NPORT-P false 0000810893 XXXXXXXX S000033597 C000103229 C000103233 C000103232 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Inflation Response Multi-Asset Fund S000033597 THF8EKD5U3IIE5DF6F03 2021-03-31 2020-06-30 N 1907614258.750000 804001089.240000 1103613169.510000 0.000000 183703042.350000 161889445.070000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 9120865.140000 ARS AUD DKK EUR GBP JPY MXN PEN USD N N/A N/A 000000000 1.000000 NC 31390.980000 0.0028444 N/A DFE HU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 433911.000000 HUF 146666257.000000 HUF 2020-07-08 31390.980000 N N N N/A N/A 000000000 1.000000 NC -11196.640000 -0.0010145 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2131530.000000 PLN 8386824.510000 PLN 2020-09-10 -11196.640000 N N N N/A N/A 000000000 1.000000 NC 895863.480000 0.0811755 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 19441388.470000 AUD 29470000.000000 AUD 2020-07-02 895863.480000 N N N ARGENT SECURITIES INC 2006-W4 N/A 040104TG6 1674597.250000 PA USD 607559.120000 0.0550518 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.3445 N N N N N N N/A N/A 000000000 1.000000 NC 5883.790000 0.0005331 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2660501.130000 DKK 17684798.000000 DKK 2020-07-01 5883.790000 N N N N/A N/A 000000000 1.000000 NC -13213.890000 -0.0011973 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3066261.310000 DKK 20249337.000000 DKK 2020-07-01 -13213.890000 N N N N/A N/A 000000000 1.000000 NC 1051.200000 0.0000953 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3668136.290000 DKK 24335886.000000 DKK 2020-07-01 1051.200000 N N N N/A N/A 000000000 1.000000 NC -76303.490000 -0.0069140 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 8197879.380000 JPY 876927157.000000 JPY 2020-07-02 -76303.490000 N N N N/A N/A 000000000 1.000000 NC -782728.150000 -0.0709241 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 29470000.000000 AUD 19554523.800000 USD 2020-07-02 -782728.150000 N N N N/A N/A 000000000 1.000000 NC -5380.550000 -0.0004875 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 17684798.000000 DKK 2666301.950000 USD 2020-10-01 -5380.550000 N N N N/A N/A 000000000 1.000000 NC 13590.610000 0.0012315 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 20249337.000000 DKK 3072703.830000 USD 2020-10-01 13590.610000 N N N N/A N/A 000000000 1.000000 NC -774.380000 -0.0000702 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 24335886.000000 DKK 3675703.050000 USD 2020-10-01 -774.380000 N N N N/A N/A 000000000 1.000000 NC 6085.940000 0.0005515 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 21336556.000000 DKK 3229447.800000 USD 2020-10-01 6085.940000 N N N N/A N/A 000000000 1.000000 NC 76463.240000 0.0069284 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 876927157.000000 JPY 8201367.850000 USD 2020-08-04 76463.240000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1JWNB3 1673101.190000 PA 15578.160000 0.0014116 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 -1644.780000 -0.0001490 N/A DFE HK N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 8239000.000000 HKD 1060917.030000 USD 2020-09-16 -1644.780000 N N N N/A N/A 000000000 -2.000000 NC USD -4073.300000 -0.0003691 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A Silver 2020-12-29 -188030.000000 USD -4073.300000 N N N N/A N/A 000000000 -106.000000 NC USD -97426.200000 -0.0088279 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A Silver 2020-09-28 -9877610.000000 USD -97426.200000 N N N N/A N/A 000000000 1.000000 NC 2718.360000 0.0002463 N/A DFE DK N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 3382084.350000 DKK 22449704.000000 DKK 2020-07-01 2718.360000 N N N N/A N/A 000000000 1.000000 NC 17905.750000 0.0016225 N/A DFE HU N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 236495.000000 HUF 80194272.000000 HUF 2020-07-15 17905.750000 N N N N/A N/A 000000000 1.000000 NC 7012.190000 0.0006354 N/A DFE ZA N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 102232.000000 ZAR 1896933.270000 ZAR 2020-07-08 7012.190000 N N N N/A N/A 000000000 1.000000 NC -2465.010000 -0.0002234 N/A DFE DK N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 22449704.000000 DKK 3389062.640000 USD 2020-10-01 -2465.010000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1KSVQ8 648424.000000 PA 7053.380000 0.0006391 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 62687.640000 0.0056802 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 20274564.310000 AUD 29470000.000000 AUD 2020-07-02 62687.640000 N N N N/A N/A 000000000 1.000000 NC -64382.160000 -0.0058338 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 29470000.000000 AUD 20276700.890000 USD 2020-08-04 -64382.160000 N N N N/A N/A 000000000 1.000000 NC -166668.350000 -0.0151021 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 15909000.000000 EUR 17707086.250000 USD 2020-07-02 -166668.350000 N N N N/A N/A 000000000 1.000000 NC -53434.700000 -0.0048418 N/A DFE CL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1057049.290000 CLP 823959350.000000 CLP 2020-07-27 -53434.700000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1JDTT0 2739000.000000 PA 29794.110000 0.0026997 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 34752.210000 0.0031489 N/A DFE HU N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 451972.000000 HUF 153418686.000000 HUF 2020-07-08 34752.210000 N N N N/A N/A 000000000 1.000000 NC USD -11284.410000 -0.0010225 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 900.000000 USD -11284.410000 N N N N/A N/A 000000000 1.000000 NC USD -15585.480000 -0.0014122 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 1200.000000 USD -15585.480000 N N N N/A N/A 000000000 1.000000 NC USD -15765.350000 -0.0014285 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 1200.000000 USD -15765.350000 N N N N/A N/A 000000000 1.000000 NC USD -690.130000 -0.0000625 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 600.000000 USD -690.130000 N N N N/A N/A 000000000 1.000000 NC USD -1245.200000 -0.0001128 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 600.000000 USD -1245.200000 N N N N/A N/A 000000000 1.000000 NC USD -652.570000 -0.0000591 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 300.000000 USD -652.570000 N N N N/A N/A 000000000 1.000000 NC USD -34119.260000 -0.0030916 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 8400.000000 USD -34119.260000 N N N N/A N/A 000000000 1.000000 NC USD 1575.990000 0.0001428 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 1200.000000 USD 1575.990000 N N N N/A N/A 000000000 1.000000 NC USD -3238.890000 -0.0002935 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -3384.000000 USD 2400.000000 USD 145.110000 N N N N/A N/A 000000000 1.000000 NC USD -47185.290000 -0.0042755 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 16200.000000 USD -47185.290000 N N N N/A N/A 000000000 1.000000 NC USD -29922.390000 -0.0027113 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 8400.000000 USD -29922.390000 N N N N/A N/A 000000000 1.000000 NC USD 2797.490000 0.0002535 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2020-06-30 0.000000 USD 0.000000 USD 300.000000 USD 2797.490000 N N N N/A N/A 000000000 1.000000 NC USD -115135.420000 -0.0104326 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 18000.000000 USD -115135.420000 N N N N/A N/A 000000000 1.000000 NC USD -55967.450000 -0.0050713 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 10800.000000 USD -55967.450000 N N N N/A N/A 000000000 1.000000 NC USD -91037.440000 -0.0082490 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -9756.450000 USD 17400.000000 USD -81280.990000 N N N N/A N/A 000000000 1.000000 NC USD -5435.940000 -0.0004926 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 2400.000000 USD -5435.940000 N N N N/A N/A 000000000 1.000000 NC USD -2741.910000 -0.0002484 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 1200.000000 USD -2741.910000 N N N N/A N/A 000000000 1.000000 NC USD -94981.770000 -0.0086064 N/A DCO US N 2 Citibank International Limited N/A N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -1536.000000 USD 95200.000000 USD -93445.770000 N N N N/A N/A 000000000 1.000000 NC USD -6616.990000 -0.0005996 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 24000.000000 USD -6616.990000 N N N N/A N/A 000000000 1.000000 NC USD -3081.540000 -0.0002792 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 1800.000000 USD -3081.540000 N N N N/A N/A 000000000 1.000000 NC USD 9549.330000 0.0008653 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 3600.000000 USD 9549.330000 N N N N/A N/A 000000000 1.000000 NC USD -17236.440000 -0.0015618 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 7200.000000 USD -17236.440000 N N N N/A N/A 000000000 1.000000 NC USD 69267.960000 0.0062765 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A WHEAT FUTURE(CBT) Sep20 Y Single Leg Swap 2020-08-21 0.000000 USD 0.000000 USD 360000.000000 USD 69267.960000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 4165000.000000 PA 35928.690000 0.0032556 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 4424702.190000 0.4009287 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A BCOMGC Y Single Leg Swap 2021-02-16 0.000000 USD 0.000000 USD 104333212.570000 USD 4424702.190000 N N N N/A N/A 000000000 1.000000 NC USD 792324.660000 0.0717937 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP TBL/BCOMF1TC JPM BCOMF1TCB Y 2021-02-16 0.000000 USD 0.000000 USD 36629307.180000 USD 792324.660000 N N N N/A N/A 000000000 1.000000 NC 134777.910000 0.0122124 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2022-06-15 6716.130000 GBP 0.000000 GBP 17400000.000000 GBP 128061.780000 N N N N/A N/A 000000000 1.000000 NC -113524.270000 -0.0102866 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2031-06-15 0.000000 GBP -291403.480000 GBP 2750000.000000 GBP 177879.210000 N N N N/A N/A 000000000 1.000000 NC 166317.850000 0.0150703 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-12-15 0.000000 GBP -266485.330000 GBP 4475000.000000 GBP 432803.180000 N N N N/A N/A 000000000 1.000000 NC 5698.660000 0.0005164 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-08-15 0.000000 GBP -437.500000 GBP 100000.000000 GBP 6136.160000 N N N N/A N/A 000000000 1.000000 NC 2505840.750000 0.2270579 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-01-15 1768230.110000 GBP 0.000000 GBP 82700000.000000 GBP 737610.640000 N N N N/A N/A 000000000 1.000000 NC 788486.970000 0.0714460 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2033-09-15 7317.890000 GBP 0.000000 GBP 9380000.000000 GBP 781169.080000 N N N N/A N/A 000000000 1.000000 NC 255839.320000 0.0231820 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-09-15 173.820000 GBP 0.000000 GBP 3900000.000000 GBP 255665.500000 N N N N/A N/A 000000000 1.000000 NC 107688.980000 0.0097579 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2031-10-15 34124.280000 GBP 0.000000 GBP 1330000.000000 GBP 73564.700000 N N N N/A N/A 000000000 1.000000 NC 213463.460000 0.0193422 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 2670000.000000 GBP 213463.460000 N N N N/A N/A 000000000 1.000000 NC 112521.470000 0.0101957 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 1400000.000000 GBP 112521.470000 N N N N/A N/A 000000000 1.000000 NC 242403.120000 0.0219645 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-12-15 0.000000 GBP 0.000000 GBP 2800000.000000 GBP 242403.120000 N N N N/A N/A 000000000 1.000000 NC 496044.310000 0.0449473 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2024-09-15 284.640000 GBP 0.000000 GBP 6500000.000000 GBP 495759.670000 N N N N/A N/A 000000000 1.000000 NC USD 2379.770000 0.0002156 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2021-06-17 0.000000 USD 0.000000 USD 16400000.000000 USD 2379.770000 N N N N/A N/A 000000000 1.000000 NC USD 20666.750000 0.0018726 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2021-06-18 265.000000 USD 0.000000 USD 18400000.000000 USD 20401.750000 N N N N/A N/A 000000000 1.000000 NC USD -101455.390000 -0.0091930 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2030-05-19 0.000000 USD 0.000000 USD 4500000.000000 USD -101455.390000 N N N N/A N/A 000000000 1.000000 NC USD -59800.400000 -0.0054186 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2021-09-09 0.000000 USD 0.000000 USD 4800000.000000 USD -59800.400000 N N N N/A N/A 000000000 1.000000 NC USD 10568.260000 0.0009576 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2021-07-26 91384.620000 USD 0.000000 USD 2700000.000000 USD -80816.360000 N N N N/A N/A 000000000 1.000000 NC USD -167656.560000 -0.0151916 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2021-09-20 0.000000 USD -965.870000 USD 10500000.000000 USD -166690.690000 N N N N/A N/A 000000000 1.000000 NC USD -2694.980000 -0.0002442 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2021-09-12 65057.610000 USD 0.000000 USD 2160000.000000 USD -67752.590000 N N N N/A N/A 000000000 1.000000 NC USD 70560.940000 0.0063936 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2029-06-03 0.000000 USD 0.000000 USD 1300000.000000 USD 70560.940000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0QD081 2720000.000000 PA 10743.390000 0.0009735 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 USD -56503.050000 -0.0051198 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2022-07-15 0.000000 USD 0.000000 USD 1800000.000000 USD -56503.050000 N N N N/A N/A 000000000 1.000000 NC USD 535959.190000 0.0485640 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2029-04-16 0.000000 USD 0.000000 USD 7000000.000000 USD 535959.190000 N N N N/A N/A 000000000 1.000000 NC USD -499509.690000 -0.0452613 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-02-05 0.000000 USD 0.000000 USD 10870000.000000 USD -499509.690000 N N N N/A N/A 000000000 1.000000 NC USD -97390.360000 -0.0088247 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-05-09 0.000000 USD 0.000000 USD 1820000.000000 USD -97390.360000 N N N N/A N/A 000000000 1.000000 NC USD -314582.890000 -0.0285048 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-05-10 0.000000 USD 0.000000 USD 5590000.000000 USD -314582.890000 N N N N/A N/A 000000000 1.000000 NC USD 462768.890000 0.0419322 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2028-02-05 10241.080000 USD 0.000000 USD 4720000.000000 USD 452527.810000 N N N N/A N/A 000000000 1.000000 NC USD 188688.560000 0.0170973 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2028-05-09 0.000000 USD 0.000000 USD 1820000.000000 USD 188688.560000 N N N N/A N/A 000000000 1.000000 NC USD 286548.090000 0.0259645 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2028-05-09 0.000000 USD 0.000000 USD 2740000.000000 USD 286548.090000 N N N N/A N/A 000000000 1.000000 NC USD 586914.490000 0.0531812 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2028-05-10 0.000000 USD 0.000000 USD 5590000.000000 USD 586914.490000 N N N N/A N/A 000000000 1.000000 NC USD 51525.110000 0.0046688 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 US CPI Urban Consumers NSA N/A N/A Y 2026-07-20 0.000000 USD 0.000000 USD 1900000.000000 USD 51525.110000 N N N N/A N/A 000000000 1.000000 NC USD 26326.200000 0.0023855 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 US CPI Urban Consumers NSA N/A N/A Y 2026-09-20 0.000000 USD 0.000000 USD 900000.000000 USD 26326.200000 N N N N/A N/A 000000000 1.000000 NC -3823.070000 -0.0003464 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 -962.270000 JPY 13680000.000000 JPY -2860.800000 N N N N/A N/A 000000000 1.000000 NC -139769.090000 -0.0126647 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2029-03-21 0.000000 JPY -20954.350000 JPY 385260000.000000 JPY -118814.740000 N N N N/A N/A 000000000 1.000000 NC USD -21644.880000 -0.0019613 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-06-21 25766.500000 USD 0.000000 USD 300000.000000 USD -47411.380000 N N N N/A N/A 000000000 1.000000 NC USD -119573.170000 -0.0108347 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-21 0.000000 USD -28834.980000 USD 1400000.000000 USD -90738.190000 N N N N/A N/A 000000000 1.000000 NC USD -119631.820000 -0.0108400 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-21 0.000000 USD -33951.500000 USD 1400000.000000 USD -85680.320000 N N N N/A N/A 000000000 1.000000 NC -49894.400000 -0.0045210 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 5307732.550000 JPY 567715074.000000 JPY 2020-07-02 -49894.400000 N N N N/A N/A 000000000 1.000000 NC -750252.210000 -0.0679814 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 29470000.000000 AUD 19586999.740000 USD 2020-07-02 -750252.210000 N N N N/A N/A 000000000 1.000000 NC 76347.510000 0.0069180 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 2755200000.000000 JPY 25593365.340000 USD 2020-07-02 76347.510000 N N N N/A N/A 000000000 1.000000 NC 49958.520000 0.0045268 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 567715074.000000 JPY 5309951.650000 USD 2020-08-04 49958.520000 N N N N/A N/A 000000000 1.000000 NC -56793.820000 -0.0051462 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 5699705.720000 JPY 609293412.000000 JPY 2020-07-02 -56793.820000 N N N N/A N/A 000000000 1.000000 NC 6308.100000 0.0005716 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 140205.270000 RUB 10461416.000000 RUB 2020-07-27 6308.100000 N N N N/A N/A 000000000 1.000000 NC -2719.430000 -0.0002464 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 109386.560000 RUB 7616296.000000 RUB 2020-07-27 -2719.430000 N N N N/A N/A 000000000 1.000000 NC -2618.880000 -0.0002373 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 108783.240000 RUB 7580397.000000 RUB 2020-07-27 -2618.880000 N N N N/A N/A 000000000 1.000000 NC -5923.150000 -0.0005367 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 611605.590000 RUB 43332681.000000 RUB 2020-08-14 -5923.150000 N N N N/A N/A 000000000 1.000000 NC 56908.040000 0.0051565 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 609293412.000000 JPY 5702132.750000 USD 2020-08-04 56908.040000 N N N N/A N/A 000000000 -2200000.000000 NC USD -2224.860000 -0.0002016 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% AUG 30YR N/A 102.130000 USD 2020-08-06 XXXX 6368.890000 N N N N/A N/A 000000000 -11800000.000000 NC USD -11658.400000 -0.0010564 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% AUG 30YR N/A 102.090000 USD 2020-08-06 XXXX 34435.350000 N N N N/A N/A 000000000 36000000.000000 NC USD 0.360000 0.0000000 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Purchased UMBS PASS THRU POOLS FNMA TBA 4.0% JUL 30YR N/A 66.000000 USD 2020-07-07 XXXX -1405.890000 N N N N/A N/A 000000000 46200000.000000 NC USD 0.460000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 4.0% JUL 30YR N/A 76.000000 USD 2020-07-07 XXXX -1804.230000 N N N N/A N/A 000000000 -4600000.000000 NC USD -6008.060000 -0.0005444 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% AUG 30YR N/A 102.560000 USD 2020-08-06 XXXX 18429.440000 N N N ASSET BACKED SEC CORP HOME EQY 2003-HE4 N/A 04541GEV0 76705.880000 PA USD 75115.440000 0.0068063 Long ABS-MBS CORP US N 2 2033-08-15 Floating 3.18363 N N N N N N N/A N/A 000000000 66000000.000000 NC USD 0.660000 0.0000001 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Purchased UMBS PASS THRU POOLS FNMA TBA 3.5% AUG 30YR N/A 64.000000 USD 2020-08-06 XXXX -2577.470000 N N N N/A N/A 000000000 -7100000.000000 NC USD -0.070000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% JUL 30YR N/A 102.500000 USD 2020-07-07 XXXX 33003.840000 N N N N/A N/A 000000000 -5100000.000000 NC USD -0.050000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% JUL 30YR N/A 102.530000 USD 2020-07-07 XXXX 17929.640000 N N N N/A N/A 000000000 -11700000.000000 NC USD -4278.690000 -0.0003877 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUL 30YR N/A 100.790000 USD 2020-07-07 XXXX 71588.500000 N N N N/A N/A 000000000 -4100000.000000 NC USD -1877.800000 -0.0001702 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUL 30YR N/A 101.000000 USD 2020-07-07 XXXX 27590.950000 N N N N/A N/A 000000000 -7800000.000000 NC USD -1859.520000 -0.0001685 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUL 30YR N/A 100.400000 USD 2020-07-07 XXXX 51765.480000 N N N N/A N/A 000000000 16.000000 NC 6129.880000 0.0005554 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A UNITED KINGDOM GOVT 2020-09-28 2728796.820000 GBP 6129.880000 N N N N/A N/A 000000000 -320.000000 NC USD -157492.160000 -0.0142706 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-09-21 -44535000.000000 USD -157492.160000 N N N N/A N/A 000000000 -48.000000 NC USD -28409.660000 -0.0025742 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-09-21 -7559250.000000 USD -28409.660000 N N N N/A N/A 000000000 -26.000000 NC USD -845.060000 -0.0000766 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-09-30 -5741531.280000 USD -845.060000 N N N N/A N/A 000000000 -1040.000000 NC USD -246617.960000 -0.0223464 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-09-30 -130771875.520000 USD -246617.960000 N N N N/A N/A 000000000 -13.000000 NC USD -5299.450000 -0.0004802 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-09-21 -2321312.500000 USD -5299.450000 N N N N/A N/A 000000000 -40.000000 NC USD -16313.200000 -0.0014782 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-09-21 -8726250.000000 USD -16313.200000 N N N N/A N/A 000000000 72.000000 NC USD -73095.840000 -0.0066233 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Wheat 2020-09-14 1770300.000000 USD -73095.840000 N N N AT&T INC 549300Z40J86GGSTL398 00206RFZ0 1600000.000000 PA USD 1608251.180000 0.1457260 Long DBT CORP US N 2 2021-06-01 Floating 1.1 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RDV1 2800000.000000 PA USD 2823256.130000 0.2558194 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 1300000.000000 PA 1443341.530000 0.1307833 Long ABS-CBDO CORP IE N 2 2029-10-13 Floating 0.68 N N N N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 ACI01MVQ4 19276656.000000 PA 13501549.330000 1.2233951 Long DBT NUSS AU N 2 2022-02-21 Fixed 1.25 N N N N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 B4RNSXII1 7961304.000000 PA 6374764.240000 0.5776267 Long DBT NUSS AU N 2 2025-09-20 Fixed 3 N N N N N N AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA) 95980020140005848404 B5BMDRII6 700000.000000 PA 829936.440000 0.0752018 Long DBT NUSS ES N 2 2021-09-15 Fixed 4.9 N N N N N N CHENIERE ENERGY INC MIHC87W9WTYSYZWV1J40 16411R208 31827.000000 NS USD 1537880.640000 0.1393496 Long EC CORP US N 1 N N N B&M CLO LTD 2014-1A N/A 05509RAJ4 44684.450000 PA USD 44518.560000 0.0040339 Long ABS-CBDO CORP KY N 2 2026-04-16 Floating 1.90613 N N N N N N BABSON EURO CLO 2015-1A BV N/A ACI0Y8ZQ5 287493.170000 PA 320055.370000 0.0290007 Long ABS-CBDO CORP NL N 2 2029-10-25 Floating 0.659 N N N N N N BABSON EURO CLO 2016-1 BV 16-1A N/A ACI13K096 400000.000000 PA 446424.780000 0.0404512 Long ABS-CBDO CORP NL N 2 2030-07-27 Floating 0.68 N N N N N N BANC OF AMERICA ALT LOAN TRUST 2005-11 N/A 05948KV97 689565.500000 PA USD 523576.810000 0.0474421 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.8345 Y N N N N N BANC OF AMERICA ALT LOAN TRUST 2006-5 N/A 05950BAS3 501978.440000 PA USD 481600.420000 0.0436385 Long ABS-MBS CORP US N 2 2046-06-25 Fixed 6 Y N N N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 ACI0LW0M3 800000.000000 PA 931324.520000 0.0843887 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 BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 BF2PHRII3 200000.000000 PA 219090.950000 0.0198522 Long DBT CORP ES N 2 2023-09-24 Floating 5.875 N N N N Y BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) EUR XXXX N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BQQ3S0II9 400000.000000 PA 431505.620000 0.0390994 Long DBT CORP ES N 2 2021-09-11 Floating 6.25 N N N N Y BANCO SANTANDER SA EUR XXXX N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BF8PC7II6 400000.000000 PA 425810.830000 0.0385833 Long DBT CORP ES N 2 2023-09-29 Floating 5.25 N N N N Y BANCO SANTANDER SA EUR XXXX N N N BANK OF AMERICA MTG SEC 2005-3 N/A 05949A6C9 97029.300000 PA USD 85888.250000 0.0077825 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.23391 Y N N N N N BANK OF AMERICA MTGE SEC 2005-G N/A 05949CED4 109654.010000 PA USD 105006.290000 0.0095148 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.20856 Y N N N N N BANK OF AMERICA MTGE SECS-2005-J N/A 05949CKT2 96181.980000 PA USD 91694.890000 0.0083086 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.88865 Y N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 2100000.000000 PA USD 2287522.590000 0.2072758 Long DBT CORP GB N 2 2022-11-21 Fixed 7.625 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAT2 1500000.000000 PA USD 1500142.670000 0.1359301 Long DBT CORP US N 2 2020-08-14 Floating 1.014 N N N N N N BCAP LLC TRUST 2011-RR5 N/A 05533YBC3 509238.130000 PA USD 428159.070000 0.0387961 Long ABS-MBS CORP US N 2 2036-04-26 Floating 3.53061 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-2 N/A 07388DAS7 203828.070000 PA USD 190382.690000 0.0172509 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 