NPORT-P false 0000810893 XXXXXXXX S000009705 C000200450 C000026638 C000026637 C000026640 C000064153 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO StocksPLUS Absolute Return Fund S000009705 DP5YBOMA0XM2I3P0Z191 2020-03-31 2020-03-31 N 4502239954.920000 2840622719.420000 1661617235.500000 0.000000 0.000000 332151944.290000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 117925522.530000 GBP CAD JPY EUR ARS USD N N/A N/A 000000000 1.000000 NC 300704.300000 0.0180971 N/A DFE JP N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 72658943.100000 JPY 7844986087.000000 JPY 2020-04-02 300704.300000 N N N N/A N/A 000000000 1.000000 NC -328720.050000 -0.0197831 N/A DFE ZA N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5117752.430000 ZAR 85707000.000000 ZAR 2020-04-06 -328720.050000 N N N N/A N/A 000000000 1.000000 NC -500177.480000 -0.0301018 N/A DFE ZA N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 7824563.500000 ZAR 131081000.000000 ZAR 2020-04-06 -500177.480000 N N N N/A N/A 000000000 1.000000 NC -263989.590000 -0.0158875 N/A DFE JP N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 7844986087.000000 JPY 72814391.070000 USD 2020-05-07 -263989.590000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1HS2L5 7030000.000000 PA 88091.520000 0.0053016 Long DBT NUSS AR N 2 2020-04-03 Floating 37.1693 N N N N N N N/A X57JK1U580XATGR67572 000000000 1.000000 NC -544399.070000 -0.0327632 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ROLLS-ROYCE PLC ROLLS-ROYCE PLC CO GTD Y Single Leg Swap 2024-06-21 28976.620000 EUR 0.000000 EUR 4300000.000000 EUR -573375.690000 N N N N/A N/A 000000000 1742.000000 NC USD -3953959.210000 -0.2379585 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long S&P 500 INDEX N/A N/A 2020-06-19 223820870.000000 USD -3953959.210000 N N N N/A N/A 000000000 1.000000 NC USD -8823413.520000 -0.5310136 N/A DE US N 2 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 S&P 500 INDEX N/A N/A Y 2020-07-08 0.000000 USD 0.000000 USD 41702292.980000 USD -8823413.520000 N N N N/A N/A 000000000 1.000000 NC USD -11122775.320000 -0.6693946 N/A DE US N 2 Bank of America, N.A. 9DJT3UXIJIZJI4WXO774 S&P 500 INDEX N/A N/A Y 2020-08-05 0.000000 USD 0.000000 USD 55984846.000000 USD -11122775.320000 N N N N/A N/A 000000000 1.000000 NC USD -2016051.810000 -0.1213307 N/A DE US N 2 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 S&P 500 INDEX N/A N/A Y 2020-10-07 0.000000 USD 0.000000 USD 10147499.000000 USD -2016051.810000 N N N N/A N/A 000000000 1.000000 NC USD -15088085.370000 -0.9080362 N/A DE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 S&P 500 INDEX N/A N/A Y 2020-05-26 0.000000 USD 0.000000 USD 64692697.600000 USD -15088085.370000 N N N N/A N/A 000000000 1.000000 NC USD -4901202.610000 -0.2949658 N/A DE US N 2 BNPParibas R0MUWSFPU8MPRO8K5P83 S&P 500 INDEX N/A N/A Y 2020-10-14 0.000000 USD 0.000000 USD 40037697.620000 USD -4901202.610000 N N N N/A N/A 000000000 1.000000 NC USD -35073089.250000 -2.1107803 N/A DE US N 2 Wells Fargo Bank, National Association 549300RFXISSEVCFN040 S&P 500 INDEX N/A N/A Y 2020-09-23 0.000000 USD 0.000000 USD 296885626.190000 USD -35073089.250000 N N N N/A N/A 000000000 1.000000 NC USD -6714535.800000 -0.4040964 N/A DE US N 2 BNPParibas R0MUWSFPU8MPRO8K5P83 S&P 500 INDEX N/A N/A Y 2020-09-16 0.000000 USD 0.000000 USD 31222825.680000 USD -6714535.800000 N N N N/A N/A 000000000 1.000000 NC USD -7269468.520000 -0.4374936 N/A DE US N 2 BNPParibas R0MUWSFPU8MPRO8K5P83 S&P 500 INDEX N/A N/A Y 2020-04-15 0.000000 USD 0.000000 USD 36136379.470000 USD -7269468.520000 N N N N/A N/A 000000000 1.000000 NC USD -7269468.520000 -0.4374936 N/A DE US N 2 BNPParibas R0MUWSFPU8MPRO8K5P83 S&P 500 INDEX N/A N/A Y 2020-07-23 0.000000 USD 0.000000 USD 36136379.470000 USD -7269468.520000 N N N N/A N/A 000000000 1.000000 NC USD -506017.550000 -0.0304533 N/A DE US N 2 BNPParibas R0MUWSFPU8MPRO8K5P83 S&P 500 INDEX N/A N/A Y 2020-10-07 0.000000 USD 0.000000 USD 29563091.320000 USD -506017.550000 N N N N/A N/A 000000000 1.000000 NC USD -10103001.800000 -0.6080222 N/A DE US N 2 Wells Fargo Bank, National Association 549300RFXISSEVCFN040 S&P 500 INDEX N/A N/A Y 2020-04-22 0.000000 USD 0.000000 USD 50835760.000000 USD -10103001.800000 N N N N/A N/A 000000000 1.000000 NC USD -17759466.130000 -1.0688061 N/A DE US N 2 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 S&P 500 INDEX N/A N/A Y 2020-05-20 0.000000 USD 0.000000 USD 74952383.020000 USD -17759466.130000 N N N N/A N/A 000000000 1.000000 NC USD -80912964.820000 -4.8695309 N/A DE US N 2 Wells Fargo Bank, National Association 549300RFXISSEVCFN040 S&P 500 INDEX N/A N/A Y 2021-03-24 0.000000 USD 0.000000 USD 345900809.980000 USD -80912964.820000 N N N N/A N/A 000000000 1.000000 NC USD -34141471.520000 -2.0547134 N/A DE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 S&P 500 INDEX N/A N/A Y 2020-08-12 0.000000 USD 0.000000 USD 239309978.270000 USD -34141471.520000 N N N N/A N/A 000000000 1.000000 NC USD -18770448.920000 -1.1296494 N/A DE US N 2 BNPParibas R0MUWSFPU8MPRO8K5P83 S&P 500 INDEX N/A N/A Y 2021-04-07 0.000000 USD 0.000000 USD 183102511.520000 USD -18770448.920000 N N N N/A N/A 000000000 1.000000 NC USD -5231158.080000 -0.3148233 N/A DE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 S&P 500 INDEX N/A N/A Y 2021-02-24 0.000000 USD 0.000000 USD 51029049.780000 USD -5231158.080000 N N N N/A N/A 000000000 1.000000 NC USD -6634763.960000 -0.3992956 N/A DE US N 2 Bank of America, N.A. 9DJT3UXIJIZJI4WXO774 S&P 500 INDEX N/A N/A Y 2020-06-11 0.000000 USD 0.000000 USD 33029987.760000 USD -6634763.960000 N N N N/A N/A 000000000 1.000000 NC USD 2396590.700000 0.1442324 N/A DE US N 2 Citibank International Limited N/A S&P 500 INDEX N/A N/A Y 2020-09-16 0.000000 USD 0.000000 USD 30643505.540000 USD 2396590.700000 N N N N/A N/A 000000000 1.000000 NC USD 2400037.610000 0.1444399 N/A DE US N 2 Citibank International Limited N/A S&P 500 INDEX N/A N/A Y 2020-06-17 0.000000 USD 0.000000 USD 30648391.300000 USD 2400037.610000 N N N N/A N/A 000000000 1.000000 NC -11898.600000 -0.0007161 N/A DFE RU N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 290140.540000 RUB 21963584.000000 RUB 2020-06-11 -11898.600000 N N N N/A N/A 000000000 1.000000 NC -101.050000 -0.0000061 N/A DFE RU N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 317707.080000 RUB 25070867.000000 RUB 2020-06-11 -101.050000 N N N N/A N/A 000000000 1.000000 NC -41.480000 -0.0000025 N/A DFE RU N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 317684.080000 RUB 25073754.000000 RUB 2020-06-11 -41.480000 N N N N/A N/A 000000000 1.000000 NC -1786.720000 -0.0001075 N/A DFE RU N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 361437.700000 RUB 28271404.000000 RUB 2020-05-20 -1786.720000 N N N N/A N/A 000000000 1.000000 NC -1087.360000 -0.0000654 N/A DFE RU N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 105535.320000 RUB 8188978.000000 RUB 2020-04-30 -1087.360000 N N N N/A N/A 000000000 1.000000 NC 1061443.490000 0.0638801 N/A DFE CA N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 27597000.000000 CAD 20671533.840000 USD 2020-04-02 1061443.490000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1JDTT0 8505000.000000 PA 84047.050000 0.0050581 Long DBT NUSS AR N 2 2020-08-28 Floating 32.5714 N N N N N N N/A N/A 000000000 1.000000 NC -307065.990000 -0.0184799 N/A DFE N/A N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 54200000.000000 EUR 59546109.140000 USD 2020-05-05 -307065.990000 N N N N/A N/A 000000000 1.000000 NC -1650337.200000 -0.0993211 N/A DFE ID N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 10289916.340000 IDR 142669690101.000000 IDR 2020-06-17 -1650337.200000 N N N N/A N/A 000000000 1.000000 NC -624037.800000 -0.0375561 N/A DFE IN N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 10372338.150000 INR 749608878.000000 INR 2020-06-17 -624037.800000 N N N N/A N/A 000000000 1.000000 NC 763.090000 0.0000459 N/A DFE RU N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 213081.660000 RUB 16809884.420000 RUB 2020-05-20 763.090000 N N N N/A N/A 000000000 1.000000 NC -3721957.790000 -0.2239961 N/A DFE BR N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 23883500.940000 BRL 104761394.370000 BRL 2020-04-02 -3721957.790000 N N N N/A N/A 000000000 1.000000 NC 987271.080000 0.0594163 N/A DFE CA N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 27946000.000000 CAD 20845356.560000 USD 2020-04-02 987271.080000 N N N N/A N/A 000000000 1.000000 NC -476621.100000 -0.0286842 N/A DFE CA N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 27702000.000000 CAD 19208080.960000 USD 2020-04-02 -476621.100000 N N N N/A N/A 000000000 335900000.000000 NC USD 6504031.700000 0.3914278 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 5269599.200000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 4863000.000000 PA 41994.570000 0.0025273 Long DBT NUSS AR N 2 2022-04-03 Floating 36.8596 N N N N N N N/A N/A 000000000 736800000.000000 NC USD 13998905.280000 0.8424868 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 11101160.130000 N N N N/A N/A 000000000 -68000000.000000 NC USD -15320597.200000 -0.9220293 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 2.40000 03/15/21-15Y CME N/A N/A 2036-03-15 0.000000 USD 0.000000 USD N/A USD N/A 2.400000 USD 2021-03-11 XXXX -9710597.200000 N N N N/A N/A 000000000 -70500000.000000 NC USD -13825416.600000 -0.8320458 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 2.19000 03/16/21-15Y CME N/A N/A 2036-03-16 0.000000 USD 0.000000 USD N/A USD N/A 2.190000 USD 2021-03-12 XXXX -9375416.600000 N N N N/A N/A 000000000 -75000000.000000 NC USD -8591482.500000 -0.5170555 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 1.55000 07/21/21-15Y LCH N/A N/A 2036-07-21 0.000000 USD 0.000000 USD N/A USD N/A 1.550000 USD 2021-07-19 XXXX -6511482.500000 N N N N/A N/A 000000000 -165000000.000000 NC USD -19705455.000000 -1.1859202 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 1.59000 08/04/21-15Y LCH N/A N/A 2036-08-04 0.000000 USD 0.000000 USD N/A USD N/A 1.590000 USD 2021-08-02 XXXX -14800455.000000 N N N N/A N/A 000000000 184200000.000000 NC USD 13862505.180000 0.8342779 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 12388905.180000 N N N N/A N/A 000000000 190700000.000000 NC USD 12030919.740000 0.7240488 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 10912171.270000 N N N N/A N/A 000000000 -2930000.000000 NC -145613.440000 -0.0087634 N/A DIR DE N 2 MORGAN STANLEY CAPITAL SERVICES INC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES INC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 08/26/20-30Y LCH 2050-08-26 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2020-08-24 XXXX -44814.370000 N N N N/A N/A 000000000 -2880000.000000 NC -143883.580000 -0.0086592 N/A DIR 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 DIR N/A IRS EUR R 0.00000 08/27/20-30Y LCH 2050-08-27 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2020-08-25 XXXX -56041.550000 N N N N/A N/A 000000000 686300000.000000 NC 1824403.950000 0.1097969 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 134801.340000 N N N N/A N/A 000000000 -91400000.000000 NC -1921131.730000 -0.1156182 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 -757418.200000 N N N N/A N/A 000000000 -44400000.000000 NC -1007874.480000 -0.0606562 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 -480287.780000 N N N N/A N/A 000000000 -5890000.000000 NC -297226.080000 -0.0178878 N/A DIR DE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 08/31/20-30Y LCH 2050-08-31 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2020-08-27 XXXX -115913.020000 N N N N/A N/A 000000000 -2850000.000000 NC -141637.650000 -0.0085241 N/A DIR DE N 2 MORGAN STANLEY CAPITAL SERVICES INC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES INC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 08/26/20-30Y LCH 2050-08-26 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2020-08-24 XXXX -52645.410000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0VSDQ8 91613000.000000 PA 672475.490000 0.0404711 Long DBT NUSS AR N 2 2020-06-21 Floating 50.5761 N N N N N N N/A N/A 000000000 1.000000 NC -547540.410000 -0.0329523 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 -4072.690000 EUR 3050000.000000 EUR -543467.720000 N N N N/A N/A 000000000 1.000000 NC 1307302.050000 0.0786765 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 8446.600000 EUR 0.000000 EUR 3050000.000000 EUR 1298855.450000 N N N N/A N/A 000000000 1.000000 NC 128340.230000 0.0077238 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-02-15 0.000000 GBP 0.000000 GBP 11200000.000000 GBP 128340.230000 N N N N/A N/A 000000000 1.000000 NC 1036748.800000 0.0623940 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-01-15 44842.090000 GBP 0.000000 GBP 38500000.000000 GBP 991906.710000 N N N N/A N/A 000000000 1.000000 NC 1123326.610000 0.0676044 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 -2667.580000 GBP 23300000.000000 GBP 1125994.190000 N N N N/A N/A 000000000 1.000000 NC 280053.210000 0.0168543 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 4200000.000000 GBP 280053.210000 N N N N/A N/A 000000000 1.000000 NC 1006442.610000 0.0605701 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 179896.360000 GBP 0.000000 GBP 15000000.000000 GBP 826546.250000 N N N N/A N/A 000000000 1.000000 NC 287408.780000 0.0172969 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 4200000.000000 GBP 287408.780000 N N N N/A N/A 000000000 1.000000 NC USD -1331669.450000 -0.0801430 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 26700000.000000 USD -1331669.450000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HQ6 4300000.000000 PA USD 1176093.000000 0.0707800 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 4531765.330000 0.2727322 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 -806775.570000 CAD 186200000.000000 CAD 5338540.900000 N N N N/A N/A 000000000 1.000000 NC 731015.550000 0.0439942 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2049-12-20 37158.750000 CAD 0.000000 CAD 5600000.000000 CAD 693856.800000 N N N N/A N/A 000000000 1.000000 NC 809465.200000 0.0487155 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 -93384.440000 CAD 3600000.000000 CAD 902849.640000 N N N N/A N/A 000000000 1.000000 NC 2271000.130000 0.1366741 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 -15502.660000 CAD 10100000.000000 CAD 2286502.790000 N N N N/A N/A 000000000 1.000000 NC 13636.320000 0.0008207 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2050-08-26 0.000000 EUR -7316.050000 EUR 1870000.000000 EUR 20952.370000 N N N N/A N/A 000000000 1.000000 NC 12027.860000 0.0007239 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2050-08-31 0.000000 EUR -2973.890000 EUR 1650000.000000 EUR 15001.750000 N N N N/A N/A 000000000 1.000000 NC 6682.010000 0.0004021 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2050-08-29 0.000000 EUR 0.000000 EUR 650000.000000 EUR 6682.010000 N N N N/A N/A 000000000 1.000000 NC 1711624.100000 0.1030095 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2035-01-22 0.000000 EUR 0.000000 EUR 47200000.000000 EUR 1711624.100000 N N N N/A N/A 000000000 1.000000 NC 3743678.100000 0.2253033 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2035-01-22 915823.890000 EUR 0.000000 EUR 103300000.000000 EUR 2827854.210000 N N N N/A N/A 000000000 1.000000 NC -6566894.270000 -0.3952110 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2045-01-23 0.000000 EUR -819311.970000 EUR 107200000.000000 EUR -5747582.300000 N N N N/A N/A 000000000 1.000000 NC -3168498.760000 -0.1906876 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2045-01-23 0.000000 EUR 0.000000 EUR 51000000.000000 EUR -3168498.760000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114GK0 9150000.000000 PA USD 2775332.250000 0.1670260 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 2645445.840000 0.1592091 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2055-01-18 0.000000 GBP 0.000000 GBP 49500000.000000 GBP 2645445.840000 N N N N/A N/A 000000000 1.000000 NC 6501085.490000 0.3912505 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2055-01-20 862390.910000 GBP 0.000000 GBP 110600000.000000 GBP 5638694.580000 N N N N/A N/A 000000000 1.000000 NC -2199751.880000 -0.1323862 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2045-01-17 0.000000 GBP 0.000000 GBP 46200000.000000 GBP -2199751.880000 N N N N/A N/A 000000000 1.000000 NC -5465386.140000 -0.3289197 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2045-01-23 0.000000 GBP -676931.970000 GBP 102000000.000000 GBP -4788454.170000 N N N N/A N/A 000000000 1.000000 NC -2347365.970000 -0.1412700 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 -2457201.900000 JPY 7670000000.000000 JPY 109835.930000 N N N N/A N/A 000000000 1.000000 NC USD 316171.300000 0.0190279 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-02-16 0.000000 USD 0.000000 USD 35900000.000000 USD 316171.300000 N N N N/A N/A 000000000 1.000000 NC USD 386225.840000 0.0232440 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-02-16 0.000000 USD 0.000000 USD 37100000.000000 USD 386225.840000 N N N N/A N/A 000000000 1.000000 NC USD 412987.500000 0.0248546 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-02-16 0.000000 USD 0.000000 USD 37500000.000000 USD 412987.500000 N N N N/A N/A 000000000 1.000000 NC USD 1444582.020000 0.0869383 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-02-16 0.000000 USD 0.000000 USD 130200000.000000 USD 1444582.020000 N N N N/A N/A 000000000 1.000000 NC USD 9738941.810000 0.5861122 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 4772178.540000 USD 0.000000 USD 185300000.000000 USD 4966763.270000 N N N N/A N/A 000000000 1.000000 NC USD -13393387.800000 -0.8060453 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-17 0.000000 USD -7923069.520000 USD 351000000.000000 USD -5470318.280000 N N N N/A N/A 000000000 1.000000 NC USD 10394929.060000 0.6255911 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-06-17 4862142.530000 USD 0.000000 USD 227300000.000000 USD 5532786.530000 N N N N/A N/A 000000000 1.000000 NC USD -7271836.320000 -0.4376361 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-18 177851.600000 USD 0.000000 USD 139800000.000000 USD -7449687.920000 N N N N/A N/A 000000000 1.000000 NC USD -6293725.620000 -0.3787711 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-01-07 0.000000 USD -213804.910000 USD 73000000.000000 USD -6079920.710000 N N N N/A N/A 000000000 1.000000 NC USD -371830.030000 -0.0223776 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 -3374.280000 USD 1900000.000000 USD -368455.750000 N N N N/A N/A 000000000 1.000000 NC USD -490398.910000 -0.0295133 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 -8966.750000 USD 2500000.000000 USD -481432.160000 N N N N/A N/A 000000000 1.000000 NC USD -1059154.700000 -0.0637424 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 -27246.410000 USD 4600000.000000 USD -1031908.290000 N N N N/A N/A 000000000 1.000000 NC USD 6012693.890000 0.3618579 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-18 1120544.970000 USD 0.000000 USD 72600000.000000 USD 4892148.920000 N N N N/A N/A 000000000 1.000000 NC USD -79486.820000 -0.0047837 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 -1162.060000 USD 300000.000000 USD -78324.760000 N N N N/A N/A 000000000 1.000000 NC USD -268932.040000 -0.0161850 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 -6479.480000 USD 900000.000000 USD -262452.560000 N N N N/A N/A 000000000 1.000000 NC USD -4787893.870000 -0.2881466 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-20 3246076.730000 USD 0.000000 USD 58000000.000000 USD -8033970.600000 N N N N/A N/A 000000000 1.000000 NC USD -1918359.150000 -0.1154513 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-20 1712155.390000 USD 0.000000 USD 23200000.000000 USD -3630514.540000 N N N N/A N/A 000000000 1.000000 NC USD -4003311.300000 -0.2409286 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-03-14 0.000000 USD -4756.890000 USD 10800000.000000 USD -3998554.410000 N N N N/A N/A 000000000 1.000000 NC USD -155761.740000 -0.0093741 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-06-15 1518.410000 USD 0.000000 USD 1400000.000000 USD -157280.150000 N N N N/A N/A 000000000 1.000000 NC USD -6436528.720000 -0.3873653 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-01-31 2134.790000 USD 0.000000 USD 44400000.000000 USD -6438663.510000 N N N N/A N/A 000000000 1.000000 NC USD 4082377.880000 0.2456870 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-12-15 153203.040000 USD 0.000000 USD 99400000.000000 USD 3929174.840000 N N N N/A N/A 000000000 1.000000 NC USD -1853360.740000 -0.1115396 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 -1034747.280000 USD 18200000.000000 USD -818613.460000 N N N N/A N/A 000000000 1.000000 NC USD -4134815.100000 -0.2488428 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 -153292.340000 USD 70200000.000000 USD -3981522.760000 N N N N/A N/A 000000000 1.000000 NC USD -22308567.810000 -1.3425816 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 -16754.480000 USD 169000000.000000 USD -22291813.330000 N N N N/A N/A 000000000 1.000000 NC USD -6972457.620000 -0.4196188 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 52700000.000000 USD -6972457.620000 N N N ASSET BACKED SEC CORP HM EQ 2005-HE6 N/A 04541GTN2 300000.000000 PA USD 291298.530000 0.0175310 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.90663 N N N N N N ASSET BACKED SEC HOME EQTY LN 2004-HE3 N/A 04541GJT0 4398282.620000 PA USD 3854281.910000 0.2319597 Long ABS-MBS CORP US N 2 2034-06-25 Floating 1.75663 N N N N N N N/A N/A 000000000 1.000000 NC 5068.890000 0.0003051 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 336834.820000 RUB 27014154.000000 RUB 2020-06-17 5068.890000 N N N N/A N/A 000000000 1.000000 NC 15598.450000 0.0009388 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 418275.830000 RUB 34280841.000000 RUB 2020-06-17 15598.450000 N N N N/A N/A 000000000 1.000000 NC 2011.850000 0.0001211 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 190607.810000 RUB 15101857.000000 RUB 2020-04-30 2011.850000 N N N N/A N/A 000000000 1.000000 NC 903.040000 0.0000543 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 100914.040000 RUB 7982711.000000 RUB 2020-04-30 903.040000 N N N N/A N/A 000000000 1.000000 NC 5673.660000 0.0003415 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 353422.130000 RUB 28153997.000000 RUB 2020-04-30 5673.660000 N N N N/A N/A 000000000 1.000000 NC -4484.880000 -0.0002699 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 28153997.000000 RUB 354273.780000 USD 2020-04-15 -4484.880000 N N N N/A ECTRVYYCEF89VWYS6K36 000000000 513.000000 NC -6887.470000 -0.0004145 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Call Purchased Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ECTRVYYCEF89VWYS6K36 000000000 0.000000 NC 0.000000 0.000000 DIR GB N/A N/A FIN FUT UK GILT ICE 06/26/20 2020-06-27 N/A GBP N/A 175.000000 GBP 2020-05-22 XXXX -6887.470000 N N N N/A ECTRVYYCEF89VWYS6K36 000000000 -14.000000 NC -47313.260000 -0.0028474 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2020-06-26 -2368262.850000 GBP -47313.260000 N N N N/A 254900HROIFWPRGM1V77 000000000 -5061.000000 NC USD -4814780.880000 -0.2897647 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-06-19 -701897437.500000 USD -4814780.880000 N N N N/A 254900HROIFWPRGM1V77 000000000 1194.000000 NC USD 1194.000000 0.0000719 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 2YR CBT 06/30/20 2020-07-01 N/A USD N/A 113.380000 USD 2020-05-22 XXXX -18972.660000 N N N N/A 254900HROIFWPRGM1V77 000000000 -1194.000000 NC USD -4477960.510000 -0.2694941 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-06-30 -263137077.530000 USD -4477960.510000 N N N N/A 254900HROIFWPRGM1V77 000000000 90.000000 NC USD 703.080000 0.0000423 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 06/30/20 2020-07-01 N/A USD N/A 152.000000 USD 2020-05-22 XXXX -71.820000 N N N N/A 254900HROIFWPRGM1V77 000000000 -105.000000 NC USD -433241.870000 -0.0260735 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-06-30 -13162734.380000 USD -433241.870000 N N N N/A 254900HROIFWPRGM1V77 000000000 -247.000000 NC USD -4633311.810000 -0.2788435 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-06-19 -54803125.000000 USD -4633311.810000 N N N AT&T INC 549300Z40J86GGSTL398 00206RFZ0 5600000.000000 PA USD 5438505.860000 0.3273020 Long DBT CORP US N 2 2021-06-01 Floating 2.33038 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RGD8 3700000.000000 PA USD 3438428.320000 0.2069326 Long DBT CORP US N 2 2024-06-12 Floating 1.96413 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RDV1 4200000.000000 PA USD 4128249.430000 0.2484477 Long DBT CORP US N 2 2021-07-15 Floating 2.78125 N N N N N N AVERY POINT V CLO LTD 2014-5A N/A 05363XAN7 2814732.610000 PA USD 2785993.710000 0.1676676 Long ABS-CBDO CORP KY N 2 2026-07-17 Floating 2.81613 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAA9 1600000.000000 PA USD 1438165.550000 0.0865522 Long DBT CORP KY N 2 2023-01-15 Fixed 5.5 N N N N N N BANC OF AMERICA FUNDING CORP 2005-D N/A 06051GDM8 26329.670000 PA USD 24821.240000 0.0014938 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.41078 N N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 62353.320000 PA USD 54511.150000 0.0032806 Long ABS-MBS CORP US N 2 2047-01-20 Floating 4.18411 Y N N N N N BANCO DEL ESTADO DE CHILE 5493004R4EJC0W0XVQ72 P1027DEN7 1800000.000000 PA USD 1807604.820000 0.1087859 Long DBT CORP CL N 2 2020-10-07 Fixed 4.125 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BF1ZBSII6 200000.000000 PA 199415.240000 0.0120013 Long DBT CORP ES N 2 2022-04-25 Floating 6.75 N N N N Y BANCO SANTANDER SA EUR XXXX N N N BANK OF IRELAND (AKA: GOVERNOR & CO OF THE BANK OF IRELAND) Q2GQA2KF6XJ24W42G291 ACI0CWJH4 400000.000000 PA 426572.820000 0.0256721 Long DBT CORP IE N 2 2020-06-18 Floating 7.375 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 1000000.000000 PA USD 1023490.000000 0.0615960 Long DBT CORP GB N 2 2022-11-21 Fixed 7.625 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06739FFU0 2800000.000000 PA USD 2976704.890000 0.1791450 Long DBT CORP GB N 2 2021-06-12 Fixed 10.179 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI07CRC6 600000.000000 PA 631845.560000 0.0380259 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 2000000.000000 PA USD 1858610.000000 0.1118555 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 3900000.000000 PA 4150454.360000 0.2497840 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 4100000.000000 PA USD 4175210.930000 0.2512739 Long DBT CORP GB N 2 2023-02-15 Floating 4.61 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBC8 4800000.000000 PA USD 4229658.240000 0.2545507 Long DBT CORP GB N 2 2024-05-16 Floating 3.07175 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 1400000.000000 PA USD 1513421.640000 0.0910812 Long DBT CORP GB N 2 2029-05-16 Floating 4.972 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAQ8 3200000.000000 PA USD 3170350.400000 0.1907991 Long DBT CORP GB N 2 2021-08-10 Fixed 3.2 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAZ8 200000.000000 PA USD 201273.520000 0.0121131 Long DBT CORP US N 2 2024-08-15 Fixed 3.222 N N N N N N BAT INTERNATIONAL FINANCE PLC 21380041YBGOQDFAC823 05530QAK6 1000000.000000 PA USD 983009.540000 0.0591598 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 160177.000000 0.0096398 Long DBT MUN US N 2 2050-10-01 Fixed 6.907 N N N N N N BAYVIEW FINANCIAL ASSET TR 2007-SR1A N/A 07325QAA3 581024.670000 PA USD 479238.390000 0.0288417 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.927 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZQ8 904.290000 PA USD 767.860000 0.0000462 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 21106.870000 PA USD 19851.200000 0.0011947 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.26221 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSY8 171238.090000 PA USD 154984.220000 0.0093273 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.88186 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 39909.530000 PA USD 29703.720000 0.0017876 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.9582 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AC9 1536983.380000 PA USD 1798562.120000 0.1082417 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.28663 Y N N N N N BEAR STEARNS ARM 2003-1 N/A 07384MTN2 237.620000 PA USD 229.150000 0.0000138 Long ABS-MBS CORP US N 2 2033-04-25 Floating 4.01572 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSJ2 19.770000 PA USD 15.900000 0.0000010 Long ABS-MBS CORP US N 2 2033-02-25 Floating 3.75511 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7 N/A 07387VAC3 2172620.110000 PA USD 1830380.300000 0.1101566 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.89663 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1 N/A 07389QAN8 249275.990000 PA USD 167877.810000 0.0101033 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 3.15722 Y N N N N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 F1R15XK44 200000.000000 PA USD 195375.000000 0.0117581 Long DBT CORP FR N 2 2021-03-30 Floating 7.625 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 ACI10BM53 500000.000000 PA USD 525029.640000 0.0315975 Long DBT CORP SG N 2 2023-01-31 Fixed 3.5 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 105756CB4 2644000.000000 PA USD 2441866.200000 0.1469572 Long DBT NUSS BR N 2 2050-01-14 Fixed 4.75 N N N N N N CALIFORNIA STATE UNIVERSITY N/A 13077CTM6 100000.000000 PA USD 133196.000000 0.0080160 Long DBT MUN US N 2 2030-11-01 Fixed 6.434 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -17000000.000000 PA -16197706.180000 -0.9748157 Short DBT NUSS CA N 2 2048-12-01 Fixed 2.75 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAS0 3000000.000000 PA USD 3031650.000000 0.1824518 Long DBT CORP US N 2 2029-12-15 Fixed 4.625 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC 549300TPZNMN50BJ3745 16117LBX6 866631.310000 PA USD 837743.890000 0.0504174 Long LON CORP US N 2 2027-02-01 Floating 2.74 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BP8 4600000.000000 PA USD 4470880.900000 0.2690680 Long DBT CORP US N 2 2024-02-01 Floating 3.41325 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175AX2 1700000.000000 PA USD 1694819.450000 0.1019982 Long DBT CORP US N 2 2020-07-23 Fixed 3.579 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BB9 1100000.000000 PA USD 1137584.980000 0.0684625 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 2300000.000000 PA USD 2482200.460000 0.1493846 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 434914.080000 PA USD 379060.150000 0.0228127 Long ABS-MBS CORP US N 2 2037-07-25 Floating 1.24663 N N N N N N CHICAGO TRANSIT AUTHORITY 549300CB8XLRGIPN3E12 167725AF7 300000.000000 PA USD 403392.000000 0.0242771 Long DBT MUN US N 2 2040-12-01 Fixed 6.899 N N N N N N CIFC FUNDING LTD 2015-5A N/A 12547UAL2 2200000.000000 PA USD 2162675.260000 0.1301548 Long ABS-CBDO CORP KY N 2 2027-10-25 Floating 2.65413 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAA0 2372678.940000 PA USD 2306922.990000 0.1388360 Long ABS-MBS CORP US N 2 2037-10-25 Floating 2.29663 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAF9 2600000.000000 PA USD 2196867.920000 0.1322126 Long ABS-MBS CORP US N 2 2037-10-25 Floating 2.44663 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LZ2 1000000.000000 PA USD 1057734.980000 0.0636570 Long DBT CORP US N 2 2024-06-01 Floating 4.044 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MA6 3500000.000000 PA USD 3264369.610000 0.1964574 Long DBT CORP US N 2 2024-06-01 Floating 2.60338 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3 N/A 17312EAA4 1235171.910000 PA USD 1012039.460000 0.0609069 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.20663 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 2419438.260000 PA USD 2135350.480000 0.1285104 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.12796 Y N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 8889.770000 PA USD 8010.390000 0.0004821 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.38 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486D22 102000.000000 PA USD 116163.720000 0.0069910 Long DBT MUN US N 2 2042-01-01 Fixed 7.75 N N N N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A 12564NAA0 7075000.000000 PA USD 6478358.180000 0.3898827 Long ABS-MBS CORP US N 2 2038-11-15 Floating 1.83363 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030NCS8 1479000.000000 PA USD 1631548.410000 0.0981904 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 ACI0BJ746 1400000.000000 PA 1486064.310000 0.0894348 Long DBT CORP NL N 2 2020-06-29 Floating 5.5 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 BD2YKYII0 1400000.000000 PA 1481910.800000 0.0891848 Long DBT CORP NL N 2 2021-06-29 Floating 6.625 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2003-J2 N/A 12669E4A1 9925.560000 PA USD 9559.860000 0.0005753 Long ABS-MBS CORP US N 2 2033-10-25 Fixed 6 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB N/A 12668AZ65 2898518.720000 PA USD 2507548.540000 0.1509101 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GN58 6271975.340000 PA USD 5429596.370000 0.3267658 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.52585 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11 N/A 021466AA5 1979933.460000 PA USD 1687293.950000 0.1015453 Long ABS-MBS CORP US N 2 2036-06-25 Floating 1.06663 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1 N/A 126694A32 4054180.280000 PA USD 3113996.410000 0.1874076 Long ABS-MBS CORP US N 2 2046-03-20 Floating 0.98288 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA2 N/A 126694S41 93809.480000 PA USD 65021.160000 0.0039131 Long ABS-MBS CORP US N 2 2046-05-20 Floating 1.00288 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7 N/A 126680AA5 228620.070000 PA USD 181360.920000 0.0109147 Long ABS-MBS CORP US N 2 2047-05-25 Floating 1.12663 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-27CB N/A 12667FWU5 3979940.770000 PA USD 3717947.240000 0.2237547 Long ABS-MBS CORP US N 2 2034-12-25 Fixed 6 N N N N N N COUNTRYWIDE ASSET BACKED CERT 2007-QH1 N/A 12669HAA7 1099102.840000 PA USD 879017.500000 0.0529013 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.14663 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-20 N/A 12667HAD3 276590.530000 PA USD 258403.260000 0.0155513 Long ABS-MBS CORP US N 2 2047-04-25 Floating 1.09663 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAA4 1934934.230000 PA USD 1488847.910000 0.0896023 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.07663 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAD8 5199999.980000 PA USD 4640241.820000 0.2792606 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.20663 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-18 N/A 23243WAC2 258487.690000 PA USD 252871.450000 0.0152184 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.10663 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-23 N/A 12666CAA1 3676562.840000 PA USD 3186652.390000 0.1917802 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.08663 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAA9 1074222.070000 PA USD 871766.010000 0.0524649 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.08663 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-5 N/A 126670YE2 2485278.790000 PA USD 2376463.090000 0.1430211 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.14663 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-1 N/A 23245CAD2 4893217.280000 PA USD 4397103.280000 0.2646279 Long ABS-MBS CORP US N 2 2037-07-25 Floating 1.08663 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-10 N/A 23246BAK7 1600000.000000 PA USD 1339835.040000 0.0806344 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.19663 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAE0 960000.000000 PA USD 792501.790000 0.0476946 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.19663 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 52539.610000 PA USD 48830.570000 0.0029387 Long ABS-MBS CORP US N 2 2035-02-20 Floating 3.74431 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JY5 21458.940000 PA USD 16969.610000 0.0010213 Long ABS-MBS CORP US N 2 2036-02-20 Floating 3.71138 Y N N N N N COUNTY OF CLARK DEPARTMENT OF AVIATION 549300LDD8NZB2EOVG83 18085PMT8 100000.000000 PA USD 133050.000000 0.0080073 Long DBT MUN US N 2 2045-07-01 Fixed 6.82 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB3 N/A 12489WQX5 6904986.190000 PA USD 5953814.680000 0.3583145 Long ABS-MBS CORP US N 2 2036-03-25 Floating 1.20663 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB6 N/A 14986PAE3 2000000.000000 PA USD 1724774.000000 0.1038009 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.19663 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AJ7 1600000.000000 PA USD 1475672.000000 0.0888094 Long DBT CORP CH N 2 2023-07-17 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AL2 1700000.000000 PA USD 1493509.500000 0.0898829 Long DBT CORP CH N 2 2026-08-21 Floating 6.375 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AC5 600000.000000 PA USD 607358.930000 0.0365523 Long DBT CORP GG N 2 2025-03-26 Fixed 3.75 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 6081.710000 PA USD 5425.490000 0.0003265 Long ABS-MBS CORP US N 2 2032-01-25 Floating 1.56663 N N N N N N CSN RESOURCES SA 222100ZEX458NMOXZP08 12644VAB4 450000.000000 PA USD 315564.750000 0.0189914 Long DBT CORP LU N 2 2023-02-13 Fixed 7.625 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAD6 200000.000000 PA USD 182875.000000 0.0110058 Long DBT CORP US N 2 2021-11-15 Fixed 5.25 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DV3 2850000.000000 PA USD 2642302.940000 0.1590200 Long DBT CORP US N 2 2022-02-15 Floating 2.59175 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAQ4 1400000.000000 PA USD 1268967.410000 0.0763694 Long DBT CORP DK N 2 2023-09-12 Floating 1.84413 N N N N N N GENERAL MOTORS COMPANY 54930070NSV60J38I987 370ESC733 40000.000000 NS USD 0.040000 0.0000000 Long EP CORP DE N 3 N N N DELHI INTERNATIONAL AIRPORT LIMITED 335800HBF5DARYMEUD12 246724AA6 1600000.000000 PA USD 1324816.000000 0.0797305 Long DBT CORP IN N 2 2029-06-04 Fixed 6.45 N N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2005-1 N/A 251510DG5 266087.450000 PA USD 242834.440000 0.0146143 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.44663 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 251541AQ1 100000.000000 PA USD 95200.390000 0.0057294 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 251526BS7 5000000.000000 PA USD 4098643.800000 0.2466659 Long DBT CORP DE N 2 2023-02-27 Floating 2.86763 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BX6 4400000.000000 PA USD 4188816.940000 0.2520928 Long DBT CORP DE N 2 2021-10-14 Fixed 4.25 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CB3 6300000.000000 PA USD 5836949.370000 0.3512812 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2019-1A N/A 26829XAB7 2671016.400000 PA USD 2614385.240000 0.1573398 Long ABS-O CORP US N 2 2069-07-25 Floating 1.94663 N N N N N N ELLINGTON LOAN ACQUISITION TRUST 2007-1 N/A 288542AA1 1522463.020000 PA USD 1385177.050000 0.0833632 Long ABS-MBS CORP US N 2 2037-05-25 Floating 2.04663 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NAP0 1300000.000000 PA USD 1286051.820000 0.0773976 Long DBT CORP CA N 2 2020-06-15 Floating 1.4405 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 1200000.000000 PA USD 1170078.040000 0.0704180 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N EURO-GALAXY V CLO BV 16-5A N/A ACI1DMHB8 1300000.000000 PA 1407723.420000 0.0847201 Long ABS-CBDO CORP NL N 2 2030-11-10 Floating 0.82 N N N N N N EUROPEAN LOAN CONDUIT 36A N/A ACI1G9KP9 3599502.760000 PA 3801169.170000 0.2287632 Long ABS-MBS CORP IE N 2 2030-02-17 Floating 1 N N N N N N EXPORT-IMPORT BANK OF KOREA (KEXIM) 549300APVP4R32PI3Y06 302154AX7 2200000.000000 PA USD 2247894.000000 0.1352835 Long DBT NUSS KR N 2 2021-01-29 Fixed 4 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 1100000.000000 PA 1178504.270000 0.0709251 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FANNIE MAE 2003-25 N/A 31393APU5 1917.870000 PA USD 2181.770000 0.0001313 Long ABS-MBS USGSE US N 2 2033-04-25 Fixed 5 N N N N N N FANNIE MAE 2005-79 N/A 31394FHD0 130804.910000 PA USD 129651.720000 0.0078027 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 1.35663 N N N N N N FANNIE MAE 2006-118 N/A 31396L4R8 12762.300000 PA USD 12696.380000 0.0007641 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 1.68675 N N N N N N FANNIE MAE 2006-5 N/A 31394VL73 5263.490000 PA USD 5502.760000 0.0003312 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 3.95815 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 17585.190000 PA USD 17456.360000 0.0010506 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 1.29663 N N N N N N FANNIE MAE 2007-65 N/A 31396WLX2 30869.200000 PA USD 30570.810000 0.0018398 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 1.32663 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 193681.970000 PA USD 193903.150000 0.0116695 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 1.66663 N N N N N N FANNIE MAE 2009-106 N/A 31398GUJ6 501084.280000 PA USD 503847.310000 0.0303227 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 1.69663 N N N N N N FANNIE MAE REMICS 2012-71 N/A 3136A6Z31 5556483.800000 PA USD 6683489.850000 0.4022280 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 3.75 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 69915.700000 PA USD 69207.610000 0.0041651 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 1.34663 N N N N N N FANNIEMAE WHOLE LOAN 2004-W2 N/A 31393XGV3 62629.760000 PA USD 62208.720000 0.0037439 Long ABS-MBS USGSE US N 2 2044-03-25 Floating 1.29663 N N N N N N FDIC STRUCTURED SALE GUARANTEED NOTES 2010-S2 N/A 30250WAA1 6968.490000 PA USD 6967.670000 0.0004193 Long ABS-MBS USGA US N 2 2037-11-29 Floating 1.48938 N N N N N N FHLMC PASS THRU POOLS N/A 31349SNM1 49569.720000 PA USD 50428.650000 0.0030349 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 3.735 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7LU5 32159.880000 PA USD 34726.050000 0.0020899 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M75R3 24963.470000 PA USD 28351.760000 0.0017063 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 2236493.820000 PA USD 2410444.170000 0.1450662 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ6P0 6472885.730000 PA USD 6916016.640000 0.4162220 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XVJ38 4311785.630000 PA USD 4640397.550000 0.2792699 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWE64 1619951.410000 PA USD 1743350.870000 0.1049189 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 11720.610000 PA USD 11482.210000 0.0006910 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 3.25238 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HHA1 1227000.000000 NS USD 1109508.620000 0.0667728 Long EP CORP US N 2 N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR3 N/A 32051GQL2 31106.250000 PA USD 23979.500000 0.0014431 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.62222 Y N N N N N FIRST NLC TRUST 2005-4 N/A 32113JCH6 14622000.000000 PA USD 8465433.220000 0.5094695 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.43663 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AG2 800000.000000 PA USD 781142.800000 0.0470110 Long DBT CORP US N 2 2022-07-15 Fixed 2.85 N N N N N N FNMA PASS THRU POOLS N/A 31368HMV2 50749.650000 PA USD 58500.200000 0.0035207 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31376KDU7 3893.040000 PA USD 4407.010000 0.0002652 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31381UL62 3633745.980000 PA USD 3746115.870000 0.2254500 Long ABS-MBS USGSE US N 2 2022-05-01 Fixed 2.96 N N N N N N FNMA PASS THRU POOLS N/A 31385HJD5 1652.200000 PA USD 1741.300000 0.0001048 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 5.008 N N N N N N FNMA PASS THRU POOLS N/A 31385HJE3 3257.020000 PA USD 3353.090000 0.0002018 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 4.138 N N N N N N FNMA PASS THRU POOLS N/A 31385HU59 576.870000 PA USD 581.650000 0.0000350 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 3.457 N N N N N N FNMA PASS THRU POOLS N/A 31400YDJ2 102682.190000 PA USD 103687.720000 0.0062402 Long ABS-MBS USGSE US N 2 2033-06-01 Floating 5.285 N N N N N N FNMA PASS THRU POOLS N/A 31402BTK0 6613.590000 PA USD 6768.200000 0.0004073 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 4.518 N N N N N N FNMA PASS THRU POOLS N/A 31403DAH2 12913.170000 PA USD 13067.160000 0.0007864 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 3.954 N N N N N N FNMA PASS THRU POOLS N/A 31403GCN0 13737.800000 PA USD 13838.020000 0.0008328 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 4.4 N N N N N N FNMA PASS THRU POOLS N/A 31405PRS1 10610.220000 PA USD 10447.410000 0.0006287 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 3.166 N N N N N N FNMA PASS THRU POOLS N/A 31406LHL5 43450.540000 PA USD 48979.120000 0.0029477 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407CFW2 47921.080000 PA USD 54413.060000 0.0032747 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407WUV3 131332.430000 PA USD 145697.400000 0.0087684 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31410FSS5 3073.570000 PA USD 3546.730000 0.0002135 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410QK67 19093.240000 PA USD 22146.550000 0.0013328 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31410VJH4 1866.370000 PA USD 2146.880000 0.0001292 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414UZ92 36805.740000 PA USD 42363.360000 0.0025495 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EJFZ6 749529.110000 PA USD 778423.340000 0.0468473 Long ABS-MBS USGSE US N 2 2022-05-01 Fixed 3.155 N N N N N N FNMA PASS THRU POOLS N/A 3138L0MH1 98848.640000 PA USD 101543.380000 0.0061111 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 3140H1FD7 1686381.220000 PA USD 1791854.600000 0.1078380 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 1646806.000000 PA USD 1751656.100000 0.1054187 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 3140J6GM3 15642211.810000 PA USD 16874842.970000 1.0155674 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JANZ7 6383536.010000 PA USD 6779285.810000 0.4079932 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 31418CS47 2403537.940000 PA USD 2544380.190000 0.1531267 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 1998411.710000 PA USD 2115342.460000 0.1273062 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 44005386.600000 PA USD 46579313.590000 2.8032517 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 31418CWS9 787312.240000 PA USD 836427.190000 0.0503381 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CXM1 2232701.340000 PA USD 2370056.640000 0.1426355 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 1500905.840000 PA USD 1590031.400000 0.0956918 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 1439795.530000 PA USD 1526154.370000 0.0918475 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZL0 2300000.000000 PA USD 2185361.840000 0.1315202 Long DBT CORP US N 2 2021-01-07 Floating 4.42388 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A29 1600000.000000 PA USD 1448000.000000 0.0871440 Long DBT CORP US N 2 2023-01-09 Fixed 3.087 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397XK4 1500000.000000 PA USD 1470225.000000 0.0884816 Long DBT CORP US N 2 2020-08-04 Fixed 3.157 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540RAC0 2900000.000000 PA USD 2755223.680000 0.1658158 Long DBT CORP US N 2 2020-09-24 Floating 2.13413 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540XAB9 900000.000000 PA USD 843750.000000 0.0507788 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FREDDIE MAC 2559 N/A 31393HM41 1.940000 PA USD 1.940000 0.0000001 Long ABS-MBS USGSE US N 2 2030-08-15 Fixed 5.5 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 118241.640000 PA USD 118633.810000 0.0071397 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 1.40463 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 62890.570000 PA USD 63362.690000 0.0038133 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 1.42463 N N N N N N FREDDIE MAC 3368 N/A 31397KL82 73059.420000 PA USD 73635.940000 0.0044316 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 1.42463 N N N N N N FREDDIE MAC 3898 N/A 3137ADX44 80609.500000 PA USD 80258.470000 0.0048301 Long ABS-MBS USGSE US N 2 2041-06-15 Floating 1.27463 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 22002.030000 PA USD 22007.790000 0.0013245 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 1.41463 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAB1 7949.030000 PA USD 3668.260000 0.0002208 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.00663 N N N N N N GLS AUTO RECEIVABLES TRUST 2019-3A N/A 36258AAA8 3744406.530000 PA USD 3711406.330000 0.2233611 Long ABS-O CORP US N 2 2023-07-17 Fixed 2.58 N N N N N N GLS AUTO RECEIVABLES TRUST 2020-1A N/A 36258XAA8 5605842.780000 PA USD 5527951.280000 0.3326850 Long ABS-O CORP US N 2 2024-02-15 Fixed 2.17 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 34051929.190000 PA USD 330610180.530000 19.8968916 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 36225CBY1 693.240000 PA USD 700.810000 0.0000422 Long ABS-MBS USGSE US N 2 2027-03-20 Floating 4 N N N N N N GNMA PASS THRU POOLS N/A 36179QUQ2 2092908.940000 PA USD 2147981.240000 0.1292705 Long ABS-MBS USGSE US N 2 2044-11-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A 21H050649 3595000.000000 PA USD 3823057.810000 0.2300805 Long ABS-MBS USGSE US N 2 2050-04-21 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 21H050656 2405000.000000 PA USD 2561325.000000 0.1541465 Long ABS-MBS USGSE US N 2 2050-05-20 Fixed 5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 6672257.470000 PA USD 65528240.640000 3.9436423 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 36211YTF1 187.300000 PA USD 193.500000 0.0000116 Long ABS-MBS USGSE US N 2 2030-02-15 Fixed 8 N N N N N N GNMA PASS THRU POOLS N/A 36292LCY8 18354.550000 PA USD 20500.080000 0.0012337 Long ABS-MBS USGSE US N 2 2036-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QK82 385798.510000 PA USD 430576.710000 0.0259131 Long ABS-MBS USGSE US N 2 2038-08-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296A6T6 23517.650000 PA USD 26255.370000 0.0015801 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296JEM3 179510.560000 PA USD 200578.620000 0.0120713 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296JFP5 45288.480000 PA USD 49676.740000 0.0029897 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36297BDL2 1838.390000 PA USD 1992.050000 0.0001199 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620A3S88 76930.970000 PA USD 85886.710000 0.0051689 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241KYZ5 82424.300000 PA USD 92038.140000 0.0055391 Long ABS-MBS USGSE US N 2 2039-01-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241KZ35 400953.220000 PA USD 447484.820000 0.0269307 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GOLDENTTREE LOAN MANAGEMENT US CLO 1 LTD 2017-1A N/A 38136FAU7 5500000.000000 PA USD 5210409.050000 0.3135746 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 2.59575 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAF7 2100000.000000 PA USD 2058551.230000 0.1238884 Long DBT CORP US N 2 2021-11-15 Floating 2.86175 N N N N N N GRIFONAS FINANCE NO.1 PLC GRIF-1 N/A B1DFQWII3 160370.520000 PA 146733.470000 0.0088308 Long ABS-MBS CORP GB N 2 2039-08-28 Floating 0 N N N N N N GSMPS MORTGAGE LOAN TRUST 2006-RP1 N/A 3623413V9 2051868.430000 PA USD 1579027.250000 0.0950295 Long ABS-MBS CORP US N 2 2036-01-25 Floating 1.29663 Y N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XE4 131429.110000 PA USD 114986.540000 0.0069202 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.18475 Y N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 28012.110000 PA USD 24938.180000 0.0015008 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.1245 N N N N N N GSR MORTGAGE LOAN TRUST 2007-2F N/A 362636AT9 25317.910000 PA USD 19975.790000 0.0012022 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N GSR MTGE LOAN TRUST 2003-2F N/A 36228FNB8 249.000000 PA USD 260.540000 0.0000157 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6 N N N N N N GSR MTGE LOAN TRUST 2004-7 N/A 36228F4P8 29385.710000 PA USD 25901.740000 0.0015588 Long ABS-MBS CORP US N 2 2034-06-25 Floating 3.6799 N N N N N N HALCYON LOAN ADVISORS FUNDING 2014-3 LTD N/A 40538FAQ6 267048.780000 PA USD 266799.620000 0.0160566 Long ABS-CBDO CORP KY N 2 2025-10-22 Floating 2.90213 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 990090.680000 PA USD 923715.500000 0.0555914 Long ABS-MBS CORP US N 2 2035-05-19 Floating 1.19 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 1312971.330000 PA USD 952103.130000 0.0572998 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.955 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 9797367.580000 PA 11974255.600000 0.7206386 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.76129 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AV1 700000.000000 PA USD 704076.460000 0.0423730 Long DBT CORP GB N 2 2021-03-08 Fixed 3.4 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AW9 600000.000000 PA USD 641849.190000 0.0386280 Long DBT CORP GB N 2 2026-03-08 Fixed 4.3 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BQ1 1600000.000000 PA USD 1567427.150000 0.0943314 Long DBT CORP GB N 2 2021-05-18 Floating 2.29175 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BR9 600000.000000 PA USD 559909.810000 0.0336967 Long DBT CORP GB N 2 2024-05-18 Floating 2.69175 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 BJ0297II1 2700000.000000 PA 3250377.030000 0.1956153 Long DBT CORP GB N 2 2030-05-29 Floating 3 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 1300000.000000 PA USD 1361682.530000 0.0819492 Long DBT CORP GB N 2 2026-09-12 Floating 4.292 N N N N N N HSI ASSET SECUR CORP TRUST 2007-OPT1 N/A 40431JAD5 9097625.190000 PA USD 6970343.870000 0.4194915 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.09663 N N N N N N ILLINOIS MUNICIPAL ELECTRIC AGENCY N/A 452024GT3 200000.000000 PA USD 264450.000000 0.0159152 Long DBT MUN US N 2 2035-02-01 Fixed 6.832 N N N N N N IMPAC CMB TRUST 2003-9F N/A 45254NFL6 10947.800000 PA USD 10311.560000 0.0006206 Long ABS-MBS CORP US N 2 2033-07-25 Floating 1.94663 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 453140AD7 1900000.000000 PA USD 1896480.060000 0.1141346 Long DBT CORP GB N 2 2020-07-21 Fixed 2.95 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAA1 5800000.000000 PA USD 5681653.150000 0.3419351 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 400000.000000 PA USD 370090.230000 0.0222729 Long DBT CORP GB N 2 2026-07-26 Fixed 3.5 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 291582.100000 PA USD 230653.100000 0.0138812 Long ABS-MBS CORP US N 2 2046-09-25 Floating 1.13663 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR2 N/A 45660NG74 14003.830000 PA USD 14006.770000 0.0008430 Long ABS-MBS CORP US N 2 2034-06-25 Floating 1.56663 N N N N N N INEOS FINANCE PLC 2138002D68XDR4LZCG32 ACI0YJHL2 2000000.000000 PA 1932502.560000 0.1163025 Long DBT CORP GB N 2 2025-11-15 Fixed 2.125 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AR4 1100000.000000 PA USD 953111.500000 0.0573605 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 INTERCONTINENTAL HOTELS GROUP PLC 2138007ZFQYRUSLU3J98 ACI0P88L6 1000000.000000 PA 990379.930000 0.0596034 Long DBT CORP GB N 2 2026-08-24 Fixed 2.125 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513YJJ8 700000.000000 PA USD 752861.900000 0.0453090 Long DBT NUSS IL N 2 2048-01-17 Fixed 4.125 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A 46651QAA5 2300000.000000 PA USD 2245924.930000 0.1351650 Long ABS-MBS CORP US N 2 2031-12-15 Floating 2.15463 N N N N N N JAPAN GOVT N/A ACI12NZL6 4368443600.000000 PA 40606922.840000 2.4438193 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT N/A ACI1BXN03 3090139200.000000 PA 28666950.500000 1.7252439 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAT3 3800000.000000 PA USD 3707534.260000 0.2231281 Long DBT CORP US N 2 2022-06-18 Floating 1.49938 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAU0 1200000.000000 PA USD 1257683.920000 0.0756904 Long DBT CORP US N 2 2024-07-23 Floating 3.797 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAW6 4100000.000000 PA USD 3701844.940000 0.2227857 Long DBT CORP US N 2 2024-07-23 Floating 2.69625 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2020-NNN N/A 46652BAA7 3600000.000000 PA USD 3486296.880000 0.2098135 Long ABS-MBS CORP US N 2 2037-01-16 Floating 1.56463 N N N N N N JP MORGAN MORTGAGE ACQI CORP 2006-CW2 N/A 46629BAT6 1100000.000000 PA USD 824259.700000 0.0496059 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.21663 N N N N N N JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2 N/A 46628TAA9 1470767.910000 PA USD 1075131.490000 0.0647039 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.08163 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A8 N/A 466247YH0 77294.250000 PA USD 64889.440000 0.0039052 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.92349 Y N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 28873.260000 PA USD 19569.090000 0.0011777 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A2 N/A 466247K51 339462.910000 PA USD 328616.800000 0.0197769 Long ABS-MBS CORP US N 2 2034-08-25 Fixed 4.6701 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAR6 503126.480000 PA USD 462491.020000 0.0278338 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.98299 N N N N N N JP MORGAN MTGE ACQUIS CORP 2007-CH3 N/A 46630XAE8 653242.370000 PA USD 651518.720000 0.0392099 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.15663 N N N N N N JP MORGAN MTGE ACQUIS CORP 2007-CH3 N/A 46630XAG3 5503293.000000 PA USD 4265970.020000 0.2567360 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.24663 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAU0 1200000.000000 PA USD 1147324.150000 0.0690486 Long DBT CORP US N 2 2030-04-01 Fixed 3.75 N N N N N N LEGACY MORTGAGE ASSET TRUST 2019-GS6 N/A 52474VAA7 2377997.560000 PA USD 2132207.970000 0.1283212 Long ABS-MBS CORP US N 2 2059-06-25 Fixed 3 N N N N N N LLOYDS BANK CORPORATE MARKETS PLC/NEW YORK BRANCH 213800MBWEIJDM5CU638 53947BAE0 2500000.000000 PA USD 2497425.430000 0.1503009 Long DBT CORP GB N 2 2020-10-26 Floating 2.378 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AU3 1100000.000000 PA USD 989444.500000 0.0595471 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 ACI080964 200000.000000 PA 203801.470000 0.0122652 Long DBT CORP GB N 2 2020-06-27 Floating 6.375 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 BJBQCWII7 480000.000000 NS 482027.040000 0.0290095 Long EP CORP NL N 2 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAK9 800000.000000 PA USD 789421.850000 0.0475092 Long DBT CORP GB N 2 2023-03-17 Floating 2.858 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAG8 2300000.000000 PA USD 2245216.760000 0.1351224 Long DBT CORP GB N 2 2021-06-21 Floating 1.99513 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AS8 2600000.000000 PA USD 2709223.400000 0.1630474 Long DBT CORP GB N 2 2023-08-16 Fixed 4.05 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AT6 2500000.000000 PA USD 2658628.380000 0.1600025 Long DBT CORP GB N 2 2028-08-16 Fixed 4.55 N N N N N N LONDON WALL MORTGAGE CAPITAL PLC 17-FL1 N/A ACI0WP8J5 751921.890000 PA 921458.470000 0.0554555 Long ABS-MBS CORP GB N 2 2049-11-15 Floating 1.6085 N N N N N N LONG BEACH MORTGAGE LOAN TR 2005-3 N/A 542514NW0 3461541.840000 PA USD 3369656.250000 0.2027938 Long ABS-MBS CORP US N 2 2045-08-25 Floating 1.70663 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 12369.070000 PA USD 9938.450000 0.0005981 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.50663 N N N N N N MASTR ASSET BACKED SEC TR 2006-HE5 N/A 576455AB5 10055394.580000 PA USD 6611656.230000 0.3979049 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.04663 N N N N N N MCDONALDS CORPORATION UE2136O97NLB5BYP9H04 58013MFG4 600000.000000 PA USD 590548.580000 0.0355406 Long DBT CORP US N 2 2021-10-28 Floating 2.22538 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A1 N/A 589929F37 889.570000 PA USD 756.590000 0.0000455 Long ABS-MBS CORP US N 2 2032-12-25 Floating 3.03325 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 43571.070000 PA USD 41221.690000 0.0024808 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.15663 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A2 N/A 59020USJ5 476978.570000 PA USD 420786.200000 0.0253239 Long ABS-MBS CORP US N 2 2035-02-25 Floating 3.73227 N N N N N N MF1 2019-FL2 LTD N/A 55282LAA4 5200000.000000 PA USD 4656631.200000 0.2802469 Long ABS-MBS CORP KY N 3 2034-12-25 Floating 2.07663 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BP7 1500000.000000 PA USD 1522448.550000 0.0916245 Long DBT CORP US N 2 2027-02-15 Fixed 4.185 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BN2 1300000.000000 PA USD 1429953.850000 0.0860580 Long DBT CORP US N 2 2029-02-06 Fixed 5.327 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822BL7 2800000.000000 PA USD 2799459.910000 0.1684780 Long DBT CORP JP N 2 2022-07-18 Fixed 2.623 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL78 20511.500000 PA USD 16745.840000 0.0010078 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.19663 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BDQ6 600000.000000 PA USD 630740.780000 0.0379595 Long DBT CORP US N 2 2024-04-29 Fixed 3.875 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BEC6 400000.000000 PA USD 388475.480000 0.0233794 Long DBT CORP US N 2 2023-10-24 Floating 3.20088 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC6 N/A 61744CSY3 4500000.000000 PA USD 4037846.400000 0.2430070 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.87663 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE4 N/A 61748BAC8 2013796.090000 PA USD 1213169.570000 0.0730114 Long ABS-MBS CORP US N 2 2036-06-25 Floating 1.09663 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAF2 901957.630000 PA USD 448530.090000 0.0269936 Long ABS-MBS CORP US N 2 2036-09-25 Floating 1.17663 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE4 N/A 61753VAC6 1679907.710000 PA USD 634885.170000 0.0382089 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.12663 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAA4 10430589.540000 PA USD 4864312.730000 0.2927457 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.16163 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC2 N/A 61753NAA8 3286558.010000 PA USD 2521805.540000 0.1517681 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.07663 N N N N N N MOUNTAIN HAWK III CLO LTD 2014-3A N/A 62405CAN4 469806.640000 PA USD 468229.490000 0.0281791 Long ABS-CBDO CORP KY N 2 2025-04-18 Floating 3.01913 N N N N N N NASSAU LTD 2017-IA N/A 631707AL0 3300000.000000 PA USD 3132974.130000 0.1885497 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 2.96036 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 78442FEL8 1200000.000000 PA USD 1178748.000000 0.0709398 Long DBT CORP US N 2 2022-01-25 Fixed 7.25 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAC2 200000.000000 PA USD 196610.000000 0.0118324 Long DBT CORP US N 2 2021-03-25 Fixed 5.875 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAF5 200000.000000 PA USD 195544.000000 0.0117683 Long DBT CORP US N 2 2022-06-15 Fixed 6.5 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAD0 400000.000000 PA USD 412700.000000 0.0248372 Long DBT CORP US N 2 2021-07-26 Fixed 6.625 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 ACI1BLL27 1400000.000000 PA 1519703.190000 0.0914593 Long DBT CORP US N 2 2029-11-15 Fixed 3.875 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 5111765.890000 PA USD 5122320.660000 0.3082732 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 1168360.000000 0.0703146 Long DBT MUN US N 2 2030-04-01 Fixed 5.883 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AZ2 1000000.000000 PA USD 966957.340000 0.0581937 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 283646.060000 0.0170705 Long DBT CORP US N 2 2021-09-14 Fixed 1.9 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BD0 400000.000000 PA USD 381548.120000 0.0229625 Long DBT CORP US N 2 2022-09-28 Fixed 2.6 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAP4 2700000.000000 PA USD 2648160.300000 0.1593725 Long DBT CORP JP N 2 2025-01-16 Fixed 2.648 N N N N N N OZLME BV 1A N/A ACI1DQDD9 2500000.000000 PA 2633172.350000 0.1584705 Long ABS-CBDO CORP NL N 2 2030-01-18 Floating 0.82 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NBF5 2057000.000000 PA USD 1884726.250000 0.1134272 Long DBT CORP NL N 2 2030-01-15 Fixed 5.093 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 5681.940000 PA USD 5229.800000 0.0003147 Long ABS-MBS CORP US N 2 2034-02-25 Floating 1.34663 N N N N N N RAAC SERIES 2007-SP1 N/A 74978AAC4 275614.570000 PA USD 273677.830000 0.0164706 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.42663 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 578253.570000 PA USD 468769.470000 0.0282116 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.13163 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAC7 2046649.440000 PA USD 1650456.590000 0.0993283 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.11663 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 2098972.750000 PA USD 1684521.140000 0.1013784 Long ABS-MBS CORP US N 2 2037-10-25 Variable 2.9096 N N N N N N AAMES MORTGAGE INVESTMENT TRUST 2005-2 N/A 126673L42 4200000.000000 PA USD 4035632.160000 0.2428738 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.93663 Y N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS10 N/A 75405WAG7 13000000.000000 PA USD 11175968.700000 0.6725959 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.41663 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS11 N/A 76110W7F7 10018905.000000 PA USD 8181413.780000 0.4923766 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.38663 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BF2 100000.000000 PA USD 101357.100000 0.0060999 Long DBT CORP US N 2 2022-06-12 Fixed 4 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAL3 100000.000000 PA USD 101292.920000 0.0060960 Long DBT CORP US N 2 2022-11-06 Fixed 2.9 N N N N N N RIPON MORTGAGES PLC 1A N/A ACI0TMV43 22081641.220000 PA 26917927.340000 1.6199836 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 1.551 N N N N N N RIPON MORTGAGES PLC 1X N/A ACI0WLGW6 6349353.710000 PA 7739979.110000 0.4658100 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 1.551 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BB6 500000.000000 PA USD 490162.500000 0.0294991 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 1200000.000000 PA USD 1106646.000000 0.0666005 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 1400000.000000 PA USD 1315587.000000 0.0791751 Long DBT CORP GB N 2 2025-08-10 Floating 8 N N N N Y ROYAL BANK OF SCOTLAND GROUP PLC GBP XXXX N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 78009PEH0 1500000.000000 PA USD 1633319.390000 0.0982970 Long DBT CORP GB N 2 2030-01-27 Floating 5.076 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 3500000.000000 PA USD 3715117.700000 0.2235844 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 3100000.000000 PA USD 2809558.710000 0.1690858 Long DBT CORP GB N 2 2024-06-25 Floating 2.76563 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 1500000.000000 PA USD 1512544.320000 0.0910284 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 ACI14S007 1000000.000000 PA 1067187.950000 0.0642259 Long DBT CORP GB N 2 2025-03-04 Floating 2 N N N N N N SALOMON BROTHERS MTGE SEC VII 2003-UP2 N/A 79549AXP9 1776.530000 PA USD 1849.310000 0.0001113 Long ABS-MBS CORP US N 2 2033-06-25 Variable 7 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAF2 4000000.000000 PA USD 3794980.000000 0.2283907 Long DBT CORP KY N 2 2025-08-08 Fixed 5.125 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 2900000.000000 PA USD 2742102.250000 0.1650261 Long DBT CORP KY N 2 2028-08-08 Fixed 5.4 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAJ4 3100000.000000 PA USD 3253458.800000 0.1958007 Long DBT CORP GB N 2 2024-11-15 Floating 4.796 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAX1 4200000.000000 PA USD 4201244.750000 0.2528407 Long DBT CORP GB N 2 2024-06-18 Fixed 2.875 N N N N N N SASOL FINANCING USA LLC 549300XRB1PFMESFEL85 80386WAA3 700000.000000 PA USD 294323.200000 0.0177131 Long DBT CORP US N 2 2024-03-27 Fixed 5.875 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAH2 1500000.000000 PA USD 1562686.500000 0.0940461 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI121KG1 800000.000000 PA USD 867548.000000 0.0522111 Long DBT NUSS SA N 2 2049-04-17 Fixed 5 N N N N N N SAXON ASSET SECURITIES TRUST 2005-4 N/A 805564TK7 3580000.000000 PA USD 3168207.990000 0.1906701 Long ABS-MBS CORP US N 2 2037-11-25 Floating 1.39663 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAE8 1700000.000000 PA USD 1204522.250000 0.0724910 Long DBT CORP DE N 2 2027-05-15 Fixed 6 N N Y N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAD0 3800000.000000 PA USD 2939461.500000 0.1769036 Long DBT CORP DE N 2 2029-05-15 Fixed 6.375 N N Y N N N ACE SECURITIES CORP 2004-FM1 N/A 004421DK6 1160483.270000 PA USD 1076970.600000 0.0648146 Long ABS-MBS CORP US N 2 2033-09-25 Floating 1.84663 N N N N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AC8 3286693.040000 PA USD 1905163.170000 0.1146572 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.19663 N N N N N N SEC ASSET BACKED REC LLC 2007-BR4 N/A 81378EAA1 13856645.100000 PA USD 7971481.280000 0.4797423 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.03663 Y N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BB4 2500000.000000 PA USD 2463987.950000 0.1482885 Long DBT CORP US N 2 2021-03-15 Floating 1.1905 N N N N N N ACE SECURITIES CORP 2006-NC3 N/A 00442EAC9 5742291.570000 PA USD 3109568.600000 0.1871411 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.07663 N N N N N N SL GREEN REALTY CORP 549300VQZPJU97H3GT17 75625AAD6 3100000.000000 PA USD 3187109.500000 0.1918077 Long DBT CORP US N 2 2022-12-01 Fixed 4.5 N N N N N N SMALL BUSINESS ADMIN PART CERT 2004-20F N/A 83162CNU3 43196.930000 PA USD 45629.060000 0.0027461 Long ABS-O CORP US N 2 2024-06-01 Fixed 5.52 N N N N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 78448TAB8 400000.000000 PA USD 403402.940000 0.0242777 Long DBT CORP IE N 2 2022-07-15 Fixed 3 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 ACI084Z26 100000.000000 PA 105977.830000 0.0063780 Long DBT CORP FR N 2 2021-04-07 Floating 6.75 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAB8 5000000.000000 PA USD 4843824.500000 0.2915127 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54 N N N N N N SOUND POINT CLO XIV LTD 2016-3A N/A 83609NAL4 3200000.000000 PA USD 3110696.860000 0.1872090 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 2.95625 N N N N N N SOUNDVIEW HOME EQUITY LOAN 2005-2 N/A 83611MEV6 3290000.000000 PA USD 3002760.960000 0.1807132 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.02663 N N N N N N SOUNDVIEW HOME EQUITY LOAN 2006-1 N/A 83611MKZ0 3100000.000000 PA USD 2518280.040000 0.1515560 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.25663 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT2 N/A 83611MGJ1 2989000.000000 PA USD 2358037.940000 0.1419122 Long ABS-MBS CORP US N 2 2035-08-25 Floating 1.78663 Y N N N N N SOUTHERN POWER COMPANY 5LADC78JBG2BMZD5XF57 843646AV2 2700000.000000 PA USD 2657698.180000 0.1599465 Long DBT CORP US N 2 2020-12-20 Floating 1.66575 N N N N N N SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP) 5493008I795YYBFWFU90 85172FAP4 700000.000000 PA USD 696556.000000 0.0419204 Long DBT CORP US N 2 2024-03-15 Fixed 6.125 N N N N N N SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP) 5493008I795YYBFWFU90 85172FAD1 200000.000000 PA USD 201092.000000 0.0121022 Long DBT CORP US N 2 2021-10-01 Fixed 7.75 N N N N N N SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP) 5493008I795YYBFWFU90 85172FAJ8 400000.000000 PA USD 402700.000000 0.0242354 Long DBT CORP US N 2 2020-12-15 Fixed 8.25 N N N N N N SPRINT CORP (SPRINT COMMUNICATIONS INC) 549300JKU50UT08ZWD77 852061AM2 200000.000000 PA USD 221592.000000 0.0133359 Long DBT CORP US N 2 2021-11-15 Fixed 11.5 N N N N N N SPRINT CORP (SPRINT COMMUNICATIONS INC) 549300JKU50UT08ZWD77 852061AS9 1300000.000000 PA USD 1359722.000000 0.0818312 Long DBT CORP US N 2 2022-11-15 Fixed 6 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAE5 2800000.000000 PA USD 2901248.000000 0.1746039 Long DBT CORP US N 2 2021-09-15 Fixed 7.25 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAF2 400000.000000 PA USD 443454.000000 0.0266881 Long DBT CORP US N 2 2023-09-15 Fixed 7.875 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BR0 5000000.000000 PA USD 4859125.500000 0.2924335 Long DBT CORP GB N 2 2022-09-10 Floating 2.096 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VM7 42998.400000 PA USD 37161.420000 0.0022365 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.98226 N N N N N N STRUCTURED ASSET INVEST LN TR 2006-BNC3 N/A 86361KAC1 1032457.820000 PA USD 960739.790000 0.0578196 Long ABS-MBS CORP US N 2 2036-09-25 Floating 1.09663 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPF0 211341.420000 PA USD 188877.100000 0.0113671 Long ABS-MBS CORP US N 2 2035-07-19 Floating 1 N N N N N N STRUCTURED ASSET SEC CORP 2006-WF1 N/A 863576FJ8 473735.950000 PA USD 472319.200000 0.0284253 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.28663 N N N N N N STRUCTURED ASSET SEC CORP 2007-GEL2 N/A 86363MAB7 132457.930000 PA USD 131883.390000 0.0079370 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.26663 N N N N N N STRUCTURED ASSET SECURITIES CO-2007-TC1 N/A 86364GAD5 4830000.000000 PA USD 4277707.850000 0.2574424 Long ABS-MBS CORP US N 2 2031-04-25 Floating 1.59663 N N N N N N TELOS CLO LTD 2014-5A N/A 87974KAQ7 2697374.930000 PA USD 2620856.310000 0.1577292 Long ABS-CBDO CORP KY N 2 2028-04-17 Floating 2.78613 N N N N N N TESCO PLC 2138002P5RNKC5W2JZ46 G87623HR1 100000.000000 PA 131976.260000 0.0079426 Long DBT CORP GB N 2 2022-02-24 Fixed 6.125 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAE1 338147.830000 PA USD 263109.070000 0.0158345 Long ABS-MBS CORP US N 2 2047-06-25 Floating 2.18738 Y N N N N N TICP CLO III-2 LTD 2018-3R N/A 87249FAC8 1800000.000000 PA USD 1745734.370000 0.1050624 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 2.65913 N N N N N N TOBACCO SETTLEMENT FINANCE AUTHORITY N/A 88880LAA1 490000.000000 PA USD 475304.900000 0.0286050 Long DBT MUN US N 2 2047-06-01 Fixed 7.467 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 13351638.000000 PA 16241100.900000 0.9774273 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 1.61122 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 4355849.410000 PA 5255664.130000 0.3162981 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.72413 N N N N N N TOWD POINT MORTGAGE TRUST 2017-6 N/A 89175JAE0 4900000.000000 PA USD 4377814.350000 0.2634671 Long ABS-MBS CORP US N 2 2057-10-25 Variable 3.51031 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 4128171.360000 PA USD 4073421.070000 0.2451480 Long ABS-MBS CORP US N 2 2058-05-25 Floating 1.94663 N N N N N N TOWD POINT MORTGAGE TRUST 2019-SJ3 N/A 89178JAA5 2474622.750000 PA USD 2457762.900000 0.1479139 Long ABS-MBS CORP US N 2 2059-11-25 Variable 3 N N N N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 933NLFII8 2600000.000000 PA USD 2561029.670000 0.1541287 Long LON CORP US N 3 2020-09-28 Floating 1.9546 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 ACI07SK20 3700000.000000 PA 4029816.670000 0.2425238 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 3333000.000000 0.2005877 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90352JAD5 2200000.000000 PA USD 2048045.890000 0.1232562 Long DBT CORP CH N 2 2023-08-15 Floating 2.64175 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90351DAA5 400000.000000 PA USD 400705.030000 0.0241154 Long DBT CORP CH N 2 2020-09-24 Fixed 2.95 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90351DAB3 500000.000000 PA USD 520479.990000 0.0313237 Long DBT CORP CH N 2 2025-09-24 Fixed 4.125 N N N N N N UMBS PASS THRU POOLS N/A 01F022659 51100000.000000 PA USD 52874902.290000 3.1821349 Long ABS-MBS USGSE US N 2 2050-05-13 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030645 55000000.000000 PA USD 57679101.150000 3.4712628 Long ABS-MBS USGSE US N 2 2050-04-15 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F030652 311200000.000000 PA USD 325896077.680000 19.6131859 Long ABS-MBS USGSE US N 2 2050-05-13 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F030660 18800000.000000 PA USD 19646684.320000 1.1823833 Long ABS-MBS USGSE US N 2 2050-06-11 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F032641 26000000.000000 PA USD 27506171.680000 1.6553856 Long ABS-MBS USGSE US N 2 2050-04-15 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F032658 33900000.000000 PA USD 35856540.530000 2.1579302 Long ABS-MBS USGSE US N 2 2050-05-13 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040644 106850000.000000 PA USD 114093471.560000 6.8664112 Long ABS-MBS USGSE US N 2 2050-04-15 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F040644 -106850000.000000 PA USD -114093471.560000 -6.8664112 Short ABS-MBS USGSE US N 2 2050-04-15 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F040651 39850000.000000 PA USD 42539019.420000 2.5600974 Long ABS-MBS USGSE US N 2 2050-05-13 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F040651 -31450000.000000 PA USD -33572199.770000 -2.0204533 Short ABS-MBS USGSE US N 2 2050-05-13 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F042640 19700000.000000 PA USD 21205203.130000 1.2761786 Long ABS-MBS USGSE US N 2 2050-04-15 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F042657 14100000.000000 PA USD 15168515.630000 0.9128766 Long ABS-MBS USGSE US N 2 2050-05-13 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F050643 -6000000.000000 PA USD -6479765.640000 -0.3899674 Short ABS-MBS USGSE US N 2 2050-04-15 Fixed 5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 BYXSS8II2 300000.000000 PA 312947.600000 0.0188339 Long DBT CORP IT N 2 2022-06-03 Floating 9.25 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AJ8 1900000.000000 PA USD 1936731.470000 0.1165570 Long DBT CORP IT N 2 2022-01-14 Fixed 6.572 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962A6 26902000.000000 PA USD 26901714.030000 1.6190079 Long DBT UST US N 2 2020-04-07 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962B4 23931000.000000 PA USD 23930553.440000 1.4401965 Long DBT UST US N 2 2020-04-14 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962C2 26506000.000000 PA USD 26505204.820000 1.5951450 Long DBT UST US N 2 2020-04-21 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962D0 640000.000000 PA USD 639984.390000 0.0385158 Long DBT UST US N 2 2020-04-28 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796SM2 302000.000000 PA USD 301994.690000 0.0181747 Long DBT UST US N 2 2020-04-23 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796TS8 342000.000000 PA USD 341985.540000 0.0205815 Long DBT UST US N 2 2020-04-30 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796SR1 373000.000000 PA USD 372955.840000 0.0224454 Long DBT UST US N 2 2020-05-21 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796TT6 129000.000000 PA USD 128992.070000 0.0077630 Long DBT UST US N 2 2020-05-07 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796SV2 64737000.000000 PA USD 64722412.800000 3.8951457 Long DBT UST US N 2 2020-06-18 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796TZ2 75387000.000000 PA USD 75371351.170000 4.5360237 Long DBT UST US N 2 2020-06-11 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828SA9 52536943.000000 PA USD 51782328.090000 3.1163813 Long DBT UST US N 2 2022-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N71 3104673.000000 PA USD 3208516.430000 0.1930960 Long DBT UST US N 2 2026-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PS1 3453435.000000 PA USD 4005560.970000 0.2410640 Long DBT UST US N 2 2027-01-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PV4 1231230.000000 PA USD 1401560.380000 0.0843492 Long DBT UST US N 2 2028-01-15 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 897528.000000 PA USD 985606.350000 0.0593161 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 5533750.000000 PA USD 7105368.150000 0.4276176 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 5551860.000000 PA USD 6751509.740000 0.4063216 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 20397000.000000 PA USD 25147435.190000 1.5134313 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 28960327.630000 PA USD 36055715.050000 2.1699170 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X39 50379450.000000 PA USD 49667133.950000 2.9890839 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828QV5 11787732.000000 PA USD 11677264.090000 0.7027650 Long DBT UST US N 2 2021-07-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282L3 4745025.000000 PA USD 4885656.910000 0.2940302 Long DBT UST US N 2 2027-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828B66 4700000.000000 PA USD 5139890.630000 0.3093306 Long DBT UST US N 2 2024-02-15 Fixed 2.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828P46 4000000.000000 PA USD 4262343.760000 0.2565178 Long DBT UST US N 2 2026-02-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286B1 170000000.000000 PA USD 198820312.500000 11.9654700 Long DBT UST US N 2 2029-02-15 Fixed 2.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QE1 5900000.000000 PA USD 9638433.580000 0.5800634 Long DBT UST US N 2 2040-02-15 Fixed 4.625 N N N N N N ALLEGRO CLO I LTD 2013-1A N/A 01749GAJ7 58521.830000 PA USD 58465.490000 0.0035186 Long ABS-CBDO CORP KY N 2 2026-01-30 Floating 2.9895 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 22200000.000000 PA USD 30964664.120000 1.8635257 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828VB3 2140000.000000 PA USD 2237135.930000 0.1346361 Long DBT UST US N 2 2023-05-15 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286T2 67500000.000000 PA USD 77693554.350000 4.6757793 Long DBT UST US N 2 2029-05-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QH4 8200000.000000 PA USD 13040562.500000 0.7848115 Long DBT UST US N 2 2040-05-15 Fixed 4.375 N N N N N N ALLERGAN FUNDING SCS 222100FLFVOSKCBCAR54 00507UAR2 1500000.000000 PA USD 1558406.940000 0.0937886 Long DBT CORP LU N 2 2022-03-15 Fixed 3.45 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 600000.000000 PA USD 834421.870000 0.0502175 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828F21 2200000.000000 PA USD 2263335.930000 0.1362128 Long DBT UST US N 2 2021-09-30 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285C0 38100000.000000 PA USD 43359586.130000 2.6094810 Long DBT UST US N 2 2025-09-30 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285J5 38100000.000000 PA USD 43441441.310000 2.6144072 Long DBT UST US N 2 2025-10-31 Fixed 3 N N N N N N ALLERGAN SALES LLC 254900TUPGX2F5Y3AU71 345838AE6 698000.000000 PA USD 709023.580000 0.0426707 Long DBT CORP US N 2 2021-02-15 Fixed 4.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828V23 6300000.000000 PA USD 6753304.660000 0.4064296 Long DBT UST US N 2 2023-12-31 Fixed 2.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YY0 13300000.000000 PA USD 14165019.500000 0.8524839 Long DBT UST US N 2 2024-12-31 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285T3 15300000.000000 PA USD 17173054.760000 1.0335145 Long DBT UST US N 2 2025-12-31 Fixed 2.625 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NAJ9 3700000.000000 PA USD 3759801.250000 0.2262736 Long DBT CORP US N 2 2020-09-15 Fixed 7.5 N N N N N N VENTURE CDO LTD 2016-25A N/A 92329VAQ5 5400000.000000 PA USD 5223800.270000 0.3143805 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 3.04913 N N N N N N VENTURE CLO LTD 2013-4A N/A 92328GBA3 7000000.000000 PA USD 6644267.000000 0.3998675 Long ABS-CBDO CORP KY N 2 2029-08-28 Floating 2.64325 N N N N N N VENTURE XX CLO LTD 2015-20A N/A 92330JCC8 7479193.720000 PA USD 7303808.270000 0.4395602 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 2.65125 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NAY6 100000.000000 PA USD 98732.000000 0.0059419 Long DBT CORP US N 2 2022-02-13 Fixed 4.125 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBG4 100000.000000 PA USD 98204.000000 0.0059101 Long DBT CORP US N 2 2021-04-15 Fixed 4.25 N N N N N N WAMU MTGE P/T CERT 2007-HY7 N/A 93364FAG6 7788613.230000 PA USD 6440243.060000 0.3875888 Long ABS-MBS CORP US N 2 2037-07-25 Floating 3.80823 Y N N N N N WASHINGTON MUTUAL 2002 AR2 N/A 929227LE4 22679.430000 PA USD 20422.900000 0.0012291 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 929227XB7 11517.320000 PA USD 9870.770000 0.0005940 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 9393357P4 7881.040000 PA USD 6802.790000 0.0004094 Long ABS-MBS CORP US N 2 2042-08-25 Floating 3.36585 N N N N N N WASHINGTON MUTUAL 2004-RP1 N/A 92922FYJ1 1894866.040000 PA USD 1512100.260000 0.0910017 Long ABS-MBS CORP US N 2 2034-05-25 Floating 1.31663 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 20191.000000 PA USD 18544.090000 0.0011160 Long ABS-MBS CORP US N 2 2045-10-25 Floating 1.23663 N N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 94253.020000 PA USD 82257.910000 0.0049505 Long ABS-MBS CORP US N 2 2046-02-25 Floating 2.96585 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2B8 600000.000000 PA USD 607820.280000 0.0365800 Long DBT CORP US N 2 2022-07-22 Fixed 2.625 N N N N N N WIND RIVER CLO LTD 2015-2A N/A 88432GAL1 3726088.900000 PA USD 3666722.470000 0.2206719 Long ABS-CBDO CORP KY N 2 2027-10-15 Floating 2.70125 N N N N N N WMALT MTGE PASS-THRU CERT 2006-AR9 N/A 939346AA0 7428587.150000 PA USD 5732844.990000 0.3450160 Long ABS-MBS CORP US N 2 2046-11-25 Floating 2.79585 N N N N N N WPC EUROBOND BV 5493005XDMOLBARL5M14 ACI15F7Y3 3500000.000000 PA 3781864.140000 0.2276014 Long DBT CORP NL N 2 2026-04-09 Fixed 2.25 N N N N N N YPF SA 5493003N7447U18U5U53 ACI1J9CS9 14530000.000000 PA 170068.770000 0.0102351 Long DBT CORP AR N 2 2021-03-04 Floating 52.9918 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAF9 1700000.000000 PA USD 1714403.100000 0.1031768 Long DBT CORP US N 2 2025-04-01 Fixed 3.55 N N N N N N N/A N/A 000000000 22950000.000000 PA 16307823.490000 0.9814428 Long RA CA N 2 Repurchase N 0.5800000 2020-04-07 17000000.000000 CAD 22795031.910000 CAD N N N N/A N/A 000000000 1.000000 NC USD -23925.510000 -0.0014399 N/A DCR US N 2 Bank of America, N.A. 9DJT3UXIJIZJI4WXO774 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-26 0.000000 USD -78210.910000 USD 372989.490000 USD 54285.400000 N N N N/A 549300Z40J86GGSTL398 000000000 1.000000 NC USD -71387.840000 -0.0042963 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 AT&T INC AT&T INC SR UNSEC SMR Y Single Leg Swap 2024-12-21 23427.080000 USD 0.000000 USD 1500000.000000 USD -94814.920000 N N N AMERICAN HOME MTGE INV TRUST 2004-4 N/A 02660TCS0 22662.050000 PA USD 21991.730000 0.0013235 Long ABS-MBS CORP US N 2 2045-02-25 Floating 3.53325 N N N N N N N/A N/A 000000000 1.000000 NC 951653.010000 0.0572727 N/A DFE GB N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 20120000.000000 GBP 25942709.890000 USD 2020-04-02 951653.010000 N N N N/A N/A 000000000 1.000000 NC 2626.250000 0.0001581 N/A DFE KR N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 126744260.000000 KRW 106880.520000 USD 2020-06-17 2626.250000 N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 934NVQII2 1200000.000000 PA USD 1168220.530000 0.0703062 Long LON CORP US N 3 2021-03-29 Floating 2.2246 N N N N N N N/A N/A 000000000 1.000000 NC 916792.410000 0.0551747 N/A DFE GB N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 56746469.250000 GBP 46424000.000000 GBP 2020-04-02 916792.410000 N N N N/A N/A 000000000 1.000000 NC -1565473.840000 -0.0942139 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 8691374.970000 MXN 170955000.000000 MXN 2020-06-17 -1565473.840000 N N N N/A N/A 000000000 1.000000 NC -919809.940000 -0.0553563 N/A DFE GB N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 46424000.000000 GBP 56783840.570000 USD 2020-05-04 -919809.940000 N N N N/A N/A 000000000 1.000000 NC -297876.990000 -0.0179269 N/A DFE JP N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1472286087.000000 JPY 13394623.240000 USD 2020-04-02 -297876.990000 N N N N/A N/A 000000000 1.000000 NC -1686564.260000 -0.1015014 N/A DFE BR N 2 BNP Paribas S.A. N/A 9878155.350000 BRL 47649124.590000 BRL 2020-04-02 -1686564.260000 N N N N/A N/A 000000000 1.000000 NC -71238.300000 -0.0042873 N/A DFE CA N 2 BNP Paribas S.A. N/A 1449778.550000 CAD 1940000.000000 CAD 2020-04-02 -71238.300000 N N N N/A N/A 000000000 1.000000 NC -1003775.100000 -0.0604095 N/A DFE CA N 2 BNP Paribas S.A. N/A 19783898.950000 CAD 26429000.000000 CAD 2020-04-02 -1003775.100000 N N N N/A N/A 000000000 1.000000 NC -1108783.420000 -0.0667292 N/A DFE CA N 2 BNP Paribas S.A. N/A 21654007.260000 CAD 28913000.000000 CAD 2020-04-02 -1108783.420000 N N N N/A N/A 000000000 1.000000 NC -76565.960000 -0.0046079 N/A DFE CA N 2 BNP Paribas S.A. N/A 1607882.580000 CAD 2155000.000000 CAD 2020-04-02 -76565.960000 N N N N/A N/A 000000000 1.000000 NC -40310.150000 -0.0024260 N/A DFE CA N 2 BNP Paribas S.A. N/A 1328605.750000 CAD 1813000.000000 CAD 2020-04-02 -40310.150000 N N N N/A N/A 000000000 1.000000 NC 487050.080000 0.0293118 N/A DFE CA N 2 BNP Paribas S.A. N/A 20887429.670000 CAD 30080000.000000 CAD 2020-04-02 487050.080000 N N N N/A N/A 000000000 1.000000 NC 201258.020000 0.0121122 N/A DFE CO N 2 BNP Paribas S.A. N/A 8362303.430000 COP 34928505183.400002 COP 2020-05-29 201258.020000 N N N N/A N/A 000000000 1.000000 NC 9471.710000 0.0005700 N/A DFE N/A N 2 BNP Paribas S.A. N/A 2419112.800000 EUR 2202000.000000 EUR 2020-04-02 9471.710000 N N N N/A N/A 000000000 1.000000 NC 6366.800000 0.0003832 N/A DFE N/A N 2 BNP Paribas S.A. N/A 1383286.460000 EUR 1260000.000000 EUR 2020-04-02 6366.800000 N N N N/A N/A 000000000 1.000000 NC 115069.900000 0.0069252 N/A DFE N/A N 2 BNP Paribas S.A. N/A 20052019.740000 EUR 18263000.000000 EUR 2020-05-04 115069.900000 N N N N/A N/A 000000000 1.000000 NC 51803.110000 0.0031176 N/A DFE GB N 2 BNP Paribas S.A. N/A 1139371.020000 GBP 959000.000000 GBP 2020-04-02 51803.110000 N N N N/A N/A 000000000 1.000000 NC 135948.410000 0.0081817 N/A DFE GB N 2 BNP Paribas S.A. N/A 2073747.920000 GBP 1779000.000000 GBP 2020-04-02 135948.410000 N N N N/A N/A 000000000 1.000000 NC -2213.740000 -0.0001332 N/A DFE MX N 2 BNP Paribas S.A. N/A 12401.540000 MXN 244411.990000 MXN 2020-06-17 -2213.740000 N N N N/A N/A 000000000 1.000000 NC 87350.510000 0.0052570 N/A DFE TW N 2 BNP Paribas S.A. N/A 23633000.000000 TWD 715244473.000000 TWD 2020-04-23 87350.510000 N N N N/A N/A 000000000 1.000000 NC -162019.810000 -0.0097507 N/A DFE TW N 2 BNP Paribas S.A. N/A 24773000.000000 TWD 741376245.000000 TWD 2020-04-30 -162019.810000 N N N N/A N/A 000000000 1.000000 NC -78112.240000 -0.0047010 N/A DFE CA N 2 BNP Paribas S.A. N/A 4135000.000000 CAD 2860168.140000 USD 2020-04-02 -78112.240000 N N N N/A N/A 000000000 1.000000 NC -37876.650000 -0.0022795 N/A DFE N/A N 2 BNP Paribas S.A. N/A 9878155.350000 EUR 47649124.590000 BRL 2020-04-02 -37876.650000 N N N N/A N/A 000000000 1.000000 NC 67392.430000 0.0040558 N/A DFE N/A N 2 BNP Paribas S.A. N/A 2251000.000000 EUR 2550019.010000 USD 2020-04-02 67392.430000 N N N N/A N/A 000000000 1.000000 NC 48626.870000 0.0029265 N/A DFE N/A N 2 BNP Paribas S.A. N/A 2323000.000000 EUR 2610662.200000 USD 2020-04-02 48626.870000 N N N N/A N/A 000000000 1.000000 NC -26679.740000 -0.0016056 N/A DFE GB N 2 BNP Paribas S.A. N/A 604000.000000 GBP 723548.810000 USD 2020-04-02 -26679.740000 N N N N/A N/A 000000000 1.000000 NC 621514.730000 0.0374042 N/A DFE IN N 2 BNP Paribas S.A. N/A 747188131.000000 INR 10338334.440000 USD 2020-06-17 621514.730000 N N N N/A N/A 000000000 1.000000 NC 287296.950000 0.0172902 N/A DFE TW N 2 BNP Paribas S.A. N/A 1434559276.000000 TWD 48262659.000000 USD 2020-06-17 287296.950000 N N N N/A N/A 000000000 1.000000 NC USD 17929.510000 0.0010790 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 -598741.740000 USD 28300000.000000 USD 616671.250000 N N N N/A N/A 000000000 1.000000 NC -66812.470000 -0.0040209 N/A DFE CA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2268923.930000 CAD 3099000.000000 CAD 2020-04-02 -66812.470000 N N N N/A N/A 000000000 1.000000 NC 11088.630000 0.0006673 N/A DFE CA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 3148184.540000 CAD 4446000.000000 CAD 2020-04-02 11088.630000 N N N N/A N/A 000000000 1.000000 NC 9647.960000 0.0005806 N/A DFE CA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 4888898.350000 CAD 6891000.000000 CAD 2020-05-04 9647.960000 N N N N/A N/A 000000000 1.000000 NC 34275.620000 0.0020628 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1135900.660000 EUR 1061000.000000 EUR 2020-04-02 34275.620000 N N N N/A N/A 000000000 1.000000 NC -70342.540000 -0.0042334 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1481368.420000 GBP 1136000.000000 GBP 2020-04-02 -70342.540000 N N N N/A N/A 000000000 1.000000 NC -396112.630000 -0.0238390 N/A DFE IN N 2 Citibank NA E57ODZWZ7FF32TWEFA76 6881405.000000 INR 498695420.350000 INR 2020-06-17 -396112.630000 N N N N/A N/A 000000000 1.000000 NC -266664.500000 -0.0160485 N/A DFE MX N 2 Citibank NA E57ODZWZ7FF32TWEFA76 6191630.200000 MXN 140776000.000000 MXN 2020-04-13 -266664.500000 N N N N/A N/A 000000000 1.000000 NC 4511.760000 0.0002715 N/A DFE RU N 2 Citibank NA E57ODZWZ7FF32TWEFA76 410334.280000 RUB 32736469.000000 RUB 2020-06-09 4511.760000 N N N N/A N/A 000000000 1.000000 NC 5700.130000 0.0003430 N/A DFE AU N 2 Citibank NA E57ODZWZ7FF32TWEFA76 148000.000000 AUD 96734.920000 USD 2020-04-02 5700.130000 N N N N/A N/A 000000000 1.000000 NC -9426.200000 -0.0005673 N/A DFE CA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 6891000.000000 CAD 4887234.040000 USD 2020-04-02 -9426.200000 N N N N/A N/A 000000000 1.000000 NC 1621584.010000 0.0975907 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 34608795029.500000 COP 10129897.560000 USD 2020-04-24 1621584.010000 N N N N/A N/A 000000000 1.000000 NC -340215.740000 -0.0204750 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 51615000.000000 EUR 56585937.420000 USD 2020-04-02 -340215.740000 N N N N/A N/A 000000000 1.000000 NC 23074.570000 0.0013887 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1617000.000000 EUR 1806462.920000 USD 2020-04-02 23074.570000 N N N N/A N/A 000000000 1.000000 NC -2911.750000 -0.0001752 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1309000.000000 EUR 1440783.580000 USD 2020-04-02 -2911.750000 N N N N/A N/A 000000000 1.000000 NC -39320.060000 -0.0023664 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1812000.000000 EUR 1959133.680000 USD 2020-04-02 -39320.060000 N N N N/A N/A 000000000 1.000000 NC -29879.490000 -0.0017982 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 4125000.000000 EUR 4525190.590000 USD 2020-05-04 -29879.490000 N N N N/A N/A 000000000 1.000000 NC 59053.370000 0.0035540 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1202000.000000 GBP 1552057.860000 USD 2020-04-02 59053.370000 N N N N/A N/A 000000000 1.000000 NC -776011.070000 -0.0467022 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 26666000.000000 GBP 32345834.000000 USD 2020-04-02 -776011.070000 N N N N/A N/A 000000000 1.000000 NC -68088.040000 -0.0040977 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 874000.000000 GBP 1017507.570000 USD 2020-04-02 -68088.040000 N N N N/A N/A 000000000 1.000000 NC 567.050000 0.0000341 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 75400000.000000 JPY 701799.320000 USD 2020-04-02 567.050000 N N N N/A N/A 000000000 1.000000 NC -156815.050000 -0.0094375 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 6297300000.000000 JPY 58409099.850000 USD 2020-04-02 -156815.050000 N N N N/A N/A 000000000 1.000000 NC -24895.810000 -0.0014983 N/A DFE BR N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 1833401.780000 BRL 9417286.600000 BRL 2020-05-05 -24895.810000 N N N N/A N/A 000000000 1.000000 NC 23352.440000 0.0014054 N/A DFE BR N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 9417286.600000 BRL 1835728.380000 USD 2020-04-02 23352.440000 N N N N/A 529900AQBND3S6YJLY83 000000000 145.000000 NC -123292.240000 -0.0074200 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-06-08 27587870.750000 EUR -123292.240000 N N N N/A 529900AQBND3S6YJLY83 000000000 482.000000 NC 52888.640000 0.0031830 N/A DIR DE N 1 Eurex N/A Put Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 06/08/20 2020-06-09 N/A EUR N/A 160.000000 EUR 2020-05-22 XXXX 52888.640000 N N N N/A N/A 000000000 1.000000 NC -192192.640000 -0.0115666 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8931084.980000 BRL 47649124.590000 BRL 2020-05-05 -192192.640000 N N N N/A N/A 000000000 1.000000 NC 312466.900000 0.0188050 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 47649124.590000 EUR 8953236.490000 EUR 2020-04-02 312466.900000 N N N N/A N/A 000000000 1.000000 NC 34031.640000 0.0020481 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1643478.370000 EUR 1521000.000000 EUR 2020-04-02 34031.640000 N N N N/A N/A 000000000 1.000000 NC -241152.900000 -0.0145131 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4227595.000000 INR 306542913.450000 INR 2020-06-17 -241152.900000 N N N N/A N/A 000000000 1.000000 NC -2140638.450000 -0.1288286 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10135499.830000 RUB 627405917.350000 RUB 2020-04-15 -2140638.450000 N N N N/A N/A 000000000 1.000000 NC 1947.060000 0.0001172 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 339301.810000 RUB 26824853.000000 RUB 2020-05-20 1947.060000 N N N N/A N/A 000000000 1.000000 NC -328720.050000 -0.0197831 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5117752.430000 ZAR 85707000.000000 ZAR 2020-04-06 -328720.050000 N N N N/A N/A 000000000 1.000000 NC 391881.540000 0.0235843 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 47649124.590000 BRL 8953236.490000 EUR 2020-04-02 391881.540000 N N N N/A N/A 000000000 1.000000 NC 1476743.640000 0.0888739 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 47128800.360000 BRL 10546777.000000 USD 2020-04-02 1476743.640000 N N N N/A N/A 000000000 1.000000 NC 1477089.150000 0.0888947 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 48215307.410000 BRL 10756223.000000 USD 2020-04-02 1477089.150000 N N N N/A N/A 000000000 1.000000 NC -78390.660000 -0.0047177 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4604000.000000 CAD 3193155.380000 USD 2020-04-02 -78390.660000 N N N N/A N/A 000000000 1.000000 NC -519833.700000 -0.0312848 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8931084.980000 EUR 47649124.590000 BRL 2020-05-05 -519833.700000 N N N N/A N/A 000000000 1.000000 NC 1042258.040000 0.0627255 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 97039000.000000 MXN 5087125.520000 USD 2020-06-17 1042258.040000 N N N N/A N/A 000000000 1.000000 NC -692.580000 -0.0000417 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 26824853.000000 RUB 341129.160000 USD 2020-04-15 -692.580000 N N N N/A N/A 000000000 1.000000 NC -465.250000 -0.0000280 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 104000.000000 SGD 72789.920000 USD 2020-06-17 -465.250000 N N N N/A N/A 000000000 1.000000 NC -593177.300000 -0.0356988 N/A DFE CN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 44255764.900000 CNY 309958526.240000 CNY 2020-06-17 -593177.300000 N N N N/A N/A 000000000 1.000000 NC 9903.510000 0.0005960 N/A DFE N/A N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 743376.790000 EUR 683000.000000 EUR 2020-04-02 9903.510000 N N N N/A N/A 000000000 1.000000 NC -62849.910000 -0.0037825 N/A DFE BR N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 1770000.000000 BRL 272874.430000 USD 2021-01-05 -62849.910000 N N N N/A N/A 000000000 1.000000 NC 273697.000000 0.0164717 N/A DFE CN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 142577000.000000 CNY 20357934.810000 USD 2020-06-17 273697.000000 N N N N/A N/A 000000000 1.000000 NC -53013.660000 -0.0031905 N/A DFE GB N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 832000.000000 GBP 980413.740000 USD 2020-04-02 -53013.660000 N N N N/A N/A 000000000 1.000000 NC -80985.130000 -0.0048739 N/A DFE GB N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 16259000.000000 GBP 20128468.030000 USD 2020-05-04 -80985.130000 N N N N/A N/A 000000000 1.000000 NC -327.080000 -0.0000197 N/A DFE HK N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 1209312.000000 HKD 155612.570000 USD 2020-06-17 -327.080000 N N N ARGENT SECURITIES INC 2005-W4 N/A 040104PT2 1336278.630000 PA USD 1063796.850000 0.0640218 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.32663 N N N N N N N/A MLU0ZO3ML4LN2LL2TL39 000000000 1.000000 NC 46569.130000 0.0028026 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 -6817.690000 EUR 1000000.000000 EUR 53386.820000 N N N N/A MLU0ZO3ML4LN2LL2TL39 000000000 1.000000 NC 83824.380000 0.0050447 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 -12785.250000 EUR 1800000.000000 EUR 96609.630000 N N N N/A N/A 000000000 -1800000.000000 NC -11455.110000 -0.0006894 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 2.500000 EUR 2021-01-20 XXXX -10052.980000 N N N N/A N/A 000000000 1.000000 NC 73380.760000 0.0044162 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 32 Y Single Leg Swap 2024-12-21 328445.630000 EUR 0.000000 EUR 27700000.000000 EUR -255064.870000 N N N ARGENT SECURITIES INC 2006-W4 N/A 040104TH4 6422596.910000 PA USD 2270498.480000 0.1366439 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.21663 N N N N N N N/A N/A 000000000 1.000000 NC -20079.750000 -0.0012084 N/A DFE ZA N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 120266.840000 ZAR 1793000.000000 ZAR 2020-04-06 -20079.750000 N N N N/A N/A 000000000 1.000000 NC -278258.950000 -0.0167463 N/A DFE ZA N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 3946570.470000 ZAR 65650000.000000 ZAR 2020-04-06 -278258.950000 N N N N/A N/A 000000000 1.000000 NC -30794.900000 -0.0018533 N/A DFE CN N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 167992819.560000 CNY 23633665.280000 USD 2020-06-17 -30794.900000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1DM1J8 2630000.000000 PA 19425.960000 0.0011691 Long DBT NUSS AR N 2 2020-05-13 None 0 N N N N N N N/A 5493003STKEZ2S0RNU91 000000000 1.000000 NC USD -8288.550000 -0.0004988 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) HEINZ (H.J.) CO DEB Y Single Leg Swap 2022-06-21 0.000000 USD -9352.650000 USD 800000.000000 USD 1064.100000 N N N 2020-05-04 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer