BOUGHT DKK/SOLD USD

NPORT-P false 0000810893 XXXXXXXX S000009851 C000027279 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO International Portfolio S000009851 TQP7DPAB80LXP8753734 2020-03-31 2020-03-31 N 818405700.270000 292170391.270000 526235309.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 71003195.120000 USD CAD DKK EUR GBP AUD JPY N N/A N/A BOUGHT DKK/SOLD USD 000000000 1.000000 NC 438349.060000 0.0832991 N/A DFE DK N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 14644158.220000 DKK 102095000.000000 DKK 2020-04-02 438349.060000 N N N N/A N/A BOUGHT EUR/SOLD USD 000000000 1.000000 NC 2205.840000 0.0004192 N/A DFE N/A N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 108084.100000 EUR 100000.000000 EUR 2020-04-02 2205.840000 N N N N/A N/A SOLD DKK/BOUGHT USD 000000000 1.000000 NC 2036182.210000 0.3869338 N/A DFE DK N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 289186930.000000 DKK 44757803.990000 USD 2020-04-01 2036182.210000 N N N N/A N/A SOLD DKK/BOUGHT USD 000000000 1.000000 NC 266676.170000 0.0506762 N/A DFE DK N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 583410000.000000 DKK 86453909.330000 USD 2020-04-01 266676.170000 N N N N/A N/A SOLD DKK/BOUGHT USD 000000000 1.000000 NC 62826.930000 0.0119389 N/A DFE DK N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 24485000.000000 DKK 3691846.700000 USD 2020-07-01 62826.930000 N N N N/A N/A BOUGHT AUD/SOLD USD 000000000 1.000000 NC -233668.510000 -0.0444038 N/A DFE AU N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 3748349.720000 AUD 5714000.000000 AUD 2020-04-02 -233668.510000 N N N N/A N/A BOUGHT EUR/SOLD USD 000000000 1.000000 NC -65993.440000 -0.0125407 N/A DFE N/A N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 2161502.320000 EUR 1900000.000000 EUR 2020-04-02 -65993.440000 N N N N/A N/A BOUGHT EUR/SOLD USD 000000000 1.000000 NC -211774.030000 -0.0402432 N/A DFE N/A N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 15229271.530000 EUR 13616380.000000 EUR 2020-04-02 -211774.030000 N N N N/A N/A BOUGHT EUR/SOLD USD 000000000 1.000000 NC 14816.100000 0.0028155 N/A DFE N/A N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 661261.240000 EUR 613000.000000 EUR 2020-04-02 14816.100000 N N N N/A N/A SOLD EUR/BOUGHT USD 000000000 1.000000 NC -364492.480000 -0.0692642 N/A DFE N/A N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 150451833.830000 EUR 165568746.630000 USD 2020-04-02 -364492.480000 N N N N/A N/A BOUGHT EUR/SOLD USD 000000000 1.000000 NC -182093.400000 -0.0346030 N/A DFE N/A N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 47717251.080000 EUR 43100175.000000 EUR 2020-04-02 -182093.400000 N N N N/A N/A IRS AUD 1.25000 06/17/20-10Y LCH 000000000 1.000000 NC -3826854.250000 -0.7272135 N/A DIR AU N 2 London Clearing house N/A AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2030-06-17 0.000000 AUD -3446586.970000 AUD 188900000.000000 AUD -380267.280000 N N N N/A N/A IRS CAD 1.50000 06/17/20-10Y LCH 000000000 1.000000 NC -3635596.370000 -0.6908690 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2030-06-17 0.000000 CAD -4376912.680000 CAD 141900000.000000 CAD 741316.310000 N N N N/A N/A IRS EUR -0.15000 03/18/20-10Y LCH 000000000 1.000000 NC 165274.260000 0.0314069 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2030-03-18 413873.970000 EUR 0.000000 EUR 12000000.000000 EUR -248599.710000 N N N N/A N/A IRS EUR -0.30000 06/17/20-2Y LCH 000000000 1.000000 NC -315443.850000 -0.0599435 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2022-06-17 0.000000 EUR -380171.410000 EUR 475500000.000000 EUR 64727.560000 N N N N/A N/A IRS EUR -0.50000 03/18/20-2Y LCH 000000000 1.000000 NC 729238.990000 0.1385766 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2022-03-18 105814.790000 EUR 0.000000 EUR 215400000.000000 EUR 623424.200000 N N N N/A N/A IRS EUR -0.50000 03/18/20-5Y LCH 000000000 1.000000 NC 1949251.350000 0.3704144 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2025-03-18 880083.920000 EUR 0.000000 EUR 138400000.000000 EUR 1069167.430000 N N N N/A N/A IRS EUR 0.15000 06/17/20-10Y LCH 000000000 1.000000 NC 3631908.420000 0.6901681 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2030-06-17 1813260.120000 EUR 0.000000 EUR 207600000.000000 EUR 1818648.300000 N N N N/A N/A IRS GBP 0.75000 03/18/20-10Y LCH 000000000 1.000000 NC -266471.440000 -0.0506373 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2030-03-18 1640596.470000 GBP 0.000000 GBP 66800000.000000 GBP -1907067.910000 N N N N/A N/A IRS GBP 0.75000 03/18/20-30Y LCH 000000000 1.000000 NC -1579415.730000 -0.3001349 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2050-03-18 689362.970000 GBP 0.000000 GBP 28300000.000000 GBP -2268778.700000 N N N N/A N/A IRS GBP 0.75000 03/18/20-5Y LCH 000000000 1.000000 NC 361782.330000 0.0687492 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2025-03-18 10194.530000 GBP 0.000000 GBP 24900000.000000 GBP 351587.800000 N N N N/A N/A IRS GBP 1.00000 06/17/20-30Y LCH 000000000 1.000000 NC -8021582.540000 -1.5243338 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2050-06-17 1016324.030000 GBP 0.000000 GBP 55200000.000000 GBP -9037906.570000 N N N N/A N/A IRS JPY -0.01000 11/19/19-7Y LCH 000000000 1.000000 NC 44281.270000 0.0084147 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2026-11-19 24407.280000 JPY 0.000000 JPY 3390000000.000000 JPY 19873.990000 N N N N/A N/A IRS JPY 0.00000 06/17/20-10Y LCH 000000000 1.000000 NC 267552.450000 0.0508427 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2030-06-17 232985.380000 JPY 0.000000 JPY 10420000000.000000 JPY 34567.070000 N N N N/A N/A IRS JPY 0.30000 03/18/16-10Y CME 000000000 1.000000 NC -496044.240000 -0.0942628 N/A DIR JP N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2026-03-18 0.000000 JPY -144650.650000 JPY 2570000000.000000 JPY -351393.590000 N N N N/A N/A IRS JPY 0.30000 03/18/16-10Y LCH 000000000 1.000000 NC -3122955.540000 -0.5934523 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2026-03-18 0.000000 JPY -638951.210000 JPY 16180000000.000000 JPY -2484004.330000 N N N N/A N/A IRS JPY 0.30000 03/20/18-10Y LCH 000000000 1.000000 NC -123529.640000 -0.0234742 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2028-03-21 11797.510000 JPY 0.000000 JPY 530000000.000000 JPY -135327.150000 N N N N/A N/A IRS JPY 0.45000 03/20/19-10Y LCH 000000000 1.000000 NC -298287.190000 -0.0566832 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2029-03-21 0.000000 JPY -72393.840000 JPY 799000000.000000 JPY -225893.350000 N N N N/A N/A IRS JPY 0.70500 10/31/18-20Y LCH 000000000 1.000000 NC -1206364.880000 -0.2292444 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2038-10-29 71821.030000 JPY 0.000000 JPY 1170000000.000000 JPY -1278185.910000 N N N N/A N/A IRS JPY 0.75000 03/20/18-20Y LCH 000000000 1.000000 NC -7384010.490000 -1.4031766 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2038-03-22 636294.780000 JPY 0.000000 JPY 