2005-1 N/A 07387AAF2 413.140000 PA USD 411.970000 0.0000373 Long ABS-MBS CORP US N 2 2035-03-25 Floating 3.3448 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-EC2 N/A 07387UDS7 4205087.870000 PA USD 4170927.840000 0.3779339 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.79825 N N N N N N CORESITE REALTY CORPORATION 549300H0YYORITFM2B74 21870Q105 3826.000000 NS USD 463175.560000 0.0419690 Long EC CORP US N 1 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822V101 6121.000000 NS USD 1024349.350000 0.0928178 Long EC CORP US N 1 N N N CUBESMART N/A 229663109 28488.000000 NS USD 768891.120000 0.0696703 Long EC CORP US N 1 N N N DEPOSITORY TRUST & CLEARING CORP (DTCC) MLDY5N6PZ58ZE60QU102 249670AA8 1500000.000000 NS USD 1335322.500000 0.1209955 Long EP CORP US N 2 N N N DIGITAL REALTY TRUST INC 549300HKCZ31D08NEI41 253868103 17176.000000 NS USD 2440881.360000 0.2211718 Long EC CORP US N 1 N N N DOUGLAS EMMETT INC N/A 25960P109 14640.000000 NS USD 448862.400000 0.0406721 Long EC CORP US N 1 N N N CIFC FUNDING LTD 2015-5A N/A 12547UAL2 1020000.000000 PA USD 1005858.440000 0.0911423 Long ABS-CBDO CORP KY N 2 2027-10-25 Floating 1.85138 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAA0 376403.310000 PA USD 376169.150000 0.0340852 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 71896.000000 NS USD 2544399.440000 0.2305517 Long EC CORP US N 1 N N N ALEXANDRIA REAL ESTATE EQUITIES INC MGCJBT4MKTQBVLNUIS88 015271109 17696.000000 NS USD 2871176.000000 0.2601614 Long EC CORP US N 1 N N N CITIGROUP MORTGAGE LOAN TR 2004-NCM2 N/A 17307GGX0 1605356.980000 PA USD 1626769.390000 0.1474039 Long ABS-MBS CORP US N 2 2034-08-25 Fixed 5.5 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3 N/A 17309QAG9 2300000.000000 PA USD 2110595.000000 0.1912441 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.5145 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAA3 310212.380000 PA USD 245296.690000 0.0222267 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.24825 N N N N N N CITY OF BUENOS AIRES 5299007MC8RF52X0ON96 ACI0SB547 6400000.000000 PA 63354.970000 0.0057407 Long DBT MUN AR N 2 2022-01-23 Floating 36.9462 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273V100 134765.000000 NS USD 959526.800000 0.0869441 Long EC CORP US N 1 N N N ENTERPRISE PRODUCTS PARTNERS LP K4CDIF4M54DJZ6TB4Q48 293792107 73242.000000 NS USD 1330807.140000 0.1205864 Long EC CORP US N 1 N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444U700 5600.000000 NS USD 3932880.000000 0.3563640 Long EC CORP US N 1 N N N EQUITY LIFESTYLE PROPERTIES INC 529900PEQG66LENB6798 29472R108 17472.000000 NS USD 1091650.560000 0.0989161 Long EC CORP US N 1 N N N EQUITY RESIDENTIAL 5493008RACSH5EP3PI59 29476L107 52621.000000 NS USD 3095167.220000 0.2804576 Long EC CORP US N 1 N N N CORPORACION ANDINA DE FOMENTO (CAF) UKZ46SXGNYCZK0UOZE76 ACI08TK92 8373406.600000 PA 369662.890000 0.0334957 Long DBT CORP N/A N 2 2021-10-15 Fixed 3.95 N N N N N N ESSEX PROPERTY TRUST INC 549300TR2H2VEFX0NC60 297178105 7364.000000 NS USD 1687607.880000 0.1529166 Long EC CORP US N 1 N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA17 N/A 12668PAA0 218575.220000 PA USD 176767.770000 0.0160172 Long ABS-MBS CORP US N 2 2046-12-20 Floating 0.385 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-43 N/A 12667G5V1 24575.580000 PA USD 20540.540000 0.0018612 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.37697 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-50CB N/A 12668ALH6 54020.620000 PA USD 52203.440000 0.0047302 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-79CB N/A 12668BAE3 251502.380000 PA USD 211868.450000 0.0191977 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB N/A 02147QAD4 112971.060000 PA USD 94749.080000 0.0085854 Long ABS-MBS CORP US N 2 2036-08-25 Floating 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1 N/A 02146VAC6 93057.440000 PA USD 82543.100000 0.0074794 Long ABS-MBS CORP US N 2 2036-11-25 Fixed 6.25 Y N N N N N EXTRA SPACE STORAGE INC N/A 30225T102 11445.000000 NS USD 1057174.650000 0.0957921 Long EC CORP US N 1 N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB N/A 02150EAN3 167689.070000 PA USD 133093.610000 0.0120598 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB N/A 02150EAD5 195633.330000 PA USD 155273.020000 0.0140695 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 Y N N N N N FEDERAL REALTY INVESTMENT TRUST 549300LI6XZ51GOCJ427 313747206 4842.000000 NS USD 412586.820000 0.0373851 Long EC CORP US N 1 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-OC5 N/A 02147HAD4 93394.520000 PA USD 97776.450000 0.0088597 Long ABS-MBS CORP US N 2 2046-06-25 Floating 0.2945 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB N/A 02148FBX2 1029924.650000 PA USD 1033505.080000 0.0936474 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-21 N/A 12667LAE2 1100000.000000 PA USD 980862.410000 0.0888774 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.4145 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-4 N/A 126673R20 1674476.730000 PA USD 1659401.580000 0.1503608 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.12825 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-5 N/A 126673V33 4214031.170000 PA USD 4104812.330000 0.3719430 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.9845 N N N N N N FIRST INDUSTRIAL REALTY TRUST INC N/A 32054K103 25778.000000 NS USD 990906.320000 0.0897875 Long EC CORP US N 1 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-1 N/A 23245CAA8 433335.410000 PA USD 380010.760000 0.0344333 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.3245 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAA8 113843.740000 PA USD 96594.520000 0.0087526 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.3845 N N N N N N COUNTRYWIDE ASSET-BACKED CERTI 2006-19 N/A 12667CAD4 2200000.000000 PA USD 1953874.560000 0.1770434 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.4345 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-13 N/A 126670GR3 78762.820000 PA USD 74350.480000 0.0067370 Long ABS-MBS CORP US N 2 2036-04-25 Variable 5.805 Y N N N N N COUNTRYWIDE HOME LOANS 2004-HYB5 N/A 12669F3A9 9085.280000 PA USD 8702.280000 0.0007885 Long ABS-MBS CORP US N 2 2035-04-20 Floating 4.11914 N N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A 12669GTQ4 292832.510000 PA USD 259806.300000 0.0235414 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.7645 N N N N N N COUNTRYWIDE HOME LOANS 2007-1 N/A 170255AA1 782706.480000 PA USD 623448.880000 0.0564916 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N COUNTRYWIDE HOME LOANS 2007-10 N/A 12545CAE0 1415719.370000 PA USD 1094851.810000 0.0992061 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 Y N N N N N COUNTRYWIDE HOME LOANS 2007-4 N/A 12544RAA6 454393.710000 PA USD 331810.460000 0.0300658 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 Y N N N N N GAMING AND LEISURE PROPERTIES INC 5493006GWRDBCZYWTM57 36467J108 24324.000000 NS USD 841610.400000 0.0762595 Long EC CORP US N 1 N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AH4 600000.000000 PA USD 637616.000000 0.0577753 Long DBT CORP GG N 2 2022-09-15 Fixed 3.8 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL8 N/A 12596YAC4 3377957.200000 PA USD 3460612.430000 0.3135711 Long ABS-MBS CORP US N 2 2058-10-25 Fixed 3.322 N N N N N N CSAB MTGE BACKED PASS-THRU CERTS 2006-1 N/A 22943HAG1 482693.060000 PA USD 193720.030000 0.0175533 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.172 Y N N N N N CVP CASCADE CLO LTD 2013-CLO1 N/A 126612AJ9 99424.540000 PA USD 99438.830000 0.0090103 Long ABS-CBDO CORP KY N 2 2026-01-16 Floating 2.32613 N N N N N N COMMODITY WAREHOUSE RECEIPT N/A 935QKJ901 1823.430000 NS USD 3245869.510000 0.2941130 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 965UFPII8 25066.190000 NS USD 44620074.160000 4.0430900 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 965RUX900 385.440000 NS USD 686125.010000 0.0621708 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 966RUBII8 95.970000 NS USD 170835.240000 0.0154796 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 965RNA908 897.280000 NS USD 1597239.160000 0.1447282 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 935KJP902 1254.000000 NS USD 2232232.860000 0.2022659 Long COMM US N 2 N N N DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB3 N/A 25151EAF0 257519.320000 PA USD 239414.780000 0.0216937 Long ABS-MBS CORP US N 2 2036-07-25 Variable 6.3 Y N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2007-AB1 N/A 25151WAA1 620588.110000 PA USD 413901.240000 0.0375042 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.4845 N N N N N N GRANDVISION 724500XWZPQ81SF9S591 BV9FWX902 35633.000000 NS 1014853.280000 0.0919573 Long EC CORP NL N 1 N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BX6 4400000.000000 PA USD 4517014.040000 0.4092932 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 600000.000000 PA USD 599196.880000 0.0542941 Long DBT CORP US N 2 2021-06-15 Floating 0.91338 N N N N N N DORCHESTER PARK CLO LTD 2015-1A N/A 25820NAA2 800000.000000 PA USD 790192.760000 0.0716005 Long ABS-CBDO CORP IE N 2 2028-04-20 Floating 2.03525 N N N N N N EBAY INC OML71K8X303XQONU6T67 278642AS2 700000.000000 PA USD 732159.000000 0.0663420 Long DBT CORP US N 2 2023-01-30 Fixed 2.75 N N N N N N EGCLO 2018-1A N/A 29915RAA1 1388135.190000 PA USD 1369989.960000 0.1241368 Long ABS-CBDO CORP KY N 2 2028-05-28 Floating 1.29125 N N N N N N AMERICAN CAMPUS COMMUNITIES INC 529900MR3ZXRO3W6UX26 024835100 19272.000000 NS USD 673749.120000 0.0610494 Long EC CORP US N 1 N N N ELM PARK CLO DAC 1A N/A ACI120P60 300000.000000 PA 334100.680000 0.0302734 Long ABS-CBDO CORP IE N 2 2029-04-16 Floating 0.62 N N N N N N HEALTHCARE REALTY TRUST INCORPORATED 549300CB86LH2IOKHH22 421946104 22457.000000 NS USD 657765.530000 0.0596011 Long EC CORP US N 1 N N N HEALTHCARE TRUST OF AMERICA INC 549300L0I14L7I0VLX84 42225P501 10964.000000 NS USD 290765.280000 0.0263467 Long EC CORP US N 1 N N N HEALTHPEAK PROPERTIES INC PZ9HF5U52KPF0MH0QN75 42250P103 29673.000000 NS USD 817787.880000 0.0741010 Long EC CORP US N 1 N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26884TAT9 100000.000000 PA USD 101222.220000 0.0091719 Long DBT CORP US N 2 2023-11-01 Fixed 2.7 N N N N N N AMERICAN HOMES 4 RENT 549300ZJUO7A58PNUW40 02665T306 44012.000000 NS USD 1183922.800000 0.1072770 Long EC CORP US N 1 N N N HOST HOTELS & RESORTS INC N6EL63S0K3PB1YFTDI24 44107P104 86264.000000 NS USD 930788.560000 0.0843401 Long EC CORP US N 1 N N N HUDSON PACIFIC PROPERTIES INC N/A 444097109 35762.000000 NS USD 899771.920000 0.0815296 Long EC CORP US N 1 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027X100 10321.000000 NS USD 2668391.340000 0.2417868 Long EC CORP US N 1 N N N AMERICOLD REALTY TRUST 549300R7N1V5YV8MWH02 03064D108 28895.000000 NS USD 1048888.500000 0.0950413 Long EC CORP US N 1 N N N INVITATION HOMES INC N/A 46187W107 66239.000000 NS USD 1823559.670000 0.1652354 Long EC CORP US N 1 N N N JBG SMITH PROPERTIES N/A 46590V100 11265.000000 NS USD 333106.050000 0.0301832 Long EC CORP US N 1 N N N FIRST FRANKLIN MTG LOAN 2005-FF12 N/A 32027NXX4 2600000.000000 PA USD 2220450.180000 0.2011982 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.6545 N N N N N N FIRST HORIZON ALT MTG SEC 2006-FA8 N/A 32052DAG6 67855.750000 PA USD 45673.030000 0.0041385 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N KILROY REALTY CORPORATION 549300CXXI18B214UN80 49427F108 13784.000000 NS USD 809120.800000 0.0733156 Long EC CORP US N 1 N N N LIFE STORAGE INC (AKA: SOVRAN SELF STORAGE INC) W9EE01AFDDF9DQCQZC68 53223X107 5188.000000 NS USD 492600.600000 0.0446353 Long EC CORP US N 1 N N N APARTMENT INVESTMENT AND MANAGEMENT COMPANY 549300O8FT5GJ4RU1D57 03748R754 25941.000000 NS USD 976419.240000 0.0884748 Long EC CORP US N 1 N N N MGM GROWTH PROPERTIES LLC 549300E2UGIBHWE12262 55303A105 37112.000000 NS USD 1009817.520000 0.0915010 Long EC CORP US N 1 N N N MID-AMERICA APARTMENT COMMUNITIES INC 549300FQZKFR5YNSHZ21 59522J103 14211.000000 NS USD 1629575.370000 0.1476582 Long EC CORP US N 1 N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680103 34056.000000 NS USD 1131340.320000 0.1025124 Long EC CORP US N 1 N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAA0 276989.310000 PA USD 246431.070000 0.0223295 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.30325 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAD4 5132993.410000 PA USD 2622439.150000 0.2376230 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.31825 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAE2 2821261.540000 PA USD 1480384.490000 0.1341398 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.4245 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 1811404.520000 PA USD 17858637.190000 1.6181972 Long STIV RF US N 1 N N N PIMCO FUNDS Y52315K7L96R2YWLTM72 72201F409 12421022.210000 NS USD 93033456.350000 8.4298973 Long EC RF US N 1 N N N PLAINS ALL AMERICAN PIPELINE LP 5521FA2ITF25TVH63740 726503105 86112.000000 NS USD 761230.080000 0.0689762 Long EC CORP US N 1 N N N PORTOLA PHARMACEUTICALS INC 549300BM3O4O0CNBGJ64 737010108 60166.000000 NS USD 1082386.340000 0.0980766 Long EC CORP US N 1 N N N PROLOGIS INC 529900DFH19P073LZ636 74340W103 82411.000000 NS USD 7691418.630000 0.6969307 Long EC CORP US N 1 N N N PUBLIC STORAGE, INC. 549300LMZF40TKJ6DM64 74460D109 17968.000000 NS USD 3447879.520000 0.3124174 Long EC CORP US N 1 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GVQ4 3300000.000000 PA USD 3304296.700000 0.2994071 Long DBT CORP US N 2 2020-09-15 Floating 1.51338 N N N N N N REGENCY CENTERS CORPORATION 529900053A7X7FJ97S58 758849103 14467.000000 NS USD 663890.630000 0.0601561 Long EC CORP US N 1 N N N AVALONBAY COMMUNITIES INC K9G90K85RBWD2LAGQX17 053484101 18407.000000 NS USD 2846458.480000 0.2579218 Long EC CORP US N 1 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15 N/A 38380LJY0 1759958.750000 PA USD 1743932.040000 0.1580202 Long ABS-MBS USGSE US N 2 2068-08-20 Floating 2.26588 N N N N N N REXFORD INDUSTRIAL REALTY INC 549300MSLO0DF0EMX355 76169C100 18955.000000 NS USD 785305.650000 0.0711577 Long EC CORP US N 1 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-20 N/A 38381RCM9 3859159.240000 PA USD 3854453.770000 0.3492577 Long ABS-MBS USGSE US N 2 2049-02-20 Floating 0.59 N N N N N N RIB SOFTWARE SE 549300TXKMFBJ0ECRO90 ACI1L7582 18435.000000 NS 600639.720000 0.0544248 Long EC CORP DE N 1 N N N GRIFONAS FINANCE NO.1 PLC GRIF-1 N/A B1DFQWII3 352815.160000 PA 372901.710000 0.0337892 Long ABS-MBS CORP GB N 2 2039-08-28 Floating 0 N N N N N N GSAMP TRUST 2006-HE3 N/A 36244KAD7 82856.920000 PA USD 81605.080000 0.0073944 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.48825 N N N N N N RYMAN HOSPITALITY PROPERTIES INC (AKA: GAYLORD ENTERTAINMENT CO) 529900GCCWW9SRMPJR11 78377T107 14836.000000 NS USD 513325.600000 0.0465132 Long EC CORP US N 1 N N N SABRA HEALTH CARE REIT INC 549300E3BC7GU7TAZ621 78573L106 18023.000000 NS USD 260071.890000 0.0235655 Long EC CORP US N 1 N N N GSR MORTGAGE LOAN TRUST 2005-8F N/A 362341VX4 402804.570000 PA USD 268538.000000 0.0243326 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 6 Y N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 15128.120000 PA USD 15058.490000 0.0013645 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.06528 N N N N N N HALCYON LOAN ADVISORS FUNDING LTD 2015-1A N/A 40538HAN9 394026.700000 PA USD 389943.900000 0.0353334 Long ABS-CBDO CORP KY N 2 2027-04-20 Floating 2.05525 N N N N N N SBA COMMUNICATIONS CORPORATION 5299001HX8ZN8Y8QIT49 78410G104 7926.000000 NS USD 2361313.920000 0.2139621 Long EC CORP US N 1 N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 3950751.640000 PA 4894163.540000 0.4434673 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.28692 N N N N N N HOME EQUITY PASS-THRU CERTS 2005-8 N/A 437084QA7 4900000.000000 PA USD 4593996.960000 0.4162688 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.6345 N N N N N N INDYMAC IMSC MTGE LN TRUST 2007-HOA1 N/A 45670LAA5 541460.460000 PA USD 411271.650000 0.0372659 Long ABS-MBS CORP US N 2 2047-07-25 Floating 0.3645 Y N N N N N INDYMAC INDB MORTGAGE LOAN TR 2006-1 N/A 45661JAA1 898527.150000 PA USD 355742.980000 0.0322344 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.2545 N N N N N N COMMODITY WAREHOUSE RECEIPT N/A 935LYL902 335121.050000 NS USD 6085798.270000 0.5514431 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 935RRH906 74928.950000 NS USD 1360709.730000 0.1232959 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 936QAX900 69800.000000 NS USD 1267568.000000 0.1148562 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 935QKK908 60250.000000 NS USD 1094140.000000 0.0991416 Long COMM US N 2 N N N SIMON PROPERTY GROUP INC 529900GQL5X8H7AO3T64 828806109 40799.000000 NS USD 2789835.620000 0.2527911 Long EC CORP US N 1 N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAA4 413032.390000 PA USD 344985.630000 0.0312597 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.4045 N N N N N N ING BANK NV/AMSTERDAM BRANCH 3TK20IVIUJ8J3ZU0QE75 44986L2A6 1200000.000000 PA USD 1259394.000000 0.1141155 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 100000.000000 PA USD 102373.320000 0.0092762 Long DBT CORP US N 2 2020-12-15 Fixed 8.25 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI1MHM64 19085675.000000 PA 21909027.210000 1.9852089 Long DBT NUSS IT N 2 2025-05-26 Fixed 1.4 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 997810840.000000 PA 9208784.460000 0.8344214 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1BXN03 1707037920.000000 PA 15801661.510000 1.4318116 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N JMP CREDIT ADVISORS CLO IIIR LTD 2014-1RA N/A 46649DAA9 579182.650000 PA USD 566624.660000 0.0513427 Long ABS-CBDO CORP KY N 2 2028-01-17 Floating 1.98488 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A3 N/A 466247PW7 9165.740000 PA USD 9058.950000 0.0008208 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.61076 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 163641.820000 PA USD 157200.170000 0.0142441 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.37825 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI09QH00 1817.920000 PA 288.350000 0.0000261 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI1CPNN9 103811030.900000 PA 15581437.050000 1.4118568 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N STORE CAPITAL CORPORATION 5493004EA6C9IHDZ7N66 862121100 5678.000000 NS USD 135193.180000 0.0122501 Long EC CORP US N 1 N N N SUN COMMUNITIES INC 549300H5GEOJYN41ZG57 866674104 30890.000000 NS USD 4191155.200000 0.3797667 Long EC CORP US N 1 N N N SUNSTONE HOTEL INVESTORS INC 529900ZQ2V52V96ATF67 867892101 36142.000000 NS USD 294557.300000 0.0266903 Long EC CORP US N 1 N N N LEHMAN MORTGAGE TRUST 2005-3 N/A 52520MEK5 335047.350000 PA USD 336514.990000 0.0304921 Long ABS-MBS CORP US N 2 2036-01-25 Variable 5.1763 Y N N N N N LEHMAN XS TRUST 2006-7 N/A 52522EAA7 1090730.400000 PA USD 1077409.200000 0.0976256 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.3445 N N N N N N LEHMAN XS TRUST 2006-8 N/A 52522HAM4 919316.700000 PA USD 938713.180000 0.0850582 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.4 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAG8 700000.000000 PA USD 702990.750000 0.0636990 Long DBT CORP GB N 2 2021-06-21 Floating 1.10638 N N N N N N LOANCORE ISSUER LTD 2019-CRE2 N/A 53946JAA2 1600000.000000 PA USD 1584597.680000 0.1435827 Long ABS-O CORP KY N 2 2036-05-15 Floating 1.31475 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-WL3 N/A 542514SW5 1801857.290000 PA USD 1532043.580000 0.1388207 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 963138.960000 PA USD 938429.410000 0.0850325 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 500000.000000 PA 553885.290000 0.0501884 Long ABS-CBDO CORP IE N 2 2030-01-15 Floating 0.87 N N N N N N MARLETTE FUNDING TRUST 2019-3 N/A 57109MAA9 197895.550000 PA USD 199185.160000 0.0180485 Long ABS-O CORP US N 2 2029-09-17 Fixed 2.69 N N N N N N MASTR ALT LN TR 2006-2 N/A 5764342H6 417756.860000 PA USD 24911.890000 0.0022573 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.5845 Y N N N N N MASTR ASSET BACKED SEC TR 2006-HE2 N/A 57644UAF2 274538.680000 PA USD 152030.870000 0.0137757 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.64825 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC1 N/A 57643LNG7 5000000.000000 PA USD 4810659.000000 0.4359008 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.73825 N N N N N N MICROCHIP TECHNOLOGY INCORPORATED 5493007PTFULNYZJ1R12 595017AN4 100000.000000 PA USD 101971.700000 0.0092398 Long DBT CORP US N 2 2021-06-01 Fixed 3.922 N N N N N N MIDOCEAN CREDIT CLO IV 2015-4A N/A 59801QAJ8 589682.950000 PA USD 580751.020000 0.0526227 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 2.01888 N N N N N N MONARCH GROVE CLO 2018-1A N/A 60909GAA8 1208287.850000 PA USD 1194694.610000 0.1082530 Long ABS-CBDO CORP KY N 2 2028-01-25 Floating 1.87138 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE4 N/A 61748BAC8 1601423.660000 PA USD 1047331.230000 0.0949002 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.3345 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAA0 1217057.670000 PA USD 1051304.150000 0.0952602 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.29825 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAB8 302070.690000 PA USD 155687.140000 0.0141070 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.23825 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC5 N/A 61749BAD5 22186.070000 PA USD 12854.870000 0.0011648 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.2945 N N N N N N MORGAN STANLEY MORTGAGE LN TR 2007-5AX N/A 61751GAD9 200301.180000 PA USD 83511.610000 0.0075671 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.62825 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAR2 149989.700000 PA USD 149263.630000 0.0135250 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.64798 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2006-12XS N/A 61749EAH0 232380.380000 PA USD 104615.630000 0.0094794 Long ABS-MBS CORP US N 2 2036-10-25 Variable 5.72629 Y N N N N N UDR INC P3CH2EG5X6Z1XWU1OO74 902653104 33925.000000 NS USD 1268116.500000 0.1149059 Long EC CORP US N 1 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 670000.000000 NS USD 685767.400000 0.0621384 Long EP CORP US N 2 N N N NEUBERGER BERMAN CLO XIX LTD 2015-19A N/A 64130CAN2 736291.580000 PA USD 729563.720000 0.0661068 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 2.01888 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A N/A 64830KAA5 4001587.180000 PA USD 4332595.270000 0.3925828 Long ABS-MBS CORP US N 2 2058-05-25 Variable 4.5 N N N N N N VENTAS INC ORQTRC074CWLT3DKHT41 92276F100 32055.000000 NS USD 1173854.100000 0.1063646 Long EC CORP US N 1 N N N NEW YORK MORTGAGE TRUST 2006-1 N/A 649603AQ0 113067.550000 PA USD 101421.770000 0.0091900 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.87599 Y N N N N N VORNADO REALTY TRUST N/A 929042109 27538.000000 NS USD 1052226.980000 0.0953438 Long EC CORP US N 1 N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI0CR3W9 880.530000 PA 139.640000 0.0000127 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BK99HJII9 11433201.710000 PA 1714333.830000 0.1553383 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-5 N/A 66988YAD4 185033.600000 PA USD 77859.770000 0.0070550 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.3545 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI09WV27 5000.520000 PA 793.340000 0.0000719 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BK9CXBII1 54975196.030000 PA 8247315.500000 0.7473013 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N WELLTOWER INC T6IZ0MBEG5ACZDTR7D06 95040Q104 38475.000000 NS USD 1991081.250000 0.1804148 Long EC CORP US N 1 N N N OCTAGON INVESTMENT PARTNERS LTD 2015-1A N/A 67590WCE2 320000.000000 PA USD 314786.360000 0.0285233 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 2.06888 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2019-2A N/A 69689PAA5 3992537.710000 PA USD 3951568.200000 0.3580574 Long ABS-CBDO CORP KY N 2 2027-04-20 Floating 2.10525 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI0WBN59 7700000.000000 PA 2483846.920000 0.2250650 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BX9 4200000.000000 PA 1369858.250000 0.1241249 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NAR0 645000.000000 PA USD 677904.680000 0.0614259 Long DBT CORP NL N 2 2022-01-17 Fixed 6.125 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NAK5 5100000.000000 PA USD 5562825.000000 0.5040557 Long DBT CORP NL N 2 2044-03-17 Fixed 7.25 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI122SK2 2200000.000000 PA USD 2364758.000000 0.2142742 Long DBT NUSS QA N 2 2023-04-23 Fixed 3.875 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI0B2V53 19760.080000 PA 3124.070000 0.0002831 Long DBT CORP DK N 2 2047-04-01 Fixed 2.5 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 5905321.380000 PA USD 2816094.820000 0.2551705 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.26825 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-EMX7 N/A 74924TAD6 580454.710000 PA USD 462456.340000 0.0419038 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.4245 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-KS9 N/A 75406YAD9 4202142.860000 PA USD 3631314.950000 0.3290387 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.4345 Y N N N N N RESIDENTIAL ASSET SEC TRUST 2005-A5 N/A 45660LJZ3 490831.970000 PA USD 368993.830000 0.0334351 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.5845 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A12 N/A 76113XAA9 182149.670000 PA USD 110183.450000 0.0099839 Long ABS-MBS CORP US N 2 2036-11-25 Fixed 6.25 Y N N N N N RESIDENTIAL ASSET SEC TRUST 2006-R1 N/A 76113MAB1 1060910.820000 PA USD 298500.940000 0.0270476 Long ABS-MBS CORP US N 2 2046-01-25 Floating 0.5845 Y N N N N N RESIDENTIAL ASSET SECUR TRUST 2005-A15 N/A 45660L4H9 220815.930000 PA USD 139173.370000 0.0126107 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.75 Y N N N N N RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A6 N/A 76114CAG1 11570557.790000 PA USD 3733596.840000 0.3383067 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6.5 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 1100000.000000 PA USD 1100958.750000 0.0997595 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 700000.000000 PA USD 761120.970000 0.0689663 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAH2 3710000.000000 PA USD 4121528.040000 0.3734577 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AC8 970266.340000 PA USD 614603.670000 0.0556901 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.66825 N N N N N N SECURITIZED ASSET BACKED REC 2006-HE1 N/A 81376YAD3 2343726.620000 PA USD 1115119.110000 0.1010426 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.32825 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BB4 800000.000000 PA USD 801422.520000 0.0726181 Long DBT CORP US N 2 2021-03-15 Floating 0.76338 N N N N N N SEQUOIA MORTGAGE TRUST 2007-3 N/A 81744MAA0 1479787.790000 PA USD 1391304.910000 0.1260682 Long ABS-MBS CORP US N 2 2036-07-20 Floating 0.57075 N N N N N N SHIRE ACQUISITIONS INVESTMENTS IRELAND DESIGNATED ACTIVITY COMPANY 549300XK5HGW68R8K327 82481LAC3 100000.000000 PA USD 105979.270000 0.0096029 Long DBT CORP IE N 2 2023-09-23 Fixed 2.875 N N N N N N SOUND POINT CLO XIV LTD 2016-3A N/A 83609NAL4 3400000.000000 PA USD 3340570.750000 0.3026940 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 2.193 N N N N N N SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1 N/A 83611DAA6 139492.770000 PA USD 53417.280000 0.0048402 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.22825 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT2 N/A 83611MML9 500000.000000 PA USD 473258.950000 0.0428827 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.4645 N N N N N N ADS WASTE HOLDINGS INC 549300ML1GEF4BKIM713 00790X101 32757.000000 NS USD 988278.690000 0.0895494 Long EC CORP US N 1 N N N SPRINGCASTLE FUNDING ASSET-BACKED NOTES 2019-AA N/A 85022WAL8 4206813.820000 PA USD 4260350.570000 0.3860366 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 300000.000000 PA USD 301314.230000 0.0273025 Long DBT CORP IE N 2 2020-10-30 Fixed 4.625 N N N N N N STANWICH MORTGAGE LOAN CO LLC 2019-NPB1 N/A 85502HAA4 317774.260000 PA USD 320613.860000 0.0290513 Long ABS-MBS CORP US N 2 2024-08-15 Fixed 3.375 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2019-FL1 N/A 78485WAA7 1200000.000000 PA USD 1176815.140000 0.1066329 Long ABS-CBDO CORP KY N 2 2038-07-15 Floating 1.26475 N N N N N N STRUCTURED ASSET INVST LN TR 2005-8 N/A 86358EXQ4 3832863.800000 PA USD 3720770.550000 0.3371444 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.88825 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 550317.130000 PA USD 501987.890000 0.0454859 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.4645 Y N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAE8 493660.860000 PA USD 464321.710000 0.0420729 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.4045 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 383429.490000 PA USD 343389.750000 0.0311150 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.3945 N N N N N N STRUCTURED ASSET SEC CORP 2005-7XS N/A 86359B7K1 22465.750000 PA USD 21828.520000 0.0019779 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.67263 N N N N N N SYMPHONY CLO XVII LTD 2016-17A N/A 87165UAN1 300000.000000 PA USD 297377.100000 0.0269458 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 2.09888 N N N N N N TAMPA ELECTRIC COMPANY WS423EPRKJIIJUITXD73 875127BB7 100000.000000 PA USD 101948.040000 0.0092377 Long DBT CORP US N 2 2022-09-15 Fixed 2.6 N N N N N N TELOS CLO LTD 2014-5A N/A 87974KAQ7 563909.590000 PA USD 557031.580000 0.0504734 Long ABS-CBDO CORP KY N 2 2028-04-17 Floating 2.08488 N N N N N N TICP CLO I LTD 2015-1A N/A 87248BAQ7 343840.050000 PA USD 339008.670000 0.0307181 Long ABS-CBDO CORP KY N 2 2027-07-20 Floating 1.93525 N N N N N N TICP CLO III-2 LTD 2018-3R N/A 87249FAC8 800000.000000 PA USD 788474.340000 0.0714448 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.97525 N N N N N N TOBACCO SETTLEMENT FINANCE AUTHORITY N/A 88880LAA1 145000.000000 PA USD 146142.600000 0.0132422 Long DBT MUN US N 2 2047-06-01 Fixed 7.467 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 8911457V0 1800000.000000 PA USD 1823807.950000 0.1652579 Long DBT CORP CA N 2 2021-03-15 Fixed 2.25 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 3253348.890000 PA 4032019.370000 0.3653472 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 876664.340000 PA USD 865375.810000 0.0784130 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 2.16525 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90351DAE7 10400000.000000 PA USD 10540139.580000 0.9550574 Long DBT CORP CH N 2 2021-04-14 Floating 3.09138 N N N N N N UMBS PASS THRU POOLS N/A 01F020695 10600000.000000 PA USD 10794328.630000 0.9780899 Long ABS-MBS USGSE US N 2 2050-09-14 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F022683 48900000.000000 PA USD 50867976.100000 4.6092216 Long ABS-MBS USGSE US N 2 2050-08-13 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022691 13200000.000000 PA USD 13701869.150000 1.2415464 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 01F030694 11200000.000000 PA USD 11755974.610000 1.0652260 Long ABS-MBS USGSE US N 2 2050-09-14 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F032682 66870000.000000 PA USD 70334392.940000 6.3731020 Long ABS-MBS USGSE US N 2 2050-08-13 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040677 8500000.000000 PA USD 9007011.660000 0.8161385 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 122000000.000000 PA USD 129343829.040000 11.7200331 Long ABS-MBS USGSE US N 2 2050-08-13 Fixed 4 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 5050000.000000 PA USD 5846691.690000 0.5297773 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BZ1NTBII7 1582283.700000 PA 2498457.370000 0.2263889 Long DBT NUSS GB N 2 2028-08-10 Fixed 0.125 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B1Z5HQII4 19135987.500000 PA 26313053.500000 2.3842642 Long DBT NUSS GB N 2 2022-11-22 Fixed 1.875 N N N N N N ALLIANCE BANCORP TRUST 2007-OA1 N/A 01852TAA1 775201.810000 PA USD 655294.990000 0.0593772 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.40825 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796WY1 1000.000000 PA USD 999.910000 0.0000906 Long DBT UST US N 2 2020-07-30 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828PP9 1441941.300000 PA USD 1456498.090000 0.1319754 Long DBT UST US N 2 2021-01-15 Fixed 1.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828UH1 7520426.690000 PA USD 7712041.750000 0.6987994 Long DBT UST US N 2 2023-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828B25 702305.730000 PA USD 740476.950000 0.0670957 Long DBT UST US N 2 2024-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FR4 42336777.120000 PA USD 48804588.580000 4.4222550 Long DBT UST US N 2 2025-01-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N71 80491956.600000 PA USD 87268446.440000 7.9075213 Long DBT UST US N 2 2026-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FS2 5784597.390000 PA USD 6731124.930000 0.6099171 Long DBT UST US N 2 2026-01-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828V49 29831803.000000 PA USD 32190067.590000 2.9167890 Long DBT UST US N 2 2027-01-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PS1 10681860.000000 PA USD 12985755.610000 1.1766583 Long DBT UST US N 2 2027-01-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 6757725.000000 PA USD 7408428.840000 0.6712885 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285W6 18854985.300000 PA USD 21504137.700000 1.9485213 Long DBT UST US N 2 2029-01-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PZ5 10618571.580000 PA USD 13624507.090000 1.2345365 Long DBT UST US N 2 2029-01-15 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Z37 -6777900.000000 PA USD -7331666.560000 -0.6643330 Short DBT UST US N 2 2030-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QF8 2218736.300000 PA USD 3275090.340000 0.2967607 Long DBT UST US N 2 2040-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QP6 7026240.000000 PA USD 10510747.890000 0.9523942 Long DBT UST US N 2 2041-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QV3 635555.200000 PA USD 762180.220000 0.0690623 Long DBT UST US N 2 2042-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 1650821.600000 PA USD 1948312.260000 0.1765394 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 16450232.500000 PA USD 22482842.350000 2.0372032 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 3931398.300000 PA USD 4816975.610000 0.4364732 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 22576986.600000 PA USD 29239710.690000 2.6494529 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RW0 467438.400000 PA USD 597196.680000 0.0541129 Long DBT UST US N 2 2047-02-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 11545413.880000 PA USD 15293846.090000 1.3857977 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Q60 28984069.740000 PA USD 29150006.730000 2.6413247 Long DBT UST US N 2 2021-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X39 82482207.800000 PA USD 83773286.130000 7.5908197 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBG4 100000.000000 PA USD 101822.260000 0.0092263 Long DBT CORP US N 2 2021-04-15 Fixed 4.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286N5 24942104.000000 PA USD 26245572.370000 2.3781496 Long DBT UST US N 2 2024-04-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FQ6 43343.100000 PA USD 64572.110000 0.0058510 Long DBT UST US N 2 2032-04-15 Fixed 3.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828QV5 13460410.600000 PA USD 13708510.200000 1.2421481 Long DBT UST US N 2 2021-07-15 Fixed 0.625 N N N N N N BOSTON PROPERTIES INC 549300OF70FSEUQBT254 101121101 12995.000000 NS USD 1174488.100000 0.1064221 Long EC CORP US N 1 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XL9 23242530.200000 PA USD 24857343.810000 2.2523602 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828S50 37477227.770000 PA USD 39852239.140000 3.6110696 Long DBT UST US N 2 2026-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282L3 6898143.000000 PA USD 7507949.460000 0.6803063 Long DBT UST US N 2 2027-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Y38 30608034.800000 PA USD 34544147.270000 3.1300956 Long DBT UST US N 2 2028-07-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128287D6 74578691.950000 PA USD 81673074.300000 7.4005165 Long DBT UST US N 2 2029-07-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RM2 320000.000000 PA USD 429718.750000 0.0389374 Long DBT UST US N 2 2045-05-15 Fixed 3 N N N N N N VENTURE CDO LTD 2012-12A N/A 92329JAY5 2005062.640000 PA USD 1978372.390000 0.1792632 Long ABS-CBDO CORP KY N 2 2026-02-28 Floating 1.17125 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 724387.800000 PA USD 711749.850000 0.0644927 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 2.09888 N N N N N N VENTURE XXI CLO LTD 2015-21A N/A 92330MAL3 874352.730000 PA USD 863186.910000 0.0782146 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 2.09888 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AC9 200000.000000 PA USD 211990.090000 0.0192087 Long DBT CORP US N 2 2027-08-21 Fixed 3.9 N N N N N N AMBAC ASSURANCE CORPORATION 549300RYYRVPPB8NC636 023138AA8 27914.050000 PA USD 37474.610000 0.0033956 Long DBT CORP US N 2 2099-12-31 Fixed 5.1 N N N N N N WACHOVIA MTGE LOAN TRUST 2005-WMC1 N/A 92977YAX9 45978.520000 PA USD 46344.230000 0.0041993 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.8445 N N N N N N AMBAC LSNI LLC N/A 02315QAA6 104969.170000 PA USD 103984.030000 0.0094221 Long DBT CORP KY N 2 2023-02-12 Floating 6 N N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAJ9 65476.960000 PA USD 58282.670000 0.0052811 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.64855 Y N N N N N WASHING MUTUAL MTGE P/T 2006-5 N/A 93934NAQ8 392765.030000 PA USD 343557.350000 0.0311302 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 Y N N N N N WASHINGTON MUTUAL 2003-AR9 N/A 92922FBX5 8278.720000 PA USD 7819.780000 0.0007086 Long ABS-MBS CORP US N 2 2033-09-25 Floating 4.35055 N N N N N N WASHINGTON MUTUAL 2005-AR12 N/A 92922F3J5 1021245.330000 PA USD 999670.600000 0.0905816 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.86148 N N N N N N WASHINGTON MUTUAL 2006-AR14 N/A 93363PAD2 401722.170000 PA USD 371929.970000 0.0337011 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.26558 Y N N N N N WHITEHORSE X LTD 2015-10A N/A 96525WAN3 455070.160000 PA USD 452326.300000 0.0409859 Long ABS-CBDO CORP KY N 2 2027-04-17 Floating 2.06488 N N N N N N WIND RIVER CLO LTD 2012-1A N/A 87244ABL3 261750.580000 PA USD 260721.490000 0.0236244 Long ABS-CBDO CORP KY N 2 2026-01-15 Floating 2.09888 N N N N N N WIND RIVER CLO LTD 2015-2A N/A 88432GAL1 193369.470000 PA USD 191021.790000 0.0173088 Long ABS-CBDO CORP KY N 2 2027-10-15 Floating 2.08888 N N N N N N YPF SA 5493003N7447U18U5U53 ACI1J9CS9 7380000.000000 PA 76015.710000 0.0068879 Long DBT CORP AR N 2 2021-03-04 Floating 52.9918 N N N N N N N/A N/A 000000000 3316000.000000 PA USD 3316000.000000 0.3004676 Long RA US N 2 Repurchase N 0.0000001 2020-07-01 3157700.000000 USD 3382455.270000 USD UST N N N N/A N/A 000000000 7335500.000000 PA USD 7335500.000000 0.6646804 Long RA US N 2 Repurchase N 0.0800000 2020-07-06 6800000.000000 USD 7349551.590000 USD UST N N N N/A N/A 000000000 -6476625.000000 PA USD -6478211.770000 -0.5870002 Short RA US N 2 Reverse repurchase N 0.2100000 2020-07-20 5700000.000000 USD 6428757.030000 USD UST N N N N/A N/A 000000000 -11803125.000000 PA USD -11803951.220000 -1.0695732 Short RA US N 2 Reverse repurchase N 0.2100000 2020-07-02 7500000.000000 USD 8631389.330000 USD UST N N N N/A N/A 000000000 -23457250.000000 PA USD -23459302.510000 -2.1256816 Short RA US N 2 Reverse repurchase N 0.2100000 2020-07-22 20200000.000000 USD 21876072.580000 USD UST N N N N/A N/A 000000000 -13702500.000000 PA USD -13703459.180000 -1.2416904 Short RA US N 2 Reverse repurchase N 0.2100000 2020-07-02 12600000.000000 USD 13789977.390000 USD UST N N N N/A N/A 000000000 -8002625.000000 PA USD -8002951.770000 -0.7251591 Short RA US N 2 Reverse repurchase N 0.2100000 2020-07-01 7300000.000000 USD 7989431.340000 USD UST N N N N/A N/A 000000000 -28446750.000000 PA USD -28461763.560000 -2.5789619 Short RA US N 2 Reverse repurchase N 0.2500000 2020-07-15 29242183.000000 USD 31668520.680000 USD UST N N N N/A N/A 000000000 -1971000.000000 PA USD -1971062.420000 -0.1786008 Short RA US N 2 Reverse repurchase N 0.1900000 2020-07-02 1800000.000000 USD 1969996.770000 USD UST N N N N/A N/A 000000000 -1318500.000000 PA USD -1318534.800000 -0.1194744 Short RA US N 2 Reverse repurchase N 0.1900000 2020-07-06 1200000.000000 USD 1313331.180000 USD UST N N N N/A N/A 000000000 -13857000.000000 PA USD -13864667.540000 -1.2562978 Short RA US N 2 Reverse repurchase N 0.2400000 2020-07-09 13275192.000000 USD 14308583.390000 USD UST N N N N/A N/A 000000000 -42511500.000000 PA USD -42533889.390000 -3.8540578 Short RA US N 2 Reverse repurchase N 0.2400000 2020-07-13 42751494.000000 USD 43376704.250000 USD UST N N N N/A N/A 000000000 -2959875.000000 PA USD -2959984.350000 -0.2682085 Short RA US N 2 Reverse repurchase N 0.1900000 2020-07-08 2700000.000000 USD 2954995.150000 USD UST N N N N/A N/A 000000000 1.000000 NC USD -8880.540000 -0.0008047 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ALTRIA GROUP INC ALTRIA GROUP INC GLBL CO GTD Y Single Leg Swap 2021-06-21 0.000000 USD -29880.940000 USD 1000000.000000 USD 21000.400000 N N N N/A N/A 000000000 -23.000000 NC -37962.420000 -0.0034398 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Short N/A AUSTRALIA GOVT 2020-09-15 -2361614.220000 AUD -37962.420000 N N N N/A N/A 000000000 -226.000000 NC 2171.000000 0.0001967 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Short N/A AUSTRALIA GOVT 2020-09-15 -18256952.090000 AUD 2171.000000 N N N N/A N/A 000000000 1.000000 NC 2602.060000 0.0002358 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 280956.520000 CNY 2012913.000000 CNY 2020-09-16 2602.060000 N N N N/A N/A 000000000 1.000000 NC 568.340000 0.0000515 N/A DFE CZ N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1329301.000000 CZK 31539779.810000 CZK 2020-08-18 568.340000 N N N N/A N/A 000000000 1.000000 NC 48.700000 0.0000044 N/A DFE CZ N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 297677.140000 CZK 7061000.000000 CZK 2020-08-18 48.700000 N N N N/A N/A 000000000 1.000000 NC -3679.010000 -0.0003334 N/A DFE IL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 460008.000000 ILS 1577563.400000 ILS 2020-09-15 -3679.010000 N N N N/A N/A 000000000 1.000000 NC -2904.020000 -0.0002631 N/A DFE IL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 546789.270000 ILS 1880251.930000 ILS 2020-09-15 -2904.020000 N N N N/A N/A 000000000 1.000000 NC -68381.180000 -0.0061961 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 6563073.070000 JPY 701264357.000000 JPY 2020-07-02 -68381.180000 N N N N/A N/A 000000000 1.000000 NC 12239.570000 0.0011090 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 135909.980000 RUB 10563739.000000 RUB 2020-07-17 12239.570000 N N N N/A N/A 000000000 1.000000 NC -8865.060000 -0.0008033 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 294711.440000 RUB 20450469.000000 RUB 2020-08-14 -8865.060000 N N N N/A N/A 000000000 1.000000 NC -10506.640000 -0.0009520 N/A DFE TR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1067191.000000 TRY 7261250.800000 TRY 2020-07-14 -10506.640000 N N N N/A N/A 000000000 1.000000 NC -791.210000 -0.0000717 N/A DFE TR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 549782.000000 TRY 3779159.680000 TRY 2020-07-21 -791.210000 N N N N/A N/A 000000000 1.000000 NC 688.920000 0.0000624 N/A DFE TR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 210373.590000 TRY 1450000.000000 TRY 2020-07-13 688.920000 N N N N/A N/A 000000000 1.000000 NC 69799.200000 0.0063246 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 4770005.960000 TWD 140858276.000000 TWD 2020-09-16 69799.200000 N N N N/A N/A 000000000 1.000000 NC 38081.390000 0.0034506 N/A DFE ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 406512.610000 ZAR 7720000.000000 ZAR 2020-07-08 38081.390000 N N N N/A N/A 000000000 1.000000 NC 68484.460000 0.0062055 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 701264357.000000 JPY 6565838.280000 USD 2020-08-04 68484.460000 N N N N/A N/A 000000000 1.000000 NC -14275.510000 -0.0012935 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 491433.090000 MXN 11186000.000000 MXN 2020-12-09 -14275.510000 N N N N/A N/A 000000000 1.000000 NC -3924.230000 -0.0003556 N/A DFE MY N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3515459.600000 MYR 15099602.070000 MYR 2020-09-17 -3924.230000 N N N N/A N/A 000000000 1.000000 NC 14975.600000 0.0013570 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 11186000.000000 MXN 501344.570000 USD 2020-07-07 14975.600000 N N N N/A N/A 000000000 1.000000 NC -34012.730000 -0.0030819 N/A DFE BR N 2 BNP Paribas S.A. N/A 2322217.560000 BRL 12443486.690000 BRL 2020-07-02 -34012.730000 N N N N/A N/A 000000000 1.000000 NC -8977.100000 -0.0008134 N/A DFE CZ N 2 BNP Paribas S.A. N/A 951122.000000 CZK 22344332.500000 CZK 2020-08-18 -8977.100000 N N N N/A N/A 000000000 1.000000 NC -2147.190000 -0.0001946 N/A DFE GB N 2 BNP Paribas S.A. N/A 1383744.320000 GBP 1115000.000000 GBP 2020-07-02 -2147.190000 N N N N/A N/A 000000000 1.000000 NC 30728.460000 0.0027844 N/A DFE PH N 2 BNP Paribas S.A. N/A 1162903.150000 PHP 59619114.000000 PHP 2020-09-16 30728.460000 N N N N/A N/A 000000000 1.000000 NC -55255.790000 -0.0050068 N/A DFE RU N 2 BNP Paribas S.A. N/A 1827822.930000 RUB 126392128.000000 RUB 2020-07-17 -55255.790000 N N N N/A N/A 000000000 1.000000 NC -702.870000 -0.0000637 N/A DFE RU N 2 BNP Paribas S.A. N/A 66877.300000 RUB 4718539.000000 RUB 2020-07-17 -702.870000 N N N N/A N/A 000000000 1.000000 NC -5021.740000 -0.0004550 N/A DFE RU N 2 BNP Paribas S.A. N/A 252784.250000 RUB 17725813.000000 RUB 2020-08-14 -5021.740000 N N N N/A N/A 000000000 1.000000 NC 106704.600000 0.0096687 N/A DFE TH N 2 BNP Paribas S.A. N/A 3364705.160000 THB 107307177.000000 THB 2020-09-16 106704.600000 N N N N/A N/A 000000000 1.000000 NC -1187.750000 -0.0001076 N/A DFE TR N 2 BNP Paribas S.A. N/A 656046.000000 TRY 4507933.360000 TRY 2020-07-21 -1187.750000 N N N N/A N/A 000000000 1.000000 NC -9362.040000 -0.0008483 N/A DFE DK N 2 BNP Paribas S.A. N/A 2740000.000000 DKK 403755.190000 USD 2020-07-01 -9362.040000 N N N N/A N/A 000000000 1.000000 NC -3619.610000 -0.0003280 N/A DFE N/A N 2 BNP Paribas S.A. N/A 1316000.000000 EUR 1474905.820000 USD 2020-07-02 -3619.610000 N N N N/A N/A 000000000 1.000000 NC 15830.040000 0.0014344 N/A DFE N/A N 2 BNP Paribas S.A. N/A 1750000.000000 EUR 1981954.280000 USD 2020-07-02 15830.040000 N N N N/A N/A 000000000 1.000000 NC -5490.410000 -0.0004975 N/A DFE N/A N 2 BNP Paribas S.A. N/A 2495000.000000 EUR 2797641.010000 USD 2020-07-02 -5490.410000 N N N N/A N/A 000000000 1.000000 NC 108517.970000 0.0098330 N/A DFE GB N 2 BNP Paribas S.A. N/A 4127000.000000 GBP 5222285.990000 USD 2020-07-02 108517.970000 N N N N/A N/A 000000000 2.000000 NC USD -1012.570000 -0.0000918 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2020-10-30 83520.000000 USD -1012.570000 N N N N/A N/A 000000000 28.000000 NC USD -511850.220000 -0.0463795 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2021-10-29 1233680.000000 USD -511850.220000 N N N N/A N/A 000000000 -28.000000 NC USD 379508.580000 0.0343878 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2022-10-31 -1285200.000000 USD 379508.580000 N N N N/A N/A 000000000 -2.000000 NC USD -7850.700000 -0.0007114 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2021-04-30 -86120.000000 USD -7850.700000 N N N N/A N/A 000000000 4.000000 NC USD -840.380000 -0.0000761 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2020-07-31 165080.000000 USD -840.380000 N N N AMERIQUEST MTAGE SEC INC 2004-R3 N/A 03072SQC2 2137193.640000 PA USD 2124500.420000 0.1925041 Long ABS-MBS CORP US N 2 2034-05-25 Floating 0.9645 N N N N N N N/A N/A 000000000 -1.000000 NC USD -321.690000 -0.0000291 N/A DCO GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2020-08-31 -920.000000 USD -321.690000 N N N N/A N/A 000000000 -1.000000 NC USD -381.690000 -0.0000346 N/A DCO GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2020-12-31 -980.000000 USD -381.690000 N N N N/A N/A 000000000 -1.000000 NC USD 78.310000 0.0000071 N/A DCO GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2020-07-31 -520.000000 USD 78.310000 N N N N/A N/A 000000000 -1.000000 NC USD -130.690000 -0.0000118 N/A DCO GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2020-06-30 -729.000000 USD -130.690000 N N N N/A N/A 000000000 -1.000000 NC USD -381.690000 -0.0000346 N/A DCO GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2020-11-30 -980.000000 USD -381.690000 N N N N/A N/A 000000000 -1.000000 NC USD -401.690000 -0.0000364 N/A DCO GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2020-10-30 -1000.000000 USD -401.690000 N N N N/A N/A 000000000 -1.000000 NC USD -341.690000 -0.0000310 N/A DCO GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2020-09-30 -940.000000 USD -341.690000 N N N N/A N/A 000000000 1.000000 NC USD -157666.890000 -0.0142864 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.EM.31 N/A N/A Y Single Leg Swap 2024-06-21 0.000000 USD -196037.000000 USD 5452000.000000 USD 38370.110000 N N N N/A N/A 000000000 1.000000 NC USD -255347.450000 -0.0231374 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.32 Y Single Leg Swap 2024-12-21 0.000000 USD -315532.200000 USD 7161000.000000 USD 60184.750000 N N N N/A N/A 000000000 1.000000 NC USD -585084.920000 -0.0530154 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.33 Y Single Leg Swap 2025-06-21 0.000000 USD -1407957.000000 USD 12540000.000000 USD 822872.080000 N N N N/A N/A 000000000 1.000000 NC USD 192289.090000 0.0174236 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 -159333.530000 USD 16270000.000000 USD 351622.620000 N N N N/A N/A 000000000 -3400000.000000 NC USD -2589.000000 -0.0002346 N/A DCR US N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.630000 USD 2020-08-19 XXXX -209.000000 N N N N/A N/A 000000000 -3500000.000000 NC USD -1703.240000 -0.0001543 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.550000 USD 2020-09-16 XXXX 746.760000 N N N N/A N/A 000000000 -2400000.000000 NC USD -3051.070000 -0.0002765 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2020-08-19 XXXX 68.930000 N N N N/A N/A 000000000 -3900000.000000 NC USD -4957.990000 -0.0004493 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2020-08-19 XXXX 2569.010000 N N N N/A N/A 000000000 -3200000.000000 NC USD -1680.220000 -0.0001522 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.600000 USD 2020-08-19 XXXX 527.780000 N N N N/A N/A 000000000 -2400000.000000 NC USD -1260.170000 -0.0001142 N/A DCR US N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.600000 USD 2020-08-19 XXXX 659.830000 N N N N/A N/A 000000000 -3900000.000000 NC USD -2047.770000 -0.0001856 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.600000 USD 2020-08-19 XXXX 292.230000 N N N N/A N/A 000000000 -3100000.000000 NC USD -3404.700000 -0.0003085 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.150000 USD 2020-08-19 XXXX 935.300000 N N N N/A N/A 000000000 -3400000.000000 NC USD -3255.940000 -0.0002950 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.200000 USD 2020-08-19 XXXX 1674.060000 N N N N/A N/A 000000000 -3500000.000000 NC USD -7690.030000 -0.0006968 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2020-09-16 XXXX -602.530000 N N N N/A N/A 000000000 -3200000.000000 NC USD -4068.100000 -0.0003686 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2020-08-19 XXXX 1051.900000 N N N N/A N/A 000000000 1.000000 NC USD 33895.000000 0.0030713 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.34 Y Single Leg Swap 2025-06-21 0.000000 USD -48437.660000 USD 2900000.000000 USD 82332.660000 N N N N/A N/A 000000000 1.000000 NC -30461.370000 -0.0027601 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 693809.930000 COP 2496050601.220000 COP 2020-07-17 -30461.370000 N N N N/A N/A 000000000 1.000000 NC -24541.020000 -0.0022237 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2738625.450000 DKK 18001165.000000 DKK 2020-07-01 -24541.020000 N N N N/A N/A 000000000 1.000000 NC 11008.540000 0.0009975 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3473108.460000 DKK 23108406.000000 DKK 2020-07-01 11008.540000 N N N N/A N/A 000000000 1.000000 NC -16045.750000 -0.0014539 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4567342.490000 EUR 4051000.000000 EUR 2020-07-02 -16045.750000 N N N N/A N/A 000000000 1.000000 NC 11157.380000 0.0010110 N/A DFE HU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 230442.890000 HUF 76154000.000000 HUF 2020-07-08 11157.380000 N N N N/A N/A 000000000 1.000000 NC 201029.970000 0.0182156 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7323608.550000 KRW 9022685735.000000 KRW 2020-09-16 201029.970000 N N N N/A N/A 000000000 1.000000 NC 38606.580000 0.0034982 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 447762.390000 MXN 11186000.000000 MXN 2020-07-07 38606.580000 N N N N/A N/A 000000000 1.000000 NC -272169.440000 -0.0246617 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6144122.380000 MXN 136335003.460000 MXN 2020-09-17 -272169.440000 N N N N/A N/A 000000000 1.000000 NC -12793.120000 -0.0011592 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1651964.170000 PEN 5805662.870000 PEN 2020-07-06 -12793.120000 N N N N/A N/A 000000000 1.000000 NC -3567.760000 -0.0003233 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 91748.450000 RUB 6308761.000000 RUB 2020-08-14 -3567.760000 N N N N/A N/A 000000000 1.000000 NC 20084.450000 0.0018199 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 399296.000000 ZAR 7282187.950000 ZAR 2020-07-08 20084.450000 N N N N/A N/A 000000000 1.000000 NC 210176.300000 0.0190444 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3790000.000000 BRL 907110.890000 USD 2020-07-02 210176.300000 N N N N/A N/A 000000000 1.000000 NC -855780.910000 -0.0775436 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 170212025.860000 DKK 24807547.530000 USD 2020-07-01 -855780.910000 N N N N/A N/A 000000000 1.000000 NC 25016.930000 0.0022668 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 18001165.000000 DKK 2744493.710000 USD 2020-10-01 25016.930000 N N N N/A N/A 000000000 1.000000 NC -10720.140000 -0.0009714 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 23108406.000000 DKK 3480319.110000 USD 2020-10-01 -10720.140000 N N N N/A N/A 000000000 1.000000 NC -17891.290000 -0.0016212 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 686945700.000000 KRW 555000.000000 USD 2020-09-16 -17891.290000 N N N N/A N/A 000000000 1.000000 NC 66320.230000 0.0060094 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5805662.870000 PEN 1705491.280000 USD 2020-07-06 66320.230000 N N N N/A N/A 000000000 1.000000 NC 53091.510000 0.0048107 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6688739.330000 PEN 1939327.150000 USD 2020-09-09 53091.510000 N N N N/A N/A 000000000 1.000000 NC 10161.540000 0.0009208 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5805662.870000 PEN 1642895.150000 USD 2020-12-22 10161.540000 N N N N/A N/A 000000000 1.000000 NC -12485.810000 -0.0011314 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15875885.000000 TWD 533000.000000 USD 2020-09-16 -12485.810000 N N N N/A N/A 000000000 1.000000 NC USD 21825.270000 0.0019776 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 -141865.480000 USD 2300000.000000 USD 163690.750000 N N N N/A N/A 000000000 1.000000 NC USD 23897.460000 0.0021654 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 -95012.160000 USD 3200000.000000 USD 118909.620000 N N N N/A N/A 000000000 1.000000 NC USD 99323.840000 0.0089999 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 -440299.710000 USD 13300000.000000 USD 539623.550000 N N N N/A N/A 000000000 1.000000 NC USD 38833.390000 0.0035188 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 -150757.560000 USD 5200000.000000 USD 189590.950000 N N N N/A N/A 000000000 1.000000 NC USD 26374.160000 0.0023898 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 -120816.910000 USD 2600000.000000 USD 147191.070000 N N N N/A N/A 000000000 1.000000 NC 612.680000 0.0000555 N/A DFE HK N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 1056142.740000 HKD 8193977.850000 HKD 2020-09-16 612.680000 N N N N/A N/A 000000000 1.000000 NC -82666.780000 -0.0074906 N/A DFE ID N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 2257406.980000 IDR 32048406912.000000 IDR 2020-09-16 -82666.780000 N N N N/A N/A 000000000 -6.000000 NC USD 19556.080000 0.0017720 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-07-24 -5580.000000 USD 19556.080000 N N N N/A N/A 000000000 -6.000000 NC USD 19556.080000 0.0017720 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-11-25 -5580.000000 USD 19556.080000 N N N N/A N/A 000000000 -6.000000 NC USD 19556.080000 0.0017720 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-10-23 -5580.000000 USD 19556.080000 N N N N/A N/A 000000000 -6.000000 NC USD 19556.080000 0.0017720 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-09-25 -5580.000000 USD 19556.080000 N N N N/A N/A 000000000 -6.000000 NC USD 19556.080000 0.0017720 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-08-25 -5580.000000 USD 19556.080000 N N N N/A N/A 000000000 241.000000 NC USD -5095297.190000 -0.4616923 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A WTI Crude 2020-11-19 9562880.000000 USD -5095297.190000 N N N N/A N/A 000000000 -241.000000 NC USD -115106.830000 -0.0104300 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2020-11-20 -9562880.000000 USD -115106.830000 N N N N/A N/A 000000000 11.000000 NC USD -125018.090000 -0.0113281 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A WTI Crude 2021-05-19 443190.000000 USD -125018.090000 N N N N/A N/A 000000000 -11.000000 NC USD 106387.490000 0.0096399 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2021-05-20 -443190.000000 USD 106387.490000 N N N N/A N/A 000000000 -6.000000 NC USD 6886.070000 0.0006240 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-07-24 -0.010000 USD 6886.070000 N N N N/A N/A 000000000 -6.000000 NC USD 6886.070000 0.0006240 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-11-25 -0.010000 USD 6886.070000 N N N N/A N/A 000000000 -6.000000 NC USD 6886.070000 0.0006240 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-10-23 -0.010000 USD 6886.070000 N N N N/A N/A 000000000 -6.000000 NC USD 6886.070000 0.0006240 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-09-25 -0.010000 USD 6886.070000 N N N N/A N/A 000000000 -6.000000 NC USD 6886.070000 0.0006240 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-08-25 -0.010000 USD 6886.070000 N N N N/A N/A 000000000 1.000000 NC 3003.640000 0.0002722 N/A DCR DE N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 DAIMLER AG DAIMLER AG Y Single Leg Swap 2020-12-21 12597.360000 EUR 0.000000 EUR 760000.000000 EUR -9593.720000 N N N N/A N/A 000000000 1.000000 NC -72015.780000 -0.0065255 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2356453.190000 BRL 12443486.690000 BRL 2020-08-04 -72015.780000 N N N N/A N/A 000000000 1.000000 NC 70749.990000 0.0064108 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 12443486.690000 BRL 2358954.820000 USD 2020-07-02 70749.990000 N N N N/A N/A 000000000 1.000000 NC USD 115969.240000 0.0105081 N/A DE US N 2 UBS Asset Management Holding Ltd 549300MOMNGW0OI5CD23 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2021-05-05 0.000000 USD 0.000000 USD 6396858.460000 USD 115969.240000 N N N N/A N/A 000000000 1.000000 NC USD -137855.320000 -0.0124913 N/A DE US N 2 UBS Asset Management Holding Ltd 549300MOMNGW0OI5CD23 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2021-05-05 0.000000 USD 0.000000 USD 10143812.020000 USD -137855.320000 N N N N/A N/A 000000000 1.000000 NC USD 40247.430000 0.0036469 N/A DE US N 2 UBS Asset Management Holding Ltd 549300MOMNGW0OI5CD23 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2020-08-26 0.000000 USD 0.000000 USD 2234940.920000 USD 40247.430000 N N N N/A N/A 000000000 1.000000 NC USD -171831.940000 -0.0155699 N/A DE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2020-11-18 0.000000 USD 0.000000 USD 4185283.200000 USD -171831.940000 N N N N/A N/A 000000000 1.000000 NC USD -547791.620000 -0.0496362 N/A DE US N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2020-10-01 0.000000 USD 0.000000 USD 13377958.800000 USD -547791.620000 N N N N/A N/A 000000000 -9.000000 NC USD -14527.830000 -0.0013164 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Gasoline 2020-07-31 -454167.000000 USD -14527.830000 N N N N/A N/A 000000000 -3.000000 NC USD 3472.850000 0.0003147 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Gasoline 2020-11-30 -135500.400000 USD 3472.850000 N N N N/A N/A 000000000 1.000000 NC USD 12541.790000 0.0011364 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Gasoline 2021-05-28 53159.400000 USD 12541.790000 N N N N/A N/A 000000000 5.000000 NC USD -5381.670000 -0.0004876 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Gasoline 2020-08-31 249354.000000 USD -5381.670000 N N N N/A N/A 000000000 3348.000000 NC -2272.260000 -0.0002059 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 116.000000 EUR 2020-08-21 XXXX -2272.260000 N N N N/A N/A 000000000 690.000000 NC 534650.810000 0.0484455 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-09-08 104638480.310000 EUR 534650.810000 N N N N/A N/A 000000000 599.000000 NC 632665.760000 0.0573268 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-09-08 118793765.930000 EUR 632665.760000 N N N N/A N/A 000000000 -120.000000 NC -511027.370000 -0.0463049 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2020-09-08 -29654995.750000 EUR -511027.370000 N N N N/A N/A 000000000 -3348.000000 NC -427136.030000 -0.0387034 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2020-09-08 -421811980.100000 EUR -427136.030000 N N N N/A N/A 000000000 -179.000000 NC USD -1494975.180000 -0.1354619 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A Gold 2020-08-27 -32228950.000000 USD -1494975.180000 N N N N/A N/A 000000000 1.000000 NC USD 10109.080000 0.0009160 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A Gold 2020-07-29 179300.000000 USD 10109.080000 N N N N/A N/A 000000000 -110.000000 NC USD -945674.210000 -0.0856889 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A Gold 2020-10-28 -19910000.000000 USD -945674.210000 N N N N/A N/A 000000000 1.000000 NC 25268.960000 0.0022897 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 927614.570000 DKK 6320000.000000 DKK 2020-07-01 25268.960000 N N N N/A N/A 000000000 1.000000 NC 9247.710000 0.0008379 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 164483.470000 RUB 12387826.000000 RUB 2020-07-17 9247.710000 N N N N/A N/A 000000000 1.000000 NC 13513.690000 0.0012245 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 147327.860000 RUB 11468737.000000 RUB 2020-07-17 13513.690000 N N N N/A N/A 000000000 1.000000 NC 6869.910000 0.0006225 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 101532.490000 RUB 7729586.000000 RUB 2020-07-17 6869.910000 N N N N/A N/A 000000000 1.000000 NC 4692.580000 0.0004252 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 81986.010000 RUB 6180579.310000 RUB 2020-07-17 4692.580000 N N N N/A N/A 000000000 1.000000 NC 3738.610000 0.0003388 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 92160.470000 RUB 6847431.000000 RUB 2020-07-27 3738.610000 N N N N/A N/A 000000000 1.000000 NC -2502.200000 -0.0002267 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 79085.870000 RUB 5479069.000000 RUB 2020-08-14 -2502.200000 N N N N/A N/A 000000000 1.000000 NC 108218.360000 0.0098058 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5084143.710000 SGD 7234525.000000 SGD 2020-09-16 108218.360000 N N N N/A N/A 000000000 1.000000 NC -176628.240000 -0.0160045 N/A DFE GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 31200000.000000 GBP 38483309.280000 USD 2020-07-02 -176628.240000 N N N N/A N/A 000000000 1.000000 NC USD 1750.390000 0.0001586 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Heating Oil 2020-11-30 52609.200000 USD 1750.390000 N N N N/A N/A 000000000 1.000000 NC USD 1681.220000 0.0001523 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Heating Oil 2021-05-28 54385.800000 USD 1681.220000 N N N N/A N/A 000000000 1.000000 NC 65940.340000 0.0059750 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6660476.350000 CNY 47735634.000000 CNY 2020-09-16 65940.340000 N N N N/A N/A 000000000 1.000000 NC 13329.450000 0.0012078 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5528996.010000 INR 422028265.500000 INR 2020-09-16 13329.450000 N N N N/A N/A 000000000 1.000000 NC -11735.270000 -0.0010633 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1669872.850000 PLN 6558642.700000 PLN 2020-09-10 -11735.270000 N N N N/A N/A 000000000 1.000000 NC -4412.100000 -0.0003998 N/A DFE RU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 237302.260000 RUB 16628932.000000 RUB 2020-07-27 -4412.100000 N N N N/A N/A 000000000 1.000000 NC 10748.380000 0.0009739 N/A DFE ZA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 171567.000000 ZAR 3165752.910000 ZAR 2020-07-08 10748.380000 N N N N/A N/A 000000000 1.000000 NC 182.980000 0.0000166 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 314000.000000 GBP 389260.560000 USD 2020-07-02 182.980000 N N N N/A N/A 000000000 1.000000 NC 2235.390000 0.0002026 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3836000.000000 GBP 4755425.140000 USD 2020-07-02 2235.390000 N N N N/A N/A 000000000 1.000000 NC 4912.610000 0.0004451 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 413000.000000 GBP 516661.140000 USD 2020-07-02 4912.610000 N N N CAMDEN PROPERTY TRUST 5493002MYX22OHYJBD89 133131102 11067.000000 NS USD 1009531.740000 0.0914751 Long EC CORP US N 1 N N N N/A N/A 000000000 -700000.000000 NC USD -0.070000 0.0000000 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written US CPI Urban Consumers NSA N/A N/A N/A 4.000000 USD 2024-05-16 XXXX 4864.930000 N N N N/A N/A 000000000 -1900000.000000 NC -977.670000 -0.0000886 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 84810.790000 N N N N/A N/A 000000000 -3200000.000000 NC USD -0.320000 0.0000000 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 59062.080000 N N N N/A N/A 000000000 -41.000000 NC -151906.420000 -0.0137645 N/A DIR DE N 1 Eurex N/A Short N/A ITALY GOVT 2020-09-08 -6627613.820000 EUR -151906.420000 N N N N/A N/A 000000000 -204.000000 NC -118069.060000 -0.0106984 N/A DIR DE N 1 Eurex N/A Short N/A ITALY GOVT 2020-09-08 -25642214.820000 EUR -118069.060000 N N N N/A N/A 000000000 -2600000.000000 NC -4128.300000 -0.0003741 N/A DCR DE N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.100000 EUR 2020-09-16 XXXX 993.180000 N N N N/A N/A 000000000 -2900000.000000 NC -1291.500000 -0.0001170 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.480000 EUR 2020-09-16 XXXX 347.510000 N N N N/A N/A 000000000 -2800000.000000 NC -6008.160000 -0.0005444 N/A DCR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.200000 EUR 2020-10-21 XXXX 1070.830000 N N N N/A N/A 000000000 -2600000.000000 NC -1750.790000 -0.0001586 N/A DCR DE N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-09-16 XXXX -141.180000 N N N N/A N/A 000000000 -2400000.000000 NC -5149.850000 -0.0004666 N/A DCR DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.200000 EUR 2020-10-21 XXXX 778.270000 N N N N/A N/A 000000000 -2600000.000000 NC -1750.790000 -0.0001586 N/A DCR DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-09-16 XXXX 285.150000 N N N N/A N/A 000000000 -2400000.000000 NC -2497.890000 -0.0002263 N/A DCR DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-10-21 XXXX -342.210000 N N N N/A N/A 000000000 -2600000.000000 NC -4128.300000 -0.0003741 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 MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.100000 EUR 2020-09-16 XXXX 525.280000 N N N N/A N/A 000000000 -2900000.000000 NC -5981.990000 -0.0005420 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.000000 EUR 2020-09-16 XXXX -327.420000 N N N N/A N/A 000000000 -2800000.000000 NC -2914.200000 -0.0002641 N/A DCR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-10-21 XXXX -554.540000 N N N N/A N/A 000000000 1.000000 NC 413819.710000 0.0374968 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 33 Y Single Leg Swap 2025-06-21 383256.420000 EUR 0.000000 EUR 21800000.000000 EUR 30563.290000 N N N N/A N/A 000000000 -20.000000 NC -598.290000 -0.0000542 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE N/A Short N/A JAPAN GOVT 2020-09-14 -28145404.030000 JPY -598.290000 N N N N/A N/A 000000000 1.000000 NC -12881.370000 -0.0011672 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2883662.220000 DKK 19040454.000000 DKK 2020-07-01 -12881.370000 N N N N/A N/A 000000000 1.000000 NC 27411.200000 0.0024838 N/A DFE ZA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 551540.000000 ZAR 10052999.550000 ZAR 2020-07-08 27411.200000 N N N N/A N/A 000000000 1.000000 NC 13380.460000 0.0012124 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 19040454.000000 DKK 2889864.980000 USD 2020-10-01 13380.460000 N N N N/A N/A 000000000 1.000000 NC -36353.600000 -0.0032941 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 733288.190000 BRL 3790000.000000 BRL 2020-07-02 -36353.600000 N N N N/A N/A 000000000 1.000000 NC -11429.800000 -0.0010357 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 477627.130000 RUB 33353419.000000 RUB 2020-08-14 -11429.800000 N N N N/A N/A 000000000 1.000000 NC -8064.210000 -0.0007307 N/A DFE TR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1007246.000000 TRY 6864381.490000 TRY 2020-07-13 -8064.210000 N N N N/A N/A 000000000 1.000000 NC USD 1022940.030000 0.0926901 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP JMABNIC2 JPM JMABNIC2 Internal ID COMM SWAP JMABNIC2 JPM 2118952.250168 USD 48900.026013 USD COMM SWAP JMABNIC2 JPM 4739382.239925 USD 109372.882188 USD COMM SWAP JMABNIC2 JPM 8670811.584999 USD 200100.267493 USD COMM SWAP JMABNIC2 JPM 4584051.497115 USD 105788.243901 USD COMM SWAP JMABNIC2 JPM 1939462.680116 USD 44757.863469 USD COMM SWAP JMABNIC2 JPM 859556.550275 USD 19836.377939 USD COMM SWAP JMABNIC2 JPM 3332705.065746 USD 76910.352462 USD COMM SWAP JMABNIC2 JPM 4334390.232012 USD 100026.697195 USD COMM SWAP JMABNIC2 JPM 876882.551932 USD 20236.217969 USD COMM SWAP JMABNIC2 JPM 2682106.070801 USD 61896.183183 USD COMM SWAP JMABNIC2 JPM 358458.535263 USD 8272.310854 USD COMM SWAP JMABNIC2 JPM -0.004433 USD -0.000102 USD COMM SWAP JMABNIC2 JPM 1949572.468531 USD 44991.171660 USD COMM SWAP JMABNIC2 JPM 7880047.117548 USD 181851.435776 USD Y Single Leg Swap 2021-02-16 0.000000 USD 0.000000 USD 44326378.840000 USD 1022940.030000 N N N N/A N/A 000000000 1.000000 NC USD 913133.750000 0.0827404 N/A DCO US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 COMM SWAP PIMCODB CIB PIMCODB2 Internal ID COMM SWAP PIMCODB CIB 3575576.988290 USD 53439.963944 USD COMM SWAP PIMCODB CIB 922346.294859 USD 13785.230441 USD COMM SWAP PIMCODB CIB 2789716.992361 USD 41694.634453 USD COMM SWAP PIMCODB CIB 1697347.010476 USD 25368.258980 USD COMM SWAP PIMCODB CIB 665121.886735 USD 9940.798300 USD COMM SWAP PIMCODB CIB 2359766.709206 USD 35268.670838 USD COMM SWAP PIMCODB CIB 1359064.567467 USD 20312.347272 USD COMM SWAP PIMCODB CIB 2004817.851446 USD 29963.665738 USD COMM SWAP PIMCODB CIB 2275615.341377 USD 34010.958845 USD COMM SWAP PIMCODB CIB 790542.329265 USD 11815.310847 USD COMM SWAP PIMCODB CIB 4056848.332966 USD 60632.963393 USD COMM SWAP PIMCODB CIB 4023179.273869 USD 60129.751378 USD COMM SWAP PIMCODB CIB 388056.325476 USD 5799.823668 USD COMM SWAP PIMCODB CIB 3880894.949746 USD 58003.194132 USD COMM SWAP PIMCODB CIB 658818.789282 USD 9846.593280 USD COMM SWAP PIMCODB CIB 1190417.443503 USD 17791.776116 USD COMM SWAP PIMCODB CIB 399073.128730 USD 5964.478930 USD COMM SWAP PIMCODB CIB 978949.902855 USD 14631.218313 USD COMM SWAP PIMCODB CIB 1629349.757385 USD 24351.983630 USD COMM SWAP PIMCODB CIB 3519502.983700 USD 52601.891434 USD COMM SWAP PIMCODB CIB 1770288.548730 USD 26458.430772 USD COMM SWAP PIMCODB CIB 3121184.237968 USD 46648.687383 USD COMM SWAP PIMCODB CIB 131763.761222 USD 1969.318706 USD COMM SWAP PIMCODB CIB 11161952.117699 USD 166824.632968 USD COMM SWAP PIMCODB CIB 598609.709174 USD 8946.718636 USD COMM SWAP PIMCODB CIB 510070.193787 USD 7623.422137 USD COMM SWAP PIMCODB CIB 711963.556758 USD 10640.885912 USD COMM SWAP PIMCODB CIB 533972.675829 USD 7980.664558 USD COMM SWAP PIMCODB CIB 2060459.208611 USD 30795.271974 USD COMM SWAP PIMCODB CIB 1330953.431227 USD 19892.203023 USD Y Single Leg Swap 2021-02-16 0.000000 USD 0.000000 USD 61096224.300000 USD 913133.750000 N N N N/A N/A 000000000 1.000000 NC USD 1190843.200000 0.1079040 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 COMM SWAP PIMCODB MAC PIMCODB1 Internal ID COMM SWAP PIMCODB MAC 518540.248896 USD 7778.443383 USD COMM SWAP PIMCODB MAC 14503410.559608 USD 217560.658296 USD COMM SWAP PIMCODB MAC 777810.394237 USD 11667.665388 USD COMM SWAP PIMCODB MAC 662765.558990 USD 9941.917504 USD COMM SWAP PIMCODB MAC 693823.523295 USD 10407.807312 USD COMM SWAP PIMCODB MAC 4645966.986942 USD 69692.547966 USD COMM SWAP PIMCODB MAC 2300244.738596 USD 34505.177766 USD COMM SWAP PIMCODB MAC 4573106.585669 USD 68599.594223 USD COMM SWAP PIMCODB MAC 2117114.302890 USD 31758.101278 USD COMM SWAP PIMCODB MAC 171208.755040 USD 2568.243469 USD COMM SWAP PIMCODB MAC 4055546.552977 USD 60835.854725 USD COMM SWAP PIMCODB MAC 1546782.564411 USD 23202.751627 USD COMM SWAP PIMCODB MAC 856043.753331 USD 12841.217019 USD COMM SWAP PIMCODB MAC 2677281.315016 USD 40160.973375 USD COMM SWAP PIMCODB MAC 5042685.383466 USD 75643.583769 USD COMM SWAP PIMCODB MAC 5227564.152628 USD 78416.886404 USD COMM SWAP PIMCODB MAC 1729389.612610 USD 25941.976959 USD COMM SWAP PIMCODB MAC 5271312.430894 USD 79073.139234 USD COMM SWAP PIMCODB MAC 1027200.246442 USD 15408.676525 USD COMM SWAP PIMCODB MAC 2956846.904889 USD 44354.640342 USD COMM SWAP PIMCODB MAC 2604983.079137 USD 39076.452481 USD COMM SWAP PIMCODB MAC 925098.016750 USD 13877.076201 USD COMM SWAP PIMCODB MAC 1765916.140039 USD 26489.898796 USD COMM SWAP PIMCODB MAC 3066189.950255 USD 45994.857644 USD COMM SWAP PIMCODB MAC 864233.755331 USD 12964.072413 USD COMM SWAP PIMCODB MAC 3624850.784046 USD 54375.136080 USD COMM SWAP PIMCODB MAC 1198461.241494 USD 17977.703628 USD COMM SWAP PIMCODB MAC 504225.439178 USD 7563.711861 USD COMM SWAP PIMCODB MAC 1272009.789029 USD 19080.980017 USD COMM SWAP PIMCODB MAC 2205467.313914 USD 33083.454315 USD Y Single Leg Swap 2021-02-16 0.000000 USD 0.000000 USD 79386080.080000 USD 1190843.200000 N N N 2020-08-04 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer XXXX