NPORT-P false 0000810893 XXXXXXXX S000023224 C000067747 C000067744 C000067743 C000067746 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Global Core Asset Allocation Fund S000023224 YB8LA59EIUIEOFQSLY54 2021-03-31 2020-06-30 N 373645292.700000 68155590.120000 305489702.580000 0.000000 20064194.790000 1832916.640000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 23332718.750000 USD AUD ARS CHF CNY DKK EUR GBP HKD JPY KRW MXN SEK CAD N N/A N/A 000000000 1.000000 NC -36.700000 -0.0000120 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6987.000000 PLN 27491.400000 PLN 2020-09-10 -36.700000 N N N N/A N/A 000000000 1.000000 NC 2180.130000 0.0007137 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 985800.870000 DKK 6552784.000000 DKK 2020-07-01 2180.130000 N N N N/A N/A 000000000 1.000000 NC -4896.160000 -0.0016027 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1136148.030000 DKK 7503028.000000 DKK 2020-07-01 -4896.160000 N N N N/A N/A 000000000 1.000000 NC 389.500000 0.0001275 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1359162.100000 DKK 9017226.000000 DKK 2020-07-01 389.500000 N N N N/A N/A 000000000 1.000000 NC -60273.900000 -0.0197303 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6464915.930000 JPY 691257903.000000 JPY 2020-08-04 -60273.900000 N N N N/A N/A 000000000 1.000000 NC -1993.660000 -0.0006526 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6552784.000000 DKK 987950.260000 USD 2020-10-01 -1993.660000 N N N N/A N/A 000000000 1.000000 NC 5035.760000 0.0016484 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 7503028.000000 DKK 1138535.200000 USD 2020-10-01 5035.760000 N N N N/A N/A 000000000 1.000000 NC -286.930000 -0.0000939 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 9017226.000000 DKK 1361965.830000 USD 2020-10-01 -286.930000 N N N N/A N/A 000000000 1.000000 NC 2255.040000 0.0007382 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 7905878.000000 DKK 1196613.940000 USD 2020-10-01 2255.040000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI17Y2N9 3890000.000000 PA 57563.050000 0.0188429 Long DBT NUSS AR N 2 2020-10-29 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 60147.970000 0.0196890 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 691257903.000000 JPY 6462166.060000 USD 2020-07-02 60147.970000 N N N N/A N/A 000000000 444.000000 NC USD 256977.310000 0.0841198 N/A DE US N 1 New York Futures Exchange N/A Long MSCI EMERGING MARKETS INDEX N/A N/A 2020-09-18 21882540.000000 USD 256977.310000 N N N N/A N/A 000000000 47.000000 NC USD 329354.210000 0.1078119 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long NASDAQ 100 STOCK INDEX N/A N/A 2020-09-18 9538415.000000 USD 329354.210000 N N N N/A N/A 000000000 -2.000000 NC USD -568.160000 -0.0001860 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Henry 2020-08-27 -35780.000000 USD -568.160000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1LPSS3 3028000.000000 PA 29915.720000 0.0097927 Long DBT NUSS AR N 2 2021-04-17 Fixed 1.1 N N N N N N N/A N/A 000000000 1.000000 NC 74.210000 0.0000243 N/A DFE AU N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 373269.980000 AUD 541000.000000 AUD 2020-07-02 74.210000 N N N N/A N/A 000000000 1.000000 NC -21759.400000 -0.0071228 N/A DFE ZA N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 770000.000000 ZAR 12992567.280000 ZAR 2020-07-08 -21759.400000 N N N N/A N/A 000000000 1.000000 NC -2841.990000 -0.0009303 N/A DFE SE N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 2001940.590000 SEK 212000.000000 USD 2020-07-02 -2841.990000 N N N N/A N/A 000000000 1.000000 NC 5904.250000 0.0019327 N/A DFE ZA N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 10454885.280000 ZAR 608000.000000 USD 2020-07-08 5904.250000 N N N N/A N/A 000000000 9.000000 NC -23756.600000 -0.0077766 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long NIKKEI 225 STOCK AVERAGE INDEX N/A N/A 2020-09-10 928756.660000 JPY -23756.600000 N N N N/A N/A 000000000 -1.000000 NC -663.810000 -0.0002173 N/A DE SE N 1 OMX NORDIC EXCHANGE STOCKHOLM AB N/A Short N/A OMX STOCKHOLM 30 INDEX 2020-07-17 -17881.670000 SEK -663.810000 N N N N/A N/A 000000000 -1.000000 NC USD -344.910000 -0.0001129 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Platinum 2020-10-28 -42560.000000 USD -344.910000 N N N N/A N/A 000000000 -2.000000 NC USD -5850.000000 -0.0019150 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Short N/A Aluminum 2020-11-16 -81650.000000 USD -5850.000000 N N N N/A N/A 000000000 1.000000 NC USD 575.000000 0.0001882 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Long N/A Aluminum 2020-09-14 40400.000000 USD 575.000000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1JWNB3 1961566.370000 PA 18264.040000 0.0059786 Long DBT NUSS AR N 2 2021-08-05 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC -23666.760000 -0.0077472 N/A DFE ID N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 646000.000000 IDR 9171113420.000000 IDR 2020-09-16 -23666.760000 N N N N/A N/A 000000000 754.000000 NC USD 869998.070000 0.2847880 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long S&P 500 INDEX N/A N/A 2020-09-18 116500540.000000 USD 869998.070000 N N N N/A N/A 000000000 31.000000 NC -2037.520000 -0.0006670 N/A DE AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Long S&P/ASX 200 INDEX N/A N/A 2020-09-17 3151204.400000 AUD -2037.520000 N N N N/A N/A 000000000 -15.000000 NC 36175.240000 0.0118417 N/A DE CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL N/A Short S&P/TSX 60 INDEX N/A N/A 2020-09-17 -2051782.560000 CAD 36175.240000 N N N N/A N/A 000000000 -1.000000 NC USD -282.490000 -0.0000925 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A Silver 2020-09-28 -93185.000000 USD -282.490000 N N N N/A N/A 000000000 1.000000 NC 1007.240000 0.0003297 N/A DFE DK N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1253170.670000 DKK 8318335.000000 DKK 2020-07-01 1007.240000 N N N N/A N/A 000000000 1.000000 NC 8370.310000 0.0027400 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 909528.840000 EUR 817000.000000 EUR 2020-07-02 8370.310000 N N N N/A N/A 000000000 1.000000 NC -913.360000 -0.0002990 N/A DFE DK N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 8318335.000000 DKK 1255756.350000 USD 2020-10-01 -913.360000 N N N N/A N/A 000000000 1.000000 NC 46653.600000 0.0152717 N/A DFE ID N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 38482524000.000000 IDR 2658000.000000 USD 2020-09-16 46653.600000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1KSVQ8 760222.000000 PA 8269.490000 0.0027070 Long DBT NUSS AR N 2 2020-07-31 Floating 23.7905 N N N N N N N/A N/A 000000000 1.000000 NC USD 347.530000 0.0001138 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Soybeans 2020-11-13 44112.500000 USD 347.530000 N N N N/A N/A 000000000 -6.000000 NC USD -514.680000 -0.0001685 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Soybean Oil 2020-12-14 -103716.000000 USD -514.680000 N N N N/A N/A 000000000 1.000000 NC -3525.580000 -0.0011541 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 468448.020000 JPY 50200000.000000 JPY 2020-07-02 -3525.580000 N N N N/A N/A 000000000 1.000000 NC -495.980000 -0.0001624 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 736137.900000 NZD 1140000.000000 NZD 2020-07-02 -495.980000 N N N N/A N/A 000000000 1.000000 NC 5078.630000 0.0016625 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 548900.000000 KRW 664267802.000000 KRW 2020-09-16 5078.630000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1JDTT0 5425000.000000 PA 59011.700000 0.0193171 Long DBT NUSS AR N 2 2020-08-28 Floating 30.3128 N N N N N N N/A N/A 000000000 1.000000 NC 15405.600000 0.0050429 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2289000.000000 TWD 67067700.000000 TWD 2020-09-16 15405.600000 N N N N/A N/A 000000000 1.000000 NC 20460.110000 0.0066975 N/A DFE CL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 315493484.000000 CLP 404743.470000 USD 2020-07-27 20460.110000 N N N N/A N/A 000000000 1.000000 NC -24.430000 -0.0000080 N/A DFE TR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 24162.760000 TRY 3483.000000 USD 2020-07-24 -24.430000 N N N N/A N/A 000000000 1.000000 NC -618.950000 -0.0002026 N/A DFE DK N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 123000.000000 DKK 811692.310000 DKK 2020-07-01 -618.950000 N N N N/A N/A 000000000 1.000000 NC 551.060000 0.0001804 N/A DFE HK N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 862000.000000 HKD 6688136.290000 HKD 2020-09-16 551.060000 N N N N/A N/A 000000000 1.000000 NC -1582.830000 -0.0005181 N/A DFE NZ N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 215177.110000 NZD 331000.000000 NZD 2020-07-02 -1582.830000 N N N N/A N/A 000000000 1.000000 NC -3830.020000 -0.0012537 N/A DFE SE N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 277000.000000 SEK 2545452.530000 SEK 2020-07-02 -3830.020000 N N N N/A N/A 000000000 1.000000 NC 25896.410000 0.0084770 N/A DFE ZA N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 417000.000000 ZAR 7690522.920000 ZAR 2020-07-08 25896.410000 N N N N/A N/A 000000000 1.000000 NC 88172.670000 0.0288627 N/A DFE GB N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 4121000.000000 GBP 5194506.080000 USD 2020-07-02 88172.670000 N N N N/A N/A 000000000 1.000000 NC -24.790000 -0.0000081 N/A DFE HK N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 822105.790000 HKD 106000.000000 USD 2020-09-16 -24.790000 N N N N/A N/A 000000000 1.000000 NC 3409.670000 0.0011161 N/A DFE JP N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 81368916.000000 JPY 757000.000000 USD 2020-07-02 3409.670000 N N N N/A N/A 000000000 1.000000 NC -3109.300000 -0.0010178 N/A DFE KR N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 2108123550.000000 KRW 1755000.000000 USD 2020-09-16 -3109.300000 N N N N/A N/A 000000000 1247.000000 NC 147478.420000 0.0482761 N/A DE DE N 1 Eurex N/A Long N/A STOXX EUROPE 600 PRICE INDEX EUR 2020-09-18 25141016.050000 EUR 147478.420000 N N N N/A N/A 000000000 2.000000 NC USD -304.400000 -0.0000996 N/A DCO US N 1 New York Board of Trade 5493000F4ZO33MV32P92 Long N/A Raw Sugar 2021-02-26 28134.400000 USD -304.400000 N N N N/A N/A 000000000 3.000000 NC USD 491.070000 0.0001607 N/A DCO US N 1 New York Board of Trade 5493000F4ZO33MV32P92 Long N/A Raw Sugar 2020-09-30 40185.600000 USD 491.070000 N N N N/A N/A 000000000 124100000.000000 NC USD 943.160000 0.0003087 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 5.50000 08/26/21-10Y CME N/A N/A 2031-08-26 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2021-08-24 XXXX -4912252.150000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1MD5R6 1617000.000000 PA 16084.870000 0.0052653 Long DBT NUSS AR N 2 2020-10-13 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD -159.920000 -0.0000523 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A LIVE CATTLE FUTR AUG20 Y Single Leg Swap 2020-08-07 0.000000 USD 0.000000 USD 80000.000000 USD -159.920000 N N N N/A N/A 000000000 1.000000 NC USD -439.840000 -0.0001440 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A LIVE CATTLE FUTR AUG20 Y Single Leg Swap 2020-08-07 0.000000 USD 0.000000 USD 80000.000000 USD -439.840000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 4288000.000000 PA 36989.730000 0.0121083 Long DBT NUSS AR N 2 2022-04-03 Floating 26.415 N N N N N N N/A N/A 000000000 1.000000 NC USD 5441.830000 0.0017813 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP JMABDEWE JPM JMABDEWE Y Single Leg Swap 2021-02-16 0.000000 USD 0.000000 USD 1048981.810000 USD 5441.830000 N N N N/A N/A 000000000 1.000000 NC USD -1038.690000 -0.0003400 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A JMC10FNX Y Single Leg Swap 2020-07-15 0.000000 USD 0.000000 USD 79769.060000 USD -1038.690000 N N N N/A N/A 000000000 1.000000 NC USD 479.600000 0.0001570 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A JMC1TZTX Y Single Leg Swap 2020-07-15 0.000000 USD 0.000000 USD 30996.680000 USD 479.600000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0QD081 1490000.000000 PA 5885.170000 0.0019265 Long DBT NUSS AR N 2 2026-10-17 Fixed 15.5 N N N N N N N/A N/A 000000000 1.000000 NC -68427.270000 -0.0223992 N/A DIR CA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2024-12-05 0.000000 CAD -62703.610000 CAD 2900000.000000 CAD -5723.660000 N N N N/A N/A 000000000 1.000000 NC -976349.560000 -0.3196015 N/A DIR CA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2029-12-05 0.000000 CAD -565422.950000 CAD 27300000.000000 CAD -410926.610000 N N N N/A N/A 000000000 1.000000 NC 302565.460000 0.0990428 N/A DIR CA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2021-12-06 291877.340000 CAD 0.000000 CAD 28200000.000000 CAD 10688.120000 N N N N/A N/A 000000000 1.000000 NC 974350.030000 0.3189469 N/A DIR CA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2049-12-06 813966.810000 CAD 0.000000 CAD 8200000.000000 CAD 160383.220000 N N N N/A N/A 000000000 1.000000 NC -301356.100000 -0.0986469 N/A DIR CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2025-04-23 0.000000 CNY 0.000000 CNY 85000000.000000 CNY -301356.100000 N N N N/A N/A 000000000 1.000000 NC -213945.140000 -0.0700335 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2029-12-05 0.000000 EUR -626775.770000 EUR 27500000.000000 EUR 412830.630000 N N N N/A N/A 000000000 1.000000 NC 259125.910000 0.0848231 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2024-12-05 243431.830000 EUR 0.000000 EUR 21600000.000000 EUR 15694.080000 N N N N/A N/A 000000000 1.000000 NC 106063.550000 0.0347192 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2021-12-06 76313.920000 EUR 0.000000 EUR 13600000.000000 EUR 29749.630000 N N N N/A N/A 000000000 1.000000 NC -118992.960000 -0.0389515 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2049-12-06 85269.690000 EUR 0.000000 EUR 4900000.000000 EUR -204262.650000 N N N N/A N/A 000000000 1.000000 NC -725678.460000 -0.2375460 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2024-12-05 0.000000 GBP -254067.640000 GBP 47000000.000000 GBP -471610.820000 N N N N/A N/A 000000000 1.000000 NC -27764.940000 -0.0090887 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2029-12-05 0.000000 GBP -16800.910000 GBP 1300000.000000 GBP -10964.030000 N N N N/A N/A 000000000 1.000000 NC 296694.970000 0.0971211 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2021-12-06 159258.600000 GBP 0.000000 GBP 50000000.000000 GBP 137436.370000 N N N N/A N/A 000000000 1.000000 NC 259138.150000 0.0848271 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2049-12-06 0.000000 GBP -521924.230000 GBP 5100000.000000 GBP 781062.380000 N N N N/A N/A 000000000 1.000000 NC 969291.000000 0.3172909 N/A DIR JP N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2044-12-20 77857.610000 JPY 0.000000 JPY 353000000.000000 JPY 891433.390000 N N N N/A N/A 000000000 1.000000 NC 3.840000 0.0000013 N/A DIR KR N 2 Citibank International Limited N/A SOUTH KOREAN WON 3 MONTH N/A N/A Y 2029-07-02 0.000000 KRW 0.000000 KRW 100000.000000 KRW 3.840000 N N N N/A N/A 000000000 1.000000 NC -11716.000000 -0.0038352 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2025-05-05 149.490000 MXN 0.000000 MXN 28500000.000000 MXN -11865.490000 N N N N/A N/A 000000000 1.000000 NC -89434.030000 -0.0292756 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2025-05-08 0.000000 MXN 0.000000 MXN 138500000.000000 MXN -89434.030000 N N N N/A N/A 000000000 1.000000 NC -57028.490000 -0.0186679 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2025-05-21 0.000000 MXN 0.000000 MXN 76100000.000000 MXN -57028.490000 N N N N/A N/A 000000000 1.000000 NC -6485.490000 -0.0021230 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2025-04-28 0.000000 MXN 0.000000 MXN 4800000.000000 MXN -6485.490000 N N N N/A N/A 000000000 1.000000 NC -13404.560000 -0.0043879 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2025-04-29 0.000000 MXN 0.000000 MXN 9900000.000000 MXN -13404.560000 N N N N/A N/A 000000000 1.000000 NC -38227.110000 -0.0125134 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2025-04-24 0.000000 MXN 0.000000 MXN 27900000.000000 MXN -38227.110000 N N N N/A N/A 000000000 1.000000 NC -7768.290000 -0.0025429 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2025-04-23 0.000000 MXN 0.000000 MXN 5000000.000000 MXN -7768.290000 N N N N/A N/A 000000000 1.000000 NC 506201.100000 0.1657015 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2024-12-31 0.000000 MXN 0.000000 MXN 154000000.000000 MXN 506201.100000 N N N N/A N/A 000000000 1.000000 NC 513287.750000 0.1680213 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2025-01-02 0.000000 MXN 0.000000 MXN 152000000.000000 MXN 513287.750000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 P0761DAQ6 2192930.000000 PA 28422.360000 0.0093039 Long DBT NUSS AR N 2 2022-10-04 Floating 30.0219 N N N N N N N/A N/A 000000000 1.000000 NC USD -140391.070000 -0.0459561 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-05 0.000000 USD -127383.140000 USD 3400000.000000 USD -13007.930000 N N N N/A N/A 000000000 1.000000 NC USD -189713.290000 -0.0621014 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-17 69335.090000 USD 0.000000 USD 4100000.000000 USD -259048.380000 N N N N/A N/A 000000000 1.000000 NC USD -1124330.330000 -0.3680420 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2029-12-05 0.000000 USD -1096768.340000 USD 17100000.000000 USD -27561.990000 N N N N/A N/A 000000000 1.000000 NC USD 1480747.070000 0.4847126 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2021-12-06 1397193.350000 USD 0.000000 USD 91400000.000000 USD 83553.720000 N N N N/A N/A 000000000 1.000000 NC USD 233464.850000 0.0764231 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2049-12-06 275432.990000 USD 0.000000 USD 1500000.000000 USD -41968.140000 N N N N/A N/A 000000000 1.000000 NC -211.070000 -0.0000691 N/A DE CH N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 SWISS MARKET INDEX N/A N/A Y Single Leg Swap 2020-09-18 0.000000 CHF 0.000000 CHF 99880.020000 CHF -211.070000 N N N N/A N/A 000000000 99.000000 NC -552486.690000 -0.1808528 N/A DE JP N 1 OSAKA SECURITIES EXCHANGE N/A Long TOKYO STOCK EXCHANGE TOKYO PRICE INDEX TOPIX N/A N/A 2020-09-10 14289557.770000 JPY -552486.690000 N N N N/A N/A 000000000 1.000000 NC 8447.670000 0.0027653 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1593819.770000 CAD 2175046.000000 CAD 2020-08-04 8447.670000 N N N N/A N/A 000000000 1.000000 NC -60963.790000 -0.0199561 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 20436400.470000 JPY 2200037776.000000 JPY 2020-07-02 -60963.790000 N N N N/A N/A 000000000 1.000000 NC -39380.950000 -0.0128911 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 4185690.930000 JPY 447514401.000000 JPY 2020-08-04 -39380.950000 N N N N/A N/A 000000000 1.000000 NC -84976.750000 -0.0278166 N/A DFE PE N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 4649000.000000 PEN 16170151.800000 PEN 2020-07-24 -84976.750000 N N N N/A N/A 000000000 1.000000 NC -8452.010000 -0.0027667 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 2175046.000000 CAD 1593673.800000 USD 2020-07-02 -8452.010000 N N N N/A N/A 000000000 1.000000 NC 39330.410000 0.0128745 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 447514401.000000 JPY 4183941.670000 USD 2020-07-02 39330.410000 N N N N/A N/A 000000000 1.000000 NC -15811.640000 -0.0051758 N/A DFE NZ N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 635000.000000 NZD 393953.810000 USD 2020-07-02 -15811.640000 N N N N/A N/A 000000000 1.000000 NC -76785.890000 -0.0251353 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 7880000.000000 CAD 10593643.480000 CAD 2020-07-02 -76785.890000 N N N N/A N/A 000000000 1.000000 NC -26963.700000 -0.0088264 N/A DFE GB N 2 UBS AG BFM8T61CT2L1QCEMIK50 1231369.450000 GBP 972000.000000 GBP 2020-07-02 -26963.700000 N N N N/A N/A 000000000 1.000000 NC -44859.070000 -0.0146843 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 4494836.660000 JPY 480289478.000000 JPY 2020-08-04 -44859.070000 N N N N/A N/A 000000000 1.000000 NC 12956.830000 0.0042413 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 2121000.000000 AUD 1476659.290000 USD 2020-07-02 12956.830000 N N N N/A N/A 000000000 1.000000 NC 44769.040000 0.0146548 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 480289478.000000 JPY 4492923.500000 USD 2020-07-02 44769.040000 N N N N/A N/A 000000000 1.000000 NC USD 3318.750000 0.0010864 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Long N/A Lead 2020-11-16 44475.000000 USD 3318.750000 N N N N/A N/A 000000000 1.000000 NC USD 4528.500000 0.0014824 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Long N/A Nickel 2020-11-16 77014.500000 USD 4528.500000 N N N N/A N/A 000000000 1.000000 NC USD 3016.250000 0.0009873 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Long N/A Zinc 2020-11-16 51306.250000 USD 3016.250000 N N N N/A N/A 000000000 -1.000000 NC USD -606.250000 -0.0001985 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Short N/A Zinc 2020-09-14 -51150.000000 USD -606.250000 N N N N/A N/A 000000000 11.000000 NC 4387.770000 0.0014363 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A UNITED KINGDOM GOVT 2020-09-28 1876047.810000 GBP 4387.770000 N N N N/A N/A 000000000 9400000.000000 NC USD 40880.600000 0.0133820 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2020-12-11 N/A 29.900000 USD 2020-12-11 XXXX -22409.600000 N N N N/A N/A 000000000 15300000.000000 NC USD 41126.400000 0.0134625 N/A DFE FR N 2 BNP Paribas S.A. N/A Call Purchased None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2020-09-17 N/A 79.000000 USD 2020-09-17 XXXX -53733.600000 N N N N/A N/A 000000000 428.000000 NC USD 128811.860000 0.0421657 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-09-21 59565562.500000 USD 128811.860000 N N N N/A N/A 000000000 -134.000000 NC USD -3308.460000 -0.0010830 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-09-30 -29590968.880000 USD -3308.460000 N N N N/A N/A 000000000 -344.000000 NC USD -117030.470000 -0.0383091 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-09-30 -43255312.670000 USD -117030.470000 N N N N/A N/A 000000000 19.000000 NC USD -2398.750000 -0.0007852 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-09-21 3392687.500000 USD -2398.750000 N N N N/A N/A 000000000 -2.000000 NC USD 951.940000 0.0003116 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Wheat 2020-12-14 -49900.000000 USD 951.940000 N N N N/A N/A 000000000 4.000000 NC USD -2092.880000 -0.0006851 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Wheat 2020-09-14 98350.000000 USD -2092.880000 N N N AT&T INC 549300Z40J86GGSTL398 00206RFZ0 700000.000000 PA USD 703609.890000 0.2303220 Long DBT CORP US N 2 2021-06-01 Floating 1.1 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RDV1 1100000.000000 PA USD 1109136.340000 0.3630683 Long DBT CORP US N 2 2021-07-15 Floating 2.16888 N N N N N N AURIUM CLO II DAC 2A N/A ACI13K0X3 500000.000000 PA 555131.360000 0.1817185 Long ABS-CBDO CORP IE N 2 2029-10-13 Floating 0.68 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAT2 800000.000000 PA USD 800076.090000 0.2618995 Long DBT CORP US N 2 2020-08-14 Floating 1.014 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-5 N/A 07384MWN8 55105.950000 PA USD 53397.780000 0.0174794 Long ABS-MBS CORP US N 2 2033-08-25 Floating 3.83269 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-2 N/A 07388DAS7 105201.590000 PA USD 98262.040000 0.0321654 Long ABS-MBS CORP US N 2 2036-07-25 Floating 3.4539 Y N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AGE9 68970.240000 PA USD 66483.130000 0.0217628 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.76559 Y N N N N N BROADCOM CORP / BROADCOM CAYMAN FINANCE LTD N/A 11134LAM1 200000.000000 PA USD 207615.530000 0.0679615 Long DBT CORP US N 2 2023-01-15 Fixed 2.65 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAM3 521000.000000 PA USD 559995.850000 0.1833109 Long DBT CORP US N 2 2026-09-15 Fixed 3.459 N N N N N N CAESARS RESORT COLLECTION LLC / CRC FINCO INC N/A 12770RAA1 100000.000000 PA USD 100750.000000 0.0329798 Long DBT CORP US N 2 2025-07-01 Fixed 5.75 N N N N N N CIFC FUNDING LTD 2015-5A N/A 12547UAL2 560000.000000 PA USD 552236.010000 0.1807707 Long ABS-CBDO CORP KY N 2 2027-10-25 Floating 1.85138 N N N N N N ALEXANDRIA REAL ESTATE EQUITIES INC MGCJBT4MKTQBVLNUIS88 015271109 14842.000000 NS USD 2408114.500000 0.7882801 Long EC CORP US N 1 N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAA0 1355051.900000 PA USD 1354208.920000 0.4432912 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.5345 N N N N N N DUKE REALTY CORPORATION N/A 264411505 66754.000000 NS USD 2362424.060000 0.7733236 Long EC CORP US N 1 N N N CITY OF BUENOS AIRES 5299007MC8RF52X0ON96 ACI0SB547 2500000.000000 PA 24748.030000 0.0081011 Long DBT MUN AR N 2 2022-01-23 Floating 36.9462 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444U700 5346.000000 NS USD 3754495.800000 1.2290090 Long EC CORP US N 1 N N N EQUITY LIFESTYLE PROPERTIES INC 529900PEQG66LENB6798 29472R108 22718.000000 NS USD 1419420.640000 0.4646378 Long EC CORP US N 1 N N N EQUITY RESIDENTIAL 5493008RACSH5EP3PI59 29476L107 29909.000000 NS USD 1759247.380000 0.5758778 Long EC CORP US N 1 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDE0 153585.940000 PA USD 137687.630000 0.0450711 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.50382 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-21 N/A 12667LAA0 59318.930000 PA USD 55584.770000 0.0181953 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.3245 N N N N N N FIRST INDUSTRIAL REALTY TRUST INC N/A 32054K103 37534.000000 NS USD 1442806.960000 0.4722932 Long EC CORP US N 1 N N N COUNTRYWIDE ASSET-BACKED CERTI 2006-19 N/A 12667CAD4 600000.000000 PA USD 532874.880000 0.1744330 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.4345 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 63303.850000 PA USD 59075.040000 0.0193378 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.8245 N N N N N N COUNTRYWIDE HOME LOANS 2006-6 N/A 126694K64 250077.620000 PA USD 191971.660000 0.0628406 Long ABS-MBS CORP US N 2 2036-04-25 Fixed 6 N N N N N N COUNTRYWIDE HOME LOANS 2006-HYB5 N/A 170256AD3 84632.100000 PA USD 76573.760000 0.0250659 Long ABS-MBS CORP US N 2 2036-09-20 Floating 3.66377 Y N N N N N GAMING AND LEISURE PROPERTIES INC 5493006GWRDBCZYWTM57 36467J108 35148.000000 NS USD 1216120.800000 0.3980890 Long EC CORP US N 1 N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AH4 900000.000000 PA USD 956424.010000 0.3130790 Long DBT CORP GG N 2 2022-09-15 Fixed 3.8 N N N N N N GRANDVISION 724500XWZPQ81SF9S591 BV9FWX902 49701.000000 NS 1415519.970000 0.4633609 Long EC CORP NL N 1 N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BX6 2800000.000000 PA USD 2874463.480000 0.9409363 Long DBT CORP DE N 2 2021-10-14 Fixed 4.25 N N N N N N DOMINION ENERGY GAS HOLDINGS LLC 549300BFOD6TDMVV4O24 257375AM7 200000.000000 PA USD 199732.290000 0.0653810 Long DBT CORP US N 2 2021-06-15 Floating 0.91338 N N N N N N EBAY INC OML71K8X303XQONU6T67 278642AS2 400000.000000 PA USD 418376.570000 0.1369528 Long DBT CORP US N 2 2023-01-30 Fixed 2.75 N N N N N N EGCLO 2018-1A N/A 29915RAA1 694067.590000 PA USD 684994.970000 0.2242285 Long ABS-CBDO CORP KY N 2 2028-05-28 Floating 1.29125 N N N N N N ELDORADO RESORTS INC 5299000BKFWWVND5L441 28470RAH5 200000.000000 PA USD 198940.000000 0.0651217 Long DBT CORP US N 2 2025-07-01 Fixed 6.25 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027X100 10202.000000 NS USD 2637625.080000 0.8634088 Long EC CORP US N 1 N N N INVITATION HOMES INC N/A 46187W107 78922.000000 NS USD 2172722.660000 0.7112262 Long EC CORP US N 1 N N N FIRST FRANKLIN MTG LOAN 2005-FF12 N/A 32027NXX4 1200000.000000 PA USD 1024823.160000 0.3354690 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.6545 N N N N N N LIFE STORAGE INC (AKA: SOVRAN SELF STORAGE INC) W9EE01AFDDF9DQCQZC68 53223X107 14455.000000 NS USD 1372502.250000 0.4492794 Long EC CORP US N 1 N N N APARTMENT INVESTMENT AND MANAGEMENT COMPANY 549300O8FT5GJ4RU1D57 03748R754 46833.000000 NS USD 1762794.120000 0.5770388 Long EC CORP US N 1 N N N MGM GROWTH PROPERTIES LLC 549300E2UGIBHWE12262 55303A105 25152.000000 NS USD 684385.920000 0.2240291 Long EC CORP US N 1 N N N FNMA PASS THRU POOLS N/A 31416WZV7 5513.010000 PA USD 6053.080000 0.0019814 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 ACI07BWB4 7273.000000 NS 1410374.620000 0.4616766 Long EP CORP GB N 2 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A60 600000.000000 PA USD 602868.000000 0.1973448 Long DBT CORP US N 2 2025-06-16 Fixed 5.125 N N N N N N FREDDIE MAC-3892 N/A 3137ACXT1 823886.340000 PA USD 828886.260000 0.2713303 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 0.73475 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAA0 681819.840000 PA USD 606599.570000 0.1985663 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.30325 N N N N N N PIMCO FUNDS 549300PFV1F66T7RF111 72201U638 4389214.180000 NS USD 47359621.000000 15.5028535 Long EC RF US N 1 N N N PIMCO FUNDS IC5ZX00CDTVYWZREUC51 722005816 1707828.460000 NS USD 18683643.350000 6.1159650 Long EC RF US N 1 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 9499338.200000 PA USD 93653975.280000 30.6569991 Long STIV RF US N 1 N N N PORTOLA PHARMACEUTICALS INC 549300BM3O4O0CNBGJ64 737010108 66449.000000 NS USD 1195417.510000 0.3913119 Long EC CORP US N 1 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15 N/A 38380LJY0 703983.500000 PA USD 697572.820000 0.2283458 Long ABS-MBS USGSE US N 2 2068-08-20 Floating 2.26588 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-20 N/A 38381RCM9 1589065.570000 PA USD 1587128.020000 0.5195357 Long ABS-MBS USGSE US N 2 2049-02-20 Floating 0.59 N N N N N N RIB SOFTWARE SE 549300TXKMFBJ0ECRO90 ACI1L7582 20993.000000 NS 683983.170000 0.2238973 Long EC CORP DE N 1 N N N HALCYON LOAN ADVISORS FUNDING LTD 2015-1A N/A 40538HAN9 197013.350000 PA USD 194971.950000 0.0638228 Long ABS-CBDO CORP KY N 2 2027-04-20 Floating 2.05525 N N N N N N SBA COMMUNICATIONS CORPORATION 5299001HX8ZN8Y8QIT49 78410G104 8845.000000 NS USD 2635102.400000 0.8625831 Long EC CORP US N 1 N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 1436636.960000 PA 1779695.840000 0.5825715 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.28692 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891AAX5 2100000.000000 PA USD 2095601.760000 0.6859811 Long DBT CORP US N 2 2020-09-18 Floating 1.10788 N N N N N N SIMON PROPERTY GROUP INC 529900GQL5X8H7AO3T64 828806109 6116.000000 NS USD 418212.080000 0.1368989 Long EC CORP US N 1 N N N ING BANK NV/AMSTERDAM BRANCH 3TK20IVIUJ8J3ZU0QE75 44986L2A6 800000.000000 PA USD 839596.000000 0.2748361 Long DBT CORP NL N 2 2022-12-05 Fixed 2.625 N N N N N N INTERNATIONAL LEASE FINANCE CORPORATION N/A 459745GF6 200000.000000 PA USD 204746.630000 0.0670224 Long DBT CORP US N 2 2020-12-15 Fixed 8.25 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI1CPNN9 29519784.940000 PA 4430749.480000 1.4503760 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N SUN COMMUNITIES INC 549300H5GEOJYN41ZG57 866674104 15278.000000 NS USD 2072919.040000 0.6785561 Long EC CORP US N 1 N N N LEHMAN ABS MANUFACTURED HOUSING 2001-B N/A 52519SAM5 504588.720000 PA USD 401504.320000 0.1314297 Long ABS-O CORP US N 2 2040-04-15 Variable 7.17 Y N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAG8 300000.000000 PA USD 301281.750000 0.0986226 Long DBT CORP GB N 2 2021-06-21 Floating 1.10638 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-WL3 N/A 542514SW5 1488490.800000 PA USD 1265601.210000 0.4142860 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.4845 N N N N N N LOOMIS SAYLES CLO II LTD 2015-2A N/A 54347LAN2 506392.650000 PA USD 493401.030000 0.1615115 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 2.11888 N N N N N N MAN GLG EURO CLO II DAC 2A N/A ACI1DJHC3 250000.000000 PA 276942.640000 0.0906553 Long ABS-CBDO CORP IE N 2 2030-01-15 Floating 0.87 N N N N N N MARRIOTT INTERNATIONAL INC 225YDZ14ZO8E1TXUSU86 571903BE2 100000.000000 PA USD 104173.180000 0.0341004 Long DBT CORP US N 2 2030-06-15 Fixed 4.625 N N N N N N MICROCHIP TECHNOLOGY INCORPORATED 5493007PTFULNYZJ1R12 595017AN4 100000.000000 PA USD 101971.700000 0.0333798 Long DBT CORP US N 2 2021-06-01 Fixed 3.922 N N N N N N MOUNTAIN VIEW CLO LTD 2014-1A N/A 62431XAU0 198063.720000 PA USD 195514.020000 0.0640002 Long ABS-CBDO CORP KY N 2 2026-10-15 Floating 2.01888 N N N N N N MYLAN NV 549300A0CD4KNFGIIS89 62854AAL8 150000.000000 PA USD 151602.630000 0.0496261 Long DBT CORP NL N 2 2020-12-15 Fixed 3.75 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 290000.000000 NS USD 296824.690000 0.0971636 Long EP CORP US N 2 N N N NEUBERGER BERMAN CLO XIX LTD 2015-19A N/A 64130CAN2 274882.190000 PA USD 272370.450000 0.0891586 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 2.01888 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BK99HJII9 7589093.310000 PA 1137934.910000 0.3724953 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAU2 200000.000000 PA USD 206013.220000 0.0674370 Long DBT CORP NL N 2 2021-06-01 Fixed 4.125 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BK9CXBII1 27880359.060000 PA 4182579.310000 1.3691392 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N WELLTOWER INC T6IZ0MBEG5ACZDTR7D06 95040Q104 19147.000000 NS USD 990857.250000 0.3243505 Long EC CORP US N 1 N N N OCP CLO 2015-9 N/A 67091YAJ3 152192.930000 PA USD 151200.190000 0.0494944 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 2.01888 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JG3 600000.000000 PA USD 588060.000000 0.1924975 Long DBT CORP US N 2 2031-02-01 Fixed 2.5 N N N N N N PROVINCE OF BUENOS AIRES ARGENTINA 549300L6AYROPOTQ4L07 ACI0VF965 1380000.000000 PA 11386.620000 0.0037273 Long DBT NUSS AR N 2 2022-05-31 Floating 29.2219 N N N N N N PROVINCE OF BUENOS AIRES ARGENTINA 549300L6AYROPOTQ4L07 P1910WRC5 1150000.000000 PA 9067.830000 0.0029683 Long DBT NUSS AR N 2 2025-04-12 Floating 37.5964 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI122SK2 1000000.000000 PA USD 1074890.000000 0.3518580 Long DBT NUSS QA N 2 2023-04-23 Fixed 3.875 N N N N N N ACE SECURITIES CORP 2004-FM2 N/A 004421GK3 95148.810000 PA USD 88778.010000 0.0290609 Long ABS-MBS CORP US N 2 2034-06-25 Floating 1.96825 Y N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 500000.000000 PA USD 500435.800000 0.1638143 Long DBT CORP GB N 2 2024-06-25 Floating 1.84688 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 300000.000000 PA USD 326194.700000 0.1067776 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N ROYAL CARIBBEAN CRUISES LTD K2NEH8QNVW44JIWK7Z55 780153BC5 20000.000000 PA USD 19852.650000 0.0064986 Long DBT CORP LR N 2 2023-06-15 Fixed 9.125 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAH2 1580000.000000 PA USD 1755259.920000 0.5745725 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BB4 400000.000000 PA USD 400711.260000 0.1311701 Long DBT CORP US N 2 2021-03-15 Floating 0.76338 N N N N N N ADS WASTE HOLDINGS INC 549300ML1GEF4BKIM713 00790X101 50043.000000 NS USD 1509797.310000 0.4942220 Long EC CORP US N 1 N N N SPRINGCASTLE FUNDING ASSET-BACKED NOTES 2019-AA N/A 85022WAL8 1595688.000000 PA USD 1615995.040000 0.5289851 Long ABS-O CORP US N 2 2036-05-27 Fixed 3.2 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00772BAQ4 1500000.000000 PA USD 1506571.130000 0.4931659 Long DBT CORP IE N 2 2020-10-30 Fixed 4.625 N N N N N N STRUCTURED ADJUSTABLE RT MTG LN 2004-20 N/A 863579HD3 11720.000000 PA USD 11254.660000 0.0036841 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.36686 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPD5 5356.520000 PA USD 4924.070000 0.0016119 Long ABS-MBS CORP US N 2 2035-07-19 Floating 0.44388 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPE3 6973.400000 PA USD 6477.590000 0.0021204 Long ABS-MBS CORP US N 2 2035-07-19 Floating 0.44388 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPF0 16855.540000 PA USD 16052.800000 0.0052548 Long ABS-MBS CORP US N 2 2035-07-19 Floating 0.44388 N N N N N N AIRCRAFT CERTIFICATE OWNER TRUST 2003-1 N/A 009325AE1 64083.110000 PA USD 64138.770000 0.0209954 Long ABS-O CORP US N 2 2022-09-20 Fixed 7.001 N N N N N N TICP CLO III-2 LTD 2018-3R N/A 87249FAC8 250000.000000 PA USD 246398.230000 0.0806568 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.97525 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 8911457V0 1200000.000000 PA USD 1215871.970000 0.3980075 Long DBT CORP CA N 2 2021-03-15 Fixed 2.25 N N N N N N ALASKA AIRLINES 2020-1 CLASS A PASS THROUGH TRUST N/A 01166VAA7 400000.000000 PA USD 407000.000000 0.1332287 Long DBT CORP US N 2 2029-02-15 Fixed 4.8 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 1428299.510000 PA 1770154.850000 0.5794483 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.67675 N N N N N N TRALEE CLO III LTD 2014-3A N/A 89300ABA4 438332.170000 PA USD 432687.910000 0.1416375 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 2.16525 N N N N N N UBS AG/LONDON BRANCH BFM8T61CT2L1QCEMIK50 902674XK1 2800000.000000 PA USD 2818200.250000 0.9225189 Long DBT CORP CH N 2 2020-12-01 Fixed 2.45 N N N N N N UMBS PASS THRU POOLS N/A 01F022691 10500000.000000 PA USD 10899214.100000 3.5677844 Long ABS-MBS USGSE US N 2 2050-09-14 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040677 9000000.000000 PA USD 9536835.870000 3.1218191 Long ABS-MBS USGSE US N 2 2050-07-14 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F040685 5000000.000000 PA USD 5300976.600000 1.7352390 Long ABS-MBS USGSE US N 2 2050-08-13 Fixed 4 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 4100000.000000 PA USD 4746818.990000 1.5538393 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N ALLIANCE BANCORP TRUST 2007-OA1 N/A 01852TAA1 315822.960000 PA USD 266972.030000 0.0873915 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.40825 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127963C1 105000.000000 PA USD 104998.030000 0.0343704 Long DBT UST US N 2 2020-07-07 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127963D9 118000.000000 PA USD 117995.900000 0.0386252 Long DBT UST US N 2 2020-07-14 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796WY1 4122000.000000 PA USD 4121609.860000 1.3491813 Long DBT UST US N 2 2020-07-30 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796WZ8 200000.000000 PA USD 199976.500000 0.0654610 Long DBT UST US N 2 2020-08-06 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796XG9 361000.000000 PA USD 360929.980000 0.1181480 Long DBT UST US N 2 2020-08-27 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962H1 901000.000000 PA USD 900744.720000 0.2948527 Long DBT UST US N 2 2020-09-24 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796TJ8 1900000.000000 PA USD 1899540.960000 0.6218020 Long DBT UST US N 2 2020-09-10 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796XH7 3806000.000000 PA USD 3805128.840000 1.2455833 Long DBT UST US N 2 2020-09-03 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962S7 13400000.000000 PA USD 13394111.500000 4.3844723 Long DBT UST US N 2 2020-10-22 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Z37 -1694475.000000 PA USD -1832916.640000 -0.5999929 Short DBT UST US N 2 2030-01-15 Fixed 0.125 N N N N N N UNIVISION COMMUNICATIONS INC 549300YQDE2JSGTL8V47 914906AU6 200000.000000 PA USD 191750.000000 0.0627681 Long DBT CORP US N 2 2027-06-01 Fixed 6.625 N N N N N N VENTURE CDO LTD 2012-12A N/A 92329JAY5 481458.810000 PA USD 475049.900000 0.1555044 Long ABS-CBDO CORP KY N 2 2026-02-28 Floating 1.17125 N N N N N N VENTURE XXI CLO LTD 2015-21A N/A 92330MAL3 437176.360000 PA USD 431593.450000 0.1412792 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 2.09888 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AC9 100000.000000 PA USD 105995.050000 0.0346968 Long DBT CORP US N 2 2027-08-21 Fixed 3.9 N N N N N N WASHINGTON MUTUAL 2005-AR2 N/A 92922FC97 1812668.260000 PA USD 1694223.800000 0.5545928 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.5145 N N N N N N WHITEHORSE X LTD 2015-10A N/A 96525WAN3 413700.150000 PA USD 411205.730000 0.1346054 Long ABS-CBDO CORP KY N 2 2027-04-17 Floating 2.06488 N N N N N N YPF SA 5493003N7447U18U5U53 ACI1J9CS9 3590000.000000 PA 36977.830000 0.0121044 Long DBT CORP AR N 2 2021-03-04 Floating 52.9918 N N N N N N N/A N/A 000000000 468000.000000 PA USD 468000.000000 0.1531967 Long RA US N 2 Repurchase N 0.0000001 2020-07-01 445700.000000 USD 477423.540000 USD UST N N N N/A N/A 000000000 318000.000000 PA USD 318000.000000 0.1040952 Long RA US N 2 Repurchase N 0.0000001 2020-07-01 315600.000000 USD 324448.300000 USD UST N N N N/A N/A 000000000 1833875.000000 PA USD 1833875.000000 0.6003067 Long RA US N 2 Repurchase N 0.0800000 2020-07-06 1700000.000000 USD 1837387.900000 USD UST N N N N/A N/A 000000000 103.000000 NC 15215.030000 0.0049805 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Long N/A AUSTRALIA GOVT 2020-09-15 10575924.550000 AUD 15215.030000 N N N N/A N/A 000000000 6.000000 NC 193.490000 0.0000633 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Long N/A AUSTRALIA GOVT 2020-09-15 484697.840000 AUD 193.490000 N N N N/A N/A 000000000 1.000000 NC -76535.700000 -0.0250534 N/A DFE BR N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 664976.520000 BRL 3200000.000000 BRL 2020-07-02 -76535.700000 N N N N/A N/A 000000000 1.000000 NC -100581.280000 -0.0329246 N/A DFE BR N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 1401771.030000 BRL 7076000.000000 BRL 2020-07-02 -100581.280000 N N N N/A N/A 000000000 1.000000 NC -274526.790000 -0.0898645 N/A DFE BR N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 4216528.590000 BRL 21437000.000000 BRL 2020-07-02 -274526.790000 N N N N/A N/A 000000000 1.000000 NC 21707.710000 0.0071059 N/A DFE CH N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1414606.830000 CHF 1360836.210000 CHF 2020-07-02 21707.710000 N N N N/A N/A 000000000 1.000000 NC -1259.890000 -0.0004124 N/A DFE IL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 157531.000000 ILS 540240.910000 ILS 2020-09-15 -1259.890000 N N N N/A N/A 000000000 1.000000 NC -994.490000 -0.0003255 N/A DFE IL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 187249.380000 ILS 643897.060000 ILS 2020-09-15 -994.490000 N N N N/A N/A 000000000 1.000000 NC -856.500000 -0.0002804 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 479671.040000 JPY 51700000.000000 JPY 2020-07-02 -856.500000 N N N N/A N/A 000000000 1.000000 NC -53984.440000 -0.0176714 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 5175672.310000 JPY 552787681.000000 JPY 2020-08-04 -53984.440000 N N N N/A N/A 000000000 1.000000 NC 2019.200000 0.0006610 N/A DFE NO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 242000.000000 NOK 2348745.760000 NOK 2020-07-02 2019.200000 N N N N/A N/A 000000000 1.000000 NC -14243.950000 -0.0046627 N/A DFE NO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1540000.000000 NOK 14685783.420000 NOK 2020-07-02 -14243.950000 N N N N/A N/A 000000000 1.000000 NC -50913.830000 -0.0166663 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2380000.000000 RUB 166302500.000000 RUB 2020-07-27 -50913.830000 N N N N/A N/A 000000000 1.000000 NC -313613.210000 -0.1026592 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 63558928.900000 DKK 9269338.750000 USD 2020-07-01 -313613.210000 N N N N/A N/A 000000000 1.000000 NC 6254.450000 0.0020474 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1543000.000000 EUR 1739814.280000 USD 2020-07-02 6254.450000 N N N N/A N/A 000000000 1.000000 NC 203.690000 0.0000667 N/A DFE IL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 438344.310000 ILS 127000.000000 USD 2020-09-15 203.690000 N N N N/A N/A 000000000 1.000000 NC 53903.030000 0.0176448 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 552787681.000000 JPY 5173492.570000 USD 2020-07-02 53903.030000 N N N N/A N/A 000000000 1.000000 NC -12308.890000 -0.0040292 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 10623565.000000 RUB 136679.680000 USD 2020-07-17 -12308.890000 N N N N/A N/A 000000000 1.000000 NC 8969.280000 0.0029360 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 20690877.000000 RUB 298175.960000 USD 2020-08-14 8969.280000 N N N N/A N/A 000000000 1.000000 NC -5568.980000 -0.0018230 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 11238489.000000 TWD 380578.700000 USD 2020-09-16 -5568.980000 N N N N/A N/A 000000000 1.000000 NC -9688.070000 -0.0031713 N/A DFE ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1964000.000000 ZAR 103418.490000 USD 2020-07-08 -9688.070000 N N N N/A N/A 000000000 1.000000 NC -63812.490000 -0.0208886 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2125849.730000 MXN 47534000.000000 MXN 2020-07-24 -63812.490000 N N N N/A N/A 000000000 1.000000 NC 63962.370000 0.0209377 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 47534000.000000 MXN 2130747.880000 USD 2020-07-07 63962.370000 N N N N/A N/A 000000000 1.000000 NC -2266.230000 -0.0007418 N/A DFE MY N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 16126144.800000 MYR 3748000.000000 USD 2020-09-17 -2266.230000 N N N N/A N/A 000000000 1.000000 NC 1856.570000 0.0006077 N/A DFE N/A N 2 BNP Paribas S.A. N/A 756505.640000 EUR 675000.000000 EUR 2020-07-02 1856.570000 N N N N/A N/A 000000000 1.000000 NC -4179.850000 -0.0013682 N/A DFE N/A N 2 BNP Paribas S.A. N/A 722096.070000 EUR 639000.000000 EUR 2020-07-02 -4179.850000 N N N N/A N/A 000000000 1.000000 NC -76007.610000 -0.0248806 N/A DFE ID N 2 BNP Paribas S.A. N/A 2077487.790000 IDR 29495132920.000000 IDR 2020-09-16 -76007.610000 N N N AMERICAN TRANSMISSION SYSTEMS INCORPORATED N/A 030288AA2 100000.000000 PA USD 105966.150000 0.0346873 Long DBT CORP US N 2 2022-01-15 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC 2813.850000 0.0009211 N/A DFE BR N 2 BNP Paribas S.A. N/A 1029442.800000 BRL 192115.780000 USD 2020-07-02 2813.850000 N N N N/A N/A 000000000 1.000000 NC 14129.440000 0.0046252 N/A DFE N/A N 2 BNP Paribas S.A. N/A 1562000.000000 EUR 1769035.760000 USD 2020-07-02 14129.440000 N N N N/A N/A 000000000 1.000000 NC -43407.810000 -0.0142093 N/A DFE PH N 2 BNP Paribas S.A. N/A 84219487.000000 PHP 1642746.770000 USD 2020-09-16 -43407.810000 N N N N/A N/A 000000000 1.000000 NC 55905.360000 0.0183002 N/A DFE RU N 2 BNP Paribas S.A. N/A 127877948.000000 RUB 1849310.160000 USD 2020-07-17 55905.360000 N N N N/A N/A 000000000 1.000000 NC -13529.710000 -0.0044289 N/A DFE SE N 2 BNP Paribas S.A. N/A 27931581.310000 SEK 2984000.000000 USD 2020-07-02 -13529.710000 N N N N/A N/A 000000000 -3.000000 NC USD -201.310000 -0.0000659 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2020-10-30 -125280.000000 USD -201.310000 N N N N/A N/A 000000000 -3.000000 NC USD -20773.170000 -0.0068000 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2021-04-30 -129180.000000 USD -20773.170000 N N N N/A N/A 000000000 -1.000000 NC 617.010000 0.0002020 N/A DE FR N 1 EURONEXT PARIS MONEP N/A Short CAC-40 INDEX N/A N/A 2020-07-17 -55203.150000 EUR 617.010000 N N N N/A N/A 000000000 30.000000 NC -7998.310000 -0.0026182 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL N/A Long N/A CANADA GOVT 2020-09-21 3399086.620000 CAD -7998.310000 N N N N/A N/A 000000000 1.000000 NC USD -573.310000 -0.0001877 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.34 Y Single Leg Swap 2025-06-21 1653.000000 USD 0.000000 USD 95000.000000 USD -2226.310000 N N N N/A N/A 000000000 1.000000 NC USD 14182.350000 0.0046425 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.33 Y Single Leg Swap 2024-12-21 0.000000 USD -17548.330000 USD 1200000.000000 USD 31730.680000 N N N N/A N/A 000000000 1.000000 NC -105438.930000 -0.0345147 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2439000.000000 CLP 1915834500.000000 CLP 2020-07-27 -105438.930000 N N N N/A N/A 000000000 1.000000 NC -9093.240000 -0.0029766 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1014748.570000 DKK 6670009.000000 DKK 2020-07-01 -9093.240000 N N N N/A N/A 000000000 1.000000 NC 4079.020000 0.0013352 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1286897.990000 DKK 8562405.000000 DKK 2020-07-01 4079.020000 N N N N/A N/A 000000000 1.000000 NC 275641.800000 0.0902295 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 24829281.820000 EUR 22345290.000000 EUR 2020-07-02 275641.800000 N N N N/A N/A 000000000 1.000000 NC 3026.760000 0.0009908 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2463000.000000 INR 187779120.000000 INR 2020-09-16 3026.760000 N N N N/A N/A 000000000 1.000000 NC 164055.540000 0.0537025 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1902729.970000 MXN 47534000.000000 MXN 2020-07-07 164055.540000 N N N N/A N/A 000000000 1.000000 NC -17287.390000 -0.0056589 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 390256.300000 MXN 8659592.060000 MXN 2020-09-17 -17287.390000 N N N N/A N/A 000000000 1.000000 NC -81935.100000 -0.0268209 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2598580.410000 PEN 8915729.400000 PEN 2020-07-20 -81935.100000 N N N N/A N/A 000000000 1.000000 NC -4085.070000 -0.0013372 N/A DFE TR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 493000.000000 TRY 3359691.960000 TRY 2020-07-14 -4085.070000 N N N N/A N/A 000000000 1.000000 NC 1891990.570000 0.6193304 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 30300000.000000 BRL 7463789.540000 USD 2020-07-02 1891990.570000 N N N N/A N/A 000000000 1.000000 NC 78358.600000 0.0256502 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1413000.000000 BRL 338192.000000 USD 2020-07-02 78358.600000 N N N N/A N/A 000000000 1.000000 NC 144112.370000 0.0471742 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14143887.000000 BRL 2745000.000000 USD 2020-07-02 144112.370000 N N N N/A N/A 000000000 1.000000 NC -3504.030000 -0.0011470 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 504000.000000 CAD 367739.340000 USD 2020-07-02 -3504.030000 N N N N/A N/A 000000000 1.000000 NC 163190.800000 0.0534194 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1912754250.000000 CLP 2493000.000000 USD 2020-07-27 163190.800000 N N N N/A N/A 000000000 1.000000 NC 37624.350000 0.0123161 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3082995720.000000 COP 856959.010000 USD 2020-07-17 37624.350000 N N N N/A N/A 000000000 1.000000 NC 9269.580000 0.0030343 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6670009.000000 DKK 1016922.950000 USD 2020-10-01 9269.580000 N N N N/A N/A 000000000 1.000000 NC -3972.150000 -0.0013003 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8562405.000000 DKK 1289569.770000 USD 2020-10-01 -3972.150000 N N N N/A N/A 000000000 1.000000 NC -130881.540000 -0.0428432 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5874263363.000000 KRW 4768070.910000 USD 2020-09-16 -130881.540000 N N N N/A N/A 000000000 1.000000 NC 9709.690000 0.0031784 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4009166.080000 MXN 180727.390000 USD 2020-12-09 9709.690000 N N N N/A N/A 000000000 1.000000 NC 104378.450000 0.0341676 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7969162.300000 PEN 2351478.990000 USD 2020-09-14 104378.450000 N N N N/A N/A 000000000 1.000000 NC 73294.530000 0.0239925 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8473739.300000 PEN 2461936.520000 USD 2020-09-30 73294.530000 N N N N/A N/A 000000000 1.000000 NC 52911.370000 0.0173202 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5296218.090000 PEN 1547606.240000 USD 2020-07-30 52911.370000 N N N N/A N/A 000000000 1.000000 NC 30302.720000 0.0099194 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4119000.000000 PEN 1191254.300000 USD 2020-10-05 30302.720000 N N N N/A N/A 000000000 1.000000 NC USD 79709.660000 0.0260924 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA-9 N/A N/A Y Single Leg Swap 2058-09-18 0.000000 USD -534254.970000 USD 8400000.000000 USD 613964.630000 N N N N/A N/A 000000000 1.000000 NC USD 11948.740000 0.0039113 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-18 0.000000 USD -47506.080000 USD 1600000.000000 USD 59454.820000 N N N N/A N/A 000000000 1.000000 NC USD 53022.500000 0.0173566 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-18 0.000000 USD -234810.200000 USD 7100000.000000 USD 287832.700000 N N N N/A N/A 000000000 1.000000 NC USD 20910.290000 0.0068448 N/A DCR US N 2 UBS AG BFM8T61CT2L1QCEMIK50 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-18 0.000000 USD -81142.130000 USD 2800000.000000 USD 102052.420000 N N N N/A N/A 000000000 1.000000 NC USD 7352.050000 0.0024066 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-12 0.000000 USD -28104.690000 USD 1298070.490000 USD 35456.740000 N N N N/A N/A 000000000 1.000000 NC USD 5442.270000 0.0017815 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.7 N/A N/A Y Single Leg Swap 2047-01-18 0.000000 USD -19289.470000 USD 595706.130000 USD 24731.740000 N N N N/A N/A 000000000 1.000000 NC USD 89266.380000 0.0292207 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.8 N/A N/A Y Single Leg Swap 2057-10-18 0.000000 USD -422667.180000 USD 8800000.000000 USD 511933.560000 N N N N/A N/A 000000000 1.000000 NC USD 120712.500000 0.0395144 N/A DCR US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 CMBX.NA.AAA.8 N/A N/A Y Single Leg Swap 2057-10-18 0.000000 USD -617675.740000 USD 11900000.000000 USD 738388.240000 N N N N/A N/A 000000000 2.000000 NC USD -4190.900000 -0.0013719 N/A DCO US N 1 New York Board of Trade 5493000F4ZO33MV32P92 Long N/A Cocoa 2020-09-15 43720.000000 USD -4190.900000 N N N N/A N/A 000000000 -1.000000 NC USD -258.510000 -0.0000846 N/A DCO US N 1 New York Board of Trade 5493000F4ZO33MV32P92 Short N/A Coffee 2020-12-18 -38793.750000 USD -258.510000 N N N N/A N/A 000000000 1.000000 NC USD 10004.680000 0.0032750 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A Copper 2020-12-29 68562.500000 USD 10004.680000 N N N N/A N/A 000000000 1.000000 NC USD 3501.050000 0.0011460 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A Copper 2020-09-28 68212.500000 USD 3501.050000 N N N N/A N/A 000000000 -5.000000 NC USD -3871.790000 -0.0012674 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Corn 2020-12-14 -87625.000000 USD -3871.790000 N N N N/A N/A 000000000 -8.000000 NC USD -4282.770000 -0.0014019 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Corn 2020-09-14 -136600.000000 USD -4282.770000 N N N N/A N/A 000000000 1.000000 NC 3878.140000 0.0012695 N/A DFE TW N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 431000.000000 TWD 12656746.000000 TWD 2020-09-16 3878.140000 N N N N/A N/A 000000000 1.000000 NC -41938.280000 -0.0137282 N/A DFE ZA N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 7257145.920000 ZAR 376000.000000 USD 2020-07-08 -41938.280000 N N N N/A N/A 000000000 1.000000 NC 536.130000 0.0001755 N/A DFE HK N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 924173.690000 HKD 7170109.180000 HKD 2020-09-16 536.130000 N N N N/A N/A 000000000 1.000000 NC 3424.740000 0.0011211 N/A DFE CA N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 3134121.770000 CAD 2312000.000000 USD 2020-07-02 3424.740000 N N N N/A N/A 000000000 1.000000 NC 1304.190000 0.0004269 N/A DCR DE N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 DAIMLER AG DAIMLER AG Y Single Leg Swap 2020-12-21 5469.900000 EUR 0.000000 EUR 330000.000000 EUR -4165.710000 N N N N/A N/A 000000000 11.000000 NC -6840.710000 -0.0022393 N/A DE DE N 1 Eurex N/A Long DAX INDEX N/A N/A 2020-09-18 3808115.820000 EUR -6840.710000 N N N N/A N/A 000000000 1.000000 NC -1683.190000 -0.0005510 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 55076.350000 BRL 290836.200000 BRL 2020-08-04 -1683.190000 N N N N/A N/A 000000000 1.000000 NC 1653.600000 0.0005413 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 290836.200000 BRL 55134.820000 USD 2020-07-02 1653.600000 N N N N/A N/A 000000000 15.000000 NC 23374.410000 0.0076515 N/A DE DE N 1 Eurex N/A Long DOW JONES EURO STOXX 50 PRICE INDEX N/A N/A 2020-09-18 543155.870000 EUR 23374.410000 N N N N/A N/A 000000000 1.000000 NC USD 6129.360000 0.0020064 N/A DE US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2021-04-07 0.000000 USD 0.000000 USD 149474.400000 USD 6129.360000 N N N N/A N/A 000000000 1.000000 NC USD 91565.050000 0.0299732 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2021-04-15 0.000000 USD 0.000000 USD 2232773.850000 USD 91565.050000 N N N N/A N/A 000000000 1.000000 NC USD -389337.850000 -0.1274471 N/A DE US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2020-08-26 0.000000 USD 0.000000 USD 21610294.880000 USD -389337.850000 N N N N/A N/A 000000000 1.000000 NC USD -15315.090000 -0.0050133 N/A DE US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2020-08-05 0.000000 USD 0.000000 USD 853501.060000 USD -15315.090000 N N N N/A N/A 000000000 16.000000 NC 40614.780000 0.0132950 N/A DIR DE N 1 Eurex N/A Long N/A FRANCE GOVT 2020-09-08 3013675.240000 EUR 40614.780000 N N N N/A N/A 000000000 68.000000 NC -70636.170000 -0.0231223 N/A DE GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long FTSE 100 INDEX N/A N/A 2020-09-18 5179812.080000 GBP -70636.170000 N N N N/A N/A 000000000 1.000000 NC -1719.970000 -0.0005630 N/A DE IT N 1 ITALIAN DERIVATIVES MARKET N/A Long FTSE MIB INDEX N/A N/A 2020-09-18 108355.920000 EUR -1719.970000 N N N N/A N/A 000000000 4.000000 NC USD 12342.460000 0.0040402 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Gasoil 2020-12-10 146900.000000 USD 12342.460000 N N N N/A N/A 000000000 -1.000000 NC USD 735.540000 0.0002408 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Gasoline 2020-11-30 -45166.800000 USD 735.540000 N N N N/A N/A 000000000 3.000000 NC USD 26917.250000 0.0088112 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Gasoline 2021-05-28 159478.200000 USD 26917.250000 N N N N/A N/A 000000000 227.000000 NC -219.330000 -0.0000718 N/A DIR DE N 1 Eurex N/A Call Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EURO-SCHATZ 2YR EUX 09/08/20 2020-09-09 N/A EUR N/A 114.000000 EUR 2020-07-24 XXXX -219.330000 N N N N/A N/A 000000000 139.000000 NC 118844.300000 0.0389029 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-09-08 27566499.940000 EUR 118844.300000 N N N N/A N/A 000000000 -296.000000 NC -14212.900000 -0.0046525 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2020-09-08 -37292815.440000 EUR -14212.900000 N N N N/A N/A 000000000 63.000000 NC -60.870000 -0.0000199 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 09/08/20 2020-09-09 N/A EUR N/A 150.000000 EUR 2020-08-21 XXXX -60.870000 N N N N/A N/A 000000000 5.000000 NC USD 22102.430000 0.0072351 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A Gold 2020-08-27 900250.000000 USD 22102.430000 N N N N/A N/A 000000000 1.000000 NC -3393.000000 -0.0011107 N/A DFE CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1948000.000000 COP 7317175000.000000 COP 2020-07-17 -3393.000000 N N N N/A N/A 000000000 1.000000 NC 3985.880000 0.0013048 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 146786.830000 DKK 1000000.000000 DKK 2020-07-01 3985.880000 N N N N/A N/A 000000000 1.000000 NC 70.420000 0.0000231 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1013326.190000 EUR 902000.000000 EUR 2020-07-02 70.420000 N N N N/A N/A 000000000 1.000000 NC -39620.930000 -0.0129696 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3786000.000000 MYR 16109430.000000 MYR 2020-09-17 -39620.930000 N N N N/A N/A 000000000 1.000000 NC 11995.680000 0.0039267 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 563561.800000 SGD 801925.000000 SGD 2020-09-16 11995.680000 N N N N/A N/A 000000000 1.000000 NC -1786.450000 -0.0005848 N/A DFE CH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 118228.920000 CHF 123000.000000 USD 2020-07-02 -1786.450000 N N N N/A N/A 000000000 1.000000 NC 58332.090000 0.0190946 N/A DFE CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4412519500.000000 COP 1231000.000000 USD 2020-07-17 58332.090000 N N N N/A N/A 000000000 1.000000 NC 2790.020000 0.0009133 N/A DFE JP N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 48719398.000000 JPY 454000.000000 USD 2020-07-02 2790.020000 N N N N/A N/A 000000000 1.000000 NC 78067.140000 0.0255548 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 53478999.400000 MXN 2398000.000000 USD 2020-07-24 78067.140000 N N N N/A N/A 000000000 1.000000 NC -13590.230000 -0.0044487 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 11533688.000000 RUB 148162.220000 USD 2020-07-17 -13590.230000 N N N N/A N/A 000000000 4.000000 NC -15756.400000 -0.0051578 N/A DE HK N 1 HONG KONG FUTURES EXCHANGE LTD. N/A Long HONG KONG HANG SENG INDEX N/A N/A 2020-07-30 625688.670000 HKD -15756.400000 N N N N/A N/A 000000000 1.000000 NC -243.010000 -0.0000795 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 314768.640000 CAD 427000.000000 CAD 2020-07-02 -243.010000 N N N N/A N/A 000000000 1.000000 NC 3468.090000 0.0011353 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 386651.100000 CAD 529579.000000 CAD 2020-08-04 3468.090000 N N N N/A N/A 000000000 1.000000 NC 192.660000 0.0000631 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 462000.000000 CNY 3280061.400000 CNY 2020-09-16 192.660000 N N N N/A N/A 000000000 1.000000 NC 5313.160000 0.0017392 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 650810.590000 EUR 584000.000000 EUR 2020-07-02 5313.160000 N N N N/A N/A 000000000 1.000000 NC 836.520000 0.0002738 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 159823.920000 EUR 143000.000000 EUR 2020-07-02 836.520000 N N N N/A N/A 000000000 1.000000 NC -227.210000 -0.0000744 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 158640.650000 EUR 141000.000000 EUR 2020-07-02 -227.210000 N N N N/A N/A 000000000 1.000000 NC 11996.940000 0.0039271 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4976280.940000 INR 379839523.950000 INR 2020-09-16 11996.940000 N N N N/A N/A 000000000 1.000000 NC -38.470000 -0.0000126 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5474.110000 PLN 21500.280000 PLN 2020-09-10 -38.470000 N N N N/A N/A 000000000 1.000000 NC -5491.560000 -0.0017976 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 343000.000000 AUD 231212.800000 USD 2020-07-02 -5491.560000 N N N N/A N/A 000000000 1.000000 NC 1274.940000 0.0004173 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 244000.000000 CAD 181003.870000 USD 2020-07-02 1274.940000 N N N N/A N/A 000000000 1.000000 NC -3470.300000 -0.0011360 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 529579.000000 CAD 386614.410000 USD 2020-07-02 -3470.300000 N N N N/A N/A 000000000 1.000000 NC -43798.020000 -0.0143370 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 264852342.000000 INR 3434400.000000 USD 2020-09-16 -43798.020000 N N N N/A N/A 000000000 1.000000 NC -22469.700000 -0.0073553 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 17472351.270000 NOK 1792792.370000 USD 2020-07-02 -22469.700000 N N N N/A N/A 000000000 1.000000 NC -10078.590000 -0.0032992 N/A DFE NZ N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 400667.000000 NZD 248471.800000 USD 2020-07-02 -10078.590000 N N N N/A N/A 000000000 1.000000 NC -4393.890000 -0.0014383 N/A DFE NZ N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 201000.000000 NZD 125311.400000 USD 2020-07-02 -4393.890000 N N N N/A N/A 000000000 1.000000 NC 1562.390000 0.0005114 N/A DE ES N 1 MEFF RENTA VARIABLE N/A Long N/A IBEX 35 INDEX 2020-07-17 81002.070000 EUR 1562.390000 N N N N/A N/A 000000000 1.000000 NC USD -2104.250000 -0.0006888 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-12-21 0.000000 USD -1.700000 USD 100000.000000 USD -2102.550000 N N N N/A N/A 000000000 1.000000 NC USD 82.410000 0.0000270 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-12-21 0.000000 USD -1.700000 USD 100000.000000 USD 84.110000 N N N N/A N/A 000000000 -6400000.000000 NC -3293.200000 -0.0010780 N/A DIR DE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Eurostat Eurozone HICP Ex Tob N/A N/A N/A 3.000000 EUR 2035-06-22 XXXX 287868.340000 N N N N/A N/A 000000000 -5200000.000000 NC USD -0.520000 -0.0000002 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written US CPI Urban Consumers NSA N/A N/A N/A 0.000000 USD 2020-10-02 XXXX 95975.880000 N N N N/A N/A 000000000 8.000000 NC 35203.310000 0.0115236 N/A DIR DE N 1 Eurex N/A Long N/A ITALY GOVT 2020-09-08 1293192.940000 EUR 35203.310000 N N N N/A N/A 000000000 273.000000 NC 196110.750000 0.0641955 N/A DIR DE N 1 Eurex N/A Long N/A ITALY GOVT 2020-09-08 34315316.890000 EUR 196110.750000 N N N N/A N/A 000000000 1.000000 NC -6347.820000 -0.0020779 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE CROSSOVER SERIES 32 Y Single Leg Swap 2024-12-21 0.000000 EUR -15587.510000 EUR 100000.000000 EUR 9239.690000 N N N N/A N/A 000000000 1.000000 NC 176537.750000 0.0577884 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 33 Y Single Leg Swap 2025-06-21 163707.850000 EUR 0.000000 EUR 9300000.000000 EUR 12829.900000 N N N N/A N/A 000000000 9.000000 NC 7611.070000 0.0024914 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE N/A Long N/A JAPAN GOVT 2020-09-14 12665431.810000 JPY 7611.070000 N N N N/A N/A 000000000 1.000000 NC -4772.960000 -0.0015624 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1068489.360000 DKK 7055099.000000 DKK 2020-07-01 -4772.960000 N N N N/A N/A 000000000 1.000000 NC -1698.720000 -0.0005561 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 366836.080000 EUR 325000.000000 EUR 2020-07-02 -1698.720000 N N N N/A N/A 000000000 1.000000 NC 49026.480000 0.0160485 N/A DFE SE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3050047.310000 SEK 28877789.360000 SEK 2020-07-02 49026.480000 N N N N/A N/A 000000000 1.000000 NC -4232.310000 -0.0013854 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 417098.590000 CAD 303000.000000 USD 2020-07-02 -4232.310000 N N N ARGENT SECURITIES INC 2005-W1 N/A 040104MX6 503513.250000 PA USD 447058.640000 0.1463416 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.6645 N N N N N N N/A N/A 000000000 1.000000 NC 4957.890000 0.0016229 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7055099.000000 DKK 1070787.680000 USD 2020-10-01 4957.890000 N N N N/A N/A 000000000 1.000000 NC 3364.530000 0.0011014 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 518000.000000 EUR 585337.310000 USD 2020-07-02 3364.530000 N N N N/A N/A 000000000 1.000000 NC -1737.740000 -0.0005688 N/A DFE ZA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 637312.120000 ZAR 34965.000000 USD 2020-07-08 -1737.740000 N N N N/A N/A 000000000 1.000000 NC -265329.230000 -0.0868537 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3109000.000000 BRL 15464166.000000 BRL 2020-07-02 -265329.230000 N N N N/A N/A 000000000 1.000000 NC 55424.600000 0.0181429 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6089100.000000 KRW 7367811000.000000 KRW 2020-09-16 55424.600000 N N N N/A N/A 000000000 1.000000 NC 2381.130000 0.0007794 N/A DFE PH N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1908000.000000 PHP 95419080.000000 PHP 2020-09-16 2381.130000 N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAM1 361002.000000 PA USD 305800.860000 0.1001019 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.3345 N N N N N N N/A N/A 000000000 1.000000 NC -3815.070000 -0.0012488 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2574035.000000 CNY 358788.630000 USD 2020-09-16 -3815.070000 N N N N/A N/A 000000000 1.000000 NC -44452.140000 -0.0145511 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 301848396.000000 INR 3919600.000000 USD 2020-09-16 -44452.140000 N N N N/A N/A 000000000 1.000000 NC -2039.040000 -0.0006675 N/A DFE PH N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 10940489.000000 PHP 217000.000000 USD 2020-09-16 -2039.040000 N N N N/A N/A 000000000 1.000000 NC -3445.240000 -0.0011278 N/A DFE TR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3328977.430000 TRY 481000.000000 USD 2020-07-14 -3445.240000 N N N N/A N/A 000000000 2.000000 NC USD -119.670000 -0.0000392 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A Live Cattle 2020-08-31 77020.000000 USD -119.670000 N N N 2020-08-04 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer XXXX