NPORT-P false 0000810893 XXXXXXXX S000010253 C000028347 C000031248 C000031251 C000064162 C000200457 C000031249 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO StocksPLUS Small Fund S000010253 LP81JMWRLFYV1VGLZ622 2020-03-31 2019-12-31 N 2725134960.330000 996543581.350000 1728591378.980000 0.000000 0.000000 69163372.730000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 USD CAD ARS GBP JPY EUR N N/A N/A 000000000 1.000000 NC -114470.070000 -0.0066222 N/A DFE CA N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 6300000.000000 CAD 4737244.590000 USD 2020-01-06 -114470.070000 N N N N/A N/A 000000000 1.000000 NC -185312.490000 -0.0107204 N/A DFE CA N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 10200000.000000 CAD 7669663.100000 USD 2020-01-03 -185312.490000 N N N N/A N/A 000000000 1.000000 NC -160983.600000 -0.0093130 N/A DFE CA N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 17373000.000000 CAD 13218563.970000 USD 2020-01-10 -160983.600000 N N N N/A N/A 000000000 1.000000 NC -93417.500000 -0.0054043 N/A DFE CN N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 19756681.400000 CNY 2739835.720000 USD 2020-03-18 -93417.500000 N N N N/A X57JK1U580XATGR67572 000000000 1.000000 NC 19808.300000 0.0011459 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ROLLS-ROYCE PLC ROLLS-ROYCE PLC CO GTD Y Single Leg Swap 2024-06-21 22911.750000 EUR 0.000000 EUR 3400000.000000 EUR -3103.450000 N N N N/A N/A 000000000 4159.000000 NC USD 5704106.010000 0.3299858 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long RUSSELL 2000 INDEX N/A N/A 2020-03-20 347401270.000000 USD 5704106.010000 N N N N/A N/A 000000000 1.000000 NC USD 32927326.120000 1.9048646 N/A DE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 RUSSELL 2000 INDEX N/A N/A Y 2020-11-18 0.000000 USD 0.000000 USD 402336318.450000 USD 32927326.120000 N N N N/A N/A 000000000 1.000000 NC USD 27559984.890000 1.5943609 N/A DE US N 2 UBS AG London 549300MOMNGW0OI5CD23 RUSSELL 2000 INDEX N/A N/A Y 2020-10-22 0.000000 USD 0.000000 USD 406984912.580000 USD 27559984.890000 N N N N/A N/A 000000000 1.000000 NC USD 1425671.780000 0.0824759 N/A DE US N 2 Bank of America, N.A. 9DJT3UXIJIZJI4WXO774 RUSSELL 2000 INDEX N/A N/A Y 2020-03-18 0.000000 USD 0.000000 USD 124123814.280000 USD 1425671.780000 N N N N/A N/A 000000000 1.000000 NC USD 5426241.970000 0.3139112 N/A DE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 RUSSELL 2000 INDEX N/A N/A Y 2020-05-13 0.000000 USD 0.000000 USD 119946558.790000 USD 5426241.970000 N N N N/A N/A 000000000 1.000000 NC USD 22818939.500000 1.3200887 N/A DE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 RUSSELL 2000 INDEX N/A N/A Y 2020-07-15 0.000000 USD 0.000000 USD 240231270.450000 USD 22818939.500000 N N N N/A N/A 000000000 1.000000 NC USD 24080.270000 0.0013931 N/A DFE CN N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 2640127.310000 USD 18588872.400000 CNY 2020-03-18 24080.270000 N N N N/A N/A 000000000 1.000000 NC -18196.840000 -0.0010527 N/A DFE IN N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 563737512.000000 INR 7836000.000000 USD 2020-03-18 -18196.840000 N N N N/A N/A 000000000 1.000000 NC USD 573539.790000 0.0331796 N/A DFE BR N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 11538200.330000 USD 48721896.990000 BRL 2020-01-03 573539.790000 N N N N/A N/A 000000000 1.000000 NC USD 109177.250000 0.0063160 N/A DFE BR N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 11991458.880000 USD 48721896.990000 BRL 2020-02-04 109177.250000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 933XZP908 2880000.000000 PA 30772.600000 0.0017802 Long DBT NUSS AR N 2 2020-02-26 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -105358.410000 -0.0060950 N/A DFE BR N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 48721896.980000 BRL 12006381.710000 USD 2020-01-03 -105358.410000 N N N N/A N/A 000000000 34400000.000000 NC USD 1417.280000 0.0000820 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Put Purchased Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 3.37000 03/31/20-30Y CME N/A N/A 2050-03-31 0.000000 USD 0.000000 USD N/A USD N/A 3.370000 USD 2020-03-27 XXXX -1381472.720000 N N N N/A N/A 000000000 261100000.000000 NC USD 731497.760000 0.0423176 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Purchased Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.03600 07/21/21-3Y LCH N/A N/A 2024-07-21 0.000000 USD 0.000000 USD N/A USD N/A 1.040000 USD 2021-07-19 XXXX -228044.740000 N N N N/A N/A 000000000 -83600000.000000 NC USD -991169.960000 -0.0573397 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.45300 07/21/21-10Y LCH N/A N/A 2031-07-21 0.000000 USD 0.000000 USD N/A USD N/A 1.450000 USD 2021-07-19 XXXX -56548.080000 N N N N/A N/A 000000000 572600000.000000 NC USD 1605570.400000 0.0928832 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Purchased Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.02300 08/04/21-3Y LCH N/A N/A 2024-08-04 0.000000 USD 0.000000 USD N/A USD N/A 1.020000 USD 2021-08-02 XXXX -646396.040000 N N N N/A N/A 000000000 -183200000.000000 NC USD -2378888.640000 -0.1376201 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 1.49440 08/04/21-10Y LCH N/A N/A 2031-08-04 0.000000 USD 0.000000 USD N/A USD N/A 1.490000 USD 2021-08-02 XXXX -127392.490000 N N N N/A N/A 000000000 157800000.000000 NC USD 3176829.600000 0.1837814 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Purchased Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.05000 03/15/21-5Y CME N/A N/A 2026-03-15 0.000000 USD 0.000000 USD N/A USD N/A 2.050000 USD 2021-03-11 XXXX 1914429.600000 N N N N/A N/A 000000000 -83300000.000000 NC USD -3660493.550000 -0.2117616 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.32250 03/15/21-10Y CME N/A N/A 2031-03-15 0.000000 USD 0.000000 USD N/A USD N/A 2.320000 USD 2021-03-11 XXXX -2398372.340000 N N N N/A N/A 000000000 163200000.000000 NC USD 2199103.680000 0.1272194 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Purchased Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.80000 03/16/21-5Y CME N/A N/A 2026-03-16 0.000000 USD 0.000000 USD N/A USD N/A 1.800000 USD 2021-03-12 XXXX 1241684.960000 N N N N/A N/A 000000000 -86200000.000000 NC USD -2664804.040000 -0.1541604 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.09400 03/16/21-10Y CME N/A N/A 2031-03-16 0.000000 USD 0.000000 USD N/A USD N/A 2.090000 USD 2021-03-12 XXXX -1706848.860000 N N N N/A N/A 000000000 530600000.000000 NC 649156.280000 0.0375541 N/A DIR DE N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Call Purchased Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R -0.35000 11/03/21-2Y LCH 2023-11-03 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.350000 EUR 2021-11-01 XXXX -657125.270000 N N N N/A N/A 000000000 -70600000.000000 NC -538521.550000 -0.0311538 N/A DIR 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 DIR N/A IRS EUR R -0.16400 11/03/21-10Y LCH 2031-11-03 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.160000 EUR 2021-11-01 XXXX 360364.390000 N N N N/A N/A 000000000 -34400000.000000 NC -289904.070000 -0.0167711 N/A DIR 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 DIR N/A IRS EUR R -0.12200 11/03/21-10Y LCH 2031-11-03 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.120000 EUR 2021-11-01 XXXX 118856.790000 N N N N/A N/A 000000000 63800000.000000 NC USD 35938.540000 0.0020791 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Put Purchased Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.10900 03/31/20-7Y* LCH N/A N/A 2026-11-15 0.000000 USD 0.000000 USD N/A USD N/A 2.110000 USD 2020-02-21 XXXX -123987.930000 N N N N/A N/A 000000000 54200000.000000 NC USD 32655.500000 0.0018891 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Put Purchased Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.10100 03/31/20-7Y* LCH N/A N/A 2026-11-15 0.000000 USD 0.000000 USD N/A USD N/A 2.100000 USD 2020-02-21 XXXX -48861.880000 N N N N/A N/A 000000000 74000000.000000 NC USD 73563.400000 0.0042557 N/A DIR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Purchased Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.04000 03/31/20-7Y* LCH N/A N/A 2026-11-15 0.000000 USD 0.000000 USD N/A USD N/A 2.040000 USD 2020-02-21 XXXX -73729.590000 N N N N/A N/A 000000000 1.000000 NC 74608.480000 0.0043161 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2020-01-15 0.000000 EUR -11157.270000 EUR 5200000.000000 EUR 85765.750000 N N N N/A N/A 000000000 1.000000 NC -206681.800000 -0.0119567 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2033-03-15 0.000000 EUR -3296.940000 EUR 2450000.000000 EUR -203384.860000 N N N N/A N/A 000000000 1.000000 NC 506185.310000 0.0292831 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2048-03-15 6996.560000 EUR 0.000000 EUR 2450000.000000 EUR 499188.750000 N N N N/A N/A 000000000 1.000000 NC 44077.020000 0.0025499 N/A DIR N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2020-03-30 0.000000 EUR -2938.110000 EUR 24100000.000000 EUR 47015.130000 N N N N/A N/A 000000000 1.000000 NC 633572.920000 0.0366526 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-09-15 0.000000 GBP -2578.780000 GBP 22600000.000000 GBP 636151.700000 N N N N/A N/A 000000000 1.000000 NC 177972.070000 0.0102958 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 0.000000 GBP 0.000000 GBP 3800000.000000 GBP 177972.070000 N N N N/A N/A 000000000 1.000000 NC 619110.590000 0.0358159 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 154910.760000 GBP 0.000000 GBP 13100000.000000 GBP 464199.830000 N N N N/A N/A 000000000 1.000000 NC 179904.630000 0.0104076 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 0.000000 GBP 0.000000 GBP 3700000.000000 GBP 179904.630000 N N N N/A N/A 000000000 1.000000 NC USD 313328.320000 0.0181262 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2024-06-19 0.000000 USD 0.000000 USD 33700000.000000 USD 313328.320000 N N N N/A N/A 000000000 1.000000 NC -2082153.710000 -0.1204538 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2024-12-18 0.000000 CAD -625058.930000 CAD 160100000.000000 CAD -1457094.780000 N N N N/A N/A 000000000 1.000000 NC -21384.050000 -0.0012371 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2049-12-20 39973.290000 CAD 0.000000 CAD 1900000.000000 CAD -61357.340000 N N N N/A N/A 000000000 1.000000 NC 261765.310000 0.0151433 N/A DIR CA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 0.000000 CAD -83008.390000 CAD 3200000.000000 CAD 344773.700000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 3688000.000000 PA 32708.300000 0.0018922 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 842557.030000 0.0487424 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 0.000000 CAD -126063.440000 CAD 10300000.000000 CAD 968620.470000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0VSDQ8 77654000.000000 PA 718448.980000 0.0415627 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 -809784.430000 -0.0468465 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2028-06-19 0.000000 JPY -1214320.840000 JPY 3510000000.000000 JPY 404536.410000 N N N N/A N/A 000000000 1.000000 NC USD 121739.870000 0.0070427 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-06-21 296638.760000 USD 0.000000 USD 5300000.000000 USD -174898.890000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HQ6 3500000.000000 PA USD 1654966.250000 0.0957407 Long DBT NUSS AR N 2 2028-01-11 Fixed 5.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 1353717.530000 0.0783133 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-18 86766.250000 USD 0.000000 USD 119600000.000000 USD 1266951.280000 N N N N/A N/A 000000000 1.000000 NC USD 471927.540000 0.0273013 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-18 0.000000 USD -8761.360000 USD 4200000.000000 USD 480688.900000 N N N N/A N/A 000000000 1.000000 NC USD 640345.410000 0.0370443 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-02-03 0.000000 USD -20370.170000 USD 5700000.000000 USD 660715.580000 N N N N/A N/A 000000000 1.000000 NC USD 869475.360000 0.0502996 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-24 0.000000 USD -61350.000000 USD 10400000.000000 USD 930825.360000 N N N N/A N/A 000000000 1.000000 NC USD -102956.110000 -0.0059561 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-18 409603.960000 USD 0.000000 USD 27300000.000000 USD -512560.070000 N N N N/A N/A 000000000 1.000000 NC USD 32923.380000 0.0019046 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-02-07 0.000000 USD -2324.120000 USD 600000.000000 USD 35247.500000 N N N N/A N/A 000000000 1.000000 NC USD 52134.200000 0.0030160 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-18 0.000000 USD -14398.830000 USD 2000000.000000 USD 66533.030000 N N N N/A N/A 000000000 1.000000 NC USD -388552.270000 -0.0224780 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-20 1667811.840000 USD 0.000000 USD 29800000.000000 USD -2056364.110000 N N N N/A N/A 000000000 1.000000 NC USD -48332.040000 -0.0027960 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-20 265679.280000 USD 0.000000 USD 3600000.000000 USD -314011.320000 N N N N/A N/A 000000000 1.000000 NC USD -31383.310000 -0.0018155 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-06-15 0.000000 USD -59874.260000 USD 1100000.000000 USD 28490.950000 N N N N/A N/A 000000000 1.000000 NC USD -479673.000000 -0.0277494 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-20 1041488.620000 USD 0.000000 USD 15000000.000000 USD -1521161.620000 N N N N/A N/A 000000000 1.000000 NC USD 1144065.090000 0.0661848 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-12-15 0.000000 USD -98741.180000 USD 76300000.000000 USD 1242806.270000 N N N N/A N/A 000000000 1.000000 NC USD -518095.770000 -0.0299721 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-18 0.000000 USD -801591.090000 USD 14100000.000000 USD 283495.320000 N N N N/A N/A 000000000 1.000000 NC USD -108686.450000 -0.0062876 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 0.000000 USD -50050.000000 USD 2200000.000000 USD -58636.450000 N N N N/A N/A 000000000 1.000000 NC USD -1797844.970000 -0.1040064 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 0.000000 USD -567082.820000 USD 35800000.000000 USD -1230762.150000 N N N N/A N/A 000000000 1.000000 NC USD -2147689.760000 -0.1242451 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-10-23 0.000000 USD 0.000000 USD 53600000.000000 USD -2147689.760000 N N N N/A N/A 000000000 1.000000 NC USD -1194251.520000 -0.0690881 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-15 0.000000 USD -46039.580000 USD 53900000.000000 USD -1148211.940000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114GK0 7350000.000000 PA USD 3608445.750000 0.2087507 Long DBT NUSS AR N 2 2038-12-31 Variable 3.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -6858625.730000 -0.3967754 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-05-30 0.000000 USD -25611.950000 USD 110500000.000000 USD -6833013.780000 N N N N/A N/A 000000000 1.000000 NC USD -3591881.440000 -0.2077924 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-05-30 0.000000 USD 0.000000 USD 57600000.000000 USD -3591881.440000 N N N N/A N/A 000000000 1.000000 NC -25172.920000 -0.0014563 N/A DFE CO N 2 The Toronto-Dominion Bank PT3QB789TSUIDF371261 7861461655.200000 COP 2362502.000000 USD 2020-02-14 -25172.920000 N N N N/A N/A 000000000 1.000000 NC USD 2839.060000 0.0001642 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 294107.280000 USD 5648000.000000 MXN 2020-02-12 2839.060000 N N N N/A N/A 000000000 1.000000 NC -547410.100000 -0.0316680 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 29087000.000000 CAD 21853493.610000 USD 2020-01-10 -547410.100000 N N N N/A 549300TRUWO2CD2G5692 000000000 1.000000 NC 19770.750000 0.0011437 N/A DCR IT N 2 BNPParibas R0MUWSFPU8MPRO8K5P83 UNICREDIT SPA UNICREDIT SPA SUB Y Single Leg Swap 2023-12-21 159974.720000 EUR 0.000000 EUR 880000.000000 EUR -140203.970000 N N N N/A 549300TRUWO2CD2G5692 000000000 1.000000 NC 8088.060000 0.0004679 N/A DCR IT N 2 Citibank International Limited 31OGKFG0Y1795OV0AK56 UNICREDIT SPA UNICREDIT SPA SUB Y Single Leg Swap 2023-12-21 66015.830000 EUR 0.000000 EUR 360000.000000 EUR -57927.770000 N N N N/A 549300TRUWO2CD2G5692 000000000 1.000000 NC 21343.400000 0.0012347 N/A DCR IT N 2 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 UNICREDIT SPA UNICREDIT SPA SUB Y Single Leg Swap 2023-12-21 181229.320000 EUR 0.000000 EUR 950000.000000 EUR -159885.920000 N N N N/A ECTRVYYCEF89VWYS6K36 000000000 13519000.000000 NC 90485.410000 0.0052346 N/A DFE GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Purchased None N/A N/A ECTRVYYCEF89VWYS6K36 000000000 0.000000 NC USD 0.000000 0.000000 DFE GB 0.000000 N/A 0.000000 N/A 2020-01-02 N/A 1.320000 GBP 2020-01-02 XXXX -80852.200000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1HS2L5 7330000.000000 PA 100410.960000 0.0058088 Long DBT NUSS AR N 3 2020-04-03 Floating 41.4927 N N N N N N N/A ECTRVYYCEF89VWYS6K36 000000000 -27039000.000000 NC -18767.510000 -0.0010857 N/A DFE GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Written None N/A N/A ECTRVYYCEF89VWYS6K36 000000000 0.000000 NC USD 0.000000 0.000000 DFE GB 0.000000 N/A 0.000000 N/A 2020-01-02 N/A 1.340000 GBP 2020-01-02 XXXX 165527.780000 N N N N/A ECTRVYYCEF89VWYS6K36 000000000 -389.000000 NC -121512.280000 -0.0070296 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2020-03-27 -67696083.820000 GBP -121512.280000 N N N N/A 254900HROIFWPRGM1V77 000000000 -4125000.000000 NC USD -8.250000 -0.0000005 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2020-01-06 N/A 19.840000 USD 2020-01-06 XXXX 21771.750000 N N N N/A 254900HROIFWPRGM1V77 000000000 -4125000.000000 NC USD -8105.630000 -0.0004689 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2020-01-06 N/A 18.890000 USD 2020-01-06 XXXX 12478.120000 N N N N/A 254900HROIFWPRGM1V77 000000000 -4125000.000000 NC USD -37.130000 -0.0000021 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2020-01-09 N/A 65.910000 USD 2020-01-09 XXXX 20938.500000 N N N N/A 254900HROIFWPRGM1V77 000000000 -4125000.000000 NC USD -52214.250000 -0.0030206 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2020-01-09 N/A 62.820000 USD 2020-01-09 XXXX -31218.000000 N N N N/A 254900HROIFWPRGM1V77 000000000 -946.000000 NC USD -73906.250000 -0.0042755 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 03/20/20 2020-03-21 N/A USD N/A 125.500000 USD 2020-02-21 XXXX 165669.330000 N N N N/A 254900HROIFWPRGM1V77 000000000 -589.000000 NC USD -64421.880000 -0.0037268 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 03/20/20 2020-03-21 N/A USD N/A 126.000000 USD 2020-02-21 XXXX 81785.590000 N N N N/A 254900HROIFWPRGM1V77 000000000 -146.000000 NC USD 161477.420000 0.0093416 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-03-20 -18749593.750000 USD 161477.420000 N N N N/A 254900HROIFWPRGM1V77 000000000 -1029.000000 NC USD 165077.350000 0.0095498 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-03-31 -221749500.000000 USD 165077.350000 N N N N/A 254900HROIFWPRGM1V77 000000000 -217.000000 NC USD 79397.470000 0.0045932 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-03-31 -25738234.380000 USD 79397.470000 N N N N/A 254900HROIFWPRGM1V77 000000000 -889.000000 NC USD 2783310.260000 0.1610161 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-03-20 -138600656.250000 USD 2783310.260000 N N N N/A 254900HROIFWPRGM1V77 000000000 -35.000000 NC USD 179346.930000 0.0103753 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-03-20 -6357968.750000 USD 179346.930000 N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAA7 2473123.050000 PA USD 1884935.000000 0.1090446 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.922 N N N N N N ASSET BACKED SEC CORP HM EQ 2005-HE6 N/A 04541GTN2 300000.000000 PA USD 301348.560000 0.0174332 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.752 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RFZ0 3200000.000000 PA USD 3219795.840000 0.1862670 Long DBT CORP US N 2 2021-06-01 Floating 2.65688 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RGD8 3600000.000000 PA USD 3664818.970000 0.2120119 Long DBT CORP US N 2 2024-06-12 Floating 3.06725 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RDV1 3700000.000000 PA USD 3736168.430000 0.2161395 Long DBT CORP US N 2 2021-07-15 Floating 2.95088 N N N N N N AXA EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 1100000.000000 PA USD 1194178.210000 0.0690839 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N BANCO DEL ESTADO DE CHILE 5493004R4EJC0W0XVQ72 P1027DEN7 1700000.000000 PA USD 1722486.090000 0.0996468 Long DBT CORP CL N 2 2020-10-07 Fixed 4.125 N N N N N N BANK OF IRELAND (AKA: GOVERNOR & CO OF THE BANK OF IRELAND) Q2GQA2KF6XJ24W42G291 ACI0CWJH4 400000.000000 PA 463535.780000 0.0268158 Long DBT CORP IE N 2 2020-06-18 Floating 7.375 N N N N N N BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 000000000 12100000.000000 PA 9317060.570000 0.5389973 Long DBT CORP CA N 2 2020-01-03 None 0 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06739FFU0 2400000.000000 PA USD 2667866.160000 0.1543376 Long DBT CORP GB N 2 2021-06-12 Fixed 10.179 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI07CRC6 200000.000000 PA 239763.370000 0.0138704 Long DBT CORP GB N 2 2020-12-15 Floating 8 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBG9 1700000.000000 PA USD 1903090.500000 0.1100949 Long DBT CORP GB N 2 2024-06-15 Floating 8 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI1CH093 3100000.000000 PA 4650338.770000 0.2690248 Long DBT CORP GB N 2 2025-06-15 Floating 7.125 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBE4 2800000.000000 PA USD 2924716.650000 0.1691965 Long DBT CORP GB N 2 2023-02-15 Floating 4.61 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBC8 3200000.000000 PA USD 3238197.060000 0.1873316 Long DBT CORP GB N 2 2024-05-16 Floating 3.28413 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAZ8 100000.000000 PA USD 102265.460000 0.0059161 Long DBT CORP US N 2 2024-08-15 Fixed 3.222 N N N N N N BAT INTERNATIONAL FINANCE PLC 21380041YBGOQDFAC823 05530QAK6 400000.000000 PA USD 423055.760000 0.0244740 Long DBT CORP GB N 2 2025-06-15 Fixed 3.95 N N N N N N BAY AREA TOLL AUTHORITY 5493001FUZGUQMIP5D78 072024PY2 100000.000000 PA USD 161644.000000 0.0093512 Long DBT MUN US N 2 2050-10-01 Fixed 6.907 N N N N N N BCAP LLC TRUST 2012-RR11 N/A 05541YAG5 7021164.410000 PA USD 5794661.770000 0.3352245 Long ABS-MBS CORP US N 2 2037-03-26 Variable 6.38792 N N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HXZ9 203677.620000 PA USD 192399.440000 0.0111304 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.88581 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HYH8 4612863.150000 PA USD 3669330.130000 0.2122728 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.81116 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE1 N/A 07387UBT7 1776000.000000 PA USD 1761489.370000 0.1019032 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.398 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE10 N/A 07389RAB2 194728.910000 PA USD 194979.450000 0.0112797 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.992 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE6 N/A 07388UAB6 1510003.610000 PA USD 1504752.420000 0.0870508 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.942 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE2 N/A 07389YAB7 551215.470000 PA USD 623179.630000 0.0360513 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.902 Y N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE7 N/A 07388HAP4 684062.560000 PA USD 843722.210000 0.0488098 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.952 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 105756CB4 1954000.000000 PA USD 1930610.620000 0.1116869 Long DBT NUSS BR N 2 2050-01-14 Fixed 4.75 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BC2 300000.000000 PA USD 300701.180000 0.0173957 Long DBT CORP US N 2 2021-03-15 Floating 2.52363 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BE8 2100000.000000 PA USD 2187813.120000 0.1265662 Long DBT CORP US N 2 2023-03-15 Fixed 3.65 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -14100000.000000 PA -13280666.380000 -0.7682941 Short DBT NUSS CA N 2 2048-12-01 Fixed 2.75 N N N N N N CANADIAN IMPERIAL BANK OF COMMERCE (CIBC) 2IGI19DL77OX0HC3ZE78 000000000 6700000.000000 PA 5153770.740000 0.2981486 Long DBT CORP CA N 2 2020-01-22 None 0 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAQ4 900000.000000 PA USD 927540.000000 0.0536587 Long DBT CORP US N 2 2027-12-15 Fixed 4.25 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC 549300TPZNMN50BJ3745 16117LBX6 868808.780000 PA USD 875392.610000 0.0506420 Long LON CORP US N 2 2027-02-01 Floating 3.55 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BP8 4000000.000000 PA USD 4117270.200000 0.2381864 Long DBT CORP US N 2 2024-02-01 Floating 3.55913 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BB9 300000.000000 PA USD 315299.330000 0.0182402 Long DBT CORP US N 2 2022-07-23 Fixed 4.464 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175AY0 700000.000000 PA USD 771091.440000 0.0446081 Long DBT CORP US N 2 2025-07-23 Fixed 4.908 N N N N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 4237208.670000 PA USD 3792755.990000 0.2194131 Long ABS-MBS CORP US N 2 2037-07-25 Floating 2.092 N N N N N N CIT GROUP INC N8O96ZZJQRFYQUJY7K79 125581GQ5 200000.000000 PA USD 212498.600000 0.0122932 Long DBT CORP US N 2 2022-08-15 Fixed 5 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAA0 1834971.340000 PA USD 1854993.810000 0.1073125 Long ABS-MBS CORP US N 2 2037-10-25 Floating 3.142 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LZ2 1500000.000000 PA USD 1586782.440000 0.0917963 Long DBT CORP US N 2 2024-06-01 Floating 4.044 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MA6 3200000.000000 PA USD 3239027.870000 0.1873796 Long DBT CORP US N 2 2024-06-01 Floating 2.92988 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3 N/A 17309QAF1 2000000.000000 PA USD 1971444.800000 0.1140492 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.092 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR1 N/A 17307G3C0 155465.020000 PA USD 157320.460000 0.0091011 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.14 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL3 N/A 17312GAA9 19598.260000 PA USD 15298.970000 0.0008851 Long ABS-MBS CORP US N 2 2045-07-25 Floating 1.852 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 3091454.150000 PA USD 2151630.140000 0.1244730 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.952 N N N N N N CITIGROUP MTGE LOAN TR INC 2008-RR1 N/A 173145AA1 4295.530000 PA USD 4003.300000 0.0002316 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.862 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-4 N/A 17307GWE4 68844.890000 PA USD 70801.170000 0.0040959 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.60856 N N N N N N CITIMORTGAGE ALTERNATIVE LOAN TRUST 2007-A4 N/A 12566VAJ1 1861163.410000 PA USD 1501904.150000 0.0868860 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.392 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486VV8 400000.000000 PA USD 479528.000000 0.0277410 Long DBT MUN US N 2 2033-01-01 Fixed 7.375 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486D22 104000.000000 PA USD 117839.280000 0.0068171 Long DBT MUN US N 2 2042-01-01 Fixed 7.75 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030NCS8 421000.000000 PA USD 459468.660000 0.0265805 Long DBT CORP US N 2 2025-10-15 Fixed 3.95 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 BD2YKYII0 1800000.000000 PA 2196232.430000 0.1270533 Long DBT CORP NL N 2 2021-06-29 Floating 6.625 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA22 N/A 23245PAA9 18108.510000 PA USD 17658.350000 0.0010215 Long ABS-MBS CORP US N 2 2047-02-25 Floating 1.952 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-28CB N/A 12667GYQ0 1686556.700000 PA USD 1199639.350000 0.0693998 Long ABS-MBS CORP US N 2 2035-08-25 Fixed 6 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDE0 7014.240000 PA USD 6674.840000 0.0003861 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.23948 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA18 N/A 23244GAD4 5042569.100000 PA USD 4926207.780000 0.2849839 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.912 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY8C N/A 02150XAA9 2688985.380000 PA USD 2667967.730000 0.1543435 Long ABS-MBS CORP US N 2 2047-09-25 Floating 1.952 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6 N/A 02150PAB4 60022.020000 PA USD 57442.560000 0.0033231 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.992 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-13 N/A 02150MAA3 2602985.460000 PA USD 2196998.600000 0.1270976 Long ABS-MBS CORP US N 2 2047-06-25 Fixed 6 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-2 N/A 1266714B9 88662.270000 PA USD 88776.780000 0.0051358 Long ABS-MBS CORP US N 2 2034-04-25 Floating 3.142 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAD8 4099999.980000 PA USD 4009667.140000 0.2319615 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.052 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-15 N/A 12666UAC7 3084840.610000 PA USD 3024667.710000 0.1749788 Long ABS-MBS CORP US N 2 2046-10-25 Variable 4.59999 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAA9 1094054.060000 PA USD 1004063.080000 0.0580856 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.932 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-26 N/A 12668HAA8 1060558.040000 PA USD 996277.940000 0.0576352 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.932 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-6 N/A 126670ZM3 3534767.830000 PA USD 3536776.990000 0.2046046 Long ABS-MBS CORP US N 2 2036-09-25 Floating 2.072 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-10 N/A 23246BAK7 1200000.000000 PA USD 1139788.800000 0.0659374 Long ABS-MBS CORP US N 2 2047-06-25 Floating 2.042 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8 N/A 12669WAA4 206788.490000 PA USD 199516.010000 0.0115421 Long ABS-MBS CORP US N 2 2037-11-25 Floating 1.982 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KK3 1461299.750000 PA USD 1358780.070000 0.0786062 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.062 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-1 N/A 126670TV0 2420871.980000 PA USD 2424005.070000 0.1402301 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.092 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 5074.390000 PA USD 5115.240000 0.0002959 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.84056 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 2454.800000 PA USD 2481.830000 0.0001436 Long ABS-MBS CORP US N 2 2035-02-20 Floating 3.83244 N N N N N N COUNTRYWIDE HOME LOANS 2005-24 N/A 126694JR0 39609.150000 PA USD 35947.070000 0.0020796 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB6 N/A 1248RHAA5 7720.220000 PA USD 5134.390000 0.0002970 Long ABS-MBS CORP US N 2 2037-07-25 Floating 1.912 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AJ7 1600000.000000 PA USD 1752104.000000 0.1013602 Long DBT CORP CH N 2 2023-07-17 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AH1 2000000.000000 PA USD 2024967.820000 0.1171455 Long DBT CORP CH N 2 2024-06-12 Floating 3.12725 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AC5 600000.000000 PA USD 634914.030000 0.0367301 Long DBT CORP GG N 2 2025-03-26 Fixed 3.75 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AT8 250000.000000 PA USD 261729.540000 0.0151412 Long DBT CORP GG N 2 2023-06-09 Fixed 3.8 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AH4 700000.000000 PA USD 728659.050000 0.0421533 Long DBT CORP GG N 2 2022-09-15 Fixed 3.8 N N N N N N CSN RESOURCES SA 222100ZEX458NMOXZP08 12644VAB4 450000.000000 PA USD 480642.750000 0.0278055 Long DBT CORP LU N 2 2023-02-13 Fixed 7.625 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAC8 300000.000000 PA USD 302741.250000 0.0175138 Long DBT CORP US N 2 2020-08-01 Fixed 4 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DV3 2050000.000000 PA USD 2066449.570000 0.1195453 Long DBT CORP US N 2 2022-02-15 Floating 2.80988 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAQ4 1300000.000000 PA USD 1297168.960000 0.0750420 Long DBT CORP DK N 2 2023-09-12 Floating 2.94725 N N N N N N DENVER CITY & COUNTY SCHOOL DISTRICT NO 1 N/A 249218AJ7 3484493.520000 PA USD 4009153.710000 0.2319318 Long DBT MUN US N 2 2026-12-15 Fixed 6.22 N N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2007-AR3 N/A 25150VAZ9 93260.310000 PA USD 92112.200000 0.0053287 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.972 Y N N N N N DEUTSCHE ALT-A SECURITIES LN TR 2007-1 N/A 25151YAG4 3647841.370000 PA USD 3099104.620000 0.1792850 Long ABS-MBS CORP US N 2 2037-08-25 Floating 2.122 Y N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI0Z7P46 1400000.000000 PA 1567019.330000 0.0906530 Long DBT CORP DE N 2 2020-12-07 Floating 0.105 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BS7 4000000.000000 PA USD 3922716.120000 0.2269314 Long DBT CORP DE N 2 2023-02-27 Floating 3.14863 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BX6 3300000.000000 PA USD 3393969.740000 0.1963431 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 251526BM0 1700000.000000 PA USD 1686638.830000 0.0975730 Long DBT CORP DE N 2 2022-11-16 Floating 3.09413 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CB3 1900000.000000 PA USD 1941782.440000 0.1123332 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N DISCOVER BANK/GREENWOOD BRANCH X05BVSK68TQ7YTOSNR22 25466AAJ0 1700000.000000 PA USD 1765354.340000 0.1021268 Long DBT CORP US N 2 2026-07-27 Fixed 3.45 N N N N N N DISCOVER BANK/GREENWOOD BRANCH X05BVSK68TQ7YTOSNR22 25466AAP6 2700000.000000 PA USD 3042314.100000 0.1759996 Long DBT CORP US N 2 2028-09-13 Fixed 4.65 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NAP0 800000.000000 PA USD 801392.420000 0.0463610 Long DBT CORP CA N 2 2020-06-15 Floating 2.59363 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2019-1A N/A 30167DAA5 2931728.030000 PA USD 2937761.820000 0.1699512 Long ABS-O CORP US N 2 2022-04-15 Fixed 3.2 N N N N N N EXPORT-IMPORT BANK OF KOREA (KEXIM) 549300APVP4R32PI3Y06 302154AX7 2000000.000000 PA USD 2042845.840000 0.1181798 Long DBT NUSS KR N 2 2021-01-29 Fixed 4 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 1000000.000000 PA 1213927.360000 0.0702264 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 13894.810000 PA USD 13892.580000 0.0008037 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 2.142 N N N N N N FANNIE MAE 2007-65 N/A 31396WLX2 24382.230000 PA USD 24323.320000 0.0014071 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 2.172 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 81626.290000 PA USD 81482.210000 0.0047138 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 2.192 N N N N N N FHLMC PASS THRU POOLS N/A 31292K2G1 4667.570000 PA USD 5352.660000 0.0003097 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ4R8 16442285.360000 PA USD 17132601.560000 0.9911308 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWE64 4761621.140000 PA USD 5003093.090000 0.2894318 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DV4G7 27999996.640000 PA USD 27683749.840000 1.6015208 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DV4N2 9999001.300000 PA USD 9886067.280000 0.5719146 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 31329PS87 1463014.630000 PA USD 1524896.460000 0.0882161 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31329PXN8 2263865.350000 PA USD 2363737.880000 0.1367436 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4 N N N N N N FIELDSTONE MORTGAGE INVESTMENT CORP 2005-2 N/A 31659TDV4 8363429.290000 PA USD 8349920.680000 0.4830477 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.527 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HHA1 1091000.000000 NS USD 1102477.320000 0.0637789 Long EP CORP US N 2 N N N FIRST FRANKLIN MTG LOAN ASSET 2005-FFH3 N/A 32027NVD0 1265874.280000 PA USD 1272044.400000 0.0735885 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.587 N N N N N N FNMA PASS THRU POOLS N/A 31368HJD6 309.170000 PA USD 333.850000 0.0000193 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31368HXZ1 525.620000 PA USD 556.000000 0.0000322 Long ABS-MBS USGSE US N 2 2024-06-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31371EVY8 204.610000 PA USD 221.400000 0.0000128 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31371FAX0 92.280000 PA USD 99.750000 0.0000058 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31371HNH7 642.120000 PA USD 711.010000 0.0000411 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31371HYB8 6149.890000 PA USD 7087.510000 0.0004100 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31373UCY1 929.510000 PA USD 970.800000 0.0000562 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31374QHD0 583.450000 PA USD 584.290000 0.0000338 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31376EN22 291.290000 PA USD 307.610000 0.0000178 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31376KS23 1060.320000 PA USD 1168.860000 0.0000676 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31376KTB2 25386.480000 PA USD 28054.730000 0.0016230 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31379JG59 709.980000 PA USD 749.740000 0.0000434 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31381BHM4 5824.340000 PA USD 5832.220000 0.0003374 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31382GHS9 528.340000 PA USD 529.070000 0.0000306 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31382UET9 2917.720000 PA USD 3138.640000 0.0001816 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31383VEC3 1064.600000 PA USD 1101.130000 0.0000637 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31384HQH9 647.470000 PA USD 649.160000 0.0000376 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31385HX98 584.550000 PA USD 692.100000 0.0000400 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31386TNA9 7216.750000 PA USD 8069.840000 0.0004668 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31386T6B6 600.190000 PA USD 672.810000 0.0000389 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31387DNE5 5678.410000 PA USD 6357.700000 0.0003678 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31389ERT4 512.520000 PA USD 513.350000 0.0000297 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31390RTU7 5346.090000 PA USD 5412.210000 0.0003131 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31409CZS7 23858.680000 PA USD 27224.420000 0.0015749 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409XTB5 3983.590000 PA USD 4442.350000 0.0002570 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410GGE7 37732.620000 PA USD 43345.070000 0.0025075 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GRM7 7484.640000 PA USD 8772.070000 0.0005075 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KBF0 113566.020000 PA USD 130360.710000 0.0075414 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410PAD5 6735.230000 PA USD 7451.440000 0.0004311 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411EUF2 15041.840000 PA USD 17241.680000 0.0009974 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413LTD1 87060.120000 PA USD 97459.310000 0.0056381 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413NVK8 49198.530000 PA USD 54934.010000 0.0031780 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413N2Y0 4574.350000 PA USD 5226.480000 0.0003024 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413TJV5 91518.790000 PA USD 104725.280000 0.0060584 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413UKP3 117054.770000 PA USD 133655.310000 0.0077320 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414G6Q7 15654.010000 PA USD 17427.790000 0.0010082 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415TAM2 3655.270000 PA USD 3774.030000 0.0002183 Long ABS-MBS USGSE US N 2 2023-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415WZZ9 7958.150000 PA USD 9098.400000 0.0005263 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31419CSK0 20773.250000 PA USD 21661.480000 0.0012531 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419DPS4 1898.960000 PA USD 1980.750000 0.0001146 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A2NX3 47003.990000 PA USD 49059.510000 0.0028381 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A7W53 29911.070000 PA USD 31284.010000 0.0018098 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AGLQ9 72208.480000 PA USD 75295.990000 0.0043559 Long ABS-MBS USGSE US N 2 2021-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138EGE26 219435.590000 PA USD 251892.840000 0.0145721 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EKW35 127998.650000 PA USD 146898.600000 0.0084982 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138L0MH1 99347.170000 PA USD 100237.160000 0.0057988 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 2.31 N N N N N N FNMA PASS THRU POOLS N/A 3140GVZY4 12198232.590000 PA USD 12670539.250000 0.7329979 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H1FD7 1737591.350000 PA USD 1802800.440000 0.1042930 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H37E0 2609819.500000 PA USD 2709995.520000 0.1567748 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8E76 2601038.060000 PA USD 2731830.040000 0.1580379 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CS47 1691803.380000 PA USD 1758123.900000 0.1017085 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CUA0 1692740.510000 PA USD 1756439.960000 0.1016111 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 16315401.660000 PA USD 16940429.200000 0.9800135 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CXM1 1128931.040000 PA USD 1170691.780000 0.0677252 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CYL2 1623552.440000 PA USD 1677269.050000 0.0970310 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CZG2 1571592.350000 PA USD 1621717.710000 0.0938173 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418DGK2 8702134.670000 PA USD 8611865.860000 0.4982014 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31418DHK1 999900.460000 PA USD 988607.070000 0.0571915 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31418DJQ6 9696038.400000 PA USD 9586527.460000 0.5545861 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 2.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397XW8 200000.000000 PA USD 201512.610000 0.0116576 Long DBT CORP US N 2 2021-03-18 Fixed 3.336 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540RAC0 2800000.000000 PA USD 2804299.150000 0.1622303 Long DBT CORP US N 2 2020-09-24 Floating 2.86475 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540XAB9 2600000.000000 PA USD 2638696.740000 0.1526501 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 28714.870000 PA USD 28928.960000 0.0016736 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 2.44975 N N N N N N FREMONT HOME LOAN TRUST 2006-2 N/A 35729PPX2 1121033.660000 PA USD 1074197.990000 0.0621430 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.962 N N N N N N FREMONT HOME LOAN TRUST 2006-B N/A 35729QAC2 100339.660000 PA USD 42060.100000 0.0024332 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.892 N N N N N N GE-WMC MORTGAGE SECURITIES LLC 2006-1 N/A 36829JAA9 217.250000 PA USD 125.030000 0.0000072 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.832 N N N N N N GLS AUTO RECEIVABLES TRUST 2019-3A N/A 36258AAA8 3480858.400000 PA USD 3486690.930000 0.2017071 Long ABS-O CORP US N 2 2023-07-17 Fixed 2.58 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 20061508.860000 PA USD 199732382.230000 11.5546326 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 21H050615 5400000.000000 PA USD 5692200.640000 0.3292971 Long ABS-MBS USGSE US N 2 2050-01-21 Fixed 5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 14679513.470000 PA USD 145224426.790000 8.4013162 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 36297AZ55 51875.440000 PA USD 58490.720000 0.0033837 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 6 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAF7 1300000.000000 PA USD 1310303.020000 0.0758018 Long DBT CORP US N 2 2021-11-15 Floating 3.07988 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19 N/A 38380VEU1 1160885.460000 PA USD 1155308.800000 0.0668353 Long ABS-MBS USGSE US N 2 2047-08-20 Floating 2.0585 N N N N N N GSAA HOME EQUITY TRUST 2006-4 N/A 362334FK5 5171301.880000 PA USD 4203028.350000 0.2431476 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.02236 N N N N N N GSAA HOME EQUITY TRUST 2007-4 N/A 3622EBAB4 5108308.310000 PA USD 2371896.870000 0.1372156 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.992 N N N N N N GSAMP TRUST 2005-HE1 N/A 36242DRX3 1416902.560000 PA USD 1184818.880000 0.0685424 Long ABS-MBS CORP US N 2 2034-12-25 Floating 3.112 Y N N N N N GSAMP TRUST 2006-HE5 N/A 362437AD7 539799.620000 PA USD 528571.250000 0.0305781 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.942 N N N N N N GSAMP TRUST 2006-HE8 N/A 3622M8AE6 2700000.000000 PA USD 2385592.290000 0.1380079 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.022 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 3742.120000 PA USD 3835.240000 0.0002219 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.13331 N N N N N N HALCYON LOAN ADVISORS FUNDING 2014-3 LTD N/A 40538FAQ6 348091.640000 PA USD 348252.880000 0.0201466 Long ABS-CBDO CORP KY N 2 2025-10-22 Floating 3.05325 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-11 N/A 41162GAA0 458907.530000 PA USD 428120.940000 0.0247670 Long ABS-MBS CORP US N 2 2036-12-19 Floating 1.93388 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 1063121.530000 PA USD 949032.220000 0.0549021 Long ABS-MBS CORP US N 2 2036-12-19 Floating 1.96888 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAF6 414265.330000 PA USD 395136.840000 0.0228589 Long ABS-MBS CORP US N 2 2038-01-19 Floating 1.95388 N N N N N N HARVARD UNIVERSITY 6S3X7J22E861RNTJSA74 740816AG8 1100000.000000 PA USD 1631753.120000 0.0943979 Long DBT CORP US N 2 2039-01-15 Fixed 6.5 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 7858375.650000 PA 10435166.540000 0.6036804 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.76099 N N N N N N HOME EQUITY LOAN TRUST 2007-FRE1 N/A 43710XAE8 5300000.000000 PA USD 4581846.820000 0.2650625 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.132 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BG3 800000.000000 PA USD 816081.220000 0.0472108 Long DBT CORP GB N 2 2022-01-05 Floating 3.54313 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AV1 500000.000000 PA USD 507941.260000 0.0293847 Long DBT CORP GB N 2 2021-03-08 Fixed 3.4 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AW9 300000.000000 PA USD 326649.110000 0.0188968 Long DBT CORP GB N 2 2026-03-08 Fixed 4.3 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BQ1 1400000.000000 PA USD 1401522.710000 0.0810789 Long DBT CORP GB N 2 2021-05-18 Floating 2.50413 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BR9 600000.000000 PA USD 605183.570000 0.0350102 Long DBT CORP GB N 2 2024-05-18 Floating 2.90413 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 1400000.000000 PA USD 1513560.240000 0.0875603 Long DBT CORP GB N 2 2026-09-12 Floating 4.292 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAA1 200000.000000 PA USD 202141.380000 0.0116940 Long DBT CORP GB N 2 2024-07-26 Fixed 3.125 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAB9 200000.000000 PA USD 201242.330000 0.0116420 Long DBT CORP GB N 2 2026-07-26 Fixed 3.5 N N N N N N INDYMAC HOME EQUITY LOAN ABS TR 2004-B N/A 456606FA5 191637.830000 PA USD 190159.290000 0.0110008 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.842 N N N N N N INDYMAC RESIDENTIAL ASSET BCD TR 2005-B N/A 456606GY2 2000000.000000 PA USD 1940762.000000 0.1122742 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.857 N N N N N N INEOS FINANCE PLC 2138002D68XDR4LZCG32 ACI0YJHL2 3100000.000000 PA 3507695.980000 0.2029222 Long DBT CORP GB N 2 2025-11-15 Fixed 2.125 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AR4 1000000.000000 PA USD 1053625.000000 0.0609528 Long DBT CORP NL N 2 2026-11-16 Floating 5.75 N N N N Y ING GROEP NV EUR XXXX N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513YJJ8 600000.000000 PA USD 696348.000000 0.0402841 Long DBT NUSS IL N 2 2048-01-17 Fixed 4.125 N N N N N N JAPAN GOVT N/A ACI12NZL6 3611983200.000000 PA 34206715.870000 1.9788781 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT N/A ACI17NX82 801000000.000000 PA 7372406.800000 0.4264980 Long DBT NUSS JP N 2 2020-01-20 None 0 N N N N N N JAPAN GOVT N/A ACI1G0HJ6 593000000.000000 PA 5457832.180000 0.3157387 Long DBT NUSS JP N 2 2020-01-14 None 0 N N N N N N JAPAN GOVT N/A ACI1GQF02 4573000000.000000 PA 42095084.740000 2.4352247 Long DBT NUSS JP N 2 2020-02-17 None 0 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAT3 3200000.000000 PA USD 3213302.690000 0.1858914 Long DBT CORP US N 2 2022-06-18 Floating 2.5085 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAU0 1200000.000000 PA USD 1264773.950000 0.0731679 Long DBT CORP US N 2 2024-07-23 Floating 3.797 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAW6 3000000.000000 PA USD 3025793.550000 0.1750439 Long DBT CORP US N 2 2024-07-23 Floating 2.824 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 21615.250000 PA USD 21917.790000 0.0012680 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.10645 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 15205.520000 PA USD 11647.670000 0.0006738 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A3 N/A 46628KAT7 51001.650000 PA USD 51439.100000 0.0029758 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.15992 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAR6 3189921.930000 PA USD 3265292.770000 0.1888991 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.30517 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 1777.650000 PA USD 1796.100000 0.0001039 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.611 N N N N N N JP MORGAN RESECURITIZATION TRUST SERIES 2015-3 N/A 46644NAG9 5237231.770000 PA USD 5141216.030000 0.2974223 Long ABS-MBS CORP US N 2 2037-06-26 Floating 1.828 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAL0 100000.000000 PA USD 111053.810000 0.0064245 Long DBT CORP US N 2 2035-07-15 Fixed 5 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAM8 100000.000000 PA USD 108472.940000 0.0062752 Long DBT CORP US N 2 2045-07-15 Fixed 5.2 N N N N N N LEHMAN MORTGAGE TRUST 2006-7 N/A 52520QAB0 1755338.240000 PA USD 1135564.990000 0.0656931 Long ABS-MBS CORP US N 2 2036-11-25 Floating 2.442 Y N N N N N LEHMAN XS TRUST 2006 GP4 N/A 525161AN5 2213314.860000 PA USD 2126927.410000 0.1230440 Long ABS-MBS CORP US N 2 2046-08-25 Floating 2.017 N N N N N N LLOYDS BANK CORPORATE MARKETS PLC/NEW YORK BRANCH 213800MBWEIJDM5CU638 53947BAE0 2300000.000000 PA USD 2304935.570000 0.1333418 Long DBT CORP GB N 2 2020-10-26 Floating 2.512 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AU3 1800000.000000 PA USD 2019789.000000 0.1168459 Long DBT CORP GB N 2 2025-09-27 Floating 7.5 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI0808H1 900000.000000 PA 1508074.760000 0.0872430 Long DBT CORP GB N 2 2029-06-27 Floating 7.875 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAG8 2200000.000000 PA USD 2212640.760000 0.1280025 Long DBT CORP GB N 2 2021-06-21 Floating 2.72775 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AS8 1100000.000000 PA USD 1166295.120000 0.0674708 Long DBT CORP GB N 2 2023-08-16 Fixed 4.05 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AT6 1000000.000000 PA USD 1119853.570000 0.0647842 Long DBT CORP GB N 2 2028-08-16 Fixed 4.55 N N N N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RH9 4355422.600000 PA USD 4264263.170000 0.2466901 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.012 N N N N N N LONG BEACH UNIFIED SCHOOL DISTRICT N/A 542433ND5 3500000.000000 PA USD 4000710.000000 0.2314434 Long DBT MUN US N 2 2025-08-01 Fixed 5.914 N N N N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 BJBQCWII7 360000.000000 NS 514872.400000 0.0297857 Long EP CORP NL N 2 N N N MASTR SPECIALIZED LOAN TRUST 2006-3 N/A 57643BAA6 3305460.260000 PA USD 3168432.400000 0.1832956 Long ABS-MBS CORP US N 2 2046-06-25 Floating 2.052 N N N N N N MCDONALDS CORPORATION UE2136O97NLB5BYP9H04 58013MFG4 1000000.000000 PA USD 1003456.980000 0.0580506 Long DBT CORP US N 2 2021-10-28 Floating 2.36563 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 93238.590000 PA USD 87247.200000 0.0050473 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.32951 Y N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAC6 7316304.910000 PA USD 4673054.910000 0.2703389 Long ABS-MBS CORP US N 2 2037-08-25 Floating 1.902 N N N N N N MONARCH GROVE CLO 2018-1A N/A 60909GAA8 4300000.000000 PA USD 4287730.720000 0.2480477 Long ABS-CBDO CORP KY N 2 2028-01-25 Floating 2.81963 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAE5 2920436.580000 PA USD 1608327.060000 0.0930426 Long ABS-MBS CORP US N 2 2036-09-25 Floating 1.952 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-WMC2 N/A 61749KAB9 3456.300000 PA USD 1772.420000 0.0001025 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.842 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAA4 16607857.030000 PA USD 8894198.330000 0.5145345 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.007 N N N N N N MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS N/A 61752JAA8 4651580.550000 PA USD 2591681.130000 0.1499302 Long ABS-MBS CORP US N 2 2046-09-25 Variable 5.965 Y N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-6AR N/A 61748HMZ1 2385000.000000 PA USD 2379187.280000 0.1376373 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.412 N N N N N N MORTGAGEIT TRUST 2007-1 N/A 61915YAA9 1306262.450000 PA USD 1279488.250000 0.0740191 Long ABS-MBS CORP US N 2 2047-06-25 Floating 2.022 N N N N N N MOUNTAIN HAWK III CLO LTD 2014-3A N/A 62405CAN4 497551.820000 PA USD 497711.720000 0.0287929 Long ABS-CBDO CORP KY N 2 2025-04-18 Floating 3.20325 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAC1 1500000.000000 PA USD 1591108.100000 0.0920465 Long DBT CORP GB N 2 2024-08-01 Floating 4.363 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAA6 400000.000000 PA USD 406340.000000 0.0235070 Long DBT CORP US N 2 2020-10-26 Fixed 5 N N N N N N NAVIENT PRIVATE EDUCATION LOAN TRUST 2017-A N/A 63939XAA9 13784.220000 PA USD 13782.550000 0.0007973 Long ABS-O CORP US N 2 2058-12-16 Floating 2.13975 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 4092620.210000 PA USD 4096147.640000 0.2369645 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N NEW YORK STATE THRUWAY AUTHORITY HIGHWAY & BRIDGE TRUST FUND N/A 650014TJ2 1000000.000000 PA USD 1243490.000000 0.0719366 Long DBT MUN US N 2 2030-04-01 Fixed 5.883 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AZ2 800000.000000 PA USD 802375.240000 0.0464179 Long DBT CORP US N 2 2022-07-13 Fixed 2.65 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AS8 300000.000000 PA USD 297747.290000 0.0172249 Long DBT CORP US N 2 2021-09-14 Fixed 1.9 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BD0 300000.000000 PA USD 300363.050000 0.0173762 Long DBT CORP US N 2 2022-09-28 Fixed 2.6 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599CQ6 2400000.000000 PA USD 2413048.680000 0.1395962 Long DBT CORP US N 2 2022-08-15 Floating 3.35988 N N N N N N OHA CREDIT PARTNERS IX LTD 2013-9A N/A 67105VAS3 70652.340000 PA USD 70690.720000 0.0040895 Long ABS-CBDO CORP KY N 2 2025-10-20 Floating 2.97588 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-3 N/A 68402BAA4 1719596.560000 PA USD 1327764.300000 0.0768119 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.012 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-4 N/A 68403FAA4 1350656.970000 PA USD 1094942.350000 0.0633430 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.012 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-4 N/A 68403FAE6 356721.650000 PA USD 257157.610000 0.0148767 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.102 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-5 N/A 68403HAA0 1796438.450000 PA USD 1314826.240000 0.0760635 Long ABS-MBS CORP US N 2 2037-05-25 Floating 2.012 N N N N N N PEOPLES CHOICE HOME LOAN SEC TR 2005-4 N/A 71085PDD2 210479.640000 PA USD 208831.270000 0.0120810 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.312 Y N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NBF5 89000.000000 PA USD 95475.640000 0.0055233 Long DBT CORP NL N 2 2030-01-15 Fixed 5.093 N N N N N N POPULAR ABS MORTGAGE PASS-THROUGH TRUST 2006-C N/A 73316MAE7 3700000.000000 PA USD 3519467.010000 0.2036032 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.122 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 B45GZMII6 1500000.000000 PA USD 1503538.500000 0.0869806 Long DBT NUSS QA N 2 2020-01-20 Fixed 5.25 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAF3 3723560.230000 PA USD 1948372.250000 0.1127144 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.586 N N N N N N RESIDENTIAL ACCREDIT LOAN, INC. 2007-QO4 N/A 74923LAA0 6763718.900000 PA USD 6630098.250000 0.3835550 Long ABS-MBS CORP US N 2 2047-05-25 Floating 1.992 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 603265.700000 PA USD 563140.390000 0.0325780 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.977 N N N N N N RESIDENTIAL ASSET SEC CORP 2007-KS3 N/A 74924YAC7 6849258.150000 PA USD 6819888.530000 0.3945345 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.042 N N N N N N RESIDENTIAL ASSET SECURITIES 2006-KS1 N/A 76113AAH4 580000.000000 PA USD 574958.120000 0.0332617 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.192 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BF2 100000.000000 PA USD 104076.850000 0.0060209 Long DBT CORP US N 2 2022-06-12 Fixed 4 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 000000000 1900000.000000 PA 1463009.510000 0.0846359 Long DBT CORP CA N 2 2020-01-03 None 0 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 000000000 6300000.000000 PA 4850255.280000 0.2805900 Long DBT CORP CA N 2 2020-01-06 None 0 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BB6 600000.000000 PA USD 649845.000000 0.0375939 Long DBT CORP GB N 2 2021-08-15 Floating 8.625 N N N N Y ROYAL BANK OF SCOTLAND GROUP PLC GBP XXXX N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780099CJ4 500000.000000 PA USD 511827.500000 0.0296095 Long DBT CORP GB N 2 2020-08-10 Floating 7.5 N N N N Y ROYAL BANK OF SCOTLAND GROUP PLC GBP XXXX N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780099CK1 400000.000000 PA USD 461210.000000 0.0266813 Long DBT CORP GB N 2 2025-08-10 Floating 8 N N N N Y ROYAL BANK OF SCOTLAND GROUP PLC GBP XXXX N N N AAMES MORTGAGE INVESTMENT TRUST 2005-2 N/A 126673L42 3300000.000000 PA USD 3312158.190000 0.1916102 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.782 Y N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 1700000.000000 PA USD 1922159.550000 0.1111980 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 2300000.000000 PA USD 2336088.470000 0.1351441 Long DBT CORP GB N 2 2024-06-25 Floating 3.49663 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 1500000.000000 PA USD 1593287.010000 0.0921726 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAJ4 2200000.000000 PA USD 2375319.100000 0.1374136 Long DBT CORP GB N 2 2024-11-15 Floating 4.796 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAX1 3100000.000000 PA USD 3169932.030000 0.1833824 Long DBT CORP GB N 2 2024-06-18 Fixed 2.875 N N N N N N SASOL FINANCING USA LLC 549300XRB1PFMESFEL85 80386WAA3 500000.000000 PA USD 541321.340000 0.0313157 Long DBT CORP US N 2 2024-03-27 Fixed 5.875 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAH2 1400000.000000 PA USD 1511851.600000 0.0874615 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI121KG1 700000.000000 PA USD 838274.500000 0.0484947 Long DBT NUSS SA N 2 2049-04-17 Fixed 5 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 ACI1C5ZK6 2800000.000000 PA 3298350.650000 0.1908115 Long DBT CORP DE N 2 2025-05-15 Fixed 3.625 N N Y N N N SEC ASSET BACKED REC LLC 2006-FR1 N/A 81375WJT4 959985.710000 PA USD 958782.560000 0.0554661 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.372 N N N N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AC8 1430607.030000 PA USD 907555.930000 0.0525026 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-HE2 N/A 81377AAE2 1162771.230000 PA USD 651005.960000 0.0376611 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.032 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BB4 2000000.000000 PA USD 2001103.840000 0.1157650 Long DBT CORP US N 2 2021-03-15 Floating 2.34363 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-FRE1 N/A 81879MAV1 4920445.430000 PA USD 3243724.430000 0.1876513 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.972 N N N N N N SLM STUDENT LOAN TR 2003-2 N/A 99PFQNII6 10611.150000 PA 11912.160000 0.0006891 Long ABS-O CORP US N 2 2023-12-15 Floating 0 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2007-20L N/A 83162CRL9 20500.320000 PA USD 21666.670000 0.0012534 Long ABS-O CORP US N 2 2027-12-01 Fixed 5.29 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20H N/A 83162CRY1 314925.170000 PA USD 339969.310000 0.0196674 Long ABS-O CORP US N 2 2028-08-01 Fixed 6.02 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2009-20A N/A 83162CSG9 441959.140000 PA USD 477788.150000 0.0276403 Long ABS-O CORP US N 2 2029-01-01 Fixed 5.72 N N N N N N SOUND POINT CLO XIV LTD 2016-3A N/A 83609NAL4 2500000.000000 PA USD 2498692.880000 0.1445508 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 3.084 N N N N N N SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1 N/A 83611DAA6 7850.150000 PA USD 3254.150000 0.0001883 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.852 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT2 N/A 83611MGJ1 2200000.000000 PA USD 2072693.040000 0.1199065 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.632 Y N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ1 N/A 83612JAD6 3900000.000000 PA USD 3769279.800000 0.2180550 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.042 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2 N/A 83613DAA4 1846701.000000 PA USD 1679979.730000 0.0971878 Long ABS-MBS CORP US N 2 2037-07-25 Floating 1.962 N N N N N N SOUNDVIEW HOME EQUITY LOAN TRUST 2007-1 N/A 83612PAA8 587567.960000 PA USD 568694.690000 0.0328993 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.942 N N N N N N SPECIALTY UNDERWRITING & RESID 2006-AB1 N/A 84751PKW8 1582572.770000 PA USD 1556051.860000 0.0900185 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.392 N N N N N N SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP) 5493008I795YYBFWFU90 85172FAD1 200000.000000 PA USD 217614.000000 0.0125891 Long DBT CORP US N 2 2021-10-01 Fixed 7.75 N N N N N N SPRINT CORP (SPRINT COMMUNICATIONS INC) 549300JKU50UT08ZWD77 852061AS9 1400000.000000 PA USD 1470742.000000 0.0850833 Long DBT CORP US N 2 2022-11-15 Fixed 6 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAH8 200000.000000 PA USD 216167.000000 0.0125054 Long DBT CORP US N 2 2024-06-15 Fixed 7.125 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAE5 900000.000000 PA USD 953388.000000 0.0551540 Long DBT CORP US N 2 2021-09-15 Fixed 7.25 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAF2 600000.000000 PA USD 663249.000000 0.0383693 Long DBT CORP US N 2 2023-09-15 Fixed 7.875 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BR0 3000000.000000 PA USD 3025080.000000 0.1750026 Long DBT CORP GB N 2 2022-09-10 Floating 3.0905 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2007-3 N/A 00703RAE0 6052135.550000 PA USD 5342458.500000 0.3090643 Long ABS-MBS CORP US N 2 2037-11-25 Floating 5.55675 Y N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-7 N/A 863579PM4 140020.740000 PA USD 135448.600000 0.0078358 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.1215 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR1 N/A 86359LTD1 953534.290000 PA USD 947888.220000 0.0548359 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.022 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR7 N/A 86361HAB0 8480177.250000 PA USD 7996595.140000 0.4626076 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.912 N N N N N N STRUCTURED ASSET SEC CORP 2005-RF2 N/A 86359DEX1 1900761.390000 PA USD 1793152.440000 0.1037349 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.142 N N N N N N STRUCTURED ASSET SECURITIES CO-2007-BC3 N/A 86363WAC3 1739403.620000 PA USD 1686725.610000 0.0975780 Long ABS-MBS CORP US N 2 2047-05-25 Floating 2.022 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 000000000 3600000.000000 PA 2769051.630000 0.1601912 Long DBT CORP CA N 2 2020-01-23 None 0 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 000000000 3100000.000000 PA 2383935.930000 0.1379121 Long DBT CORP CA N 2 2020-01-27 None 0 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 000000000 4000000.000000 PA 3079188.330000 0.1781328 Long DBT CORP CA N 2 2020-01-08 None 0 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 10400000.000000 PA 13775576.230000 0.7969250 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 0.9 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 3822386.970000 PA 5092625.780000 0.2946113 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.82038 N N N N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 933NLFII8 2500000.000000 PA USD 2499317.100000 0.1445869 Long LON CORP US N 3 2020-09-28 Floating 2.5246 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 ACI07SK20 2500000.000000 PA 2947925.640000 0.1705392 Long DBT CORP CH N 2 2026-02-12 Floating 4.75 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 3300000.000000 PA USD 3564000.000000 0.2061794 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UBS AG/STAMFORD CT BRANCH BFM8T61CT2L1QCEMIK50 90261AAB8 300000.000000 PA USD 338311.500000 0.0195715 Long DBT CORP CH N 2 2022-08-17 Fixed 7.625 N N N N N N UBS COMMERCIAL MORTGAGE TRUST 2017-C6 N/A 90276UAU5 3395000.000000 PA USD 3564307.970000 0.2061973 Long ABS-MBS CORP US N 2 2050-12-15 Fixed 3.5042 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90352JAD5 1400000.000000 PA USD 1409617.080000 0.0815472 Long DBT CORP CH N 2 2023-08-15 Floating 2.85988 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90351DAA5 400000.000000 PA USD 402839.020000 0.0233045 Long DBT CORP CH N 2 2020-09-24 Fixed 2.95 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90351DAB3 400000.000000 PA USD 435078.690000 0.0251696 Long DBT CORP CH N 2 2025-09-24 Fixed 4.125 N N N N N N UMBS PASS THRU POOLS N/A 01F022618 14603000.000000 PA USD 14431730.900000 0.8348839 Long ABS-MBS USGSE US N 2 2050-01-14 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022618 -50703000.000000 PA USD -50108337.470000 -2.8987960 Short ABS-MBS USGSE US N 2 2050-01-14 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030629 133700000.000000 PA USD 135433570.240000 7.8349095 Long ABS-MBS USGSE US N 2 2050-02-12 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F032617 54000000.000000 PA USD 55524347.100000 3.2121152 Long ABS-MBS USGSE US N 2 2050-01-14 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040610 196000000.000000 PA USD 203826097.720000 11.7914563 Long ABS-MBS USGSE US N 2 2050-01-14 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F040628 63000000.000000 PA USD 65542601.880000 3.7916770 Long ABS-MBS USGSE US N 2 2050-02-12 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F042624 25900000.000000 PA USD 27283663.210000 1.5783755 Long ABS-MBS USGSE US N 2 2050-02-12 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F050619 -5400000.000000 PA USD -5774368.880000 -0.3340505 Short ABS-MBS USGSE US N 2 2050-01-14 Fixed 5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 3275000.000000 PA USD 3821408.470000 0.2210707 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796TE9 9595000.000000 PA USD 9581147.220000 0.5542748 Long DBT UST US N 2 2020-02-06 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828SA9 38203872.000000 PA USD 38186204.620000 2.2090938 Long DBT UST US N 2 2022-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828UH1 8027352.000000 PA USD 8027431.790000 0.4643915 Long DBT UST US N 2 2023-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 671598.000000 PA USD 679737.320000 0.0393232 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 4306419.000000 PA USD 5082431.660000 0.2940216 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 4344400.000000 PA USD 4781742.360000 0.2766265 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 16280004.000000 PA USD 18030899.550000 1.0430979 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 19983362.600000 PA USD 22226720.860000 1.2858285 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X39 71745282.000000 PA USD 71645221.010000 4.1447170 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828QV5 42018608.000000 PA USD 42492186.280000 2.4581973 Long DBT UST US N 2 2021-07-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828TE0 4140596.000000 PA USD 4158268.560000 0.2405582 Long DBT UST US N 2 2022-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828B66 10500000.000000 PA USD 10945915.470000 0.6332275 Long DBT UST US N 2 2024-02-15 Fixed 2.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828P46 3300000.000000 PA USD 3268135.460000 0.1890635 Long DBT UST US N 2 2026-02-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286B1 145600000.000000 PA USD 154226134.610000 8.9220701 Long DBT UST US N 2 2029-02-15 Fixed 2.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QE1 4500000.000000 PA USD 6217036.880000 0.3596591 Long DBT UST US N 2 2040-02-15 Fixed 4.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 19000000.000000 PA USD 21416207.580000 1.2389399 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286T2 90400000.000000 PA USD 93904869.470000 5.4324504 Long DBT UST US N 2 2029-05-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QH4 5300000.000000 PA USD 7111084.310000 0.4113803 Long DBT UST US N 2 2040-05-15 Fixed 4.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282P4 15300000.000000 PA USD 15404335.140000 0.8911496 Long DBT UST US N 2 2022-07-31 Fixed 1.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XQ8 8000000.000000 PA USD 8080354.640000 0.4674531 Long DBT UST US N 2 2022-07-31 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828K74 5800000.000000 PA USD 5874901.200000 0.3398664 Long DBT UST US N 2 2025-08-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282R0 100000.000000 PA USD 102748.850000 0.0059441 Long DBT UST US N 2 2027-08-15 Fixed 2.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 500000.000000 PA USD 562638.560000 0.0325490 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285C0 30200000.000000 PA USD 32232639.990000 1.8646767 Long DBT UST US N 2 2025-09-30 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828L99 11300000.000000 PA USD 11274323.580000 0.6522261 Long DBT UST US N 2 2020-10-31 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285J5 30200000.000000 PA USD 32250638.890000 1.8657179 Long DBT UST US N 2 2025-10-31 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828A42 6100000.000000 PA USD 6119915.040000 0.3540406 Long DBT UST US N 2 2020-11-30 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828M80 13100000.000000 PA USD 13243349.370000 0.7661353 Long DBT UST US N 2 2022-11-30 Fixed 2 N N N N N N ALLEGRO CLO I LTD 2013-1A N/A 01749GAJ7 136704.930000 PA USD 136768.410000 0.0079121 Long ABS-CBDO CORP KY N 2 2026-01-30 Floating 3.1555 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285T3 12100000.000000 PA USD 12679432.220000 0.7335124 Long DBT UST US N 2 2025-12-31 Fixed 2.625 N N N N N N UNITED TECHNOLOGIES CORPORATION I07WOS4YJ0N7YRFE7309 913017CZ0 300000.000000 PA USD 300040.210000 0.0173575 Long DBT CORP US N 2 2021-08-16 Floating 2.55413 N N N N N N ALLERGAN SALES LLC 254900TUPGX2F5Y3AU71 345838AE6 186000.000000 PA USD 191435.220000 0.0110746 Long DBT CORP US N 2 2021-02-15 Fixed 4.875 N N N N N N VOLT LXII LLC 2017-NPL9 N/A 92872FAA6 1297482.620000 PA USD 1301943.880000 0.0753182 Long ABS-MBS CORP US N 2 2047-09-25 Fixed 3.125 N N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAE4 1106777.850000 PA USD 1066611.220000 0.0617041 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.83475 Y N N N N N WASHINGTON MUTUAL 2005-AR14 N/A 92922F4C9 1792213.780000 PA USD 1794553.690000 0.1038160 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.84414 N N N N N N WASHINGTON MUTUAL 2005-AR15 N/A 92922F5Y0 3086949.250000 PA USD 3056442.170000 0.1768169 Long ABS-MBS CORP US N 2 2045-11-25 Floating 2.372 N N N N N N WASHINGTON MUTUAL 2006-AR11 N/A 93363TAB8 40770.320000 PA USD 41795.030000 0.0024179 Long ABS-MBS CORP US N 2 2046-09-25 Floating 2.627 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 36537.260000 PA USD 35554.470000 0.0020568 Long ABS-MBS CORP US N 2 2046-10-25 Floating 2.627 N N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AE0 272703.930000 PA USD 256899.350000 0.0148618 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.18795 Y N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AB4 19301.990000 PA USD 19897.650000 0.0011511 Long ABS-MBS CORP US N 2 2047-01-25 Floating 2.96948 N N N N N N WASHINGTON MUTUAL 2006-AR8 N/A 93362FAJ2 117235.780000 PA USD 111183.340000 0.0064320 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.83673 Y N N N N N WASHINGTON MUTUAL 2007-OA4 N/A 93364CAA6 3300936.710000 PA USD 3201737.620000 0.1852224 Long ABS-MBS CORP US N 2 2047-05-25 Floating 3.00948 N N N N N N WASHINGTON STATE CONVENTION CENTER PUBLIC FACILITIES DISTRICT N/A 93976AAH5 600000.000000 PA USD 815400.000000 0.0471714 Long DBT MUN US N 2 2040-07-01 Fixed 6.79 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BFC9 38000.000000 PA USD 39250.680000 0.0022707 Long DBT CORP US N 2 2022-03-08 Fixed 3.5 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR19 N/A 949789AA9 173899.950000 PA USD 169024.090000 0.0097781 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.34637 Y N N N N N WIND RIVER CLO LTD 2015-2A N/A 88432GAL1 3600000.000000 PA USD 3599923.570000 0.2082576 Long ABS-CBDO CORP KY N 2 2027-10-15 Floating 2.85613 N N N N N N WPC EUROBOND BV 5493005XDMOLBARL5M14 ACI15F7Y3 3300000.000000 PA 3977428.260000 0.2300965 Long DBT CORP NL N 2 2026-04-09 Fixed 2.25 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAF9 1600000.000000 PA USD 1686811.180000 0.0975830 Long DBT CORP US N 2 2025-04-01 Fixed 3.55 N N N N N N N/A N/A 000000000 1.000000 NC USD -191336.560000 -0.0110689 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -855903.080000 USD 4029973.030000 USD 664566.520000 N N N N/A N/A 000000000 1.000000 NC USD 373010.210000 0.0215789 N/A DFE AU N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 11055701.080000 USD 16283000.000000 AUD 2020-01-10 373010.210000 N N N N/A N/A 000000000 1.000000 NC USD 762.100000 0.0000441 N/A DFE MX N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 14337.060000 USD 286540.570000 MXN 2020-01-28 762.100000 N N N N/A N/A 000000000 1.000000 NC USD 180836.220000 0.0104615 N/A DFE CA N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 12809793.400000 USD 16868000.000000 CAD 2020-01-10 180836.220000 N N N AMERICAN HOME MORTGAGE ASSETS 2006-5 N/A 02660KAA0 7391385.510000 PA USD 3609596.420000 0.2088172 Long ABS-MBS CORP US N 2 2046-11-25 Floating 3.15948 N N N N N N N/A N/A 000000000 1.000000 NC USD 8104.320000 0.0004688 N/A DFE GB N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 1152481.630000 USD 876000.000000 GBP 2020-01-10 8104.320000 N N N N/A N/A 000000000 1.000000 NC USD 195550.620000 0.0113127 N/A DFE ID N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 8011930.500000 USD 114234105056.000000 IDR 2020-03-18 195550.620000 N N N N/A N/A 000000000 1.000000 NC USD 251.690000 0.0000146 N/A DFE MX N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 14539.150000 USD 286540.570000 MXN 2020-06-17 251.690000 N N N N/A N/A 000000000 1.000000 NC -424351.180000 -0.0245490 N/A DFE GB N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 14183000.000000 GBP 18366277.270000 USD 2020-01-10 -424351.180000 N N N N/A N/A 000000000 1.000000 NC -775.590000 -0.0000449 N/A DFE HK N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 1232568.000000 HKD 157307.600000 USD 2020-03-18 -775.590000 N N N N/A N/A 000000000 1.000000 NC 8150.990000 0.0004715 N/A DFE JP N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 593000000.000000 JPY 5468058.420000 USD 2020-01-14 8150.990000 N N N N/A N/A 000000000 1.000000 NC -256.340000 -0.0000148 N/A DFE MX N 2 BNP Paribas S.A. R0MUWSFPU8MPRO8K5P85 286540.570000 MXN 14842.820000 USD 2020-01-28 -256.340000 N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 934NVQII2 1000000.000000 PA USD 1000126.890000 0.0578579 Long LON CORP US N 3 2021-03-29 Floating 2.8105 N N N N N N N/A N/A 000000000 1.000000 NC USD 335240.860000 0.0193939 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.HY.32 N/A N/A Y Single Leg Swap 2024-06-21 213788.470000 USD 0.000000 USD 3332000.000000 USD 121452.390000 N N N N/A N/A 000000000 1.000000 NC USD 12858.470000 0.0007439 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.IG.28 N/A N/A Y Single Leg Swap 2022-06-21 12540.090000 USD 0.000000 USD 700000.000000 USD 318.380000 N N N N/A N/A 000000000 1.000000 NC USD 12812.900000 0.0007412 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.IG.31 N/A N/A Y Single Leg Swap 2023-12-21 5383.480000 USD 0.000000 USD 500000.000000 USD 7429.420000 N N N N/A N/A 000000000 1.000000 NC USD -1202415.880000 -0.0695604 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.IG.32 N/A N/A Y Single Leg Swap 2024-06-21 0.000000 USD -964267.890000 USD 45500000.000000 USD -238147.990000 N N N N/A N/A 000000000 -2950000.000000 NC USD -36.170000 -0.0000021 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 3835.710000 N N N N/A N/A 000000000 -2950000.000000 NC USD -36.170000 -0.0000021 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 3835.710000 N N N N/A N/A 000000000 -2800000.000000 NC USD -34.330000 -0.0000020 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 3073.670000 N N N N/A N/A 000000000 -4500000.000000 NC USD -22.770000 -0.0000013 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 3802.230000 N N N N/A N/A 000000000 1.000000 NC USD 712553.170000 0.0412216 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.33 Y Single Leg Swap 2024-12-21 562318.980000 USD 0.000000 USD 27100000.000000 USD 150234.190000 N N N N/A N/A 000000000 1.000000 NC USD 79763.280000 0.0046144 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2364209.270000 USD 8070228357.580000 COP 2020-03-31 79763.280000 N N N N/A N/A 000000000 1.000000 NC USD 288353.300000 0.0166814 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 5464773.680000 USD 18942271751.820000 COP 2020-02-14 288353.300000 N N N N/A N/A 000000000 1.000000 NC USD 22515.160000 0.0013025 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 8520196.200000 USD 7596000.000000 EUR 2020-02-14 22515.160000 N N N N/A N/A 000000000 1.000000 NC USD 220070.730000 0.0127312 N/A DFE MX N 2 Citibank NA E57ODZWZ7FF32TWEFA76 6675006.380000 USD 130730000.000000 MXN 2020-01-22 220070.730000 N N N N/A N/A 000000000 1.000000 NC USD 72636.940000 0.0042021 N/A DFE MX N 2 Citibank NA E57ODZWZ7FF32TWEFA76 6717537.640000 USD 130730000.000000 MXN 2020-05-05 72636.940000 N N N N/A N/A 000000000 1.000000 NC USD 24895.390000 0.0014402 N/A DFE ZA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 473134.360000 USD 7006000.000000 ZAR 2020-02-05 24895.390000 N N N N/A N/A 000000000 1.000000 NC -43447.860000 -0.0025135 N/A DFE CA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 4000000.000000 CAD 3037053.340000 USD 2020-01-08 -43447.860000 N N N N/A N/A 000000000 1.000000 NC -18783.260000 -0.0010866 N/A DFE CA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1681000.000000 CAD 1275812.920000 USD 2020-01-10 -18783.260000 N N N N/A N/A 000000000 1.000000 NC -64052.170000 -0.0037055 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 18986533681.000000 COP 5702518.000000 USD 2020-02-14 -64052.170000 N N N N/A N/A 000000000 1.000000 NC -625457.320000 -0.0361831 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 38901000.000000 EUR 43123886.380000 USD 2020-02-14 -625457.320000 N N N N/A N/A 000000000 1.000000 NC -42.440000 -0.0000025 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 952000.000000 EUR 1070608.060000 USD 2020-02-14 -42.440000 N N N N/A N/A 000000000 1.000000 NC -3787.690000 -0.0002191 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 162000.000000 GBP 210841.220000 USD 2020-01-10 -3787.690000 N N N N/A N/A 000000000 1.000000 NC -596.990000 -0.0000345 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 142000.000000 GBP 187534.520000 USD 2020-01-10 -596.990000 N N N N/A N/A 000000000 1.000000 NC 6579.080000 0.0003806 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1181600000.000000 JPY 10883301.100000 USD 2020-01-10 6579.080000 N N N N/A N/A 000000000 1.000000 NC 6161.970000 0.0003565 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 233000000.000000 JPY 2155501.390000 USD 2020-02-18 6161.970000 N N N N/A N/A 000000000 1.000000 NC 7925.510000 0.0004585 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 578000000.000000 JPY 5339763.220000 USD 2020-02-18 7925.510000 N N N N/A N/A 000000000 1.000000 NC -136339.640000 -0.0078873 N/A DFE KR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 9381946473.000000 KRW 7996340.580000 USD 2020-03-18 -136339.640000 N N N N/A N/A 000000000 1.000000 NC -74144.210000 -0.0042893 N/A DFE MX N 2 Citibank NA E57ODZWZ7FF32TWEFA76 130730000.000000 MXN 6820932.900000 USD 2020-01-22 -74144.210000 N N N N/A N/A 000000000 1.000000 NC -267965.240000 -0.0155019 N/A DFE TW N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 518042121.000000 TWD 17150305.270000 USD 2020-03-18 -267965.240000 N N N N/A 529900AQBND3S6YJLY83 000000000 412.000000 NC -662660.310000 -0.0383353 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-03-06 78790313.900000 EUR -662660.310000 N N N N/A 529900AQBND3S6YJLY83 000000000 -203.000000 NC 4437.970000 0.0002567 N/A DIR DE N 1 Eurex N/A Put Written Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 03/06/20 2020-03-07 N/A EUR N/A 169.500000 EUR 2020-01-24 XXXX 4437.970000 N N N N/A N/A 000000000 1.000000 NC USD 102098.070000 0.0059064 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3934000.000000 USD 4656085700.000000 KRW 2020-03-18 102098.070000 N N N N/A N/A 000000000 1.000000 NC -8622.860000 -0.0004988 N/A DFE GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 581000.000000 GBP 761126.500000 USD 2020-01-10 -8622.860000 N N N N/A N/A 000000000 1.000000 NC USD 233661.660000 0.0135175 N/A DFE IN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 15671365.360000 USD 1141588445.180000 INR 2020-03-18 233661.660000 N N N N/A N/A 000000000 1.000000 NC USD 110231.010000 0.0063769 N/A DFE KR N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 3902000.000000 USD 4628552400.000000 KRW 2020-03-18 110231.010000 N N N N/A N/A 000000000 1.000000 NC USD 477893.000000 0.0276464 N/A DFE RU N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 7575615.300000 USD 500752360.400000 RUB 2020-01-24 477893.000000 N N N N/A N/A 000000000 1.000000 NC -136182.920000 -0.0078783 N/A DFE BR N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 1520000.000000 BRL 234332.850000 USD 2021-01-05 -136182.920000 N N N N/A N/A 000000000 1.000000 NC -41184.460000 -0.0023825 N/A DFE CA N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 3800000.000000 CAD 2885178.990000 USD 2020-01-03 -41184.460000 N N N N/A MLU0ZO3ML4LN2LL2TL39 000000000 1.000000 NC -1592.420000 -0.0000921 N/A DCR GB N 2 Bank of America, N.A. 9DJT3UXIJIZJI4WXO774 HSBC HOLDINGS PLC HSBC HOLDINGS PLC SUBORD EMTN Y Single Leg Swap 2024-12-21 0.000000 EUR -2045.310000 EUR 300000.000000 EUR 452.890000 N N N N/A MLU0ZO3ML4LN2LL2TL39 000000000 1.000000 NC -4246.440000 -0.0002457 N/A DCR GB N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 HSBC HOLDINGS PLC HSBC HOLDINGS PLC SUBORD EMTN Y Single Leg Swap 2024-12-21 0.000000 EUR -5682.330000 EUR 800000.000000 EUR 1435.890000 N N N N/A N/A 000000000 -2300000.000000 NC -342.250000 -0.0000198 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 1695.270000 N N N N/A N/A 000000000 -1000000.000000 NC -76.780000 -0.0000044 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 1134.210000 N N N N/A N/A 000000000 -1900000.000000 NC -145.890000 -0.0000084 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 2768.270000 N N N N/A N/A 000000000 -1700000.000000 NC -174.040000 -0.0000101 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 1814.560000 N N N N/A N/A 000000000 -2300000.000000 NC -1533.550000 -0.0000887 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 -642.130000 N N N N/A N/A 000000000 -1400000.000000 NC -268.800000 -0.0000156 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 1440.750000 N N N N/A N/A 000000000 -6100000.000000 NC -5211.350000 -0.0003015 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 -2060.590000 N N N N/A N/A 000000000 -1300000.000000 NC -249.600000 -0.0000144 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 1243.380000 N N N N/A N/A 000000000 -1100000.000000 NC -211.200000 -0.0000122 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 1433.510000 N N N N/A N/A 000000000 -2600000.000000 NC -3978.960000 -0.0002302 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 -1877.650000 N N N N/A N/A 000000000 -2600000.000000 NC -499.200000 -0.0000289 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 2795.000000 N N N N/A N/A 000000000 -1300000.000000 NC -1989.480000 -0.0001151 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 -975.470000 N N N N/A N/A 000000000 -1100000.000000 NC -1683.400000 -0.0000974 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 -891.500000 N N N N/A N/A 000000000 -1300000.000000 NC -1989.480000 -0.0001151 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 -757.410000 N N N N/A N/A 000000000 -1400000.000000 NC -2142.510000 -0.0001239 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 -1054.610000 N N N N/A N/A 000000000 -3700000.000000 NC -3160.980000 -0.0001829 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 -879.380000 N N N N/A N/A 000000000 -1700000.000000 NC -2281.630000 -0.0001320 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 -1343.610000 N N N N/A N/A 000000000 -1300000.000000 NC -1110.620000 -0.0000643 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 -322.580000 N N N N/A N/A 000000000 -1000000.000000 NC -2235.470000 -0.0001293 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 -1574.930000 N N N N/A N/A 000000000 -3700000.000000 NC -1092.400000 -0.0000632 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 3026.050000 N N N N/A N/A 000000000 -2600000.000000 NC -499.200000 -0.0000289 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 2135.340000 N N N N/A N/A 000000000 -1300000.000000 NC -249.600000 -0.0000144 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 1227.960000 N N N N/A N/A 000000000 -2600000.000000 NC -3978.960000 -0.0002302 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 -1735.500000 N N N N/A N/A 000000000 -6100000.000000 NC -1800.980000 -0.0001042 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 5394.900000 N N N N/A N/A 000000000 -1300000.000000 NC -383.810000 -0.0000222 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 1048.980000 N N N N/A N/A 000000000 1.000000 NC USD 26863.200000 0.0015541 N/A DFE GB N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 1072778.740000 USD 830000.000000 GBP 2020-01-10 26863.200000 N N N N/A N/A 000000000 1.000000 NC USD 29632.910000 0.0017143 N/A DFE ZA N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 573422.000000 USD 8483434.440000 ZAR 2020-02-05 29632.910000 N N N N/A N/A 000000000 1.000000 NC -15789.450000 -0.0009134 N/A DFE CA N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3600000.000000 CAD 2756850.390000 USD 2020-01-23 -15789.450000 N N N N/A N/A 000000000 1.000000 NC -29588.790000 -0.0017117 N/A DFE CA N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6700000.000000 CAD 5130579.760000 USD 2020-01-22 -29588.790000 N N N N/A N/A 000000000 1.000000 NC -13493.480000 -0.0007806 N/A DFE CA N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3100000.000000 CAD 2374098.680000 USD 2020-01-27 -13493.480000 N N N N/A N/A 000000000 1.000000 NC -73200.630000 -0.0042347 N/A DFE N/A N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6938000.000000 EUR 7729502.300000 USD 2020-02-14 -73200.630000 N N N N/A N/A 000000000 1.000000 NC 50278.490000 0.0029086 N/A DFE JP N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2098000000.000000 JPY 19403557.940000 USD 2020-02-18 50278.490000 N N N N/A N/A 000000000 1.000000 NC 41030.670000 0.0023736 N/A DFE JP N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1664000000.000000 JPY 15390819.520000 USD 2020-02-18 41030.670000 N N N N/A N/A 000000000 1.000000 NC 13032.440000 0.0007539 N/A DFE JP N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 801000000.000000 JPY 7390805.690000 USD 2020-01-21 13032.440000 N N N N/A N/A 000000000 1.000000 NC -267281.900000 -0.0154624 N/A DFE ZA N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 242869000.000000 ZAR 16997346.560000 USD 2020-02-05 -267281.900000 N N N 2020-02-10 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer XXXX