7000000000.000000 JPY -8020305.270000 N N N N/A N/A IRS JPY 0.75000 12/20/18-20Y LCH 000000000 1.000000 NC -2221760.840000 -0.4221991 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2038-12-20 0.000000 JPY -94268.140000 JPY 2010000000.000000 JPY -2127492.700000 N N N N/A N/A IRS JPY 0.78500 11/12/18-20Y LCH 000000000 1.000000 NC -971348.100000 -0.1845844 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2038-11-12 0.000000 JPY 0.000000 JPY 830000000.000000 JPY -971348.100000 N N N N/A N/A IRS JPY 1.00000 03/21/18-30Y LCH 000000000 1.000000 NC 832570.580000 0.1582126 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2048-03-23 855911.000000 JPY 0.000000 JPY 390000000.000000 JPY -23340.420000 N N N ASSET BACKED FUNDING CERTS 2004-OPT5 N/A ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT5 A1 04542BJY9 372497.580000 PA USD 341652.400000 0.0649239 Long ABS-MBS CORP US N 2 2034-06-25 Floating 1.64663 N N N N N N N/A N/A OIS GBP SONIO/0.5 09/16/20 LCH 000000000 1.000000 NC -946733.350000 -0.1799068 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2030-09-16 521964.610000 GBP 0.000000 GBP 42100000.000000 GBP -1468697.960000 N N N N/A N/A OIS GBP SONIO/0.5 09/16/20 LCH 000000000 1.000000 NC 186120.960000 0.0353684 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2025-09-16 2584.800000 GBP 0.000000 GBP 12500000.000000 GBP 183536.160000 N N N N/A N/A BOUGHT CAD/SOLD USD 000000000 1.000000 NC -830763.710000 -0.1578692 N/A DFE CA N 2 The Toronto-Dominion Bank PT3QB789TSUIDF371261 17514747.400000 CAD 23479131.900000 CAD 2020-04-02 -830763.710000 N N N N/A N/A BOUGHT CAD/SOLD USD 000000000 1.000000 NC -71564.350000 -0.0135993 N/A DFE CA N 2 The Toronto-Dominion Bank PT3QB789TSUIDF371261 3370112.720000 CAD 4642000.000000 CAD 2020-04-02 -71564.350000 N N N ASSET BACKED SEC HOME EQTY LN 2007-HE2 N/A ASSET BACKED SECURITIES CORP H ABSHE 2007 HE2 A2 04544TAB7 47171.910000 PA USD 33782.030000 0.0064196 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.02663 N N N N N N N/A N/A BOUGHT GBP/SOLD USD 000000000 1.000000 NC -689256.850000 -0.1309788 N/A DFE GB N 2 The Toronto-Dominion Bank PT3QB789TSUIDF371261 16836560.000000 GBP 13000000.000000 GBP 2020-04-02 -689256.850000 N N N N/A N/A SOLD EUR/BOUGHT USD 000000000 1.000000 NC -451139.780000 -0.0857297 N/A DFE N/A N 2 The Toronto-Dominion Bank PT3QB789TSUIDF371261 181077931.150000 EUR 199259604.060000 USD 2020-04-02 -451139.780000 N N N N/A N/A BOUGHT EUR/SOLD USD 000000000 1.000000 NC -12516.010000 -0.0023784 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 473527.960000 EUR 418000.000000 EUR 2020-04-02 -12516.010000 N N N N/A N/A SOLD CAD/BOUGHT USD 000000000 1.000000 NC 1074100.360000 0.2041103 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 28061000.000000 CAD 21013903.430000 USD 2020-04-02 1074100.360000 N N N N/A ECTRVYYCEF89VWYS6K36 31750G580 GBP CALL USD PUT MAY20 1.45 CALL 000000000 49800000.000000 NC 10330.050000 0.0019630 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 Call Purchased None N/A N/A ECTRVYYCEF89VWYS6K36 GBP - USD 000000000 0.000000 NC USD 0.000000 0.000000 DFE GB 0.000000 N/A 0.000000 N/A 2020-05-01 N/A 1.450000 GBP 2020-05-01 XXXX 3951.920000 N N N N/A ECTRVYYCEF89VWYS6K36 G M0C152 JUN20 152 CALL FSO 000000000 482.000000 NC -6471.270000 -0.0012297 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Call Purchased Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ECTRVYYCEF89VWYS6K36 FIN FUT UK GILT ICE 06/26/20 000000000 0.000000 NC 0.000000 0.000000 DIR GB N/A N/A FIN FUT UK GILT ICE 06/26/20 2020-06-27 N/A GBP N/A 152.000000 GBP 2020-05-22 XXXX -6471.270000 N N N N/A ECTRVYYCEF89VWYS6K36 G M0C153 JUN20 153 CALL FSO 000000000 185.000000 NC -2483.780000 -0.0004720 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Call Purchased Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ECTRVYYCEF89VWYS6K36 FIN FUT UK GILT ICE 06/26/20 000000000 0.000000 NC 0.000000 0.000000 DIR GB N/A N/A FIN FUT UK GILT ICE 06/26/20 2020-06-27 N/A GBP N/A 153.000000 GBP 2020-05-22 XXXX -2483.780000 N N N N/A ECTRVYYCEF89VWYS6K36 LONG GILT FUTURE JUN20 IFLL 20200626 000000000 -615.000000 NC -21942.510000 -0.0041697 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2020-06-26 -104034403.690000 GBP -21942.510000 N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A BEAR STEARNS ALT A TRUST BALTA 2005 10 24A1 07386HZJ3 760536.210000 PA USD 724261.670000 0.1376308 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 3.59556 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A BEAR STEARNS ALT A TRUST BALTA 2006 4 21A1 073871AN5 29690.580000 PA USD 25722.690000 0.0048881 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.83917 Y N N N N N BEAR STEARNS ASSETBK SECU INC 2002- N/A BEAR STEARNS ASSET BACKED SECU BSABS 2002 2 A1 07384YEM4 60644.970000 PA USD 59030.040000 0.0112174 Long ABS-MBS CORP US N 2 2032-10-25 Floating 1.60663 N N N N N N BELGIUM GOVT 549300SZ25JZFHRHWD76 TREASURY CERTIFICATES BILLS 05/20 0.00000 ACI1C1J15 36000000.000000 PA 39727620.990000 7.5494024 Long DBT NUSS BE N 2 2020-05-14 None 0 N N N N N N CIT GROUP HOME EQUITY LOAN TRUS 2002-2 N/A CIT GROUP HOME EQUITY LOAN TRU CITHE 2002 2 AV 12558MBB7 10664.980000 PA USD 10557.500000 0.0020062 Long ABS-MBS CORP US N 2 2033-06-25 Floating 1.48663 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-3 N/A CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2A 17307GTJ7 23330.240000 PA USD 20412.810000 0.0038790 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.44035 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA22 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA22 A1 23245PAA9 104531.380000 PA USD 84714.430000 0.0160982 Long ABS-MBS CORP US N 2 2047-02-25 Floating 1.10663 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-31 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 31 2A1 12667GZB2 349009.010000 PA USD 294718.460000 0.0560051 Long ABS-MBS CORP US N 2 2035-08-25 Floating 1.24663 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-38 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 38 A3 12667GZ30 1198800.530000 PA USD 1048155.660000 0.1991800 Long ABS-MBS CORP US N 2 2035-09-25 Floating 1.29663 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-61 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 1A1 12668AVL6 44504.380000 PA USD 36993.080000 0.0070298 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.46663 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-61 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 2A1 12668AVP7 222980.120000 PA USD 192416.570000 0.0365647 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.22663 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-62 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 1A1 12668ATN5 868149.840000 PA USD 653964.690000 0.1242723 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.24663 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1 12668BBN2 121471.470000 PA USD 96771.210000 0.0183893 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.22663 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA19 A1 12668RAA6 4652817.260000 PA USD 3157146.820000 0.5999496 Long ABS-MBS CORP US N 2 2047-02-20 Floating 0.95288 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1 126694A32 397057.090000 PA USD 304977.640000 0.0579546 Long ABS-MBS CORP US N 2 2046-03-20 Floating 0.98288 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2002-3 N/A COUNTRYWIDE ASSET BACKED CERTI CWL 2002 3 1A1 126671RM0 103184.100000 PA USD 99031.450000 0.0188189 Long ABS-MBS CORP US N 2 2032-05-25 Floating 1.68663 N N N N N N COUNTRYWIDE HOME LOANS 2004-12 N/A COUNTRYWIDE HOME LOANS CWHL 2004 12 12A1 12669FN82 6740.400000 PA USD 6642.530000 0.0012623 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.10665 Y N N N N N COUNTRYWIDE HOME LOANS 2004-16 N/A COUNTRYWIDE HOME LOANS CWHL 2004 16 1A4A 12669FY23 7506.590000 PA USD 6602.160000 0.0012546 Long ABS-MBS CORP US N 2 2034-09-25 Floating 1.70663 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A COUNTRYWIDE HOME LOANS CWHL 2004 25 1A1 12669GJY8 9446.810000 PA USD 8176.450000 0.0015538 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.60663 N N N N N N COUNTRYWIDE HOME LOANS 2005-1 N/A COUNTRYWIDE HOME LOANS CWHL 2005 1 2A1 12669GRQ6 532916.160000 PA USD 406833.260000 0.0773101 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.52663 Y N N N N N COUNTRYWIDE HOME LOANS 2005-11 N/A COUNTRYWIDE HOME LOANS CWHL 2005 11 6A1 12669GUX7 42964.990000 PA USD 32925.990000 0.0062569 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.54663 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1 12669GPN5 2823455.220000 PA USD 2194736.120000 0.4170636 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.58663 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1 12669GPR6 16548.240000 PA USD 14287.700000 0.0027151 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.58663 N N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1 12669GTV3 4164.370000 PA USD 3724.650000 0.0007078 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.52663 N N N N N N COUNTRYWIDE HOME LOANS 2005-9 N/A COUNTRYWIDE HOME LOANS CWHL 2005 9 1A3 12669GZQ7 131161.630000 PA USD 104944.480000 0.0199425 Long ABS-MBS CORP US N 2 2035-05-25 Floating 1.40663 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1 12465MAA2 38236.320000 PA USD 19264.340000 0.0036608 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.00663 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB1 N/A CREDIT BASED ASSET SERVICING A CBASS 2007 CB1 AF1A 1248MGAJ3 299456.520000 PA USD 111492.660000 0.0211868 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.01663 Y N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1 22540A7A0 93202.170000 PA USD 83145.640000 0.0158001 Long ABS-MBS CORP US N 2 2032-01-25 Floating 1.56663 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-8 N/A CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 8 5A1 22541NX20 9917.130000 PA USD 10306.870000 0.0019586 Long ABS-MBS CORP US N 2 2033-04-25 Fixed 6.5 N N N N N N DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4 N/A DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A1B1 251513AR8 2782.830000 PA USD 1921.760000 0.0003652 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.04663 Y N N N N N DSLA MORTGAGE LOAN TRUST 2005-AR2 N/A DSLA MORTGAGE LOAN TRUST DSLA 2005 AR2 2A1A 23332UDC5 338342.810000 PA USD 300113.460000 0.0570303 Long ABS-MBS CORP US N 2 2045-03-19 Floating 0.96 N N N N N N DSLA MORTGAGE LOAN TRUST 2005-AR4 N/A DSLA MORTGAGE LOAN TRUST DSLA 2005 AR4 2A1A 23332UEM2 153733.210000 PA USD 129235.330000 0.0245585 Long ABS-MBS CORP US N 2 2045-08-19 Floating 1.01 N N N N N N DSLA MORTGAGE LOAN TRUST 2005-AR5 N/A DSLA MORTGAGE LOAN TRUST DSLA 2005 AR5 2A1A 23332UFF6 1433533.490000 PA USD 993468.960000 0.1887880 Long ABS-MBS CORP US N 2 2045-09-19 Floating 1.08 N N N N N N FANNIE MAE 1999-37 N/A FANNIE MAE FNR 1999 37 F 31359V6Z1 1499.800000 PA USD 1493.450000 0.0002838 Long ABS-MBS USGSE US N 2 2029-06-25 Floating 1.34663 N N N N N N FANNIE MAE 2004-11 N/A FANNIE MAE FNR 2004 11 A 31393T7H3 4474.020000 PA USD 4459.790000 0.0008475 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 1.06663 N N N N N N FANNIE MAE 2004-63 N/A FANNIE MAE FNR 2004 63 FA 31394ANT9 2580.820000 PA USD 2557.950000 0.0004861 Long ABS-MBS USGSE US N 2 2034-08-25 Floating 1.09663 N N N N N N FANNIE MAE-1993-156 N/A FANNIE MAE FNR 1993 156 ZB 31359DJT1 5532.830000 PA USD 5939.130000 0.0011286 Long ABS-MBS USGSE US N 2 2023-09-25 Fixed 7 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A FANNIEMAE WHOLE LOAN FNW 2003 W6 F 31393BX75 26202.110000 PA USD 25883.120000 0.0049185 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 1.97675 N N N N N N FANNIEMAE WHOLE LOAN 2004-W12 N/A FANNIEMAE WHOLE LOAN FNW 2004 W12 1A1 31394A6Y7 14451.930000 PA USD 16731.920000 0.0031796 Long ABS-MBS USGSE US N 2 2044-07-25 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL 1G2602 FH 10/36 FLOATING VAR 3128QS3K0 16474.510000 PA USD 16664.350000 0.0031667 Long ABS-MBS USGSE US N 2 2036-10-01 Floating 4.48 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1 31395M2F5 26371.380000 PA USD 25834.990000 0.0049094 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 3.25238 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-35 N/A FHLMC STRUCTURED PASS THROUGH FSPC T 35 A 313398VT3 18347.900000 PA USD 18186.430000 0.0034560 Long ABS-MBS USGSE US N 2 2031-09-25 Floating 1.08663 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-61 N/A FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1 31395A3J2 16539.260000 PA USD 17388.020000 0.0033042 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 3.36585 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-62 N/A FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1 31395HHV5 56622.690000 PA USD 55792.480000 0.0106022 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 3.16585 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 594243 FN 12/30 FLOATING VAR 31387UEQ0 1876.880000 PA USD 1898.430000 0.0003608 Long ABS-MBS USGSE US N 2 2030-12-01 Floating 4.381 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 800171 FN 12/34 FLOATING VAR 31405U6G9 3657.140000 PA USD 3667.770000 0.0006970 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 3.516 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 841068 FN 11/34 FLOATING VAR 31407UMR5 15495.070000 PA USD 15792.260000 0.0030010 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 4.343 N N N N N N FREDDIE MAC 2073 N/A FREDDIE MAC FHR 2073 PH 3133TER55 162024.580000 PA USD 191057.070000 0.0363064 Long ABS-MBS USGSE US N 2 2028-07-15 Fixed 6.5 N N N N N N FREDDIE MAC 2395 N/A FREDDIE MAC FHR 2395 FT 31339LMA5 905.980000 PA USD 903.460000 0.0001717 Long ABS-MBS USGSE US N 2 2031-12-15 Floating 1.15463 N N N N N N FREDDIE MAC WHOLE LOAN 2005-S001 N/A FREDDIE MAC WHOLE LOAN FHW 2005 S001 1A2 35562QAB4 1174034.990000 PA USD 1169234.710000 0.2221886 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 1.77675 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008025 G2 08/22 FLOATING VAR 36202J4J4 4364.300000 PA USD 4410.260000 0.0008381 Long ABS-MBS USGSE US N 2 2022-08-20 Floating 3.25 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008071 G2 11/22 FLOATING VAR 36202J6G8 11049.300000 PA USD 11168.410000 0.0021223 Long ABS-MBS USGSE US N 2 2022-11-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008216 G2 06/23 FLOATING VAR 36202KDV4 8916.280000 PA USD 9129.850000 0.0017349 Long ABS-MBS USGSE US N 2 2023-06-20 Floating 3.875 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008505 G2 09/24 FLOATING VAR 36202KNW1 35585.090000 PA USD 36565.310000 0.0069485 Long ABS-MBS USGSE US N 2 2024-09-20 Floating 3.25 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008528 G2 10/24 FLOATING VAR 36202KPM1 22152.270000 PA USD 22734.760000 0.0043203 Long ABS-MBS USGSE US N 2 2024-10-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008595 G2 02/25 FLOATING VAR 36202KRQ0 23283.210000 PA USD 23923.300000 0.0045461 Long ABS-MBS USGSE US N 2 2025-02-20 Floating 4 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008651 G2 07/25 FLOATING VAR 36202KTG0 7133.170000 PA USD 7333.430000 0.0013936 Long ABS-MBS USGSE US N 2 2025-07-20 Floating 3.25 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008696 G2 09/25 FLOATING VAR 36202KUV5 7347.080000 PA USD 7423.090000 0.0014106 Long ABS-MBS USGSE US N 2 2025-09-20 Floating 3.25 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008699 G2 09/25 FLOATING VAR 36202KUY9 4912.270000 PA USD 5052.390000 0.0009601 Long ABS-MBS USGSE US N 2 2025-09-20 Floating 3.25 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008849 G2 04/26 FLOATING VAR 36202KZN8 9912.000000 PA USD 10010.580000 0.0019023 Long ABS-MBS USGSE US N 2 2026-04-20 Floating 3.875 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008865 G2 05/26 FLOATING VAR 36202KZ65 13860.240000 PA USD 14302.970000 0.0027180 Long ABS-MBS USGSE US N 2 2026-05-20 Floating 3.875 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008931 G2 03/22 FLOATING VAR 36202K4Q5 3254.660000 PA USD 3286.850000 0.0006246 Long ABS-MBS USGSE US N 2 2022-03-20 Floating 4 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008954 G2 04/22 FLOATING VAR 36202K5P6 3377.740000 PA USD 3410.400000 0.0006481 Long ABS-MBS USGSE US N 2 2022-04-20 Floating 3.875 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 008966 G2 09/26 FLOATING VAR 36202K6B6 5906.550000 PA USD 5969.150000 0.0011343 Long ABS-MBS USGSE US N 2 2026-09-20 Floating 3.25 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080397 G2 04/30 FLOATING VAR 36225CNP7 44315.480000 PA USD 46164.550000 0.0087726 Long ABS-MBS USGSE US N 2 2030-04-20 Floating 3.875 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080409 G2 05/30 FLOATING VAR 36225CN36 174615.580000 PA USD 181926.390000 0.0345713 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 3.875 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080418 G2 06/30 FLOATING VAR 36225CPC4 54146.260000 PA USD 56417.450000 0.0107210 Long ABS-MBS USGSE US N 2 2030-06-20 Floating 3.875 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 810278 G2 11/24 FLOATING VAR 36208ADM0 53092.070000 PA USD 53673.370000 0.0101995 Long ABS-MBS USGSE US N 2 2024-11-20 Floating 3.125 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 PIMCO PRV SHORT TERM FLT III MUTUAL FUND 000000000 20023860.760000 PA USD 196654336.510000 37.3700383 Long STIV RF US N 1 N N N GOVERNMENT NATIONAL MTGE ASSOC 2004-68 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2004 68 ZC 38374HVU1 355282.450000 PA USD 411060.800000 0.0781135 Long ABS-MBS USGSE US N 2 2034-08-20 Fixed 6 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR2 N/A GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR2 A1 39538RBB4 1474899.790000 PA USD 1164987.500000 0.2213815 Long ABS-MBS CORP US N 2 2045-06-25 Floating 1.40663 N N N N N N GSR MTGE LOAN TRUST 2003-2F N/A GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1 36228FNB8 135.820000 PA USD 142.120000 0.0000270 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-10 N/A HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 10 2A1A 41161PTN3 232329.830000 PA USD 188881.130000 0.0358929 Long ABS-MBS CORP US N 2 2035-11-19 Floating 1.06 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-3 N/A HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 3 2A1A 41161PMG5 281140.580000 PA USD 261646.550000 0.0497204 Long ABS-MBS CORP US N 2 2035-06-19 Floating 1.23 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-8 N/A HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 8 1A2A 41161PQU0 16790.460000 PA USD 13284.560000 0.0025245 Long ABS-MBS CORP US N 2 2035-09-19 Floating 1.41 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-9 N/A HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 2A1A 41161PSK0 54261.780000 PA USD 50448.750000 0.0095867 Long ABS-MBS CORP US N 2 2035-06-20 Floating 1.11288 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-1 N/A HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A 41161PA86 1177855.160000 PA USD 951826.290000 0.1808747 Long ABS-MBS CORP US N 2 2036-03-19 Floating 1.23 Y N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 2A1A 41161PYW7 47743.870000 PA USD 43715.290000 0.0083072 Long ABS-MBS CORP US N 2 2036-01-19 Floating 1.23 Y N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A 41161PYZ0 1853387.330000 PA USD 1287779.850000 0.2447156 Long ABS-MBS CORP US N 2 2036-01-19 Floating 1.25 Y N N N N N HOME EQUITY PASS-THRU CERTS 2002-1 N/A HOME EQUITY ASSET TRUST HEAT 2002 1 A4 22541NAD1 1282.980000 PA USD 1001.880000 0.0001904 Long ABS-MBS CORP US N 2 2032-11-25 Floating 1.54663 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE1 N/A HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A1 44328AAB6 27068.490000 PA USD 12635.280000 0.0024011 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.99663 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 JYSKE REALKREDIT A/S COVERED 04/20 1 BWSW6VII6 300000000.000000 PA 44319037.980000 8.4219050 Long DBT CORP DK N 2 2020-04-01 Fixed 1 N N N N N N LEHMAN XS TRUST 2007-9 N/A LEHMAN XS TRUST LXS 2007 9 WF1 52524MAT6 11064.710000 PA USD 11016.450000 0.0020934 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.09663 Y N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1 542514HN7 27830.410000 PA USD 22361.510000 0.0042493 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.50663 N N N N N N MERRILL LYNCH MORTGAGE INVESTO-2006-RM4 N/A MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM4 A2A 59023QAB7 39894.070000 PA USD 21893.740000 0.0041604 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.02663 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2B 617526AD0 1702662.130000 PA USD 974565.830000 0.1851958 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.04663 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE6 N/A MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A1 61755CAA0 61654.170000 PA USD 51282.070000 0.0097451 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.00663 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC1 N/A MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2B 617505AC6 5642356.180000 PA USD 2924178.170000 0.5556788 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.04663 N N N N N N NETHERLANDS GOVT 254900G14ALGVKORFN62 DUTCH TREASURY CERT BILLS 05/20 0.00000 ACI1H6QL7 36000000.000000 PA 39746887.540000 7.5530636 Long DBT NUSS NL N 2 2020-05-29 None 0 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AR5 N/A NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR5 2A1 65535VPU6 17291.190000 PA USD 15617.690000 0.0029678 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.3225 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 NYKREDIT REALKREDIT AS COVERED REGS 04/21 1 ACI1LCLC4 270000000.000000 PA 40388117.390000 7.6749159 Long DBT CORP DK N 3 2021-04-01 Fixed 1 N N N N N N PROVINCE OF ONTARIO CANADA C7PVKCRGLG18EBQGZV36 ONTARIO T BILL BILLS 09/20 0.00000 6832Z5EL0 12000000.000000 PA 8508036.670000 1.6167742 Long DBT NUSS CA N 2 2020-09-16 None 0 N N N N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 PROVINCE OF QUEBEC DEBENTURES 06/32 6.25 748148QT3 8000000.000000 PA 8221335.490000 1.5622926 Long DBT NUSS CA N 2 2032-06-01 Fixed 6.25 N N N N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 QUEBEC T BILL BILLS 06/20 0.00000 0985ZUTT4 39000000.000000 PA 27687699.850000 5.2614675 Long DBT NUSS CA N 2 2020-06-26 None 0 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO3 N/A RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO3 A1 761118WP9 138839.320000 PA USD 51129.380000 0.0097161 Long ABS-MBS CORP US N 2 2046-04-25 Floating 1.15663 N N N N N N SEQUOIA MORTGAGE TRUST 2003-4 N/A SEQUOIA MORTGAGE TRUST SEMT 2003 4 2A1 81743PBW5 522880.660000 PA USD 446291.560000 0.0848084 Long ABS-MBS CORP US N 2 2033-07-20 Floating 1.12288 N N N N N N SEQUOIA MORTGAGE TRUST 2004-9 N/A SEQUOIA MORTGAGE TRUST SEMT 2004 9 A2 81744FDW4 179985.990000 PA USD 162409.960000 0.0308626 Long ABS-MBS CORP US N 2 2034-10-20 Floating 1.672 N N N N N N SEQUOIA MORTGAGE TRUST 5 N/A SEQUOIA MORTGAGE TRUST SEMT 5 A 81743WAA9 5095.690000 PA USD 4729.850000 0.0008988 Long ABS-MBS CORP US N 2 2026-10-19 Floating 1.1 N N N N N N SLM STUDENT LOAN TRUST 2008-9 N/A SLM STUDENT LOAN TRUST SLMA 2008 9 A 78445JAA5 2438586.170000 PA USD 2417467.770000 0.4593891 Long ABS-O CORP US N 2 2023-04-25 Floating 3.29413 N N N N N N SMALL BUSINESS ADMIN PART CERT 2005-20B N/A SMALL BUSINESS ADMINISTRATION SBAP 2005 20B 1 83162CPH0 10009.790000 PA USD 10509.000000 0.0019970 Long ABS-O CORP US N 2 2025-02-01 Fixed 4.625 N N N N N N SMALL BUSINESS ADMIN PART CERT 2005-20J N/A SMALL BUSINESS ADMINISTRATION SBAP 2005 20J 1 83162CPV9 4796.430000 PA USD 5052.410000 0.0009601 Long ABS-O CORP US N 2 2025-10-01 Fixed 5.09 N N N N N N SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1 N/A SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A1 144A 83611DAA6 264801.770000 PA USD 93386.710000 0.0177462 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.00663 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BONOS Y OBLIG DEL ESTADO BONDS 144A REGS 10/29 0.6 ACI1CLSY9 38400000.000000 PA 42260395.140000 8.0307031 Long DBT NUSS ES N 2 2029-10-31 Fixed 0.6 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 04/29 1 ACI17SZK2 53400000.000000 PA 63339456.420000 12.0363372 Long DBT NUSS ES N 2 2029-04-30 Fixed 1.45 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 07/28 1 BD35VZII7 7000000.000000 PA 8263288.850000 1.5702650 Long DBT NUSS ES N 2 2028-07-30 Fixed 1.4 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 07/35 1 BJRJGGII7 18300000.000000 PA 22550228.740000 4.2851987 Long DBT NUSS ES N 2 2035-07-30 Fixed 1.85 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/48 2 BFX170II2 7000000.000000 PA 9830306.330000 1.8680439 Long DBT NUSS ES N 2 2048-10-31 Fixed 2.7 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR3 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2 86359LBY4 2576.950000 PA USD 2289.790000 0.0004351 Long ABS-MBS CORP US N 2 2034-07-19 Floating 1.33 N N N N N N STRUCTURED ASSET SEC CORP 2005-7XS N/A STRUCTURED ASSET SECURITIES CO SASC 2005 7XS 2A1A 86359B7K1 5931.330000 PA USD 5488.470000 0.0010430 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.08113 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2004-1 N/A THORNBURG MORTGAGE SECURITIES TMST 2004 1 I1A 885220ET6 72727.920000 PA USD 62117.590000 0.0118041 Long ABS-MBS CORP US N 2 2044-03-25 Floating 1.48663 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 UK TREASURY BILL GBP BILLS 05/20 0.00000 ACI1GXJL7 33000000.000000 PA 40982980.890000 7.7879572 Long DBT NUSS GB N 2 2020-05-18 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 04/20 0.00000 9127962A6 4749000.000000 PA USD 4748949.520000 0.9024384 Long DBT UST US N 2 2020-04-07 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 04/20 0.00000 9127962C2 1209000.000000 PA USD 1208963.730000 0.2297382 Long DBT UST US N 2 2020-04-21 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 04/20 0.00000 9127962D0 5061000.000000 PA USD 5060876.620000 0.9617136 Long DBT UST US N 2 2020-04-28 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 04/20 0.00000 912796SM2 2000.000000 PA USD 1999.960000 0.0003801 Long DBT UST US N 2 2020-04-23 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 05/20 0.00000 9127962L2 5047000.000000 PA USD 5046466.890000 0.9589753 Long DBT UST US N 2 2020-05-12 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 05/20 0.00000 912796SR1 4612000.000000 PA USD 4611453.940000 0.8763102 Long DBT UST US N 2 2020-05-21 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 05/20 0.00000 912796TW9 4935000.000000 PA USD 4934197.130000 0.9376408 Long DBT UST US N 2 2020-05-28 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 06/20 0.00000 912796SV2 6668000.000000 PA USD 6666497.490000 1.2668282 Long DBT UST US N 2 2020-06-18 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 06/20 0.00000 912796TZ2 1624000.000000 PA USD 1623662.890000 0.3085431 Long DBT UST US N 2 2020-06-11 None 0 N N N N N N WASHINGTON MUTUAL 2002 AR2 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A 929227LE4 6185.300000 PA USD 5569.880000 0.0010584 Long ABS-MBS CORP US N 2 2034-02-27 Floating 2.234 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A 929227XB7 2047.440000 PA USD 1754.730000 0.0003334 Long ABS-MBS CORP US N 2 2042-11-25 Floating 3.16585 N N N N N N WASHINGTON MUTUAL 2002-AR9 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A 9393357P4 8597.490000 PA USD 7421.220000 0.0014102 Long ABS-MBS CORP US N 2 2042-08-25 Floating 3.36585 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1A 939336X40 11986.920000 PA USD 11004.270000 0.0020911 Long ABS-MBS CORP US N 2 2045-01-25 Floating 1.58663 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1 92922F4M7 20191.000000 PA USD 18544.090000 0.0035239 Long ABS-MBS CORP US N 2 2045-10-25 Floating 1.23663 N N N N N N WASHINGTON MUTUAL 2005-AR2 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A 92922FD21 11588.290000 PA USD 10405.010000 0.0019773 Long ABS-MBS CORP US N 2 2045-01-25 Floating 1.25663 N N N N N N WASHINGTON MUTUAL 2005-AR9 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR9 A1A 92922FU48 10594.220000 PA USD 9291.420000 0.0017656 Long ABS-MBS CORP US N 2 2045-07-25 Floating 1.58663 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A 93363RAB2 33839.860000 PA USD 27283.710000 0.0051847 Long ABS-MBS CORP US N 2 2046-10-25 Floating 2.484 N N N N N N WASHINGTON MUTUAL 2006-AR15 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 2A 93363QAC2 348559.690000 PA USD 290772.400000 0.0552552 Long ABS-MBS CORP US N 2 2046-11-25 Floating 2.484 N N N N N N WASHINGTON MUTUAL 2006-AR17 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A1A 92925DAB6 120743.050000 PA USD 100184.480000 0.0190380 Long ABS-MBS CORP US N 2 2046-12-25 Floating 2.86333 N N N N N N WASHINGTON MUTUAL ASSET BACKED 2006-HE5 N/A WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A1 93934XAB9 27877.890000 PA USD 12339.020000 0.0023448 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.00663 N N N N N N N/A N/A J P MORGAN TERM REPO 000000000 3400000.000000 PA USD 3400000.000000 0.6460988 Long RA US N 2 Repurchase N 0.0000000 2020-04-01 3400000.000000 USD 3472515.610000 USD UST N N N N/A N/A PARIBAS REPO 000000000 6800000.000000 PA USD 6800000.000000 1.2921976 Long RA US N 2 Repurchase N 0.0000000 2020-04-01 6395359.780000 USD 6928675.410000 USD UST N N N N/A N/A REPO TORONTO DOMINION GRAND CAYMAN 000000000 3400000.000000 PA USD 3400000.000000 0.6460988 Long RA KY N 2 Repurchase N 0.0000000 2020-04-01 3542481.600000 USD 3472066.310000 USD UST N N N N/A 213800J6B7JSBDETCB42 AUST 10Y BOND FUT JUN20 XSFE 20200615 000000000 1212.000000 NC 210479.830000 0.0399973 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Long N/A AUSTRALIA GOVT 2020-06-15 112280503.570000 AUD 210479.830000 N N N AMERICAN HOME MTGE INV TRUST 2004-3 N/A AMERICAN HOME MORTGAGE INVESTM AHM 2004 3 5A 02660TBP7 103.110000 PA USD 103.130000 0.0000196 Long ABS-MBS CORP US N 2 2034-10-25 Floating 3.501 N N N N N N N/A N/A BOUGHT EUR/SOLD USD 000000000 1.000000 NC -428730.230000 -0.0814712 N/A DFE N/A N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 15869322.000000 EUR 14000000.000000 EUR 2020-04-02 -428730.230000 N N N N/A N/A BOUGHT JPY/SOLD USD 000000000 1.000000 NC 1855.290000 0.0003526 N/A DFE JP N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 613815.480000 JPY 66200000.000000 JPY 2020-04-02 1855.290000 N N N N/A N/A SOLD GBP/BOUGHT USD 000000000 1.000000 NC 2289967.710000 0.4351604 N/A DFE GB N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 48414863.000000 GBP 62426080.780000 USD 2020-04-02 2289967.710000 N N N N/A N/A SOLD JPY/BOUGHT USD 000000000 1.000000 NC -923.790000 -0.0001755 N/A DFE JP N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 1302600000.000000 JPY 12113468.210000 USD 2020-04-02 -923.790000 N N N N/A N/A SOLD JPY/BOUGHT USD 000000000 1.000000 NC -1545.410000 -0.0002937 N/A DFE JP N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 66200000.000000 JPY 615127.300000 USD 2020-05-07 -1545.410000 N N N N/A N/A BOUGHT DKK/SOLD USD 000000000 1.000000 NC -527492.110000 -0.1002388 N/A DFE DK N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 43249113.890000 DKK 289186930.000000 DKK 2020-04-02 -527492.110000 N N N N/A N/A BOUGHT DKK/SOLD USD 000000000 1.000000 NC 427697.010000 0.0812749 N/A DFE DK N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 25914800.520000 DKK 178315000.000000 DKK 2020-04-01 427697.010000 N N N N/A N/A BOUGHT GBP/SOLD USD 000000000 1.000000 NC 936596.730000 0.1779806 N/A DFE GB N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 131168216.660000 GBP 106356000.000000 GBP 2020-04-02 936596.730000 N N N N/A N/A SOLD DKK/BOUGHT USD 000000000 1.000000 NC -406194.480000 -0.0771888 N/A DFE DK N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 178315000.000000 DKK 26022584.770000 USD 2020-07-01 -406194.480000 N N N N/A N/A SOLD JPY/BOUGHT USD 000000000 1.000000 NC -21993.130000 -0.0041793 N/A DFE JP N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 108703191.000000 JPY 988964.240000 USD 2020-04-02 -21993.130000 N N N N/A N/A SOLD JPY/BOUGHT USD 000000000 1.000000 NC -13393.760000 -0.0025452 N/A DFE JP N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 66200000.000000 JPY 602277.010000 USD 2020-04-02 -13393.760000 N N N N/A N/A BOUGHT AUD/SOLD USD 000000000 1.000000 NC -1836762.420000 -0.3490382 N/A DFE AU N 2 BNP Paribas S.A. N/A 24651435.260000 AUD 37091000.000000 AUD 2020-04-02 -1836762.420000 N N N N/A N/A BOUGHT CAD/SOLD USD 000000000 1.000000 NC -833485.330000 -0.1583864 N/A DFE CA N 2 BNP Paribas S.A. N/A 17503163.540000 CAD 23459000.000000 CAD 2020-04-02 -833485.330000 N N N N/A N/A BOUGHT EUR/SOLD USD 000000000 1.000000 NC -1719360.150000 -0.3267284 N/A DFE N/A N 2 BNP Paribas S.A. N/A 64433529.430000 EUR 56863000.000000 EUR 2020-04-02 -1719360.150000 N N N N/A N/A BOUGHT EUR/SOLD USD 000000000 1.000000 NC -22184.720000 -0.0042157 N/A DFE N/A N 2 BNP Paribas S.A. N/A 839433.180000 EUR 741000.000000 EUR 2020-04-02 -22184.720000 N N N N/A N/A BOUGHT EUR/SOLD USD 000000000 1.000000 NC -275140.570000 -0.0522847 N/A DFE N/A N 2 BNP Paribas S.A. N/A 14771650.440000 EUR 13144000.000000 EUR 2020-04-02 -275140.570000 N N N N/A N/A BOUGHT EUR/SOLD USD 000000000 1.000000 NC 119217.940000 0.0226549 N/A DFE N/A N 2 BNP Paribas S.A. N/A 30448742.170000 EUR 27716000.000000 EUR 2020-04-02 119217.940000 N N N N/A N/A BOUGHT GBP/SOLD USD 000000000 1.000000 NC 841868.080000 0.1599794 N/A DFE GB N 2 BNP Paribas S.A. N/A 18516264.200000 GBP 15585000.000000 GBP 2020-04-02 841868.080000 N N N N/A N/A BOUGHT GBP/SOLD USD 000000000 1.000000 NC 564120.940000 0.1071994 N/A DFE GB N 2 BNP Paribas S.A. N/A 8605063.050000 GBP 7382000.000000 GBP 2020-04-02 564120.940000 N N N N/A N/A SOLD AUD/BOUGHT USD 000000000 1.000000 NC 490528.730000 0.0932147 N/A DFE AU N 2 BNP Paribas S.A. N/A 10392000.000000 AUD 6882647.580000 USD 2020-04-02 490528.730000 N N N N/A N/A SOLD CAD/BOUGHT USD 000000000 1.000000 NC 520309.390000 0.0988739 N/A DFE CA N 2 BNP Paribas S.A. N/A 14708000.000000 CAD 10971634.130000 USD 2020-04-02 520309.390000 N N N N/A N/A SOLD CAD/BOUGHT USD 000000000 1.000000 NC 35784.630000 0.0068001 N/A DFE CA N 2 BNP Paribas S.A. N/A 4643000.000000 CAD 3335043.590000 USD 2020-04-02 35784.630000 N N N N/A N/A SOLD CAD/BOUGHT USD 000000000 1.000000 NC -1088.470000 -0.0002068 N/A DFE CA N 2 BNP Paribas S.A. N/A 817000.000000 CAD 579685.340000 USD 2020-05-04 -1088.470000 N N N N/A N/A SOLD EUR/BOUGHT USD 000000000 1.000000 NC 87238.830000 0.0165779 N/A DFE N/A N 2 BNP Paribas S.A. N/A 8135000.000000 EUR 9059325.550000 USD 2020-04-02 87238.830000 N N N N/A N/A SOLD EUR/BOUGHT USD 000000000 1.000000 NC 553375.030000 0.1051573 N/A DFE N/A N 2 BNP Paribas S.A. N/A 35965000.000000 EUR 40219152.390000 USD 2020-04-02 553375.030000 N N N N/A N/A SOLD EUR/BOUGHT USD 000000000 1.000000 NC 24006.130000 0.0045619 N/A DFE N/A N 2 BNP Paribas S.A. N/A 5688000.000000 EUR 6305033.670000 USD 2020-05-04 24006.130000 N N N N/A N/A SOLD EUR/BOUGHT USD 000000000 1.000000 NC -45510.040000 -0.0086482 N/A DFE N/A N 2 BNP Paribas S.A. N/A 7223000.000000 EUR 7930555.690000 USD 2020-05-04 -45510.040000 N N N N/A N/A SOLD GBP/BOUGHT USD 000000000 1.000000 NC 1626564.930000 0.3090946 N/A DFE GB N 2 BNP Paribas S.A. N/A 34334000.000000 GBP 44272834.650000 USD 2020-04-02 1626564.930000 N N N N/A N/A SOLD GBP/BOUGHT USD 000000000 1.000000 NC 444050.170000 0.0843824 N/A DFE GB N 2 BNP Paribas S.A. N/A 12110000.000000 GBP 15485884.110000 USD 2020-04-02 444050.170000 N N N N/A N/A SOLD GBP/BOUGHT USD 000000000 1.000000 NC 628636.360000 0.1194592 N/A DFE GB N 2 BNP Paribas S.A. N/A 16886000.000000 GBP 21602741.050000 USD 2020-04-02 628636.360000 N N N N/A N/A SOLD GBP/BOUGHT USD 000000000 1.000000 NC 490431.420000 0.0931962 N/A DFE GB N 2 BNP Paribas S.A. N/A 7359000.000000 GBP 9631047.100000 USD 2020-04-02 490431.420000 N N N N/A N/A SOLD HKD/BOUGHT USD 000000000 1.000000 NC -3078.780000 -0.0005851 N/A DFE HK N 2 BNP Paribas S.A. N/A 503992000.000000 HKD 64986218.450000 USD 2020-06-17 -3078.780000 N N N N/A 4BFD7AQU0A75QLAHK410 CAN 10YR BOND FUT JUN20 XMOD 20200619 000000000 1306.000000 NC -150292.550000 -0.0285600 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL N/A Long N/A CANADA GOVT 2020-06-19 136548596.600000 CAD -150292.550000 N N N N/A 4BFD7AQU0A75QLAHK410 CAN 10YR FUT OPT JUN20P 111 EXP 05/15/2020 000000000 1306.000000 NC 4640.090000 0.0008818 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL N/A Put Purchased THE MONTREAL EXCHANGE / BOURSE DE MONTREAL N/A N/A 4BFD7AQU0A75QLAHK410 FIN FUT CAN 10YR BOND MSE 06/19/20 000000000 0.000000 NC 0.000000 0.000000 DIR CA N/A N/A FIN FUT CAN 10YR BOND MSE 06/19/20 2020-06-20 N/A CAD N/A 111.000000 CAD 2020-05-15 XXXX -6514.720000 N N N N/A N/A BOUGHT AUD/SOLD USD 000000000 1.000000 NC -16051.850000 -0.0030503 N/A DFE AU N 2 Citibank NA E57ODZWZ7FF32TWEFA76 10284530.680000 AUD 16694000.000000 AUD 2020-04-02 -16051.850000 N N N N/A N/A BOUGHT CAD/SOLD USD 000000000 1.000000 NC -403267.930000 -0.0766326 N/A DFE CA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 13694811.940000 CAD 18705000.000000 CAD 2020-04-02 -403267.930000 N N N N/A N/A BOUGHT CAD/SOLD USD 000000000 1.000000 NC 22760.670000 0.0043252 N/A DFE CA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 11800809.250000 CAD 16639141.040000 CAD 2020-04-02 22760.670000 N N N N/A N/A BOUGHT DKK/SOLD USD 000000000 1.000000 NC -149834.000000 -0.0284728 N/A DFE DK N 2 Citibank NA E57ODZWZ7FF32TWEFA76 30510109.040000 DKK 204188142.000000 DKK 2020-10-01 -149834.000000 N N N N/A N/A BOUGHT EUR/SOLD USD 000000000 1.000000 NC -689197.600000 -0.1309676 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 53955930.510000 EUR 48297000.000000 EUR 2020-04-02 -689197.600000 N N N N/A N/A BOUGHT EUR/SOLD USD 000000000 1.000000 NC 276607.510000 0.0525635 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 13782051.300000 EUR 12747000.000000 EUR 2020-04-02 276607.510000 N N N N/A N/A BOUGHT EUR/SOLD USD 000000000 1.000000 NC 988694.900000 0.1878808 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 32765541.610000 EUR 30605000.000000 EUR 2020-04-02 988694.900000 N N N N/A N/A BOUGHT GBP/SOLD USD 000000000 1.000000 NC 81425.000000 0.0154731 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 3393971.480000 GBP 2798000.000000 GBP 2020-04-02 81425.000000 N N N N/A N/A BOUGHT GBP/SOLD USD 000000000 1.000000 NC 651285.690000 0.1237632 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 9605978.110000 GBP 8258000.000000 GBP 2020-04-02 651285.690000 N N N N/A N/A BOUGHT JPY/SOLD USD 000000000 1.000000 NC 86295.810000 0.0163987 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 3564018.070000 JPY 392500000.000000 JPY 2020-04-02 86295.810000 N N N N/A N/A SOLD AUD/BOUGHT USD 000000000 1.000000 NC 5006.860000 0.0009514 N/A DFE AU N 2 Citibank NA E57ODZWZ7FF32TWEFA76 130000.000000 AUD 84969.860000 USD 2020-04-02 5006.860000 N N N N/A N/A SOLD AUD/BOUGHT USD 000000000 1.000000 NC 2544740.390000 0.4835746 N/A DFE AU N 2 Citibank NA E57ODZWZ7FF32TWEFA76 52960000.000000 AUD 35120434.590000 USD 2020-04-02 2544740.390000 N N N AMORTIZING RESIDENTIAL COLLAT 2001-BC6 N/A AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A 86358RMY0 196473.600000 PA USD 180727.010000 0.0343434 Long ABS-MBS CORP US N 2 2031-10-25 Floating 1.64663 N N N N N N N/A N/A SOLD CAD/BOUGHT USD 000000000 1.000000 NC 642750.330000 0.1221412 N/A DFE CA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 16117272.940000 CAD 12095487.170000 USD 2020-04-02 642750.330000 N N N N/A N/A SOLD CAD/BOUGHT USD 000000000 1.000000 NC -23296.160000 -0.0044269 N/A DFE CA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 16639141.040000 CAD 11804827.910000 USD 2020-05-04 -23296.160000 N N N N/A N/A SOLD EUR/BOUGHT USD 000000000 1.000000 NC 589113.340000 0.1119487 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 16970000.000000 EUR 19305316.370000 USD 2020-04-02 589113.340000 N N N N/A N/A SOLD EUR/BOUGHT USD 000000000 1.000000 NC -50823.370000 -0.0096579 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 22848000.000000 EUR 25148222.400000 USD 2020-04-02 -50823.370000 N N N N/A N/A SOLD GBP/BOUGHT USD 000000000 1.000000 NC 2183773.390000 0.4149804 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 58600000.000000 GBP 74970847.600000 USD 2020-04-02 2183773.390000 N N N N/A N/A SOLD GBP/BOUGHT USD 000000000 1.000000 NC 691445.170000 0.1313947 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 14074000.000000 GBP 18172763.980000 USD 2020-04-02 691445.170000 N N N N/A N/A SOLD GBP/BOUGHT USD 000000000 1.000000 NC -733309.810000 -0.1393502 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 9413000.000000 GBP 10958579.770000 USD 2020-04-02 -733309.810000 N N N N/A N/A SOLD MXN/BOUGHT USD 000000000 1.000000 NC 3503.000000 0.0006657 N/A DFE MX N 2 Citibank NA E57ODZWZ7FF32TWEFA76 3727000.000000 MXN 160364.590000 USD 2020-04-13 3503.000000 N N N N/A N/A SOLD DKK/BOUGHT USD 000000000 1.000000 NC 927063.270000 0.1761690 N/A DFE DK N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 307000000.000000 DKK 46574201.960000 USD 2020-10-01 927063.270000 N N N N/A N/A 31750G5P2 EUR CALL USD PUT MAY20 1.32 CALL 000000000 79200000.000000 NC 8472.910000 0.0016101 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 Call Purchased None N/A N/A N/A EUROPEAN MONETARY UNION EURO 000000000 0.000000 NC USD 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2020-05-07 N/A 1.320000 EUR 2020-05-07 XXXX -420.060000 N N N N/A N/A 3MO EURO EURIBOR DEC20 IFLL 20201214 000000000 -699.000000 NC 256417.510000 0.0487268 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A EUIB 2020-12-14 -193531508.730000 EUR 256417.510000 N N N N/A N/A 3MO EURO EURIBOR JUN20 IFLL 20200615 000000000 2000.000000 NC -360670.170000 -0.0685378 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A EUIB 2020-06-15 553490070.050000 EUR -360670.170000 N N N N/A N/A 3MO EURO EURIBOR SEP20 IFLL 20200914 000000000 -637.000000 NC 385691.240000 0.0732925 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A EUIB 2020-09-14 -176339278.330000 EUR 385691.240000 N N N N/A 969500KCGF3SUYJHPV70 EURO-OAT FUTURE JUN20 XEUR 20200608 000000000 -780.000000 NC 876640.920000 0.1665872 N/A DIR DE N 1 Eurex N/A Short N/A FRANCE GOVT 2020-06-08 -143844332.370000 EUR 876640.920000 N N N N/A 969500KCGF3SUYJHPV70 OATM0C190 JUN20 190 CALL FSO 000000000 1397.000000 NC -1325.050000 -0.0002518 N/A DIR DE N 1 Eurex N/A Call Purchased Eurex N/A N/A 969500KCGF3SUYJHPV70 FIN FUT EURO-OAT EUX 10YR 06/08/20 000000000 0.000000 NC 0.000000 0.000000 DIR FR N/A N/A FIN FUT EURO-OAT EUX 10YR 06/08/20 2020-06-09 N/A EUR N/A 190.000000 EUR 2020-05-22 XXXX -1325.050000 N N N N/A 529900AQBND3S6YJLY83 DUM0P110.2 JUN20 110.2 PUT FSO 000000000 4000.000000 NC -25851.960000 -0.0049126 N/A DIR DE N 1 Eurex N/A Put Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 FIN FUT EURO-SCHATZ 2YR EUX 06/08/20 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EURO-SCHATZ 2YR EUX 06/08/20 2020-06-09 N/A EUR N/A 110.200000 EUR 2020-05-22 XXXX -25851.960000 N N N N/A 529900AQBND3S6YJLY83 EURO-BUND FUTURE JUN20 XEUR 20200608 000000000 -659.000000 NC 1738261.300000 0.3303202 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2020-06-08 -125382116.040000 EUR 1738261.300000 N N N N/A 529900AQBND3S6YJLY83 EURO-BUXL 30Y BND JUN20 XEUR 20200608 000000000 84.000000 NC -737531.600000 -0.1401524 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-06-08 19445881.280000 EUR -737531.600000 N N N N/A 529900AQBND3S6YJLY83 EURO-SCHATZ FUT JUN20 XEUR 20200608 000000000 4900.000000 NC -274857.970000 -0.0522310 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-06-08 606297996.800000 EUR -274857.970000 N N N N/A 529900AQBND3S6YJLY83 RXM0C194 JUN20 194 CALL FSO 000000000 674.000000 NC 6794.260000 0.0012911 N/A DIR DE N 1 Eurex N/A Call Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 FIN FUT EUR-BUND 10YR EUX 06/08/20 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 06/08/20 2020-06-09 N/A EUR N/A 194.000000 EUR 2020-05-22 XXXX 6794.260000 N N N N/A 529900AQBND3S6YJLY83 RXM0P159 JUN20 159 PUT FSO 000000000 2100.000000 NC 184105.900000 0.0349855 N/A DIR DE N 1 Eurex N/A Put Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 FIN FUT EUR-BUND 10YR EUX 06/08/20 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 06/08/20 2020-06-09 N/A EUR N/A 159.000000 EUR 2020-05-22 XXXX 184105.900000 N N N N/A N/A BOUGHT EUR/SOLD USD 000000000 1.000000 NC 275251.250000 0.0523057 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 13292617.320000 EUR 12302000.000000 EUR 2020-04-02 275251.250000 N N N N/A N/A BOUGHT JPY/SOLD USD 000000000 1.000000 NC -24077.620000 -0.0045754 N/A DFE JP N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3472577.970000 JPY 370800000.000000 JPY 2020-04-02 -24077.620000 N N N N/A N/A BOUGHT GBP/SOLD USD 000000000 1.000000 NC 52863.810000 0.0100457 N/A DFE GB N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 1147005.020000 GBP 966000.000000 GBP 2020-04-02 52863.810000 N N N N/A N/A BOUGHT SGD/SOLD USD 000000000 1.000000 NC -4845.480000 -0.0009208 N/A DFE SG N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 233229.530000 SGD 324235.690000 SGD 2020-06-17 -4845.480000 N N N N/A N/A SOLD EUR/BOUGHT USD 000000000 1.000000 NC -212729.680000 -0.0404248 N/A DFE N/A N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 14671000.000000 EUR 15967907.600000 USD 2020-04-02 -212729.680000 N N N ARGENT SECURITIES INC 2006-M1 N/A ARGENT SECURITIES INC. ARSI 2006 M1 A2B 04012MAP4 1383673.040000 PA USD 501894.330000 0.0953745 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.03663 N N N N N N N/A 815600DE60799F5A9309 EURO-BTP FUTURE JUN20 XEUR 20200608 000000000 4595.000000 NC -32092336.610000 -6.0984765 N/A DIR DE N 1 Eurex N/A Long N/A ITALY GOVT 2020-06-08 716640822.060000 EUR -32092336.610000 N N N N/A 815600DE60799F5A9309 IKM0P106 JUN20 106 PUT FSO 000000000 5843.000000 NC -5271.840000 -0.0010018 N/A DIR DE N 1 Eurex N/A Put Purchased Eurex N/A N/A 815600DE60799F5A9309 FIN FUT EUX EURO-BTP 06/08/20 000000000 0.000000 NC 0.000000 0.000000 DIR IT N/A N/A FIN FUT EUX EURO-BTP 06/08/20 2020-06-09 N/A EUR N/A 106.000000 EUR 2020-05-22 XXXX -5271.840000 N N N N/A N/A JPN 10Y BOND(OSE) JUN20 XOSE 20200615 000000000 98.000000 NC -118807.630000 -0.0225769 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE N/A Long N/A JAPAN GOVT 2020-06-15 139054731.460000 JPY -118807.630000 N N N N/A N/A JPN 10Y FUT OPTN APR20P 151.5 EXP 03/31/2020 000000000 98.000000 NC 0.910000 0.0000002 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE N/A Put Purchased OSAKA SECURITIES EXCHANGE N/A N/A N/A FIN FUT 10YR JGB OSE 06/15/20 000000000 0.000000 NC 0.000000 0.000000 DIR JP N/A N/A FIN FUT 10YR JGB OSE 06/15/20 2020-06-16 N/A JPY N/A 151.500000 JPY 2020-03-31 XXXX -9414.910000 N N N N/A N/A BOUGHT DKK/SOLD USD 000000000 1.000000 NC -232782.600000 -0.0442355 N/A DFE DK N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 45164701.980000 DKK 303155705.000000 DKK 2020-07-01 -232782.600000 N N N N/A N/A BOUGHT EUR/SOLD USD 000000000 1.000000 NC -77490.180000 -0.0147254 N/A DFE N/A N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 8591873.640000 EUR 7720000.000000 EUR 2020-04-02 -77490.180000 N N N N/A N/A BOUGHT EUR/SOLD USD 000000000 1.000000 NC -371448.470000 -0.0705860 N/A DFE N/A N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 29303808.750000 EUR 26233000.000000 EUR 2020-04-02 -371448.470000 N N N N/A N/A BOUGHT GBP/SOLD USD 000000000 1.000000 NC -1397639.120000 -0.2655920 N/A DFE GB N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 58067220.580000 GBP 45624000.000000 GBP 2020-04-02 -1397639.120000 N N N N/A N/A BOUGHT JPY/SOLD USD 000000000 1.000000 NC -163142.720000 -0.0310019 N/A DFE JP N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 10320780.480000 JPY 1092200000.000000 JPY 2020-04-02 -163142.720000 N N N N/A N/A SOLD CAD/BOUGHT USD 000000000 1.000000 NC 826990.160000 0.1571522 N/A DFE CA N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 23395000.000000 CAD 17451190.750000 USD 2020-04-02 826990.160000 N N N N/A N/A SOLD JPY/BOUGHT USD 000000000 1.000000 NC -26640.650000 -0.0050625 N/A DFE JP N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 421900000.000000 JPY 3915208.050000 USD 2020-07-27 -26640.650000 N N N 2020-05-04 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer