NPORT-P false 0000810893 XXXXXXXX S000010253 C000064162 C000028347 C000200457 C000031249 C000031248 C000031251 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO StocksPLUS Small Fund S000010253 LP81JMWRLFYV1VGLZ622 2020-03-31 2020-03-31 N 3595106433.950000 2458633694.530000 1136472739.420000 0.000000 0.000000 267219063.020000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 74366169.480000 USD CAD EUR ARS JPY GBP N N/A N/A 000000000 1.000000 NC 229790.850000 0.0202197 N/A DFE JP N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 55524182.640000 JPY 5994946000.000000 JPY 2020-04-02 229790.850000 N N N N/A N/A 000000000 1.000000 NC -246773.040000 -0.0217139 N/A DFE ZA N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3841941.840000 ZAR 64341000.000000 ZAR 2020-04-06 -246773.040000 N N N N/A N/A 000000000 1.000000 NC -375485.110000 -0.0330395 N/A DFE ZA N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5873929.260000 ZAR 98403000.000000 ZAR 2020-04-06 -375485.110000 N N N N/A N/A 000000000 1.000000 NC -264006.750000 -0.0232304 N/A DFE N/A N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 37504000.000000 EUR 41167765.760000 USD 2020-05-15 -264006.750000 N N N N/A N/A 000000000 1.000000 NC -201734.370000 -0.0177509 N/A DFE JP N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5994946000.000000 JPY 55642972.170000 USD 2020-05-07 -201734.370000 N N N N/A X57JK1U580XATGR67572 000000000 1.000000 NC -430455.100000 -0.0378764 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ROLLS-ROYCE PLC ROLLS-ROYCE PLC CO GTD Y Single Leg Swap 2024-06-21 22911.750000 EUR 0.000000 EUR 3400000.000000 EUR -453366.850000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1HS2L5 7330000.000000 PA 91850.760000 0.0080821 Long DBT NUSS AR N 2 2020-04-03 Floating 37.1693 N N N N N N N/A N/A 000000000 2757.000000 NC USD -1888765.980000 -0.1661954 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long RUSSELL 2000 INDEX N/A N/A 2020-06-19 158196660.000000 USD -1888765.980000 N N N N/A N/A 000000000 1.000000 NC USD -102655646.460000 -9.0328296 N/A DE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 RUSSELL 2000 INDEX N/A N/A Y 2020-11-18 0.000000 USD 0.000000 USD 402336318.450000 USD -102655646.460000 N N N N/A N/A 000000000 1.000000 NC USD -107957733.030000 -9.4993685 N/A DE US N 2 UBS AG London 549300MOMNGW0OI5CD23 RUSSELL 2000 INDEX N/A N/A Y 2020-10-22 0.000000 USD 0.000000 USD 406984912.580000 USD -107957733.030000 N N N N/A N/A 000000000 1.000000 NC USD -39988109.530000 -3.5186158 N/A DE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 RUSSELL 2000 INDEX N/A N/A Y 2020-05-13 0.000000 USD 0.000000 USD 126929909.230000 USD -39988109.530000 N N N N/A N/A 000000000 1.000000 NC USD -84083553.660000 -7.3986424 N/A DE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 RUSSELL 2000 INDEX N/A N/A Y 2020-07-15 0.000000 USD 0.000000 USD 266314540.610000 USD -84083553.660000 N N N N/A N/A 000000000 1.000000 NC USD 6155396.060000 0.5416229 N/A DE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 N/A RUSSELL 2000 TOTAL RETURN INDEX Y 2020-06-11 0.000000 USD 0.000000 USD 37431487.080000 USD 6155396.060000 N N N N/A N/A 000000000 1.000000 NC USD 6149157.500000 0.5410739 N/A DE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 N/A RUSSELL 2000 TOTAL RETURN INDEX Y 2020-09-16 0.000000 USD 0.000000 USD 37431487.080000 USD 6149157.500000 N N N N/A N/A 000000000 1.000000 NC -7207.330000 -0.0006342 N/A DFE RU N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 175746.790000 RUB 13303999.000000 RUB 2020-06-11 -7207.330000 N N N N/A N/A 000000000 1.000000 NC -61.210000 -0.0000054 N/A DFE RU N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 192444.670000 RUB 15186173.000000 RUB 2020-06-11 -61.210000 N N N N/A N/A 000000000 1.000000 NC -25.130000 -0.0000022 N/A DFE RU N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 192430.740000 RUB 15187922.000000 RUB 2020-06-11 -25.130000 N N N N/A N/A 000000000 1.000000 NC -1082.270000 -0.0000952 N/A DFE RU N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 218933.610000 RUB 17124834.000000 RUB 2020-05-20 -1082.270000 N N N N/A N/A 000000000 1.000000 NC -658.650000 -0.0000580 N/A DFE RU N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 63925.890000 RUB 4960308.000000 RUB 2020-04-30 -658.650000 N N N N/A N/A 000000000 1.000000 NC 817361.880000 0.0719209 N/A DFE CA N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 21251000.000000 CAD 15918062.320000 USD 2020-04-02 817361.880000 N N N N/A N/A 000000000 1.000000 NC -23120.700000 -0.0020344 N/A DFE N/A N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 3636000.000000 EUR 3993675.500000 USD 2020-05-15 -23120.700000 N N N N/A N/A 000000000 1.000000 NC -481051.960000 -0.0423285 N/A DFE IN N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 7995723.440000 INR 577850933.180000 INR 2020-06-17 -481051.960000 N N N N/A N/A 000000000 1.000000 NC 462.230000 0.0000407 N/A DFE RU N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 129069.920000 RUB 10182248.820000 RUB 2020-05-20 462.230000 N N N N/A N/A 000000000 1.000000 NC -3032477.260000 -0.2668324 N/A DFE BR N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 19459160.350000 BRL 85354687.990000 BRL 2020-04-02 -3032477.260000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1JDTT0 5969000.000000 PA 58986.110000 0.0051903 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 757675.620000 0.0666691 N/A DFE CA N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 21447000.000000 CAD 15997651.260000 USD 2020-04-02 757675.620000 N N N N/A N/A 000000000 1.000000 NC -302658.360000 -0.0266314 N/A DFE CA N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 17591000.010000 CAD 12197290.890000 USD 2020-04-02 -302658.360000 N N N N/A N/A 000000000 261100000.000000 NC USD 5055679.300000 0.4448571 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 4096136.800000 N N N N/A N/A 000000000 -83600000.000000 NC USD -6381029.160000 -0.5614767 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.45300 07/21/21-10Y LCH N/A N/A 2031-07-21 0.000000 USD 0.000000 USD N/A USD N/A 1.450000 USD 2021-07-19 XXXX -5446407.280000 N N N N/A N/A 000000000 572600000.000000 NC USD 10879170.960000 0.9572751 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 8627204.520000 N N N N/A N/A 000000000 -183200000.000000 NC USD -14596771.440000 -1.2843926 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.49440 08/04/21-10Y LCH N/A N/A 2031-08-04 0.000000 USD 0.000000 USD N/A USD N/A 1.490000 USD 2021-08-02 XXXX -12345275.290000 N N N N/A N/A 000000000 157800000.000000 NC USD 11875696.620000 1.0449610 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 10613296.620000 N N N N/A N/A 000000000 -83300000.000000 NC USD -12839162.280000 -1.1297378 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.32250 03/15/21-10Y CME N/A N/A 2031-03-15 0.000000 USD 0.000000 USD N/A USD N/A 2.320000 USD 2021-03-11 XXXX -11577041.070000 N N N N/A N/A 000000000 163200000.000000 NC USD 10295994.240000 0.9059605 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 9338575.520000 N N N N/A N/A 000000000 -86200000.000000 NC USD -11423232.620000 -1.0051480 N/A DIR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.09400 03/16/21-10Y CME N/A N/A 2031-03-16 0.000000 USD 0.000000 USD N/A USD N/A 2.090000 USD 2021-03-12 XXXX -10465277.440000 N N N N/A N/A 000000000 -2200000.000000 NC -109334.320000 -0.0096205 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 -33649.010000 N N N N/A N/A 000000000 -2160000.000000 NC -107912.690000 -0.0094954 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 -42031.170000 N N N N/A N/A 000000000 530600000.000000 NC 1410503.770000 0.1241124 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 104222.220000 N N N N/A N/A 000000000 -70600000.000000 NC -1483937.640000 -0.1305740 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 -585051.700000 N N N N/A N/A 000000000 -34400000.000000 NC -780875.720000 -0.0687105 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 -372114.860000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 3688000.000000 PA 31847.820000 0.0028023 Long DBT NUSS AR N 2 2022-04-03 Floating 36.8596 N N N N N N N/A N/A 000000000 -4440000.000000 NC -224054.980000 -0.0197149 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 -87377.560000 N N N N/A N/A 000000000 -2140000.000000 NC -106352.480000 -0.0093581 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 -39530.240000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0VSDQ8 77654000.000000 PA 570010.940000 0.0501561 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 -439827.540000 -0.0387011 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2033-03-15 0.000000 EUR -3296.940000 EUR 2450000.000000 EUR -436530.600000 N N N N/A N/A 000000000 1.000000 NC 1050127.880000 0.0924024 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2048-03-15 6996.560000 EUR 0.000000 EUR 2450000.000000 EUR 1043131.320000 N N N N/A N/A 000000000 1.000000 NC 71045.490000 0.0062514 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 6200000.000000 GBP 71045.490000 N N N N/A N/A 000000000 1.000000 NC 630127.840000 0.0554459 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-01-15 27344.540000 GBP 0.000000 GBP 23400000.000000 GBP 602783.300000 N N N N/A N/A 000000000 1.000000 NC 1089578.600000 0.0958737 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-09-15 0.000000 GBP -2578.780000 GBP 22600000.000000 GBP 1092157.380000 N N N N/A N/A 000000000 1.000000 NC 253381.480000 0.0222954 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 0.000000 GBP 0.000000 GBP 3800000.000000 GBP 253381.480000 N N N N/A N/A 000000000 1.000000 NC 878959.880000 0.0773410 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 154910.760000 GBP 0.000000 GBP 13100000.000000 GBP 724049.120000 N N N N/A N/A 000000000 1.000000 NC 253193.450000 0.0222789 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 0.000000 GBP 0.000000 GBP 3700000.000000 GBP 253193.450000 N N N N/A N/A 000000000 1.000000 NC USD -1680796.270000 -0.1478959 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2024-06-19 0.000000 USD 0.000000 USD 33700000.000000 USD -1680796.270000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HQ6 3500000.000000 PA USD 957285.000000 0.0842330 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 3599613.400000 0.3167356 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 -663261.760000 CAD 147900000.000000 CAD 4262875.160000 N N N N/A N/A 000000000 1.000000 NC 482992.410000 0.0424993 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2049-12-20 54976.180000 CAD 0.000000 CAD 3700000.000000 CAD 428016.230000 N N N N/A N/A 000000000 1.000000 NC 719524.890000 0.0633121 N/A DIR CA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 0.000000 CAD -83008.390000 CAD 3200000.000000 CAD 802533.280000 N N N N/A N/A 000000000 1.000000 NC 1394079.370000 0.1226672 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 -30678.800000 CAD 6200000.000000 CAD 1424758.170000 N N N N/A N/A 000000000 1.000000 NC 10209.010000 0.0008983 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 -5477.250000 EUR 1400000.000000 EUR 15686.260000 N N N N/A N/A 000000000 1.000000 NC 9039.120000 0.0007954 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 -2234.920000 EUR 1240000.000000 EUR 11274.040000 N N N N/A N/A 000000000 1.000000 NC 5037.210000 0.0004432 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 490000.000000 EUR 5037.210000 N N N N/A N/A 000000000 1.000000 NC 1338112.910000 0.1177426 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 36900000.000000 EUR 1338112.910000 N N N N/A N/A 000000000 1.000000 NC 2866649.930000 0.2522410 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2035-01-22 698061.080000 EUR 0.000000 EUR 79100000.000000 EUR 2168588.850000 N N N N/A N/A 000000000 1.000000 NC -5004806.550000 -0.4403807 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 -621160.780000 EUR 81700000.000000 EUR -4383645.770000 N N N N/A N/A 000000000 1.000000 NC -2485097.070000 -0.2186675 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 40000000.000000 EUR -2485097.070000 N N N N/A N/A 000000000 1.000000 NC 2068257.660000 0.1819892 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 38700000.000000 GBP 2068257.660000 N N N N/A N/A 000000000 1.000000 NC 4943411.300000 0.4349784 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2055-01-20 631707.580000 GBP 0.000000 GBP 84100000.000000 GBP 4311703.720000 N N N N/A N/A 000000000 1.000000 NC -1714092.370000 -0.1508256 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 36000000.000000 GBP -1714092.370000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114GK0 7350000.000000 PA USD 2229365.250000 0.1961653 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 -4157980.050000 -0.3658671 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 -509696.420000 GBP 77600000.000000 GBP -3648283.630000 N N N N/A N/A 000000000 1.000000 NC -1799557.440000 -0.1583459 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 -1901176.940000 JPY 5880000000.000000 JPY 101619.500000 N N N N/A N/A 000000000 1.000000 NC USD 232504.800000 0.0204585 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 26400000.000000 USD 232504.800000 N N N N/A N/A 000000000 1.000000 NC USD 283162.880000 0.0249159 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 27200000.000000 USD 283162.880000 N N N N/A N/A 000000000 1.000000 NC USD 299553.600000 0.0263582 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 27200000.000000 USD 299553.600000 N N N N/A N/A 000000000 1.000000 NC USD 559193.040000 0.0492043 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 50400000.000000 USD 559193.040000 N N N N/A N/A 000000000 1.000000 NC USD 7641889.580000 0.6724217 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 3709215.810000 USD 0.000000 USD 145400000.000000 USD 3932673.770000 N N N N/A N/A 000000000 1.000000 NC USD -10115632.780000 -0.8900902 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 -5907388.510000 USD 265100000.000000 USD -4208244.270000 N N N N/A N/A 000000000 1.000000 NC USD 6905562.200000 0.6076311 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-06-17 3278354.850000 USD 0.000000 USD 151000000.000000 USD 3627207.350000 N N N N/A N/A 000000000 1.000000 NC USD -12479359.600000 -1.0980782 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-06-17 0.000000 USD -15300000.000000 USD 76000000.000000 USD 2820640.400000 N N N N/A N/A 000000000 1.000000 NC USD -5742566.020000 -0.5052973 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-18 165958.850000 USD 0.000000 USD 110400000.000000 USD -5908524.870000 N N N N/A N/A 000000000 1.000000 NC USD -821940.090000 -0.0723238 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-18 0.000000 USD -8761.360000 USD 4200000.000000 USD -813178.730000 N N N N/A N/A 000000000 1.000000 NC USD -1118109.520000 -0.0983842 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-02-03 0.000000 USD -20370.170000 USD 5700000.000000 USD -1097739.350000 N N N N/A N/A 000000000 1.000000 NC USD -2394610.660000 -0.2107055 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-24 0.000000 USD -61350.000000 USD 10400000.000000 USD -2333260.660000 N N N N/A N/A 000000000 1.000000 NC USD -158973.630000 -0.0139883 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-02-07 0.000000 USD -2324.120000 USD 600000.000000 USD -156649.510000 N N N N/A N/A 000000000 1.000000 NC USD -597626.760000 -0.0525861 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-18 0.000000 USD -14398.830000 USD 2000000.000000 USD -583227.930000 N N N N/A N/A 000000000 1.000000 NC USD -2459986.850000 -0.2164581 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-20 1667811.840000 USD 0.000000 USD 29800000.000000 USD -4127798.690000 N N N N/A N/A 000000000 1.000000 NC USD -297676.420000 -0.0261930 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-20 265679.280000 USD 0.000000 USD 3600000.000000 USD -563355.700000 N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAA7 2455123.120000 PA USD 1677278.250000 0.1475863 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.07663 N N N N N N N/A N/A 000000000 1.000000 NC USD -122384.230000 -0.0107688 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-06-15 0.000000 USD -59874.260000 USD 1100000.000000 USD -62509.970000 N N N N/A N/A 000000000 1.000000 NC USD -2040713.740000 -0.1795656 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-20 1041488.620000 USD 0.000000 USD 15000000.000000 USD -3082202.360000 N N N N/A N/A 000000000 1.000000 NC USD 3133656.260000 0.2757353 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-12-15 0.000000 USD -98741.180000 USD 76300000.000000 USD 3232397.440000 N N N N/A N/A 000000000 1.000000 NC USD -1435845.400000 -0.1263423 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-18 0.000000 USD -801591.090000 USD 14100000.000000 USD -634254.310000 N N N N/A N/A 000000000 1.000000 NC USD -2545154.530000 -0.2239521 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 0.000000 USD -269285.140000 USD 17000000.000000 USD -2275869.390000 N N N N/A N/A 000000000 1.000000 NC USD -5463886.260000 -0.4807758 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-10-23 0.000000 USD 0.000000 USD 53600000.000000 USD -5463886.260000 N N N N/A N/A 000000000 1.000000 NC USD -3174736.950000 -0.2793500 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-15 0.000000 USD -46039.580000 USD 53900000.000000 USD -3128697.370000 N N N N/A N/A 000000000 1.000000 NC USD -14586371.260000 -1.2834774 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-05-30 0.000000 USD -25611.950000 USD 110500000.000000 USD -14560759.310000 N N N N/A N/A 000000000 1.000000 NC USD -7620750.640000 -0.6705617 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-05-30 0.000000 USD 0.000000 USD 57600000.000000 USD -7620750.640000 N N N ASSET BACKED SEC CORP HM EQ 2005-HE6 N/A 04541GTN2 300000.000000 PA USD 291298.530000 0.0256318 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.90663 N N N N N N N/A N/A 000000000 1.000000 NC -8609.100000 -0.0007575 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 828318.340000 EUR 742000.000000 EUR 2020-05-15 -8609.100000 N N N N/A N/A 000000000 1.000000 NC 3070.380000 0.0002702 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 204030.920000 RUB 16363281.000000 RUB 2020-06-17 3070.380000 N N N N/A N/A 000000000 1.000000 NC 9448.450000 0.0008314 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 253362.170000 RUB 20764930.000000 RUB 2020-06-17 9448.450000 N N N N/A N/A 000000000 1.000000 NC 1218.630000 0.0001072 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 115456.850000 RUB 9147646.000000 RUB 2020-04-30 1218.630000 N N N N/A N/A 000000000 1.000000 NC 547.000000 0.0000481 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 61126.660000 RUB 4835367.000000 RUB 2020-04-30 547.000000 N N N N/A N/A 000000000 1.000000 NC 4528.320000 0.0003985 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 282077.300000 RUB 22470589.000000 RUB 2020-04-30 4528.320000 N N N N/A N/A 000000000 1.000000 NC -3579.520000 -0.0003150 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 22470589.000000 RUB 282757.030000 USD 2020-04-15 -3579.520000 N N N N/A ECTRVYYCEF89VWYS6K36 000000000 409.000000 NC -5491.180000 -0.0004832 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 -5491.180000 N N N N/A ECTRVYYCEF89VWYS6K36 000000000 -11.000000 NC -37447.970000 -0.0032951 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2020-06-26 -1860777.950000 GBP -37447.970000 N N N N/A 254900HROIFWPRGM1V77 000000000 85.000000 NC USD 5312.500000 0.0004675 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 10YR CBT 06/19/20 2020-06-20 N/A USD N/A 154.000000 USD 2020-05-22 XXXX 4580.650000 N N N N/A 254900HROIFWPRGM1V77 000000000 50.000000 NC USD 3125.000000 0.0002750 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 10YR CBT 06/19/20 2020-06-20 N/A USD N/A 154.500000 USD 2020-05-22 XXXX 2694.500000 N N N N/A 254900HROIFWPRGM1V77 000000000 405.000000 NC USD 18984.380000 0.0016705 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 10YR CBT 06/19/20 2020-06-20 N/A USD N/A 157.000000 USD 2020-05-22 XXXX 15497.330000 N N N N/A 254900HROIFWPRGM1V77 000000000 506.000000 NC USD 23718.750000 0.0020870 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 10YR CBT 06/19/20 2020-06-20 N/A USD N/A 159.000000 USD 2020-05-22 XXXX 19362.090000 N N N N/A 254900HROIFWPRGM1V77 000000000 88.000000 NC USD 4125.000000 0.0003630 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 10YR CBT 06/19/20 2020-06-20 N/A USD N/A 159.500000 USD 2020-05-22 XXXX 3367.320000 N N N N/A 254900HROIFWPRGM1V77 000000000 166.000000 NC USD 5187.500000 0.0004565 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put 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 10YR CBT 06/19/20 2020-06-20 N/A USD N/A 117.000000 USD 2020-05-22 XXXX 3759.900000 N N N N/A 254900HROIFWPRGM1V77 000000000 120.000000 NC USD 3750.000000 0.0003300 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put 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 10YR CBT 06/19/20 2020-06-20 N/A USD N/A 117.500000 USD 2020-05-22 XXXX 2718.000000 N N N N/A 254900HROIFWPRGM1V77 000000000 152.000000 NC USD 7125.000000 0.0006269 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put 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 10YR CBT 06/19/20 2020-06-20 N/A USD N/A 118.000000 USD 2020-05-22 XXXX 5817.800000 N N N N/A 254900HROIFWPRGM1V77 000000000 171.000000 NC USD 8015.630000 0.0007053 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put 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 10YR CBT 06/19/20 2020-06-20 N/A USD N/A 119.500000 USD 2020-05-22 XXXX 6543.320000 N N N N/A 254900HROIFWPRGM1V77 000000000 -2264.000000 NC USD -4370976.370000 -0.3846090 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-06-19 -313988500.000000 USD -4370976.370000 N N N N/A 254900HROIFWPRGM1V77 000000000 206.000000 NC USD 206.000000 0.0000181 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 113.500000 USD 2020-05-22 XXXX -1567.660000 N N N N/A 254900HROIFWPRGM1V77 000000000 312.000000 NC USD 312.000000 0.0000275 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 113.750000 USD 2020-05-22 XXXX -2374.320000 N N N N/A 254900HROIFWPRGM1V77 000000000 265.000000 NC USD 265.000000 0.0000233 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 116.000000 USD 2020-05-22 XXXX -2016.650000 N N N N/A 254900HROIFWPRGM1V77 000000000 210.000000 NC USD 210.000000 0.0000185 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 118.000000 USD 2020-05-22 XXXX -1598.100000 N N N N/A 254900HROIFWPRGM1V77 000000000 -1029.000000 NC USD -3886426.790000 -0.3419727 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-06-30 -226773913.550000 USD -3886426.790000 N N N N/A 254900HROIFWPRGM1V77 000000000 288.000000 NC USD 11249.860000 0.0009899 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put 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 112.500000 USD 2020-05-22 XXXX 8770.180000 N N N N/A 254900HROIFWPRGM1V77 000000000 83.000000 NC USD 3242.150000 0.0002853 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put 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 113.250000 USD 2020-05-22 XXXX 2527.520000 N N N N/A 254900HROIFWPRGM1V77 000000000 149.000000 NC USD 5820.240000 0.0005121 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put 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 113.500000 USD 2020-05-22 XXXX 4537.350000 N N N N/A 254900HROIFWPRGM1V77 000000000 3.000000 NC USD 140.630000 0.0000124 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put 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 114.000000 USD 2020-05-22 XXXX 114.800000 N N N N/A 254900HROIFWPRGM1V77 000000000 523.000000 NC USD 2454976.480000 0.2160172 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-06-30 65562953.130000 USD 2454976.480000 N N N N/A 254900HROIFWPRGM1V77 000000000 -137.000000 NC USD -2653588.890000 -0.2334934 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-06-19 -30396875.000000 USD -2653588.890000 N N N AT&T INC 549300Z40J86GGSTL398 00206RFZ0 3200000.000000 PA USD 3107717.630000 0.2734529 Long DBT CORP US N 2 2021-06-01 Floating 2.33038 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RGD8 3600000.000000 PA USD 3345497.820000 0.2943755 Long DBT CORP US N 2 2024-06-12 Floating 1.96413 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RDV1 3700000.000000 PA USD 3636791.160000 0.3200069 Long DBT CORP US N 2 2021-07-15 Floating 2.78125 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAJ0 800000.000000 PA USD 630652.010000 0.0554920 Long DBT CORP KY N 2 2027-02-15 Fixed 3.25 N N N N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 ACI0LW0M3 200000.000000 PA 216065.720000 0.0190120 Long DBT CORP ES N 2 2021-04-14 Floating 8.875 N N N N Y BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) EUR XXXX N N N BANCO DEL ESTADO DE CHILE 5493004R4EJC0W0XVQ72 P1027DEN7 1700000.000000 PA USD 1707182.330000 0.1502176 Long DBT CORP CL N 2 2020-10-07 Fixed 4.125 N N N N N N BANK OF IRELAND (AKA: GOVERNOR & CO OF THE BANK OF IRELAND) Q2GQA2KF6XJ24W42G291 ACI0CWJH4 400000.000000 PA 426572.820000 0.0375348 Long DBT CORP IE N 2 2020-06-18 Floating 7.375 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 1800000.000000 PA USD 1842282.000000 0.1621053 Long DBT CORP GB N 2 2022-11-21 Fixed 7.625 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06739FFU0 2400000.000000 PA USD 2551461.340000 0.2245070 Long DBT CORP GB N 2 2021-06-12 Fixed 10.179 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI07CRC6 200000.000000 PA 210615.190000 0.0185324 Long DBT CORP GB N 2 2020-12-15 Floating 8 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBG9 1700000.000000 PA USD 1579818.500000 0.1390107 Long DBT CORP GB N 2 2024-06-15 Floating 8 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI1CH093 3100000.000000 PA 3299079.110000 0.2902911 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 4300000.000000 PA USD 4378879.760000 0.3853044 Long DBT CORP GB N 2 2023-02-15 Floating 4.61 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBC8 3200000.000000 PA USD 2819772.160000 0.2481161 Long DBT CORP GB N 2 2024-05-16 Floating 3.07175 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAZ8 100000.000000 PA USD 100636.760000 0.0088552 Long DBT CORP US N 2 2024-08-15 Fixed 3.222 N N N N N N BAT INTERNATIONAL FINANCE PLC 21380041YBGOQDFAC823 05530QAK6 400000.000000 PA USD 393203.820000 0.0345986 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 0.0140942 Long DBT MUN US N 2 2050-10-01 Fixed 6.907 N N N N N N BCAP LLC TRUST 2012-RR11 N/A 05541YAG5 6898210.300000 PA USD 5095914.890000 0.4483975 Long ABS-MBS CORP US N 2 2037-03-26 Variable 6 N N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HXZ9 200171.430000 PA USD 171592.330000 0.0150987 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.23273 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HYH8 4563892.310000 PA USD 3321190.070000 0.2922367 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.80558 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE1 N/A 07387UBT7 1776000.000000 PA USD 1687873.280000 0.1485186 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.31675 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE10 N/A 07389RAB2 181682.320000 PA USD 180573.130000 0.0158889 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.14663 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE6 N/A 07388UAB6 1416095.090000 PA USD 1404505.340000 0.1235846 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.09663 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE2 N/A 07389YAB7 377824.510000 PA USD 456971.640000 0.0402096 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.05663 Y N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE7 N/A 07388HAP4 660658.590000 PA USD 761814.870000 0.0670333 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.10663 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 105756CB4 1954000.000000 PA USD 1804616.700000 0.1587910 Long DBT NUSS BR N 2 2050-01-14 Fixed 4.75 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BC2 300000.000000 PA USD 290490.340000 0.0255607 Long DBT CORP US N 2 2021-03-15 Floating 1.3705 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BE8 601000.000000 PA USD 612899.750000 0.0539300 Long DBT CORP US N 2 2023-03-15 Fixed 3.65 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -11300000.000000 PA -10766710.580000 -0.9473796 Short DBT NUSS CA N 2 2048-12-01 Fixed 2.75 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAQ4 900000.000000 PA USD 906705.000000 0.0797824 Long DBT CORP US N 2 2027-12-15 Fixed 4.25 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC 549300TPZNMN50BJ3745 16117LBX6 866631.310000 PA USD 837743.890000 0.0737144 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 4000000.000000 PA USD 3887722.520000 0.3420867 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 161175BB9 300000.000000 PA USD 310250.450000 0.0272994 Long DBT CORP US N 2 2022-07-23 Fixed 4.464 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175AY0 700000.000000 PA USD 755452.310000 0.0664734 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 4209968.330000 PA USD 3669302.310000 0.3228676 Long ABS-MBS CORP US N 2 2037-07-25 Floating 1.24663 N N N N N N CIT GROUP INC N8O96ZZJQRFYQUJY7K79 125581GQ5 200000.000000 PA USD 196504.200000 0.0172907 Long DBT CORP US N 2 2022-08-15 Fixed 5 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAA0 1745287.880000 PA USD 1696919.320000 0.1493146 Long ABS-MBS CORP US N 2 2037-10-25 Floating 2.29663 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LL3 300000.000000 PA USD 286729.840000 0.0252298 Long DBT CORP US N 2 2024-05-17 Floating 2.79175 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LZ2 1500000.000000 PA USD 1586602.470000 0.1396076 Long DBT CORP US N 2 2024-06-01 Floating 4.044 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MA6 5200000.000000 PA USD 4849920.560000 0.4267520 Long DBT CORP US N 2 2024-06-01 Floating 2.60338 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3 N/A 17309QAF1 2000000.000000 PA USD 1936912.000000 0.1704319 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.24663 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR1 N/A 17307G3C0 140260.350000 PA USD 123156.820000 0.0108368 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.14 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL3 N/A 17312GAA9 19250.200000 PA USD 14520.670000 0.0012777 Long ABS-MBS CORP US N 2 2045-07-25 Floating 1.00663 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 3026331.760000 PA USD 1840245.460000 0.1619261 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.10663 N N N N N N CITIGROUP MTGE LOAN TR INC 2008-RR1 N/A 173145AA1 4133.130000 PA USD 3406.380000 0.0002997 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.01663 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-4 N/A 17307GWE4 58096.940000 PA USD 54132.230000 0.0047632 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.59199 N N N N N N CITIMORTGAGE ALTERNATIVE LOAN TRUST 2007-A4 N/A 12566VAJ1 1779156.290000 PA USD 1279806.900000 0.1126122 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.54663 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486D22 104000.000000 PA USD 118441.440000 0.0104218 Long DBT MUN US N 2 2042-01-01 Fixed 7.75 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030NCS8 421000.000000 PA USD 464423.180000 0.0408653 Long DBT CORP US N 2 2025-10-15 Fixed 3.95 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 BD2YKYII0 1800000.000000 PA 1905313.880000 0.1676515 Long DBT CORP NL N 2 2021-06-29 Floating 6.625 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA22 N/A 23245PAA9 17421.900000 PA USD 14119.070000 0.0012424 Long ABS-MBS CORP US N 2 2047-02-25 Floating 1.10663 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-28CB N/A 12667GYQ0 1658007.240000 PA USD 1067701.290000 0.0939487 Long ABS-MBS CORP US N 2 2035-08-25 Fixed 6 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDE0 6807.560000 PA USD 5635.730000 0.0004959 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.96585 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA18 N/A 23244GAD4 4891854.130000 PA USD 4050322.650000 0.3563942 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.06663 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY8C N/A 02150XAA9 2589960.880000 PA USD 2170354.580000 0.1909729 Long ABS-MBS CORP US N 2 2047-09-25 Floating 1.10663 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6 N/A 02150PAB4 57809.800000 PA USD 46634.550000 0.0041034 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.14663 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-13 N/A 02150MAA3 2509654.740000 PA USD 1839756.620000 0.1618830 Long ABS-MBS CORP US N 2 2047-06-25 Fixed 6 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-2 N/A 1266714B9 52405.870000 PA USD 52440.580000 0.0046143 Long ABS-MBS CORP US N 2 2034-04-25 Floating 2.29663 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAD8 4099999.980000 PA USD 3658652.200000 0.3219305 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.20663 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-15 N/A 12666UAC7 2687683.100000 PA USD 2620681.040000 0.2305978 Long ABS-MBS CORP US N 2 2046-10-25 Variable 4.56556 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAA9 1074222.070000 PA USD 871766.010000 0.0767080 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.08663 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-26 N/A 12668HAA8 1029925.130000 PA USD 842208.500000 0.0741072 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.08663 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-6 N/A 126670ZM3 3116275.260000 PA USD 3062527.930000 0.2694766 Long ABS-MBS CORP US N 2 2036-09-25 Floating 1.22663 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-10 N/A 23246BAK7 1200000.000000 PA USD 1004876.280000 0.0884206 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.19663 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8 N/A 12669WAA4 200653.940000 PA USD 176922.300000 0.0155677 Long ABS-MBS CORP US N 2 2037-11-25 Floating 1.13663 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KK3 1413144.380000 PA USD 1142395.670000 0.1005212 Long ABS-MBS CORP US N 2 2036-03-25 Floating 1.21663 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-1 N/A 126670TV0 2321704.050000 PA USD 2246215.470000 0.1976480 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.24663 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 4621.020000 PA USD 4185.220000 0.0003683 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.82568 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 2189.150000 PA USD 2034.610000 0.0001790 Long ABS-MBS CORP US N 2 2035-02-20 Floating 3.74431 N N N N N N COUNTRYWIDE HOME LOANS 2005-24 N/A 126694JR0 37762.290000 PA USD 30266.660000 0.0026632 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE HOME LOANS 2007-HY7 N/A 12544HAY6 893847.380000 PA USD 773038.360000 0.0680208 Long ABS-MBS CORP US N 2 2037-11-25 Variable 3.79875 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB6 N/A 1248RHAA5 7531.150000 PA USD 4453.110000 0.0003918 Long ABS-MBS CORP US N 2 2037-07-25 Floating 1.06663 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AJ7 1600000.000000 PA USD 1475672.000000 0.1298467 Long DBT CORP CH N 2 2023-07-17 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AH1 2000000.000000 PA USD 1767944.160000 0.1555642 Long DBT CORP CH N 2 2024-06-12 Floating 2.02413 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AC5 600000.000000 PA USD 607358.930000 0.0534425 Long DBT CORP GG N 2 2025-03-26 Fixed 3.75 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AT8 250000.000000 PA USD 256031.170000 0.0225286 Long DBT CORP GG N 2 2023-06-09 Fixed 3.8 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AH4 700000.000000 PA USD 712594.480000 0.0627023 Long DBT CORP GG N 2 2022-09-15 Fixed 3.8 N N N N N N CSN RESOURCES SA 222100ZEX458NMOXZP08 12644VAB4 450000.000000 PA USD 315564.750000 0.0277670 Long DBT CORP LU N 2 2023-02-13 Fixed 7.625 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAC8 500000.000000 PA USD 494331.250000 0.0434970 Long DBT CORP US N 2 2020-08-01 Fixed 4 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAD6 200000.000000 PA USD 182875.000000 0.0160915 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 1750000.000000 PA USD 1622466.720000 0.1427634 Long DBT CORP US N 2 2022-02-15 Floating 2.59175 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAQ4 1300000.000000 PA USD 1178326.880000 0.1036828 Long DBT CORP DK N 2 2023-09-12 Floating 1.84413 N N N N N N DENVER CITY & COUNTY SCHOOL DISTRICT NO 1 N/A 249218AJ7 3484493.520000 PA USD 4020826.760000 0.3537988 Long DBT MUN US N 2 2026-12-15 Fixed 6.22 N N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2007-AR3 N/A 25150VAZ9 67249.550000 PA USD 66611.070000 0.0058612 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.12663 Y N N N N N DEUTSCHE ALT-A SECURITIES LN TR 2007-1 N/A 25151YAG4 3490437.830000 PA USD 2622206.080000 0.2307320 Long ABS-MBS CORP US N 2 2037-08-25 Floating 1.27663 Y N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI0Z7P46 1400000.000000 PA 1529247.020000 0.1345608 Long DBT CORP DE N 2 2020-12-07 Floating 0.031 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BS7 4000000.000000 PA USD 3278915.040000 0.2885168 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 3300000.000000 PA USD 3141612.710000 0.2764354 Long DBT CORP DE N 2 2021-10-14 Fixed 4.25 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BM0 1700000.000000 PA USD 1542602.540000 0.1357360 Long DBT CORP DE N 2 2022-11-16 Floating 2.88175 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CB3 1900000.000000 PA USD 1760349.810000 0.1548959 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N DISCOVER BANK/GREENWOOD BRANCH X05BVSK68TQ7YTOSNR22 25466AAJ0 1700000.000000 PA USD 1666011.530000 0.1465949 Long DBT CORP US N 2 2026-07-27 Fixed 3.45 N N N N N N DISCOVER BANK/GREENWOOD BRANCH X05BVSK68TQ7YTOSNR22 25466AAP6 2700000.000000 PA USD 2743956.140000 0.2414450 Long DBT CORP US N 2 2028-09-13 Fixed 4.65 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NAP0 800000.000000 PA USD 791416.500000 0.0696380 Long DBT CORP CA N 2 2020-06-15 Floating 1.4405 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 1100000.000000 PA USD 1072571.530000 0.0943772 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2019-1A N/A 30167DAA5 1138915.310000 PA USD 1138575.120000 0.1001850 Long ABS-O CORP US N 2 2022-04-15 Fixed 3.2 N N N N N N EXPORT-IMPORT BANK OF KOREA (KEXIM) 549300APVP4R32PI3Y06 302154AX7 2000000.000000 PA USD 2043540.000000 0.1798143 Long DBT NUSS KR N 2 2021-01-29 Fixed 4 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 1000000.000000 PA 1071367.520000 0.0942713 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 13588.560000 PA USD 13489.010000 0.0011869 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 23460.590000 PA USD 23233.810000 0.0020444 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 1.32663 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 78655.160000 PA USD 77858.560000 0.0068509 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 1.34663 N N N N N N FHLMC PASS THRU POOLS N/A 31292K2G1 4394.540000 PA USD 5045.930000 0.0004440 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ4R8 14679679.900000 PA USD 15683067.730000 1.3799775 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWE64 4437258.210000 PA USD 4775265.420000 0.4201830 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31329PS87 1369477.270000 PA USD 1463399.950000 0.1287668 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31329PXN8 2073068.050000 PA USD 2215402.250000 0.1949367 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4 N N N N N N FIELDSTONE MORTGAGE INVESTMENT CORP 2005-2 N/A 31659TDV4 7748698.750000 PA USD 7535936.530000 0.6630988 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.68163 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HHA1 1091000.000000 NS USD 986531.300000 0.0868064 Long EP CORP US N 2 N N N FIRST FRANKLIN MTG LOAN ASSET 2005-FFH3 N/A 32027NVD0 1076624.450000 PA USD 1072443.160000 0.0943659 Long ABS-MBS CORP US N 2 2035-09-25 Floating 1.74163 N N N N N N FNMA PASS THRU POOLS N/A 31368HJD6 281.850000 PA USD 308.460000 0.0000271 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31368HXZ1 494.270000 PA USD 531.580000 0.0000468 Long ABS-MBS USGSE US N 2 2024-06-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31371EVY8 189.480000 PA USD 208.100000 0.0000183 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31371FAX0 84.540000 PA USD 93.090000 0.0000082 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31371HNH7 628.120000 PA USD 717.340000 0.0000631 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31371HYB8 5995.800000 PA USD 7138.160000 0.0006281 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31373UCY1 844.910000 PA USD 892.640000 0.0000785 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31374QHD0 561.910000 PA USD 563.730000 0.0000496 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31376EN22 265.930000 PA USD 285.910000 0.0000252 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31376KS23 1050.170000 PA USD 1165.560000 0.0001026 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31376KTB2 25150.230000 PA USD 27973.550000 0.0024614 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31379JG59 652.340000 PA USD 701.060000 0.0000617 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31381BHM4 5342.830000 PA USD 5359.390000 0.0004716 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31382GHS9 492.200000 PA USD 493.750000 0.0000434 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31382UET9 2827.430000 PA USD 3111.480000 0.0002738 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31383VEC3 335.890000 PA USD 336.350000 0.0000296 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31384HQH9 636.610000 PA USD 639.400000 0.0000563 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31385HX98 562.820000 PA USD 688.310000 0.0000606 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31386TNA9 7103.180000 PA USD 8289.900000 0.0007294 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31386T6B6 590.650000 PA USD 684.400000 0.0000602 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31387DNE5 5588.740000 PA USD 6457.990000 0.0005682 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31389ERT4 506.080000 PA USD 507.780000 0.0000447 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31390RTU7 5234.800000 PA USD 5323.620000 0.0004684 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31409CZS7 23625.420000 PA USD 27213.130000 0.0023945 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409XTB5 3933.700000 PA USD 4414.920000 0.0003885 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410GGE7 37427.340000 PA USD 44990.500000 0.0039588 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GRM7 7268.920000 PA USD 8754.010000 0.0007703 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KBF0 108716.370000 PA USD 125368.260000 0.0110313 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410PAD5 2640.490000 PA USD 2925.530000 0.0002574 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411EUF2 14906.960000 PA USD 17179.940000 0.0015117 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413LTD1 64281.740000 PA USD 71366.460000 0.0062796 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413NVK8 48412.720000 PA USD 55262.960000 0.0048627 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413N2Y0 3951.110000 PA USD 4529.310000 0.0003985 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413TJV5 90707.550000 PA USD 104314.860000 0.0091788 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413UKP3 112597.740000 PA USD 129239.510000 0.0113720 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414G6Q7 15516.800000 PA USD 17735.860000 0.0015606 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415TAM2 2221.580000 PA USD 2316.100000 0.0002038 Long ABS-MBS USGSE US N 2 2023-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415WZZ9 5411.410000 PA USD 6171.520000 0.0005430 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31419CSK0 19734.540000 PA USD 20796.220000 0.0018299 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419DPS4 1798.610000 PA USD 1895.930000 0.0001668 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A2NX3 44804.530000 PA USD 47363.240000 0.0041676 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A7W53 26836.560000 PA USD 28341.330000 0.0024938 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AGLQ9 57279.080000 PA USD 60308.790000 0.0053067 Long ABS-MBS USGSE US N 2 2021-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138EGE26 210755.800000 PA USD 243002.810000 0.0213822 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EKW35 121741.060000 PA USD 140424.100000 0.0123561 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138L0MH1 98848.640000 PA USD 101543.380000 0.0089350 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 2.31 N N N N N N FNMA PASS THRU POOLS N/A 3140GVZY4 11704663.150000 PA USD 12392553.810000 1.0904400 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H1FD7 1686381.220000 PA USD 1791854.600000 0.1576681 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 2470209.010000 PA USD 2627484.150000 0.2311964 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8E76 2436471.020000 PA USD 2618825.140000 0.2304345 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CS47 1602358.630000 PA USD 1696253.460000 0.1492560 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 1598697.430000 PA USD 1692240.160000 0.1489028 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 15481892.900000 PA USD 16387447.080000 1.4419569 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CXM1 1041927.730000 PA USD 1106026.890000 0.0973210 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 0.1399093 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 0.1342887 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 500000.000000 PA USD 475078.660000 0.0418029 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 1300000.000000 PA USD 1176500.000000 0.1035221 Long DBT CORP US N 2 2023-01-09 Fixed 3.087 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397XW8 200000.000000 PA USD 192000.000000 0.0168944 Long DBT CORP US N 2 2021-03-18 Fixed 3.336 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397VU4 600000.000000 PA USD 591000.000000 0.0520030 Long DBT CORP US N 2 2021-08-02 Fixed 5.875 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540RAC0 2800000.000000 PA USD 2660215.960000 0.2340765 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 2600000.000000 PA USD 2437500.000000 0.2144794 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 27502.540000 PA USD 27509.730000 0.0024206 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 1.41463 N N N N N N FREMONT HOME LOAN TRUST 2006-2 N/A 35729PPX2 1106581.020000 PA USD 973049.110000 0.0856201 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.11663 N N N N N N FREMONT HOME LOAN TRUST 2006-B N/A 35729QAC2 98761.640000 PA USD 35640.510000 0.0031361 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.04663 N N N N N N GE-WMC MORTGAGE SECURITIES LLC 2006-1 N/A 36829JAA9 211.980000 PA USD 103.030000 0.0000091 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.98663 N N N N N N GEORGIA POWER COMPANY D981X4Z4RWS7PDMJUZ03 373334KL4 800000.000000 PA USD 787735.830000 0.0693141 Long DBT CORP US N 2 2029-09-15 Fixed 2.65 N N N N N N GLS AUTO RECEIVABLES TRUST 2019-3A N/A 36258AAA8 2859364.990000 PA USD 2834164.830000 0.2493826 Long ABS-O CORP US N 2 2023-07-17 Fixed 2.58 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 14769022.380000 PA USD 143392438.250000 12.6173232 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 21H050649 5400000.000000 PA USD 5742562.500000 0.5052970 Long ABS-MBS USGSE US N 2 2050-04-21 Fixed 5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 8149201.920000 PA USD 80033312.100000 7.0422553 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 36297AZ55 51499.150000 PA USD 58264.040000 0.0051267 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 6 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAF7 1300000.000000 PA USD 1274341.240000 0.1121313 Long DBT CORP US N 2 2021-11-15 Floating 2.86175 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19 N/A 38380VEU1 1063111.370000 PA USD 1049150.800000 0.0923164 Long ABS-MBS USGSE US N 2 2047-08-20 Floating 1.93113 N N N N N N GSAA HOME EQUITY TRUST 2006-4 N/A 362334FK5 4981315.640000 PA USD 3557845.920000 0.3130604 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.72849 N N N N N N GSAA HOME EQUITY TRUST 2007-4 N/A 3622EBAB4 5029313.210000 PA USD 1756456.460000 0.1545533 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.14663 N N N N N N GSAMP TRUST 2005-HE1 N/A 36242DRX3 1361462.130000 PA USD 1008830.640000 0.0887686 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.26663 Y N N N N N GSAMP TRUST 2006-HE5 N/A 362437AD7 505971.480000 PA USD 481645.130000 0.0423807 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.09663 N N N N N N GSAMP TRUST 2006-HE8 N/A 3622M8AE6 2700000.000000 PA USD 1861120.530000 0.1637629 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.17663 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 3501.510000 PA USD 3117.270000 0.0002743 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.1245 N N N N N N HALCYON LOAN ADVISORS FUNDING 2014-3 LTD N/A 40538FAQ6 267048.780000 PA USD 266799.620000 0.0234761 Long ABS-CBDO CORP KY N 2 2025-10-22 Floating 2.90213 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-11 N/A 41162GAA0 446001.100000 PA USD 365190.380000 0.0321337 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.92 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 1033157.770000 PA USD 749195.910000 0.0659229 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.955 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAF6 395929.730000 PA USD 320485.040000 0.0282000 Long ABS-MBS CORP US N 2 2038-01-19 Floating 0.94 N N N N N N HARVARD UNIVERSITY 6S3X7J22E861RNTJSA74 740816AG8 1100000.000000 PA USD 1649582.190000 0.1451493 Long DBT CORP US N 2 2039-01-15 Fixed 6.5 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 7579095.670000 PA 9263103.390000 0.8150748 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.76129 N N N N N N HOME EQUITY LOAN TRUST 2007-FRE1 N/A 43710XAE8 5300000.000000 PA USD 3447365.390000 0.3033390 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.28663 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BG3 800000.000000 PA USD 767235.220000 0.0675102 Long DBT CORP GB N 2 2022-01-05 Floating 3.40025 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AV1 500000.000000 PA USD 502911.760000 0.0442520 Long DBT CORP GB N 2 2021-03-08 Fixed 3.4 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AW9 300000.000000 PA USD 320924.600000 0.0282387 Long DBT CORP GB N 2 2026-03-08 Fixed 4.3 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BQ1 1400000.000000 PA USD 1371498.760000 0.1206803 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 0.0492673 Long DBT CORP GB N 2 2024-05-18 Floating 2.69175 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 1400000.000000 PA USD 1466427.340000 0.1290332 Long DBT CORP GB N 2 2026-09-12 Floating 4.292 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAA1 200000.000000 PA USD 195919.070000 0.0172392 Long DBT CORP GB N 2 2024-07-26 Fixed 3.125 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAB9 200000.000000 PA USD 185045.120000 0.0162824 Long DBT CORP GB N 2 2026-07-26 Fixed 3.5 N N N N N N INDYMAC HOME EQUITY LOAN ABS TR 2004-B N/A 456606FA5 170235.650000 PA USD 157115.670000 0.0138249 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.99663 N N N N N N INDYMAC RESIDENTIAL ASSET BCD TR 2005-B N/A 456606GY2 2000000.000000 PA USD 1545182.400000 0.1359630 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.01163 N N N N N N INEOS FINANCE PLC 2138002D68XDR4LZCG32 ACI0YJHL2 3100000.000000 PA 2995378.960000 0.2635680 Long DBT CORP GB N 2 2025-11-15 Fixed 2.125 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AR4 1000000.000000 PA USD 866465.000000 0.0762416 Long DBT CORP NL N 2 2026-11-16 Floating 5.75 N N N N Y ING GROEP NV EUR XXXX N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513YJJ8 1300000.000000 PA USD 1398172.100000 0.1230273 Long DBT NUSS IL N 2 2048-01-17 Fixed 4.125 N N N N N N JAPAN GOVT N/A ACI12NZL6 3618409200.000000 PA 33634968.570000 2.9595931 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT N/A ACI1BXN03 2083579200.000000 PA 19329181.600000 1.7008047 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAT3 3200000.000000 PA USD 3122134.110000 0.2747214 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 0.1106656 Long DBT CORP US N 2 2024-07-23 Floating 3.797 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAW6 3000000.000000 PA USD 2708667.030000 0.2383398 Long DBT CORP US N 2 2024-07-23 Floating 2.69625 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 20128.680000 PA USD 19601.810000 0.0017248 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.06682 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 14436.630000 PA USD 9784.540000 0.0008610 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A3 N/A 46628KAT7 43639.440000 PA USD 37821.990000 0.0033280 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.12341 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAR6 2880017.200000 PA USD 2647410.020000 0.2329497 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.98299 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 1423.920000 PA USD 1235.010000 0.0001087 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.36981 N N N N N N JP MORGAN RESECURITIZATION TRUST SERIES 2015-3 N/A 46644NAG9 4941565.700000 PA USD 4527371.080000 0.3983704 Long ABS-MBS CORP US N 2 2037-06-26 Floating 1.74675 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAL0 100000.000000 PA USD 100090.220000 0.0088071 Long DBT CORP US N 2 2035-07-15 Fixed 5 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAM8 100000.000000 PA USD 96712.090000 0.0085098 Long DBT CORP US N 2 2045-07-15 Fixed 5.2 N N N N N N LEHMAN MORTGAGE TRUST 2006-7 N/A 52520QAB0 1715338.010000 PA USD 957086.050000 0.0842155 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.59663 Y N N N N N LEHMAN XS TRUST 2006 GP4 N/A 525161AN5 2166858.070000 PA USD 1779379.860000 0.1565704 Long ABS-MBS CORP US N 2 2046-08-25 Floating 1.17163 N N N N N N LLOYDS BANK CORPORATE MARKETS PLC/NEW YORK BRANCH 213800MBWEIJDM5CU638 53947BAE0 2300000.000000 PA USD 2297631.390000 0.2021722 Long DBT CORP GB N 2 2020-10-26 Floating 2.378 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AU3 2500000.000000 PA USD 2248737.500000 0.1978699 Long DBT CORP GB N 2 2025-09-27 Floating 7.5 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI0808H1 900000.000000 PA 1024572.100000 0.0901537 Long DBT CORP GB N 2 2029-06-27 Floating 7.875 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAG8 2200000.000000 PA USD 2147598.640000 0.1889705 Long DBT CORP GB N 2 2021-06-21 Floating 1.99513 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AS8 1100000.000000 PA USD 1146209.900000 0.1008568 Long DBT CORP GB N 2 2023-08-16 Fixed 4.05 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AT6 1000000.000000 PA USD 1063451.350000 0.0935747 Long DBT CORP GB N 2 2028-08-16 Fixed 4.55 N N N N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 BJBQCWII7 360000.000000 NS 361520.280000 0.0318107 Long EP CORP NL N 2 N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RH9 4178239.750000 PA USD 3869665.460000 0.3404979 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.16663 N N N N N N LONG BEACH UNIFIED SCHOOL DISTRICT N/A 542433ND5 3500000.000000 PA USD 4012750.000000 0.3530881 Long DBT MUN US N 2 2025-08-01 Fixed 5.914 N N N N N N MASTR SPECIALIZED LOAN TRUST 2006-3 N/A 57643BAA6 3200510.200000 PA USD 2838618.270000 0.2497744 Long ABS-MBS CORP US N 2 2046-06-25 Floating 1.20663 N N N N N N MCDONALDS CORPORATION UE2136O97NLB5BYP9H04 58013MFG4 500000.000000 PA USD 492123.820000 0.0433027 Long DBT CORP US N 2 2021-10-28 Floating 2.22538 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 92482.590000 PA USD 77407.820000 0.0068112 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.26607 Y N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAC6 7170707.640000 PA USD 4020609.320000 0.3537797 Long ABS-MBS CORP US N 2 2037-08-25 Floating 1.05663 N N N N N N MONARCH GROVE CLO 2018-1A N/A 60909GAA8 4300000.000000 PA USD 4170602.510000 0.3669778 Long ABS-CBDO CORP KY N 2 2028-01-25 Floating 2.67413 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAE5 2886264.400000 PA USD 1409641.720000 0.1240366 Long ABS-MBS CORP US N 2 2036-09-25 Floating 1.10663 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-WMC2 N/A 61749KAB9 3409.260000 PA USD 1549.340000 0.0001363 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.99663 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAA4 16363091.640000 PA USD 7630939.240000 0.6714582 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.16163 N N N N N N MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS N/A 61752JAA8 4546298.930000 PA USD 2180594.090000 0.1918739 Long ABS-MBS CORP US N 2 2046-09-25 Variable 5.965 Y N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-6AR N/A 61748HMZ1 2385000.000000 PA USD 2157256.830000 0.1898204 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.56663 N N N N N N MORTGAGEIT TRUST 2007-1 N/A 61915YAA9 1266357.000000 PA USD 1103803.490000 0.0971254 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.17663 N N N N N N MOUNTAIN HAWK III CLO LTD 2014-3A N/A 62405CAN4 402691.400000 PA USD 401339.560000 0.0353145 Long ABS-CBDO CORP KY N 2 2025-04-18 Floating 3.01913 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAC1 1500000.000000 PA USD 1509266.360000 0.1328027 Long DBT CORP GB N 2 2024-08-01 Floating 4.363 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 78442FEQ7 300000.000000 PA USD 284250.000000 0.0250116 Long DBT CORP US N 2 2023-01-25 Fixed 5.5 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAF5 200000.000000 PA USD 195544.000000 0.0172062 Long DBT CORP US N 2 2022-06-15 Fixed 6.5 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAD0 100000.000000 PA USD 103175.000000 0.0090785 Long DBT CORP US N 2 2021-07-26 Fixed 6.625 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAA6 400000.000000 PA USD 395380.000000 0.0347901 Long DBT CORP US N 2 2020-10-26 Fixed 5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 3975817.910000 PA USD 3984027.180000 0.3505607 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 6977484.930000 PA USD 7038063.450000 0.6192901 Long ABS-MBS CORP US N 2 2059-11-25 Variable 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 0.1028058 Long DBT MUN US N 2 2030-04-01 Fixed 5.883 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AZ2 800000.000000 PA USD 773565.870000 0.0680673 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 0.0249585 Long DBT CORP US N 2 2021-09-14 Fixed 1.9 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BD0 300000.000000 PA USD 286161.090000 0.0251798 Long DBT CORP US N 2 2022-09-28 Fixed 2.6 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAQ2 1900000.000000 PA USD 1793786.430000 0.1578381 Long DBT CORP JP N 2 2030-01-16 Fixed 3.103 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-3 N/A 68402BAA4 1687313.580000 PA USD 1144557.450000 0.1007114 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.16663 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-4 N/A 68403FAA4 1321403.320000 PA USD 955616.290000 0.0840862 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.16663 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-4 N/A 68403FAE6 349849.260000 PA USD 240319.540000 0.0211461 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.25663 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-5 N/A 68403HAA0 1764242.430000 PA USD 1115015.510000 0.0981119 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.16663 N N N N N N PEOPLES CHOICE HOME LOAN SEC TR 2005-4 N/A 71085PDD2 158461.820000 PA USD 157239.480000 0.0138357 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.46663 Y N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NBF5 1012000.000000 PA USD 927245.000000 0.0815897 Long DBT CORP NL N 2 2030-01-15 Fixed 5.093 N N N N N N POPULAR ABS MORTGAGE PASS-THROUGH TRUST 2006-C N/A 73316MAE7 3700000.000000 PA USD 3140591.450000 0.2763455 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.27663 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAF3 3707188.850000 PA USD 1771254.050000 0.1558554 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.586 N N N N N N RESIDENTIAL ACCREDIT LOAN, INC. 2007-QO4 N/A 74923LAA0 6491485.210000 PA USD 5264440.010000 0.4632262 Long ABS-MBS CORP US N 2 2047-05-25 Floating 1.14663 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 578253.570000 PA USD 468769.470000 0.0412478 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.13163 N N N N N N RESIDENTIAL ASSET SEC CORP 2007-KS3 N/A 74924YAC7 6264305.960000 PA USD 6131759.510000 0.5395430 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.19663 N N N N N N AAMES MORTGAGE INVESTMENT TRUST 2005-2 N/A 126673L42 3300000.000000 PA USD 3170853.840000 0.2790084 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.93663 Y N N N N N RESIDENTIAL ASSET SECURITIES 2006-KS1 N/A 76113AAH4 580000.000000 PA USD 541965.980000 0.0476884 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.34663 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BF2 100000.000000 PA USD 101357.100000 0.0089186 Long DBT CORP US N 2 2022-06-12 Fixed 4 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BB6 1400000.000000 PA USD 1372455.000000 0.1207644 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 0.0973755 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 1100000.000000 PA USD 1033675.500000 0.0909547 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 780097BG5 1700000.000000 PA USD 1804485.740000 0.1587795 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 2300000.000000 PA USD 2084511.300000 0.1834194 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 0.1330911 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAJ4 2200000.000000 PA USD 2308906.250000 0.2031642 Long DBT CORP GB N 2 2024-11-15 Floating 4.796 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAX1 3100000.000000 PA USD 3100918.750000 0.2728547 Long DBT CORP GB N 2 2024-06-18 Fixed 2.875 N N N N N N SASOL FINANCING USA LLC 549300XRB1PFMESFEL85 80386WAA3 500000.000000 PA USD 210230.860000 0.0184985 Long DBT CORP US N 2 2024-03-27 Fixed 5.875 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAH2 1400000.000000 PA USD 1458507.400000 0.1283363 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI121KG1 700000.000000 PA USD 759104.500000 0.0667948 Long DBT NUSS SA N 2 2049-04-17 Fixed 5 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 ACI1C5ZK6 2800000.000000 PA 2474083.080000 0.2176984 Long DBT CORP DE N 2 2025-05-15 Fixed 3.625 N N Y N N N SEC ASSET BACKED REC LLC 2006-FR1 N/A 81375WJT4 841445.850000 PA USD 827696.540000 0.0728303 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.52663 N N N N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AC8 1421166.070000 PA USD 823792.560000 0.0724868 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-HE2 N/A 81377AAE2 1151131.140000 PA USD 587645.660000 0.0517079 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.18663 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BB4 2000000.000000 PA USD 1971190.360000 0.1734481 Long DBT CORP US N 2 2021-03-15 Floating 1.1905 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-FRE1 N/A 81879MAV1 4843103.950000 PA USD 2865899.010000 0.2521749 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.12663 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2007-20L N/A 83162CRL9 20500.320000 PA USD 21926.370000 0.0019293 Long ABS-O CORP US N 2 2027-12-01 Fixed 5.29 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20H N/A 83162CRY1 273393.370000 PA USD 299299.250000 0.0263358 Long ABS-O CORP US N 2 2028-08-01 Fixed 6.02 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2009-20A N/A 83162CSG9 385627.150000 PA USD 424406.630000 0.0373442 Long ABS-O CORP US N 2 2029-01-01 Fixed 5.72 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAB8 3800000.000000 PA USD 3681306.620000 0.3239239 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 2500000.000000 PA USD 2430231.930000 0.2138399 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 2.95625 N N N N N N SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1 N/A 83611DAA6 7788.290000 PA USD 2746.670000 0.0002417 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.00663 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT2 N/A 83611MGJ1 2200000.000000 PA USD 1735591.660000 0.1527174 Long ABS-MBS CORP US N 2 2035-08-25 Floating 1.78663 Y N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ1 N/A 83612JAD6 3900000.000000 PA USD 3345178.590000 0.2943475 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.19663 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2 N/A 83613DAA4 1781779.180000 PA USD 1432987.710000 0.1260908 Long ABS-MBS CORP US N 2 2037-07-25 Floating 1.11663 N N N N N N SOUNDVIEW HOME EQUITY LOAN TRUST 2007-1 N/A 83612PAA8 571914.010000 PA USD 507289.040000 0.0446371 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.09663 N N N N N N SPECIALTY UNDERWRITING & RESID 2006-AB1 N/A 84751PKW8 1492397.790000 PA USD 1365536.370000 0.1201557 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.54663 N N N N N N SPIRIT AEROSYSTEMS INC ZD2NBKV6GCC3UMGBM518 85205TAJ9 600000.000000 PA USD 520937.510000 0.0458381 Long DBT CORP US N 2 2023-06-15 Fixed 3.95 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2007-3 N/A 00703RAE0 5991437.930000 PA USD 4668506.270000 0.4107891 Long ABS-MBS CORP US N 2 2037-11-25 Floating 5.50383 Y N N N N N SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP) 5493008I795YYBFWFU90 85172FAD1 200000.000000 PA USD 201092.000000 0.0176944 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 200000.000000 PA USD 201350.000000 0.0177171 Long DBT CORP US N 2 2020-12-15 Fixed 8.25 N N N N N N SPRINT CORP (SPRINT COMMUNICATIONS INC) 549300JKU50UT08ZWD77 852061AS9 1500000.000000 PA USD 1568910.000000 0.1380508 Long DBT CORP US N 2 2022-11-15 Fixed 6 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAH8 300000.000000 PA USD 331495.500000 0.0291688 Long DBT CORP US N 2 2024-06-15 Fixed 7.125 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAE5 900000.000000 PA USD 932544.000000 0.0820560 Long DBT CORP US N 2 2021-09-15 Fixed 7.25 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAF2 800000.000000 PA USD 886908.000000 0.0780404 Long DBT CORP US N 2 2023-09-15 Fixed 7.875 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BR0 3000000.000000 PA USD 2915475.300000 0.2565372 Long DBT CORP GB N 2 2022-09-10 Floating 2.096 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-7 N/A 863579PM4 132245.390000 PA USD 112634.060000 0.0099108 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.95411 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR1 N/A 86359LTD1 798172.170000 PA USD 779236.090000 0.0685662 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.17663 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR7 N/A 86361HAB0 8121856.550000 PA USD 6509539.700000 0.5727845 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.06663 N N N N N N STRUCTURED ASSET SEC CORP 2005-RF2 N/A 86359DEX1 1887207.690000 PA USD 1563857.490000 0.1376062 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.29663 N N N N N N STRUCTURED ASSET SECURITIES CO-2007-BC3 N/A 86363WAC3 1684337.220000 PA USD 1510321.270000 0.1328955 Long ABS-MBS CORP US N 2 2047-05-25 Floating 1.17663 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 10062104.000000 PA 12239670.250000 1.0769876 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 3601952.400000 PA 4346029.950000 0.3824139 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.72413 N N N N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 933NLFII8 2500000.000000 PA USD 2462528.530000 0.2166817 Long LON CORP US N 3 2020-09-28 Floating 1.9546 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 ACI07SK20 2500000.000000 PA 2722849.100000 0.2395877 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 0.2932758 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UBS AG/STAMFORD CT BRANCH BFM8T61CT2L1QCEMIK50 90261AAB8 300000.000000 PA USD 309147.000000 0.0272023 Long DBT CORP CH N 2 2022-08-17 Fixed 7.625 N N N N N N UBS COMMERCIAL MORTGAGE TRUST 2017-C6 N/A 90276UAU5 3395000.000000 PA USD 3625805.000000 0.3190402 Long ABS-MBS CORP US N 2 2050-12-15 Fixed 3.5042 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90352JAD5 1400000.000000 PA USD 1303301.930000 0.1146796 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 0.0352587 Long DBT CORP CH N 2 2020-09-24 Fixed 2.95 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90351DAB3 400000.000000 PA USD 416383.990000 0.0366383 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 32800000.000000 PA USD 33939271.920000 2.9863692 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 01F022667 18000000.000000 PA USD 18578081.520000 1.6347142 Long ABS-MBS USGSE US N 2 2050-06-11 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030645 74600000.000000 PA USD 78233835.380000 6.8839166 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 143800000.000000 PA USD 150590796.820000 13.2507179 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 52800000.000000 PA USD 55177921.920000 4.8551910 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 22000000.000000 PA USD 23274452.960000 2.0479552 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 32000000.000000 PA USD 33846881.920000 2.9782397 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 72000000.000000 PA USD 76880954.160000 6.7648745 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 -72000000.000000 PA USD -76880954.160000 -6.7648745 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 6400000.000000 PA USD 6831862.590000 0.6011462 Long ABS-MBS USGSE US N 2 2050-05-13 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F042657 25900000.000000 PA USD 27862734.380000 2.4516852 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 -5400000.000000 PA USD -5831789.080000 -0.5131482 Short ABS-MBS USGSE US N 2 2050-04-15 Fixed 5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962B4 7826000.000000 PA USD 7825853.970000 0.6886090 Long DBT UST US N 2 2020-04-14 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962L2 45157000.000000 PA USD 45152230.070000 3.9730148 Long DBT UST US N 2 2020-05-12 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796SV2 74861000.000000 PA USD 74844131.570000 6.5856513 Long DBT UST US N 2 2020-06-18 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796TZ2 95341000.000000 PA USD 95321209.110000 8.3874611 Long DBT UST US N 2 2020-06-11 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828SA9 38291568.000000 PA USD 37741566.680000 3.3209390 Long DBT UST US N 2 2022-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828UH1 8045856.000000 PA USD 7947986.130000 0.6993556 Long DBT UST US N 2 2023-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 673146.000000 PA USD 739204.770000 0.0650438 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 4316325.000000 PA USD 5542187.150000 0.4876656 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 4354400.000000 PA USD 5295301.760000 0.4659418 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 16317600.000000 PA USD 20117948.150000 1.7702095 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 23207132.000000 PA USD 28892965.210000 2.5423368 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X39 35848956.000000 PA USD 35342086.890000 3.1098051 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828QV5 9155520.000000 PA USD 9069719.690000 0.7980587 Long DBT UST US N 2 2021-07-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828B66 10500000.000000 PA USD 11482734.380000 1.0103836 Long DBT UST US N 2 2024-02-15 Fixed 2.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828P46 3300000.000000 PA USD 3516433.600000 0.3094164 Long DBT UST US N 2 2026-02-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286B1 145600000.000000 PA USD 170283750.000000 14.9835314 Long DBT UST US N 2 2029-02-15 Fixed 2.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QE1 4500000.000000 PA USD 7351347.650000 0.6468565 Long DBT UST US N 2 2040-02-15 Fixed 4.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 19000000.000000 PA USD 26501289.110000 2.3318896 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N ALLEGRO CLO I LTD 2013-1A N/A 01749GAJ7 49518.470000 PA USD 49470.800000 0.0043530 Long ABS-CBDO CORP KY N 2 2026-01-30 Floating 2.9895 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286T2 90400000.000000 PA USD 104051812.050000 9.1556804 Long DBT UST US N 2 2029-05-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QH4 5300000.000000 PA USD 8428656.250000 0.7416505 Long DBT UST US N 2 2040-05-15 Fixed 4.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282P4 15300000.000000 PA USD 15871956.990000 1.3965981 Long DBT UST US N 2 2022-07-31 Fixed 1.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XQ8 8000000.000000 PA USD 8330000.000000 0.7329696 Long DBT UST US N 2 2022-07-31 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828K74 5800000.000000 PA USD 6278273.450000 0.5524350 Long DBT UST US N 2 2025-08-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282R0 100000.000000 PA USD 112273.440000 0.0098791 Long DBT UST US N 2 2027-08-15 Fixed 2.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 500000.000000 PA USD 695351.560000 0.0611851 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285C0 30200000.000000 PA USD 34369015.780000 3.0241830 Long DBT UST US N 2 2025-09-30 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828L99 11300000.000000 PA USD 11381880.820000 1.0015094 Long DBT UST US N 2 2020-10-31 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285J5 30200000.000000 PA USD 34433898.360000 3.0298922 Long DBT UST US N 2 2025-10-31 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828A42 6100000.000000 PA USD 6177083.990000 0.5435312 Long DBT UST US N 2 2020-11-30 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828M80 13100000.000000 PA USD 13700757.880000 1.2055509 Long DBT UST US N 2 2022-11-30 Fixed 2 N N N N N N ALLERGAN SALES LLC 254900TUPGX2F5Y3AU71 345838AE6 186000.000000 PA USD 188937.510000 0.0166249 Long DBT CORP US N 2 2021-02-15 Fixed 4.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YY0 10300000.000000 PA USD 10969902.320000 0.9652587 Long DBT UST US N 2 2024-12-31 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285T3 12100000.000000 PA USD 13581304.750000 1.1950401 Long DBT UST US N 2 2025-12-31 Fixed 2.625 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NAJ9 2700000.000000 PA USD 2743638.750000 0.2414170 Long DBT CORP US N 2 2020-09-15 Fixed 7.5 N N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAE4 1075489.020000 PA USD 894108.330000 0.0786740 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.85765 Y N N N N N WASHINGTON MUTUAL 2005-AR14 N/A 92922F4C9 1709347.940000 PA USD 1542673.010000 0.1357422 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.83476 N N N N N N WASHINGTON MUTUAL 2005-AR15 N/A 92922F5Y0 2928262.560000 PA USD 2696480.920000 0.2372675 Long ABS-MBS CORP US N 2 2045-11-25 Floating 1.52663 N N N N N N WASHINGTON MUTUAL 2006-AR11 N/A 93363TAB8 39028.030000 PA USD 34051.690000 0.0029963 Long ABS-MBS CORP US N 2 2046-09-25 Floating 2.484 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 33839.860000 PA USD 27283.710000 0.0024007 Long ABS-MBS CORP US N 2 2046-10-25 Floating 2.484 N N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AE0 254400.560000 PA USD 208009.090000 0.0183030 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.98119 Y N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AB4 17593.060000 PA USD 15427.740000 0.0013575 Long ABS-MBS CORP US N 2 2047-01-25 Floating 2.69585 N N N N N N WASHINGTON MUTUAL 2006-AR8 N/A 93362FAJ2 113410.270000 PA USD 93764.280000 0.0082505 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.85978 Y N N N N N WASHINGTON MUTUAL 2007-OA4 N/A 93364CAA6 3107795.690000 PA USD 2583244.840000 0.2273037 Long ABS-MBS CORP US N 2 2047-05-25 Floating 2.73585 N N N N N N WASHINGTON STATE CONVENTION CENTER PUBLIC FACILITIES DISTRICT N/A 93976AAH5 600000.000000 PA USD 736290.000000 0.0647873 Long DBT MUN US N 2 2040-07-01 Fixed 6.79 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BFC9 38000.000000 PA USD 38762.570000 0.0034108 Long DBT CORP US N 2 2022-03-08 Fixed 3.5 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR19 N/A 949789AA9 166483.040000 PA USD 155714.930000 0.0137016 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.34866 Y N N N N N WIND RIVER CLO LTD 2015-2A N/A 88432GAL1 2916069.570000 PA USD 2869608.880000 0.2525013 Long ABS-CBDO CORP KY N 2 2027-10-15 Floating 2.70125 N N N N N N WPC EUROBOND BV 5493005XDMOLBARL5M14 ACI15F7Y3 3300000.000000 PA 3565757.620000 0.3137565 Long DBT CORP NL N 2 2026-04-09 Fixed 2.25 N N N N N N YPF SA 5493003N7447U18U5U53 ACI1J9CS9 11380000.000000 PA 133199.080000 0.0117204 Long DBT CORP AR N 2 2021-03-04 Floating 52.9918 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAF9 1600000.000000 PA USD 1613555.860000 0.1419793 Long DBT CORP US N 2 2025-04-01 Fixed 3.55 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-5 N/A 02660KAA0 7284218.860000 PA USD 2965033.270000 0.2608979 Long ABS-MBS CORP US N 2 2046-11-25 Floating 2.88585 N N N N N N N/A N/A 000000000 -7420250.000000 PA USD -7423197.490000 -0.6531787 Short RA US N 2 Reverse repurchase N 1.1000000 2020-04-20 6700000.000000 USD 7708925.800000 USD UST N N N N/A N/A 000000000 1.000000 NC USD -245236.520000 -0.0215787 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -814535.680000 USD 3823142.310000 USD 569299.160000 N N N N/A N/A 000000000 1.000000 NC -30003.640000 -0.0026401 N/A DFE CN N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 2649270.640000 CNY 18588872.400000 CNY 2020-06-17 -30003.640000 N N N N/A N/A 000000000 1.000000 NC 20797.470000 0.0018300 N/A DFE N/A N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 792283.390000 EUR 736000.000000 EUR 2020-05-15 20797.470000 N N N N/A N/A 000000000 1.000000 NC 41926.010000 0.0036891 N/A DFE N/A N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 1299215.520000 EUR 1214000.000000 EUR 2020-05-15 41926.010000 N N N N/A N/A 000000000 1.000000 NC 4817.670000 0.0004239 N/A DFE N/A N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 849138.180000 EUR 773000.000000 EUR 2020-05-15 4817.670000 N N N N/A N/A 000000000 1.000000 NC 3368.410000 0.0002964 N/A DFE N/A N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 992000.000000 EUR 1099260.000000 USD 2020-05-15 3368.410000 N N N N/A N/A 000000000 1.000000 NC 623493.540000 0.0548622 N/A DFE GB N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 13182000.000000 GBP 16996858.940000 USD 2020-04-02 623493.540000 N N N N/A N/A 000000000 1.000000 NC 779477.070000 0.0685874 N/A DFE MX N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 72262000.000000 MXN 3811215.160000 USD 2020-05-05 779477.070000 N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 934NVQII2 1000000.000000 PA USD 973517.110000 0.0856613 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 218050.720000 0.0191866 N/A DFE GB N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 13709619.300000 GBP 11213000.000000 GBP 2020-04-02 218050.720000 N N N N/A N/A 000000000 1.000000 NC -218779.550000 -0.0192508 N/A DFE GB N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 11213000.000000 GBP 13718645.770000 USD 2020-05-04 -218779.550000 N N N N/A N/A 000000000 1.000000 NC -258517.100000 -0.0227473 N/A DFE JP N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1277746000.000000 JPY 11624728.660000 USD 2020-04-02 -258517.100000 N N N N/A N/A 000000000 1.000000 NC -1292874.820000 -0.1137621 N/A DFE BR N 2 BNP Paribas S.A. N/A 7572328.320000 BRL 36526537.880000 BRL 2020-04-02 -1292874.820000 N N N N/A N/A 000000000 1.000000 NC -57100.810000 -0.0050244 N/A DFE CA N 2 BNP Paribas S.A. N/A 1162064.770000 CAD 1555000.000000 CAD 2020-04-02 -57100.810000 N N N N/A N/A 000000000 1.000000 NC -773008.240000 -0.0680182 N/A DFE CA N 2 BNP Paribas S.A. N/A 15235600.870000 CAD 20353000.000000 CAD 2020-04-02 -773008.240000 N N N N/A N/A 000000000 1.000000 NC -858709.870000 -0.0755592 N/A DFE CA N 2 BNP Paribas S.A. N/A 16770190.940000 CAD 22392000.000000 CAD 2020-04-02 -858709.870000 N N N N/A N/A 000000000 1.000000 NC -53685.000000 -0.0047238 N/A DFE CA N 2 BNP Paribas S.A. N/A 1127383.100000 CAD 1511000.000000 CAD 2020-04-02 -53685.000000 N N N N/A N/A 000000000 1.000000 NC -32906.250000 -0.0028955 N/A DFE CA N 2 BNP Paribas S.A. N/A 1084576.130000 CAD 1480000.000000 CAD 2020-04-02 -32906.250000 N N N N/A N/A 000000000 1.000000 NC 360527.160000 0.0317233 N/A DFE CA N 2 BNP Paribas S.A. N/A 15461419.850000 CAD 22266000.000000 CAD 2020-04-02 360527.160000 N N N N/A N/A 000000000 1.000000 NC 46500.650000 0.0040917 N/A DFE CO N 2 BNP Paribas S.A. N/A 1932109.540000 COP 8070228357.580000 COP 2020-05-29 46500.650000 N N N N/A N/A 000000000 1.000000 NC 101636.530000 0.0089432 N/A DFE GB N 2 BNP Paribas S.A. N/A 1550356.790000 GBP 1330000.000000 GBP 2020-04-02 101636.530000 N N N N/A N/A 000000000 1.000000 NC -2595.310000 -0.0002284 N/A DFE MX N 2 BNP Paribas S.A. N/A 14539.150000 MXN 286540.570000 MXN 2020-06-17 -2595.310000 N N N N/A N/A 000000000 1.000000 NC 64752.400000 0.0056977 N/A DFE TW N 2 BNP Paribas S.A. N/A 17519000.000000 TWD 530206403.000000 TWD 2020-04-23 64752.400000 N N N N/A N/A 000000000 1.000000 NC -119959.950000 -0.0105555 N/A DFE TW N 2 BNP Paribas S.A. N/A 18342000.000000 TWD 548917090.000000 TWD 2020-04-30 -119959.950000 N N N N/A N/A 000000000 1.000000 NC -93870.290000 -0.0082598 N/A DFE CA N 2 BNP Paribas S.A. N/A 5946000.000000 CAD 4131284.520000 USD 2020-04-02 -93870.290000 N N N N/A N/A 000000000 1.000000 NC -29035.220000 -0.0025549 N/A DFE N/A N 2 BNP Paribas S.A. N/A 7572328.320000 EUR 36526537.880000 BRL 2020-04-02 -29035.220000 N N N N/A N/A 000000000 1.000000 NC 54138.390000 0.0047637 N/A DFE N/A N 2 BNP Paribas S.A. N/A 1825000.000000 EUR 2070269.600000 USD 2020-05-15 54138.390000 N N N N/A N/A 000000000 1.000000 NC -12094.710000 -0.0010642 N/A DFE GB N 2 BNP Paribas S.A. N/A 680000.000000 GBP 832533.450000 USD 2020-04-02 -12094.710000 N N N N/A N/A 000000000 1.000000 NC 479091.720000 0.0421560 N/A DFE IN N 2 BNP Paribas S.A. N/A 575966469.000000 INR 7969256.650000 USD 2020-06-17 479091.720000 N N N N/A N/A 000000000 1.000000 NC 212841.560000 0.0187283 N/A DFE TW N 2 BNP Paribas S.A. N/A 1062781355.000000 TWD 35754991.080000 USD 2020-06-17 212841.560000 N N N N/A N/A 000000000 1.000000 NC USD -149005.100000 -0.0131112 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.HY.32 N/A N/A Y Single Leg Swap 2024-06-21 199889.360000 USD 0.000000 USD 3104000.000000 USD -348894.460000 N N N N/A N/A 000000000 1.000000 NC USD -11623.170000 -0.0010227 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.33 Y Single Leg Swap 2024-12-21 0.000000 USD -12740.000000 USD 196000.000000 USD 1116.830000 N N N N/A N/A 000000000 1.000000 NC USD -1316.390000 -0.0001158 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.IG.28 N/A N/A Y Single Leg Swap 2022-06-21 12540.090000 USD 0.000000 USD 700000.000000 USD -13856.480000 N N N N/A N/A 000000000 1.000000 NC USD 959.790000 0.0000845 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.IG.31 N/A N/A Y Single Leg Swap 2023-12-21 5383.480000 USD 0.000000 USD 500000.000000 USD -4423.690000 N N N N/A N/A 000000000 1.000000 NC USD 28826.590000 0.0025365 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.IG.32 N/A N/A Y Single Leg Swap 2024-06-21 0.000000 USD -964267.890000 USD 45500000.000000 USD 993094.480000 N N N N/A N/A 000000000 1.000000 NC -53208.510000 -0.0046819 N/A DFE CA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1806939.100000 CAD 2468000.000000 CAD 2020-04-02 -53208.510000 N N N N/A N/A 000000000 1.000000 NC 8106.480000 0.0007133 N/A DFE CA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 4107781.370000 CAD 5790000.000000 CAD 2020-05-04 8106.480000 N N N N/A N/A 000000000 1.000000 NC 34543.060000 0.0030395 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1439829.930000 GBP 1187000.000000 GBP 2020-04-02 34543.060000 N N N N/A N/A 000000000 1.000000 NC 65302.080000 0.0057460 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 963156.920000 GBP 828000.000000 GBP 2020-04-02 65302.080000 N N N N/A N/A 000000000 1.000000 NC -295203.510000 -0.0259754 N/A DFE IN N 2 Citibank NA E57ODZWZ7FF32TWEFA76 5128377.000000 INR 371653481.190000 INR 2020-06-17 -295203.510000 N N N N/A N/A 000000000 1.000000 NC -1232786.040000 -0.1084748 N/A DFE MX N 2 Citibank NA E57ODZWZ7FF32TWEFA76 6717537.640000 MXN 130730000.000000 MXN 2020-05-05 -1232786.040000 N N N N/A N/A 000000000 1.000000 NC -191250.740000 -0.0168284 N/A DFE MX N 2 Citibank NA E57ODZWZ7FF32TWEFA76 4440613.110000 MXN 100964000.000000 MXN 2020-04-13 -191250.740000 N N N N/A N/A 000000000 1.000000 NC 2732.910000 0.0002405 N/A DFE RU N 2 Citibank NA E57ODZWZ7FF32TWEFA76 248551.730000 RUB 19829457.000000 RUB 2020-06-09 2732.910000 N N N N/A N/A 000000000 1.000000 NC 4082.520000 0.0003592 N/A DFE AU N 2 Citibank NA E57ODZWZ7FF32TWEFA76 106000.000000 AUD 69283.120000 USD 2020-04-02 4082.520000 N N N N/A N/A 000000000 1.000000 NC -7920.140000 -0.0006969 N/A DFE CA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 5790000.000000 CAD 4106382.980000 USD 2020-04-02 -7920.140000 N N N N/A N/A 000000000 1.000000 NC -9420.030000 -0.0008289 N/A DFE CA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2145000.000000 CAD 1514790.710000 USD 2020-04-02 -9420.030000 N N N N/A N/A 000000000 1.000000 NC 370420.140000 0.0325938 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 7905723584.380000 COP 2313983.190000 USD 2020-04-24 370420.140000 N N N N/A N/A 000000000 1.000000 NC -52585.160000 -0.0046270 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 675000.000000 GBP 785832.500000 USD 2020-04-02 -52585.160000 N N N N/A N/A 000000000 1.000000 NC 435.450000 0.0000383 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 57900000.000000 JPY 538914.870000 USD 2020-04-02 435.450000 N N N N/A N/A 000000000 1.000000 NC -116025.660000 -0.0102093 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 4659300000.000000 JPY 43216222.650000 USD 2020-04-02 -116025.660000 N N N N/A N/A 000000000 1.000000 NC -19980.810000 -0.0017581 N/A DFE BR N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 1471446.010000 BRL 7558097.140000 BRL 2020-05-05 -19980.810000 N N N N/A N/A 000000000 1.000000 NC 18742.130000 0.0016491 N/A DFE BR N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 7558097.140000 BRL 1473313.280000 USD 2020-04-02 18742.130000 N N N N/A 529900AQBND3S6YJLY83 000000000 103.000000 NC -87403.540000 -0.0076908 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-06-08 19596901.290000 EUR -87403.540000 N N N N/A 529900AQBND3S6YJLY83 000000000 372.000000 NC 40818.620000 0.0035917 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 40818.620000 N N N N/A N/A 000000000 1.000000 NC -147329.710000 -0.0129638 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6846329.640000 BRL 36526537.880000 BRL 2020-05-05 -147329.710000 N N N N/A N/A 000000000 1.000000 NC 239528.730000 0.0210765 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 36526537.880000 EUR 6863310.390000 EUR 2020-04-02 239528.730000 N N N N/A N/A 000000000 1.000000 NC 100203.060000 0.0088170 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 15468748.790000 EUR 14093000.000000 EUR 2020-05-15 100203.060000 N N N N/A N/A 000000000 1.000000 NC -179719.640000 -0.0158138 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3150623.000000 INR 228451673.730000 INR 2020-06-17 -179719.640000 N N N N/A N/A 000000000 1.000000 NC -1708510.750000 -0.1503345 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8089460.620000 RUB 500752360.400000 RUB 2020-04-15 -1708510.750000 N N N N/A N/A 000000000 1.000000 NC 1554.000000 0.0001367 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 270807.440000 RUB 21409758.000000 RUB 2020-05-20 1554.000000 N N N N/A N/A 000000000 1.000000 NC -246773.040000 -0.0217139 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3841941.840000 ZAR 64341000.000000 ZAR 2020-04-06 -246773.040000 N N N N/A N/A 000000000 1.000000 NC 300405.860000 0.0264332 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 36526537.880000 BRL 6863310.390000 EUR 2020-04-02 300405.860000 N N N N/A N/A 000000000 1.000000 NC 1056595.380000 0.0929715 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 33720187.710000 BRL 7546114.000000 USD 2020-04-02 1056595.380000 N N N N/A N/A 000000000 1.000000 NC 1350292.680000 0.1188143 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 44076403.140000 BRL 9832886.000000 USD 2020-04-02 1350292.680000 N N N N/A N/A 000000000 1.000000 NC -398490.540000 -0.0350638 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6846329.640000 EUR 36526537.880000 BRL 2020-05-05 -398490.540000 N N N N/A N/A 000000000 1.000000 NC -922.730000 -0.0000812 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9510500000.000000 IDR 575000.000000 USD 2020-06-17 -922.730000 N N N N/A N/A 000000000 1.000000 NC -552.770000 -0.0000486 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 21409758.000000 RUB 272265.900000 USD 2020-04-15 -552.770000 N N N N/A N/A 000000000 1.000000 NC -344.460000 -0.0000303 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 77000.000000 SGD 53892.540000 USD 2020-06-17 -344.460000 N N N N/A N/A 000000000 1.000000 NC -419416.090000 -0.0369051 N/A DFE CN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 31291790.710000 CNY 219161443.790000 CNY 2020-06-17 -419416.090000 N N N N/A N/A 000000000 1.000000 NC 3252.420000 0.0002862 N/A DFE N/A N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 755696.700000 EUR 687000.000000 EUR 2020-05-15 3252.420000 N N N N/A N/A 000000000 1.000000 NC -53972.800000 -0.0047492 N/A DFE BR N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 1520000.000000 BRL 234332.850000 USD 2021-01-05 -53972.800000 N N N N/A N/A 000000000 1.000000 NC 218182.830000 0.0191982 N/A DFE CN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 113658000.000000 CNY 16228719.600000 USD 2020-06-17 218182.830000 N N N N/A N/A 000000000 1.000000 NC 38311.760000 0.0033711 N/A DFE N/A N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 1785000.000000 EUR 2010253.790000 USD 2020-05-15 38311.760000 N N N N/A N/A 000000000 1.000000 NC 18618.340000 0.0016383 N/A DFE N/A N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 1251000.000000 EUR 1400634.860000 USD 2020-05-15 18618.340000 N N N N/A N/A 000000000 1.000000 NC -36135.530000 -0.0031796 N/A DFE N/A N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 1818000.000000 EUR 1972262.570000 USD 2020-05-15 -36135.530000 N N N N/A N/A 000000000 1.000000 NC -44666.560000 -0.0039303 N/A DFE GB N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 701000.000000 GBP 826045.710000 USD 2020-04-02 -44666.560000 N N N N/A N/A 000000000 1.000000 NC -64214.300000 -0.0056503 N/A DFE GB N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 12892000.000000 GBP 15960158.060000 USD 2020-05-04 -64214.300000 N N N N/A N/A 000000000 1.000000 NC -333.370000 -0.0000293 N/A DFE HK N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 1232568.000000 HKD 158605.120000 USD 2020-06-17 -333.370000 N N N N/A MLU0ZO3ML4LN2LL2TL39 000000000 1.000000 NC 13970.760000 0.0012293 N/A DCR GB N 2 Bank of America, N.A. 9DJT3UXIJIZJI4WXO774 HSBC HOLDINGS PLC HSBC HOLDINGS PLC SUBORD EMTN Y Single Leg Swap 2024-12-21 0.000000 EUR -2045.310000 EUR 300000.000000 EUR 16016.070000 N N N N/A MLU0ZO3ML4LN2LL2TL39 000000000 1.000000 NC 37255.280000 0.0032781 N/A DCR GB N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 HSBC HOLDINGS PLC HSBC HOLDINGS PLC SUBORD EMTN Y Single Leg Swap 2024-12-21 0.000000 EUR -5682.330000 EUR 800000.000000 EUR 42937.610000 N N N N/A N/A 000000000 -1400000.000000 NC -8909.530000 -0.0007840 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 -7818.990000 N N N N/A N/A 000000000 1.000000 NC 56691.290000 0.0049884 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 32 Y Single Leg Swap 2024-12-21 254033.470000 EUR 0.000000 EUR 21400000.000000 EUR -197342.180000 N N N N/A N/A 000000000 1.000000 NC -208282.840000 -0.0183271 N/A DFE ZA N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 2962114.750000 ZAR 49284000.000000 ZAR 2020-04-06 -208282.840000 N N N N/A N/A 000000000 1.000000 NC -22828.070000 -0.0020087 N/A DFE CN N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 124532061.350000 CNY 17519493.170000 USD 2020-06-17 -22828.070000 N N N N/A N/A 000000000 1.000000 NC -1309539.950000 -0.1152285 N/A DFE ID N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 8227159.170000 IDR 114234105056.000000 IDR 2020-06-17 -1309539.950000 N N N 2020-05-04 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer