NPORT-P false 0000810893 XXXXXXXX S000033596 C000103220 C000103225 C000103224 C000103221 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Credit Opportunities Bond Fund S000033596 OZ5WCS502FZE6NVLXP08 2020-03-31 2019-12-31 N 436692221.420000 26729633.070000 409962588.350000 0.000000 0.000000 4758165.480000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 3553985.450000 AUD BRL CAD USD EUR RUB ARS MXN GBP JPY CLP N ARGENT SECURITIES INC 2005-W5 N/A 040104QN4 546949.660000 PA USD 518542.900000 0.1264854 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.022 N N N N N N N/A 254900NDAKGNZ2IBBL45 000000000 1.000000 NC USD 1656.650000 0.0004041 N/A DCR US N 2 Nomura Global Financial Products Inc. 0Z3VO5H2G7GRS05BHJ91 PT PERTAMINA (PERSERO) PT PERTAMINA (PERSERO) Y Single Leg Swap 2024-12-21 189.960000 USD 0.000000 USD 200000.000000 USD 1466.690000 N N N N/A 549300C6OZZ8LTVR8209 000000000 1.000000 NC USD 4457.030000 0.0010872 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 SINOPEC GROUP OVERSEAS DEVELOPMENT 2018 LTD SINOPEC GRP DEV 2018 SR UNSEC Y Single Leg Swap 2024-12-21 3398.520000 USD 0.000000 USD 200000.000000 USD 1058.510000 N N N N/A N/A 000000000 1.000000 NC -226.470000 -0.0000552 N/A DFE RU N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 3060811.460000 RUB 49000.000000 USD 2020-01-24 -226.470000 N N N N/A UDTZ87G0STFETI6HGH41 000000000 1.000000 NC USD -81348.870000 -0.0198430 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 SOUTHWEST AIRLINES CO SOUTHWEST AIRLINES CO SR UNSEC Y Single Leg Swap 2023-06-21 0.000000 USD -64662.100000 USD 3000000.000000 USD -16686.770000 N N N N/A N/A 000000000 1.000000 NC -1863.110000 -0.0004545 N/A DFE GB N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 99000.000000 GBP 129299.000000 USD 2020-01-10 -1863.110000 N N N N/A N/A 000000000 1.000000 NC USD 33242.640000 0.0081087 N/A DFE PL N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 996944.900000 USD 3907969.180000 PLN 2020-02-10 33242.640000 N N N N/A N/A 000000000 1.000000 NC USD 114020.290000 0.0278124 N/A DFE BR N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 2205300.320000 USD 9329931.000000 BRL 2020-01-03 114020.290000 N N N N/A N/A 000000000 1.000000 NC USD 20906.740000 0.0050997 N/A DFE BR N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 2296287.520000 USD 9329931.000000 BRL 2020-02-04 20906.740000 N N N N/A N/A 000000000 1.000000 NC -20175.460000 -0.0049213 N/A DFE BR N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 9329931.020000 BRL 2299145.150000 USD 2020-01-03 -20175.460000 N N N N/A N/A 000000000 -1500000.000000 NC USD -3523.800000 -0.0008595 N/A DIR 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 DIR US IRS USD R 1.75000 01/23/20-5Y CME N/A N/A 2025-01-23 0.000000 USD 0.000000 USD N/A USD N/A 1.750000 USD 2020-01-21 XXXX -426.300000 N N N N/A N/A 000000000 -1500000.000000 NC USD -91.500000 -0.0000223 N/A DIR 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 DIR US IRS USD R 1.36000 01/23/20-5Y CME N/A N/A 2025-01-23 0.000000 USD 0.000000 USD N/A USD N/A 1.360000 USD 2020-01-21 XXXX 2458.500000 N N N N/A N/A 000000000 -1400000.000000 NC USD -638.120000 -0.0001557 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 1.75000 01/06/20-5Y CME N/A N/A 2025-01-06 0.000000 USD 0.000000 USD N/A USD N/A 1.750000 USD 2020-01-02 XXXX 1111.880000 N N N N/A N/A 000000000 -1400000.000000 NC USD -0.140000 0.0000000 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 1.50000 01/06/20-5Y CME N/A N/A 2025-01-06 0.000000 USD 0.000000 USD N/A USD N/A 1.500000 USD 2020-01-02 XXXX 1749.860000 N N N N/A N/A 000000000 -1600000.000000 NC USD -0.160000 0.0000000 N/A DIR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Call Written Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.43750 01/07/20-5Y CME N/A N/A 2025-01-07 0.000000 USD 0.000000 USD N/A USD N/A 1.440000 USD 2020-01-03 XXXX 2559.840000 N N N N/A N/A 000000000 -1600000.000000 NC USD -3832.800000 -0.0009349 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 1.69250 01/07/20-5Y CME N/A N/A 2025-01-07 0.000000 USD 0.000000 USD N/A USD N/A 1.690000 USD 2020-01-03 XXXX -1732.800000 N N N N/A N/A 000000000 -100000.000000 NC USD -519.950000 -0.0001268 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 1.62000 01/07/20-5Y LCH N/A N/A 2025-01-07 0.000000 USD 0.000000 USD N/A USD N/A 1.620000 USD 2020-01-03 XXXX -373.700000 N N N N/A N/A 000000000 -100000.000000 NC USD -0.010000 0.0000000 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 1.34000 01/07/20-5Y LCH N/A N/A 2025-01-07 0.000000 USD 0.000000 USD N/A USD N/A 1.340000 USD 2020-01-03 XXXX 144.990000 N N N N/A N/A 000000000 -1400000.000000 NC USD -7279.300000 -0.0017756 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.62000 01/07/20-5Y LCH N/A N/A 2025-01-07 0.000000 USD 0.000000 USD N/A USD N/A 1.620000 USD 2020-01-03 XXXX -5231.800000 N N N N/A N/A 000000000 -1400000.000000 NC USD -0.140000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.34000 01/07/20-5Y LCH N/A N/A 2025-01-07 0.000000 USD 0.000000 USD N/A USD N/A 1.340000 USD 2020-01-03 XXXX 2029.860000 N N N N/A N/A 000000000 -1400000.000000 NC USD -1673.280000 -0.0004082 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 1.74000 01/08/20-5Y CME N/A N/A 2025-01-08 0.000000 USD 0.000000 USD N/A USD N/A 1.740000 USD 2020-01-06 XXXX 307.720000 N N N N/A N/A 000000000 -1400000.000000 NC USD -0.980000 -0.0000002 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 1.46000 01/08/20-5Y CME N/A N/A 2025-01-08 0.000000 USD 0.000000 USD N/A USD N/A 1.460000 USD 2020-01-06 XXXX 1980.020000 N N N N/A N/A 000000000 -1600000.000000 NC USD -806.560000 -0.0001967 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 1.78000 01/08/20-5Y CME N/A N/A 2025-01-08 0.000000 USD 0.000000 USD N/A USD N/A 1.780000 USD 2020-01-06 XXXX 1481.440000 N N N N/A N/A 000000000 -1600000.000000 NC USD -5.920000 -0.0000014 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.51000 01/08/20-5Y CME N/A N/A 2025-01-08 0.000000 USD 0.000000 USD N/A USD N/A 1.510000 USD 2020-01-06 XXXX 2074.080000 N N N N/A N/A 000000000 -1400000.000000 NC USD -2206.680000 -0.0005383 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 1.75000 01/13/20-5Y CME N/A N/A 2025-01-13 0.000000 USD 0.000000 USD N/A USD N/A 1.750000 USD 2020-01-09 XXXX 173.320000 N N N N/A N/A 000000000 -1400000.000000 NC USD -45.360000 -0.0000111 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 1.47000 01/13/20-5Y CME N/A N/A 2025-01-13 0.000000 USD 0.000000 USD N/A USD N/A 1.470000 USD 2020-01-09 XXXX 1809.640000 N N N N/A N/A 000000000 -1600000.000000 NC USD -1765.920000 -0.0004308 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 1.78500 01/14/20-5Y CME N/A N/A 2025-01-14 0.000000 USD 0.000000 USD N/A USD N/A 1.780000 USD 2020-01-10 XXXX 442.080000 N N N N/A N/A 000000000 -1600000.000000 NC USD -114.400000 -0.0000279 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.48500 01/14/20-5Y CME N/A N/A 2025-01-14 0.000000 USD 0.000000 USD N/A USD N/A 1.490000 USD 2020-01-10 XXXX 2245.600000 N N N N/A N/A 000000000 -1600000.000000 NC USD -3239.520000 -0.0007902 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 1.74500 01/15/20-5Y CME N/A N/A 2025-01-15 0.000000 USD 0.000000 USD N/A USD N/A 1.750000 USD 2020-01-13 XXXX -1479.520000 N N N N/A N/A 000000000 -1600000.000000 NC USD -129.120000 -0.0000315 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 1.46500 01/15/20-5Y CME N/A N/A 2025-01-15 0.000000 USD 0.000000 USD N/A USD N/A 1.470000 USD 2020-01-13 XXXX 2190.880000 N N N N/A N/A 000000000 9450000.000000 NC USD 235334.300000 0.0574038 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Purchased BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.94000 02/20/20-2Y CME N/A N/A 2022-02-20 0.000000 USD 0.000000 USD N/A USD N/A 2.940000 USD 2020-02-18 XXXX 166034.300000 N N N N/A N/A 000000000 -900000.000000 NC USD -200968.110000 -0.0490211 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 3.08600 02/20/20-30Y CME N/A N/A 2050-02-20 0.000000 USD 0.000000 USD N/A USD N/A 3.090000 USD 2020-02-18 XXXX -131668.110000 N N N N/A N/A 000000000 -1400000.000000 NC USD -1086.820000 -0.0002651 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 1.82000 01/15/20-5Y CME N/A N/A 2025-01-15 0.000000 USD 0.000000 USD N/A USD N/A 1.820000 USD 2020-01-13 XXXX 1013.180000 N N N N/A N/A 000000000 -1400000.000000 NC USD -317.660000 -0.0000775 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 01/15/20-5Y CME N/A N/A 2025-01-15 0.000000 USD 0.000000 USD N/A USD N/A 1.540000 USD 2020-01-13 XXXX 1362.340000 N N N N/A N/A 000000000 -800000.000000 NC USD -3080.960000 -0.0007515 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 1.95000 01/21/20-10Y CME N/A N/A 2030-01-21 0.000000 USD 0.000000 USD N/A USD N/A 1.950000 USD 2020-01-16 XXXX -1240.960000 N N N N/A N/A 000000000 -800000.000000 NC USD -571.120000 -0.0001393 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 1.70000 01/21/20-10Y CME N/A N/A 2030-01-21 0.000000 USD 0.000000 USD N/A USD N/A 1.700000 USD 2020-01-16 XXXX 1428.880000 N N N N/A N/A 000000000 -1600000.000000 NC USD -4458.240000 -0.0010875 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 2.03000 02/03/20-10Y CME N/A N/A 2030-02-03 0.000000 USD 0.000000 USD N/A USD N/A 2.030000 USD 2020-01-30 XXXX -178.240000 N N N N/A N/A 000000000 -1600000.000000 NC USD -3694.560000 -0.0009012 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 1.76000 02/03/20-10Y CME N/A N/A 2030-02-03 0.000000 USD 0.000000 USD N/A USD N/A 1.760000 USD 2020-01-30 XXXX 545.440000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 180000.000000 PA 1596.390000 0.0003894 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 -24197.310000 -0.0059023 N/A DIR CA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2029-12-18 0.000000 CAD -5199.460000 CAD 1300000.000000 CAD -18997.850000 N N N N/A N/A 000000000 1.000000 NC 10618.570000 0.0025901 N/A DIR CL N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2029-12-04 0.000000 CLP 0.000000 CLP 265800000.000000 CLP 10618.570000 N N N N/A N/A 000000000 1.000000 NC 1599.200000 0.0003901 N/A DIR CL N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2029-12-10 0.000000 CLP 0.000000 CLP 26000000.000000 CLP 1599.200000 N N N N/A N/A 000000000 1.000000 NC 177839.410000 0.0433794 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2030-03-18 76865.000000 EUR 0.000000 EUR 4200000.000000 EUR 100974.410000 N N N N/A N/A 000000000 1.000000 NC 21054.560000 0.0051357 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2030-06-17 0.000000 EUR -1273.950000 EUR 1800000.000000 EUR 22328.510000 N N N N/A N/A 000000000 1.000000 NC 290495.930000 0.0708591 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2050-03-18 56025.960000 GBP 0.000000 GBP 2300000.000000 GBP 234469.970000 N N N N/A N/A 000000000 1.000000 NC -77994.560000 -0.0190248 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2025-03-18 11088.960000 GBP 0.000000 GBP 8700000.000000 GBP -89083.520000 N N N N/A N/A 000000000 1.000000 NC 5476.690000 0.0013359 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2030-06-17 0.000000 GBP -4606.670000 GBP 1200000.000000 GBP 10083.360000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0VSDQ8 24000000.000000 PA 222046.200000 0.0541626 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 -50885.670000 -0.0124123 N/A DIR JP N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2027-09-21 0.000000 JPY -6698.730000 JPY 292500000.000000 JPY -44186.940000 N N N N/A N/A 000000000 1.000000 NC 1716.260000 0.0004186 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2024-12-13 0.000000 MXN -1218.750000 MXN 27600000.000000 MXN 2935.010000 N N N N/A N/A 000000000 1.000000 NC 121460.900000 0.0296273 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2024-04-17 299.760000 MXN 0.000000 MXN 47700000.000000 MXN 121161.140000 N N N N/A N/A 000000000 1.000000 NC 154857.760000 0.0377736 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2024-02-29 0.000000 MXN 0.000000 MXN 54200000.000000 MXN 154857.760000 N N N N/A N/A 000000000 1.000000 NC USD -5164.900000 -0.0012598 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-31 0.000000 USD -1890.000000 USD 1400000.000000 USD -3274.900000 N N N N/A N/A 000000000 1.000000 NC USD -4613.690000 -0.0011254 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-27 0.000000 USD -1862.000000 USD 1400000.000000 USD -2751.690000 N N N N/A N/A 000000000 1.000000 NC USD 29543.020000 0.0072063 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-21 0.000000 USD -167170.910000 USD 9100000.000000 USD 196713.930000 N N N N/A N/A 000000000 1.000000 NC USD -16914.040000 -0.0041258 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-03-18 0.000000 USD -45166.000000 USD 2200000.000000 USD 28251.960000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114GK0 1800000.000000 PA USD 883701.000000 0.2155565 Long DBT NUSS AR N 2 2038-12-31 Variable 3.75 N N N N N N N/A N/A 000000000 1.000000 NC 58846.150000 0.0143540 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2023-01-03 4618.590000 BRL 0.000000 BRL 34300000.000000 BRL 54227.560000 N N N N/A N/A 000000000 1.000000 NC -5549.120000 -0.0013536 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 -977.260000 BRL 7200000.000000 BRL -4571.860000 N N N N/A N/A 000000000 1.000000 NC 66271.980000 0.0161654 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 -268.210000 BRL 10200000.000000 BRL 66540.190000 N N N N/A 8WDDFXB5T1Z6J0XC1L66 000000000 1.000000 NC USD -86967.870000 -0.0212136 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 TARGET CORPORATION TARGET CORP SR UNSECURED**FULL CALL** Y Single Leg Swap 2023-06-21 0.000000 USD -75678.650000 USD 3000000.000000 USD -11289.220000 N N N N/A 254900N4SLUMW4XUYY11 000000000 1.000000 NC USD 9546.280000 0.0023286 N/A DCR US N 2 BNPParibas R0MUWSFPU8MPRO8K5P83 TENCENT HOLDINGS LIMITED TENCENT HOLDINGS LTD SR UNSEC REGS Y Single Leg Swap 2024-12-21 6666.050000 USD 0.000000 USD 600000.000000 USD 2880.230000 N N N N/A 254900N4SLUMW4XUYY11 000000000 1.000000 NC USD 4773.140000 0.0011643 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 TENCENT HOLDINGS LIMITED TENCENT HOLDINGS LTD SR UNSEC REGS Y Single Leg Swap 2024-12-21 2894.570000 USD 0.000000 USD 300000.000000 USD 1878.570000 N N N N/A N/A 000000000 1.000000 NC USD -60926.920000 -0.0148616 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 TOLL BROTHERS FINANCE CORP TOLL BROS FINANCE CORP Y Single Leg Swap 2024-06-21 4888.270000 USD 0.000000 USD 4300000.000000 USD -65815.190000 N N N N/A WD6L6041MNRW1JE49D58 000000000 1.000000 NC USD -135226.230000 -0.0329850 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 TYSON FOODS INC TYSON FOODS INC SRUNSEC Y Single Leg Swap 2024-06-21 0.000000 USD -128693.350000 USD 4400000.000000 USD -6532.880000 N N N N/A N/A 000000000 1.000000 NC -214547.550000 -0.0523334 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 12144000.000000 EUR 13413327.310000 USD 2020-01-10 -214547.550000 N N N N/A N/A 000000000 -400000.000000 NC USD -403.880000 -0.0000985 N/A DIR US N 2 Citigroup Inc 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% FEB 30YR N/A 100.700000 USD 2020-02-05 XXXX 752.370000 N N N N/A N/A 000000000 -700000.000000 NC USD -319.130000 -0.0000778 N/A DIR US N 2 Citigroup Inc 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% FEB 30YR N/A 99.810000 USD 2020-02-05 XXXX 719.930000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1HS2L5 1720000.000000 PA 23561.640000 0.0057473 Long DBT NUSS AR N 3 2020-04-03 Floating 41.4927 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -89.860000 -0.0000219 N/A DIR US N 2 Citigroup Inc 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% FEB 30YR N/A 99.800000 USD 2020-02-05 XXXX 191.390000 N N N AROUNDTOWN SA 529900H4DWG3KWMBMQ39 BJH8G7II2 3100000.000000 PA USD 3485035.500000 0.8500862 Long DBT CORP LU N 2 2029-03-21 Fixed 5.375 N N N N N N N/A 254900HROIFWPRGM1V77 000000000 274.000000 NC USD -302314.890000 -0.0737421 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-03-20 35187593.750000 USD -302314.890000 N N N N/A 254900HROIFWPRGM1V77 000000000 -333.000000 NC USD 67224.040000 0.0163976 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-03-31 -71761500.000000 USD 67224.040000 N N N ASSET BACKED FUNDING CERT 2004-FF1 N/A 04542BHM7 845486.120000 PA USD 829409.880000 0.2023136 Long ABS-MBS CORP US N 2 2034-03-25 Floating 2.842 Y N N N N N N/A 549300KP43CPCUJOOG15 000000000 34977.000000 NC USD 75900.090000 0.0185139 N/A DE US N 1 None N/A Call Purchased VISTRA ENERGY CORP VISTRA ENERGY CORP N/A 35.000000 USD 2024-02-02 XXXX -16089.420000 N N N ASSET BACKED FUNDING CERT 2007-WMC1 N/A 04545EAC7 425119.260000 PA USD 382749.280000 0.0933620 Long ABS-MBS CORP US N 2 2037-06-25 Floating 2.792 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RGL0 3700000.000000 PA USD 4024565.370000 0.9816909 Long DBT CORP US N 2 2028-02-15 Fixed 4.1 N N N N N N AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD) 635400CPI3EOIFF6OC33 70014LAB6 225000.000000 PA USD 247311.000000 0.0603253 Long DBT CORP KY N 2 2024-02-15 Fixed 5.5 N N N N N N AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD) 635400CPI3EOIFF6OC33 70014LAC4 1400000.000000 PA USD 1469881.000000 0.3585403 Long DBT CORP KY N 2 2023-03-15 Fixed 4.5 N N N N N N AWAS AVIATION CAPITAL DESIGNATED ACTIVITY COMPANY N/A 978WBNII8 1314493.720000 PA USD 1348545.690000 0.3289436 Long DBT CORP IE Y 3 2021-10-03 Fixed 4.87 N N N N N N AZEK COMPANY LLC (AKA: CPG INTERNATIONAL LLC) N/A 12626JAE7 1583971.090000 PA USD 1591890.950000 0.3883015 Long LON CORP US N 3 2024-05-05 Floating 5.9333 N N N N N N AZURE POWER ENERGY LTD 54930051LQDFHGQMHF47 05502JAA8 1100000.000000 PA USD 1124228.600000 0.2742271 Long DBT CORP MU N 2 2022-11-03 Fixed 5.5 N N N N N N BANC OF AMERICA ALTERNATIVE LOAN TRUST 2005-8 N/A 05948KK40 690329.170000 PA USD 855359.540000 0.2086433 Long ABS-MBS CORP US N 2 2035-09-25 Floating 12.9976 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-8 N/A 05953LAD1 204609.580000 PA USD 167116.590000 0.0407639 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 7 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-E N/A 05954DAR7 550231.900000 PA USD 494901.960000 0.1207188 Long ABS-MBS CORP US N 2 2047-09-20 Floating 3.98169 Y N N N N N BANCO BTG PACTUAL SA/CAYMAN ISLANDS BRANCH ZXLTQRYIK6IJH3R0IK66 05971AAE1 200000.000000 PA USD 203000.000000 0.0495167 Long DBT CORP BR N 2 2025-01-10 Fixed 4.5 N N N N N N BANCO BTG PACTUAL SA/CAYMAN ISLANDS BRANCH ZXLTQRYIK6IJH3R0IK66 05971BAD1 200000.000000 PA USD 209335.000000 0.0510620 Long DBT CORP BR N 2 2023-01-31 Fixed 5.5 N N N N N N BANCO DO BRASIL /CAYMAN BRANCH QE0Q0253K88YAGNPE356 05959LAG8 3300000.000000 PA USD 3478480.500000 0.8484873 Long DBT CORP BR N 2 2023-04-19 Fixed 4.875 N N N N N N BANCO DO BRASIL /CAYMAN BRANCH QE0Q0253K88YAGNPE356 P1R027AA2 2000000.000000 PA USD 2103520.000000 0.5131005 Long DBT CORP BR N 2 2024-03-20 Fixed 4.75 N N N N N N BANCO MERCANTIL DEL NORTE SA/ GRAND CAYMAN BRANCH 549300QTVYRPFHS0J362 05971PAB4 200000.000000 PA USD 213752.000000 0.0521394 Long DBT CORP MX N 2 2029-06-27 Floating 7.5 N N N N N N BANCO VOTORANTIM SA X2EUTZGMHS8RBQFIUS93 05967CAD5 300000.000000 PA USD 306003.000000 0.0746417 Long DBT CORP BR N 2 2022-09-24 Fixed 4 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 1300000.000000 PA USD 1461804.500000 0.3565702 Long DBT CORP GB N 2 2022-11-21 Fixed 7.625 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 1200000.000000 PA USD 1352492.720000 0.3299064 Long DBT CORP GB N 2 2029-05-16 Floating 4.972 N N N N N N BCAP LLC TRUST 2007-AA3 N/A 05530VAN9 251572.250000 PA USD 238439.200000 0.0581612 Long ABS-MBS CORP US N 2 2047-05-25 Floating 2.012 Y N N N N N BCAP LLC TRUST 2013-RR12 N/A 05490CAC3 13495.630000 PA USD 13387.230000 0.0032655 Long ABS-MBS CORP US N 2 2035-05-26 Floating 2.208 N N N N N N BEACON ROOFING SUPPLY INC 549300HDXQWWCBOYXP31 073685AD1 1600000.000000 PA USD 1611336.000000 0.3930446 Long DBT CORP US N 2 2025-11-01 Fixed 4.875 N N N N N N BEACON ROOFING SUPPLY INC 549300HDXQWWCBOYXP31 073685AF6 1500000.000000 PA USD 1546875.000000 0.3773210 Long DBT CORP US N 2 2026-11-15 Fixed 4.5 N N N N N N BEAR STEARNS ABS INC 2004-FR1 N/A 073879DG0 513734.230000 PA USD 512446.350000 0.1249983 Long ABS-MBS CORP US N 2 2034-07-25 Floating 3.592 N N N N N N BEAR STEARNS ALT-A TRUST 2007-2 N/A 073870AG2 463346.960000 PA USD 404931.370000 0.0987728 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.66723 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-AC9 N/A 0738794G0 406401.310000 PA USD 276132.620000 0.0673556 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.142 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE4 N/A 07388AAB0 565172.260000 PA USD 556600.690000 0.1357687 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.132 Y N N N N N BOMBARDIER INC W7L3VLU8EHQY34Z36697 097751BJ9 300000.000000 PA USD 300660.000000 0.0733384 Long DBT CORP CA N 2 2022-10-15 Fixed 6 N N N N N N BOMBARDIER INC W7L3VLU8EHQY34Z36697 097751BR1 1400000.000000 PA USD 1473801.000000 0.3594965 Long DBT CORP CA N 2 2024-12-01 Fixed 7.5 N N N N N N BRANDYWINE OPERATING PARTNERSHIP LP IXBXSCONLDQ1ZI73YU71 105340AP8 1400000.000000 PA USD 1522704.810000 0.3714253 Long DBT CORP US N 2 2029-10-01 Fixed 4.55 N N N N N N BRIXMOR OPERATING PARTNERSHIP LP 549300CJHBL7JBUA6503 11120VAE3 2200000.000000 PA USD 2307778.920000 0.5629243 Long DBT CORP US N 2 2027-03-15 Fixed 3.9 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAE1 2600000.000000 PA USD 2764615.330000 0.6743580 Long DBT CORP US N 2 2026-04-15 Fixed 4.25 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAD3 900000.000000 PA USD 935988.310000 0.2283107 Long DBT CORP US N 2 2024-10-15 Fixed 3.625 N N N N N N BROOKFIELD RETAIL HOLDINGS VII SUB 3 LLC N/A 11283HAB3 1777500.000000 PA USD 1768612.500000 0.4314083 Long LON CORP US N 2 2025-08-27 Floating 4.2994 N N N N N N CAESARS ENTERTAINMENT OPERATING COMPANY INC WT53GLWHTG4D2V42T650 12768PAB7 1301333.330000 PA USD 1311499.350000 0.3199071 Long LON CORP US N 2 2024-10-07 Floating 3.7994 N N N N N N CANTOR FITZGERALD LP 549300RLUEEVQEMX0450 138616AC1 1700000.000000 PA USD 1838872.000000 0.4485463 Long DBT CORP US N 2 2022-06-17 Fixed 6.5 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAS0 1000000.000000 PA USD 1055700.000000 0.2575113 Long DBT CORP US N 2 2029-12-15 Fixed 4.625 N N N N N N CENTURYLINK INC 8M3THTGWLTYZVE6BBY25 15670BAB8 598473.280000 PA USD 601632.020000 0.1467529 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 161175BK9 4800000.000000 PA USD 5115263.040000 1.2477390 Long DBT CORP US N 2 2028-03-15 Fixed 4.2 N N N N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAH5 122719.360000 PA USD 117585.410000 0.0286820 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.30455 Y N N N N N CHINA EVERGRANDE GROUP (AKA: EVERGRANDE REAL ESTATE GROUP) 549300CUF7B1LAB15T90 BYW5QBII8 800000.000000 PA USD 755400.000000 0.1842607 Long DBT CORP KY N 2 2021-06-28 Fixed 6.25 N N N N N N CHOBANI LLC 549300ISVDMZ91KNTR38 17026YAD1 1674131.600000 PA USD 1677061.330000 0.4090767 Long LON CORP US N 2 2023-10-10 Floating 5.2994 N N N N N N CHS/COMMUNITY HEALTH SYSTEMS INC 5493007X5NC5XI1BB106 12543DAY6 500000.000000 PA USD 508750.000000 0.1240967 Long DBT CORP US N 2 2023-03-31 Fixed 6.25 N N N N N N CHS/COMMUNITY HEALTH SYSTEMS INC 5493007X5NC5XI1BB106 12543DBB5 600000.000000 PA USD 637494.000000 0.1555005 Long DBT CORP US N 2 2024-01-15 Fixed 8.625 N N N N N N CIELO USA INC 6354005YFM1EGYUAUH47 17178VAA9 900000.000000 PA USD 902530.800000 0.2201496 Long DBT CORP US N 2 2022-11-16 Fixed 3.75 N N N N N N CITADEL SECURITIES LP 549300NV5RXBUS3X7L47 17288YAB8 595500.000000 PA USD 596244.380000 0.1454387 Long LON CORP US N 3 2026-02-27 Floating 5.2994 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 1324908.920000 PA USD 922127.200000 0.2249296 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.952 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2007-2 N/A 17310SAA5 67592.720000 PA USD 69965.520000 0.0170663 Long ABS-MBS CORP US N 2 2036-11-25 Fixed 6 N N N N N N CITY OF BUENOS AIRES 5299007MC8RF52X0ON96 ACI0SB547 1290000.000000 PA 17922.680000 0.0043718 Long DBT MUN AR N 2 2022-01-23 Floating 60.6835 N N N N N N CITYCENTER HOLDINGS LLC 54930012KUDSU3GT0X08 17875LAL3 2771573.600000 PA USD 2786905.950000 0.6797952 Long LON CORP US N 2 2024-04-18 Floating 4.0494 N N N N N N CLARIVATE (CAMELOT FINANCE SA) N/A L2000AAC4 100000.000000 PA USD 100729.200000 0.0245703 Long LON CORP US N 2 2026-10-31 Floating 5.0494 N N N N N N CLEARWAY ENERGY OPERATING LLC 549300Z3NFMM54NWBB87 62943WAE9 2200000.000000 PA USD 2277764.500000 0.5556030 Long DBT CORP US N 2 2026-09-15 Fixed 5 N N N N N N COMMSCOPE INC 549300Z6K4JXMFE8QY54 20337EAQ4 2593500.000000 PA USD 2613586.660000 0.6375183 Long LON CORP US N 2 2026-04-06 Floating 5.0494 N N N N N N CONSTELLATION OIL SERVICES HOLDING SA 5493005YJTU769NW5I10 74735PAB7 1242939.000000 PA USD 627684.200000 0.1531077 Long DBT CORP LU N 3 2024-11-09 Fixed 9.5 Y Y Y N N N CONSTELLATION OIL SERVICES HOLDING SA 5493005YJTU769NW5I10 L7877XAB5 377161.000000 PA USD 190466.310000 0.0464594 Long DBT CORP LU N 3 2024-11-09 Fixed 9.5 Y Y Y N N N CORE & MAIN HOLDINGS LP N/A 21871MAA1 300000.000000 PA USD 312874.500000 0.0763178 Long DBT CORP US N 2 2024-09-15 Fixed 8.625 N N Y N N N CORE & MAIN LP 549300ZSLF8Q660SCD17 40416VAB1 2493638.680000 PA USD 2494656.080000 0.6085082 Long LON CORP US N 2 2024-08-01 Floating 4.5283 N N N N N N CORNERSTONE BUILDING BRANDS 549300IW41QEWQ6T0H29 72431HAB6 6247056.620000 PA USD 6244401.620000 1.5231638 Long LON CORP US N 2 2025-04-12 Floating 5.4856 N N N N N N COTY INC 549300BO9IWPF3S48F93 22207EBG8 398987.340000 PA USD 391132.080000 0.0954068 Long LON CORP US N 2 2025-04-07 Floating 3.9601 N N N N N N COUNTRY GARDEN HOLDINGS COMPANY LIMITED 549300MGHLPT1EFHGF84 G24524AL7 3100000.000000 PA USD 3121487.870000 0.7614080 Long DBT CORP KY N 2 2020-03-09 Fixed 7.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-19CB N/A 12667GFZ1 492785.410000 PA USD 383112.070000 0.0934505 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.092 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-25T1 N/A 12667GRF2 153273.800000 PA USD 134368.720000 0.0327758 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.75 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-46CB N/A 12667G7D9 253742.640000 PA USD 216425.780000 0.0527916 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.092 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668AHA6 168784.660000 PA USD 169102.920000 0.0412484 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.102 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J2 N/A 12667F6H3 448938.320000 PA USD 383897.260000 0.0936420 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.192 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB N/A 02147QAD4 335523.450000 PA USD 292759.740000 0.0714113 Long ABS-MBS CORP US N 2 2036-08-25 Floating 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12 N/A 23243AAB2 253915.560000 PA USD 224056.460000 0.0546529 Long ABS-MBS CORP US N 2 2046-09-20 Floating 1.95463 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1 N/A 02150GAX6 839135.990000 PA USD 601979.630000 0.1468377 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 540170.280000 PA USD 512995.020000 0.1251322 Long ABS-MBS CORP US N 2 2046-09-25 Floating 1.982 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8 N/A 02147CAF0 181235.540000 PA USD 169840.660000 0.0414283 Long ABS-MBS CORP US N 2 2046-07-25 Floating 1.982 Y N N N N N COUNTRYWIDE HOME LOANS 2004-18 N/A 12669F4Z3 10068.580000 PA USD 10418.570000 0.0025413 Long ABS-MBS CORP US N 2 2034-10-25 Fixed 6 N N N N N N COUNTRYWIDE HOME LOANS 2007-9 N/A 12544XAX3 162512.970000 PA USD 134106.340000 0.0327118 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 5.75 Y N N N N N COUNTRYWIDE HOME LOANS 2007-HY5 N/A 12544BAC7 569817.190000 PA USD 547941.680000 0.1336565 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.87424 Y N N N N N CPI PROPERTY GROUP SA 222100CO2ZOTEPGJO223 BJT1PLII3 1500000.000000 PA USD 1580113.500000 0.3854287 Long DBT CORP LU N 2 2023-03-08 Fixed 4.75 N N N N N N CREDIT SUISSE AG/ ZURICH BRANCH ANGGYXNX0JLX3X63JN86 22546DAA4 900000.000000 PA USD 1005681.600000 0.2453106 Long DBT CORP CH N 2 2023-08-08 Fixed 6.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AL2 400000.000000 PA USD 432200.000000 0.1054243 Long DBT CORP CH N 2 2026-08-21 Floating 6.375 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-11R N/A 12646QAG2 6566769.200000 PA USD 5415640.830000 1.3210085 Long ABS-MBS CORP US N 2 2037-12-29 Floating 3.52433 N N N N N N CREDIT SUISSE MRTG CAPITAL CERT 2006-6 N/A 22942JAC7 562187.480000 PA USD 462632.680000 0.1128475 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 N N N N N N CREDIT SUISSE MRTG CAPITAL CERT 2006-6 N/A 22942JAH6 221260.270000 PA USD 182135.590000 0.0444274 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 N N N N N N CREDIT-BACKED ASSET SVC AND SEC 2006-RP2 N/A 1248M3AD5 122148.810000 PA USD 122402.780000 0.0298571 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.932 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VAN1 4300000.000000 PA USD 4357254.160000 1.0628419 Long DBT CORP US N 2 2029-11-15 Fixed 3.1 N N N N N N DEERE & COMPANY PWFTNG3EI0Y73OXWDH08 244199BF1 -1300000.000000 PA USD -1461352.060000 -0.3564599 Short DBT CORP US N 2 2042-06-09 Fixed 3.9 N N N N N N DELHI INTERNATIONAL AIRPORT LIMITED 335800HBF5DARYMEUD12 246724AA6 1900000.000000 PA USD 2041846.400000 0.4980568 Long DBT CORP IN N 2 2029-06-04 Fixed 6.45 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 25272KAK9 2650000.000000 PA USD 3050067.480000 0.7439868 Long DBT CORP US N 2 2026-06-15 Fixed 6.02 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-OA1 N/A 25151VAA3 2693589.910000 PA USD 2013873.540000 0.4912335 Long ABS-MBS CORP US N 2 2047-02-25 Floating 1.942 N N N N N N DEUTSCHE ALT-A SECURITIES LN TR 2007-1 N/A 25151YAJ8 608786.180000 PA USD 510772.150000 0.1245899 Long ABS-MBS CORP US N 2 2037-08-25 Floating 1.892 Y N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BX6 300000.000000 PA USD 308542.700000 0.0752612 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 2200000.000000 PA USD 2248379.670000 0.5484353 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N DIAMOND RESORTS INTERNATIONAL INC 5493008MIJR7VMQP7U77 25272YAE3 984962.390000 PA USD 964647.540000 0.2353014 Long LON CORP US N 2 2023-09-02 Floating 5.5494 N N N N N N DIAMOND SPORTS GROUP LLC N/A 25277BAB4 598500.000000 PA USD 598500.000000 0.1459889 Long LON CORP US N 2 2026-08-24 Floating 5.03 N N N N N N DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO N/A 25277LAC0 1800000.000000 PA USD 1753830.000000 0.4278025 Long DBT CORP US N 2 2027-08-15 Fixed 6.625 N N N N N N DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO N/A 25277LAA4 200000.000000 PA USD 202685.200000 0.0494399 Long DBT CORP US N 2 2026-08-15 Fixed 5.375 N N N N N N DIGITAL REALTY TRUST LP CD4SPTZ3YBTHY0C1AH38 25389JAU0 500000.000000 PA USD 520364.530000 0.1269298 Long DBT CORP US N 2 2029-07-01 Fixed 3.6 N N N N N N DRIVETIME AUTOMOTIVE GROUP INC / BRIDGECREST ACCEPTANCE CORP N/A 26209NAK9 925000.000000 PA USD 941765.630000 0.2297199 Long DBT CORP US N 2 2021-06-01 Fixed 8 N N N N N N ELDORADO INTL FINANCE GMBH 2549002HQE45WFK9EY03 A18007AA1 1200000.000000 PA USD 1255992.000000 0.3063675 Long DBT CORP AT N 2 2021-06-16 Fixed 8.625 N N N N N N EMBRAER OVERSEAS LTD N/A G30376AB6 200000.000000 PA USD 220085.000000 0.0536842 Long DBT CORP KY N 2 2023-09-16 Fixed 5.696 N N N N N N EMERALD BAY SA 2221008SU8XG8LZVS860 ACI0YB9V6 194000.000000 PA 212985.380000 0.0519524 Long DBT CORP LU N 2 2020-10-08 None 0 N N N N N N EMPRESA ELECTRICA COCHRANE SPA 5493000S11JF8TJHYT07 29246XAB6 200000.000000 PA USD 209250.000000 0.0510412 Long DBT CORP CL N 2 2027-05-14 Fixed 5.5 N N N N N N ENVISION HEALTHCARE CORPORATION 549300OL60X0LPKY8N60 29373UAC5 1386497.480000 PA USD 1187766.640000 0.2897256 Long LON CORP US N 2 2025-10-10 Floating 5.5494 N N N N N N EPR PROPERTIES 549300YSSXFHMPOWZ492 26884UAF6 4475000.000000 PA USD 4535726.150000 1.1063756 Long DBT CORP US N 2 2029-08-15 Fixed 3.75 N N N N N N ERIE TOBACCO ASSET SECURITIZATION CORP N/A 295095BF9 195000.000000 PA USD 195117.000000 0.0475939 Long DBT MUN US N 2 2028-06-01 Fixed 6 N N N N N N EXPEDIA GROUP INC N/A 30212PAP0 2200000.000000 PA USD 2243811.680000 0.5473211 Long DBT CORP US N 2 2028-02-15 Fixed 3.8 N N N N N N FIRST HORIZON ALT MTG SEC 2005-AA6 N/A 32051GQA6 162640.860000 PA USD 148967.420000 0.0363368 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.83566 Y N N N N N FIRST HORIZON ALT MTG SEC 2006-FA2 N/A 32051G2Z7 10226.840000 PA USD 7730.690000 0.0018857 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 6 Y N N N N N FLAGSTAR BANCORP INC 549300Q22V2Y3J4R2715 337930AC5 1000000.000000 PA USD 1044547.080000 0.2547908 Long DBT CORP US N 2 2021-07-15 Fixed 6.125 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397XA6 1200000.000000 PA USD 1208768.350000 0.2948485 Long DBT CORP US N 2 2022-01-09 Fixed 3.219 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540XAB9 1600000.000000 PA USD 1623813.380000 0.3960882 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FORTRESS TRANSPORTATION AND INFRASTRUCTURE INVESTORS LLC 529900E7PUVK6BC8PE80 34960PAA9 1775000.000000 PA USD 1853597.000000 0.4521381 Long DBT CORP US N 2 2022-03-15 Fixed 6.75 N N N N N N FORTRESS TRANSPORTATION AND INFRASTRUCTURE INVESTORS LLC 529900E7PUVK6BC8PE80 34960PAB7 300000.000000 PA USD 317524.500000 0.0774521 Long DBT CORP US N 2 2025-10-01 Fixed 6.5 N N N N N N FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1 N/A 35563CAH1 382110.500000 PA USD 229919.530000 0.0560831 Long ABS-MBS USGSE US N 3 2055-11-25 Floating 16.5967 N N N N N N FREEDOM MORTGAGE CORPORATION 549300LYRWPSYPK6S325 35640YAA5 1095000.000000 PA USD 1079051.330000 0.2632073 Long DBT CORP US N 2 2024-11-15 Fixed 8.125 N N N N N N GAZPROM OAO VIA GPN CAPITAL SA 54930038HWNV6ZAAFY05 ACI079GD3 2000000.000000 PA USD 2236044.000000 0.5454264 Long DBT CORP LU N 2 2023-11-27 Fixed 6 N N N N N N GENESEE & WYOMING INC G617XSG94Z7G0RMW3L02 938BZFII4 100000.000000 PA USD 101093.800000 0.0246593 Long LON CORP US N 2 2026-11-06 Floating 3.77425 N N N N N N GENWORTH HOLDINGS INC PXDECZED7L8SRUP41R09 37247DAN6 1800000.000000 PA USD 1859220.000000 0.4535097 Long DBT CORP US N 2 2021-02-15 Fixed 7.2 N N N N N N GLOBALWORTH REAL ESTATE INVESTMENTS LIMITED 213800R3E823B1UBIA81 BD9MPVII0 1400000.000000 PA 1691909.130000 0.4126984 Long DBT CORP GG N 2 2025-03-29 Fixed 3 N N N N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AP4 3500000.000000 PA USD 3580578.750000 0.8733916 Long DBT CORP US N 2 2030-01-15 Fixed 4 N N N N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AJ8 1200000.000000 PA USD 1320108.000000 0.3220069 Long DBT CORP US N 2 2025-06-01 Fixed 5.25 N N N N N N GMR HYDERABAD INTERNATIONAL AIRPORT LIMITED 335800NSPGIN89SVOU83 Y3004WAA0 1900000.000000 PA USD 1802810.840000 0.4397501 Long DBT CORP IN N 2 2027-10-27 Fixed 4.25 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 6323984.410000 PA USD 62563177.740000 15.2607042 Long STIV RF US N 1 N N N GOEASY LTD 5493009DJVZG2P8YV435 380355AD9 200000.000000 PA USD 204083.000000 0.0497809 Long DBT CORP CA N 2 2024-12-01 Fixed 5.375 N N N N N N GREENKO SOLAR (MAURITIUS) LIMITED 2138007S1PL541B3KP92 39530VAB4 1400000.000000 PA USD 1415158.070000 0.3451920 Long DBT CORP MU N 2 2026-07-29 Fixed 5.95 N N N N N N GROWTHPOINT PROPERTIES INTERNATIONAL (PTY) LTD 378900C761245FC57265 933BNHII8 1884000.000000 PA USD 2025458.260000 0.4940593 Long DBT CORP ZA N 2 2023-05-02 Fixed 5.872 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAC5 525405.730000 PA USD 306195.640000 0.0746887 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.912 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAE8 472794.400000 PA USD 296675.460000 0.0723665 Long ABS-MBS CORP US N 2 2046-12-25 Floating 2.022 N N N N N N HILTON DOMESTIC OPERATING COMPANY INC 5493003EG7H0N1E4XV50 432833AF8 3000000.000000 PA USD 3185182.500000 0.7769447 Long DBT CORP US N 2 2030-01-15 Fixed 4.875 N N N N N N HSI ASSET SECURI CORP TRUS 2005-I1 N/A 40430HCN6 1460355.970000 PA USD 1442494.360000 0.3518600 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.182 N N N N N N HUDSON PACIFIC PROPERTIES LP 5493007NTUGLGZ8T3526 44409MAB2 2500000.000000 PA USD 2750839.850000 0.6709978 Long DBT CORP US N 2 2029-04-01 Fixed 4.65 N N N N N N IMPAC SECURED ASSETS CORP 2006-3 N/A 45255RAC1 799125.420000 PA USD 761382.170000 0.1857199 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.942 N N N N N N INDYMAC IMJA MORTGAGE LN TR 2007-A3 N/A 456669AA8 330282.390000 PA USD 241455.750000 0.0588970 Long ABS-MBS CORP US N 2 2037-11-25 Fixed 6.25 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR23 N/A 45660LF95 410973.380000 PA USD 391019.550000 0.0953793 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.67251 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2007-AR5 N/A 45669EAE6 193562.110000 PA USD 172225.510000 0.0420101 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.00149 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2007-FLX1 N/A 45668WAC1 383574.190000 PA USD 282789.340000 0.0689793 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.042 N N N N N N INTELSAT JACKSON HOLDINGS SA 8XJ8KF85PBKK1TLMFN29 45824TAP0 100000.000000 PA USD 86112.500000 0.0210050 Long DBT CORP LU N 2 2023-08-01 Fixed 5.5 N N N N N N INTELSAT JACKSON HOLDINGS SA 8XJ8KF85PBKK1TLMFN29 L5137LAF2 5600000.000000 PA USD 5618200.000000 1.3704177 Long LON CORP LU N 2 2023-11-27 Floating 5.682 N N N N N N INTRUM AB 549300UNCO2FCUWXX470 ACI1DK9L9 1300000.000000 PA 1495941.130000 0.3648970 Long DBT CORP SE N 2 2026-07-15 Fixed 3.5 N N N N N N IRIDIUM SATELLITE LLC 254900615BJ7139TFM33 46269KAJ3 2300000.000000 PA USD 2333062.500000 0.5690916 Long LON CORP US N 2 2026-11-04 Floating 5.5494 N N N N N N JEFFERIES FINANCE LLC 549300SKVB18YSSIDT75 47232UAB0 99749.370000 PA USD 99645.430000 0.0243060 Long LON CORP US N 2 2026-06-03 Floating 5.5 N N N N N N JEFFERIES FINANCE LLC / JFIN CO-ISSUER CORP N/A 47232MAE2 2700000.000000 PA USD 2834655.750000 0.6914425 Long DBT CORP US N 2 2026-06-03 Fixed 6.25 N N N N N N JEFFERIES FINANCE LLC / JFIN CO-ISSUER CORP N/A 47232MAD4 700000.000000 PA USD 723040.500000 0.1763674 Long DBT CORP US N 2 2024-08-15 Fixed 7.25 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A6 N/A 466285AP8 118696.670000 PA USD 119206.540000 0.0290774 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.58359 Y N N N N N KANTAR GROUP (SUMMER BC HOLDCO B SARL) 984500NRF59D5DB9B654 ACI1GDSS6 1600000.000000 PA 1876379.690000 0.4576953 Long DBT CORP LU N 2 2026-10-31 Fixed 5.75 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAP7 2235000.000000 PA USD 2203838.780000 0.5375707 Long DBT CORP US N 2 2030-02-15 Fixed 3.05 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AH0 200000.000000 PA USD 202510.210000 0.0493972 Long DBT CORP US N 2 2025-06-25 Fixed 2.9 N N N N N N LIFE STORAGE LP X0MIGH67XZCB7HL1A534 53227JAB0 400000.000000 PA USD 428291.580000 0.1044709 Long DBT CORP US N 2 2029-06-15 Fixed 4 N N N N N N LONG BEACH MORTGAGE LOAN TRUST 2003-3 N/A 542514EB6 94450.630000 PA USD 102045.060000 0.0248913 Long ABS-MBS CORP US N 2 2033-07-25 Floating 4.567 N N N N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 BJBQCWII7 1700000.000000 NS 2431341.870000 0.5930643 Long EP CORP NL N 2 N N N MANITOWOC COMPANY INC 2RTSLGQ89VMY18RHX631 563571AL2 1200000.000000 PA USD 1259847.000000 0.3073078 Long DBT CORP US N 2 2026-04-01 Fixed 9 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-15 N/A 576433VS2 312441.280000 PA USD 320133.870000 0.0780886 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.00379 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC2 N/A 55275BAC1 622349.720000 PA USD 320999.900000 0.0782998 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.902 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC2 N/A 55275BAD9 1408408.680000 PA USD 732766.730000 0.1787399 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.942 N N N N N N MATTEL INC 549300VELLG24KHTJ564 577081BD3 100000.000000 PA USD 105560.000000 0.0257487 Long DBT CORP US N 2 2027-12-15 Fixed 5.875 N N N N N N MELCO RESORTS FINANCE LIMITED N/A 58547DAB5 400000.000000 PA USD 413844.040000 0.1009468 Long DBT CORP KY N 2 2026-04-26 Fixed 5.25 N N N N N N MELCO RESORTS FINANCE LIMITED N/A 58547DAC3 800000.000000 PA USD 834657.240000 0.2035935 Long DBT CORP KY N 2 2027-07-17 Fixed 5.625 N N N N N N MELCO RESORTS FINANCE LIMITED N/A 58547DAD1 600000.000000 PA USD 616832.660000 0.1504607 Long DBT CORP KY N 2 2029-12-04 Fixed 5.375 N N N N N N MELCO RESORTS FINANCE LIMITED N/A G5975LAA4 760000.000000 PA USD 782035.180000 0.1907577 Long DBT CORP KY N 2 2025-06-06 Fixed 4.875 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAD6 2232098.030000 PA USD 902290.580000 0.2200910 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.902 N N N N N N MGM CHINA HOLDINGS LIMITED 529900VZFN87OS7WJM66 55300RAA9 1100000.000000 PA USD 1146293.500000 0.2796093 Long DBT CORP KY N 2 2024-05-15 Fixed 5.375 N N N N N N MGM CHINA HOLDINGS LIMITED 529900VZFN87OS7WJM66 55300RAB7 2500000.000000 PA USD 2654685.000000 0.6475432 Long DBT CORP KY N 2 2026-05-15 Fixed 5.875 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAF2 876130.970000 PA USD 489362.080000 0.1193675 Long ABS-MBS CORP US N 2 2036-09-25 Floating 2.022 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC4 N/A 61748LAD4 232226.840000 PA USD 200737.070000 0.0489647 Long ABS-MBS CORP US N 2 2036-06-25 Floating 1.942 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC5 N/A 61749BAE3 2134846.100000 PA USD 1376561.570000 0.3357774 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.942 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAP5 4157974.120000 PA USD 2168170.620000 0.5288704 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.922 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE3 N/A 617538AC7 121487.930000 PA USD 74432.750000 0.0181560 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.942 N N N N N N MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS N/A 61752JAA8 1329023.010000 PA USD 740480.320000 0.1806214 Long ABS-MBS CORP US N 2 2046-09-25 Variable 5.965 Y N N N N N MORGAN STANLEY MTGE LN TRUST 2007-15AR N/A 61756XAG0 420324.570000 PA USD 372577.670000 0.0908809 Long ABS-MBS CORP US N 2 2037-11-25 Floating 3.57755 N N N N N N MPT OPERATING PARTNERSHIP LP/MPT FINANCE CORP N/A 55342UAJ3 1100000.000000 PA USD 1135062.500000 0.2768698 Long DBT CORP US N 2 2029-08-01 Fixed 4.625 N N N N N N MPT OPERATING PARTNERSHIP LP/MPT FINANCE CORP N/A ACI1H1MY4 100000.000000 PA 134977.250000 0.0329243 Long DBT CORP US N 2 2023-12-05 Fixed 2.55 N N N N N N MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC) 5493002WXOPRPTXWTU06 55328HAE1 4100000.000000 PA USD 4055584.700000 0.9892573 Long LON CORP US N 2 2023-06-07 Floating 4.6946 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 78442FEJ3 200000.000000 PA USD 202407.000000 0.0493721 Long DBT CORP US N 2 2020-03-25 Fixed 8 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAV8 600000.000000 PA USD 610485.000000 0.1489124 Long DBT CORP US N 2 2030-06-15 Fixed 4.875 N N N N N N NEW CENTURY HOME EQUITY LOAN TRUST 2003-2 N/A 64352VCS8 102487.960000 PA USD 92969.260000 0.0226775 Long ABS-MBS CORP US N 2 2033-01-25 Floating 4.792 Y N N N N N NOURYON (STARFRUIT FINCO BV) 549300GD4NJGLPVYB245 N8232NAC1 200000.000000 PA 226676.940000 0.0552921 Long LON CORP NL N 2 2025-10-01 Floating 3.75 N N N N N N NOURYON (STARFRUIT US HOLDCO LLC) 549300K7VB5G6LULFT41 N8232NAB3 290896.310000 PA USD 291621.810000 0.0711338 Long LON CORP NL N 2 2025-10-01 Floating 4.9601 N N N N N N NOVATEK OAO VIA NOVATEK FINANCE DAC 6354001IO93L9MOJXG98 66989PAC4 1300000.000000 PA USD 1365780.000000 0.3331475 Long DBT CORP IE N 2 2022-12-13 Fixed 4.422 N N N N N N NOVATEK OAO VIA NOVATEK FINANCE DAC 6354001IO93L9MOJXG98 B929K0II8 2100000.000000 PA USD 2206260.000000 0.5381613 Long DBT CORP IE N 2 2022-12-13 Fixed 4.422 N N N N N N NXP BV / NXP FUNDING LLC / NXP USA INC N/A 62954HAA6 2700000.000000 PA USD 2865021.380000 0.6988495 Long DBT CORP NL N 2 2026-06-18 Fixed 3.875 N N N N N N ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED 549300L7LF2PIRAWID66 G6711KAC9 2961496.190000 PA USD 2917103.360000 0.7115536 Long DBT CORP KY N 2 2022-12-01 Fixed 6.72 N N N N N N OI SA (AKA: BRASIL TELECOM S/A) 254900YEMWCRRAGD4978 P7354PAA2 1100000.000000 PA USD 987706.500000 0.2409260 Long DBT CORP BR Y 2 2025-07-27 Fixed 10 N N Y N N N ORTHO-CLINICAL DIAGNOSTICS SA 222100N2EDW8BU5UUT55 L7300KAJ3 4210909.090000 PA USD 4168800.000000 1.0168733 Long LON CORP LU N 2 2025-06-30 Floating 5.3064 N N N N N N OXFORD FINANCE LLC / OXFORD FINANCE CO-ISSUER II INC N/A 69145LAA2 875000.000000 PA USD 902616.750000 0.2201705 Long DBT CORP US N 2 2022-12-15 Fixed 6.375 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 69431EBK8 2350000.000000 PA USD 2358753.750000 0.5753583 Long LON CORP US N 3 2020-12-31 Floating 3.97 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 69431EBL6 783000.000000 PA USD 785916.680000 0.1917045 Long LON CORP US N 3 2020-12-31 Floating 2.25 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 1900000.000000 NS USD 2108430.000000 0.5142981 Long EP CORP US N 2 N N N PAREXEL INTERNATIONAL CORPORATION 549300GCZVUYB6P2OA17 69946EAT8 3622523.940000 PA USD 3556865.690000 0.8676074 Long LON CORP US N 2 2024-09-27 Floating 4.5494 N N N N N N PEOPLE'S FINANCE REALTY MTGE SEC 2006-1 N/A 71103XAS3 3985570.160000 PA USD 1557115.630000 0.3798190 Long ABS-MBS CORP US N 2 2036-09-25 Floating 1.932 N N N N N N PGT INNOVATIONS INC 549300LRW9WM59C1S579 69344BAA3 1900000.000000 PA USD 2040785.250000 0.4977979 Long DBT CORP US N 2 2026-08-01 Fixed 6.75 N N N N N N PHYSICIANS REALTY LP 549300P6Q1UMT0X60U20 71951QAA0 1700000.000000 PA USD 1817135.590000 0.4432442 Long DBT CORP US N 2 2027-03-15 Fixed 4.3 N N N N N N PINNACOL ASSURANCE 549300D37RE2C54DGD62 000000000 3000000.000000 PA USD 3210736.650000 0.7831780 Long DBT CORP US Y 3 2034-06-25 Fixed 8.625 N N N N N N QVC INC 549300WBLU5NKPX5X472 747262AS2 800000.000000 PA USD 838249.180000 0.2044697 Long DBT CORP US N 2 2024-04-01 Fixed 4.85 N N N N N N REGIONAL CARE CAPELLA (REGIONALCARE HOSPITAL PARTNERS HOLDINGS INC) N/A 75915QAC2 1025000.000000 PA USD 1084578.130000 0.2645554 Long DBT CORP US N 2 2023-05-01 Fixed 8.25 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-2 N/A 75970QAJ9 2098613.560000 PA USD 912097.330000 0.2224831 Long ABS-MBS CORP US N 2 2037-06-25 Variable 5.879 Y N N N N N RENEW POWER SYNTHETIC N/A Y7275HAA6 1400000.000000 PA USD 1456295.390000 0.3552264 Long DBT CORP IN N 2 2024-03-12 Fixed 6.67 N N N N N N RESIDENTIAL ACCREDIT LOANS 2004-QA6 N/A 76110HG94 379325.050000 PA USD 261514.120000 0.0637898 Long ABS-MBS CORP US N 2 2034-12-26 Floating 5.00561 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QA7 N/A 76110H7D5 41969.650000 PA USD 40048.340000 0.0097688 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.4465 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS12 N/A 761118DV7 783921.210000 PA USD 665370.450000 0.1623003 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.142 Y N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QA10 N/A 761118GE2 20418.060000 PA USD 17813.810000 0.0043452 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.08406 Y N N N N N RESIDENTIAL ASSET MGTE PROD INC 2005-EFC7 N/A 76112BR85 1442385.320000 PA USD 1274608.790000 0.3109086 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.252 N N N N N N RESIDENTIAL ASSET SEC CORP 2004-KS7 N/A 76110WB54 339447.340000 PA USD 314970.400000 0.0768291 Long ABS-MBS CORP US N 2 2034-08-25 Floating 2.672 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2006-S10 N/A 74958DAD0 27405.500000 PA USD 25947.360000 0.0063292 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6 Y N N N N N RIO OIL FINANCE TRUST SERIES 2014-1 549300V5D1W52HY8NO65 76716XAA0 922870.540000 PA USD 1036314.400000 0.2527827 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 288397.060000 PA USD 323848.270000 0.0789946 Long DBT CORP US N 2 2024-07-06 Variable 9.25 N N N N N N RIO OIL FINANCE TRUST SERIES 2018-1 N/A 76716XAC6 804000.000000 PA USD 930917.430000 0.2270738 Long DBT CORP US N 2 2028-04-06 Fixed 8.2 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 78009PEH0 1000000.000000 PA USD 1149755.110000 0.2804537 Long DBT CORP GB N 2 2030-01-27 Floating 5.076 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BK6 1400000.000000 PA USD 1487089.520000 0.3627379 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 780097BG5 2100000.000000 PA USD 2374432.390000 0.5791827 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N RUSSIAN GOVT 5493004EHVGF71PDBU58 ACI1BL160 184700000.000000 PA 3284118.560000 0.8010776 Long DBT NUSS RU N 2 2030-04-10 Fixed 7.65 N N N N N N RUSSIAN GOVT 5493004EHVGF71PDBU58 ACI0KSLJ7 44000000.000000 PA 837886.780000 0.2043813 Long DBT NUSS RU N 2 2031-09-17 Fixed 8.5 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAF2 2700000.000000 PA USD 2970688.500000 0.7246243 Long DBT CORP KY N 2 2025-08-08 Fixed 5.125 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 2000000.000000 PA USD 2260055.000000 0.5512832 Long DBT CORP KY N 2 2028-08-08 Fixed 5.4 N N N N N N SAPPI PAPIER HOLDING GMBH 549300XBCUMUR5CI0181 ACI19LQQ2 478000.000000 PA 535502.360000 0.1306223 Long DBT CORP AT N 2 2026-04-15 Fixed 3.125 N N N N N N SAPPI PAPIER HOLDING GMBH 549300XBCUMUR5CI0181 ACI19LJ72 800000.000000 PA 896238.270000 0.2186146 Long DBT CORP AT N 2 2026-04-15 Fixed 3.125 N N N N N N SBERBANK OF RUSSIA VIA SB CAPITAL SA N/A L8084MAB6 2200000.000000 PA USD 2356772.000000 0.5748749 Long DBT CORP LU N 2 2022-02-07 Fixed 6.125 N N N N N N SBERBANK OF RUSSIA VIA SB CAPITAL SA N/A ACI060JC2 200000.000000 PA USD 214653.800000 0.0523594 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 400000.000000 PA USD 424191.200000 0.1034707 Long DBT CORP LU N 2 2022-10-29 Fixed 5.125 N N N N N N SBL HOLDINGS LLC N/A 78432MAA3 100000.000000 PA USD 100603.230000 0.0245396 Long DBT CORP US N 2 2026-11-13 Fixed 5.125 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAE8 500000.000000 PA USD 531423.750000 0.1296274 Long DBT CORP DE N 2 2027-05-15 Fixed 6 N N Y N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 ACI1C5ZK6 500000.000000 PA 588991.190000 0.1436695 Long DBT CORP DE N 2 2025-05-15 Fixed 3.625 N N Y N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 ACI1C6196 200000.000000 PA 238080.820000 0.0580738 Long DBT CORP DE N 2 2027-05-15 Fixed 3.875 N N Y N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AC8 992558.070000 PA USD 629664.150000 0.1535906 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.042 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-FR2 N/A 81376VAC1 1538909.600000 PA USD 1086279.970000 0.2649705 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.042 N N N N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 44106MAZ5 100000.000000 PA USD 102743.370000 0.0250616 Long DBT CORP US N 2 2024-10-01 Fixed 4.35 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-FRE1 N/A 81879MAV1 1268552.340000 PA USD 836272.710000 0.2039876 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.972 N N N N N N SHRIRAM TRANSPORT FINANCE COMPANY LIMITED 335800TM2YO24B76XL26 Y7758EEC1 1700000.000000 PA USD 1747302.700000 0.4262103 Long DBT CORP IN N 2 2022-10-24 Fixed 5.95 N N N N N N SOTERA HEALTH HOLDINGS LLC 549300OVT7MBXFLOFU20 83600VAD3 1895769.820000 PA USD 1904458.130000 0.4645444 Long LON CORP US N 2 2026-12-11 Floating 6.289 N N N N N N ACE SECURITIES CORP 2006-SD2 N/A 00442MAB3 863581.720000 PA USD 622078.240000 0.1517402 Long ABS-MBS CORP US N 2 2045-12-25 Floating 2.342 Y N N N N N SOUTH AFRICA GOVT N/A 836205BA1 2300000.000000 PA USD 2305750.000000 0.5624294 Long DBT NUSS ZA N 2 2029-09-30 Fixed 4.85 N N N N N N ADANI PORTS AND SPECIAL ECONOMIC ZONE 335800QOAXP5TM7OYP69 00652MAF9 600000.000000 PA USD 603972.920000 0.1473239 Long DBT CORP IN N 2 2024-07-24 Fixed 3.375 N N N N N N SPIRIT REALTY LP 549300GTBVIBJRX5BW73 84861TAD0 2300000.000000 PA USD 2421785.390000 0.5907333 Long DBT CORP US N 2 2029-07-15 Fixed 4 N N N N N N SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP) 5493008I795YYBFWFU90 85172FAJ8 1000000.000000 PA USD 1051500.000000 0.2564868 Long DBT CORP US N 2 2020-12-15 Fixed 8.25 N N N N N N SPRINT CORP (SPRINT COMMUNICATIONS INC) 549300JKU50UT08ZWD77 85208EAD2 1188000.000000 PA USD 1186500.740000 0.2894168 Long LON CORP US N 2 2024-02-02 Floating 4.8125 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAH8 100000.000000 PA USD 108083.500000 0.0263642 Long DBT CORP US N 2 2024-06-15 Fixed 7.125 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAE5 2372000.000000 PA USD 2512707.040000 0.6129113 Long DBT CORP US N 2 2021-09-15 Fixed 7.25 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAF2 200000.000000 PA USD 221083.000000 0.0539276 Long DBT CORP US N 2 2023-09-15 Fixed 7.875 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AD9 3200000.000000 PA USD 3287432.000000 0.8018859 Long DBT CORP US N 2 2028-01-15 Fixed 4.75 N N N N N N STEARNS HOLDINGS LLC 549300B7MV13XJXKBZ36 858ESCAA4 4185000.000000 PA USD 0.040000 0.0000000 Long DBT CORP US N 3 2020-08-15 Fixed 0 Y Y N N N N STEARNS HOLDINGS LLC / STEARNS CO-ISSUER INC N/A 85801HAA2 108677.000000 PA USD 72813.590000 0.0177610 Long DBT CORP US N 2 2024-11-05 Fixed 5 Y Y N N N N STORE CAPITAL CORPORATION 5493004EA6C9IHDZ7N66 862121AB6 2700000.000000 PA USD 2995695.710000 0.7307242 Long DBT CORP US N 2 2029-03-15 Fixed 4.625 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC2 N/A 86358EAN6 35363.350000 PA USD 35641.950000 0.0086940 Long ABS-MBS CORP US N 2 2033-04-25 Floating 3.172 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPS9 1023554.770000 PA USD 914372.900000 0.2230381 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.917 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPT7 1102402.850000 PA USD 579642.980000 0.1413892 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.367 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPU4 733710.250000 PA USD 127461.320000 0.0310910 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.517 Y N N N N N STUDIO CITY FINANCE LIMITED 254900D6R731QAUIG324 86389QAB8 200000.000000 PA USD 211917.000000 0.0516918 Long DBT CORP VG N 2 2024-02-11 Fixed 7.25 N N N N N N SUNAC CHINA HOLDINGS LIMITED 549300OLARYHDXP3WK18 BFZ4S2II7 900000.000000 PA USD 919575.000000 0.2243071 Long DBT CORP KY N 2 2020-07-27 Fixed 8.625 N N N N N N TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP N/A 87612BBP6 300000.000000 PA USD 308625.000000 0.0752813 Long DBT CORP US N 2 2030-03-01 Fixed 5.5 N N N N N N TARGET CORPORATION 8WDDFXB5T1Z6J0XC1L66 87612EBG0 -1100000.000000 PA USD -1262689.450000 -0.3080011 Short DBT CORP US N 2 2047-11-15 Fixed 3.9 N N N N N N TIMES CHINA HOLDINGS LTD (AKA: TIMES PROPERTY HOLDINGS LTD) 2549000KTINB9ZPZP710 ACI1D6KV5 800000.000000 PA USD 818952.290000 0.1997627 Long DBT CORP KY N 2 2023-07-16 Fixed 6.75 N N N N N N TRANSOCEAN GUARDIAN LIMITED N/A 893800AA0 2581000.000000 PA USD 2645499.190000 0.6453026 Long DBT CORP KY N 2 2024-01-15 Fixed 5.875 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 1675000.000000 PA USD 1809000.000000 0.4412598 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UKRAINE GOVT 6354001WLTJXOMEXPY07 X5S005UF6 300000.000000 PA USD 318094.200000 0.0775910 Long DBT NUSS UA N 2 2021-09-01 Fixed 7.75 N N N N N N UMBS PASS THRU POOLS N/A 01F030629 3800000.000000 PA USD 3849271.260000 0.9389323 Long ABS-MBS USGSE US N 2 2050-02-12 Fixed 3 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 ACI19LDR4 1000000.000000 PA 1314541.490000 0.3206491 Long DBT CORP IT N 2 2026-06-03 Floating 7.5 N N N N N N UNIGEL LUXEMBOURG SA N/A 904752AB8 600000.000000 PA USD 612673.500000 0.1494462 Long DBT CORP LU N 2 2026-10-01 Fixed 8.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796WS4 270000.000000 PA USD 269555.250000 0.0657512 Long DBT UST US N 2 2020-02-11 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128287D6 4728529.000000 PA USD 4776144.720000 1.1650197 Long DBT UST US N 2 2029-07-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828W71 40000.000000 PA USD 40715.740000 0.0099316 Long DBT UST US N 2 2024-03-31 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SJ8 967000.000000 PA USD 937251.790000 0.2286189 Long DBT UST US N 2 2049-08-15 Fixed 2.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YS3 76000.000000 PA USD 74803.580000 0.0182464 Long DBT UST US N 2 2029-11-15 Fixed 1.75 N N N N N N UNIVISION COMMUNICATIONS INC 549300YQDE2JSGTL8V47 914908AX6 300000.000000 PA USD 296732.100000 0.0723803 Long LON CORP US N 2 2024-03-15 Floating 4.5494 N N N N N N UNIVISION COMMUNICATIONS INC 549300YQDE2JSGTL8V47 914906AS1 2825000.000000 PA USD 2800281.250000 0.6830578 Long DBT CORP US N 2 2025-02-15 Fixed 5.125 N N N N N N USI INC/NY N/A 90351NAF2 500000.000000 PA USD 502500.000000 0.1225722 Long LON CORP US N 3 2026-12-02 Floating 5.7994 N N N N N N USI INC/NY N/A 90351NAE5 2573670.980000 PA USD 2576566.360000 0.6284882 Long LON CORP US N 2 2024-05-16 Floating 4.9446 N N N N N N VANKE REAL ESTATE (HONG KONG) COMPANY LIMITED 25490078APAXS5NZGF08 ACI12V309 1900000.000000 PA USD 1912833.340000 0.4665873 Long DBT CORP HK N 2 2023-05-25 Floating 3.4595 N N N N N N VEREIT OPERATING PARTNERSHIP LP 5493005TQOUJE1LCS698 92340LAC3 1800000.000000 PA USD 1892281.270000 0.4615741 Long DBT CORP US N 2 2027-08-15 Fixed 3.95 N N N N N N VFH PARENT LLC 549300FRO9M476YHHY64 91820UAQ3 2355485.230000 PA USD 2367557.090000 0.5775056 Long LON CORP US N 2 2026-03-01 Floating 5.1971 N N N N N N VIRGIN MEDIA SECURED FINANCE PLC 213800X3RLP4NOTPY579 ACI1BWKH1 1300000.000000 PA 1865789.160000 0.4551121 Long DBT CORP GB N 2 2029-05-15 Fixed 5.25 N N N N N N VIRGIN MEDIA SECURED FINANCE PLC 213800X3RLP4NOTPY579 ACI1BWMH9 1200000.000000 PA 1722266.920000 0.4201034 Long DBT CORP GB N 2 2029-05-15 Fixed 5.25 N N N N N N WALMART INC (AKA WAL-MART STORES INC) Y87794H0US1R65VBXU25 931142EC3 -1000000.000000 PA USD -1183080.900000 -0.2885826 Short DBT CORP US N 2 2048-06-29 Fixed 4.05 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAA1 175038.370000 PA USD 167781.170000 0.0409260 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.33676 Y N N N N N WASHINGTON MUTUAL 2007-OA6 N/A 92927BAC6 99746.620000 PA USD 84662.140000 0.0206512 Long ABS-MBS CORP US N 2 2047-07-25 Floating 2.377 Y N N N N N WESTERN DIGITAL CORPORATION 549300QQXOOYEF89IC56 958102AM7 2100000.000000 PA USD 2193187.500000 0.5349726 Long DBT CORP US N 2 2026-02-15 Fixed 4.75 N N N N N N ALTICE FINANCING SA 549300DIYGW8HVDF7Q17 963FXBII4 3430000.000000 PA USD 3419281.250000 0.8340471 Long LON CORP LU N 2 2026-01-31 Floating 4.5146 N N N N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166BR4 2100000.000000 PA USD 2909906.060000 0.7097980 Long DBT CORP US N 2 2032-03-15 Fixed 7.375 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936UAF6 300000.000000 PA USD 316783.060000 0.0772712 Long DBT CORP US N 2 2029-07-15 Fixed 3.85 N N N N N N WYNDHAM DESTINATIONS INC (AKA: WYNDHAM WORLDWIDE CORP) T4VNTWMFQ7JQB65L7T35 98310WAQ1 400000.000000 PA USD 401750.000000 0.0979967 Long DBT CORP US N 2 2030-03-01 Fixed 4.625 N N N N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 98313RAE6 1800000.000000 PA USD 1841418.000000 0.4491673 Long DBT CORP KY N 2 2029-12-15 Fixed 5.125 N N N N N N XPO LOGISTICS INC 54930096DB9LCLPN7H13 98379EAE6 700000.000000 PA USD 703791.900000 0.1716722 Long LON CORP US N 2 2025-02-24 Floating 3.7994 N N N N N N ALTICE FRANCE SA (AKA: SFR GROUP SA) 5493001ZMCICV4N02J21 F6628DAL8 2058000.000000 PA USD 2064420.960000 0.5035633 Long LON CORP FR N 2 2026-01-31 Floating 5.4273 N N N N N N N/A N/A 000000000 -759600.000000 PA -851043.070000 -0.2075904 Short RA LU N 2 Reverse repurchase N -0.9500000 2021-11-17 800000.000000 EUR 799000.000000 EUR N N N N/A N/A 000000000 1471000.000000 PA USD 1471000.000000 0.3588132 Long RA US N 2 Repurchase N 1.4000000 2020-01-09 1300000.000000 USD 1465524.180000 USD CDS N N N N/A N/A 000000000 1209000.000000 PA USD 1209000.000000 0.2949050 Long RA US N 2 Repurchase N 1.4000000 2020-01-09 1000000.000000 USD 1187022.130000 USD CDS N N N N/A N/A 000000000 1276000.000000 PA USD 1276000.000000 0.3112479 Long RA US N 2 Repurchase N 1.4000000 2020-01-09 1100000.000000 USD 1266863.220000 USD CDS N N N N/A 5493008H3828EMEXB082 000000000 1.000000 NC -98462.180000 -0.0240174 N/A DCR BE N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ANHEUSER-BUSCH INBEV SA/NV ANHEUSER-BUSCH INBEV NV Y Single Leg Swap 2023-12-21 0.000000 EUR -68524.090000 EUR 3300000.000000 EUR -29938.090000 N N N N/A N/A 000000000 1.000000 NC USD 831.890000 0.0002029 N/A DFE HK N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 177986.930000 USD 1394242.850000 HKD 2020-03-18 831.890000 N N N N/A 213800J6B7JSBDETCB42 000000000 -24.000000 NC 43515.180000 0.0106144 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Short N/A AUSTRALIA GOVT 2020-03-16 -2407700.840000 AUD 43515.180000 N N N N/A GA3JGKJ41LJKXDN23E90 000000000 1.000000 NC USD -138840.660000 -0.0338667 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 AUTOZONE INC AUTOZONE INC Y Single Leg Swap 2024-06-21 0.000000 USD -118242.570000 USD 4400000.000000 USD -20598.090000 N N N N/A 254900AL64IANZYI1E02 000000000 1.000000 NC USD 1065.010000 0.0002598 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 BAIDU INC BAIDU INC Y Single Leg Swap 2024-12-21 0.000000 USD -382.050000 USD 200000.000000 USD 1447.060000 N N N N/A 254900AL64IANZYI1E02 000000000 1.000000 NC USD 1065.010000 0.0002598 N/A DCR US N 2 Nomura Global Financial Products Inc. 0Z3VO5H2G7GRS05BHJ91 BAIDU INC BAIDU INC Y Single Leg Swap 2024-12-21 0.000000 USD -47.450000 USD 200000.000000 USD 1112.460000 N N N N/A N/A 000000000 1.000000 NC USD 4420.020000 0.0010782 N/A DFE MX N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 235284.410000 USD 4614986.000000 MXN 2020-05-05 4420.020000 N N N N/A N/A 000000000 1.000000 NC -4499.510000 -0.0010975 N/A DFE MX N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 4614986.000000 MXN 238685.600000 USD 2020-01-28 -4499.510000 N N N N/A N/A 000000000 1.000000 NC USD 20261.040000 0.0049422 N/A DFE MX N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 381166.120000 USD 7617986.000000 MXN 2020-01-28 20261.040000 N N N N/A N/A 000000000 1.000000 NC -4222.140000 -0.0010299 N/A DFE JP N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 73679118.000000 JPY 674000.000000 USD 2020-01-10 -4222.140000 N N N N/A N/A 000000000 1.000000 NC USD 3425.040000 0.0008355 N/A DFE N/A N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 212035.430000 USD 192000.000000 EUR 2020-01-10 3425.040000 N N N N/A N/A 000000000 1.000000 NC USD -15521.210000 -0.0037860 N/A DFE TR N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 834616.460000 USD 4897600.160000 TRY 2020-01-22 -15521.210000 N N N N/A N/A 000000000 1.000000 NC -3473.240000 -0.0008472 N/A DFE BR N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 968239.400000 BRL 237000.000000 USD 2020-02-04 -3473.240000 N N N N/A W7L3VLU8EHQY34Z36697 000000000 1.000000 NC USD 23230.180000 0.0056664 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BOMBARDIER INC BOMBARDIER INC SR UNSEC REGS Y Single Leg Swap 2024-12-21 0.000000 USD -12000.000000 USD 400000.000000 USD 35230.180000 N N N AMERICAN HOME MTGE INV TRUST 2005-4 N/A 02660TGW7 54084.210000 PA USD 39426.010000 0.0096170 Long ABS-MBS CORP US N 2 2045-11-25 Floating 3.65688 Y N N N N N AMERICAN HOMES 4 RENT LP 549300N4PXZ37U8QKI55 02666TAB3 2100000.000000 PA USD 2351063.650000 0.5734825 Long DBT CORP US N 2 2029-02-15 Fixed 4.9 N N N N N N N/A N/A 000000000 1.000000 NC USD 13814.420000 0.0033697 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CDX.NA.HY.29 N/A N/A Y Single Leg Swap 2022-12-21 13875.000000 USD 0.000000 USD 100000.000000 USD -60.580000 N N N N/A N/A 000000000 1.000000 NC USD 16992.200000 0.0041448 N/A DCR US N 2 BNPParibas R0MUWSFPU8MPRO8K5P83 CDX.NA.HY.31 N/A N/A Y Single Leg Swap 2023-12-21 11650.000000 USD 0.000000 USD 100000.000000 USD 5342.200000 N N N N/A N/A 000000000 1.000000 NC USD 33984.390000 0.0082896 N/A DCR US N 2 Citibank International Limited 31OGKFG0Y1795OV0AK56 CDX.NA.HY.31 N/A N/A Y Single Leg Swap 2023-12-21 20700.000000 USD 0.000000 USD 200000.000000 USD 13284.390000 N N N N/A N/A 000000000 1.000000 NC USD 67968.800000 0.0165793 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CDX.NA.HY.31 N/A N/A Y Single Leg Swap 2023-12-21 47560.000000 USD 0.000000 USD 400000.000000 USD 20408.800000 N N N N/A N/A 000000000 1.000000 NC USD 152929.770000 0.0373033 N/A DCR US N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 CDX.NA.HY.31 N/A N/A Y Single Leg Swap 2023-12-21 111970.000000 USD 0.000000 USD 900000.000000 USD 40959.770000 N N N N/A N/A 000000000 1.000000 NC USD 16992.200000 0.0041448 N/A DCR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 CDX.NA.HY.31 N/A N/A Y Single Leg Swap 2023-12-21 11880.000000 USD 0.000000 USD 100000.000000 USD 5112.200000 N N N N/A N/A 000000000 -1900000.000000 NC USD -1.330000 -0.0000003 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US SWOP CDX IG32 (V1 ONLY) 5Y SP N/A N/A Single Leg Swap 2024-06-20 0.000000 USD 0.000000 USD N/A USD N/A 2.900000 USD 2020-06-17 XXXX 1708.670000 N N N N/A N/A 000000000 -1000000.000000 NC USD -161.820000 -0.0000395 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 538.180000 N N N N/A N/A 000000000 -100000.000000 NC USD -100.220000 -0.0000244 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 0.680000 USD 2020-05-20 XXXX 8.780000 N N N N/A N/A 000000000 -700000.000000 NC USD -1139.870000 -0.0002780 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 -1000000.000000 NC USD -1628.390000 -0.0003972 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 -1178.390000 N N N N/A N/A 000000000 -900000.000000 NC USD -11.030000 -0.0000027 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 1170.220000 N N N N/A N/A 000000000 -2200000.000000 NC USD -3.280000 -0.0000008 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 1.200000 USD 2020-01-15 XXXX 1096.720000 N N N N/A N/A 000000000 -900000.000000 NC USD -11.030000 -0.0000027 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 1170.220000 N N N N/A N/A 000000000 -700000.000000 NC USD -87.690000 -0.0000214 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 -2400000.000000 NC USD -134.780000 -0.0000329 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 0.630000 USD 2020-01-15 XXXX 1665.220000 N N N N/A N/A 000000000 -2400000.000000 NC USD -3071.040000 -0.0007491 N/A DCR US N 2 Credit Suisse Securities (USA) LLC 1V8Y6QCX6YMJ2OELII46 Call 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 0.480000 USD 2020-01-15 XXXX -2279.040000 N N N N/A N/A 000000000 -1400000.000000 NC USD -2279.750000 -0.0005561 N/A DCR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call 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 0.480000 USD 2020-02-19 XXXX -1411.750000 N N N N/A N/A 000000000 -1400000.000000 NC USD -375.970000 -0.0000917 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 0.630000 USD 2020-02-19 XXXX 1024.030000 N N N N/A N/A 000000000 -1000000.000000 NC USD -12.260000 -0.0000030 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 1097.740000 N N N N/A N/A 000000000 -1500000.000000 NC USD -7.590000 -0.0000019 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 1267.410000 N N N N/A N/A 000000000 1.000000 NC USD -189313.020000 -0.0461781 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 -167042.700000 USD 7200000.000000 USD -22270.320000 N N N N/A N/A 000000000 1.000000 NC USD 44918.140000 0.0109566 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 851273.270000 USD 2950725968.000000 COP 2020-02-14 44918.140000 N N N N/A N/A 000000000 1.000000 NC USD 3727.330000 0.0009092 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 346395.940000 USD 312000.000000 EUR 2020-01-10 3727.330000 N N N N/A N/A 000000000 1.000000 NC USD -7813.480000 -0.0019059 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 12925301.650000 USD 1403300000.000000 JPY 2020-01-10 -7813.480000 N N N N/A N/A 000000000 1.000000 NC USD 47595.580000 0.0116097 N/A DFE PE N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2074667.040000 USD 7047643.950000 PEN 2020-03-11 47595.580000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAX8 200000.000000 PA USD 199873.160000 0.0487540 Long DBT CORP US N 2 2027-01-15 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC -127308.480000 -0.0310537 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 5445000.000000 GBP 7086607.610000 USD 2020-01-10 -127308.480000 N N N N/A N/A 000000000 1.000000 NC -51016.250000 -0.0124441 N/A DFE PE N 2 Citibank NA E57ODZWZ7FF32TWEFA76 7123793.400000 PEN 2095603.170000 USD 2020-02-21 -51016.250000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAW0 4200000.000000 PA USD 4492893.930000 1.0959278 Long DBT CORP US N 2 2029-08-15 Fixed 3.8 N N N N N N N/A N/A 000000000 1.000000 NC USD 36258.160000 0.0088443 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 DISH DBS CORPORATION DISH DBS CORP COMPANY GUARNT Y Single Leg Swap 2022-12-21 22969.780000 USD 0.000000 USD 400000.000000 USD 13288.380000 N N N N/A 3C7474T6CDKPR9K6YT90 000000000 1.000000 NC USD 40317.100000 0.0098343 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO Y Single Leg Swap 2024-06-21 0.000000 USD -60525.010000 USD 3900000.000000 USD 100842.110000 N N N N/A 3C7474T6CDKPR9K6YT90 000000000 1.000000 NC USD 14167.380000 0.0034558 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO Y Single Leg Swap 2024-12-21 0.000000 USD -32347.000000 USD 2000000.000000 USD 46514.380000 N N N N/A 529900AQBND3S6YJLY83 000000000 -8.000000 NC 26373.770000 0.0064332 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2020-03-06 -1529909.010000 EUR 26373.770000 N N N N/A N/A 000000000 1.000000 NC USD 34077.000000 0.0083122 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1325917.620000 USD 18928800000.000000 IDR 2020-03-18 34077.000000 N N N N/A N/A 000000000 1.000000 NC USD 1331.100000 0.0003247 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 138467.120000 USD 2659000.000000 MXN 2020-02-12 1331.100000 N N N N/A N/A 000000000 1.000000 NC USD 96.000000 0.0000234 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 26000.000000 USD 86491.600000 PEN 2020-01-15 96.000000 N N N N/A N/A 000000000 1.000000 NC -69515.750000 -0.0169566 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 128288900.000000 RUB 1987527.160000 USD 2020-02-18 -69515.750000 N N N ANCESTRYCOM OPERATIONS INC N/A 03280FAK7 1890500.000000 PA USD 1863324.060000 0.4545108 Long LON CORP US N 2 2026-08-27 Floating 6.05 N N N N N N N/A N/A 000000000 1.000000 NC USD 91584.430000 0.0223397 N/A DFE GB N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 3482914.300000 USD 2698000.000000 GBP 2020-01-10 91584.430000 N N N ANCESTRYCOM OPERATIONS INC N/A 03280FAH4 199497.620000 PA USD 197003.900000 0.0480541 Long LON CORP US N 2 2023-10-19 Floating 5.55 N N N N N N N/A N/A 000000000 1.000000 NC USD 3588.310000 0.0008753 N/A DFE MX N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 148780.490000 USD 2928000.000000 MXN 2020-04-22 3588.310000 N N N ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC N/A 03522AAJ9 900000.000000 PA USD 1066021.550000 0.2600290 Long DBT CORP US N 2 2046-02-01 Fixed 4.9 N N N N N N N/A N/A 000000000 1.000000 NC -5296.210000 -0.0012919 N/A DFE MX N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 3003000.000000 MXN 152945.850000 USD 2020-01-28 -5296.210000 N N N N/A 549300M6T6OW4AGYHK10 000000000 1.000000 NC USD -3619.240000 -0.0008828 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 HUARONG FINANCE 2019 CO LTD HUARONG FINANCE 2019 Y Single Leg Swap 2024-12-21 0.000000 USD -4006.010000 USD 200000.000000 USD 386.770000 N N N N/A N/A 000000000 1.000000 NC USD -291239.670000 -0.0710405 N/A DCR US N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-03-20 4653.110000 USD 0.000000 USD 11100000.000000 USD -295892.780000 N N N N/A VGRQXHF3J8VDLUA7XE92 000000000 1.000000 NC USD -104750.060000 -0.0255511 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 INTERNATIONAL BUSINESS MACHINES CORPORATION IBM CORP Y Single Leg Swap 2023-12-21 0.000000 USD -46008.500000 USD 4000000.000000 USD -58741.560000 N N N N/A 815600DE60799F5A9309 000000000 4.000000 NC -7317.790000 -0.0017850 N/A DIR DE N 1 Eurex N/A Long N/A ITALY GOVT 2020-03-06 639189.500000 EUR -7317.790000 N N N N/A 815600DE60799F5A9309 000000000 1.000000 NC USD 5973.720000 0.0014571 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2024-12-21 1700.350000 USD 0.000000 USD 600000.000000 USD 4273.370000 N N N N/A 815600DE60799F5A9309 000000000 1.000000 NC USD 14934.310000 0.0036428 N/A DCR US N 2 Credit Suisse International DL6FFRRLF74S01HE2M14 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2024-12-21 3538.610000 USD 0.000000 USD 1500000.000000 USD 11395.700000 N N N N/A N/A 000000000 -2000000.000000 NC -0.180000 0.0000000 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 SWOP CDX ITRAXX MAIN31 (V2 ONLY) 5Y SP N/A N/A Single Leg Swap 2024-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 3.000000 EUR 2020-06-17 XXXX 2020.140000 N N N N/A N/A 000000000 1.000000 NC -132912.420000 -0.0324206 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 -130147.350000 EUR 4200000.000000 EUR -2765.070000 N N N N/A N/A 000000000 -500000.000000 NC -74.400000 -0.0000181 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 368.540000 N N N N/A N/A 000000000 -500000.000000 NC -38.400000 -0.0000094 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 567.090000 N N N N/A N/A 000000000 -700000.000000 NC -53.750000 -0.0000131 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 -1000000.000000 NC -102.380000 -0.0000250 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 1421.590000 N N N N/A N/A 000000000 -500000.000000 NC -333.380000 -0.0000813 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 -139.590000 N N N N/A N/A 000000000 -500000.000000 NC -96.010000 -0.0000234 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 -3600000.000000 NC -3075.560000 -0.0007502 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 -1039.670000 N N N N/A N/A 000000000 -500000.000000 NC -96.010000 -0.0000234 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 -0.0000187 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 -900000.000000 NC -1377.340000 -0.0003360 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 -900000.000000 NC -172.800000 -0.0000422 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 962.380000 N N N N/A N/A 000000000 -500000.000000 NC -765.190000 -0.0001866 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 -375.180000 N N N N/A N/A 000000000 -400000.000000 NC -10.860000 -0.0000026 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 2020-01-15 XXXX 535.140000 N N N N/A N/A 000000000 -400000.000000 NC -612.150000 -0.0001493 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 -324.190000 N N N N/A N/A 000000000 -500000.000000 NC -765.190000 -0.0001866 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 -0.0001866 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 -1200000.000000 NC -1025.190000 -0.0002501 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 -284.030000 N N N N/A N/A 000000000 -600000.000000 NC -805.280000 -0.0001964 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 -0.0000834 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 -500000.000000 NC -1117.740000 -0.0002726 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 -787.470000 N N N N/A N/A 000000000 -1200000.000000 NC -354.290000 -0.0000864 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 979.790000 N N N N/A N/A 000000000 -800000.000000 NC -153.610000 -0.0000375 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 657.010000 N N N N/A N/A 000000000 -800000.000000 NC -1553.080000 -0.0003788 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 -1115.320000 N N N N/A N/A 000000000 -400000.000000 NC -776.540000 -0.0001894 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 2020-01-15 XXXX -540.670000 N N N N/A N/A 000000000 -400000.000000 NC -894.190000 -0.0002181 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 -674.960000 N N N N/A N/A 000000000 -500000.000000 NC -96.010000 -0.0000234 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 472.280000 N N N N/A N/A 000000000 -800000.000000 NC -1224.290000 -0.0002986 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 -534.000000 N N N N/A N/A 000000000 -3600000.000000 NC -1062.880000 -0.0002593 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 3207.420000 N N N N/A N/A 000000000 -800000.000000 NC -21.700000 -0.0000053 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 1160.250000 N N N N/A N/A 000000000 -400000.000000 NC -118.090000 -0.0000288 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 -157778.600000 -0.0384861 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 -132096.570000 EUR 5000000.000000 EUR -25682.030000 N N N N/A 549300XQ6S1GYKGBL205 000000000 1.000000 NC USD -156893.110000 -0.0382701 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 JOHNSON CONTROLS INTERNATIONAL PLC (AKA: TYCO INTERNATIONAL) JOHNSON CONTROLS INTL PL SR UNSEC Y Single Leg Swap 2024-12-21 0.000000 USD -153273.420000 USD 4200000.000000 USD -3619.690000 N N N N/A 549300JF6LPRTRJ0FH50 000000000 1.000000 NC USD -15704.560000 -0.0038307 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 KOHLS CORPORATION KOHL'S CORPORATION SR UNSEC Y Single Leg Swap 2023-12-21 55497.530000 USD 0.000000 USD 2000000.000000 USD -71202.090000 N N N N/A GR3KVMWVCR54YWQNXU90 000000000 1.000000 NC USD 76429.990000 0.0186432 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 L BRANDS INC L BRANDS INC SR UNSEC Y Single Leg Swap 2023-12-21 162559.240000 USD 0.000000 USD 2100000.000000 USD -86129.250000 N N N N/A WAFCR4OKGSC504WU3E95 000000000 1.000000 NC USD -61669.890000 -0.0150428 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 LOWES COMPANIES INC LOWE'S COMPANIES INC Y Single Leg Swap 2023-12-21 0.000000 USD -45967.120000 USD 1900000.000000 USD -15702.770000 N N N N/A 549300JMONK27O4SQQ19 000000000 1.000000 NC USD 11016.240000 0.0026871 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 MACYS RETAIL HOLDINGS INC MACYS RETAIL HLDGS INCCO Y Single Leg Swap 2023-12-21 90069.220000 USD 0.000000 USD 2100000.000000 USD -79052.980000 N N N N/A UE2136O97NLB5BYP9H04 000000000 1.000000 NC USD -76591.720000 -0.0186826 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 MCDONALDS CORPORATION MCDONALD'S CORP SR UNSEC Y Single Leg Swap 2024-06-21 0.000000 USD -79489.010000 USD 2200000.000000 USD 2897.290000 N N N N/A C4BXATY60WC6XEOZDX54 000000000 1.000000 NC USD 4890.210000 0.0011928 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 METLIFE INC METLIFE INC SR UNSEC Y Single Leg Swap 2024-12-21 3369.440000 USD 0.000000 USD 200000.000000 USD 1520.770000 N N N N/A 254900EGTWEU67VP6075 000000000 1.000000 NC USD -98637.590000 -0.0240601 N/A DCR US N 2 Citibank International Limited 31OGKFG0Y1795OV0AK56 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2023-12-21 63704.350000 USD 0.000000 USD 5700000.000000 USD -162341.940000 N N N 2020-02-10 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer XXXX