N/A 165.000000 GBP 2020-02-21 XXXX -668.170000 N N N N/A ECTRVYYCEF89VWYS6K36 000000000 17.000000 NC -236.640000 -0.0000623 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Call Purchased Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ECTRVYYCEF89VWYS6K36 000000000 0.000000 NC 0.000000 0.000000 DIR GB N/A N/A FIN FUT UK GILT ICE 03/27/20 2020-03-28 N/A GBP N/A 167.000000 GBP 2020-02-21 XXXX -236.640000 N N N N/A ECTRVYYCEF89VWYS6K36 000000000 -53.000000 NC 53006.600000 0.0139558 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2020-03-27 -9223373.890000 GBP 53006.600000 N N N N/A 254900HROIFWPRGM1V77 000000000 -5622000.000000 NC USD -11215.890000 -0.0029530 N/A DFE US N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 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 2020-03-06 N/A 7.140000 USD 2020-03-06 XXXX 23458.780000 N N N N/A 254900HROIFWPRGM1V77 000000000 11244000.000000 NC USD 37678.640000 0.0099202 N/A DFE US N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 Put Purchased None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2020-03-06 N/A 6.900000 USD 2020-03-06 XXXX 3431.570000 N N N N/A 254900HROIFWPRGM1V77 000000000 -1788000.000000 NC USD -4875.880000 -0.0012837 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 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 2020-01-15 N/A 6.950000 USD 2020-01-15 XXXX -171.650000 N N N N/A 254900HROIFWPRGM1V77 000000000 -1788000.000000 NC USD -700.900000 -0.0001845 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 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 2020-01-15 N/A 7.080000 USD 2020-01-15 XXXX 4493.240000 N N N N/A 254900HROIFWPRGM1V77 000000000 -22.000000 NC USD -1718.750000 -0.0004525 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 03/20/20 2020-03-21 N/A USD N/A 130.000000 USD 2020-01-24 XXXX 7768.290000 N N N N/A 254900HROIFWPRGM1V77 000000000 -11.000000 NC USD -515.630000 -0.0001358 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 03/20/20 2020-03-21 N/A USD N/A 130.500000 USD 2020-01-24 XXXX 2423.130000 N N N N/A 254900HROIFWPRGM1V77 000000000 -22.000000 NC USD -2062.500000 -0.0005430 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 03/20/20 2020-03-21 N/A USD N/A 127.000000 USD 2020-01-24 XXXX 1747.540000 N N N N/A 254900HROIFWPRGM1V77 000000000 -11.000000 NC USD -2062.500000 -0.0005430 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 03/20/20 2020-03-21 N/A USD N/A 127.500000 USD 2020-01-24 XXXX 1260.930000 N N N N/A 254900HROIFWPRGM1V77 000000000 112.000000 NC USD 112.000000 0.0000295 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 03/20/20 2020-03-21 N/A USD N/A 141.500000 USD 2020-02-21 XXXX -851.200000 N N N N/A 254900HROIFWPRGM1V77 000000000 4.000000 NC USD 4.000000 0.0000011 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 03/20/20 2020-03-21 N/A USD N/A 142.000000 USD 2020-02-21 XXXX -30.400000 N N N N/A 254900HROIFWPRGM1V77 000000000 14.000000 NC USD 14.000000 0.0000037 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 03/20/20 2020-03-21 N/A USD N/A 143.000000 USD 2020-02-21 XXXX -106.400000 N N N N/A 254900HROIFWPRGM1V77 000000000 15.000000 NC USD 15.000000 0.0000039 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 03/20/20 2020-03-21 N/A USD N/A 143.500000 USD 2020-02-21 XXXX -114.000000 N N N N/A 254900HROIFWPRGM1V77 000000000 2.000000 NC USD 2.000000 0.0000005 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 03/20/20 2020-03-21 N/A USD N/A 145.000000 USD 2020-02-21 XXXX -15.200000 N N N N/A 254900HROIFWPRGM1V77 000000000 48.000000 NC USD 48.000000 0.0000126 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 03/20/20 2020-03-21 N/A USD N/A 117.500000 USD 2020-02-21 XXXX -364.800000 N N N N/A 254900HROIFWPRGM1V77 000000000 -92.000000 NC USD -24958.540000 -0.0065712 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-03-20 -11814812.500000 USD -24958.540000 N N N N/A 254900HROIFWPRGM1V77 000000000 2.000000 NC USD 2.000000 0.0000005 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 03/31/20 2020-04-01 N/A USD N/A 110.250000 USD 2020-02-21 XXXX -15.200000 N N N N/A 254900HROIFWPRGM1V77 000000000 15.000000 NC USD 15.000000 0.0000039 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 03/31/20 2020-04-01 N/A USD N/A 110.750000 USD 2020-02-21 XXXX -114.000000 N N N N/A 254900HROIFWPRGM1V77 000000000 100.000000 NC USD 100.000000 0.0000263 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 03/31/20 2020-04-01 N/A USD N/A 111.000000 USD 2020-02-21 XXXX -760.000000 N N N N/A 254900HROIFWPRGM1V77 000000000 117.000000 NC USD -70534.850000 -0.0185707 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-03-31 13877296.880000 USD -70534.850000 N N N N/A 254900HROIFWPRGM1V77 000000000 32.000000 NC USD -175046.400000 -0.0460869 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-03-20 5813000.000000 USD -175046.400000 N N N N/A 254900HROIFWPRGM1V77 000000000 53.000000 NC USD 53.000000 0.0000140 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 ULTRA 30YR CBT 03/20/20 2020-03-21 N/A USD N/A 125.000000 USD 2020-02-21 XXXX -402.800000 N N N N/A 213800KYT12UFB2VE455 000000000 1.000000 NC -5284.780000 -0.0013914 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 UNITED UTILITIES PLC UNITED UTILITIES PLC SR UNSEC Y Single Leg Swap 2020-12-21 0.000000 EUR -8239.330000 EUR 500000.000000 EUR 2954.550000 N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAC3 573399.240000 PA USD 389176.960000 0.1024641 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.952 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RFZ0 1300000.000000 PA USD 1308042.060000 0.3443868 Long DBT CORP US N 2 2021-06-01 Floating 2.65688 N N N N N N AT&T INC 549300Z40J86GGSTL398 ACI1674M9 1100000.000000 PA 1321234.120000 0.3478600 Long DBT CORP US N 2 2026-09-05 Fixed 1.8 N N N N N N AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA) 95980020140005848404 959FFKII0 600000.000000 PA 676698.370000 0.1781640 Long DBT NUSS ES N 2 2020-02-11 Fixed 4.95 N N N N N N AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA) 95980020140005848404 B081RMII3 200000.000000 PA 278335.080000 0.0732812 Long DBT NUSS ES N 2 2035-04-26 Fixed 4.22 N N N N N N AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA) 95980020140005848404 B5BMDRII6 700000.000000 PA 844105.010000 0.2222395 Long DBT NUSS ES N 2 2021-09-15 Fixed 4.9 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAA9 500000.000000 PA USD 540497.500000 0.1423044 Long DBT CORP KY N 2 2023-01-15 Fixed 5.5 N N N N N N AXA EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AC9 100000.000000 PA USD 104792.930000 0.0275903 Long DBT CORP US N 2 2023-04-20 Fixed 3.9 N N N N N N AXA EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 600000.000000 PA USD 651369.930000 0.1714954 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N BABSON EURO CLO 2015-1A BV N/A ACI0Y8ZQ5 900000.000000 PA 1008018.560000 0.2653953 Long ABS-CBDO CORP NL N 2 2029-10-25 Floating 0.418 N N N N N N BANC OF AMERICA FUNDING CORP 2005-D N/A 06051GDM8 112289.030000 PA USD 114892.140000 0.0302493 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.6749 N N N N N N BANC OF AMERICA FUNDING CORP 2007-3 N/A 059515AD8 87632.390000 PA USD 74619.480000 0.0196461 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.002 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-5 N/A 059523AG5 246690.880000 PA USD 237185.580000 0.0624472 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-B N/A 05952EAA4 107196.700000 PA USD 98300.790000 0.0258810 Long ABS-MBS CORP US N 2 2047-04-20 Floating 1.97463 Y N N N N N BANCA CARIGE SPA F1T87K3OQ2OV1UORLH26 ACI1FC9D3 1000000.000000 PA 1125243.840000 0.2962589 Long DBT CORP IT N 2 2060-05-25 Floating 1.092 N N N N N N BANCA CARIGE SPA F1T87K3OQ2OV1UORLH26 ACI1BW9L5 1100000.000000 PA 1250812.480000 0.3293191 Long DBT CORP IT N 2 2021-10-25 Floating 1.298 N N N N N N BANCO DE CREDITO DEL PERU 549300EQYQ8SCQZ4BY14 05971U2B2 1200000.000000 PA 365831.570000 0.0963177 Long DBT CORP PE N 2 2024-09-17 Fixed 4.65 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BQQ3S0II9 200000.000000 PA 239271.840000 0.0629965 Long DBT CORP ES N 2 2021-09-11 Floating 6.25 N N N N Y BANCO SANTANDER SA EUR XXXX N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAJ4 200000.000000 PA USD 218879.510000 0.0576275 Long DBT CORP ES N 2 2028-04-12 Fixed 4.379 N N N N N N BANCO VOTORANTIM SA X2EUTZGMHS8RBQFIUS93 05967CAD5 800000.000000 PA USD 816008.000000 0.2148420 Long DBT CORP BR N 2 2022-09-24 Fixed 4 N N N N N N BANCO VOTORANTIM SA X2EUTZGMHS8RBQFIUS93 05967CAE3 1800000.000000 PA USD 1854018.000000 0.4881336 Long DBT CORP BR N 2 2024-09-24 Fixed 4.5 N N N N N N BANCO VOTORANTIM SA X2EUTZGMHS8RBQFIUS93 ACI1FN1H8 1700000.000000 PA USD 1751017.000000 0.4610151 Long DBT CORP BR N 2 2024-09-24 Fixed 4.5 N N N N N N BANK OF AMERICA MTGE SEC 2006-3 N/A 05950LAK8 112073.550000 PA USD 110868.980000 0.0291900 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6 Y N N N N N BANK OF IRELAND (AKA: GOVERNOR & CO OF THE BANK OF IRELAND) Q2GQA2KF6XJ24W42G291 ACI0CWJH4 300000.000000 PA 347651.830000 0.0915312 Long DBT CORP IE N 2 2020-06-18 Floating 7.375 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 2800000.000000 PA USD 3148502.000000 0.8289507 Long DBT CORP GB N 2 2022-11-21 Fixed 7.625 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBG9 700000.000000 PA USD 783625.500000 0.2063162 Long DBT CORP GB N 2 2024-06-15 Floating 8 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI0PG9W3 700000.000000 PA USD 756283.500000 0.1991175 Long DBT CORP GB N 2 2022-03-15 Floating 7.875 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI1CH093 500000.000000 PA 750054.640000 0.1974775 Long DBT CORP GB N 2 2025-06-15 Floating 7.125 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAN5 400000.000000 PA USD 433336.800000 0.1140907 Long DBT CORP GB N 2 2026-01-12 Fixed 4.375 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAC7 200000.000000 PA USD 200681.880000 0.0528364 Long DBT CORP US N 2 2021-06-25 Floating 2.57663 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAG8 600000.000000 PA USD 603966.950000 0.1590149 Long DBT CORP US N 2 2023-12-15 Floating 2.90363 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 800000.000000 PA USD 863120.790000 0.2272460 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 800000.000000 PA USD 872868.020000 0.2298123 Long DBT CORP US N 2 2028-12-15 Fixed 4.375 N N N N N N BCAP LLC TRUST 2007-AA2 N/A 05530NAA5 336171.230000 PA USD 315007.100000 0.0829364 Long ABS-MBS CORP US N 2 2047-05-25 Floating 2.002 N N N N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MB68 8764.640000 PA USD 9061.290000 0.0023857 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.25257 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2005-6 N/A 07387ADM4 26868.400000 PA USD 24673.450000 0.0064961 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.10819 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-1 N/A 07387AHB4 44129.040000 PA USD 43286.690000 0.0113967 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.84 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1 N/A 07384MH47 129580.600000 PA USD 131257.300000 0.0345580 Long ABS-MBS CORP US N 2 2034-04-25 Floating 4.58777 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSY8 123024.700000 PA USD 124754.350000 0.0328458 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.41308 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 61550.710000 PA USD 51066.930000 0.0134451 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.1033 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVX6 341094.300000 PA USD 228427.410000 0.0601413 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.04689 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-2 N/A 07400TAB3 60483.500000 PA USD 60987.940000 0.0160572 Long ABS-MBS CORP US N 2 2047-01-25 Floating 2.112 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE2 N/A 07389YAB7 244636.730000 PA USD 276575.380000 0.0728179 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.902 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE5 N/A 073859AC4 1000000.000000 PA USD 993230.800000 0.2615019 Long ABS-MBS CORP US N 2 2047-06-25 Floating 2.032 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2 N/A 07386UAM4 118968.370000 PA USD 114114.940000 0.0300447 Long ABS-MBS CORP US N 2 2046-09-25 Floating 2.192 N N N N N N BEAR STEARNS ASSETBK SEC 2005-AQ2 N/A 0738792V9 976981.680000 PA USD 974999.090000 0.2567018 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.282 Y N N N N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 BJCZ6RII4 800000.000000 PA 1156724.650000 0.3045473 Long DBT CORP FR N 2 2026-01-23 Fixed 3.375 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 09681LAD2 600000.000000 PA USD 602510.390000 0.1586314 Long DBT CORP SG N 2 2022-09-18 Fixed 2.75 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 09681LAE0 300000.000000 PA USD 308162.010000 0.0811342 Long DBT CORP SG N 2 2027-09-18 Fixed 3.5 N N N N N N BOWMAN PARK CLO LTD 2014-1A N/A 10302VBA2 789965.630000 PA USD 790388.400000 0.2080968 Long ABS-CBDO CORP KY N 2 2025-11-23 Floating 3.0895 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAA9 500000.000000 PA USD 506090.490000 0.1332456 Long DBT CORP US N 2 2021-04-15 Fixed 3.125 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BD0 400000.000000 PA USD 405954.960000 0.1068815 Long DBT CORP US N 2 2021-03-15 Fixed 3.3 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BE8 300000.000000 PA USD 312544.730000 0.0822881 Long DBT CORP US N 2 2023-03-15 Fixed 3.65 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -4700000.000000 PA -4426888.790000 -1.1655298 Short DBT NUSS CA N 2 2048-12-01 Fixed 2.75 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087XQ2 1989480.000000 PA 2187808.930000 0.5760155 Long DBT NUSS CA N 2 2036-12-01 Fixed 3 N N N N N N CANADA MORTGAGE & HOUSING POOL N/A 62941ZZA5 840260.030000 PA 648026.810000 0.1706152 Long DBT NUSS CA N 2 2020-08-01 Floating 2.265 N N N N N N CENT CLO LTD 2015-24A N/A 15137KAE9 1200000.000000 PA USD 1198488.400000 0.3155430 Long ABS-CBDO CORP KY N 2 2026-10-15 Floating 3.07088 N N N N N N CENTERPOINT ENERGY RESOURCES CORP 2JADVB0458J06WCD4N56 15189WAK6 200000.000000 PA USD 207060.380000 0.0545157 Long DBT CORP US N 2 2023-04-01 Fixed 3.55 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0WD1P5 2000000.000000 PA USD 2002666.320000 0.5272703 Long DBT CORP JP N 2 2020-08-04 Floating 2.4305 N N N N N N CENTURYLINK INC 8M3THTGWLTYZVE6BBY25 15670BAB8 392000.000000 PA USD 394068.980000 0.1037521 Long LON CORP US N 2 2025-01-31 Floating 4.5494 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BJ2 1100000.000000 PA USD 1140630.590000 0.3003100 Long DBT CORP US N 2 2028-02-15 Fixed 3.75 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BB9 1400000.000000 PA USD 1471396.850000 0.3873955 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 161175BS2 300000.000000 PA USD 326082.030000 0.0858522 Long DBT CORP US N 2 2049-07-01 Fixed 5.125 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630CA4 245086.440000 PA USD 244097.640000 0.0642670 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.78193 Y N N N N N CHASE MORTGAGE FINANCE CORP 2007-A2 N/A 16163LAQ5 42409.300000 PA USD 38638.090000 0.0101728 Long ABS-MBS CORP US N 2 2037-07-25 Variable 3.7965 Y N N N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 BWWC43II9 2055000000.000000 PA 3059194.610000 0.8054375 Long DBT NUSS CL N 2 2026-03-01 Fixed 4.5 N N N N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI13NCW6 645000000.000000 PA 993793.540000 0.2616501 Long DBT NUSS CL N 2 2030-09-01 Fixed 4.7 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 BZ82X0II5 2000000.000000 PA 283154.070000 0.0745500 Long DBT CORP CN N 2 2036-01-25 Fixed 3.8 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI19HN43 34300000.000000 PA 4984069.690000 1.3122267 Long DBT CORP CN N 2 2026-02-26 Fixed 3.68 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 BDG28WII3 4700000.000000 PA 694064.040000 0.1827361 Long DBT CORP CN N 2 2027-04-10 Fixed 4.04 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 BD0F7YII8 8800000.000000 PA 1229239.530000 0.3236393 Long DBT CORP CN N 2 2026-08-25 Fixed 3.05 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI0XJLS3 27300000.000000 PA 4079453.690000 1.0740556 Long DBT CORP CN N 2 2027-08-24 Fixed 4.24 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI16C869 2100000.000000 PA 312971.770000 0.0824005 Long DBT CORP CN N 2 2025-10-26 Fixed 4.15 N N N N N N CHINA GOVT N/A BD1F1VII9 500000.000000 PA 70410.520000 0.0185380 Long DBT NUSS CN N 2 2026-08-04 Fixed 2.74 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LV1 100000.000000 PA USD 102076.840000 0.0268752 Long DBT CORP US N 2 2023-01-24 Floating 3.142 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LM1 100000.000000 PA USD 101780.290000 0.0267971 Long DBT CORP US N 2 2023-07-24 Floating 2.876 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AR5 N/A 17311LAJ0 205201.160000 PA USD 182899.410000 0.0481545 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.85639 Y N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-2 N/A 17307GRE0 59421.900000 PA USD 59533.140000 0.0156741 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.22947 N N N N N N CLYDESDALE BANK PLC NHXOBHMY8K53VRC7MZ54 ACI0CCL93 800000.000000 PA 1063244.610000 0.2799355 Long DBT CORP GB N 2 2020-04-21 Fixed 2.25 N N N N N N CMHI FINANCE BVI CO LTD 549300KTVUL1BXLNPZ11 ACI148043 200000.000000 PA USD 210724.800000 0.0554805 Long DBT CORP VG N 2 2023-08-06 Fixed 4.375 N N N N N N CO-OPERATIVE GROUP HOLDINGS (2011) LIMITED 213800TAO69X5H284Q39 B4YD7NII0 300000.000000 PA 408595.280000 0.1075767 Long DBT CORP GB N 2 2020-07-08 Variable 6.875 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI05MPY0 1230000000.000000 PA 372228.010000 0.0980017 Long DBT NUSS CO N 2 2028-04-28 Fixed 6 N N N N N N CONTINENTAL RESOURCES INC XXRTID9RYWOZ0UPIVR53 212015AS0 200000.000000 PA USD 212776.870000 0.0560208 Long DBT CORP US N 2 2028-01-15 Fixed 4.375 N N N N N N CORPORACION GEO SAB DE CV 54930004KSSRAZ2P6765 21986VAB1 700000.000000 PA USD 0.010000 0.0000000 Long DBT CORP MX N 3 2020-06-30 Fixed 9.25 Y Y N N N N COUNTRYWIDE ALT LOAN TRUST 2006-36T2 N/A 02146XAF5 516677.750000 PA USD 363524.390000 0.0957102 Long ABS-MBS CORP US N 2 2036-12-25 Floating 6.25 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-29T1 N/A 02147PCJ1 33101.840000 PA USD 31454.510000 0.0082815 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 8 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1 N/A 02149JAL0 655891.860000 PA USD 400486.390000 0.1054417 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-19 N/A 02151ABW9 366710.800000 PA USD 261448.670000 0.0688353 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4 N/A 02150QAA4 321431.440000 PA USD 282428.690000 0.0743590 Long ABS-MBS CORP US N 2 2037-06-25 Variable 3.87175 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9 N/A 02146YAC0 120372.060000 PA USD 89327.190000 0.0235184 Long ABS-MBS CORP US N 2 2046-07-20 Floating 1.97463 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10 N/A 12668ABJ3 29222.860000 PA USD 17653.040000 0.0046478 Long ABS-MBS CORP US N 2 2035-10-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1 N/A 02150JAV4 524488.250000 PA USD 362563.570000 0.0954572 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB N/A 12668BFE8 51551.220000 PA USD 44233.020000 0.0116459 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-39CB N/A 02148JAU1 437850.990000 PA USD 441380.730000 0.1162086 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-21 N/A 12667LAD4 397520.170000 PA USD 395273.310000 0.1040692 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.942 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-4 N/A 1266715K8 232596.930000 PA USD 233784.010000 0.0615516 Long ABS-MBS CORP US N 2 2034-07-25 Floating 2.512 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-11 N/A 126670CJ5 521055.410000 PA USD 523133.380000 0.1377327 Long ABS-MBS CORP US N 2 2034-03-25 Variable 5.21 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-4 N/A 126673R20 621716.560000 PA USD 624366.560000 0.1643858 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.752 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAD8 4099999.980000 PA USD 4009667.140000 1.0556819 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.052 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-15 N/A 12666UAC7 220345.750000 PA USD 216047.690000 0.0568819 Long ABS-MBS CORP US N 2 2046-10-25 Variable 4.59999 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAD2 126086.320000 PA USD 111030.840000 0.0292327 Long ABS-MBS CORP US N 2 2037-09-25 Floating 2.012 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-1 N/A 126670TH1 95028.280000 PA USD 95504.330000 0.0251448 Long ABS-MBS CORP US N 2 2036-07-25 Variable 4.70622 N N N N N N COUNTRYWIDE HOME LOANS 2005-7 N/A 12669GNX5 502208.490000 PA USD 442653.490000 0.1165437 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.542 N N N N N N COUNTRYWIDE HOME LOANS 2005-R2 N/A 12669GN64 188539.750000 PA USD 182569.210000 0.0480676 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.132 Y N N N N N COUNTRYWIDE HOME LOANS 2006-21 N/A 12543PAN3 190327.000000 PA USD 162987.900000 0.0429121 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N COUNTRYWIDE HOME LOANS 2006-J4 N/A 12669YAE2 319518.410000 PA USD 237568.940000 0.0625481 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.25 Y N N N N N CREDIT AGRICOLE SA/LONDON BRANCH 969500TJ5KRTCJQWXH05 22535WAE7 1900000.000000 PA USD 1987516.280000 0.5232816 Long DBT CORP FR N 2 2023-04-24 Fixed 3.75 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB6 N/A 1248RHAC1 264986.000000 PA USD 178392.500000 0.0469679 Long ABS-MBS CORP US N 2 2037-07-25 Floating 2.012 N N N N N N CREDIT SUISSE AG/NEW YORK BRANCH ANGGYXNX0JLX3X63JN86 22550L2A8 900000.000000 PA USD 904237.970000 0.2380715 Long DBT CORP CH N 2 2021-11-12 Fixed 2.1 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AE8 2100000.000000 PA USD 2123952.500000 0.5592031 Long DBT CORP CH N 2 2023-12-14 Floating 3.09363 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AT8 1900000.000000 PA USD 1989144.470000 0.5237103 Long DBT CORP GG N 2 2023-06-09 Fixed 3.8 N N N N N N CREDIT-BACKED ASSET SERVICING 2007-CB3 N/A 17311YAC7 1079293.900000 PA USD 623449.370000 0.1641444 Long ABS-MBS CORP US N 2 2037-03-25 Variable 3.75264 Y N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 20338.840000 PA USD 20050.300000 0.0052789 Long ABS-MBS CORP US N 2 2032-01-25 Floating 2.412 N N N N N N CVC CORDATUS LOAN FUND IV LTD 4A N/A ACI18JLV2 250000.000000 PA 280314.240000 0.0738023 Long ABS-CBDO CORP IE N 2 2030-04-22 Floating 0.97 N N N N N N CVS PASS-THROUGH TRUST N/A 126650BS8 1298546.970000 PA USD 1605213.970000 0.4226274 Long DBT CORP US N 2 2032-01-10 Fixed 7.507 N N N N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 BYN6FXII0 5600000.000000 PA 230850.590000 0.0607793 Long DBT NUSS CZ N 2 2030-05-15 Fixed 0.95 N N N N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 ACI06HZS2 900000.000000 PA 42713.630000 0.0112458 Long DBT NUSS CZ N 2 2028-08-25 Fixed 2.5 N N N N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 ACI1HGFN3 8000000.000000 PA 352826.750000 0.0928937 Long DBT NUSS CZ N 2 2020-01-10 None 0 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DA9 800000.000000 PA USD 800631.920000 0.2107937 Long DBT CORP US N 2 2021-02-12 Floating 2.33063 N N N N N N DBS BANK LTD ATUEL7OJR5057F2PV266 23304RAB1 300000.000000 PA USD 308068.630000 0.0811096 Long DBT CORP SG N 2 2021-11-27 Fixed 3.3 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 25272KAD5 200000.000000 PA USD 205825.580000 0.0541906 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 2006-AB1 N/A 251510MM2 329570.930000 PA USD 327945.720000 0.0863429 Long ABS-MBS CORP US N 2 2036-02-25 Variable 5.945 Y N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BP3 100000.000000 PA USD 100461.200000 0.0264498 Long DBT CORP DE N 2 2021-01-22 Fixed 3.15 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BQ1 300000.000000 PA USD 298807.140000 0.0786712 Long DBT CORP DE N 2 2021-01-22 Floating 2.76825 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 25160PAD9 300000.000000 PA USD 300547.930000 0.0791295 Long DBT CORP DE N 2 2021-02-04 Floating 3.19225 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BX6 1300000.000000 PA USD 1337018.380000 0.3520158 Long DBT CORP DE N 2 2021-10-14 Fixed 4.25 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CB3 1000000.000000 PA USD 1021990.760000 0.2690740 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N DISCOVER BANK/GREENWOOD BRANCH X05BVSK68TQ7YTOSNR22 25466AAK7 300000.000000 PA USD 309651.440000 0.0815263 Long DBT CORP US N 2 2023-02-06 Fixed 3.35 N N N N N N DNB BOLIGKREDITT AS 5967007LIEEXZX659K67 25600WAG5 400000.000000 PA USD 415972.600000 0.1095190 Long DBT CORP NO N 2 2023-06-28 Fixed 3.25 N N N N N N DOMINION ENERGY GAS HOLDINGS LLC 549300BFOD6TDMVV4O24 257375AM7 500000.000000 PA USD 502088.640000 0.1321920 Long DBT CORP US N 2 2021-06-15 Floating 2.49363 N N N N N N DRYDEN EURO CLO 16-46A N/A ACI1C3DT6 900000.000000 PA 1010103.910000 0.2659444 Long ABS-CBDO CORP NL N 2 2030-01-15 Floating 0.88 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AJ8 1100000.000000 PA USD 1300403.500000 0.3423757 Long DBT CORP CO N 2 2045-05-28 Fixed 5.875 N N N N N N EGCLO 2018-1A N/A 29915RAA1 300000.000000 PA USD 298138.820000 0.0784952 Long ABS-CBDO CORP KY N 2 2028-05-28 Floating 2.83375 N N N N N N EMC CORPORATION KDMDXRWU7UTJ30FC8R59 268648AQ5 400000.000000 PA USD 400572.000000 0.1054643 Long DBT CORP US N 2 2020-06-01 Fixed 2.65 N N N N N N EMERA US FINANCE LP N/A 29103DAF3 300000.000000 PA USD 302788.470000 0.0797194 Long DBT CORP US N 2 2021-06-15 Fixed 2.7 N N N N N N EMERALD BAY SA 2221008SU8XG8LZVS860 ACI0YB9V6 1011000.000000 PA 1109939.290000 0.2922294 Long DBT CORP LU N 2 2020-10-08 None 0 N N N N N N EMF-NL BV 2008-APRX N/A B39M0PII2 321427.800000 PA 347129.000000 0.0913936 Long ABS-MBS CORP NL N 2 2041-04-17 Floating 0.382 N N N N N N EQT CORPORATION 4NT01YGM4X7ZX86ISY52 26884LAC3 200000.000000 PA USD 199979.920000 0.0526515 Long DBT CORP US N 2 2020-10-01 Fixed 2.5 N N N N N N EQT CORPORATION 4NT01YGM4X7ZX86ISY52 26884LAD1 600000.000000 PA USD 598420.190000 0.1575546 Long DBT CORP US N 2 2020-10-01 Floating 2.67938 N N N N N N EQT CORPORATION 4NT01YGM4X7ZX86ISY52 26884LAE9 500000.000000 PA USD 491305.810000 0.1293530 Long DBT CORP US N 2 2022-10-01 Fixed 3 N N N N N N EQUIFAX INC 5493004MCF8JDC86VS77 294429AP0 200000.000000 PA USD 200779.130000 0.0528620 Long DBT CORP US N 2 2021-08-15 Floating 2.77988 N N N N N N EUROSAIL PLC 2006-4X N/A B1KNN2II7 448839.840000 PA 588736.290000 0.1550049 Long ABS-MBS CORP GB N 2 2044-12-10 Floating 0.94525 N N N N N N EUROSAIL PLC 2007-1X N/A B1SJSZII0 362871.420000 PA 403886.810000 0.1063370 Long ABS-MBS CORP GB N 2 2045-03-13 Floating 0 N N N N N N EUROSAIL PLC 2007-NL2X N/A 919AJRII1 145396.680000 PA 163810.460000 0.0431287 Long ABS-MBS CORP NL N 2 2040-10-17 Floating 1.082 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 500000.000000 PA 606963.680000 0.1598039 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FANNIE MAE 2006-48 N/A 31395NLE5 52646.770000 PA USD 52560.460000 0.0138383 Long ABS-MBS USGSE US N 2 2036-06-25 Floating 2.192 N N N N N N FCE BANK PLC TU5V87TL5Q0UV1EW4H93 ACI0KHKC7 200000.000000 PA 227984.710000 0.0600248 Long DBT CORP GB N 2 2021-02-11 Fixed 1.66 N N N N N N FCE BANK PLC TU5V87TL5Q0UV1EW4H93 ACI0TCRM0 300000.000000 PA 336086.660000 0.0884863 Long DBT CORP GB N 2 2020-08-26 Floating 0.097 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 ACI0W0017 200000.000000 PA 225503.760000 0.0593716 Long DBT CORP US N 2 2021-01-15 Fixed 0.4 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 ACI0VZZX3 200000.000000 PA 268540.490000 0.0707025 Long DBT CORP US N 2 2022-06-30 Fixed 1.7 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 ACI1C01S7 300000.000000 PA 343573.670000 0.0904575 Long DBT CORP US N 2 2023-05-21 Fixed 0.75 N N N N N N FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-3 N/A 316599AD1 1154636.410000 PA USD 813474.840000 0.2141750 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.868 N N N N N N FIGUEROA CLO LTD 2014-1A N/A 31683YAJ3 681730.360000 PA USD 681574.100000 0.1794477 Long ABS-CBDO CORP KY N 2 2027-01-15 Floating 2.90088 N N N N N N FIRST ABU DHABI BANK PJSC 2138002Y3WMK6RZS8H90 ACI0TC3G9 600000.000000 PA USD 610015.200000 0.1606073 Long DBT CORP AE N 2 2022-03-30 Fixed 3 N N N N N N FIRST FRANKLIN MTG LN ASSET CERT2005-FF8 N/A 362341QR3 241453.560000 PA USD 243105.730000 0.0640059 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.527 N N N N N N FIRST FRANKLIN MTG LOAN 2004-FF10 N/A 32027NMJ7 268184.540000 PA USD 269646.330000 0.0709936 Long ABS-MBS CORP US N 2 2034-07-25 Floating 3.067 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF12 N/A 32027GAD8 350996.000000 PA USD 349328.000000 0.0919725 Long ABS-MBS CORP US N 2 2036-09-25 Floating 1.932 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF5 N/A 32027EAE1 163432.280000 PA USD 159308.610000 0.0419434 Long ABS-MBS CORP US N 2 2036-04-25 Floating 1.952 N N N N N N FIRST NLC TRUST 2005-3 N/A 32113JBU8 333568.630000 PA USD 336536.990000 0.0886049 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.497 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738AT5 1000000.000000 PA USD 1035844.870000 0.2727216 Long DBT CORP US N 2 2026-07-01 Fixed 3.2 N N N N N N FNMA PASS THRU POOLS N/A 31371LE39 841.380000 PA USD 884.990000 0.0002330 Long ABS-MBS USGSE US N 2 2023-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MJ57 56420.820000 PA USD 59334.500000 0.0156218 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MT80 23376.980000 PA USD 25751.810000 0.0067800 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371NAA3 19376.050000 PA USD 21333.270000 0.0056167 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371NH57 30489.130000 PA USD 33557.290000 0.0088351 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371NTK1 5102.530000 PA USD 5384.920000 0.0014178 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31371NV69 2712.090000 PA USD 2862.240000 0.0007536 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31381SQF2 447021.510000 PA USD 454686.470000 0.1197118 Long ABS-MBS USGSE US N 2 2022-01-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31381VAN5 540673.510000 PA USD 539722.160000 0.1421003 Long ABS-MBS USGSE US N 2 2022-06-01 Fixed 2.85 N N N N N N FNMA PASS THRU POOLS N/A 31402ETG3 2930.740000 PA USD 3250.450000 0.0008558 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31402WLE6 3358.650000 PA USD 3595.570000 0.0009467 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31404FCH4 4550.240000 PA USD 4894.010000 0.0012885 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31407EBF9 15011.420000 PA USD 16589.730000 0.0043678 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407HQ82 42879.010000 PA USD 47265.810000 0.0124443 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407KKJ7 3944.830000 PA USD 4356.070000 0.0011469 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31408JHF1 20589.120000 PA USD 22695.410000 0.0059753 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409CEG6 22817.430000 PA USD 25146.640000 0.0066207 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409VYE7 1294.280000 PA USD 1451.720000 0.0003822 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410KM92 15262.810000 PA USD 17182.500000 0.0045239 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KVV3 8111.420000 PA USD 9131.400000 0.0024042 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410LC91 12395.080000 PA USD 13911.050000 0.0036626 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410VSV3 3550.790000 PA USD 3868.080000 0.0010184 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412HYJ2 8727.820000 PA USD 9606.600000 0.0025293 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412LL65 35887.950000 PA USD 39499.400000 0.0103996 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412NMF0 48346.130000 PA USD 54117.670000 0.0142483 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412PYW5 71898.210000 PA USD 78045.920000 0.0205483 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31412QLC1 16414.260000 PA USD 18384.670000 0.0048404 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31413DD61 7052.650000 PA USD 7830.750000 0.0020617 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31413VSF5 7237.460000 PA USD 7853.960000 0.0020678 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414ADY5 38759.190000 PA USD 44302.270000 0.0116641 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414D7J9 14806.740000 PA USD 16158.510000 0.0042543 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414K6M7 7505.660000 PA USD 8386.130000 0.0022079 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414PUU1 13885.510000 PA USD 15524.160000 0.0040873 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414SX81 5018.990000 PA USD 5621.720000 0.0014801 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415LRX7 12559.860000 PA USD 13516.560000 0.0035587 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415LVW4 51536.990000 PA USD 53197.250000 0.0140060 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31415QYT7 5133.670000 PA USD 5626.430000 0.0014813 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415REY6 20655.690000 PA USD 22791.430000 0.0060006 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415R3A0 17475.820000 PA USD 19289.050000 0.0050785 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415SQ21 102929.860000 PA USD 113703.170000 0.0299362 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415VUH6 59485.820000 PA USD 66059.350000 0.0173924 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415V6U4 4007.870000 PA USD 4413.830000 0.0011621 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416CDJ2 9734.900000 PA USD 10900.080000 0.0028698 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416H6F7 7894.830000 PA USD 8717.040000 0.0022951 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416RZ48 28134.680000 PA USD 29267.610000 0.0077057 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31416XHQ6 7465.090000 PA USD 8014.780000 0.0021102 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417E6Y2 66784.570000 PA USD 76526.850000 0.0201483 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31417MP56 705.450000 PA USD 777.310000 0.0002047 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31417WKT7 38837.560000 PA USD 42813.950000 0.0112722 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31418PCF0 415.340000 PA USD 444.250000 0.0001170 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31418U4W1 31377.760000 PA USD 34627.340000 0.0091168 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31418VQ96 5628.020000 PA USD 5930.560000 0.0015614 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 31418WGA2 13236.610000 PA USD 14589.900000 0.0038413 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31419AG43 98698.750000 PA USD 107192.240000 0.0282220 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419MBY6 7708.680000 PA USD 8070.280000 0.0021248 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A2J59 7750.950000 PA USD 8031.890000 0.0021147 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A4TN5 17586.950000 PA USD 18866.350000 0.0049672 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A96M1 39995.280000 PA USD 42779.920000 0.0112633 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138AA3F6 59338.380000 PA USD 64458.690000 0.0169710 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ABRY7 51913.590000 PA USD 55655.820000 0.0146533 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138AKRH4 2417.850000 PA USD 2626.790000 0.0006916 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ANC84 55455.290000 PA USD 60247.960000 0.0158623 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AVPA7 7477.280000 PA USD 8040.560000 0.0021170 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138E7TW4 32224.790000 PA USD 33069.160000 0.0087066 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138EGCB8 4617.200000 PA USD 5015.270000 0.0013204 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EHBB7 42041.250000 PA USD 46333.570000 0.0121989 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138MCPH1 36947.080000 PA USD 37862.940000 0.0099687 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138WBHW8 3708.580000 PA USD 3905.040000 0.0010281 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FXLQ3 1455540.930000 PA USD 1530779.120000 0.4030299 Long ABS-MBS USGSE US N 2 2059-01-01 Fixed 3.5 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 ACI07BWB4 1360.000000 NS 299041.650000 0.0787329 Long EP CORP GB N 2 N N N FNMA PASS THRU POOLS N/A 3140H7TP2 300000.160000 PA USD 315285.230000 0.0830096 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HAU57 287877.050000 PA USD 303580.920000 0.0799281 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 3140QANA4 96183.070000 PA USD 100027.700000 0.0263357 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140QBZL5 894516.590000 PA USD 916954.650000 0.2414196 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140X47J9 295926.640000 PA USD 308278.590000 0.0811649 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 3.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YJ6 500000.000000 PA USD 496493.700000 0.1307189 Long DBT CORP US N 2 2022-03-28 Floating 3.2305 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI12NHY8 300000.000000 PA 334440.450000 0.0880529 Long DBT CORP US N 2 2021-05-14 Floating 0.032 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI0Z5583 200000.000000 PA 220342.250000 0.0580126 Long DBT CORP US N 2 2021-12-01 Floating 0.000001 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI10JHM5 100000.000000 PA 108467.040000 0.0285577 Long DBT CORP US N 2 2022-12-07 Floating 0.025 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI18M3K9 2800000.000000 PA 3622060.200000 0.9536311 Long DBT NUSS FR N 2 2050-05-25 Fixed 1.5 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI0V7KW3 300000.000000 PA 432894.270000 0.1139742 Long DBT NUSS FR N 2 2048-05-25 Fixed 2 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPPH6 714047.780000 PA USD 709080.080000 0.1866896 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 2.13138 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPS83 714047.780000 PA USD 48664.280000 0.0128125 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 2.50047 N N N N N N FRONTIER FINANCE PLC 213800XVLIFOCEEVIS52 ACI0T8JS5 1300000.000000 PA 1770918.410000 0.4662548 Long DBT CORP GB N 2 2022-03-23 Fixed 8 N N N N N N GE CAPITAL INTERNATIONAL FUNDING COMPANY 549300G6UZOB126GBY72 36164QMS4 1100000.000000 PA USD 1101060.720000 0.2898919 Long DBT CORP IE N 2 2020-11-15 Fixed 2.342 N N N N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 370334CB8 100000.000000 PA USD 100346.910000 0.0264198 Long DBT CORP US N 2 2021-04-16 Floating 2.54088 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCH7 100000.000000 PA USD 100220.850000 0.0263866 Long DBT CORP US N 2 2021-04-09 Floating 2.862 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCU8 700000.000000 PA USD 720630.050000 0.1897305 Long DBT CORP US N 2 2022-07-08 Fixed 3.55 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 21191.160000 PA USD 210979.190000 0.0555475 Long STIV RF US N 1 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 534359.370000 PA USD 5286417.210000 1.3918300 Long STIV RF US N 1 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWZ3 1200000.000000 PA USD 1322456.300000 0.3481818 Long DBT CORP US N 2 2029-05-01 Floating 4.223 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWJ9 200000.000000 PA USD 203317.650000 0.0535303 Long DBT CORP US N 2 2023-06-05 Floating 2.908 N N N N N N GREAT HALL MORTGAGES PLC 2006-1 N/A 991XUKII4 311632.180000 PA 406498.730000 0.1070247 Long ABS-MBS CORP GB N 2 2038-06-18 Floating 0.94438 N N N N N N GREAT HALL MORTGAGES PLC 2007-1 N/A B1S83ZII1 849583.560000 PA 1108330.770000 0.2918059 Long ABS-MBS CORP GB N 2 2039-03-18 Floating 0.92438 N N N N N N GREAT HALL MORTGAGES PLC 2007-2X N/A 997DXGII8 293472.190000 PA 380870.650000 0.1002772 Long ABS-MBS CORP GB N 2 2039-06-18 Floating 0.93438 N N N N N N GREAT HALL MORTGAGES PLC 2007-2X N/A B1Z97MII6 666982.260000 PA 734518.870000 0.1933872 Long ABS-MBS CORP GB N 2 2039-06-18 Floating 0 N N N N N N GREENPOINT MRGT PASS THRU CER 2003-1 N/A 395387AA1 12032.480000 PA USD 12207.400000 0.0032140 Long ABS-MBS CORP US N 2 2033-10-25 Floating 4.69501 N N N N N N GREENPOINT MTGE FUNDING TR 2007-AR1 N/A 39539KAG8 27788.460000 PA USD 28154.560000 0.0074127 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.952 Y N N N N N GSAA HOME EQUITY TRUST 2007-8 N/A 38144RAC1 181234.520000 PA USD 178081.420000 0.0468860 Long ABS-MBS CORP US N 2 2037-08-25 Floating 2.242 N N N N N N GSAMP TRUST 2006-FM1 N/A 362334PK4 846575.090000 PA USD 639351.200000 0.1683311 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.062 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAC5 985135.750000 PA USD 574116.820000 0.1511559 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.912 N N N N N N GSAMP TRUST 2007-FM2 N/A 3622MHAC0 188257.840000 PA USD 126443.040000 0.0332905 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.882 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAC2 1220114.590000 PA USD 749522.620000 0.1973374 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.892 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAD0 793074.480000 PA USD 491212.570000 0.1293285 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.942 N N N N N N GSR MORTGAGE LOAN TRUST 2007-AR2 N/A 3622N6AC3 19504.060000 PA USD 17029.750000 0.0044837 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.31378 Y N N N N N HANNOVER FUNDING COMPANY LLC 549300Q4LWLYRV25UY62 932JIL007 900000.000000 PA 1010060.810000 0.2659330 Long DBT CORP US N 2 2020-02-12 None 0 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-4 N/A 41161PMZ3 6840.750000 PA USD 6504.010000 0.0017124 Long ABS-MBS CORP US N 2 2035-07-19 Floating 4.23516 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-2 N/A 41161PJ38 35533.670000 PA USD 22730.440000 0.0059846 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.69439 N N N N N N HARLEY-DAVIDSON FINANCIAL SERVICES INC RLUFFFFW4GRYU77BTS24 41283LAT2 400000.000000 PA USD 402423.990000 0.1059519 Long DBT CORP US N 2 2021-03-02 Floating 2.84688 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BP3 200000.000000 PA USD 220180.000000 0.0579699 Long DBT CORP GB N 2 2028-03-23 Floating 6.5 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BQ1 500000.000000 PA USD 500543.830000 0.1317853 Long DBT CORP GB N 2 2021-05-18 Floating 2.50413 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BR9 400000.000000 PA USD 403455.720000 0.1062235 Long DBT CORP GB N 2 2024-05-18 Floating 2.90413 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 BJJMM2II3 500000.000000 PA 698952.240000 0.1840231 Long DBT CORP GB N 2 2028-07-22 Floating 3 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 600000.000000 PA USD 648668.680000 0.1707842 Long DBT CORP GB N 2 2026-09-12 Floating 4.292 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAF5 579373.010000 PA USD 226852.630000 0.0597267 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.012 N N N N N N HUNTSMAN INTERNATIONAL LLC 3YTEJFW18LGIUQ2N5J61 44701QBD3 400000.000000 PA USD 427315.940000 0.1125055 Long DBT CORP US N 2 2022-11-15 Fixed 5.125 N N N N N N ICICI BANK LTD/DUBAI BRANCH R7RX8ER1V4666J8D1I38 45112FAG1 1000000.000000 PA USD 1002020.800000 0.2638162 Long DBT CORP IN N 2 2020-03-18 Fixed 3.5 N N N N N N IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1 N/A 45254TRR7 83607.100000 PA USD 74917.580000 0.0197246 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.55572 N N N N N N IMPAC SECURED ASSETS CORP. 2006-4 N/A 45257BAC4 504.540000 PA USD 506.630000 0.0001334 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.962 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 453140AD7 1200000.000000 PA USD 1203496.040000 0.3168615 Long DBT CORP GB N 2 2020-07-21 Fixed 2.95 N N N N N N INDONESIA ASAHAN ALUMINIUM (PERSERO) PT 2549008P48EB9SN2OI80 74445PAA0 200000.000000 PA USD 210000.000000 0.0552897 Long DBT CORP ID N 2 2021-11-15 Fixed 5.23 N N N N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI06JNF9 43649000000.000000 PA 3373893.140000 0.8882927 Long DBT NUSS ID N 2 2034-03-15 Fixed 8.375 N N N N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI0F4T58 23834000000.000000 PA 1803881.420000 0.4749334 Long DBT NUSS ID N 2 2036-05-15 Fixed 8.25 N N N N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 455780CF1 2700000.000000 PA USD 2935663.450000 0.7729137 Long DBT NUSS ID N 2 2028-04-24 Fixed 4.1 N N N N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 Y20721BB4 1100000.000000 PA USD 1327415.210000 0.3494874 Long DBT NUSS ID N 2 2042-01-17 Fixed 5.25 N N N N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI0MZL00 3400000.000000 PA 4095321.750000 1.0782334 Long DBT NUSS ID N 2 2023-06-14 Fixed 2.625 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR11 N/A 45661KAD2 246443.740000 PA USD 232997.010000 0.0613444 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.08565 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR11 N/A 45660N6S9 5129.670000 PA USD 5202.070000 0.0013696 Long ABS-MBS CORP US N 2 2034-12-25 Floating 3.85469 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR12 N/A 45660LMG1 10106.630000 PA USD 9846.640000 0.0025925 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.272 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAD8 561749.660000 PA USD 415694.300000 0.1094457 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.032 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI0DVTJ0 1900000.000000 PA 590747.980000 0.1555346 Long DBT NUSS IL N 2 2025-08-31 Fixed 1.75 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI1F7ZY9 2600000.000000 PA 2901382.430000 0.7638881 Long DBT NUSS IT N 2 2030-04-01 Fixed 1.35 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI1B8T51 1900000.000000 PA 2288519.260000 0.6025309 Long DBT NUSS IT N 2 2026-07-15 Fixed 2.1 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI196JL4 2900000.000000 PA 3751874.420000 0.9878092 Long DBT NUSS IT N 2 2029-08-01 Fixed 3 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI14ZTR1 1500000.000000 PA 1845125.420000 0.4857923 Long DBT NUSS IT N 2 2025-11-15 Fixed 2.5 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI081715 6328680.000000 PA 7953342.260000 2.0939891 Long DBT NUSS IT N 2 2024-09-15 Fixed 2.35 N N N N N N JAMESTOWN CLO V LTD 2014-5A N/A 470473AF6 1568148.160000 PA USD 1568612.760000 0.4129909 Long ABS-CBDO CORP KY N 2 2027-01-17 Floating 3.22213 N N N N N N JAPAN GOVT N/A ACI1D1NX9 400000000.000000 PA 3728498.460000 0.9816546 Long DBT NUSS JP N 2 2029-06-20 Fixed 0.1 N N N N N N JAPAN GOVT N/A ACI0GYYD8 121000000.000000 PA 1293008.970000 0.3404288 Long DBT NUSS JP N 2 2035-09-20 Fixed 1.2 N N N N N N JAPAN GOVT N/A ACI1B32J1 309000000.000000 PA 2918202.200000 0.7683165 Long DBT NUSS JP N 2 2049-03-20 Fixed 0.5 N N N N N N JAPAN GOVT N/A BJB9V0II4 116000000.000000 PA 1155195.800000 0.3041448 Long DBT NUSS JP N 2 2048-12-20 Fixed 0.7 N N N N N N JAPAN GOVT N/A ACI0LY4R4 967024000.000000 PA 9095748.270000 2.3947666 Long DBT NUSS JP N 2 2026-03-10 Fixed 0.1 N N N N N N JAPAN GOVT N/A ACI12NZL6 343998400.000000 PA 3257782.460000 0.8577226 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT N/A ACI1HC3D7 170000000.000000 PA 1565079.560000 0.4120607 Long DBT NUSS JP N 2 2020-03-23 None 0 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A7 N/A 466286AV3 47414.480000 PA USD 45756.190000 0.0120469 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.46881 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2007-A2 N/A 466278AR9 378182.770000 PA USD 346349.200000 0.0911883 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.09219 Y N N N N N JP MORGAN MORTGAGE ACQ CORP 2005-RM1 N/A 46629NAC7 4212.580000 PA USD 2364.160000 0.0006224 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.872 N N N N N N JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2 N/A 46628TAD3 1792951.340000 PA USD 1004361.860000 0.2644326 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.942 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 7110.600000 PA USD 7184.400000 0.0018915 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.611 N N N N N N JP MORGAN MTGE TRUST 2005-ALT1 N/A 466247XG3 314354.520000 PA USD 289850.960000 0.0763132 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.03536 Y N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BWK1VJII1 202262.590000 PA 31446.740000 0.0082794 Long DBT CORP DK N 2 2037-10-01 Fixed 1.5 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BVXBNZII0 1.400000 PA 0.220000 0.0000001 Long DBT CORP DK N 2 2047-10-01 Fixed 2 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BQ13R2II3 19281.190000 PA 3109.890000 0.0008188 Long DBT CORP DK N 2 2047-10-01 Fixed 3 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BKLH46II9 1600000.000000 PA 234349.320000 0.0617005 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BD9H2PII9 2813860.520000 PA 431993.490000 0.1137370 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI1CPNN9 19600000.000000 PA 2897258.270000 0.7628022 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BH3VW6II4 7079774.810000 PA 1078675.060000 0.2839981 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAM4 100000.000000 PA USD 104098.580000 0.0274075 Long DBT CORP US N 2 2024-12-15 Fixed 3.45 N N N N N N KIMCO REALTY CORPORATION 549300EA7I6T15IBYS12 49446RAU3 500000.000000 PA USD 520326.770000 0.1369938 Long DBT CORP US N 2 2025-02-01 Fixed 3.3 N N N N N N KOMATSU FINANCE AMERICA INC 549300SRAAFEEQ8Z4D68 ACI0XK426 500000.000000 PA USD 502156.640000 0.1322099 Long DBT CORP US N 2 2022-09-11 Fixed 2.437 N N N N N N KOREA HYDRO & NUCLEAR POWER CO LTD 9884008CRY5MLCN8OQ43 50064YAN3 200000.000000 PA USD 210065.660000 0.0553070 Long DBT CORP KR N 2 2023-07-25 Fixed 3.75 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAP1 700000.000000 PA USD 701155.170000 0.1846031 Long DBT CORP US N 2 2021-02-10 Floating 2.47063 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 423074AS2 547000.000000 PA USD 562023.090000 0.1479718 Long DBT CORP US N 2 2025-02-15 Fixed 4.875 N N N N N N KUWAIT GOVT 549300FSC1YD0D9XX589 M6417JAA6 4800000.000000 PA USD 5167056.000000 1.3604041 Long DBT NUSS KW N 2 2027-03-20 Fixed 3.5 N N N N N N LANARK MASTER ISSUER PLC 19-1A N/A ACI189DK7 693333.360000 PA 922086.580000 0.2427708 Long ABS-MBS CORP GB N 2 2069-12-22 Floating 1.607 N N N N N N LEHMAN MORTGAGE TRUST 2007-8 N/A 52521YAA4 217457.840000 PA USD 222666.560000 0.0586246 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6 Y N N N N N LLOYDS BANK PLC H7FNTJ4851HG0EXQ1Z70 53944VAP4 200000.000000 PA USD 203260.370000 0.0535152 Long DBT CORP GB N 2 2021-05-07 Fixed 3.3 N N N N N N LLOYDS BANK PLC H7FNTJ4851HG0EXQ1Z70 ACI01SSR3 2500000.000000 PA 4098808.520000 1.0791514 Long DBT CORP GB N 2 2027-03-30 Fixed 4.875 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI0808F5 200000.000000 PA 297813.480000 0.0784096 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 53944YAH6 400000.000000 PA USD 422331.260000 0.1111931 Long DBT CORP GB N 2 2024-03-12 Fixed 3.9 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AR0 1000000.000000 PA USD 1102335.480000 0.2902275 Long DBT CORP GB N 2 2028-03-22 Fixed 4.375 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AS8 600000.000000 PA USD 636160.970000 0.1674911 Long DBT CORP GB N 2 2023-08-16 Fixed 4.05 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI00Q262 2100000.000000 PA 545740.850000 0.1436849 Long DBT NUSS MY N 2 2031-06-30 Fixed 4.232 N N N N N N MARKS AND SPENCER PLC 213800CN1RI3UCIZWB95 ACI0R7MT3 100000.000000 PA 137445.350000 0.0361872 Long DBT CORP GB N 2 2023-12-08 Fixed 3 N N N N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 BJBQCWII7 100000.000000 NS 143020.110000 0.0376549 Long EP CORP NL N 2 N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 44030.860000 PA USD 43857.820000 0.0115471 Long ABS-O CORP US N 2 2038-04-25 Floating 2.88963 N N N N N N MASTR ASSET BACKED SEC TR 2006-FRE2 N/A 57643GAE7 752090.660000 PA USD 565893.470000 0.1489908 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.032 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC1 N/A 57643LNF9 62389.030000 PA USD 62618.710000 0.0164865 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.392 N N N N N N MEIJI YASUDA LIFE INSURANCE COMPANY 549300SLU4LP6YMRLK07 585270AC5 200000.000000 PA USD 226554.000000 0.0596481 Long DBT CORP JP N 2 2048-04-26 Floating 5.1 N N N N N N MERCK KGAA (EMD FINANCE LLC) 529900C8KS5G529A0B76 26867LAE0 300000.000000 PA USD 300103.880000 0.0790126 Long DBT CORP US N 2 2020-03-19 Fixed 2.4 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS INC 2006-FM1 N/A 59021AAD0 832874.730000 PA USD 515860.950000 0.1358180 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.052 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 33569.480000 PA USD 32886.950000 0.0086586 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.002 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-FF1 N/A 59023WAC2 49004.610000 PA USD 49123.970000 0.0129336 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.102 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAC6 609692.080000 PA USD 389421.240000 0.1025284 Long ABS-MBS CORP US N 2 2037-08-25 Floating 1.902 N N N N N N MERRILL LYNCH MTGE INVESTORS 2006-A1 N/A 59020U5W1 111302.500000 PA USD 79312.950000 0.0208818 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.22741 Y N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI1DRW87 19510000.000000 PA 1026235.800000 0.2701916 Long DBT NUSS MX N 2 2020-01-30 None 0 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI1G7P86 10000000.000000 PA 528264.810000 0.1390838 Long DBT NUSS MX N 2 2020-01-09 None 0 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI0C9D73 800000.000000 PA 1010655.310000 0.2660895 Long DBT NUSS MX N 2 2099-12-31 Fixed 4 N N N N N N MID-AMERICA APARTMENTS LP 549300FXWGE3QSYCUJ38 59523UAP2 500000.000000 PA USD 551724.520000 0.1452603 Long DBT CORP US N 2 2028-06-15 Fixed 4.2 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822AT1 1100000.000000 PA USD 1141027.700000 0.3004145 Long DBT CORP JP N 2 2023-03-02 Fixed 3.455 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YAN9 500000.000000 PA USD 504373.990000 0.1327937 Long DBT CORP JP N 2 2022-09-11 Floating 2.76838 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YAS8 400000.000000 PA USD 420445.930000 0.1106968 Long DBT CORP JP N 2 2024-09-11 Floating 3.922 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YAU3 700000.000000 PA USD 707595.300000 0.1862986 Long DBT CORP JP N 2 2024-09-11 Floating 2.88838 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-HE5 N/A 61744CUT1 298970.900000 PA USD 298893.230000 0.0786939 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.437 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAE2 690439.840000 PA USD 437800.380000 0.1152659 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.932 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC5 N/A 61749BAF0 921354.630000 PA USD 600603.350000 0.1581294 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.022 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A 617526AE8 1346456.150000 PA USD 932620.020000 0.2455441 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.942 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAB6 619900.150000 PA USD 374804.150000 0.0986800 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.882 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC1 N/A 617505AD4 248452.820000 PA USD 156969.610000 0.0413276 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.932 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC1 N/A 617505AE2 248452.820000 PA USD 158591.630000 0.0417547 Long ABS-MBS CORP US N 2 2036-11-25 Floating 2.012 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-6AR N/A 61749CAM3 206846.470000 PA USD 160671.950000 0.0423024 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.79443 Y N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-5AR N/A 61748HLA7 158105.270000 PA USD 97243.340000 0.0256026 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.41746 Y N N N N N MORGAN STANLEY MTGE LN TR 2006-2 N/A 61748HVH1 47643.730000 PA USD 45111.010000 0.0118770 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.692 Y N N N N N MORTGAGE FUNDING 2008-1 PLC N/A B2QGTHII5 112209.200000 PA 148940.480000 0.0392137 Long ABS-MBS CORP GB N 2 2046-03-13 Floating 1.89963 N N N N N N MUTHOOT FINANCE LIMITED 335800HAMJMBFL4RRF02 62828L2A0 400000.000000 PA USD 415977.600000 0.1095203 Long DBT CORP IN N 2 2022-10-31 Fixed 6.125 N N N N N N MYLAN INC 30ZMPDNA1RHIBH89C294 628530BD8 500000.000000 PA USD 529408.770000 0.1393849 Long DBT CORP US N 2 2023-11-29 Fixed 4.2 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAA5 1400000.000000 PA USD 1449310.130000 0.3815804 Long DBT CORP GB N 2 2024-03-08 Floating 3.766 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 78442FEJ3 665000.000000 PA USD 673003.280000 0.1771911 Long DBT CORP US N 2 2020-03-25 Fixed 8 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2005-4 N/A 64352VMV0 379154.780000 PA USD 380517.230000 0.1001842 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.302 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 1071876.720000 PA USD 1072800.570000 0.2824514 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQDII7 391175.720000 PA 427993.330000 0.1126839 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 0.204 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KAS9 900000.000000 PA USD 906619.710000 0.2386986 Long DBT CORP US N 2 2021-09-01 Fixed 2.403 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BE8 1000000.000000 PA USD 998197.720000 0.2628097 Long DBT CORP US N 2 2022-09-28 Floating 2.6505 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BVG7BHII1 1.540000 PA 0.240000 0.0000001 Long DBT CORP DK N 2 2037-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI0CR3W9 40082.310000 PA 6343.040000 0.0016700 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BKDSHHII6 19100000.000000 PA 2799695.280000 0.7371155 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BH3VWJII6 4167370.390000 PA 635879.220000 0.1674169 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BK99HJII9 20974786.360000 PA 3099691.100000 0.8160996 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI0WLGL0 2625021.990000 PA 408223.360000 0.1074787 Long DBT CORP DK N 2 2050-10-01 Fixed 2 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAW8 300000.000000 PA USD 311301.530000 0.0819608 Long DBT CORP NL N 2 2022-09-01 Fixed 3.875 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI0BMPX5 1.520000 PA 0.240000 0.0000001 Long DBT CORP DK N 2 2047-10-01 Fixed 2 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI09WV27 13397.350000 PA 2120.160000 0.0005582 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1CY5Z3 30499509.560000 PA 4461260.320000 1.1745792 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BK9CXBII1 2888791.630000 PA 427014.820000 0.1124262 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI19Y843 11129237.450000 PA 1694398.560000 0.4461083 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BDDX39II4 9711865.940000 PA 1490998.880000 0.3925564 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N OCTAGON INVESTMENT PARTNERS XIX LTD 2014-1A N/A 67590LAN8 333725.560000 PA USD 333806.740000 0.0878860 Long ABS-CBDO CORP KY N 2 2026-04-15 Floating 3.10088 N N N N N N ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED 549300L7LF2PIRAWID66 G6711KAC9 1045821.830000 PA USD 1030144.960000 0.2712209 Long DBT CORP KY N 2 2022-12-01 Fixed 6.72 N N N N N N ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED 549300L7LF2PIRAWID66 G6711KAD7 4021954.000000 PA USD 1005528.720000 0.2647398 Long DBT CORP KY N 2 2026-12-01 Fixed 7.72 N N Y N N N ODEBRECHT OIL & GAS FINANCE LIMITED N/A 67576JAB7 116707.000000 PA USD 1167.070000 0.0003073 Long DBT CORP KY N 2 2020-02-03 None 0 N N N N N N ODEBRECHT OIL & GAS FINANCE LIMITED N/A 000000000 536155.000000 PA USD 5361.550000 0.0014116 Long DBT CORP KY N 2 2020-02-03 None 0 N N N N N N ORIX CORPORATION 35380016EMHNBOVYE123 686330AK7 200000.000000 PA USD 208495.380000 0.0548935 Long DBT CORP JP N 2 2024-12-04 Fixed 3.25 N N N N N N OVERSEA-CHINESE BANKING CORP 5493007O3QFXCPOGWK22 ACI12PFS8 600000.000000 PA USD 601150.840000 0.1582735 Long DBT CORP SG N 2 2021-05-17 Floating 2.35413 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2018-4A N/A 69700KAA1 835864.370000 PA USD 836406.800000 0.2202127 Long ABS-CBDO CORP KY N 2 2026-11-15 Floating 2.80988 N N N N N N PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP N/A 709599AZ7 1200000.000000 PA USD 1274594.400000 0.3355805 Long DBT CORP US N 2 2025-03-10 Fixed 3.95 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI0WBN59 300000.000000 PA 102668.240000 0.0270309 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638DB5 1400000.000000 PA 426127.040000 0.1121925 Long DBT NUSS PE N 2 2040-08-12 Fixed 5.35 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BX9 7900000.000000 PA 2689948.930000 0.7082210 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 600000.000000 NS USD 665820.000000 0.1752999 Long EP CORP US N 2 N N N PERU GOVT 254900STKLK2DBJJZ530 715638BV3 1600000.000000 PA 560674.420000 0.1476167 Long DBT NUSS PE N 2 2028-08-12 Fixed 6.35 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AC3 6000000.000000 PA 2102529.090000 0.5535626 Long DBT NUSS PE N 2 2028-08-12 Fixed 6.35 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NAK5 700000.000000 PA USD 851504.500000 0.2241877 Long DBT CORP NL N 2 2044-03-17 Fixed 7.25 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NBF5 1246000.000000 PA USD 1336658.960000 0.3519211 Long DBT CORP NL N 2 2030-01-15 Fixed 5.093 N N N N N N PHILIPPINES GOVT 529900RAHBALMYIJ3T08 718286BM8 20000000.000000 PA 481130.670000 0.1266741 Long DBT NUSS PH N 2 2036-01-14 Fixed 6.25 N N N N N N PRIME MORTGAGE TR 2006-CL1 N/A 74161QAA0 262018.070000 PA USD 251945.360000 0.0663332 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.292 N N N N N N PRIME MORTGAGE TRUST 2006-1 N/A 74161BAH8 128627.970000 PA USD 127290.050000 0.0335135 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 Y N N N N N PROVINCE OF BUENOS AIRES ARGENTINA 549300L6AYROPOTQ4L07 P1910WRC5 1170000.000000 PA 10716.080000 0.0028214 Long DBT NUSS AR N 2 2025-04-12 Floating 44.0625 N N N N N N PSA TREASURY PTE LTD 254900X7FR3V7789SL36 Y708HTAA7 500000.000000 PA USD 503847.260000 0.1326550 Long DBT CORP SG N 2 2026-04-12 Fixed 2.5 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI19CQH2 800000.000000 PA USD 838420.000000 0.2207427 Long DBT NUSS QA N 2 2024-03-14 Fixed 3.375 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI19CPF7 400000.000000 PA USD 447200.800000 0.1177409 Long DBT NUSS QA N 2 2029-03-14 Fixed 4 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI19CPD2 300000.000000 PA USD 372134.400000 0.0979771 Long DBT NUSS QA N 2 2049-03-14 Fixed 4.817 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI122SK2 1100000.000000 PA USD 1162937.600000 0.3061831 Long DBT NUSS QA N 2 2023-04-23 Fixed 3.875 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 M8489SAH0 1200000.000000 PA USD 1377115.200000 0.3625726 Long DBT NUSS QA N 2 2028-04-23 Fixed 4.5 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 BD93CFII1 3400000.000000 PA USD 3424609.640000 0.9016455 Long DBT CORP KY N 2 2021-05-31 Floating 3.26375 N N N N N N RAAC SERIES 2007-SP1 N/A 74978AAC4 133870.570000 PA USD 134336.930000 0.0353688 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.272 N N N N N N REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A N/A 75585RQL2 406421.810000 PA 317337.950000 0.0835501 Long ABS-MBS CORP CA N 2 2053-08-12 Fixed 3.072 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BQ13RFII4 85079.160000 PA 13439.030000 0.0035383 Long DBT CORP DK N 2 2036-04-01 Fixed 2.5 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI0B2V53 32614.400000 PA 5161.240000 0.0013589 Long DBT CORP DK N 2 2047-07-01 Fixed 2.5 N N N N N N RECKITT BENCKISER TREASURY SERVICES PLC 213800LAXWIUOOBZ3908 75625QAC3 600000.000000 PA USD 604369.390000 0.1591209 Long DBT CORP GB N 2 2022-06-24 Fixed 2.375 N N N N N N RENAISSANCE HOME EQUITY LOAN TRUST 2006-2 N/A 759676AF6 493365.740000 PA USD 273404.100000 0.0719830 Long ABS-MBS CORP US N 2 2036-08-25 Variable 5.797 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA11 N/A 74922XAA5 292583.930000 PA USD 255718.030000 0.0673265 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.962 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA6 N/A 74922MAA9 398337.770000 PA USD 374644.800000 0.0986380 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.982 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS16 N/A 74922LAA1 299585.870000 PA USD 227824.540000 0.0599826 Long ABS-MBS CORP US N 2 2036-11-25 Floating 2.192 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAA1 601505.700000 PA USD 590262.360000 0.1554067 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.932 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA2 N/A 74922PAA2 281339.340000 PA USD 280043.600000 0.0737310 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.922 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA3 N/A 74923XAA4 490904.080000 PA USD 461949.720000 0.1216240 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.892 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QS12 N/A 751151AQ4 81363.200000 PA USD 75324.010000 0.0198316 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 5 Y N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC1 N/A 76112BRP7 567111.340000 PA USD 569920.580000 0.1500511 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.722 N N N N N N RESIDENTIAL ASSET MTGE PROD 2006-EFC2 N/A 749238AC5 21114.330000 PA USD 21098.500000 0.0055549 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.952 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-AHL3 N/A 76110W6M3 310598.310000 PA USD 309631.390000 0.0815210 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.132 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2007-S6 N/A 762009BA5 32637.630000 PA USD 30497.330000 0.0080295 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 Y N N N N N RESIDENTIAL MORTGAGE SECURITIES 31 PLC 31 N/A ACI16FGD8 594260.360000 PA 793183.240000 0.2088326 Long ABS-MBS CORP GB N 2 2065-09-20 Floating 1.99813 N N N N N N RESIMAC BASTILLE TRUST SERIES 2018-1NC N/A 76118VAA8 272571.480000 PA USD 273131.000000 0.0719111 Long ABS-MBS CORP AU N 2 2059-12-05 Floating 2.55363 N N N N N N RESIMAC BASTILLE TRUST SERIES 2019-1NC N/A 76119UAA9 466553.550000 PA USD 466552.850000 0.1228360 Long ABS-MBS CORP AU N 2 2057-09-05 Floating 2.63363 N N N N N N RIO OIL FINANCE TRUST SERIES 2014-1 549300V5D1W52HY8NO65 76716XAA0 576794.120000 PA USD 647696.540000 0.1705282 Long DBT CORP US N 2 2024-07-06 Variable 9.25 N N N N N N RIO OIL FINANCE TRUST SERIES 2014-1 549300V5D1W52HY8NO65 U76673AA7 432595.600000 PA USD 485772.410000 0.1278962 Long DBT CORP US N 2 2024-07-06 Variable 9.25 N N N N N N RIPON MORTGAGES PLC 1A N/A ACI0TMV43 1386379.590000 PA 1838621.090000 0.4840798 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 1.60238 N N N N N N RIPON MORTGAGES PLC 1X N/A ACI0TMVB7 729673.470000 PA 967695.320000 0.2547789 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 1.60238 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 B8VZLPII4 1500000.000000 PA 373347.420000 0.0982965 Long DBT NUSS RO N 2 2023-04-26 Fixed 5.85 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780099CJ4 700000.000000 PA USD 716558.500000 0.1886585 Long DBT CORP GB N 2 2020-08-10 Floating 7.5 N N N N Y ROYAL BANK OF SCOTLAND GROUP PLC GBP XXXX N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780099CK1 300000.000000 PA USD 345907.500000 0.0910720 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 780097BK6 300000.000000 PA USD 318662.040000 0.0838987 Long DBT CORP GB N 2 2025-03-22 Floating 4.269 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BA8 900000.000000 PA USD 999838.220000 0.2632416 Long DBT CORP GB N 2 2026-04-05 Fixed 4.8 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 1600000.000000 PA USD 1625105.020000 0.4278644 Long DBT CORP GB N 2 2024-06-25 Floating 3.49663 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 700000.000000 PA USD 743533.940000 0.1957607 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 780097BD2 500000.000000 PA USD 523966.580000 0.1379521 Long DBT CORP GB N 2 2023-09-12 Fixed 3.875 N N N N N N RUSSIAN GOVT 5493004EHVGF71PDBU58 ACI0T3YR1 127000000.000000 PA 2284864.280000 0.6015686 Long DBT NUSS RU N 2 2033-03-23 Fixed 7.7 N N N N N N RUSSIAN GOVT 5493004EHVGF71PDBU58 ACI116PV3 124000000.000000 PA 2152690.510000 0.5667693 Long DBT NUSS RU N 2 2034-05-10 Fixed 7.25 N N N N N N RUSSIAN GOVT 5493004EHVGF71PDBU58 ACI198W43 201100000.000000 PA 3564967.180000 0.9385994 Long DBT NUSS RU N 2 2026-10-07 Fixed 7.95 N N N N N N RUSSIAN GOVT 5493004EHVGF71PDBU58 X5424XBY3 1200000.000000 PA USD 1336562.400000 0.3518957 Long DBT NUSS RU N 2 2029-03-21 Fixed 4.375 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAB1 200000.000000 PA USD 211472.000000 0.0556772 Long DBT CORP KY N 2 2023-08-08 Fixed 4.6 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAF2 200000.000000 PA USD 220051.000000 0.0579359 Long DBT CORP KY N 2 2025-08-08 Fixed 5.125 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 300000.000000 PA USD 339008.250000 0.0892555 Long DBT CORP KY N 2 2028-08-08 Fixed 5.4 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 ACI0CTJV0 200000.000000 PA 289391.940000 0.0761923 Long DBT CORP GB N 2 2022-06-24 Floating 7.375 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAF2 200000.000000 PA USD 204770.160000 0.0539127 Long DBT CORP GB N 2 2023-01-10 Fixed 3.571 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAC9 2500000.000000 PA USD 2514087.500000 0.6619194 Long DBT CORP GB N 2 2020-10-16 Fixed 2.875 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAA1 600000.000000 PA USD 646093.200000 0.1701061 Long DBT CORP GB N 2 2023-11-07 Fixed 5 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI0Y0CZ7 4000000.000000 PA USD 4077532.000000 1.0735496 Long DBT NUSS SA N 2 2023-03-04 Fixed 2.875 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAG4 1000000.000000 PA USD 1057723.000000 0.2784817 Long DBT NUSS SA N 2 2028-03-04 Fixed 3.625 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAT6 2100000.000000 PA USD 2359717.500000 0.6212763 Long DBT NUSS SA N 2 2029-04-16 Fixed 4.375 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI0QG3C2 1200000.000000 PA USD 1244936.400000 0.3277720 Long DBT NUSS SA N 2 2026-10-26 Fixed 3.25 N N N N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 80414L2A2 400000.000000 PA USD 404438.490000 0.1064823 Long DBT CORP SA N 2 2022-04-16 Fixed 2.75 N N N N N N SBERBANK OF RUSSIA VIA SB CAPITAL SA N/A ACI060JC2 1800000.000000 PA USD 1931884.200000 0.5086345 Long DBT CORP LU N 2 2023-05-23 Fixed 5.25 N N N N N N SBERBANK OF RUSSIA VIA SB CAPITAL SA N/A ACI02M251 800000.000000 PA USD 848382.400000 0.2233657 Long DBT CORP LU N 2 2022-10-29 Fixed 5.125 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAD0 800000.000000 PA USD 862278.000000 0.2270241 Long DBT CORP DE N 2 2029-05-15 Fixed 6.375 N N Y N N N SEC ASSET BACKED REC LLC 2005-FR2 N/A 81375WEF9 141515.550000 PA USD 142059.540000 0.0374020 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.767 N N N N N N ABU DHABI GOVT 213800FER4348CINTA77 29135LAA8 2800000.000000 PA USD 2938395.600000 0.7736331 Long DBT NUSS AE N 2 2027-10-11 Fixed 3.125 N N N N N N SHRIRAM TRANSPORT FINANCE COMPANY LIMITED 335800TM2YO24B76XL26 ACI18NGT4 900000.000000 PA USD 917320.940000 0.2415161 Long DBT CORP IN N 2 2022-02-27 Fixed 5.7 N N N N N N SHRIRAM TRANSPORT FINANCE COMPANY LIMITED 335800TM2YO24B76XL26 Y7758EEC1 400000.000000 PA USD 411130.050000 0.1082440 Long DBT CORP IN N 2 2022-10-24 Fixed 5.95 N N N N N N SINGAPORE GOVT 549300ZSV6VOGFH1ER70 ACI0MSV96 1500000.000000 PA 1150420.130000 0.3028874 Long DBT NUSS SG N 2 2026-06-01 Fixed 2.125 N N N N N N ACCUNIA EUROPEAN CLO I BV 1A N/A ACI19ZJ97 400000.000000 PA 447782.280000 0.1178940 Long ABS-CBDO CORP NL N 2 2030-07-15 Floating 0.95 N N N N N N ACE SECURITIES CORP 2004-HE4 N/A 004421JH7 148622.960000 PA USD 146430.700000 0.0385529 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.692 N N N N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 78448TAA0 600000.000000 PA USD 604222.910000 0.1590823 Long DBT CORP IE N 2 2021-07-15 Fixed 2.65 N N N N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 78448TAB8 400000.000000 PA USD 407076.020000 0.1071767 Long DBT CORP IE N 2 2022-07-15 Fixed 3 N N N N N N SOUND POINT CLO X LTD 2015-3A N/A 83609WAN0 1100000.000000 PA USD 1098384.000000 0.2891871 Long ABS-CBDO CORP KY N 2 2028-01-20 Floating 2.85588 N N N N N N SOUTH AFRICA GOVT N/A 836205AS3 400000.000000 PA USD 382394.000000 0.1006783 Long DBT NUSS ZA N 2 2044-07-24 Fixed 5.375 N N N N N N SOUTH AFRICA GOVT N/A 836205BA1 300000.000000 PA USD 300750.000000 0.0791827 Long DBT NUSS ZA N 2 2029-09-30 Fixed 4.85 N N N N N N SOUTH AFRICA GOVT N/A ACI1DDXN4 25700000.000000 PA 1832509.070000 0.4824706 Long DBT NUSS ZA N 2 2020-01-22 None 0 N N N N N N SOUTH AFRICA GOVT N/A ACI1C7BR3 3100000.000000 PA 219544.330000 0.0578025 Long DBT NUSS ZA N 2 2020-02-26 None 0 N N N N N N SOUTH AFRICA GOVT N/A ACI1CC4Z2 22000000.000000 PA 1555959.850000 0.4096596 Long DBT NUSS ZA N 2 2020-03-04 None 0 N N N N N N SOUTH AFRICA GOVT N/A ACI1CHPL9 6400000.000000 PA 452035.580000 0.1190138 Long DBT NUSS ZA N 2 2020-03-11 None 0 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 B2QK2VII4 360000000.000000 PA 408861.010000 0.1076466 Long DBT NUSS KR N 2 2028-03-10 Fixed 5.5 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 BD6K2YII6 360000000.000000 PA 322579.940000 0.0849302 Long DBT NUSS KR N 2 2027-06-10 Fixed 2.125 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI12HKN1 720000000.000000 PA 670609.900000 0.1765610 Long DBT NUSS KR N 2 2028-06-10 Fixed 2.625 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI0Z91H9 360000000.000000 PA 328535.280000 0.0864981 Long DBT NUSS KR N 2 2027-12-10 Fixed 2.375 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 BGGL77II0 1620000000.000000 PA 1483401.470000 0.3905561 Long DBT NUSS KR N 2 2028-12-10 Fixed 2.375 N N N N N N SOUTHERN PACIFIC FINANCING PLC 2005-B N/A 99UYQXII7 109396.100000 PA 143768.340000 0.0378519 Long ABS-MBS CORP GB N 2 2043-06-10 Floating 0.96525 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI1CLSY9 5000000.000000 PA 5684082.520000 1.4965290 Long DBT NUSS ES N 2 2029-10-31 Fixed 0.6 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI17SZK2 1800000.000000 PA 2207475.090000 0.5811933 Long DBT NUSS ES N 2 2029-04-30 Fixed 1.45 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI1B8TR3 1700000.000000 PA 1936290.610000 0.5097947 Long DBT NUSS ES N 2 2024-07-30 Fixed 0.25 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BD35VZII7 1000000.000000 PA 1220783.060000 0.3214129 Long DBT NUSS ES N 2 2028-07-30 Fixed 1.4 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BYXL3RII2 -2200000.000000 PA -2693457.050000 -0.7091446 Short DBT NUSS ES N 2 2027-10-31 Fixed 1.45 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BFX170II2 300000.000000 PA 447576.790000 0.1178399 Long DBT NUSS ES N 2 2048-10-31 Fixed 2.7 N N N N N N SPECIALTY UNDERWRITING & RESID 2006-BC2 N/A 84751PLP2 612423.220000 PA USD 334612.310000 0.0880981 Long ABS-MBS CORP US N 2 2037-02-25 Variable 3.82482 Y N N N N N SPIRIT AEROSYSTEMS INC ZD2NBKV6GCC3UMGBM518 85205TAJ9 200000.000000 PA USD 206190.030000 0.0542866 Long DBT CORP US N 2 2023-06-15 Fixed 3.95 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2004-1 N/A 007036AC0 13874.050000 PA USD 13927.180000 0.0036668 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.88727 N N N N N N SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC / SPRINT SPECTRUM CO III LLC N/A 85208NAA8 525000.000000 PA USD 530328.750000 0.1396272 Long DBT CORP US N 2 2023-03-20 Variable 3.36 N N N N N N SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC / SPRINT SPECTRUM CO III LLC N/A 85208NAD2 200000.000000 PA USD 212379.000000 0.0559160 Long DBT CORP US N 2 2029-09-20 Fixed 4.738 N N N N N N STANLINGTON NO 1 PLC 17-1 N/A ACI0SNHR7 687794.010000 PA 912461.210000 0.2402366 Long ABS-MBS CORP GB N 2 2046-06-12 Floating 1.77863 N N N N N N STRUCTURED ADJ RATE MTG LN 2006-3 N/A 863579Y69 189298.380000 PA USD 153777.860000 0.0404873 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.02164 Y N N N N N ADJUSTABLE RATE MORTAGE TRUST 2007-3 N/A 00703RAE0 372439.110000 PA USD 328766.680000 0.0865591 Long ABS-MBS CORP US N 2 2037-11-25 Floating 5.55675 Y N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 117340.030000 PA USD 114406.080000 0.0301213 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.112 N N N N N N STRUCTURED ASSET INVST LN TR 2005-1 N/A 86358EQJ8 352703.160000 PA USD 353739.970000 0.0931341 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.512 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAF5 410157.880000 PA USD 402755.270000 0.1060391 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.992 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 41459.870000 PA USD 39543.130000 0.0104111 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.002 N N N N N N STRUCTURED ASSET SEC CORP 2006-RF1 N/A 86359DXP7 183411.610000 PA USD 170809.490000 0.0449714 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.072 N N N N N N STRUCTURED ASSET SEC CORP 2006-RF4 N/A 863911AA1 425452.480000 PA USD 379203.120000 0.0998382 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.082 N N N N N N STRUCTURED ASSET SEC CORP 2006-WF1 N/A 863576FJ8 322963.710000 PA USD 323871.750000 0.0852703 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.132 N N N N N N STRUCTURED ASSET SECUR CORP 2006-WF4 N/A 863576DH4 535871.760000 PA USD 537787.500000 0.1415909 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.467 N N N N N N SUNTRUST ADJR MRTG LN TR 2007-1 N/A 78473NAF0 246843.060000 PA USD 239462.630000 0.0630467 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.49922 Y N N N N N SWEDISH COVERED BOND CORP 1JDCK5BUVTXRHQBEPT93 ACI0SSN40 4000000.000000 PA 461390.710000 0.1214769 Long DBT CORP SE N 2 2026-06-17 Fixed 2 N N N N N N SWISS INSURED BRAZIL POWER FINANCE SARL 254900OBFHBLNHXH1Z48 870880AA9 11500000.000000 PA 3337621.500000 0.8787429 Long DBT CORP LU N 2 2032-07-16 Fixed 9.85 N N N N N N SYNGENTA FINANCE NV 54930042S3BYCEGOCN86 87164KAH7 700000.000000 PA USD 731027.000000 0.1924678 Long DBT CORP NL N 2 2023-04-24 Fixed 4.441 N N N N N N SYNGENTA FINANCE NV 54930042S3BYCEGOCN86 87164KAC8 200000.000000 PA USD 215491.820000 0.0567356 Long DBT CORP NL N 2 2028-04-24 Fixed 5.182 N N N N N N TAGUA LEASING LLC N/A 873782AC0 3134826.260000 PA USD 3104159.700000 0.8172761 Long DBT CORP US N 2 2024-11-16 Fixed 1.581 N N N N N N TELOS CLO LTD 2014-6A N/A 87970UAS5 2054932.180000 PA USD 2055237.810000 0.5411116 Long ABS-CBDO CORP KY N 2 2027-01-17 Floating 3.27213 N N N N N N TENCENT HOLDINGS LIMITED 254900N4SLUMW4XUYY11 88032XAG9 200000.000000 PA USD 208881.370000 0.0549952 Long DBT CORP KY N 2 2028-01-19 Fixed 3.595 N N N N N N TESCO PROPERTY FIN 4 PLC 213800UCE6O94DGHWT77 B3LSHBII8 487304.740000 PA 847965.730000 0.2232560 Long DBT CORP GB N 2 2040-10-13 Fixed 5.8006 N N N N N N TESCO PROPERTY FINANCE 3 PLC 213800HCQGDQGFP75D78 989XYDII0 193242.780000 PA 333199.580000 0.0877262 Long DBT CORP GB N 2 2040-04-13 Fixed 5.744 N N N N N N TESCO PROPERTY FINANCE 6 PLC 213800FORYFOB97FHO66 B9JST3II3 477168.720000 PA 803709.460000 0.2116040 Long DBT CORP GB N 2 2044-07-13 Fixed 5.4111 N N N N N N TEVA PHARMACEUTICAL FINANCE NETHERLANDS II BV 549300HSQCIKJAOYIT23 933THVII5 300000.000000 PA 341254.780000 0.0898470 Long DBT CORP NL N 2 2022-04-15 Fixed 3.25 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00772BAQ4 1800000.000000 PA USD 1836157.030000 0.4834311 Long DBT CORP IE N 2 2020-10-30 Fixed 4.625 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2004-3 N/A 885220FS7 39696.330000 PA USD 39334.950000 0.0103563 Long ABS-MBS CORP US N 2 2034-09-25 Floating 2.532 N N N N N N TIKEHAU CLO II BV 2A N/A ACI1CK6K5 900000.000000 PA 1010514.060000 0.2660524 Long ABS-CBDO CORP NL N 2 2029-12-07 Floating 0.88 N N N N N N TOBACCO SETTLEMENT FINANCE AUTHORITY N/A 88880LAB9 2500000.000000 PA USD 109350.000000 0.0287901 Long DBT MUN US N 2 2047-06-01 None 0 N N N N N N TORO EUROPEAN CLO 2 DAC 2A N/A ACI157J36 1100000.000000 PA 1235428.040000 0.3252686 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 0.9 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 1500000.000000 PA 1986861.960000 0.5231093 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 0.9 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 1155605.360000 PA 1539631.050000 0.4053605 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.82038 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 3609145.130000 PA USD 3632232.110000 0.9563092 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2019-1A N/A 89231XAA9 1100000.000000 PA USD 1117553.360000 0.2942341 Long ABS-O CORP US N 2 2031-11-25 Fixed 2.56 N N N N N N AIA GROUP LIMITED ZP5ILWVSYE4LJGMMVD57 00131LAF2 300000.000000 PA USD 321354.790000 0.0846076 Long DBT CORP HK N 2 2028-04-06 Fixed 3.9 N N N N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 900123CR9 1000000.000000 PA USD 1084592.000000 0.2855559 Long DBT NUSS TR N 2 2023-12-23 Fixed 7.25 N N N N N N AIB GROUP PLC (AKA: ALLIED IRISH BANKS) 635400AKJBGNS5WNQL34 00135TAA2 200000.000000 PA USD 214818.600000 0.0565583 Long DBT CORP IE N 2 2023-10-12 Fixed 4.75 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 1300000.000000 PA USD 1404000.000000 0.3696510 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UBS AG/STAMFORD CT BRANCH BFM8T61CT2L1QCEMIK50 90261AAB8 400000.000000 PA USD 451082.000000 0.1187628 Long DBT CORP CH N 2 2022-08-17 Fixed 7.625 N N N N N N UIL HOLDINGS CORPORATION N/A 902748AA0 1900000.000000 PA USD 1935328.030000 0.5095412 Long DBT CORP US N 2 2020-10-01 Fixed 4.625 N N N N N N UMBS PASS THRU POOLS N/A 01F032419 -300000.000000 PA USD -310935.190000 -0.0818643 Short ABS-MBS USGSE US N 2 2035-01-16 Fixed 3.5 N N N N N N AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST N/A 00908PAA5 189760.000000 PA USD 193991.340000 0.0510748 Long DBT CORP CA N 2 2031-07-15 Fixed 3.3 N N N N N N UMBS PASS THRU POOLS N/A 01F022626 2700000.000000 PA USD 2666856.910000 0.7021412 Long ABS-MBS USGSE US N 2 2050-02-12 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030629 17900000.000000 PA USD 18132093.550000 4.7738932 Long ABS-MBS USGSE US N 2 2050-02-12 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F032617 22700000.000000 PA USD 23340790.360000 6.1452607 Long ABS-MBS USGSE US N 2 2050-01-14 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F032625 28500000.000000 PA USD 29297836.980000 7.7136568 Long ABS-MBS USGSE US N 2 2050-02-12 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040610 32900000.000000 PA USD 34213666.400000 9.0079168 Long ABS-MBS USGSE US N 2 2050-01-14 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F040628 26000000.000000 PA USD 27049327.760000 7.1216599 Long ABS-MBS USGSE US N 2 2050-02-12 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F042624 2000000.000000 PA USD 2106846.580000 0.5546994 Long ABS-MBS USGSE US N 2 2050-02-12 Fixed 4.5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 1000000.000000 PA USD 1166842.280000 0.3072111 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B85SFQII4 4072928.000000 PA 5973123.750000 1.5726289 Long DBT NUSS GB N 2 2024-03-22 Fixed 0.125 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI14WP35 -2100000.000000 PA -3063978.370000 -0.8066970 Short DBT NUSS GB N 2 2049-01-22 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N71 1028897.500000 PA USD 1060660.880000 0.2792552 Long DBT UST US N 2 2026-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 7720420.000000 PA USD 7922267.680000 2.0858077 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PZ5 12765409.500000 PA USD 15389109.900000 4.0517091 Long DBT UST US N 2 2029-01-15 Fixed 2.5 N N N N N N ALBA PLC/LONDON 2005-1 N/A B0Q41VII5 547264.510000 PA 694181.300000 0.1827669 Long ABS-MBS CORP GB N 2 2042-11-25 Floating 0.977 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 552105.000000 PA USD 651593.800000 0.1715543 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 939231.000000 PA USD 1040244.200000 0.2738798 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284H0 2382915.000000 PA USD 2420078.230000 0.6371683 Long DBT UST US N 2 2023-04-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FH6 626172.000000 PA USD 835738.310000 0.2200367 Long DBT UST US N 2 2029-04-15 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284M9 9000000.000000 PA USD 9523257.030000 2.5073228 Long DBT UST US N 2 2025-04-30 Fixed 2.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284T4 200000.000000 PA USD 202899.460000 0.0534202 Long DBT UST US N 2 2021-06-15 Fixed 2.625 N N N N N N ALLEGION US HOLDING COMPANY INC 5493002B66JX7J7SXI33 01748NAD6 400000.000000 PA USD 411294.040000 0.1082872 Long DBT CORP US N 2 2024-10-01 Fixed 3.2 N N N N N N UNITED TECHNOLOGIES CORPORATION I07WOS4YJ0N7YRFE7309 913017DA4 200000.000000 PA USD 204798.630000 0.0539202 Long DBT CORP US N 2 2021-08-16 Fixed 3.35 N N N N N N UROPA SECURITIES PLC 2008-1 N/A ACI07PFK2 311312.400000 PA 397993.440000 0.1047854 Long ABS-MBS CORP GB N 2 2059-06-10 Floating 0.98525 N N N N N N UROPA SECURITIES PLC 2008-1 N/A G92958AY6 63471.950000 PA 77959.800000 0.0205256 Long ABS-MBS CORP GB N 2 2059-06-10 Floating 1.53525 N N N N N N UROPA SECURITIES PLC 2008-1 N/A G92958AV2 76026.850000 PA 93682.190000 0.0246650 Long ABS-MBS CORP GB N 2 2059-06-10 Floating 1.13525 N N N N N N UROPA SECURITIES PLC 2008-1 N/A G92958AU4 59286.990000 PA 72931.150000 0.0192016 Long ABS-MBS CORP GB N 2 2059-06-10 Floating 1.33525 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 200000.000000 PA USD 199197.080000 0.0524454 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 2.88088 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VEP5 1300000.000000 PA USD 1330816.070000 0.3503828 Long DBT CORP US N 2 2025-05-15 Floating 3.00988 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VER1 397000.000000 PA USD 450335.800000 0.1185663 Long DBT CORP US N 2 2028-09-21 Fixed 4.329 N N N N N N VIRGIN MEDIA SECURED FINANCE PLC 213800X3RLP4NOTPY579 931FXZII0 500000.000000 PA 703208.180000 0.1851436 Long DBT CORP GB N 2 2027-04-15 Fixed 5 N N N N N N VOLKSWAGEN FINANCIAL SERVICES AG 529900USFSZYPS075O24 ACI15KHJ4 800000.000000 PA 900157.040000 0.2369971 Long DBT CORP DE N 2 2020-10-16 Fixed 0.25 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AN2 500000.000000 PA USD 508206.500000 0.1338027 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 700000.000000 PA USD 702917.530000 0.1850671 Long DBT CORP US N 2 2020-11-13 Floating 2.67463 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AQ5 800000.000000 PA USD 807208.010000 0.2125251 Long DBT CORP US N 2 2021-11-12 Floating 2.84063 N N N N N N WASHINGTON MUTUAL 2002-AR9 N/A 9393357P4 8143.760000 PA USD 7994.650000 0.0021049 Long ABS-MBS CORP US N 2 2042-08-25 Floating 3.63948 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NAZ3 300000.000000 PA USD 301482.000000 0.0793754 Long DBT CORP US N 2 2020-03-30 Fixed 4.125 N N N N N N WASHINGTON MUTUAL 2004-AR12 N/A 92922FZF8 92090.650000 PA USD 92092.920000 0.0242466 Long ABS-MBS CORP US N 2 2044-10-25 Floating 2.572 N N N N N N WASHINGTON MUTUAL 2005-AR15 N/A 92922F5U8 102898.310000 PA USD 99609.980000 0.0262257 Long ABS-MBS CORP US N 2 2045-11-25 Floating 2.072 N N N N N N WASHINGTON MUTUAL 2006-AR12 N/A 93363NAM7 591290.110000 PA USD 551869.150000 0.1452984 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.68881 Y N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAJ2 330440.600000 PA USD 318975.770000 0.0839813 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.52169 Y N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2005-6 N/A 92922FX86 105349.230000 PA USD 100699.660000 0.0265126 Long ABS-MBS CORP US N 2 2035-08-25 Fixed 6.5 Y N N N N N WASHINGTON MUTUAL ASSET BACKED 2006-HE2 N/A 93934JAD6 1224444.170000 PA USD 1049237.230000 0.2762476 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.032 N N N N N N WASHINGTON MUTUAL MTGE P/T 2007-HY1 N/A 93936AAB7 646955.620000 PA USD 565430.540000 0.1488689 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.952 Y N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SL6 1300000.000000 PA USD 1317518.620000 0.3468818 Long DBT CORP US N 2 2023-01-24 Floating 3.046 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2B8 300000.000000 PA USD 304429.370000 0.0801514 Long DBT CORP US N 2 2022-07-22 Fixed 2.625 N N N N N N WHITEHORSE X LTD 2015-10A N/A 96525WAN3 230705.340000 PA USD 230603.240000 0.0607142 Long ABS-CBDO CORP KY N 2 2027-04-17 Floating 2.93213 N N N N N N WIND RIVER CLO LTD 2012-1A N/A 87244ABL3 789554.900000 PA USD 789936.990000 0.2079779 Long ABS-CBDO CORP KY N 2 2026-01-15 Floating 2.88088 N N N N N N WMALT MTGE PASS-THRU CERT 2005-9 N/A 93934FEN8 109895.670000 PA USD 109769.400000 0.0289005 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N WRKCO INC 549300JEB576INN13W07 96145DAF2 200000.000000 PA USD 211225.350000 0.0556123 Long DBT CORP US N 2 2025-03-15 Fixed 3.75 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAL6 1626000.000000 PA USD 1659976.620000 0.4370456 Long DBT CORP US N 2 2022-04-01 Fixed 3.15 N N N N N N N/A N/A 000000000 -4573329.520000 PA -6067147.920000 -1.5973840 Short RA GB N 2 Reverse repurchase N 1.0400000 2020-02-13 4088874.000000 GBP 4527034.670000 GBP N N N N/A N/A 000000000 2364536.660000 PA 3132064.800000 0.8246231 Long RA GB N 2 Repurchase N 0.6500000 2020-01-22 2100000.000000 GBP 2313135.150000 GBP N N N N/A N/A 000000000 2213256.050000 PA 2482609.220000 0.6536317 Long RA LU N 2 Repurchase N -0.7000000 2021-10-10 2200000.000000 EUR 2401227.730000 EUR CDS N N N N/A N/A 000000000 -3740761.510000 PA -4195376.170000 -1.1045761 Short RA LU N 2 Reverse repurchase N -0.2500000 2020-02-27 3100000.000000 EUR 3615008.130000 EUR N N N N/A N/A 000000000 -3180443.410000 PA -3566790.950000 -0.9390796 Short RA LU N 2 Reverse repurchase N -0.2000000 2020-02-27 3000000.000000 EUR 3148521.780000 EUR N N N N/A N/A 000000000 -5173743.940000 PA -5798724.790000 -1.5267125 Short RA LU N 2 Reverse repurchase N -0.3800000 2020-02-27 5000000.000000 EUR 5070683.140000 EUR N N N N/A N/A 000000000 -12728411.620000 PA -14267495.210000 -3.7564057 Short RA LU N 2 Reverse repurchase N -0.3300000 2020-02-27 11102040.000000 EUR 12445625.010000 EUR N N N N/A N/A 000000000 -7974816.000000 PA USD -7985006.040000 -2.1023257 Short RA US N 2 Reverse repurchase N 2.0000000 2020-02-04 7208446.620000 USD 7923609.620000 USD UST N N N N/A N/A 000000000 -3714375.000000 PA USD -3725100.260000 -0.9807599 Short RA US N 2 Reverse repurchase N 1.8900000 2020-02-07 3641610.000000 USD 3736816.690000 USD UST N N N N/A N/A 000000000 -627000.000000 PA USD -628490.340000 -0.1654716 Short RA US N 2 Reverse repurchase N 1.9900000 2020-02-20 620580.000000 USD 630261.050000 USD UST N N N N/A N/A 000000000 -6984000.000000 PA USD -7000226.160000 -1.8430487 Short RA US N 2 Reverse repurchase N 2.0400000 2020-02-21 5744544.000000 USD 6925220.650000 USD UST N N N N/A N/A 000000000 -3103269.000000 PA USD -3112835.690000 -0.8195604 Short RA US N 2 Reverse repurchase N 1.7900000 2020-01-10 2546864.650000 USD 3070321.970000 USD UST N N N N/A N/A 000000000 -1601250.000000 PA USD -1605947.440000 -0.4228205 Short RA US N 2 Reverse repurchase N 1.7900000 2020-01-13 1560165.000000 USD 1600954.140000 USD UST N N N N/A N/A 000000000 -745500.000000 PA USD -747719.100000 -0.1968626 Short RA US N 2 Reverse repurchase N 1.8800000 2020-01-06 728280.000000 USD 747320.240000 USD UST N N N N/A N/A 000000000 -1065000.000000 PA USD -1067192.130000 -0.2809748 Short RA US N 2 Reverse repurchase N 1.9500000 2020-01-16 1000000.000000 USD 1059179.690000 USD UST N N N N/A 549300D2K6PKKKXVNN73 000000000 1.000000 NC 11784.870000 0.0031028 N/A DCR DK N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 AP MOLLER - MAERSK A/S AP MOELLER-MAERSK A/S Y Single Leg Swap 2022-06-21 0.000000 EUR -5583.520000 EUR 1000000.000000 EUR 17368.390000 N N N N/A 213800J6B7JSBDETCB42 000000000 97.000000 NC -185695.260000 -0.0488906 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Long N/A AUSTRALIA GOVT 2020-03-16 9731124.210000 AUD -185695.260000 N N N N/A 213800J6B7JSBDETCB42 000000000 124.000000 NC -67596.540000 -0.0177971 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Long N/A AUSTRALIA GOVT 2020-03-16 10008143.860000 AUD -67596.540000 N N N N/A N/A 000000000 1.000000 NC USD 8239.640000 0.0021694 N/A DFE BR N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 4143200.930000 USD 16700000.000000 BRL 2020-01-03 8239.640000 N N N N/A N/A 000000000 1.000000 NC USD 89457.290000 0.0235527 N/A DFE MX N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 4761940.750000 USD 93403086.800000 MXN 2020-05-05 89457.290000 N N N N/A N/A 000000000 1.000000 NC 61369.400000 0.0161576 N/A DFE BR N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 16700000.000000 BRL 4212809.970000 USD 2020-01-03 61369.400000 N N N N/A N/A 000000000 1.000000 NC -21921.430000 -0.0057716 N/A DFE MX N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 15810000.000000 MXN 810927.260000 USD 2020-01-30 -21921.430000 N N N N/A N/A 000000000 1.000000 NC -4721.510000 -0.0012431 N/A DFE MX N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 3700000.000000 MXN 190189.320000 USD 2020-01-30 -4721.510000 N N N N/A N/A 000000000 1.000000 NC -91065.940000 -0.0239762 N/A DFE MX N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 93403086.800000 MXN 4830777.700000 USD 2020-01-28 -91065.940000 N N N N/A N/A 000000000 1.000000 NC -4170.010000 -0.0010979 N/A DFE MX N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 4100000.000000 MXN 212501.300000 USD 2020-01-09 -4170.010000 N N N N/A N/A 000000000 1.000000 NC USD 95755.250000 0.0252108 N/A DFE AU N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 2838102.960000 USD 4180000.000000 AUD 2020-01-10 95755.250000 N N N N/A N/A 000000000 1.000000 NC -4139.360000 -0.0010898 N/A DFE N/A N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 1246197.590000 RON 251260.000000 EUR 2020-03-16 -4139.360000 N N N N/A N/A 000000000 1.000000 NC USD 3633.850000 0.0009567 N/A DFE N/A N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 379104.020000 USD 341000.000000 EUR 2020-01-13 3633.850000 N N N N/A N/A 000000000 1.000000 NC USD 10749.890000 0.0028303 N/A DFE JP N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 2053028.950000 USD 224200000.000000 JPY 2020-01-10 10749.890000 N N N N/A N/A 000000000 1.000000 NC USD 9089.940000 0.0023932 N/A DFE KR N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 313000.000000 USD 372094400.000000 KRW 2020-01-09 9089.940000 N N N N/A N/A 000000000 1.000000 NC USD 4993.810000 0.0013148 N/A DFE KR N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 174000.000000 USD 206746800.000000 KRW 2020-01-10 4993.810000 N N N N/A N/A 000000000 1.000000 NC USD 5089.270000 0.0013399 N/A DFE KZ N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 379492.780000 USD 149186200.000000 KZT 2020-03-13 5089.270000 N N N N/A N/A 000000000 1.000000 NC -27.800000 -0.0000073 N/A DFE CA N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 3000.000000 CAD 2282.630000 USD 2020-01-13 -27.800000 N N N N/A N/A 000000000 1.000000 NC 12476.360000 0.0032848 N/A DFE CL N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 258134700.000000 CLP 355876.060000 USD 2020-01-27 12476.360000 N N N N/A N/A 000000000 1.000000 NC 1065.550000 0.0002805 N/A DFE CL N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 129995400.000000 CLP 174000.000000 USD 2020-01-27 1065.550000 N N N N/A N/A 000000000 1.000000 NC -1602.180000 -0.0004218 N/A DFE CZ N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 4000000.000000 CZK 174845.960000 USD 2020-01-10 -1602.180000 N N N N/A N/A 000000000 1.000000 NC -189390.900000 -0.0498636 N/A DFE DK N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 105480099.700000 DKK 15644063.730000 USD 2020-01-02 -189390.900000 N N N N/A N/A 000000000 1.000000 NC -3788.950000 -0.0009976 N/A DFE RO N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 1246197.590000 RON 251260.000000 EUR 2020-03-16 -3788.950000 N N N N/A N/A 000000000 1.000000 NC 5.810000 0.0000015 N/A DFE SE N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 28000.000000 SEK 2996.780000 USD 2020-01-13 5.810000 N N N N/A N/A 000000000 1.000000 NC -27383.240000 -0.0072096 N/A DFE ZA N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 25699999.830000 ZAR 1802960.280000 USD 2020-01-22 -27383.240000 N N N N/A N/A 000000000 1.000000 NC -18760.720000 -0.0049394 N/A DFE ZA N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 4117011.000000 ZAR 272566.810000 USD 2020-03-11 -18760.720000 N N N N/A N/A 000000000 1.000000 NC USD 626.550000 0.0001650 N/A DFE CL N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 255043.740000 USD 192188210.000000 CLP 2020-01-27 626.550000 N N N N/A N/A 000000000 1.000000 NC USD 12810.520000 0.0033728 N/A DFE HK N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 2476000.000000 USD 19417906.200000 HKD 2020-09-03 12810.520000 N N N N/A N/A 000000000 1.000000 NC USD 13920.340000 0.0036650 N/A DFE KR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 502000.000000 USD 595171200.000000 KRW 2020-03-18 13920.340000 N N N N/A N/A 000000000 1.000000 NC USD 251642.600000 0.0662535 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 4670201.040000 USD 93403086.800000 MXN 2020-01-28 251642.600000 N N N N/A N/A 000000000 1.000000 NC -725.490000 -0.0001910 N/A DFE CL N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 192188210.000000 CLP 254891.530000 USD 2020-01-09 -725.490000 N N N N/A N/A 000000000 1.000000 NC -20775.060000 -0.0054697 N/A DFE IN N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 264094620.000000 INR 3640424.840000 USD 2020-04-27 -20775.060000 N N N N/A N/A 000000000 1.000000 NC -13452.150000 -0.0035417 N/A DFE JP N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 206629000.000000 JPY 1889035.560000 USD 2020-01-14 -13452.150000 N N N N/A 529900PM64WH8AF1E917 000000000 1.000000 NC -6533.290000 -0.0017201 N/A DCR DE N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BASF SE BASF SE SR UNSEC EMTN Y Single Leg Swap 2020-12-21 0.000000 EUR -17384.070000 EUR 600000.000000 EUR 10850.780000 N N N N/A 5493000C01ZX7D35SD85 000000000 1.000000 NC USD 53426.170000 0.0140663 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BERKSHIRE HATHAWAY INC BERKSHIRE HATHAWAY INC SR UNSEC Y Single Leg Swap 2022-12-21 50622.130000 USD 0.000000 USD 2200000.000000 USD 2804.040000 N N N N/A N/A 000000000 1.000000 NC USD 8437.000000 0.0022213 N/A DFE BR N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 4242439.280000 USD 17100000.000000 BRL 2020-01-03 8437.000000 N N N N/A N/A 000000000 1.000000 NC USD 58.640000 0.0000154 N/A DFE CH N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 4076.540000 USD 4000.000000 CHF 2020-01-13 58.640000 N N N N/A N/A 000000000 1.000000 NC USD -3708.330000 -0.0009763 N/A DFE CL N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 619000.000000 USD 462516800.000000 CLP 2020-01-27 -3708.330000 N N N N/A N/A 000000000 1.000000 NC USD 1720.010000 0.0004529 N/A DFE CN N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 127633.410000 USD 902000.000000 CNY 2020-03-18 1720.010000 N N N N/A N/A 000000000 1.000000 NC -770.970000 -0.0002030 N/A DFE N/A N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 1086386.920000 RON 218776.000000 EUR 2020-03-16 -770.970000 N N N N/A N/A 000000000 1.000000 NC USD 6731.310000 0.0017722 N/A DFE N/A N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 396134.890000 USD 359000.000000 EUR 2020-01-10 6731.310000 N N N N/A N/A 000000000 1.000000 NC USD 18766.910000 0.0049410 N/A DFE N/A N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 3580096.290000 USD 3207000.000000 EUR 2020-01-10 18766.910000 N N N N/A N/A 000000000 1.000000 NC USD 12748.110000 0.0033564 N/A DFE GB N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 1754628.210000 USD 1334000.000000 GBP 2020-01-10 12748.110000 N N N N/A N/A 000000000 1.000000 NC USD 12754.490000 0.0033581 N/A DFE GB N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 2165331.470000 USD 1644000.000000 GBP 2020-01-10 12754.490000 N N N N/A N/A 000000000 1.000000 NC USD 5707.870000 0.0015028 N/A DFE HK N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 1157694.570000 USD 9071000.000000 HKD 2020-03-18 5707.870000 N N N N/A N/A 000000000 1.000000 NC USD 63145.250000 0.0166251 N/A DFE IN N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 3573000.000000 USD 262508310.000000 INR 2020-05-04 63145.250000 N N N N/A N/A 000000000 1.000000 NC USD 6056.800000 0.0015947 N/A DFE KR N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 205000.000000 USD 243950000.000000 KRW 2020-01-06 6056.800000 N N N N/A N/A 000000000 1.000000 NC USD 27.560000 0.0000073 N/A DFE KR N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 1000.000000 USD 1185400.000000 KRW 2020-03-18 27.560000 N N N N/A N/A 000000000 1.000000 NC USD 2730.410000 0.0007189 N/A DFE MX N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 77707.370000 USD 1525092.560000 MXN 2020-01-22 2730.410000 N N N N/A N/A 000000000 1.000000 NC USD 11146.160000 0.0029346 N/A DFE NZ N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 371938.690000 USD 569000.000000 NZD 2020-01-13 11146.160000 N N N N/A N/A 000000000 1.000000 NC USD 23720.560000 0.0062452 N/A DFE TH N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 2493634.950000 USD 75270371.060000 THB 2020-03-18 23720.560000 N N N N/A N/A 000000000 1.000000 NC USD 228.140000 0.0000601 N/A DFE TW N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 717000.000000 USD 21407467.000000 TWD 2020-02-03 228.140000 N N N N/A N/A 000000000 1.000000 NC USD -270.580000 -0.0000712 N/A DFE TW N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 244000.000000 USD 7274714.000000 TWD 2020-02-03 -270.580000 N N N N/A N/A 000000000 1.000000 NC USD -2251.540000 -0.0005928 N/A DFE VN N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 842423.750000 USD 19472625000.000000 VND 2020-01-10 -2251.540000 N N N N/A N/A 000000000 1.000000 NC -44855.030000 -0.0118096 N/A DFE BR N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 17100000.000000 BRL 4206021.250000 USD 2020-01-03 -44855.030000 N N N N/A N/A 000000000 1.000000 NC -17379.050000 -0.0045756 N/A DFE N/A N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 1715000.000000 EUR 1907176.730000 USD 2020-01-10 -17379.050000 N N N N/A N/A 000000000 1.000000 NC -2409.630000 -0.0006344 N/A DFE N/A N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 361000.000000 EUR 402700.950000 USD 2020-01-10 -2409.630000 N N N N/A N/A 000000000 1.000000 NC -73.780000 -0.0000194 N/A DFE N/A N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 960000.000000 EUR 1077228.580000 USD 2020-01-10 -73.780000 N N N N/A N/A 000000000 1.000000 NC -411128.370000 -0.1082436 N/A DFE GB N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 13741056.680000 GBP 17793982.720000 USD 2020-01-10 -411128.370000 N N N N/A N/A 000000000 1.000000 NC 1703.630000 0.0004485 N/A DFE GB N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 125000.000000 GBP 167312.360000 USD 2020-01-10 1703.630000 N N N N/A N/A 000000000 1.000000 NC -13072.650000 -0.0034418 N/A DFE GB N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 434000.000000 GBP 561920.850000 USD 2020-01-10 -13072.650000 N N N N/A N/A 000000000 1.000000 NC -3006.740000 -0.0007916 N/A DFE GB N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 325000.000000 GBP 427575.950000 USD 2020-01-10 -3006.740000 N N N N/A N/A 000000000 1.000000 NC -1591.040000 -0.0004189 N/A DFE HK N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 1760080.000000 HKD 224000.000000 USD 2020-09-03 -1591.040000 N N N N/A N/A 000000000 1.000000 NC -376.740000 -0.0000992 N/A DFE JP N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 41008000.000000 JPY 377194.730000 USD 2020-01-14 -376.740000 N N N N/A N/A 000000000 1.000000 NC -8447.700000 -0.0022241 N/A DFE JP N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 170000000.000000 JPY 1556870.650000 USD 2020-01-15 -8447.700000 N N N N/A N/A 000000000 1.000000 NC -31446.110000 -0.0082793 N/A DFE NO N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 6884000.000000 NOK 752712.380000 USD 2020-01-13 -31446.110000 N N N N/A N/A 000000000 1.000000 NC -12292.220000 -0.0032363 N/A DFE PE N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 1828202.900000 PEN 538816.060000 USD 2020-02-10 -12292.220000 N N N N/A N/A 000000000 1.000000 NC -14069.630000 -0.0037043 N/A DFE PL N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 4256000.000000 PLN 1107863.010000 USD 2020-02-10 -14069.630000 N N N N/A N/A 000000000 1.000000 NC -6436.720000 -0.0016947 N/A DFE RO N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 1086386.920000 RON 218776.000000 EUR 2020-03-16 -6436.720000 N N N N/A N/A 000000000 1.000000 NC -11837.050000 -0.0031165 N/A DFE SE N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 5081188.550000 SEK 530860.310000 USD 2020-01-10 -11837.050000 N N N N/A 254900ZFY40OYEADAP90 000000000 1.000000 NC USD 78.210000 0.0000206 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 1805.170000 N N N N/A 254900ZFY40OYEADAP90 000000000 1.000000 NC USD 2180.970000 0.0005742 N/A DCR US N 2 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 BRAZIL GOVT BRAZIL BD GLBL Y Single Leg Swap 2021-12-21 0.000000 USD -12908.900000 USD 200000.000000 USD 15089.870000 N N N N/A 4BFD7AQU0A75QLAHK410 000000000 -75.000000 NC 140415.890000 0.0369693 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL N/A Short N/A CANADA GOVT 2020-03-20 -7940395.060000 CAD 140415.890000 N N N N/A N/A 000000000 1.000000 NC USD 43220.570000 0.0113793 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.32 Y Single Leg Swap 2024-12-21 62919.990000 USD 0.000000 USD 1300000.000000 USD -19699.420000 N N N N/A N/A 000000000 1.000000 NC USD -17559.020000 -0.0046230 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.IG.32 N/A N/A Y Single Leg Swap 2029-06-21 125.860000 USD 0.000000 USD 1500000.000000 USD -17684.880000 N N N N/A N/A 000000000 -800000.000000 NC USD -129.460000 -0.0000341 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.730000 USD 2020-02-19 XXXX 430.540000 N N N N/A N/A 000000000 -700000.000000 NC USD -1139.870000 -0.0003001 N/A DCR US N 2 BNP PARIBAS S.A R0MUWSFPU8MPRO8K5P84 Call Written BNP PARIBAS S.A R0MUWSFPU8MPRO8K5P84 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.480000 USD 2020-02-19 XXXX -789.870000 N N N N/A N/A 000000000 -800000.000000 NC USD -1302.710000 -0.0003430 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.480000 USD 2020-02-19 XXXX -942.710000 N N N N/A N/A 000000000 -800000.000000 NC USD -9.810000 -0.0000026 N/A DCR US N 2 BNP PARIBAS S.A R0MUWSFPU8MPRO8K5P84 Put Written BNP PARIBAS S.A R0MUWSFPU8MPRO8K5P84 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2020-01-15 XXXX 1040.190000 N N N N/A N/A 000000000 -700000.000000 NC USD -8.580000 -0.0000023 N/A DCR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written Citibank NA E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2020-01-15 XXXX 910.170000 N N N N/A N/A 000000000 -700000.000000 NC USD -87.690000 -0.0000231 N/A DCR US N 2 BNP PARIBAS S.A R0MUWSFPU8MPRO8K5P84 Put Written BNP PARIBAS S.A R0MUWSFPU8MPRO8K5P84 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2020-02-19 XXXX 297.310000 N N N N/A N/A 000000000 -800000.000000 NC USD -9.810000 -0.0000026 N/A DCR US N 2 Credit Suisse Securities (USA) LLC 1V8Y6QCX6YMJ2OELII46 Put Written Credit Suisse Securities (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2020-01-15 XXXX 878.190000 N N N N/A N/A 000000000 -1100000.000000 NC USD -5.570000 -0.0000015 N/A DCR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written Citibank NA E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 1.000000 USD 2020-01-15 XXXX 934.430000 N N N N/A N/A 000000000 1.000000 NC USD -189178.020000 -0.0498076 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.33 Y Single Leg Swap 2029-12-21 57811.650000 USD 0.000000 USD 20900000.000000 USD -246989.670000 N N N N/A N/A 000000000 1.000000 NC USD -34181.510000 -0.0089995 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.33 Y Single Leg Swap 2024-12-21 0.000000 USD -30543.690000 USD 1300000.000000 USD -3637.820000 N N N N/A N/A 000000000 1.000000 NC USD -19551.970000 -0.0051477 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 CHINA GOVT CHINA (PEOPLES REP OF) GLOBAL Y Single Leg Swap 2023-06-21 0.000000 USD -13351.290000 USD 700000.000000 USD -6200.680000 N N N N/A N/A 000000000 1.000000 NC USD -36310.800000 -0.0095601 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CHINA GOVT CHINA (PEOPLES REP OF) GLOBAL Y Single Leg Swap 2023-06-21 0.000000 USD -25099.090000 USD 1300000.000000 USD -11211.710000 N N N N/A N/A 000000000 1.000000 NC USD -227601.100000 -0.0599238 N/A DFE BR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 4403900.600000 USD 16800000.000000 BRL 2020-01-03 -227601.100000 N N N N/A N/A 000000000 1.000000 NC USD 149058.730000 0.0392448 N/A DFE BR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 3507566.690000 USD 14709507.070000 BRL 2020-01-03 149058.730000 N N N N/A N/A 000000000 1.000000 NC USD 99381.780000 0.0261656 N/A DFE BR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 9082216.240000 USD 36968707.110000 BRL 2020-02-04 99381.780000 N N N N/A N/A 000000000 1.000000 NC USD 4045.230000 0.0010650 N/A DFE BR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2034094.410000 USD 8198824.340000 BRL 2020-01-03 4045.230000 N N N N/A N/A 000000000 1.000000 NC USD -503.690000 -0.0001326 N/A DFE CL N 2 Citibank NA E57ODZWZ7FF32TWEFA76 97000.000000 USD 72536600.000000 CLP 2020-01-27 -503.690000 N N N N/A N/A 000000000 1.000000 NC USD -2986.880000 -0.0007864 N/A DFE CL N 2 Citibank NA E57ODZWZ7FF32TWEFA76 374000.000000 USD 278891800.000000 CLP 2020-01-27 -2986.880000 N N N N/A N/A 000000000 1.000000 NC USD 10217.140000 0.0026900 N/A DFE CL N 2 Citibank NA E57ODZWZ7FF32TWEFA76 192000.000000 USD 152027520.000000 CLP 2020-01-15 10217.140000 N N N N/A N/A 000000000 1.000000 NC USD 116.490000 0.0000307 N/A DFE CL N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2000.000000 USD 1591400.000000 CLP 2020-01-06 116.490000 N N N N/A N/A 000000000 1.000000 NC USD 6048.000000 0.0015923 N/A DFE CL N 2 Citibank NA E57ODZWZ7FF32TWEFA76 141000.000000 USD 110559510.000000 CLP 2020-01-09 6048.000000 N N N N/A N/A 000000000 1.000000 NC USD 6205.970000 0.0016339 N/A DFE CL N 2 Citibank NA E57ODZWZ7FF32TWEFA76 196038.070000 USD 152027520.000000 CLP 2020-01-27 6205.970000 N N N N/A N/A 000000000 1.000000 NC USD 1879.280000 0.0004948 N/A DFE CZ N 2 Citibank NA E57ODZWZ7FF32TWEFA76 220090.910000 USD 5032000.000000 CZK 2020-01-17 1879.280000 N N N N/A N/A 000000000 1.000000 NC USD 4586.320000 0.0012075 N/A DFE DK N 2 Citibank NA E57ODZWZ7FF32TWEFA76 424723.860000 USD 2860000.000000 DKK 2020-01-02 4586.320000 N N N N/A N/A 000000000 1.000000 NC -776.620000 -0.0002045 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1094186.700000 RON 220380.000000 EUR 2020-03-16 -776.620000 N N N N/A N/A 000000000 1.000000 NC USD 1640.200000 0.0004318 N/A DFE IL N 2 Citibank NA E57ODZWZ7FF32TWEFA76 678987.690000 USD 2349000.000000 ILS 2020-01-16 1640.200000 N N N N/A N/A 000000000 1.000000 NC USD 48359.750000 0.0127324 N/A DFE KR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2836306.700000 USD 3327781926.000000 KRW 2020-03-18 48359.750000 N N N N/A N/A 000000000 1.000000 NC USD 2812.900000 0.0007406 N/A DFE KR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 96000.000000 USD 114153600.000000 KRW 2020-01-09 2812.900000 N N N N/A N/A 000000000 1.000000 NC USD 26.360000 0.0000069 N/A DFE KR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1000.000000 USD 1185500.000000 KRW 2020-01-10 26.360000 N N N N/A N/A 000000000 1.000000 NC USD 27647.000000 0.0072790 N/A DFE MX N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1136506.810000 USD 22371000.000000 MXN 2020-04-22 27647.000000 N N N N/A N/A 000000000 1.000000 NC USD 7073.910000 0.0018624 N/A DFE PH N 2 Citibank NA E57ODZWZ7FF32TWEFA76 798938.030000 USD 40961553.000000 PHP 2020-03-18 7073.910000 N N N N/A N/A 000000000 1.000000 NC USD 13.240000 0.0000035 N/A DFE RO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 637878.310000 USD 2724000.000000 RON 2020-01-17 13.240000 N N N N/A N/A 000000000 1.000000 NC -18616.550000 -0.0049014 N/A DFE BR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1285721.500000 BRL 301000.000000 USD 2020-01-03 -18616.550000 N N N N/A N/A 000000000 1.000000 NC -4762.470000 -0.0012539 N/A DFE BR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 642676.500000 BRL 155000.000000 USD 2020-01-03 -4762.470000 N N N N/A N/A 000000000 1.000000 NC -4662.140000 -0.0012275 N/A DFE BR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 811226.300000 BRL 197000.000000 USD 2020-01-03 -4662.140000 N N N N/A N/A 000000000 1.000000 NC -96748.980000 -0.0254725 N/A DFE BR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 36968707.110000 BRL 9093274.410000 USD 2020-01-03 -96748.980000 N N N N/A N/A 000000000 1.000000 NC -6204.350000 -0.0016335 N/A DFE CL N 2 Citibank NA E57ODZWZ7FF32TWEFA76 152027520.000000 CLP 196012.790000 USD 2020-01-15 -6204.350000 N N N N/A N/A 000000000 1.000000 NC 20.080000 0.0000053 N/A DFE CL N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2991720.000000 CLP 4000.000000 USD 2020-01-27 20.080000 N N N N/A N/A 000000000 1.000000 NC 1245.970000 0.0003280 N/A DFE CL N 2 Citibank NA E57ODZWZ7FF32TWEFA76 134370000.000000 CLP 180000.000000 USD 2020-01-27 1245.970000 N N N N/A N/A 000000000 1.000000 NC -1756.250000 -0.0004624 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 321504000.000000 COP 96000.000000 USD 2020-01-15 -1756.250000 N N N N/A N/A 000000000 1.000000 NC -46831.020000 -0.0123299 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 3076384900.000000 COP 887525.390000 USD 2020-02-14 -46831.020000 N N N N/A N/A 000000000 1.000000 NC -8689.050000 -0.0022877 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 973561400.000000 COP 287000.000000 USD 2020-02-14 -8689.050000 N N N N/A N/A 000000000 1.000000 NC -88.820000 -0.0000234 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 10170000.000000 COP 3000.000000 USD 2020-02-14 -88.820000 N N N N/A N/A 000000000 1.000000 NC -8511.010000 -0.0022408 N/A DFE DK N 2 Citibank NA E57ODZWZ7FF32TWEFA76 5780000.000000 DKK 859115.850000 USD 2020-01-02 -8511.010000 N N N N/A N/A 000000000 1.000000 NC 7687.790000 0.0020241 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1380725141.000000 JPY 12717372.580000 USD 2020-01-10 7687.790000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 ACI12S9K6 300000.000000 PA 362737.910000 0.0955032 Long DBT CORP US N 2 2026-05-22 Fixed 1.95 N N N N N N N/A N/A 000000000 1.000000 NC -2992.360000 -0.0007878 N/A DFE MX N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2900000.000000 MXN 150262.960000 USD 2020-01-09 -2992.360000 N N N N/A N/A 000000000 1.000000 NC -39346.910000 -0.0103594 N/A DFE NO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 13637000.000000 NOK 1514047.830000 USD 2020-01-13 -39346.910000 N N N N/A N/A 000000000 1.000000 NC -9346.460000 -0.0024608 N/A DFE PE N 2 Citibank NA E57ODZWZ7FF32TWEFA76 3501044.590000 PEN 1045962.170000 USD 2020-02-12 -9346.460000 N N N N/A N/A 000000000 1.000000 NC -9695.670000 -0.0025527 N/A DFE PE N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1693989.800000 PEN 500809.990000 USD 2020-02-18 -9695.670000 N N N N/A N/A 000000000 1.000000 NC -13538.530000 -0.0035645 N/A DFE PE N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1890490.000000 PEN 556124.610000 USD 2020-02-21 -13538.530000 N N N N/A N/A 000000000 1.000000 NC -38080.640000 -0.0100260 N/A DFE PE N 2 Citibank NA E57ODZWZ7FF32TWEFA76 5638733.160000 PEN 1659915.560000 USD 2020-03-11 -38080.640000 N N N N/A N/A 000000000 1.000000 NC -6445.310000 -0.0016969 N/A DFE RO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1094186.700000 RON 220380.000000 EUR 2020-03-16 -6445.310000 N N N N/A N/A 000000000 1.000000 NC -140351.110000 -0.0369522 N/A DFE ZA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 21231411.000000 ZAR 1363397.080000 USD 2020-03-04 -140351.110000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAW0 700000.000000 PA USD 748815.660000 0.1971513 Long DBT CORP US N 2 2029-08-15 Fixed 3.8 N N N N N N N/A 549300MHDRBVRF6B9117 000000000 1.000000 NC USD 1483.720000 0.0003906 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 COLOMBIAN GOVT COLOMBIA (REP OF) GLBL UNSUBORDINATED Y Single Leg Swap 2021-12-21 0.000000 USD -3800.400000 USD 100000.000000 USD 5284.120000 N N N N/A 549300MHDRBVRF6B9117 000000000 1.000000 NC USD 4872.340000 0.0012828 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 -3053.470000 USD 300000.000000 USD 7925.810000 N N N N/A 549300MHDRBVRF6B9117 000000000 1.000000 NC USD 10671.110000 0.0028095 N/A DCR US N 2 Citibank International Limited 31OGKFG0Y1795OV0AK56 COLOMBIAN GOVT COLOMBIA (REP OF) GLBL UNSUBORDINATED Y Single Leg Swap 2024-12-21 3137.130000 USD 0.000000 USD 800000.000000 USD 7533.980000 N N N N/A 549300MHDRBVRF6B9117 000000000 1.000000 NC USD 26884.670000 0.0070783 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 -20967.860000 USD 1400000.000000 USD 47852.530000 N N N N/A N/A 000000000 1.000000 NC USD 192996.000000 0.0508128 N/A DFE CO N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 3106607.540000 USD 10851846122.000000 COP 2020-01-15 192996.000000 N N N N/A N/A 000000000 1.000000 NC USD 53.590000 0.0000141 N/A DFE KR N 2 Credit Suisse International DL6FFRRLF74S01HE2M14 2000.000000 USD 2372000.000000 KRW 2020-01-10 53.590000 N N N N/A N/A 000000000 1.000000 NC 42138.820000 0.0110945 N/A DFE CL N 2 Credit Suisse International DL6FFRRLF74S01HE2M14 754075145.000000 CLP 1045294.070000 USD 2020-01-27 42138.820000 N N N N/A 529900R27DL06UVNT076 000000000 1.000000 NC 2001.350000 0.0005269 N/A DCR DE N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 DAIMLER AG DAIMLER AG Y Single Leg Swap 2020-12-21 3315.100000 EUR 0.000000 EUR 200000.000000 EUR -1313.750000 N N N N/A N/A 000000000 1.000000 NC USD 45319.310000 0.0119319 N/A DFE CN N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 1845291.420000 USD 13183500.000000 CNY 2020-03-18 45319.310000 N N N N/A N/A 000000000 1.000000 NC USD 38629.180000 0.0101705 N/A DFE TW N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 2472343.840000 USD 74679618.000000 TWD 2020-03-18 38629.180000 N N N N/A N/A 000000000 1.000000 NC -15641.980000 -0.0041183 N/A DFE CN N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 3396584.460000 CNY 471453.180000 USD 2020-03-18 -15641.980000 N N N N/A N/A 000000000 25.000000 NC USD 2812.500000 0.0007405 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Call 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 (GRN) 06/13/22 2022-06-14 N/A USD N/A 99.750000 USD 2022-06-13 XXXX -2844.500000 N N N N/A N/A 000000000 14.000000 NC USD 1312.500000 0.0003456 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Call 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 (GRN) 03/14/22 2022-03-15 N/A USD N/A 99.750000 USD 2022-03-14 XXXX -1683.920000 N N N N/A N/A 000000000 1680000.000000 NC 15226.400000 0.0040089 N/A DFE DE N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 Put Purchased None N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2020-01-20 N/A 9.900000 EUR 2020-01-20 XXXX 12077.660000 N N N N/A 635400IUIZZIUJSAMF76 000000000 1.000000 NC -2057.730000 -0.0005418 N/A DCR FI N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 FORTUM OYJ FORTUM OYJ SR UNSECURED EMTN Y Single Leg Swap 2020-12-21 0.000000 EUR -3634.470000 EUR 200000.000000 EUR 1576.740000 N N N N/A 969500KCGF3SUYJHPV70 000000000 -38.000000 NC 90110.110000 0.0237246 N/A DIR DE N 1 Eurex N/A Short N/A FRANCE GOVT 2020-03-06 -6938005.890000 EUR 90110.110000 N N N N/A 969500KCGF3SUYJHPV70 000000000 46.000000 NC -26.320000 -0.0000069 N/A DIR DE N 1 Eurex N/A Call Purchased Eurex N/A N/A 969500KCGF3SUYJHPV70 000000000 0.000000 NC 0.000000 0.000000 DIR FR N/A N/A FIN FUT EURO-OAT EUX 10YR 03/06/20 2020-03-07 N/A EUR N/A 190.000000 EUR 2020-02-21 XXXX -26.320000 N N N N/A 529900AQBND3S6YJLY83 000000000 551.000000 NC -315.210000 -0.0000830 N/A DIR DE N 1 Eurex N/A Call Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EURO-SCHATZ 2YR EUX 03/06/20 2020-03-07 N/A EUR N/A 114.000000 EUR 2020-02-21 XXXX -315.210000 N N N AMERIQUEST MTGE SECURITIES INC 2005-R4 N/A 03072SC37 209229.540000 PA USD 210114.580000 0.0553198 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.467 N N N N N N N/A 529900AQBND3S6YJLY83 000000000 88.000000 NC -38097.960000 -0.0100306 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-03-06 13190563.360000 EUR -38097.960000 N N N N/A 529900AQBND3S6YJLY83 000000000 -172.000000 NC 494298.490000 0.1301410 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2020-03-06 -32893043.670000 EUR 494298.490000 N N N N/A 529900AQBND3S6YJLY83 000000000 5.000000 NC -28990.110000 -0.0076326 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-03-06 1112614.190000 EUR -28990.110000 N N N N/A 529900AQBND3S6YJLY83 000000000 -551.000000 NC 62765.890000 0.0165253 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2020-03-06 -69163632.470000 EUR 62765.890000 N N N N/A 529900AQBND3S6YJLY83 000000000 88.000000 NC -50.340000 -0.0000133 N/A DIR DE N 1 Eurex N/A Put Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EURO-BOBL 5Y EUX 03/06/20 2020-03-07 N/A EUR N/A 129.500000 EUR 2020-02-21 XXXX -50.340000 N N N N/A 529900AQBND3S6YJLY83 000000000 134.000000 NC -76.660000 -0.0000202 N/A DIR DE N 1 Eurex N/A Call Purchased 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 03/06/20 2020-03-07 N/A EUR N/A 187.000000 EUR 2020-02-21 XXXX -76.660000 N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162BN9 900000.000000 PA USD 930230.110000 0.2449149 Long DBT CORP US N 2 2022-05-15 Fixed 3.625 N N N N N N N/A 529900AQBND3S6YJLY83 000000000 10.000000 NC -5.720000 -0.0000015 N/A DIR DE N 1 Eurex N/A Call Purchased 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 03/06/20 2020-03-07 N/A EUR N/A 188.500000 EUR 2020-02-21 XXXX -5.720000 N N N N/A N/A 000000000 1.000000 NC USD -231712.880000 -0.0610063 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4457730.230000 USD 17000000.000000 BRL 2020-01-03 -231712.880000 N N N N/A N/A 000000000 1.000000 NC USD 70527.430000 0.0185688 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1450093.050000 USD 6117000.000000 BRL 2020-01-03 70527.430000 N N N N/A N/A 000000000 1.000000 NC USD -2506.800000 -0.0006600 N/A DFE CL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 292000.000000 USD 217613000.000000 CLP 2020-01-27 -2506.800000 N N N N/A N/A 000000000 1.000000 NC USD 5973.360000 0.0015727 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 332521.200000 USD 2255000.000000 DKK 2020-01-02 5973.360000 N N N N/A N/A 000000000 1.000000 NC USD 213860.730000 0.0563061 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 19553540.370000 USD 131687461.040000 DKK 2020-01-02 213860.730000 N N N N/A N/A 000000000 1.000000 NC USD 35507.570000 0.0093486 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1381580.530000 USD 19723443579.000000 IDR 2020-03-18 35507.570000 N N N N/A N/A 000000000 1.000000 NC USD 19141.120000 0.0050396 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 734674.900000 USD 3078655.160000 MYR 2020-03-18 19141.120000 N N N N/A N/A 000000000 1.000000 NC -1180.890000 -0.0003109 N/A DFE RO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 65519.800000 EUR 318721.000000 RON 2020-03-16 -1180.890000 N N N N/A N/A 000000000 1.000000 NC -65121.440000 -0.0171454 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6617830.000000 BRL 1580000.000000 USD 2020-01-03 -65121.440000 N N N N/A N/A 000000000 1.000000 NC -8140.550000 -0.0021433 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 16499170.000000 BRL 4093375.840000 USD 2020-01-03 -8140.550000 N N N N/A N/A 000000000 1.000000 NC 224.960000 0.0000592 N/A DFE CL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 85525080.000000 CLP 114000.000000 USD 2020-01-27 224.960000 N N N N/A N/A 000000000 1.000000 NC -7130.800000 -0.0018774 N/A DFE CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1434361500.000000 COP 429000.000000 USD 2020-01-15 -7130.800000 N N N N/A N/A 000000000 1.000000 NC -19423.460000 -0.0051139 N/A DFE CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2108605500.000000 COP 621000.000000 USD 2020-02-14 -19423.460000 N N N N/A N/A 000000000 1.000000 NC -213069.980000 -0.0560980 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 131687461.040000 DKK 19676542.280000 USD 2020-04-01 -213069.980000 N N N N/A N/A 000000000 1.000000 NC 1790.090000 0.0004713 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 65519.800000 EUR 318721.000000 RON 2020-03-16 1790.090000 N N N N/A N/A 000000000 1.000000 NC -3073.790000 -0.0008093 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3000000.000000 MXN 155466.190000 USD 2020-01-09 -3073.790000 N N N N/A N/A 000000000 1.000000 NC -668.980000 -0.0001761 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 526000.000000 PLN 137990.930000 USD 2020-02-10 -668.980000 N N N N/A N/A 000000000 1.000000 NC USD 13606.210000 0.0035823 N/A DFE AU N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 755711.730000 USD 1096000.000000 AUD 2020-01-13 13606.210000 N N N N/A N/A 000000000 1.000000 NC USD 42.750000 0.0000113 N/A DFE CL N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 1000.000000 USD 784000.000000 CLP 2020-01-09 42.750000 N N N N/A N/A 000000000 1.000000 NC USD 9329.440000 0.0024563 N/A DFE CN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 890482.700000 USD 6274519.210000 CNY 2020-03-18 9329.440000 N N N N/A N/A 000000000 1.000000 NC USD 7806.370000 0.0020553 N/A DFE CN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 624107.340000 USD 4406425.000000 CNY 2020-03-18 7806.370000 N N N N/A N/A 000000000 1.000000 NC USD 16503.620000 0.0043451 N/A DFE CZ N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 520184.860000 USD 12166572.480000 CZK 2020-01-17 16503.620000 N N N N/A N/A 000000000 1.000000 NC USD -5347.530000 -0.0014079 N/A DFE GB N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 759263.130000 USD 569000.000000 GBP 2020-01-13 -5347.530000 N N N N/A N/A 000000000 1.000000 NC USD 62199.900000 0.0163762 N/A DFE IN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 3599000.000000 USD 264094620.000000 INR 2020-04-27 62199.900000 N N N N/A N/A 000000000 1.000000 NC USD 138508.990000 0.0364672 N/A DFE IN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 9289606.480000 USD 676706029.080000 INR 2020-03-18 138508.990000 N N N N/A N/A 000000000 1.000000 NC USD 1927.130000 0.0005074 N/A DFE IN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 185000.000000 USD 13416755.000000 INR 2020-03-18 1927.130000 N N N N/A N/A 000000000 1.000000 NC USD 7085.650000 0.0018655 N/A DFE KR N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 233000.000000 USD 277503000.000000 KRW 2020-01-06 7085.650000 N N N N/A N/A 000000000 1.000000 NC USD 1942.670000 0.0005115 N/A DFE KR N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 450075.520000 USD 521453000.000000 KRW 2020-03-18 1942.670000 N N N N/A N/A 000000000 1.000000 NC USD 54040.490000 0.0142280 N/A DFE RU N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 856655.990000 USD 56625435.000000 RUB 2020-01-24 54040.490000 N N N N/A N/A 000000000 1.000000 NC USD 17467.670000 0.0045990 N/A DFE SG N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 1133550.780000 USD 1546945.410000 SGD 2020-03-18 17467.670000 N N N N/A N/A 000000000 1.000000 NC -2291.660000 -0.0006034 N/A DFE AU N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 177000.000000 AUD 121941.090000 USD 2020-01-10 -2291.660000 N N N N/A N/A 000000000 1.000000 NC -16964.500000 -0.0044665 N/A DFE CA N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 993000.000000 CAD 747789.000000 USD 2020-01-13 -16964.500000 N N N N/A N/A 000000000 1.000000 NC -58826.680000 -0.0154881 N/A DFE CH N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 2621000.000000 CHF 2650749.360000 USD 2020-01-13 -58826.680000 N N N N/A N/A 000000000 1.000000 NC 41167.210000 0.0108387 N/A DFE CL N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 802713310.000000 CLP 1109026.400000 USD 2020-01-27 41167.210000 N N N N/A N/A 000000000 1.000000 NC -90728.160000 -0.0238873 N/A DFE CL N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 1313606349.000000 CLP 1657233.770000 USD 2020-02-24 -90728.160000 N N N N/A N/A 000000000 1.000000 NC -46500.040000 -0.0122427 N/A DFE CN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 9750939.890000 CNY 1351856.360000 USD 2020-03-18 -46500.040000 N N N N/A N/A 000000000 1.000000 NC -7273.950000 -0.0019151 N/A DFE CN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 5768700.000000 CNY 820000.000000 USD 2020-03-18 -7273.950000 N N N N/A N/A 000000000 1.000000 NC -6627.550000 -0.0017449 N/A DFE CN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 4924000.000000 CNY 699510.210000 USD 2020-03-18 -6627.550000 N N N N/A N/A 000000000 1.000000 NC -1645.500000 -0.0004332 N/A DFE CZ N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 4000000.000000 CZK 174802.640000 USD 2020-01-10 -1645.500000 N N N N/A N/A 000000000 1.000000 NC -6495.650000 -0.0017102 N/A DFE DK N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 3730000.000000 DKK 553408.880000 USD 2020-01-02 -6495.650000 N N N N/A N/A 000000000 1.000000 NC -15040.180000 -0.0039598 N/A DFE DK N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 10920000.000000 DKK 1624144.130000 USD 2020-01-02 -15040.180000 N N N N/A N/A 000000000 1.000000 NC -3225.940000 -0.0008493 N/A DFE N/A N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 243000.000000 EUR 269466.220000 USD 2020-01-10 -3225.940000 N N N N/A N/A 000000000 1.000000 NC -1916.550000 -0.0005046 N/A DFE N/A N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 342000.000000 EUR 381943.720000 USD 2020-01-13 -1916.550000 N N N N/A N/A 000000000 1.000000 NC -35266.640000 -0.0092851 N/A DFE GB N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 1677000.000000 GBP 2186540.020000 USD 2020-01-10 -35266.640000 N N N N/A N/A 000000000 1.000000 NC -38170.060000 -0.0100496 N/A DFE JP N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 795700000.000000 JPY 7286311.760000 USD 2020-01-10 -38170.060000 N N N N/A N/A 000000000 1.000000 NC -20630.790000 -0.0054318 N/A DFE KR N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 870217600.000000 KRW 733000.000000 USD 2020-02-24 -20630.790000 N N N N/A N/A 000000000 1.000000 NC -21537.560000 -0.0056705 N/A DFE KR N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 910505700.000000 KRW 767000.000000 USD 2020-02-26 -21537.560000 N N N N/A N/A 000000000 1.000000 NC -1629.500000 -0.0004290 N/A DFE KR N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 521453000.000000 KRW 449512.950000 USD 2020-01-06 -1629.500000 N N N ANHEUSER-BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 035240AM2 400000.000000 PA USD 448993.880000 0.1182130 Long DBT CORP US N 2 2038-04-15 Fixed 4.375 N N N N N N N/A N/A 000000000 1.000000 NC -7117.320000 -0.0018739 N/A DFE NZ N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 556000.000000 NZD 367215.150000 USD 2020-01-13 -7117.320000 N N N N/A N/A 000000000 1.000000 NC USD -12114.940000 -0.0031897 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-03-20 1341.440000 USD 0.000000 USD 800000.000000 USD -13456.380000 N N N N/A N/A 000000000 1.000000 NC USD -10955.960000 -0.0028845 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-03-20 1389.340000 USD 0.000000 USD 800000.000000 USD -12345.300000 N N N N/A N/A 000000000 1.000000 NC USD -13373.570000 -0.0035210 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-03-20 2036.110000 USD 0.000000 USD 1000000.000000 USD -15409.680000 N N N N/A N/A 000000000 1.000000 NC USD -14338.320000 -0.0037751 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-03-20 2036.110000 USD 0.000000 USD 1000000.000000 USD -16374.430000 N N N N/A N/A 000000000 1.000000 NC USD -151242.690000 -0.0398198 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-03-20 11532.380000 USD 0.000000 USD 1900000.000000 USD -162775.070000 N N N N/A N/A 000000000 -11800000.000000 NC USD -1.180000 -0.0000003 N/A DIR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Put Written US CPI Urban Consumers NSA N/A N/A N/A 0.000000 USD 2020-03-10 XXXX 88498.820000 N N N N/A N/A 000000000 -9800000.000000 NC USD -0.980000 -0.0000003 N/A DIR US N 2 Citibank NA 579100KKDGKCFFKKF005 Put Written US CPI Urban Consumers NSA N/A N/A N/A 0.000000 USD 2020-04-07 XXXX 86239.020000 N N N N/A N/A 000000000 -6250000.000000 NC USD -2851.880000 -0.0007509 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES INC I7331LVCZKQKX5T7XV54 Call Written USD-LIBOR-BBA-Bloomberg 1M N/A N/A N/A 0.000000 USD 2022-10-07 XXXX 3593.430000 N N N N/A N/A 000000000 -3500000.000000 NC USD -1617.000000 -0.0004257 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES INC I7331LVCZKQKX5T7XV54 Call Written USD-LIBOR-BBA-Bloomberg 1M N/A N/A N/A 0.000000 USD 2022-10-11 XXXX 1839.250000 N N N N/A 815600DE60799F5A9309 000000000 58.000000 NC -97313.840000 -0.0256212 N/A DIR DE N 1 Eurex N/A Long N/A ITALY GOVT 2020-03-06 9268247.810000 EUR -97313.840000 N N N N/A 815600DE60799F5A9309 000000000 16.000000 NC -15.430000 -0.0000041 N/A DIR DE N 1 Eurex N/A Put Purchased Eurex N/A N/A 815600DE60799F5A9309 000000000 0.000000 NC 0.000000 0.000000 DIR IT N/A N/A FIN FUT EUX EURO-BTP 03/06/20 2020-03-07 N/A EUR N/A 101.000000 EUR 2020-02-21 XXXX -15.430000 N N N N/A 815600DE60799F5A9309 000000000 48.000000 NC -27.460000 -0.0000072 N/A DIR DE N 1 Eurex N/A Put Purchased Eurex N/A N/A 815600DE60799F5A9309 000000000 0.000000 NC 0.000000 0.000000 DIR IT N/A N/A FIN FUT EUX EURO-BTP 03/06/20 2020-03-07 N/A EUR N/A 99.000000 EUR 2020-02-21 XXXX -27.460000 N N N N/A 815600DE60799F5A9309 000000000 146.000000 NC 4733.390000 0.0012462 N/A DIR DE N 1 Eurex N/A Long N/A ITALY GOVT 2020-03-06 18412458.050000 EUR 4733.390000 N N N N/A N/A 000000000 1.000000 NC 123870.590000 0.0326132 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE CROSSOVER SERIES 32 Y Single Leg Swap 2024-12-21 118709.530000 EUR 0.000000 EUR 800000.000000 EUR 5161.060000 N N N N/A N/A 000000000 1.000000 NC -190255.450000 -0.0500912 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ITRAXX EUROPE SERIES 31 N/A N/A Y Single Leg Swap 2029-06-21 0.000000 EUR -27830.010000 EUR 9700000.000000 EUR -162425.440000 N N N N/A N/A 000000000 1.000000 NC -22152.070000 -0.0058323 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ITRAXX EUROPE SERIES 31 N/A N/A Y Single Leg Swap 2024-06-21 0.000000 EUR -21565.140000 EUR 700000.000000 EUR -586.930000 N N N N/A N/A 000000000 -400000.000000 NC -59.520000 -0.0000157 N/A DCR DE N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Put Written Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.700000 EUR 2020-02-19 XXXX 294.830000 N N N N/A N/A 000000000 -400000.000000 NC -30.710000 -0.0000081 N/A DCR DE N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 Put Written Merrill Lynch International GGDZP1UYGU9STUHRDP48 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.900000 EUR 2020-02-19 XXXX 453.690000 N N N N/A N/A 000000000 -300000.000000 NC -30.710000 -0.0000081 N/A DCR DE N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Put Written Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2020-02-19 XXXX 571.760000 N N N N/A N/A 000000000 -700000.000000 NC -53.750000 -0.0000142 N/A DCR DE N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 Put Written BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.900000 EUR 2020-02-19 XXXX 1019.890000 N N N N/A N/A 000000000 -1100000.000000 NC -112.620000 -0.0000297 N/A DCR DE N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 Put Written BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2020-02-19 XXXX 1616.880000 N N N N/A N/A 000000000 -400000.000000 NC -266.710000 -0.0000702 N/A DCR DE N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Call Written Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.430000 EUR 2020-02-19 XXXX -111.680000 N N N N/A N/A 000000000 -700000.000000 NC -1564.830000 -0.0004120 N/A DCR DE N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Written Citibank NA E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.480000 EUR 2020-02-19 XXXX -1043.920000 N N N N/A N/A 000000000 -500000.000000 NC -96.010000 -0.0000253 N/A DCR DE N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 Put Written Bank of America N.A. B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2020-03-18 XXXX 514.540000 N N N N/A N/A 000000000 -1900000.000000 NC -1623.210000 -0.0004274 N/A DCR DE N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Call Written Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.430000 EUR 2020-03-18 XXXX -639.690000 N N N N/A N/A 000000000 -500000.000000 NC -96.010000 -0.0000253 N/A DCR DE N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2020-03-18 XXXX 478.210000 N N N N/A N/A 000000000 -400000.000000 NC -76.800000 -0.0000202 N/A DCR DE N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Put Written Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2020-03-18 XXXX 521.280000 N N N N/A N/A 000000000 -700000.000000 NC -60.740000 -0.0000160 N/A DCR DE N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written Citibank NA E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2020-02-19 XXXX 749.560000 N N N N/A N/A 000000000 -900000.000000 NC -1377.340000 -0.0003626 N/A DCR DE N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 Call Written BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.450000 EUR 2020-03-18 XXXX -648.330000 N N N N/A N/A 000000000 -1000000.000000 NC -192.000000 -0.0000506 N/A DCR DE N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 Put Written BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2020-03-18 XXXX 1087.810000 N N N N/A N/A 000000000 -400000.000000 NC -612.150000 -0.0001612 N/A DCR DE N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 Call Written Merrill Lynch International GGDZP1UYGU9STUHRDP48 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.450000 EUR 2020-03-18 XXXX -300.150000 N N N N/A N/A 000000000 -500000.000000 NC -765.190000 -0.0002015 N/A DCR DE N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Call Written Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.450000 EUR 2020-03-18 XXXX -405.240000 N N N N/A N/A 000000000 -500000.000000 NC -765.190000 -0.0002015 N/A DCR DE N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.450000 EUR 2020-03-18 XXXX -291.320000 N N N N/A N/A 000000000 -500000.000000 NC -765.190000 -0.0002015 N/A DCR 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 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.450000 EUR 2020-03-18 XXXX -376.660000 N N N N/A N/A 000000000 -1300000.000000 NC -1110.620000 -0.0002924 N/A DCR 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 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.430000 EUR 2020-03-18 XXXX -319.660000 N N N N/A N/A 000000000 -600000.000000 NC -805.280000 -0.0002120 N/A DCR DE N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 Call Written BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.450000 EUR 2020-02-19 XXXX -474.210000 N N N N/A N/A 000000000 -400000.000000 NC -341.730000 -0.0000900 N/A DCR DE N 2 JPMORGAN CHASE BANK,National Association, LONDON 7H6GLXDRUGQFU57RNE97 Call Written JPMORGAN CHASE BANK,National Association, LONDON 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.430000 EUR 2020-03-18 XXXX -99.260000 N N N N/A N/A 000000000 -300000.000000 NC -670.640000 -0.0001766 N/A DCR DE N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Call Written Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.480000 EUR 2020-02-19 XXXX -494.510000 N N N N/A N/A 000000000 -400000.000000 NC -894.190000 -0.0002354 N/A DCR DE N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 Call Written Merrill Lynch International GGDZP1UYGU9STUHRDP48 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.480000 EUR 2020-02-19 XXXX -629.970000 N N N N/A N/A 000000000 -1300000.000000 NC -383.810000 -0.0001011 N/A DCR DE N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 Put Written Bank of America N.A. B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.700000 EUR 2020-03-18 XXXX 1075.880000 N N N N/A N/A 000000000 -900000.000000 NC -172.800000 -0.0000455 N/A DCR DE N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2020-03-18 XXXX 737.780000 N N N N/A N/A 000000000 -900000.000000 NC -1747.230000 -0.0004600 N/A DCR DE N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Call Written Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.480000 EUR 2020-01-15 XXXX -1254.750000 N N N N/A N/A 000000000 -500000.000000 NC -1117.740000 -0.0002943 N/A DCR DE N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 Call Written BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.480000 EUR 2020-02-19 XXXX -843.700000 N N N N/A N/A 000000000 -400000.000000 NC -76.800000 -0.0000202 N/A DCR DE N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 Put Written Merrill Lynch International GGDZP1UYGU9STUHRDP48 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2020-03-18 XXXX 377.830000 N N N N/A N/A 000000000 -900000.000000 NC -1377.340000 -0.0003626 N/A DCR DE N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Written Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.450000 EUR 2020-03-18 XXXX -604.960000 N N N N/A N/A 000000000 -1900000.000000 NC -560.960000 -0.0001477 N/A DCR DE N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Put Written Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.700000 EUR 2020-03-18 XXXX 1680.970000 N N N N/A N/A 000000000 -900000.000000 NC -24.420000 -0.0000064 N/A DCR DE N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Put Written Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2020-01-15 XXXX 1305.280000 N N N N/A N/A 000000000 -400000.000000 NC -118.090000 -0.0000311 N/A DCR DE N 2 JPMORGAN CHASE BANK,National Association, LONDON 7H6GLXDRUGQFU57RNE97 Put Written JPMORGAN CHASE BANK,National Association, LONDON 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.700000 EUR 2020-03-18 XXXX 322.770000 N N N N/A N/A 000000000 1.000000 NC -18933.440000 -0.0049849 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 32 Y Single Leg Swap 2024-12-21 0.000000 EUR -17889.880000 EUR 600000.000000 EUR -1043.560000 N N N N/A N/A 000000000 1.000000 NC USD -4544.790000 -0.0011966 N/A DCR US N 2 Bank of America, N.A. 9DJT3UXIJIZJI4WXO774 JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -6913.480000 USD 200000.000000 USD 2368.690000 N N N N/A N/A 000000000 1.000000 NC USD -15906.760000 -0.0041880 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -23783.610000 USD 700000.000000 USD 7876.850000 N N N N/A N/A 000000000 1.000000 NC USD -27268.730000 -0.0071794 N/A DCR US N 2 Citibank International Limited 31OGKFG0Y1795OV0AK56 JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -42358.210000 USD 1200000.000000 USD 15089.480000 N N N N/A N/A 000000000 1.000000 NC USD -38630.700000 -0.0101709 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -59440.860000 USD 1700000.000000 USD 20810.160000 N N N N/A N/A 000000000 -1.000000 NC -371.400000 -0.0000978 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE N/A Short N/A JAPAN GOVT 2020-03-13 -1400579.820000 JPY -371.400000 N N N N/A N/A 000000000 1.000000 NC USD 2146.060000 0.0005650 N/A DFE HU N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 530825.410000 USD 156962420.000000 HUF 2020-02-10 2146.060000 N N N N/A N/A 000000000 1.000000 NC 3380.950000 0.0008902 N/A DFE IN N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 131141000.000000 INR 1819886.210000 USD 2020-05-04 3380.950000 N N N N/A N/A 000000000 1.000000 NC -7702.850000 -0.0020280 N/A DFE PL N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 2778000.000000 PLN 724611.260000 USD 2020-02-10 -7702.850000 N N N N/A N/A 000000000 1.000000 NC USD 108234.250000 0.0284964 N/A DFE MX N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 1805488.520000 USD 36284000.000000 MXN 2020-01-22 108234.250000 N N N N/A N/A 000000000 1.000000 NC -19929.820000 -0.0052472 N/A DFE DK N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 8540000.000000 DKK 1261996.370000 USD 2020-01-02 -19929.820000 N N N N/A N/A 000000000 1.000000 NC -3636.770000 -0.0009575 N/A DFE DK N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 2735000.000000 DKK 406909.850000 USD 2020-01-02 -3636.770000 N N N N/A 213800CN1RI3UCIZWB95 000000000 1.000000 NC -637.930000 -0.0001680 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 MARKS AND SPENCER PLC MARKS & SPENCER PLC NT EMTN REGS Y Single Leg Swap 2023-06-21 0.000000 EUR -6010.410000 EUR 200000.000000 EUR 5372.480000 N N N N/A N/A 000000000 1.000000 NC -777.330000 -0.0002047 N/A DFE N/A N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1095949.550000 RON 220584.000000 EUR 2020-03-16 -777.330000 N N N N/A N/A 000000000 1.000000 NC USD 23950.280000 0.0063057 N/A DFE RU N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 621416.230000 USD 40379937.180000 RUB 2020-03-16 23950.280000 N N N N/A N/A 000000000 1.000000 NC -6626.440000 -0.0017446 N/A DFE RO N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1095949.550000 RON 220584.000000 EUR 2020-03-16 -6626.440000 N N N N/A N/A 000000000 1.000000 NC USD 35435.900000 0.0093297 N/A DFE CA N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1504082.990000 USD 1999000.000000 CAD 2020-01-13 35435.900000 N N N N/A N/A 000000000 1.000000 NC USD -2993.260000 -0.0007881 N/A DFE N/A N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 31962.500000 USD 25000.000000 EUR 2021-06-28 -2993.260000 N N N N/A N/A 000000000 1.000000 NC USD 51653.570000 0.0135996 N/A DFE N/A N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5162040.980000 USD 4646000.000000 EUR 2020-01-10 51653.570000 N N N N/A N/A 000000000 1.000000 NC USD 1103.870000 0.0002906 N/A DFE JP N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1511677.190000 USD 164303000.000000 JPY 2020-01-14 1103.870000 N N N N/A N/A 000000000 1.000000 NC USD 45718.390000 0.0120369 N/A DFE NO N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1128924.610000 USD 10312000.000000 NOK 2020-01-13 45718.390000 N N N N/A N/A 000000000 1.000000 NC USD 1077.400000 0.0002837 N/A DFE NO N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 674402.010000 USD 5930000.000000 NOK 2020-01-10 1077.400000 N N N N/A N/A 000000000 1.000000 NC USD 39606.740000 0.0104278 N/A DFE ZA N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 766424.000000 USD 11338783.230000 ZAR 2020-02-05 39606.740000 N N N N/A N/A 000000000 1.000000 NC USD 28957.640000 0.0076241 N/A DFE ZA N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 642707.380000 USD 9448602.510000 ZAR 2020-02-05 28957.640000 N N N N/A N/A 000000000 1.000000 NC -8412.870000 -0.0022150 N/A DFE AU N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 555000.000000 AUD 381159.630000 USD 2020-01-13 -8412.870000 N N N N/A N/A 000000000 1.000000 NC -660610.160000 -0.1739282 N/A DFE N/A N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 40085667.920000 EUR 44323123.880000 USD 2020-01-10 -660610.160000 N N N N/A N/A 000000000 1.000000 NC -16574.300000 -0.0043638 N/A DFE NZ N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1515000.000000 NZD 1003375.410000 USD 2020-01-10 -16574.300000 N N N N/A N/A 000000000 1.000000 NC -55.540000 -0.0000146 N/A DFE SE N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 44000.000000 SEK 4644.550000 USD 2020-01-13 -55.540000 N N N 2020-02-10 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer XXXX