NPORT-P false 0000810893 XXXXXXXX S000033596 C000103221 C000103225 C000103220 C000103224 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Credit Opportunities Bond Fund S000033596 OZ5WCS502FZE6NVLXP08 2020-03-31 2020-03-31 N 334449030.180000 22713872.750000 311735157.430000 0.000000 0.000000 4885974.610000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 26394.630152 0.000000 0.000000 6168820.170000 JPY USD EUR CLP CAD BRL AUD MXN RUB GBP ARS N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1HS2L5 1720000.000000 PA 21552.980000 0.0069139 Long DBT NUSS AR N 2 2020-04-03 Floating 37.1693 N N N N N N N/A 254900NDAKGNZ2IBBL45 000000000 1.000000 NC USD -13238.510000 -0.0042467 N/A DCR US N 2 Nomura Global Financial Products Inc. 0Z3VO5H2G7GRS05BHJ91 PT PERTAMINA (PERSERO) PT PERTAMINA (PERSERO) Y Single Leg Swap 2024-12-21 189.960000 USD 0.000000 USD 200000.000000 USD -13428.470000 N N N N/A 549300C6OZZ8LTVR8209 000000000 1.000000 NC USD 525.510000 0.0001686 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 SINOPEC GROUP OVERSEAS DEVELOPMENT 2018 LTD SINOPEC GRP DEV 2018 SR UNSEC Y Single Leg Swap 2024-12-21 3398.520000 USD 0.000000 USD 200000.000000 USD -2873.010000 N N N N/A N/A 000000000 1.000000 NC 3850.530000 0.0012352 N/A DFE RU N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 7107667.000000 RUB 93892.800000 USD 2020-06-11 3850.530000 N N N N/A N/A 000000000 1.000000 NC 32.700000 0.0000105 N/A DFE RU N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 8113220.000000 RUB 102813.650000 USD 2020-06-11 32.700000 N N N N/A N/A 000000000 1.000000 NC 13.430000 0.0000043 N/A DFE RU N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 8114154.000000 RUB 102806.210000 USD 2020-06-11 13.430000 N N N N/A N/A 000000000 1.000000 NC 351.890000 0.0001129 N/A DFE RU N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 2650047.000000 RUB 34152.440000 USD 2020-04-30 351.890000 N N N N/A N/A 000000000 1.000000 NC -73321.920000 -0.0235206 N/A DFE N/A N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 12942000.000000 EUR 14218556.170000 USD 2020-05-05 -73321.920000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1JDTT0 999000.000000 PA 9872.190000 0.0031669 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 -30819.960000 -0.0098866 N/A DFE PL N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 465478.570000 PLN 1798683.670000 PLN 2020-06-10 -30819.960000 N N N N/A N/A 000000000 1.000000 NC 20181.300000 0.0064739 N/A DFE ID N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 2289254000.000000 IDR 158810.540000 USD 2020-06-17 20181.300000 N N N N/A N/A 000000000 1.000000 NC 95745.570000 0.0307138 N/A DFE ID N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 11010853000.000000 IDR 762524.450000 USD 2020-06-17 95745.570000 N N N N/A N/A 000000000 1.000000 NC -246.950000 -0.0000792 N/A DFE RU N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 5439871.000000 RUB 68955.660000 USD 2020-05-20 -246.950000 N N N N/A N/A 000000000 1.000000 NC 726.710000 0.0002331 N/A DFE JP N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 3000000.000000 JPY 28627.200000 USD 2020-04-02 726.710000 N N N N/A 549300B7MV13XJXKBZ36 000000000 307998.000000 NC USD 0.310000 0.0000001 N/A DE US N 3 None N/A Call Purchased NEIMAN MARCUS GROUP LTD LLC NEIMAN MARCUS GROUP N/A 0.010000 USD 2039-11-05 XXXX 0.310000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 180000.000000 PA 1554.390000 0.0004986 Long DBT NUSS AR N 2 2022-04-03 Floating 36.8596 N N N N N N N/A N/A 000000000 -1300000.000000 NC -27311.060000 -0.0087610 N/A DIR GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB IRS GBP R 0.78000 02/26/21-10Y LCH N/A N/A 2031-02-26 0.000000 GBP 0.000000 GBP N/A GBP N/A 0.780000 GBP 2021-02-26 XXXX 42.290000 N N N N/A N/A 000000000 450000.000000 NC 26583.600000 0.0085276 N/A DIR GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB IRS GBP R 0.86000 02/26/21-30Y LCH N/A N/A 2051-02-26 0.000000 GBP 0.000000 GBP N/A GBP N/A 0.860000 GBP 2021-02-26 XXXX -807.660000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0VSDQ8 24000000.000000 PA 176169.450000 0.0565125 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 18800.090000 0.0060308 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2025-03-04 259.220000 CAD 0.000000 CAD 2000000.000000 CAD 18540.870000 N N N N/A N/A 000000000 1.000000 NC 67640.630000 0.0216981 N/A DIR CA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2029-12-18 0.000000 CAD -5199.460000 CAD 1300000.000000 CAD 72840.090000 N N N N/A N/A 000000000 1.000000 NC 136206.800000 0.0436931 N/A DIR CL N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2025-02-05 0.000000 CLP 0.000000 CLP 3502300000.000000 CLP 136206.800000 N N N N/A N/A 000000000 1.000000 NC 10753.870000 0.0034497 N/A DIR CL N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2025-02-25 0.000000 CLP 0.000000 CLP 260000000.000000 CLP 10753.870000 N N N N/A N/A 000000000 1.000000 NC 16786.630000 0.0053849 N/A DIR CL N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2029-12-04 0.000000 CLP 0.000000 CLP 265800000.000000 CLP 16786.630000 N N N N/A N/A 000000000 1.000000 NC 2160.250000 0.0006930 N/A DIR CL N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2029-12-10 0.000000 CLP 0.000000 CLP 26000000.000000 CLP 2160.250000 N N N N/A N/A 000000000 1.000000 NC 57846.000000 0.0185561 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2030-03-18 76865.000000 EUR 0.000000 EUR 4200000.000000 EUR -19019.000000 N N N N/A N/A 000000000 1.000000 NC -31490.540000 -0.0101017 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2030-06-17 0.000000 EUR -1273.950000 EUR 1800000.000000 EUR -30216.590000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114GK0 1800000.000000 PA USD 545967.000000 0.1751381 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 -128362.380000 -0.0411767 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2050-03-18 56025.960000 GBP 0.000000 GBP 2300000.000000 GBP -184388.340000 N N N N/A N/A 000000000 1.000000 NC 126405.900000 0.0405491 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2025-03-18 11088.960000 GBP 0.000000 GBP 8700000.000000 GBP 115316.940000 N N N N/A N/A 000000000 1.000000 NC -77283.670000 -0.0247915 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2030-06-17 0.000000 GBP -12516.830000 GBP 1500000.000000 GBP -64766.840000 N N N N/A N/A 000000000 1.000000 NC -65675.220000 -0.0210676 N/A DIR JP N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2027-09-21 0.000000 JPY -6698.730000 JPY 292500000.000000 JPY -58976.490000 N N N N/A N/A 000000000 1.000000 NC 7190.050000 0.0023065 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2025-02-21 0.000000 MXN 0.000000 MXN 31600000.000000 MXN 7190.050000 N N N N/A N/A 000000000 1.000000 NC 16050.150000 0.0051486 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2024-12-13 0.000000 MXN -1229.250000 MXN 27600000.000000 MXN 17279.400000 N N N N/A N/A 000000000 1.000000 NC 127388.770000 0.0408644 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2024-04-17 299.760000 MXN 0.000000 MXN 47700000.000000 MXN 127089.010000 N N N N/A N/A 000000000 1.000000 NC 159594.500000 0.0511955 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2024-02-29 0.000000 MXN 0.000000 MXN 54200000.000000 MXN 159594.500000 N N N AROUNDTOWN SA 529900H4DWG3KWMBMQ39 BJH8G7II2 2300000.000000 PA USD 2590460.170000 0.8309811 Long DBT CORP LU N 2 2029-03-21 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC USD -48359.080000 -0.0155129 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-03-05 0.000000 USD -1820.000000 USD 1400000.000000 USD -46539.080000 N N N N/A N/A 000000000 1.000000 NC USD -49875.160000 -0.0159992 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-03-03 0.000000 USD 0.000000 USD 1400000.000000 USD -49875.160000 N N N N/A N/A 000000000 1.000000 NC USD -55719.790000 -0.0178741 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-03-20 0.000000 USD -2737.500000 USD 1500000.000000 USD -52982.290000 N N N N/A N/A 000000000 1.000000 NC USD -56701.880000 -0.0181891 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-03-11 0.000000 USD -1848.000000 USD 1400000.000000 USD -54853.880000 N N N N/A N/A 000000000 1.000000 NC USD -48776.950000 -0.0156469 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-03-17 0.000000 USD -1305.000000 USD 1200000.000000 USD -47471.950000 N N N N/A N/A 000000000 1.000000 NC USD -61243.430000 -0.0196460 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-03-19 0.000000 USD -2430.000000 USD 1500000.000000 USD -58813.430000 N N N N/A N/A 000000000 1.000000 NC USD -51557.550000 -0.0165389 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-03-25 0.000000 USD -2380.000000 USD 700000.000000 USD -49177.550000 N N N ASSET BACKED FUNDING CERT 2004-FF1 N/A 04542BHM7 828031.900000 PA USD 762288.980000 0.2445310 Long ABS-MBS CORP US N 2 2034-03-25 Floating 1.99663 Y N N N N N ASSET BACKED FUNDING CERT 2007-WMC1 N/A 04545EAC7 420985.740000 PA USD 359766.160000 0.1154076 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.94663 N N N N N N N/A N/A 000000000 1.000000 NC USD -538185.700000 -0.1726420 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-02-22 0.000000 USD -69300.000000 USD 900000.000000 USD -468885.700000 N N N N/A N/A 000000000 1.000000 NC -42673.400000 -0.0136890 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL -977.260000 BRL 7200000.000000 BRL -41696.140000 N N N N/A N/A 000000000 1.000000 NC -841.740000 -0.0002700 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL -268.210000 BRL 10200000.000000 BRL -573.530000 N N N N/A 254900N4SLUMW4XUYY11 000000000 1.000000 NC USD -1960.220000 -0.0006288 N/A DCR US N 2 BNPParibas R0MUWSFPU8MPRO8K5P83 TENCENT HOLDINGS LIMITED TENCENT HOLDINGS LTD SR UNSEC REGS Y Single Leg Swap 2024-12-21 6666.050000 USD 0.000000 USD 600000.000000 USD -8626.270000 N N N N/A 254900N4SLUMW4XUYY11 000000000 1.000000 NC USD -980.110000 -0.0003144 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 TENCENT HOLDINGS LIMITED TENCENT HOLDINGS LTD SR UNSEC REGS Y Single Leg Swap 2024-12-21 2894.570000 USD 0.000000 USD 300000.000000 USD -3874.680000 N N N N/A N/A 000000000 1.000000 NC USD 296594.760000 0.0951432 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 TOLL BROTHERS FINANCE CORP TOLL BROS FINANCE CORP Y Single Leg Swap 2024-06-21 4888.270000 USD 0.000000 USD 4300000.000000 USD 291706.490000 N N N N/A WD6L6041MNRW1JE49D58 000000000 1.000000 NC USD -120232.110000 -0.0385687 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 TYSON FOODS INC TYSON FOODS INC SRUNSEC Y Single Leg Swap 2024-06-21 0.000000 USD -128693.350000 USD 4400000.000000 USD 8461.240000 N N N N/A N/A 000000000 1.000000 NC 917.040000 0.0002942 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 72440.180000 RUB 5756792.000000 RUB 2020-04-15 917.040000 N N N N/A N/A 000000000 1.000000 NC -651.060000 -0.0002089 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 4887134.000000 RUB 61682.870000 USD 2020-04-30 -651.060000 N N N N/A N/A 000000000 1.000000 NC -292.240000 -0.0000937 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 2583297.000000 RUB 32656.940000 USD 2020-04-30 -292.240000 N N N N/A N/A 000000000 1.000000 NC -1160.130000 -0.0003722 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 5756792.000000 RUB 72266.030000 USD 2020-04-30 -1160.130000 N N N N/A 254900HROIFWPRGM1V77 000000000 109.000000 NC USD 619790.350000 0.1988195 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-06-19 15116937.500000 USD 619790.350000 N N N N/A 254900HROIFWPRGM1V77 000000000 -305.000000 NC USD -1077724.940000 -0.3457181 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-06-30 -67216757.660000 USD -1077724.940000 N N N N/A 549300KP43CPCUJOOG15 000000000 34977.000000 NC USD 27715.770000 0.0088908 N/A DE US N 1 None N/A Call Purchased VISTRA ENERGY CORP VISTRA ENERGY CORP N/A 35.000000 USD 2024-02-02 XXXX -64273.740000 N N N AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD) 635400CPI3EOIFF6OC33 70014LAC4 600000.000000 PA USD 521422.780000 0.1672647 Long DBT CORP KY N 2 2023-03-15 Fixed 4.5 N N N N N N AWAS AVIATION CAPITAL DESIGNATED ACTIVITY COMPANY N/A 978WBNII8 1279103.500000 PA USD 1237532.640000 0.3969821 Long DBT CORP IE Y 3 2021-10-03 Fixed 4.87 N N N N N N AZEK COMPANY LLC (AKA: CPG INTERNATIONAL LLC) N/A 12626JAE7 1571931.450000 PA USD 1320422.420000 0.4235719 Long LON CORP US N 3 2024-05-05 Floating 5.9333 N N N N N N AZURE POWER ENERGY LTD 54930051LQDFHGQMHF47 05502JAA8 600000.000000 PA USD 552945.000000 0.1773765 Long DBT CORP MU N 2 2022-11-03 Fixed 5.5 N N N N N N BANC OF AMERICA ALTERNATIVE LOAN TRUST 2005-8 N/A 05948KK40 660347.550000 PA USD 820899.570000 0.2633324 Long ABS-MBS CORP US N 2 2035-09-25 Floating 14.8574 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-8 N/A 05953LAD1 201838.170000 PA USD 152234.970000 0.0488347 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 7 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-E N/A 05954DAR7 519254.840000 PA USD 389591.870000 0.1249753 Long ABS-MBS CORP US N 2 2047-09-20 Floating 3.95591 Y N N N N N BANCO BTG PACTUAL SA/CAYMAN ISLANDS BRANCH ZXLTQRYIK6IJH3R0IK66 05971AAE1 500000.000000 PA USD 440000.000000 0.1411455 Long DBT CORP BR N 2 2025-01-10 Fixed 4.5 N N N N N N BANCO DO BRASIL /CAYMAN BRANCH QE0Q0253K88YAGNPE356 05959LAG8 2500000.000000 PA USD 2465662.500000 0.7909478 Long DBT CORP BR N 2 2023-04-19 Fixed 4.875 N N N N N N BANCO DO BRASIL /CAYMAN BRANCH QE0Q0253K88YAGNPE356 P1R027AA2 1200000.000000 PA USD 1172712.000000 0.3761886 Long DBT CORP BR N 2 2024-03-20 Fixed 4.75 N N N N N N BANCO MERCANTIL DEL NORTE SA/ GRAND CAYMAN BRANCH 549300QTVYRPFHS0J362 05971PAB4 200000.000000 PA USD 152752.000000 0.0490006 Long DBT CORP MX N 2 2029-06-27 Floating 7.5 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 800000.000000 PA USD 818792.000000 0.2626563 Long DBT CORP GB N 2 2022-11-21 Fixed 7.625 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 700000.000000 PA USD 756710.820000 0.2427416 Long DBT CORP GB N 2 2029-05-16 Floating 4.972 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JM4 1400000.000000 NS USD 1357223.000000 0.4353769 Long EP CORP US N 2 N N N BCAP LLC TRUST 2007-AA3 N/A 05530VAN9 237359.370000 PA USD 195562.260000 0.0627335 Long ABS-MBS CORP US N 2 2047-05-25 Floating 1.16663 Y N N N N N BCAP LLC TRUST 2013-RR12 N/A 05490CAC3 12128.660000 PA USD 11710.740000 0.0037566 Long ABS-MBS CORP US N 2 2035-05-26 Floating 2.12675 N N N N N N BEAR STEARNS ABS INC 2004-FR1 N/A 073879DG0 468394.400000 PA USD 438954.360000 0.1408100 Long ABS-MBS CORP US N 2 2034-07-25 Floating 2.74663 N N N N N N BEAR STEARNS ALT-A TRUST 2007-2 N/A 073870AG2 445973.810000 PA USD 344366.880000 0.1104678 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.36061 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-AC9 N/A 0738794G0 399305.550000 PA USD 234760.120000 0.0753076 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.29663 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE4 N/A 07388AAB0 538939.920000 PA USD 523452.830000 0.1679159 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.28663 Y N N N N N BERKSHIRE HATHAWAY ENERGY COMPANY 549300JD0S5IZJE9LY15 084659AW1 75000.000000 PA USD 85935.930000 0.0275670 Long DBT CORP US N 2 2050-10-15 Fixed 4.25 N N N N N N BOMBARDIER INC W7L3VLU8EHQY34Z36697 097751BJ9 300000.000000 PA USD 227250.000000 0.0728984 Long DBT CORP CA N 2 2022-10-15 Fixed 6 N N N N N N BOMBARDIER INC W7L3VLU8EHQY34Z36697 097751BR1 1400000.000000 PA USD 936257.000000 0.3003373 Long DBT CORP CA N 2 2024-12-01 Fixed 7.5 N N N N N N BRANDYWINE OPERATING PARTNERSHIP LP IXBXSCONLDQ1ZI73YU71 105340AP8 1400000.000000 PA USD 1453222.740000 0.4661722 Long DBT CORP US N 2 2029-10-01 Fixed 4.55 N N N N N N BRIXMOR OPERATING PARTNERSHIP LP 549300CJHBL7JBUA6503 11120VAE3 1700000.000000 PA USD 1696465.530000 0.5442009 Long DBT CORP US N 2 2027-03-15 Fixed 3.9 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAE1 200000.000000 PA USD 203653.560000 0.0653290 Long DBT CORP US N 2 2026-04-15 Fixed 4.25 N N N N N N BROOKFIELD RETAIL HOLDINGS VII SUB 3 LLC N/A 11283HAB3 1773000.000000 PA USD 1273014.000000 0.4083639 Long LON CORP US N 2 2025-08-27 Floating 3.4894 N N N N N N CAESARS ENTERTAINMENT OPERATING COMPANY INC WT53GLWHTG4D2V42T650 12768PAB7 200714.480000 PA USD 166258.430000 0.0533332 Long LON CORP US N 2 2024-10-07 Floating 2.9894 N N N N N N CANTOR FITZGERALD LP 549300RLUEEVQEMX0450 138616AC1 900000.000000 PA USD 927503.670000 0.2975294 Long DBT CORP US N 2 2022-06-17 Fixed 6.5 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAS0 200000.000000 PA USD 202110.000000 0.0648339 Long DBT CORP US N 2 2029-12-15 Fixed 4.625 N N N N N N CENTRAIS ELETRICAS BRASILEIRAS SA (ELETROBRAS) 254900I8KYDELP4B4Z08 15236FAB6 200000.000000 PA USD 177900.000000 0.0570677 Long DBT CORP BR N 2 2030-02-04 Fixed 4.625 N N N N N N CENTURYLINK INC 8M3THTGWLTYZVE6BBY25 15669GAH7 470068.700000 PA USD 436870.100000 0.1401414 Long LON CORP US N 2 2027-03-15 Floating 3.2394 N N N N N N CHARTER COMMUNICATIONS (CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CO) N/A 1248EPCE1 100000.000000 PA USD 98562.500000 0.0316174 Long DBT CORP US N 2 2030-08-15 Fixed 4.5 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BK9 4800000.000000 PA USD 4938334.080000 1.5841441 Long DBT CORP US N 2 2028-03-15 Fixed 4.2 N N N N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAH5 117742.230000 PA USD 95379.190000 0.0305962 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.30028 Y N N N N N DISCOVER FINANCIAL SERVICES Z1YLO2USPORE63VVUL20 254709AN8 1600000.000000 NS USD 1281304.000000 0.4110233 Long EP CORP US N 2 N N N CHINA EVERGRANDE GROUP (AKA: EVERGRANDE REAL ESTATE GROUP) 549300CUF7B1LAB15T90 BYW5QBII8 1100000.000000 PA USD 957019.120000 0.3069975 Long DBT CORP KY N 2 2021-06-28 Fixed 6.25 N N N N N N CHOBANI LLC 549300ISVDMZ91KNTR38 17026YAD1 1669820.200000 PA USD 1502838.180000 0.4820881 Long LON CORP US N 2 2023-10-10 Floating 4.5 N N N N N N CHS/COMMUNITY HEALTH SYSTEMS INC 5493007X5NC5XI1BB106 12543DAY6 100000.000000 PA USD 95687.500000 0.0306951 Long DBT CORP US N 2 2023-03-31 Fixed 6.25 N N N N N N CHS/COMMUNITY HEALTH SYSTEMS INC 5493007X5NC5XI1BB106 12543DBB5 100000.000000 PA USD 99466.000000 0.0319072 Long DBT CORP US N 2 2024-01-15 Fixed 8.625 N N N N N N CIELO USA INC 6354005YFM1EGYUAUH47 17178VAA9 900000.000000 PA USD 831600.000000 0.2667649 Long DBT CORP US N 2 2022-11-16 Fixed 3.75 N N N N N N CITADEL SECURITIES LP 549300NV5RXBUS3X7L47 17288YAC6 594011.250000 PA USD 531640.070000 0.1705422 Long LON CORP US N 3 2026-02-27 Floating 3.7394 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 1296999.330000 PA USD 788676.630000 0.2529957 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.10663 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2007-2 N/A 17310SAA5 63620.250000 PA USD 66124.760000 0.0212118 Long ABS-MBS CORP US N 2 2036-11-25 Fixed 6 N N N N N N CITY OF BUENOS AIRES 5299007MC8RF52X0ON96 ACI0SB547 1290000.000000 PA 13061.040000 0.0041898 Long DBT MUN AR N 2 2022-01-23 Floating 50.8475 N N N N N N CITYCENTER HOLDINGS LLC 54930012KUDSU3GT0X08 17875LAL3 1866774.690000 PA USD 1654429.070000 0.5307162 Long LON CORP US N 2 2024-04-18 Floating 3.2394 N N N N N N COMMSCOPE INC 549300Z6K4JXMFE8QY54 20337EAQ4 2587000.000000 PA USD 2457650.000000 0.7883776 Long LON CORP US N 3 2026-04-06 Floating 4.2394 N N N N N N CONSTELLATION OIL SERVICES HOLDING SA 5493005YJTU769NW5I10 21038MAC7 237132.000000 PA USD 5928.300000 0.0019017 Long DBT CORP LU N 3 2024-11-09 Fixed 10 N N Y N N N CONSTELLATION OIL SERVICES HOLDING SA 5493005YJTU769NW5I10 21038MAA1 1623549.000000 PA USD 649435.840000 0.2083294 Long DBT CORP LU N 2 2024-11-09 Fixed 10 N N Y N N N CONSTELLATION OIL SERVICES HOLDING SA 5493005YJTU769NW5I10 747ESCAA9 1242939.000000 PA USD 0.000000 0.0000000 Long DBT CORP LU N 3 2024-11-09 Fixed 9.5 N N Y N N N CONSTELLATION OIL SERVICES HOLDING SA 5493005YJTU769NW5I10 000000000 377161.000000 PA USD 0.000000 0.0000000 Long DBT CORP US N 3 2024-11-09 Fixed 9.5 N N Y N N N CORE & MAIN HOLDINGS LP N/A 21871MAA1 1400000.000000 PA USD 1293243.000000 0.4148531 Long DBT CORP US N 2 2024-09-15 Fixed 8.625 N N Y N N N CORE & MAIN LP 549300ZSLF8Q660SCD17 40416VAB1 1691054.720000 PA USD 1496583.430000 0.4800817 Long LON CORP US N 2 2024-08-01 Floating 3.9876 N N N N N N CORNERSTONE BUILDING BRANDS 549300IW41QEWQ6T0H29 72431HAB6 6231241.290000 PA USD 5452336.130000 1.7490283 Long LON CORP US N 3 2025-04-12 Floating 4.5614 N N N N N N COTY INC 549300BO9IWPF3S48F93 22207EBG8 397974.680000 PA USD 333303.790000 0.1069189 Long LON CORP US N 2 2025-04-07 Floating 3.2551 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-19CB N/A 12667GFZ1 475973.690000 PA USD 322825.440000 0.1035576 Long ABS-MBS CORP US N 2 2035-06-25 Floating 1.24663 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-25T1 N/A 12667GRF2 147769.940000 PA USD 118448.530000 0.0379965 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.75 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-46CB N/A 12667G7D9 242344.000000 PA USD 158515.710000 0.0508495 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.24663 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668AHA6 160200.000000 PA USD 135975.200000 0.0436188 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.25663 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J2 N/A 12667F6H3 431962.170000 PA USD 336041.770000 0.1077972 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.34663 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB N/A 02147QAD4 324657.850000 PA USD 257858.980000 0.0827173 Long ABS-MBS CORP US N 2 2036-08-25 Floating 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12 N/A 23243AAB2 238064.000000 PA USD 197054.570000 0.0632122 Long ABS-MBS CORP US N 2 2046-09-20 Floating 0.96288 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1 N/A 02150GAX6 828726.960000 PA USD 529855.120000 0.1699696 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 507532.790000 PA USD 428181.210000 0.1373542 Long ABS-MBS CORP US N 2 2046-09-25 Floating 1.13663 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8 N/A 02147CAF0 166652.510000 PA USD 145623.150000 0.0467137 Long ABS-MBS CORP US N 2 2046-07-25 Floating 1.13663 Y N N N N N COUNTRYWIDE HOME LOANS 2004-18 N/A 12669F4Z3 9831.400000 PA USD 10149.880000 0.0032559 Long ABS-MBS CORP US N 2 2034-10-25 Fixed 6 N N N N N N COUNTRYWIDE HOME LOANS 2007-9 N/A 12544XAX3 158806.480000 PA USD 119287.000000 0.0382655 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 5.75 Y N N N N N COUNTRYWIDE HOME LOANS 2007-HY5 N/A 12544BAC7 533354.050000 PA USD 459953.600000 0.1475463 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.83315 Y N N N N N CPI PROPERTY GROUP SA 222100CO2ZOTEPGJO223 BJT1PLII3 1500000.000000 PA USD 1562250.000000 0.5011466 Long DBT CORP LU N 2 2023-03-08 Fixed 4.75 N N N N N N CREDIT SUISSE AG/ ZURICH BRANCH ANGGYXNX0JLX3X63JN86 22546DAA4 900000.000000 PA USD 920075.400000 0.2951465 Long DBT CORP CH N 2 2023-08-08 Fixed 6.5 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-11R N/A 12646QAG2 6110599.290000 PA USD 4206730.870000 1.3494567 Long ABS-MBS CORP US N 2 2037-12-29 Floating 3.45526 N N N N N N CREDIT SUISSE MRTG CAPITAL CERT 2006-6 N/A 22942JAC7 555032.090000 PA USD 407417.980000 0.1306936 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 N N N N N N CREDIT SUISSE MRTG CAPITAL CERT 2006-6 N/A 22942JAH6 218514.570000 PA USD 160399.310000 0.0514537 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 N N N N N N CREDIT-BACKED ASSET SVC AND SEC 2006-RP2 N/A 1248M3AD5 7064.830000 PA USD 7076.350000 0.0022700 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.08663 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VAN1 3500000.000000 PA USD 3377339.950000 1.0834004 Long DBT CORP US N 2 2029-11-15 Fixed 3.1 N N N N N N CSN ISLANDS XI CORP 222100R8R68DM7VM3661 12642KAB0 200000.000000 PA USD 128998.000000 0.0413806 Long DBT CORP KY N 2 2028-01-28 Fixed 6.75 N N N N N N DEERE & COMPANY PWFTNG3EI0Y73OXWDH08 244199BF1 -1300000.000000 PA USD -1436053.050000 -0.4606645 Short DBT CORP US N 2 2042-06-09 Fixed 3.9 N N N N N N DELHI INTERNATIONAL AIRPORT LIMITED 335800HBF5DARYMEUD12 246724AA6 1400000.000000 PA USD 1159214.000000 0.3718586 Long DBT CORP IN N 2 2029-06-04 Fixed 6.45 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-OA1 N/A 25151VAA3 2661834.110000 PA USD 1633842.290000 0.5241123 Long ABS-MBS CORP US N 2 2047-02-25 Floating 1.09663 N N N N N N DEUTSCHE ALT-A SECURITIES LN TR 2007-1 N/A 25151YAJ8 552285.730000 PA USD 430896.140000 0.1382251 Long ABS-MBS CORP US N 2 2037-08-25 Floating 1.04663 Y N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BX6 300000.000000 PA USD 285601.160000 0.0916166 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 1400000.000000 PA USD 1297099.860000 0.4160903 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N DIAMOND RESORTS INTERNATIONAL INC 5493008MIJR7VMQP7U77 25272YAE3 982456.120000 PA USD 744210.510000 0.2387317 Long LON CORP US N 2 2023-09-02 Floating 4.75 N N N N N N DIAMOND SPORTS GROUP LLC N/A 25277BAB4 597000.000000 PA USD 468645.000000 0.1503343 Long LON CORP US N 3 2026-08-24 Floating 4.18 N N N N N N DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO N/A 25277LAC0 1200000.000000 PA USD 809160.000000 0.2595665 Long DBT CORP US N 2 2027-08-15 Fixed 6.625 N N N N N N DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO N/A 25277LAA4 200000.000000 PA USD 163628.400000 0.0524896 Long DBT CORP US N 2 2026-08-15 Fixed 5.375 N N N N N N DIGITAL REALTY TRUST LP CD4SPTZ3YBTHY0C1AH38 25389JAU0 100000.000000 PA USD 97802.510000 0.0313736 Long DBT CORP US N 2 2029-07-01 Fixed 3.6 N N N N N N DRIVETIME AUTOMOTIVE GROUP INC / BRIDGECREST ACCEPTANCE CORP N/A 26209NAK9 925000.000000 PA USD 823828.130000 0.2642718 Long DBT CORP US N 2 2021-06-01 Fixed 8 N N N N N N ELDORADO INTL FINANCE GMBH 2549002HQE45WFK9EY03 A18007AA1 200000.000000 PA USD 172992.000000 0.0554933 Long DBT CORP AT N 2 2021-06-16 Fixed 8.625 N N N N N N EMERALD BAY SA 2221008SU8XG8LZVS860 ACI0YB9V6 194000.000000 PA 207543.530000 0.0665769 Long DBT CORP LU N 2 2020-10-08 None 0 N N N N N N ENVISION HEALTHCARE CORPORATION 549300OL60X0LPKY8N60 29373UAC5 1382996.220000 PA USD 741285.970000 0.2377935 Long LON CORP US N 2 2025-10-10 Floating 4.7394 N N N N N N EPR PROPERTIES 549300YSSXFHMPOWZ492 26884UAF6 4475000.000000 PA USD 3356873.680000 1.0768351 Long DBT CORP US N 2 2029-08-15 Fixed 3.75 N N N N N N ERIE TOBACCO ASSET SECURITIZATION CORP N/A 295095BF9 195000.000000 PA USD 194545.650000 0.0624073 Long DBT MUN US N 2 2028-06-01 Fixed 6 N N N N N N EXPEDIA GROUP INC N/A 30212PAP0 1700000.000000 PA USD 1474195.490000 0.4729000 Long DBT CORP US N 2 2028-02-15 Fixed 3.8 N N N N N N FIRST HORIZON ALT MTG SEC 2005-AA6 N/A 32051GQA6 156965.450000 PA USD 128967.820000 0.0413710 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.46596 Y N N N N N FIRST HORIZON ALT MTG SEC 2006-FA2 N/A 32051G2Z7 9641.570000 PA USD 6497.880000 0.0020844 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 6 Y N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 48128BAG6 1700000.000000 NS USD 1489965.000000 0.4779586 Long EP CORP US N 2 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 48128BAH4 1000000.000000 NS USD 854625.000000 0.2741510 Long EP CORP US N 2 N N N FLAGSTAR BANCORP INC 549300Q22V2Y3J4R2715 337930AC5 1000000.000000 PA USD 1006071.240000 0.3227327 Long DBT CORP US N 2 2021-07-15 Fixed 6.125 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397XA6 500000.000000 PA USD 468750.000000 0.1503680 Long DBT CORP US N 2 2022-01-09 Fixed 3.219 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540XAB9 1100000.000000 PA USD 1031250.000000 0.3308097 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FORTRESS TRANSPORTATION AND INFRASTRUCTURE INVESTORS LLC 529900E7PUVK6BC8PE80 34960PAA9 1775000.000000 PA USD 1652365.250000 0.5300542 Long DBT CORP US N 2 2022-03-15 Fixed 6.75 N N N N N N FORTRESS TRANSPORTATION AND INFRASTRUCTURE INVESTORS LLC 529900E7PUVK6BC8PE80 34960PAB7 300000.000000 PA USD 222373.500000 0.0713341 Long DBT CORP US N 2 2025-10-01 Fixed 6.5 N N N N N N FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1 N/A 35563CAH1 381378.480000 PA USD 231992.530000 0.0744198 Long ABS-MBS USGSE US N 3 2055-11-25 Floating 6.49696 N N N N N N FREEDOM MORTGAGE CORPORATION 549300LYRWPSYPK6S325 35640YAA5 1095000.000000 PA USD 891696.830000 0.2860431 Long DBT CORP US N 2 2024-11-15 Fixed 8.125 N N N N N N GAZPROM OAO VIA GPN CAPITAL SA 54930038HWNV6ZAAFY05 ACI079GD3 1500000.000000 PA USD 1579462.500000 0.5066681 Long DBT CORP LU N 2 2023-11-27 Fixed 6 N N N N N N GENWORTH HOLDINGS INC PXDECZED7L8SRUP41R09 37247DAN6 1300000.000000 PA USD 1230060.000000 0.3945849 Long DBT CORP US N 2 2021-02-15 Fixed 7.2 N N N N N N GLOBAL ATLANTIC (FIN) COMPANY N/A 37959GAA5 200000.000000 PA USD 176239.060000 0.0565349 Long DBT CORP US N 2 2029-10-15 Fixed 4.4 N N N N N N GLOBALWORTH REAL ESTATE INVESTMENTS LIMITED 213800R3E823B1UBIA81 BD9MPVII0 1400000.000000 PA 1549500.200000 0.4970566 Long DBT CORP GG N 2 2025-03-29 Fixed 3 N N N N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AP4 3500000.000000 PA USD 2967186.250000 0.9518292 Long DBT CORP US N 2 2030-01-15 Fixed 4 N N N N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AJ8 700000.000000 PA USD 652729.000000 0.2093858 Long DBT CORP US N 2 2025-06-01 Fixed 5.25 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 4287449.920000 PA USD 42107045.700000 13.5073137 Long STIV RF US N 1 N N N GREENKO SOLAR (MAURITIUS) LIMITED 2138007S1PL541B3KP92 39530VAB4 900000.000000 PA USD 746778.260000 0.2395554 Long DBT CORP MU N 2 2026-07-29 Fixed 5.95 N N N N N N GROWTHPOINT PROPERTIES INTERNATIONAL (PTY) LTD 378900C761245FC57265 933BNHII8 1884000.000000 PA USD 1761540.000000 0.5650758 Long DBT CORP ZA N 2 2023-05-02 Fixed 5.872 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAC5 516529.930000 PA USD 261625.970000 0.0839257 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.06663 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAE8 465702.700000 PA USD 256545.600000 0.0822960 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.17663 N N N N N N HILTON DOMESTIC OPERATING COMPANY INC 5493003EG7H0N1E4XV50 432833AF8 2200000.000000 PA USD 1885328.500000 0.6047853 Long DBT CORP US N 2 2030-01-15 Fixed 4.875 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BL2 1800000.000000 PA USD 1707003.000000 0.5475812 Long DBT CORP GB N 2 2027-05-22 Floating 6 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CF4 200000.000000 PA USD 220831.720000 0.0708395 Long DBT CORP GB N 2 2030-03-31 Fixed 4.95 N N N N N N HSI ASSET SECURI CORP TRUS 2005-I1 N/A 40430HCN6 1412398.310000 PA USD 1302651.290000 0.4178712 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.33663 N N N N N N HUDSON PACIFIC PROPERTIES LP 5493007NTUGLGZ8T3526 44409MAB2 2500000.000000 PA USD 2571096.830000 0.8247696 Long DBT CORP US N 2 2029-04-01 Fixed 4.65 N N N N N N IMPAC SECURED ASSETS CORP 2006-3 N/A 45255RAC1 721001.720000 PA USD 648749.270000 0.2081091 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.09663 N N N N N N INDYMAC IMJA MORTGAGE LN TR 2007-A3 N/A 456669AA8 329672.130000 PA USD 213937.860000 0.0686281 Long ABS-MBS CORP US N 2 2037-11-25 Fixed 6.25 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR23 N/A 45660LF95 390105.210000 PA USD 319375.390000 0.1024509 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.55542 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2007-AR5 N/A 45669EAE6 178068.530000 PA USD 134952.960000 0.0432909 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.80288 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2007-FLX1 N/A 45668WAC1 371401.660000 PA USD 248540.650000 0.0797281 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.19663 N N N N N N INNOPHOS HOLDINGS INC XQ0331QX53IRX25OY417 45774NAB4 400000.000000 PA USD 391000.000000 0.1254270 Long DBT CORP US N 2 2028-02-15 Fixed 9.375 N N N N N N INTELSAT JACKSON HOLDINGS SA 8XJ8KF85PBKK1TLMFN29 45824TAP0 100000.000000 PA USD 62125.500000 0.0199289 Long DBT CORP LU N 2 2023-08-01 Fixed 5.5 N N N N N N INTELSAT JACKSON HOLDINGS SA 8XJ8KF85PBKK1TLMFN29 L5137LAF2 5600000.000000 PA USD 5222000.000000 1.6751399 Long LON CORP LU N 2 2023-11-27 Floating 5.682 N N N N N N INTRUM AB 549300UNCO2FCUWXX470 ACI1DK9L9 1300000.000000 PA 1042708.680000 0.3344854 Long DBT CORP SE N 2 2026-07-15 Fixed 3.5 N N N N N N JEFFERIES FINANCE LLC 549300SKVB18YSSIDT75 47232UAB0 99498.740000 PA USD 83703.320000 0.0268508 Long LON CORP US N 2 2026-06-03 Floating 4.25 N N N N N N JEFFERIES FINANCE LLC / JFIN CO-ISSUER CORP N/A 47232MAE2 1900000.000000 PA USD 1771023.250000 0.5681179 Long DBT CORP US N 2 2026-06-03 Fixed 6.25 N N N N N N JEFFERIES FINANCE LLC / JFIN CO-ISSUER CORP N/A 47232MAD4 700000.000000 PA USD 608121.500000 0.1950763 Long DBT CORP US N 2 2024-08-15 Fixed 7.25 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A6 N/A 466285AP8 83284.130000 PA USD 83193.030000 0.0266871 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.58134 Y N N N N N KAISA GROUP HOLDINGS LTD 254900N8L3L7NRJT0120 ACI18MS71 200000.000000 PA USD 193250.000000 0.0619917 Long DBT CORP KY N 2 2021-02-26 Fixed 11.75 N N N N N N KANTAR GROUP (SUMMER BC HOLDCO B SARL) 984500NRF59D5DB9B654 ACI1GDQW9 1100000.000000 PA 1020243.720000 0.3272790 Long DBT CORP LU N 2 2026-10-31 Fixed 5.75 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAP7 2235000.000000 PA USD 2053593.720000 0.6587623 Long DBT CORP US N 2 2030-02-15 Fixed 3.05 N N N N N N LEASEPLAN (LINCOLN FINANCING SARL) 222100831I4WRVCLV609 ACI19YL55 900000.000000 PA 828184.700000 0.2656693 Long DBT CORP LU N 2 2024-04-01 Fixed 3.625 N N N N N N LEGACY LIFEPOINT HEALTH INC 549300G8ZVHRTBBBSZ90 75915TAD4 83847.090000 PA USD 77139.320000 0.0247451 Long LON CORP US N 2 2025-11-17 Floating 4.7394 N N N N N N LEHMAN XS TRUST 2007-3 N/A 525245AP1 1440353.890000 PA USD 1118173.660000 0.3586935 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.25663 N N N N N N LIFE STORAGE LP X0MIGH67XZCB7HL1A534 53227JAB0 400000.000000 PA USD 407480.040000 0.1307135 Long DBT CORP US N 2 2029-06-15 Fixed 4 N N N N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 BJBQCWII7 1580000.000000 NS 1586672.340000 0.5089809 Long EP CORP NL N 2 N N N LONG BEACH MORTGAGE LOAN TRUST 2003-3 N/A 542514EB6 54632.250000 PA USD 60259.380000 0.0193303 Long ABS-MBS CORP US N 2 2033-07-25 Floating 3.72163 N N N N N N MANITOWOC COMPANY INC 2RTSLGQ89VMY18RHX631 563571AL2 900000.000000 PA USD 802905.750000 0.2575602 Long DBT CORP US N 2 2026-04-01 Fixed 9 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-15 N/A 576433VS2 308744.770000 PA USD 277107.140000 0.0888918 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.96557 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC2 N/A 55275BAC1 615418.080000 PA USD 291009.490000 0.0933515 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.05663 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC2 N/A 55275BAD9 1392722.010000 PA USD 666424.170000 0.2137790 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.09663 N N N N N N MELCO RESORTS FINANCE LIMITED N/A 58547DAB5 400000.000000 PA USD 363030.990000 0.1164549 Long DBT CORP KY N 2 2026-04-26 Fixed 5.25 N N N N N N MELCO RESORTS FINANCE LIMITED N/A 58547DAC3 800000.000000 PA USD 703359.990000 0.2256274 Long DBT CORP KY N 2 2027-07-17 Fixed 5.625 N N N N N N MELCO RESORTS FINANCE LIMITED N/A 58547DAD1 600000.000000 PA USD 522016.420000 0.1674551 Long DBT CORP KY N 2 2029-12-04 Fixed 5.375 N N N N N N MELCO RESORTS FINANCE LIMITED N/A G5975LAA4 760000.000000 PA USD 705502.700000 0.2263148 Long DBT CORP KY N 2 2025-06-06 Fixed 4.875 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAD6 2205757.700000 PA USD 839359.180000 0.2692539 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.05663 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAF2 865879.320000 PA USD 430588.880000 0.1381265 Long ABS-MBS CORP US N 2 2036-09-25 Floating 1.17663 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAE2 815419.930000 PA USD 390244.320000 0.1251846 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.08663 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC4 N/A 61748LAD4 225081.800000 PA USD 184815.840000 0.0592862 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-NC5 N/A 61749BAE3 2103604.020000 PA USD 1137942.070000 0.3650349 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.09663 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAP5 4097893.010000 PA USD 1554504.570000 0.4986619 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.07663 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE3 N/A 617538AC7 120438.240000 PA USD 63535.470000 0.0203812 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.09663 N N N N N N MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS N/A 61752JAA8 1298942.550000 PA USD 623026.880000 0.1998578 Long ABS-MBS CORP US N 2 2046-09-25 Variable 5.965 Y N N N N N MORGAN STANLEY MTGE LN TRUST 2007-15AR N/A 61756XAG0 400322.600000 PA USD 311447.100000 0.0999076 Long ABS-MBS CORP US N 2 2037-11-25 Floating 3.51044 N N N N N N MPT OPERATING PARTNERSHIP LP/MPT FINANCE CORP N/A 55342UAJ3 600000.000000 PA USD 555375.000000 0.1781560 Long DBT CORP US N 2 2029-08-01 Fixed 4.625 N N N N N N MPT OPERATING PARTNERSHIP LP/MPT FINANCE CORP N/A ACI1H1MY4 100000.000000 PA 121580.620000 0.0390013 Long DBT CORP US N 2 2023-12-05 Fixed 2.55 N N N N N N MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC) 5493002WXOPRPTXWTU06 55328HAE1 4100000.000000 PA USD 3731000.000000 1.1968493 Long LON CORP US N 3 2023-06-07 Floating 4.2001 N N N N N N NEW CENTURY HOME EQUITY LOAN TRUST 2003-2 N/A 64352VCS8 97915.420000 PA USD 84493.510000 0.0271043 Long ABS-MBS CORP US N 2 2033-01-25 Floating 3.94663 Y N N N N N NOMURA RESECURITIZATION TRUST 2010-3RA N/A 65539DAB0 6157.940000 PA USD 5944.260000 0.0019068 Long ABS-MBS CORP US N 3 2035-07-26 Floating 1.31663 N N N N N N NOURYON (STARFRUIT FINCO BV) 549300GD4NJGLPVYB245 N8232NAC1 200000.000000 PA 202565.790000 0.0649801 Long LON CORP NL N 2 2025-10-01 Floating 3.25 N N N N N N NOURYON (STARFRUIT US HOLDCO LLC) 549300K7VB5G6LULFT41 N8232NAB3 289396.310000 PA USD 264797.620000 0.0849431 Long LON CORP NL N 3 2025-10-01 Floating 3.8626 N N N N N N NOVATEK OAO VIA NOVATEK FINANCE DAC 6354001IO93L9MOJXG98 66989PAC4 800000.000000 PA USD 803368.000000 0.2577085 Long DBT CORP IE N 2 2022-12-13 Fixed 4.422 N N N N N N NOVATEK OAO VIA NOVATEK FINANCE DAC 6354001IO93L9MOJXG98 B929K0II8 1600000.000000 PA USD 1606736.000000 0.5154170 Long DBT CORP IE N 2 2022-12-13 Fixed 4.422 N N N N N N NVIDIA CORPORATION 549300S4KLFTLO7GSQ80 67066GAG9 300000.000000 PA USD 319834.390000 0.1025981 Long DBT CORP US N 2 2040-04-01 Fixed 3.5 N N N N N N ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED 549300L7LF2PIRAWID66 G6711KAC9 2708299.230000 PA USD 2180180.880000 0.6993696 Long DBT CORP KY N 2 2022-12-01 Fixed 6.72 N N N N N N OI SA (AKA: BRASIL TELECOM S/A) 254900YEMWCRRAGD4978 P7354PAA2 1100000.000000 PA USD 760369.500000 0.2439152 Long DBT CORP BR Y 2 2025-07-27 Fixed 10 N N Y N N N ORTHO-CLINICAL DIAGNOSTICS SA 222100N2EDW8BU5UUT55 L7300KAJ3 4183636.370000 PA USD 3581192.730000 1.1487933 Long LON CORP LU N 2 2025-06-30 Floating 4.2662 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 69431EBK8 3133000.000000 PA USD 3117335.000000 0.9999947 Long LON CORP US N 2 2020-12-31 Floating 3.12 N N N N N N PAREXEL INTERNATIONAL CORPORATION 549300GCZVUYB6P2OA17 69946EAT8 3612269.360000 PA USD 3106551.650000 0.9965355 Long LON CORP US N 2 2024-09-27 Floating 3.7394 N N N N N N PARSLEY ENERGY LLC / PARSLEY FINANCE CORP N/A 701885AJ4 300000.000000 PA USD 206250.000000 0.0661619 Long DBT CORP US N 2 2028-02-15 Fixed 4.125 N N N N N N PEOPLE'S FINANCE REALTY MTGE SEC 2006-1 N/A 71103XAS3 3948452.390000 PA USD 1348260.660000 0.4325020 Long ABS-MBS CORP US N 2 2036-09-25 Floating 1.08663 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94988U151 7900.000000 NS USD 167506.860000 0.0537337 Long EP CORP US N 2 N N N PGT INNOVATIONS INC 549300LRW9WM59C1S579 69344BAA3 1400000.000000 PA USD 1332040.500000 0.4272988 Long DBT CORP US N 2 2026-08-01 Fixed 6.75 N N N N N N PHYSICIANS REALTY LP 549300P6Q1UMT0X60U20 71951QAA0 1700000.000000 PA USD 1588453.820000 0.5095523 Long DBT CORP US N 2 2027-03-15 Fixed 4.3 N N N N N N PINNACOL ASSURANCE 549300D37RE2C54DGD62 000000000 3000000.000000 PA USD 3387000.000000 1.0864992 Long DBT CORP US Y 3 2034-06-25 Fixed 8.625 N N N N N N QVC INC 549300WBLU5NKPX5X472 747262AS2 500000.000000 PA USD 433339.410000 0.1390088 Long DBT CORP US N 2 2024-04-01 Fixed 4.85 N N N N N N RACKSPACE HOSTING INC 549300QTYCKLMFSE8I97 75008QAL0 1800000.000000 PA USD 1633500.000000 0.5240025 Long LON CORP US N 2 2023-11-03 Floating 4.7633 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-2 N/A 75970QAJ9 2098613.560000 PA USD 617503.190000 0.1980858 Long ABS-MBS CORP US N 2 2037-06-25 Variable 5.879 Y N N N N N RENEW POWER SYNTHETIC N/A Y7275HAA6 1400000.000000 PA USD 1064756.530000 0.3415581 Long DBT CORP IN N 2 2024-03-12 Fixed 6.67 N N N N N N RESIDENTIAL ACCREDIT LOANS 2004-QA6 N/A 76110HG94 377311.940000 PA USD 228219.880000 0.0732095 Long ABS-MBS CORP US N 2 2034-12-26 Floating 4.83099 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QA7 N/A 76110H7D5 39302.980000 PA USD 33462.190000 0.0107342 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.38299 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS12 N/A 761118DV7 760239.600000 PA USD 578868.250000 0.1856923 Long ABS-MBS CORP US N 2 2035-08-25 Floating 1.29663 Y N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QA10 N/A 761118GE2 18376.740000 PA USD 15122.770000 0.0048512 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.01325 Y N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 3200000.000000 NS USD 3245296.000000 1.0410427 Long EP CORP US N 2 N N N RESIDENTIAL ASSET MGTE PROD INC 2005-EFC7 N/A 76112BR85 1411651.190000 PA USD 1057946.320000 0.3393734 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.40663 N N N N N N RESIDENTIAL ASSET SEC CORP 2004-KS7 N/A 76110WB54 322602.430000 PA USD 261523.430000 0.0838928 Long ABS-MBS CORP US N 2 2034-08-25 Floating 1.82663 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2006-S10 N/A 74958DAD0 26246.450000 PA USD 23039.070000 0.0073906 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6 Y N N N N N RIO OIL FINANCE TRUST SERIES 2014-1 549300V5D1W52HY8NO65 76716XAA0 891901.730000 PA USD 879642.540000 0.2821762 Long DBT CORP US N 2 2024-07-06 Variable 9.25 N N N N N N RIO OIL FINANCE TRUST SERIES 2014-1 549300V5D1W52HY8NO65 U76673AA7 278719.310000 PA USD 274888.310000 0.0881801 Long DBT CORP US N 2 2024-07-06 Variable 9.25 N N N N N N RIO OIL FINANCE TRUST SERIES 2018-1 N/A 76716XAC6 804000.000000 PA USD 731640.000000 0.2346992 Long DBT CORP US N 2 2028-04-06 Fixed 8.2 N N N N N N RONSHINE CHINA HOLDINGS LIMITED 549300GNBBT32SFSEC47 ACI1BG302 900000.000000 PA USD 848207.110000 0.2720922 Long DBT CORP KY N 2 2022-10-25 Fixed 8.75 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 78009PEH0 1000000.000000 PA USD 1088879.590000 0.3492964 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 1300000.000000 PA USD 1379900.860000 0.4426517 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N RUSSIAN GOVT 5493004EHVGF71PDBU58 ACI1BL160 184700000.000000 PA 2522426.410000 0.8091569 Long DBT NUSS RU N 2 2030-04-10 Fixed 7.65 N N N N N N RUSSIAN GOVT 5493004EHVGF71PDBU58 ACI0KSLJ7 44000000.000000 PA 640468.870000 0.2054529 Long DBT NUSS RU N 2 2031-09-17 Fixed 8.5 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAF2 2200000.000000 PA USD 2087239.000000 0.6695552 Long DBT CORP KY N 2 2025-08-08 Fixed 5.125 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 3700000.000000 PA USD 3498544.250000 1.1222809 Long DBT CORP KY N 2 2028-08-08 Fixed 5.4 N N N N N N SAPPI PAPIER HOLDING GMBH 549300XBCUMUR5CI0181 ACI19LQQ2 478000.000000 PA 386980.820000 0.1241377 Long DBT CORP AT N 2 2026-04-15 Fixed 3.125 N N N N N N SAPPI PAPIER HOLDING GMBH 549300XBCUMUR5CI0181 ACI19LJ72 800000.000000 PA 647666.650000 0.2077618 Long DBT CORP AT N 2 2026-04-15 Fixed 3.125 N N N N N N SBERBANK OF RUSSIA VIA SB CAPITAL SA N/A L8084MAB6 1700000.000000 PA USD 1761995.600000 0.5652220 Long DBT CORP LU N 2 2022-02-07 Fixed 6.125 N N N N N N SBERBANK OF RUSSIA VIA SB CAPITAL SA N/A ACI060JC2 200000.000000 PA USD 198801.600000 0.0637726 Long DBT CORP LU N 2 2023-05-23 Fixed 5.25 N N N N N N SBL HOLDINGS LLC N/A 78432MAA3 100000.000000 PA USD 96996.580000 0.0311151 Long DBT CORP US N 2 2026-11-13 Fixed 5.125 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAE8 500000.000000 PA USD 354271.250000 0.1136449 Long DBT CORP DE N 2 2027-05-15 Fixed 6 N N Y N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 ACI1C5ZK6 500000.000000 PA 441800.550000 0.1417230 Long DBT CORP DE N 2 2025-05-15 Fixed 3.625 N N Y N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 ACI1C6196 200000.000000 PA 169846.510000 0.0544842 Long DBT CORP DE N 2 2027-05-15 Fixed 3.875 N N Y N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AC8 986007.910000 PA USD 571548.950000 0.1833444 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.19663 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-FR2 N/A 81376VAC1 1532257.360000 PA USD 1014823.240000 0.3255402 Long ABS-MBS CORP US N 2 2036-03-25 Floating 1.19663 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-FRE1 N/A 81879MAV1 1248612.740000 PA USD 738864.590000 0.2370168 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.12663 N N N N N N SHRIRAM TRANSPORT FINANCE COMPANY LIMITED 335800TM2YO24B76XL26 825547AC6 800000.000000 PA USD 560236.430000 0.1797155 Long DBT CORP IN N 2 2023-07-16 Fixed 5.1 N N N N N N SHRIRAM TRANSPORT FINANCE COMPANY LIMITED 335800TM2YO24B76XL26 Y7758EEC1 1700000.000000 PA USD 1321767.480000 0.4240033 Long DBT CORP IN N 2 2022-10-24 Fixed 5.95 N N N N N N ACE SECURITIES CORP 2006-SD2 N/A 00442MAB3 856003.150000 PA USD 548016.470000 0.1757955 Long ABS-MBS CORP US N 2 2045-12-25 Floating 1.49663 Y N N N N N SOTERA HEALTH HOLDINGS LLC 549300OVT7MBXFLOFU20 83600VAD3 1895769.820000 PA USD 1690395.390000 0.5422537 Long LON CORP US N 2 2026-12-11 Floating 5.5 N N N N N N SOUTH AFRICA GOVT N/A 836205BA1 2300000.000000 PA USD 1897527.600000 0.6086986 Long DBT NUSS ZA N 2 2029-09-30 Fixed 4.85 N N N N N N SPIRIT REALTY LP 549300GTBVIBJRX5BW73 84861TAD0 2300000.000000 PA USD 2255083.070000 0.7233971 Long DBT CORP US N 2 2029-07-15 Fixed 4 N N N N N N SPRINT CORP (SPRINT COMMUNICATIONS INC) 549300JKU50UT08ZWD77 85208EAB6 199485.860000 PA USD 198737.790000 0.0637521 Long LON CORP US N 3 2024-02-02 Floating 3.5 N N N N N N SPRINT CORP (SPRINT COMMUNICATIONS INC) 549300JKU50UT08ZWD77 85208EAD2 1185000.000000 PA USD 1175618.360000 0.3771209 Long LON CORP US N 2 2024-02-02 Floating 4 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAH8 100000.000000 PA USD 110498.500000 0.0354463 Long DBT CORP US N 2 2024-06-15 Fixed 7.125 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAE5 2072000.000000 PA USD 2146923.520000 0.6887011 Long DBT CORP US N 2 2021-09-15 Fixed 7.25 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAF2 200000.000000 PA USD 221727.000000 0.0711267 Long DBT CORP US N 2 2023-09-15 Fixed 7.875 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAL9 900000.000000 PA USD 907875.000000 0.2912328 Long DBT CORP US N 2 2028-02-01 Fixed 7.25 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AD9 2300000.000000 PA USD 2134210.250000 0.6846229 Long DBT CORP US N 2 2028-01-15 Fixed 4.75 N N N N N N STATION CASINOS LLC 5493004E7Q60TX54WL62 857691AG4 300000.000000 PA USD 245250.000000 0.0786726 Long DBT CORP US N 2 2028-02-15 Fixed 4.5 N N N N N N STEARNS HOLDINGS LLC 549300B7MV13XJXKBZ36 858ESCAA4 4185000.000000 PA USD 0.040000 0.0000000 Long DBT CORP US N 3 2020-08-15 Fixed 0 Y Y N N N N STEARNS HOLDINGS LLC / STEARNS CO-ISSUER INC N/A 85801HAA2 110121.000000 PA USD 72679.860000 0.0233146 Long DBT CORP US N 2 2024-11-05 Fixed 5 Y Y N N N N STORE CAPITAL CORPORATION 5493004EA6C9IHDZ7N66 862121AB6 2700000.000000 PA USD 2732498.500000 0.8765449 Long DBT CORP US N 2 2029-03-15 Fixed 4.625 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC2 N/A 86358EAN6 35363.350000 PA USD 31298.670000 0.0100401 Long ABS-MBS CORP US N 2 2033-04-25 Floating 2.32663 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPS9 1023554.770000 PA USD 680576.200000 0.2183187 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.07163 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPT7 1102402.850000 PA USD 411407.260000 0.1319733 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.52163 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPU4 741894.220000 PA USD 119393.040000 0.0382995 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.67163 Y N N N N N STUDIO CITY FINANCE LIMITED 254900D6R731QAUIG324 86389QAB8 200000.000000 PA USD 171451.000000 0.0549989 Long DBT CORP VG N 2 2024-02-11 Fixed 7.25 N N N N N N SUNAC CHINA HOLDINGS LIMITED 549300OLARYHDXP3WK18 BFZ4S2II7 600000.000000 PA USD 595876.450000 0.1911483 Long DBT CORP KY N 2 2020-07-27 Fixed 8.625 N N N N N N TARGET CORPORATION 8WDDFXB5T1Z6J0XC1L66 87612EBG0 -1100000.000000 PA USD -1300823.620000 -0.4172849 Short DBT CORP US N 2 2047-11-15 Fixed 3.9 N N N N N N TIMES CHINA HOLDINGS LTD (AKA: TIMES PROPERTY HOLDINGS LTD) 2549000KTINB9ZPZP710 ACI1D6KV5 800000.000000 PA USD 725957.880000 0.2328765 Long DBT CORP KY N 2 2023-07-16 Fixed 6.75 N N N N N N TRANSOCEAN GUARDIAN LIMITED N/A 893800AA0 2421500.010000 PA USD 1955288.610000 0.6272275 Long DBT CORP KY N 2 2024-01-15 Fixed 5.875 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 1675000.000000 PA USD 1691750.000000 0.5426882 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UKRAINE GOVT 6354001WLTJXOMEXPY07 X5S005UF6 300000.000000 PA USD 289713.000000 0.0929356 Long DBT NUSS UA N 2 2021-09-01 Fixed 7.75 N N N N N N UMBS PASS THRU POOLS N/A 01F030660 3300000.000000 PA USD 3448620.120000 1.1062660 Long ABS-MBS USGSE US N 2 2050-06-11 Fixed 3 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 ACI19LDR4 1000000.000000 PA 1007365.160000 0.3231478 Long DBT CORP IT N 2 2026-06-03 Floating 7.5 N N N N N N UNIGEL LUXEMBOURG SA N/A 904752AB8 600000.000000 PA USD 363000.000000 0.1164450 Long DBT CORP LU N 2 2026-10-01 Fixed 8.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962A6 280000.000000 PA USD 279997.020000 0.0898189 Long DBT UST US N 2 2020-04-07 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796SR1 301000.000000 PA USD 300964.360000 0.0965449 Long DBT UST US N 2 2020-05-21 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796TW9 8000.000000 PA USD 7998.700000 0.0025659 Long DBT UST US N 2 2020-05-28 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128287D6 4739433.000000 PA USD 4927036.250000 1.5805199 Long DBT UST US N 2 2029-07-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Z94 7700000.000000 PA USD 8302013.640000 2.6631624 Long DBT UST US N 2 2030-02-15 Fixed 1.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828W71 40000.000000 PA USD 42846.880000 0.0137446 Long DBT UST US N 2 2024-03-31 Fixed 2.125 N N N N N N UNIVISION COMMUNICATIONS INC 549300YQDE2JSGTL8V47 914908AX6 294998.420000 PA USD 252223.650000 0.0809096 Long LON CORP US N 2 2024-03-15 Floating 3.75 N N N N N N UNIVISION COMMUNICATIONS INC 549300YQDE2JSGTL8V47 914906AS1 2125000.000000 PA USD 1827500.000000 0.5862348 Long DBT CORP US N 2 2025-02-15 Fixed 5.125 N N N N N N USI INC/NY N/A 90351NAF2 498750.000000 PA USD 456356.250000 0.1463923 Long LON CORP US N 3 2026-12-02 Floating 4.9894 N N N N N N USI INC/NY N/A 90351NAE5 2567088.700000 PA USD 2342468.440000 0.7514290 Long LON CORP US N 2 2024-05-16 Floating 3.9894 N N N N N N VANKE REAL ESTATE (HONG KONG) COMPANY LIMITED 25490078APAXS5NZGF08 ACI12V309 1900000.000000 PA USD 1840416.000000 0.5903781 Long DBT CORP HK N 2 2023-05-25 Floating 3.22925 N N N N N N VEREIT OPERATING PARTNERSHIP LP 5493005TQOUJE1LCS698 92340LAC3 1000000.000000 PA USD 952399.250000 0.3055155 Long DBT CORP US N 2 2027-08-15 Fixed 3.95 N N N N N N VFH PARENT LLC 549300FRO9M476YHHY64 91820UAQ3 2355485.230000 PA USD 2190601.260000 0.7027123 Long LON CORP US N 3 2026-03-01 Floating 4.0051 N N N N N N VIRGIN AUSTRALIA HOLDINGS LIMITED 254900SNPW6V9967CJ18 92765YAH0 900000.000000 PA USD 418950.000000 0.1343929 Long DBT CORP AU N 2 2024-11-15 Fixed 8.125 N N N N N N WALMART INC Y87794H0US1R65VBXU25 931142EC3 -1000000.000000 PA USD -1291750.350000 -0.4143743 Short DBT CORP US N 2 2048-06-29 Fixed 4.05 N N N N N N ALTICE FINANCING SA 549300DIYGW8HVDF7Q17 963FXBII4 3421250.000000 PA USD 3147550.000000 1.0096872 Long LON CORP LU N 2 2026-01-31 Floating 3.6736 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAA1 169755.840000 PA USD 150535.780000 0.0482896 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.35657 Y N N N N N WASHINGTON MUTUAL 2007-OA6 N/A 92927BAC6 97794.660000 PA USD 69081.700000 0.0221604 Long ABS-MBS CORP US N 2 2047-07-25 Floating 2.234 Y N N N N N ALTICE FRANCE SA (AKA: SFR GROUP SA) 5493001ZMCICV4N02J21 F6628DAL8 2052750.000000 PA USD 1929585.000000 0.6189822 Long LON CORP FR N 2 2026-01-31 Floating 4.3921 N N N N N N WESTERN DIGITAL CORPORATION 549300QQXOOYEF89IC56 958102AM7 1600000.000000 PA USD 1632400.000000 0.5236496 Long DBT CORP US N 2 2026-02-15 Fixed 4.75 N N N N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166BR4 2100000.000000 PA USD 2482367.620000 0.7963066 Long DBT CORP US N 2 2032-03-15 Fixed 7.375 N N N N N N WYNDHAM DESTINATIONS INC (AKA: WYNDHAM WORLDWIDE CORP) T4VNTWMFQ7JQB65L7T35 98310WAQ1 100000.000000 PA USD 77562.500000 0.0248809 Long DBT CORP US N 2 2030-03-01 Fixed 4.625 N N N N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 98313RAE6 1800000.000000 PA USD 1525500.000000 0.4893577 Long DBT CORP KY N 2 2029-12-15 Fixed 5.125 N N N N N N XPO LOGISTICS INC 54930096DB9LCLPN7H13 98379EAE6 100000.000000 PA USD 93916.700000 0.0301271 Long LON CORP US N 2 2025-02-24 Floating 3.6132 N N N N N N YPF SA 5493003N7447U18U5U53 ACI1J9CS9 2610000.000000 PA 30549.170000 0.0097997 Long DBT CORP AR N 2 2021-03-04 Floating 52.9918 N N N N N N ZAYO GROUP HOLDINGS INC 529900Z6OTS7RT0V0I47 98919XAB7 700000.000000 PA USD 656250.000000 0.2105152 Long LON CORP US N 2 2027-02-19 Floating 3.9894 N N N N N N ZAYO GROUP HOLDINGS INC 529900Z6OTS7RT0V0I47 98919XAC5 1000000.000000 PA 995366.720000 0.3192988 Long LON CORP US N 2 2027-02-19 Floating 3.25 N N N N N N N/A N/A 000000000 -780480.000000 PA -857347.590000 -0.2750243 Short RA LU N 2 Reverse repurchase N -3.0000000 2022-02-12 800000.000000 EUR 587240.000000 EUR N N N N/A N/A 000000000 1288000.000000 PA USD 1288000.000000 0.4131712 Long RA US N 2 Repurchase N -0.1000000 2022-03-17 1100000.000000 USD 1298957.560000 USD CDS N N N N/A N/A 000000000 1244000.000000 PA USD 1244000.000000 0.3990567 Long RA US N 2 Repurchase N -0.1000000 2022-03-17 1000000.000000 USD 1253273.630000 USD CDS N N N N/A N/A 000000000 1597000.000000 PA USD 1597000.000000 0.5122938 Long RA US N 2 Repurchase N -0.1000000 2022-03-17 1300000.000000 USD 1434301.240000 USD CDS N N N N/A 5493008H3828EMEXB082 000000000 1.000000 NC 40094.460000 0.0128617 N/A DCR BE N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ANHEUSER-BUSCH INBEV SA/NV ANHEUSER-BUSCH INBEV NV Y Single Leg Swap 2023-12-21 0.000000 EUR -68524.090000 EUR 3300000.000000 EUR 108618.550000 N N N N/A 549300Z40J86GGSTL398 000000000 1.000000 NC USD -418808.650000 -0.1343476 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 143523.250000 USD 0.000000 USD 8800000.000000 USD -562331.900000 N N N N/A 213800J6B7JSBDETCB42 000000000 -24.000000 NC 9471.410000 0.0030383 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Short N/A AUSTRALIA GOVT 2020-06-15 -2223376.310000 AUD 9471.410000 N N N N/A GA3JGKJ41LJKXDN23E90 000000000 1.000000 NC USD -123625.940000 -0.0396574 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 AUTOZONE INC AUTOZONE INC Y Single Leg Swap 2024-06-21 0.000000 USD -118242.570000 USD 4400000.000000 USD -5383.370000 N N N N/A 254900AL64IANZYI1E02 000000000 1.000000 NC USD -1847.110000 -0.0005925 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 BAIDU INC BAIDU INC Y Single Leg Swap 2024-12-21 0.000000 USD -382.050000 USD 200000.000000 USD -1465.060000 N N N N/A 254900AL64IANZYI1E02 000000000 1.000000 NC USD -1847.110000 -0.0005925 N/A DCR US N 2 Nomura Global Financial Products Inc. 0Z3VO5H2G7GRS05BHJ91 BAIDU INC BAIDU INC Y Single Leg Swap 2024-12-21 0.000000 USD -47.450000 USD 200000.000000 USD -1799.660000 N N N N/A N/A 000000000 1.000000 NC -41663.570000 -0.0133651 N/A DFE MX N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 235284.410000 MXN 4614986.000000 MXN 2020-05-05 -41663.570000 N N N N/A N/A 000000000 1.000000 NC -37206.040000 -0.0119351 N/A DFE PL N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 546545.000000 PLN 2107722.370000 PLN 2020-06-10 -37206.040000 N N N AMERICAN HOME MTGE INV TRUST 2005-4 N/A 02660TGW7 52937.110000 PA USD 34558.550000 0.0110859 Long ABS-MBS CORP US N 2 2045-11-25 Floating 3.28325 Y N N N N N AMERICAN HOMES 4 RENT LP 549300N4PXZ37U8QKI55 02666TAB3 2100000.000000 PA USD 2050673.560000 0.6578256 Long DBT CORP US N 2 2029-02-15 Fixed 4.9 N N N N N N N/A N/A 000000000 1.000000 NC 93355.950000 0.0299472 N/A DFE JP N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 4197933.350000 JPY 461420882.000000 JPY 2020-04-02 93355.950000 N N N N/A N/A 000000000 1.000000 NC 8566.430000 0.0027480 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 172051.670000 MXN 4297000.000000 MXN 2020-04-22 8566.430000 N N N N/A N/A 000000000 1.000000 NC 23154.780000 0.0074277 N/A DFE GB N 2 BNP Paribas S.A. N/A 353201.590000 GBP 303000.000000 GBP 2020-04-02 23154.780000 N N N N/A N/A 000000000 1.000000 NC -24305.410000 -0.0077968 N/A DFE N/A N 2 BNP Paribas S.A. N/A 875000.000000 EUR 940731.580000 USD 2020-04-02 -24305.410000 N N N N/A N/A 000000000 1.000000 NC 8727.000000 0.0027995 N/A DFE GB N 2 BNP Paribas S.A. N/A 238000.000000 GBP 304346.860000 USD 2020-04-02 8727.000000 N N N N/A N/A 000000000 1.000000 NC 7330.810000 0.0023516 N/A DFE GB N 2 BNP Paribas S.A. N/A 110000.000000 GBP 143961.840000 USD 2020-04-02 7330.810000 N N N N/A W7L3VLU8EHQY34Z36697 000000000 1.000000 NC USD -99769.010000 -0.0320044 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BOMBARDIER INC BOMBARDIER INC SR UNSEC REGS Y Single Leg Swap 2024-12-21 0.000000 USD -12000.000000 USD 400000.000000 USD -87769.010000 N N N N/A W7L3VLU8EHQY34Z36697 000000000 1.000000 NC USD -204066.980000 -0.0654617 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BOMBARDIER INC BOMBARDIER INC SR UNSEC REGS Y Single Leg Swap 2021-12-21 26695.720000 USD 0.000000 USD 1100000.000000 USD -230762.700000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAW0 3400000.000000 PA USD 3490632.440000 1.1197429 Long DBT CORP US N 2 2029-08-15 Fixed 3.8 N N N N N N N/A N/A 000000000 1.000000 NC USD 4176.470000 0.0013397 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CDX.NA.HY.29 N/A N/A Y Single Leg Swap 2022-12-21 13875.000000 USD 0.000000 USD 100000.000000 USD -9698.530000 N N N N/A N/A 000000000 1.000000 NC USD 1286.150000 0.0004126 N/A DCR US N 2 BNPParibas R0MUWSFPU8MPRO8K5P83 CDX.NA.HY.31 N/A N/A Y Single Leg Swap 2023-12-21 11650.000000 USD 0.000000 USD 100000.000000 USD -10363.850000 N N N N/A N/A 000000000 1.000000 NC USD 2572.300000 0.0008252 N/A DCR US N 2 Citibank International Limited N/A CDX.NA.HY.31 N/A N/A Y Single Leg Swap 2023-12-21 20700.000000 USD 0.000000 USD 200000.000000 USD -18127.700000 N N N N/A N/A 000000000 1.000000 NC USD 5144.620000 0.0016503 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CDX.NA.HY.31 N/A N/A Y Single Leg Swap 2023-12-21 47560.000000 USD 0.000000 USD 400000.000000 USD -42415.380000 N N N N/A N/A 000000000 1.000000 NC USD 11575.360000 0.0037132 N/A DCR US N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 CDX.NA.HY.31 N/A N/A Y Single Leg Swap 2023-12-21 111970.000000 USD 0.000000 USD 900000.000000 USD -100394.640000 N N N N/A N/A 000000000 1.000000 NC USD 1286.150000 0.0004126 N/A DCR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 CDX.NA.HY.31 N/A N/A Y Single Leg Swap 2023-12-21 11880.000000 USD 0.000000 USD 100000.000000 USD -10593.850000 N N N N/A N/A 000000000 1.000000 NC USD 325448.850000 0.1043991 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.33 Y Single Leg Swap 2024-12-21 676242.340000 USD 0.000000 USD 5488000.000000 USD -350793.490000 N N N N/A N/A 000000000 -1900000.000000 NC USD -1257.930000 -0.0004035 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US SWOP CDX IG32 (V1 ONLY) 5Y SP N/A N/A Single Leg Swap 2024-06-20 0.000000 USD 0.000000 USD N/A USD N/A 2.900000 USD 2020-06-17 XXXX 452.070000 N N N N/A N/A 000000000 -100000.000000 NC USD -2046.820000 -0.0006566 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.680000 USD 2020-05-20 XXXX -1937.820000 N N N N/A N/A 000000000 -1100000.000000 NC USD -23573.090000 -0.0075619 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.650000 USD 2020-05-20 XXXX -22198.090000 N N N N/A N/A 000000000 -1100000.000000 NC USD -0.970000 -0.0000003 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Written Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.430000 USD 2020-04-15 XXXX 538.030000 N N N N/A N/A 000000000 -1400000.000000 NC USD -1.230000 -0.0000004 N/A DCR US N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.430000 USD 2020-04-15 XXXX 908.770000 N N N N/A N/A 000000000 -1400000.000000 NC USD -34851.660000 -0.0111799 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.550000 USD 2020-04-15 XXXX -33703.660000 N N N N/A N/A 000000000 -600000.000000 NC USD -9652.030000 -0.0030962 N/A DCR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Put Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.850000 USD 2020-06-17 XXXX -8878.030000 N N N N/A N/A 000000000 -1100000.000000 NC USD -27383.440000 -0.0087842 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.550000 USD 2020-04-15 XXXX -26338.440000 N N N N/A N/A 000000000 -400000.000000 NC USD -2650.030000 -0.0008501 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 2.500000 USD 2021-01-20 XXXX -2370.030000 N N N N/A N/A 000000000 -1400000.000000 NC USD -1.230000 -0.0000004 N/A DCR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Call Written Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.430000 USD 2020-04-15 XXXX 698.770000 N N N N/A N/A 000000000 -1400000.000000 NC USD -31600.520000 -0.0101370 N/A DCR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Written Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.600000 USD 2020-04-15 XXXX -30340.520000 N N N N/A N/A 000000000 -1200000.000000 NC USD -25721.460000 -0.0082511 N/A DCR US N 2 Credit Suisse Securities (USA) LLC 1V8Y6QCX6YMJ2OELII46 Put Written Credit Suisse Securities (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.630000 USD 2020-04-15 XXXX -24497.460000 N N N N/A N/A 000000000 -2100000.000000 NC USD -42662.300000 -0.0136854 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.650000 USD 2020-04-15 XXXX -40404.800000 N N N N/A N/A 000000000 -1400000.000000 NC USD -28441.530000 -0.0091236 N/A DCR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Put Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.650000 USD 2020-04-15 XXXX -27104.530000 N N N N/A N/A 000000000 -1000000.000000 NC USD -8381.530000 -0.0026887 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 2.500000 USD 2021-03-17 XXXX -7681.530000 N N N N/A N/A 000000000 -700000.000000 NC USD -12218.770000 -0.0039196 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2020-06-17 XXXX -11364.770000 N N N N/A N/A 000000000 -500000.000000 NC USD -2.010000 -0.0000006 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Written Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.480000 USD 2020-04-15 XXXX 237.990000 N N N N/A N/A 000000000 -500000.000000 NC USD -8043.360000 -0.0025802 N/A DCR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Written Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.850000 USD 2020-06-17 XXXX -7468.360000 N N N N/A N/A 000000000 -600000.000000 NC USD -10888.600000 -0.0034929 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.700000 USD 2020-04-15 XXXX -10252.600000 N N N N/A N/A 000000000 -500000.000000 NC USD -9073.830000 -0.0029107 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.700000 USD 2020-04-15 XXXX -8648.830000 N N N N/A N/A 000000000 -600000.000000 NC USD -2.410000 -0.0000008 N/A DCR US N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.480000 USD 2020-04-15 XXXX 279.590000 N N N N/A N/A 000000000 -600000.000000 NC USD -10473.230000 -0.0033597 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2020-06-17 XXXX -9849.230000 N N N N/A N/A 000000000 -500000.000000 NC USD -8727.690000 -0.0027997 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2020-06-17 XXXX -8200.190000 N N N N/A N/A 000000000 1.000000 NC USD 5537.470000 0.0017763 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.33 Y Single Leg Swap 2024-12-21 0.000000 USD -42467.760000 USD 1700000.000000 USD 48005.230000 N N N N/A N/A 000000000 1.000000 NC -295770.880000 -0.0948789 N/A DFE BR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1904995.410000 BRL 8361691.600000 BRL 2020-04-02 -295770.880000 N N N N/A N/A 000000000 1.000000 NC -138255.320000 -0.0443502 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 863669.240000 COP 2950725968.000000 COP 2020-04-24 -138255.320000 N N N N/A N/A 000000000 1.000000 NC 362.570000 0.0001163 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 179410.030000 EUR 163000.000000 EUR 2020-04-02 362.570000 N N N N/A N/A 000000000 1.000000 NC -481.820000 -0.0001546 N/A DFE PE N 2 Citibank NA E57ODZWZ7FF32TWEFA76 25650.700000 PEN 86491.600000 PEN 2020-05-04 -481.820000 N N N N/A N/A 000000000 1.000000 NC 18515.340000 0.0059394 N/A DFE PE N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2027049.000000 PEN 7047643.950000 PEN 2020-07-07 18515.340000 N N N N/A N/A 000000000 1.000000 NC 2673.080000 0.0008575 N/A DFE AU N 2 Citibank NA E57ODZWZ7FF32TWEFA76 59000.000000 AUD 38963.980000 USD 2020-04-02 2673.080000 N N N N/A N/A 000000000 1.000000 NC 9554.930000 0.0030651 N/A DFE BR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 375356.260000 BRL 81793.000000 USD 2020-04-02 9554.930000 N N N ANCESTRYCOM OPERATIONS INC N/A 03280FAK7 1885750.000000 PA USD 1574601.250000 0.5051087 Long LON CORP US N 3 2026-08-27 Floating 5.24 N N N N N N N/A N/A 000000000 1.000000 NC -79677.000000 -0.0255592 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 12088000.000000 EUR 13252171.100000 USD 2020-04-02 -79677.000000 N N N N/A N/A 000000000 1.000000 NC 3151.330000 0.0010109 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 78000.000000 EUR 89177.480000 USD 2020-04-02 3151.330000 N N N N/A N/A 000000000 1.000000 NC -1388.790000 -0.0004455 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 64000.000000 EUR 69196.770000 USD 2020-04-02 -1388.790000 N N N ANCESTRYCOM OPERATIONS INC N/A 03280FAH4 198995.240000 PA USD 174120.840000 0.0558554 Long LON CORP US N 3 2023-10-19 Floating 4.75 N N N N N N N/A N/A 000000000 1.000000 NC 5696.760000 0.0018274 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 92000.000000 GBP 119969.980000 USD 2020-04-02 5696.760000 N N N N/A N/A 000000000 1.000000 NC -8491.530000 -0.0027240 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 109000.000000 GBP 126897.400000 USD 2020-04-02 -8491.530000 N N N ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC N/A 03522AAJ9 100000.000000 PA USD 109641.040000 0.0351712 Long DBT CORP US N 2 2046-02-01 Fixed 4.9 N N N N N N N/A N/A 000000000 1.000000 NC 27846.060000 0.0089326 N/A DFE PE N 2 Citibank NA E57ODZWZ7FF32TWEFA76 7123793.400000 PEN 2099803.510000 USD 2020-05-15 27846.060000 N N N N/A WPTL2Z3FIYTHSP5V2253 000000000 1.000000 NC USD 3523.030000 0.0011301 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CONOCOPHILLIPS CONOCOPHILLIPS GLBL CO GTD Y Single Leg Swap 2024-12-21 0.000000 USD 0.000000 USD 300000.000000 USD 3523.030000 N N N N/A N/A 000000000 1.000000 NC -219945.000000 -0.0705551 N/A DFE ID N 2 Credit Suisse International DL6FFRRLF74S01HE2M14 1366207.150000 IDR 18928800000.000000 IDR 2020-06-17 -219945.000000 N N N N/A N/A 000000000 1.000000 NC -2289.320000 -0.0007344 N/A DFE BR N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 168592.260000 BRL 865975.830000 BRL 2020-05-05 -2289.320000 N N N N/A N/A 000000000 1.000000 NC 128471.800000 0.0412118 N/A DFE BR N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 5230540.800000 BRL 1135100.000000 USD 2020-04-02 128471.800000 N N N N/A N/A 000000000 1.000000 NC 2147.390000 0.0006889 N/A DFE BR N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 865975.830000 BRL 168806.200000 USD 2020-04-02 2147.390000 N N N N/A N/A 000000000 1.000000 NC USD 12483.980000 0.0040047 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 DISH DBS CORPORATION DISH DBS CORP COMPANY GUARNT Y Single Leg Swap 2022-12-21 22969.780000 USD 0.000000 USD 400000.000000 USD -10485.800000 N N N N/A 3C7474T6CDKPR9K6YT90 000000000 1.000000 NC USD -159544.810000 -0.0511796 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO Y Single Leg Swap 2024-06-21 0.000000 USD -60525.010000 USD 3900000.000000 USD -99019.800000 N N N N/A 3C7474T6CDKPR9K6YT90 000000000 1.000000 NC USD -100694.520000 -0.0323013 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO Y Single Leg Swap 2024-12-21 0.000000 USD -32347.000000 USD 2000000.000000 USD -68347.520000 N N N N/A 529900AQBND3S6YJLY83 000000000 -8.000000 NC 18343.780000 0.0058844 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2020-06-08 -1522089.420000 EUR 18343.780000 N N N N/A N/A 000000000 1.000000 NC 141.620000 0.0000454 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 69752.420000 RUB 5485015.000000 RUB 2020-04-15 141.620000 N N N N/A N/A 000000000 1.000000 NC 50407.550000 0.0161700 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1889818.710000 BRL 414107.000000 USD 2020-04-02 50407.550000 N N N N/A N/A 000000000 1.000000 NC 11477.490000 0.0036818 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3271000.000000 MXN 149147.000000 USD 2020-04-13 11477.490000 N N N N/A N/A 000000000 1.000000 NC 370433.930000 0.1188297 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 128288900.000000 RUB 2005184.170000 USD 2020-04-15 370433.930000 N N N N/A N/A 000000000 1.000000 NC -12749.100000 -0.0040897 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 39578610.000000 RUB 490745.020000 USD 2020-05-20 -12749.100000 N N N N/A N/A 000000000 1.000000 NC -398.120000 -0.0001277 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5485015.000000 RUB 69378.780000 USD 2020-05-20 -398.120000 N N N N/A N/A 000000000 1.000000 NC 377.090000 0.0001210 N/A DFE HK N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 179409.220000 HKD 1394242.850000 HKD 2020-06-17 377.090000 N N N N/A N/A 000000000 1.000000 NC -25706.300000 -0.0082462 N/A DFE MX N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 148780.490000 MXN 2928000.000000 MXN 2020-04-22 -25706.300000 N N N N/A N/A 000000000 1.000000 NC -7374.960000 -0.0023658 N/A DFE MX N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 3901000.000000 MXN 156597.860000 USD 2020-04-22 -7374.960000 N N N ARGENT SECURITIES INC 2005-W5 N/A 040104QN4 541541.600000 PA USD 460480.020000 0.1477151 Long ABS-MBS CORP US N 2 2036-01-25 Floating 1.17663 N N N N N N N/A 549300M6T6OW4AGYHK10 000000000 1.000000 NC USD -10607.220000 -0.0034026 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 HUARONG FINANCE 2019 CO LTD HUARONG FINANCE 2019 Y Single Leg Swap 2024-12-21 0.000000 USD -4006.010000 USD 200000.000000 USD -6601.210000 N N N N/A 815600DE60799F5A9309 000000000 3.000000 NC -25105.170000 -0.0080534 N/A DIR DE N 1 Eurex N/A Long N/A ITALY GOVT 2020-06-08 467883.020000 EUR -25105.170000 N N N N/A 815600DE60799F5A9309 000000000 1.000000 NC USD -6368.880000 -0.0020430 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2024-12-21 1700.350000 USD 0.000000 USD 600000.000000 USD -8069.230000 N N N N/A 815600DE60799F5A9309 000000000 1.000000 NC USD -15922.210000 -0.0051076 N/A DCR US N 2 Credit Suisse International DL6FFRRLF74S01HE2M14 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2024-12-21 3538.610000 USD 0.000000 USD 1500000.000000 USD -19460.820000 N N N N/A N/A 000000000 -2000000.000000 NC -1538.500000 -0.0004935 N/A DCR DE N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR SWOP CDX ITRAXX MAIN31 (V2 ONLY) 5Y SP N/A N/A Single Leg Swap 2024-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 3.000000 EUR 2020-06-17 XXXX 481.820000 N N N N/A N/A 000000000 -900000.000000 NC -15087.520000 -0.0048399 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 2021-03-17 XXXX -14395.910000 N N N N/A N/A 000000000 -600000.000000 NC -3818.370000 -0.0012249 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 -3350.990000 N N N N/A N/A 000000000 1.000000 NC 23312.370000 0.0074783 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 32 Y Single Leg Swap 2024-12-21 107646.020000 EUR 0.000000 EUR 8800000.000000 EUR -84333.650000 N N N N/A 549300XQ6S1GYKGBL205 000000000 1.000000 NC USD -138657.850000 -0.0444794 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 JOHNSON CONTROLS INTERNATIONAL PLC (AKA: TYCO INTERNATIONAL) JOHNSON CONTROLS INTL PL SR UNSEC Y Single Leg Swap 2024-12-21 0.000000 USD -153273.420000 USD 4200000.000000 USD 14615.570000 N N N N/A N/A 000000000 1.000000 NC -28290.220000 -0.0090751 N/A DFE MX N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 139125.070000 MXN 2659000.000000 MXN 2020-06-17 -28290.220000 N N N N/A N/A 000000000 1.000000 NC 2918.310000 0.0009362 N/A DFE MX N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 129109.020000 MXN 3141000.000000 MXN 2020-04-22 2918.310000 N N N N/A N/A 000000000 1.000000 NC 25.690000 0.0000082 N/A DFE TR N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 82000.000000 TRY 12383.180000 USD 2020-04-13 25.690000 N N N N/A 549300JF6LPRTRJ0FH50 000000000 1.000000 NC USD 176496.820000 0.0566176 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 KOHLS CORPORATION KOHL'S CORPORATION SR UNSEC Y Single Leg Swap 2023-12-21 55497.530000 USD 0.000000 USD 2000000.000000 USD 120999.290000 N N N N/A GR3KVMWVCR54YWQNXU90 000000000 1.000000 NC USD 443920.290000 0.1424030 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 L BRANDS INC L BRANDS INC SR UNSEC Y Single Leg Swap 2023-12-21 162559.240000 USD 0.000000 USD 2100000.000000 USD 281361.050000 N N N N/A WAFCR4OKGSC504WU3E95 000000000 1.000000 NC USD -45345.530000 -0.0145462 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 LOWES COMPANIES INC LOWE'S COMPANIES INC Y Single Leg Swap 2023-12-21 0.000000 USD -45967.120000 USD 1900000.000000 USD 621.590000 N N N N/A 549300JMONK27O4SQQ19 000000000 1.000000 NC USD 517734.390000 0.1660815 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 MACYS RETAIL HOLDINGS INC MACYS RETAIL HLDGS INCCO Y Single Leg Swap 2023-12-21 90069.220000 USD 0.000000 USD 2100000.000000 USD 427665.170000 N N N N/A C4BXATY60WC6XEOZDX54 000000000 1.000000 NC USD 1472.270000 0.0004723 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 METLIFE INC METLIFE INC SR UNSEC Y Single Leg Swap 2024-12-21 3369.440000 USD 0.000000 USD 200000.000000 USD -1897.170000 N N N N/A 254900EGTWEU67VP6075 000000000 1.000000 NC USD 181377.220000 0.0581831 N/A DCR US N 2 Citibank International Limited N/A MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2023-12-21 63704.350000 USD 0.000000 USD 5700000.000000 USD 117672.870000 N N N 2020-05-04 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer