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NL
N
2
2029-10-25
Floating
0.659
N
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2004-A
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2004 A 4A1
06051GBD0
28650.660000
PA
USD
28321.620000
0.0256334
Long
ABS-MBS
CORP
US
N
2
2032-06-20
Floating
3.90541
N
N
N
N
N
N
BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)
K8MS7FD7N5Z2WQ51AZ71
BANCO BILBAO VIZCAYA ARG JR SUBORDINA REGS 12/99 VAR
BF2PHRII3
400000.000000
PA
438181.910000
0.3965904
Long
DBT
CORP
ES
N
2
2023-09-24
Floating
5.875
N
N
N
N
Y
BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)
BANCO BILBAO VIZCAYA ARGENTA
EUR
XXXX
N
N
N
BANCO BTG PACTUAL SA/CAYMAN ISLANDS BRANCH
ZXLTQRYIK6IJH3R0IK66
BANCO BTG PACTUAL/CAYMAN SR UNSECURED 144A 01/25 4.5
05971AAE1
400000.000000
PA
USD
392880.000000
0.3555884
Long
DBT
CORP
BR
N
2
2025-01-10
Fixed
4.5
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP SR UNSECURED 07/24 VAR
06051GHL6
300000.000000
PA
USD
326104.170000
0.2951509
Long
DBT
CORP
US
N
2
2024-07-23
Floating
3.864
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC JR SUBORDINA 12/49 VAR
ACI07CRC6
200000.000000
PA
225930.150000
0.2044852
Long
DBT
CORP
GB
N
2
2020-12-15
Floating
8
N
N
N
N
Y
BARCLAYS PLC
BARCLAYS PLC
GBP
XXXX
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 02/23 VAR
06738EBE4
400000.000000
PA
USD
421276.230000
0.3812893
Long
DBT
CORP
GB
N
2
2023-02-15
Floating
4.61
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 05/29 VAR
06738EBD6
700000.000000
PA
USD
820537.360000
0.7426532
Long
DBT
CORP
GB
N
2
2029-05-16
Floating
4.972
N
N
N
N
N
N
BAYVIEW FINANCIAL ACQUISITION TR 2006-D
N/A
BAYVIEW FINANCIAL ACQUISITION BAYV 2006 D 1A4
07325HAE5
476044.730000
PA
USD
489431.680000
0.4429756
Long
ABS-MBS
CORP
US
N
2
2036-12-28
Variable
6.096
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUND IVA TRUST 2019-SBR1
N/A
BAYVIEW OPPORTUNITY MASTER FUN BOMFT 2019 SBR1 A1 144A
07333YAA6
310474.640000
PA
USD
309944.010000
0.2805246
Long
ABS-MBS
CORP
US
N
2
2034-06-28
Fixed
3.4748
N
N
N
N
N
N
BEAR STEARNS ADJ RATE MTGE 2003-9
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 2A1
07384MB68
29715.360000
PA
USD
29352.900000
0.0265668
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Floating
3.88865
N
N
N
N
N
N
BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-1
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 1 4A1
07387AAF2
712.670000
PA
USD
710.650000
0.0006432
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
3.3448
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2006-3
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 3 35A1
07386HQ87
789578.680000
PA
USD
540348.640000
0.4890596
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
3.89915
Y
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-EC2
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2006 EC2 M2
07387UDS7
626424.170000
PA
USD
621335.410000
0.5623592
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.79825
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE2
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE2 2A4
07389YAD3
551132.810000
PA
USD
484184.450000
0.4382264
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
0.4145
Y
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS JR SUBORDINA 144A 12/99 VAR
05565AGF4
300000.000000
PA
USD
325930.500000
0.2949937
Long
DBT
CORP
FR
N
2
2028-08-16
Floating
7
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SR UNSECURED 144A 01/25 VAR
09659W2G8
300000.000000
PA
USD
332368.660000
0.3008207
Long
DBT
CORP
FR
N
2
2025-01-10
Floating
4.705
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC COMPANY GUAR 144A 09/28 4.11
11135FAK7
315000.000000
PA
USD
345121.320000
0.3123629
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.11
N
N
N
N
N
N
BROOKFIELD FINANCE INC
N/A
BROOKFIELD FINANCE INC COMPANY GUAR 04/24 4
11271RAA7
50000.000000
PA
USD
54280.470000
0.0491283
Long
DBT
CORP
CA
N
2
2024-04-01
Fixed
4
N
N
N
N
N
N
BROOKFIELD RETAIL HOLDINGS VII SUB 3 LLC
N/A
BROOKFIELD RETAIL HLDGS VII SU TERM LOAN B
11283HAB3
200776.810000
PA
USD
167648.640000
0.1517357
Long
LON
CORP
US
N
3
2025-08-27
Floating
2.6783
N
N
N
N
N
N
CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2016-2 DAC 16-2A
N/A
CARLYLE GLOBAL MARKET STRATEGI CGMSE 2016 2A A1R 144A
ACI1C3JN3
500000.000000
PA
559097.780000
0.5060291
Long
ABS-CBDO
CORP
IE
N
2
2030-01-18
Floating
0.87
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 07/22 4.464
161175BB9
500000.000000
PA
USD
533284.040000
0.4826655
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
4.464
N
N
N
N
N
N
CHILEAN GOVT
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE SR UNSECURED 01/40 1.25
ACI1J8HN7
100000.000000
PA
108152.430000
0.0978868
Long
DBT
NUSS
CL
N
2
2040-01-29
Fixed
1.25
N
N
N
N
N
N
CIT GROUP INC
N8O96ZZJQRFYQUJY7K79
CIT GROUP INC SR UNSECURED 02/24 4.75
125581GY8
200000.000000
PA
USD
203167.000000
0.1838827
Long
DBT
CORP
US
N
2
2024-02-16
Fixed
4.75
N
N
N
N
N
N
CIT MTGE LOAN TRUST 2007-1
N/A
CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A
12559QAF9
400000.000000
PA
USD
383556.520000
0.3471499
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Floating
1.6845
N
N
N
N
N
N
CNOOC FINANCE (2013) LIMITED
5493006KAH3PSSMCES09
CNOOC FINANCE 2013 LTD COMPANY GUAR 05/23 3
12625GAC8
300000.000000
PA
USD
313410.080000
0.2836617
Long
DBT
CORP
VG
N
2
2023-05-09
Fixed
3
N
N
N
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
CONSTELLATION BRANDS INC COMPANY GUAR 11/21 VAR
21036PBA5
100000.000000
PA
USD
100015.280000
0.0905220
Long
DBT
CORP
US
N
2
2021-11-15
Floating
1.09238
N
N
N
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
CONSTELLATION BRANDS INC COMPANY GUAR 11/22 2.65
21036PAW8
200000.000000
PA
USD
208697.070000
0.1888879
Long
DBT
CORP
US
N
2
2022-11-07
Fixed
2.65
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA JR SUBORDINA REGS 12/49 VAR
BD2YKYII0
200000.000000
PA
231599.320000
0.2096163
Long
DBT
CORP
NL
N
2
2021-06-29
Floating
6.625
N
N
N
N
N
N
CORNERSTONE BUILDING BRANDS
549300IW41QEWQ6T0H29
PISCES MIDCO INC TERM LOAN B
72431HAB6
196992.500000
PA
USD
188045.690000
0.1701967
Long
LON
CORP
US
N
2
2025-04-12
Floating
3.9405
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 65CB 1A13
12668AY74
507938.860000
PA
USD
463071.760000
0.4191177
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
6
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-12
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1
126697AA9
216584.950000
PA
USD
207090.710000
0.1874340
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Floating
0.9245
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-9
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 1A
12670FAA8
509293.090000
PA
USD
446527.150000
0.4041435
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
0.3845
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2004-12
N/A
COUNTRYWIDE HOME LOANS CWHL 2004 12 11A1
12669FN58
7533.380000
PA
USD
7256.550000
0.0065678
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
3.42682
Y
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG JR SUBORDINA 144A VAR
225401AL2
200000.000000
PA
USD
203267.000000
0.1839732
Long
DBT
CORP
CH
N
2
2026-08-21
Floating
6.375
N
N
N
N
N
N
CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED
549300PXR5FKNXF0OH19
CRED SUIS GP FUN LTD COMPANY GUAR 04/26 4.55
225433AR2
500000.000000
PA
USD
575375.160000
0.5207614
Long
DBT
CORP
GG
N
2
2026-04-17
Fixed
4.55
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAP CERT 2007-6
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2007 6 A1
12639PAA6
322162.850000
PA
USD
274688.610000
0.2486156
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Variable
6.4205
N
N
N
N
N
N
CROWN CASTLE INTERNATIONAL CORP (CCI)
54930012H97VSM0I2R19
CROWN CASTLE INTL CORP SR UNSECURED 02/21 3.4
22822VAA9
300000.000000
PA
USD
304718.550000
0.2757951
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
3.4
N
N
N
N
N
N
CS FIRST BOSTON MTGE SEC CORP 2003-AR18
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR18 2A3
22541QFC1
9775.420000
PA
USD
9606.250000
0.0086944
Long
ABS-MBS
CORP
US
N
2
2033-07-25
Floating
3.30345
N
N
N
N
N
N
CSAB MORTGAGE BACKED TR 2006-3
N/A
CSAB MORTGAGE BACKED TRUST CSAB 2006 3 A1B1
12628KAB8
1017351.120000
PA
USD
232122.600000
0.2100899
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.30825
Y
N
N
N
N
N
D.R. HORTON INC
529900ZIUEYVSB8QDD25
D.R. HORTON INC COMPANY GUAR 02/23 4.75
23331ABG3
200000.000000
PA
USD
216131.630000
0.1956167
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
4.75
N
N
N
N
N
N
D.R. HORTON INC
529900ZIUEYVSB8QDD25
D.R. HORTON INC COMPANY GUAR 09/22 4.375
23331ABE8
100000.000000
PA
USD
106302.090000
0.0962121
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
4.375
N
N
N
N
N
N
DELL INTERNATIONAL LLC
N/A
DELL INTERNATIONAL LLC 2019 TERM LOAN B
24702NBE9
473800.510000
PA
USD
462547.750000
0.4186434
Long
LON
CORP
US
N
2
2025-09-19
Floating
2.75
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DELL INT LLC / EMC CORP SR SECURED 144A 06/21 4.42
25272KAD5
50000.000000
PA
USD
51397.540000
0.0465190
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
4.42
N
N
N
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK NY SR UNSECURED 02/21 4.25
25160PAC1
700000.000000
PA
USD
707960.480000
0.6407620
Long
DBT
CORP
DE
N
2
2021-02-04
Fixed
4.25
N
N
N
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK NY SR UNSECURED 11/25 VAR
251526CB3
400000.000000
PA
USD
420054.450000
0.3801835
Long
DBT
CORP
DE
N
2
2025-11-26
Floating
3.961
N
N
N
N
N
N
DRYDEN EURO CLO 16-46A
N/A
DRYDEN LEVERAGED LOAN CDO DRYD 2016 46A A1R 144A
ACI1C3DT6
500000.000000
PA
559373.090000
0.5062783
Long
ABS-CBDO
CORP
NL
N
2
2030-01-15
Floating
0.88
N
N
N
N
N
N
DUKE ENERGY CORPORATION
I1BZKREC126H0VB1BL91
DUKE ENERGY CORP SR UNSECURED 03/22 VAR
26441CBD6
300000.000000
PA
USD
299830.950000
0.2713715
Long
DBT
CORP
US
N
2
2022-03-11
Floating
0.96463
N
N
N
N
N
N
EMF-NL BV 2008-APRX
N/A
EMF NL BV EMFNL 2008 APRX A2 REGS
B39M0PII2
49706.320000
PA
51462.140000
0.0465774
Long
ABS-MBS
CORP
NL
N
2
2041-04-17
Floating
0.407
N
N
N
N
N
N
FANNIE MAE 2002-21
N/A
FANNIE MAE FNR 2002 21 FC
31392CRC0
12921.150000
PA
USD
13048.500000
0.0118100
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
Floating
1.0845
N
N
N
N
N
N
FANNIE MAE 2004-11
N/A
FANNIE MAE FNR 2004 11 A
31393T7H3
9478.330000
PA
USD
9443.890000
0.0085475
Long
ABS-MBS
USGSE
US
N
2
2034-03-25
Floating
0.3045
N
N
N
N
N
N
FCE BANK PLC
TU5V87TL5Q0UV1EW4H93
FCE BANK PLC SR UNSECURED REGS 08/20 VAR
ACI0TCRM0
200000.000000
PA
223721.350000
0.2024861
Long
DBT
CORP
GB
N
2
2020-08-26
Floating
0.221
N
N
N
N
N
N
NATIONWIDE BUILDING SOCIETY
549300XFX12G42QIKN82
NATIONWIDE BLDG SOCIETY JR SUBORDINA REGS 06/49 VAR
ACI07BWB4
250.000000
NS
48479.810000
0.0438782
Long
EP
CORP
GB
N
2
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BM4855 FN 04/48 FIXED VAR
3140J9MD0
1410004.860000
PA
USD
1535890.950000
1.3901065
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 01/21 VAR
345397ZL0
200000.000000
PA
USD
197030.350000
0.1783285
Long
DBT
CORP
US
N
2
2021-01-07
Floating
2.82588
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 09/20 VAR
34540RAC0
700000.000000
PA
USD
694416.710000
0.6285037
Long
DBT
CORP
US
N
2
2020-09-24
Floating
1.22663
N
N
N
N
N
N
FORTRESS TRANSPORTATION AND INFRASTRUCTURE INVESTORS LLC
529900E7PUVK6BC8PE80
FORTRESS TRANS + INFRAST SR UNSECURED 144A 03/22 6.75
34960PAA9
400000.000000
PA
USD
385074.000000
0.3485234
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
6.75
N
N
N
N
N
N
FREMONT HOME LOAN TRUST 2006-E
N/A
FREMONT HOME LOAN TRUST FHLT 2006 E 1A1
35729NAA3
650711.880000
PA
USD
410764.610000
0.3717755
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.30825
N
N
N
N
N
N
GATX CORPORATION
549300IHYHCQP2PIR591
GATX CORP SR UNSECURED 11/21 VAR
361448BB8
200000.000000
PA
USD
197320.780000
0.1785914
Long
DBT
CORP
US
N
2
2021-11-05
Floating
2.461
N
N
N
N
N
N
PIMCO FUNDS
LWVQWTQCFH3YG7CVH718
PIMCO PRV SHORT TERM FLT III MUTUAL FUND
000000000
1442273.020000
PA
USD
14219369.690000
12.8696890
Long
STIV
RF
US
N
1
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC SR UNSECURED 04/22 VAR
38141GWD2
200000.000000
PA
USD
200951.710000
0.1818777
Long
DBT
CORP
US
N
2
2022-04-26
Floating
2.10138
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC SR UNSECURED 07/23 VAR
38141GWN0
200000.000000
PA
USD
200461.590000
0.1814341
Long
DBT
CORP
US
N
2
2023-07-24
Floating
2.02025
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC SR UNSECURED 11/23 VAR
38141EB81
300000.000000
PA
USD
305850.020000
0.2768192
Long
DBT
CORP
US
N
2
2023-11-29
Floating
1.9625
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2007-1F
N/A
GSR MORTGAGE LOAN TRUST GSR 2007 1F 3A4
3622MPAT5
16868.630000
PA
USD
15181.650000
0.0137406
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
5.75
Y
N
N
N
N
N
GSR MTGE LOAN TRUST 2004-7
N/A
GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1
36228F4P8
17013.950000
PA
USD
16103.060000
0.0145746
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
2.90616
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2006-3
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 1A1A
41161QAM3
160846.760000
PA
USD
108391.350000
0.0981030
Long
ABS-MBS
CORP
US
N
2
2036-06-19
Floating
3.87442
Y
N
N
N
N
N
HARLEY-DAVIDSON FINANCIAL SERVICES INC
RLUFFFFW4GRYU77BTS24
HARLEY DAVIDSON FINL SER COMPANY GUAR 144A 03/21 VAR
41283LAT2
400000.000000
PA
USD
397720.200000
0.3599692
Long
DBT
CORP
US
N
2
2021-03-02
Floating
1.284
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
HASBRO INC SR UNSECURED 11/22 2.6
418056AW7
200000.000000
PA
USD
207091.710000
0.1874349
Long
DBT
CORP
US
N
2
2022-11-19
Fixed
2.6
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 06/29 VAR
404280BT5
100000.000000
PA
USD
115587.970000
0.1046165
Long
DBT
CORP
GB
N
2
2029-06-19
Floating
4.583
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 09/26 VAR
404280BX6
300000.000000
PA
USD
334105.580000
0.3023928
Long
DBT
CORP
GB
N
2
2026-09-12
Floating
4.292
N
N
N
N
N
N
HSI ASSET SEC CORP TRUST 2006-OPT2
N/A
HSI ASSET SECURITIZATION CORPO HASC 2006 OPT2 M4
40430HED6
400000.000000
PA
USD
337776.600000
0.3057154
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.94825
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 09/20 VAR
44891AAX5
700000.000000
PA
USD
698533.920000
0.6322302
Long
DBT
CORP
US
N
2
2020-09-18
Floating
1.10788
N
N
N
N
N
N
IHS MARKIT LTD
549300HLPTRASHS0E726
IHS MARKIT LTD COMPANY GUAR 144A 11/22 5
44962LAA5
200000.000000
PA
USD
214772.350000
0.1943865
Long
DBT
CORP
BM
N
2
2022-11-01
Fixed
5
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/22 3.75
453140AE5
400000.000000
PA
USD
417788.390000
0.3781326
Long
DBT
CORP
GB
N
2
2022-07-21
Fixed
3.75
N
N
N
N
N
N
IXIS REAL ESTATE CAPITAL TRUST 2006-HE3
N/A
IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE3 A4
46602UAD0
125568.600000
PA
USD
60213.870000
0.0544985
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.39825
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO SR UNSECURED 03/21 VAR
46625HQK9
300000.000000
PA
USD
302115.040000
0.2734387
Long
DBT
CORP
US
N
2
2021-03-01
Floating
1.83
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO SR UNSECURED 04/23 VAR
46647PAD8
400000.000000
PA
USD
401532.000000
0.3634192
Long
DBT
CORP
US
N
2
2023-04-25
Floating
1.89138
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO SR UNSECURED 10/23 VAR
46625HRW2
300000.000000
PA
USD
303417.500000
0.2746176
Long
DBT
CORP
US
N
2
2023-10-24
Floating
2.25025
N
N
N
N
N
N
LAZARD GROUP LLC
FI94J2CJ1D7BIGVMS874
LAZARD GROUP LLC SR UNSECURED 09/28 4.5
52107QAJ4
800000.000000
PA
USD
903378.580000
0.8176313
Long
DBT
CORP
US
N
2
2028-09-19
Fixed
4.5
N
N
N
N
N
N
LCM XX LP 20A
N/A
LCM LTD PARTNERSHIP LCM 20A AR 144A
50188WAE8
400000.000000
PA
USD
393276.940000
0.3559477
Long
ABS-CBDO
CORP
KY
N
2
2027-10-20
Floating
2.17525
N
N
N
N
N
N
LEASEPLAN CORPORATION NV
724500C60L930FVHS484
LEASEPLAN CORPORATION NV SR UNSECURED 144A 10/24 2.875
52206AAD2
200000.000000
PA
USD
205780.870000
0.1862485
Long
DBT
CORP
NL
N
2
2024-10-24
Fixed
2.875
N
N
N
N
N
N
LEGACY MORTGAGE ASSET TRUST 2019-GS3
N/A
LEGACY MORTGAGE ASSET TRUST LMAT 2019 GS3 A1 144A
52474WAA5
437697.850000
PA
USD
448729.370000
0.4061367
Long
ABS-MBS
CORP
US
N
2
2059-04-25
Fixed
3.75
N
N
N
N
N
N
LLOYDS BANK CORPORATE MARKETS PLC/NEW YORK BRANCH
213800MBWEIJDM5CU638
LLOYDS BANK CORPORATE
53947BAE0
400000.000000
PA
USD
400590.360000
0.3625669
Long
DBT
CORP
GB
N
2
2020-10-26
Floating
0.76838
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR
ACI0808F5
300000.000000
PA
380720.830000
0.3445834
Long
DBT
CORP
GB
N
2
2023-06-27
Floating
7.625
N
N
N
N
Y
LLOYDS BANKING GROUP PLC
LLOYDS BANKING GROUP PLC
GBP
XXXX
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC SR UNSECURED 03/23 VAR
53944YAK9
300000.000000
PA
USD
309157.090000
0.2798124
Long
DBT
CORP
GB
N
2
2023-03-17
Floating
2.858
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC SR UNSECURED 08/23 4.05
539439AS8
300000.000000
PA
USD
326504.600000
0.2955133
Long
DBT
CORP
GB
N
2
2023-08-16
Fixed
4.05
N
N
N
N
N
N
LOANCORE ISSUER LTD 2019-CRE2
N/A
LOANCORE 2019 CRE2 ISSUER, LTD LNCR 2019 CRE2 A 144A
53946JAA2
1000000.000000
PA
USD
990373.550000
0.8963688
Long
ABS-O
CORP
KY
N
2
2036-05-15
Floating
1.31475
N
N
N
N
N
N
MASTR ADJUSTABLE RT MTGE TRUST 2004-4
N/A
MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 4 3A1
576433MC7
51107.780000
PA
USD
50166.930000
0.0454052
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Floating
3.52043
N
N
N
N
N
N
MELCO RESORTS FINANCE LIMITED
N/A
MELCO RESORTS FINANCE SR UNSECURED 144A 12/29 5.375
58547DAD1
200000.000000
PA
USD
200428.080000
0.1814038
Long
DBT
CORP
KY
N
2
2029-12-04
Fixed
5.375
N
N
N
N
N
N
MELLON RESIDENTIAL FUND CORP 2002-TBC2
N/A
MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC2 A
585525FX1
104072.940000
PA
USD
98164.290000
0.0888467
Long
ABS-MBS
CORP
US
N
2
2032-08-15
Floating
1.04475
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INCORPORATED
5493007PTFULNYZJ1R12
MICROCHIP TECHNOLOGY INC SR SECURED 06/21 3.922
595017AN4
400000.000000
PA
USD
407886.820000
0.3691708
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
3.922
N
N
N
N
N
N
MITCHELLS & BUTLERS FINANCE PLC
213800E7QA1U8BF34219
MITCHELLS + BUTLERS FINA SECURED REGS 12/30 6.013
337792II8
163012.000000
PA
217259.050000
0.1966372
Long
DBT
CORP
GB
N
2
2030-12-15
Fixed
6.013
N
N
N
N
N
N
MITSUBISHI UFJ LEASE & FINANCE COMPANY LIMITED
353800MZ3QX9RLMH7B09
MITSUBISHI UFJ LEASE+FIN SR UNSECURED 144A 02/22 3.406
60682LAD4
200000.000000
PA
USD
206388.970000
0.1867988
Long
DBT
CORP
JP
N
2
2022-02-28
Fixed
3.406
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2005-HE1
N/A
MORGAN STANLEY CAPITAL INC MSAC 2005 HE1 A2SS
61744CKY1
231293.590000
PA
USD
218963.810000
0.1981801
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
0.7245
N
N
N
N
N
N
NATIONWIDE BUILDING SOCIETY
549300XFX12G42QIKN82
NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 03/29 VAR
63861VAB3
300000.000000
PA
USD
340478.170000
0.3081605
Long
DBT
CORP
GB
N
2
2029-03-08
Floating
4.302
N
N
N
N
N
N
NATIONWIDE BUILDING SOCIETY
549300XFX12G42QIKN82
NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 08/24 VAR
63861VAC1
300000.000000
PA
USD
324832.940000
0.2940003
Long
DBT
CORP
GB
N
2
2024-08-01
Floating
4.363
N
N
N
N
N
N
NAVIENT CORPORATION
54930067J0ZNOEBRW338
NAVIENT CORP SR UNSECURED 07/21 6.625
63938CAD0
200000.000000
PA
USD
196562.000000
0.1779046
Long
DBT
CORP
US
N
2
2021-07-26
Fixed
6.625
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK INC COMPANY GUAR 07/28 4.55
682680AU7
700000.000000
PA
USD
734745.100000
0.6650042
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
4.55
N
N
N
N
N
N
OZLM XII LTD 2015-12A
N/A
OZLM LTD OZLM 2015 12A A1R 144A
67109WAJ7
600000.000000
PA
USD
595646.230000
0.5391084
Long
ABS-CBDO
CORP
KY
N
2
2027-04-30
Floating
1.81013
N
N
N
N
N
N
PACIFIC NATIONAL FINANCE PTY LTD
213800SSTRDXLWWVF948
PACIFIC NATIONAL FINANCE COMPANY GUAR 144A 09/20 4.625
04363UAB2
500000.000000
PA
USD
502909.260000
0.4551739
Long
DBT
CORP
AU
N
2
2020-09-23
Fixed
4.625
N
N
N
N
N
N
PALMER SQUARE LOAN FUNDING 2020-1 LTD
N/A
PALMER SQUARE LOAN FUNDING LTD PSTAT 2020 1A A1 144A
69701EAA4
393666.110000
PA
USD
387910.550000
0.3510907
Long
ABS-CBDO
CORP
KY
N
2
2028-02-20
Floating
1.17663
N
N
N
N
N
N
PALMER SQUARE LOAN FUNDING LTD 2018-4A
N/A
PALMER SQUARE LOAN FUNDING LTD PSTAT 2018 4A A1 144A
69700KAA1
374436.490000
PA
USD
370210.580000
0.3350708
Long
ABS-CBDO
CORP
KY
N
2
2026-11-15
Floating
1.29238
N
N
N
N
N
N
PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP
N/A
PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 02/22 3.375
709599AS3
600000.000000
PA
USD
615768.880000
0.5573210
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
3.375
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU SR UNSECURED 144A 02/29 5.94
715638BX9
1800000.000000
PA
587082.110000
0.5313572
Long
DBT
NUSS
PE
N
2
2029-02-12
Fixed
5.94
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU SR UNSECURED 144A 08/26 8.2
715638AX0
1000000.000000
PA
364993.740000
0.3303491
Long
DBT
NUSS
PE
N
2
2026-08-12
Fixed
8.2
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU SR UNSECURED 144A 08/28 6.35
715638BV3
3100000.000000
PA
1036495.610000
0.9381130
Long
DBT
NUSS
PE
N
2
2028-08-12
Fixed
6.35
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE COMPANY GUAR 01/22 6.125
71647NAR0
200000.000000
PA
USD
210203.000000
0.1902509
Long
DBT
CORP
NL
N
2
2022-01-17
Fixed
6.125
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE COMPANY GUAR 01/25 5.299
71647NAV1
325000.000000
PA
USD
338897.000000
0.3067294
Long
DBT
CORP
NL
N
2
2025-01-27
Fixed
5.299
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 144A 01/30 6.84
71654QCT7
200000.000000
PA
USD
175716.000000
0.1590373
Long
DBT
CORP
MX
N
2
2030-01-23
Fixed
6.84
N
N
N
N
N
N
PROVINCE OF BUENOS AIRES ARGENTINA
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR
P1910WRC5
380000.000000
PA
2996.330000
0.0027119
Long
DBT
NUSS
AR
N
2
2025-04-12
Floating
37.5964
N
N
N
N
N
N
REGIONS BANK
EQTWLK1G7ODGC2MGLV11
REGIONS BANK SR UNSECURED 08/21 VAR
759187CE5
300000.000000
PA
USD
300017.140000
0.2715400
Long
DBT
CORP
US
N
2
2021-08-13
Floating
0.9335
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2007-QA5
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA5 2A1
749236AC9
570777.950000
PA
USD
472376.170000
0.4275390
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
6.01405
N
N
N
N
N
N
RESIDENTIAL ASSET SEC CORP 2006-EMX5
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX5 A4
74924QAD2
1420316.070000
PA
USD
1161981.600000
1.0516881
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.4445
Y
N
N
N
N
N
RESIDENTIAL ASSET SECUR TR 2007-A7
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2007 A7 A1
76114QAA3
204867.760000
PA
USD
118295.230000
0.1070668
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL ASSET SECURITIES 2006-KS1
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2006 KS1 M2
76113AAH4
1570000.000000
PA
USD
1512729.850000
1.3691439
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.5845
N
N
N
N
N
N
RIO OIL FINANCE TRUST SERIES 2018-1
N/A
RIO OIL FINANCE TRUST SR SECURED 144A 04/28 8.2
76716XAC6
250000.000000
PA
USD
252187.500000
0.2282503
Long
DBT
CORP
US
N
2
2028-04-06
Fixed
8.2
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GROUP PLC
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC JR SUBORDINA 12/49 VAR
780097BB6
300000.000000
PA
USD
312591.000000
0.2829203
Long
DBT
CORP
GB
N
2
2021-08-15
Floating
8.625
N
N
N
N
Y
ROYAL BANK OF SCOTLAND GROUP PLC
RBS GROUP
GBP
XXXX
N
N
N
ROYAL BANK OF SCOTLAND GROUP PLC
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC SR UNSECURED 04/26 4.8
780097BA8
500000.000000
PA
USD
579395.210000
0.5243999
Long
DBT
CORP
GB
N
2
2026-04-05
Fixed
4.8
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GROUP PLC
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC SR UNSECURED 06/24 VAR
780097BJ9
200000.000000
PA
USD
217463.130000
0.1968219
Long
DBT
CORP
GB
N
2
2024-06-25
Floating
4.519
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GROUP PLC
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC SR UNSECURED 09/23 3.875
780097BD2
500000.000000
PA
USD
539398.170000
0.4881993
Long
DBT
CORP
GB
N
2
2023-09-12
Fixed
3.875
N
N
N
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HLDGS JR SUBORDINA REGS 12/49 VAR
ACI0CTJV0
200000.000000
PA
254046.590000
0.2299329
Long
DBT
CORP
GB
N
2
2022-06-24
Floating
7.375
N
N
N
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HLDGS SR UNSECURED 11/28 VAR
80281LAG0
950000.000000
PA
USD
1047462.250000
0.9480387
Long
DBT
CORP
GB
N
2
2028-11-03
Floating
3.823
N
N
N
N
N
N
SAUDI ARABIA GOVT
635400FMICXSM3SI3H65
SAUDI INTERNATIONAL BOND SR UNSECURED REGS 04/49 5
ACI121KG1
300000.000000
PA
USD
372070.800000
0.3367544
Long
DBT
NUSS
SA
N
2
2049-04-17
Fixed
5
N
N
N
N
N
N
SAUDI ARABIA GOVT
635400FMICXSM3SI3H65
SAUDI INTERNATIONAL BOND SR UNSECURED REGS 10/46 4.5
M6320UAC3
200000.000000
PA
USD
230598.000000
0.2087100
Long
DBT
NUSS
SA
N
2
2046-10-26
Fixed
4.5
N
N
N
N
N
N
SAXON ASSET SECURITIES TRUST 2007-3
N/A
SAXON ASSET SECURITIES TRUST SAST 2007 3 1A
80557BAA2
475015.790000
PA
USD
447494.090000
0.4050186
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
0.4945
N
N
N
N
N
N
SCHAEFFLER FINANCE BV
529900KEH8410ESH1483
SCHAEFFLER FINANCE BV SR SECURED REGS 05/25 3.25
ACI0C6FW2
400000.000000
PA
447093.510000
0.4046561
Long
DBT
CORP
NL
N
2
2025-05-15
Fixed
3.25
N
N
N
N
N
N
SEVEN & I HOLDINGS CO LTD
52990037G8JRM3TWGY86
SEVEN + I HOLDINGS SR UNSECURED 144A 09/21 3.35
81783HAA3
800000.000000
PA
USD
821825.220000
0.7438188
Long
DBT
CORP
JP
N
2
2021-09-17
Fixed
3.35
N
N
N
N
N
N
SG MORTGAGE SECURITIES TRUST 2006-OPT2
N/A
SG MORTGAGE SECURITIES TRUST SGMS 2006 OPT2 A3D
78420MAF6
700000.000000
PA
USD
511386.190000
0.4628462
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.37825
N
N
N
N
N
N
SIERRA MADRE FUNDING LTD 2004-1A
N/A
SIERRA MADRE FUNDING LTD MADRE 2004 1A ALTB 144A
82639RAA5
1333855.370000
PA
USD
1213141.460000
1.0979919
Long
ABS-CBDO
CORP
KY
N
2
2039-09-07
Floating
0.56263
N
N
N
N
N
N
SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY
549300OD7VKRVNWB2J98
SMBC AVIATION CAPITAL FI COMPANY GUAR 144A 07/23 4.125
78448TAD4
700000.000000
PA
USD
727307.270000
0.6582724
Long
DBT
CORP
IE
N
2
2023-07-15
Fixed
4.125
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE JR SUBORDINA 144A 12/99 VAR
83367TBU2
300000.000000
PA
USD
298744.500000
0.2703881
Long
DBT
CORP
FR
N
2
2028-04-06
Floating
6.75
N
N
N
N
N
N
SOUND POINT CLO XIV LTD 2016-3A
N/A
SOUND POINT CLO LTD SNDPT 2016 3A AR 144A
83609NAL4
800000.000000
PA
USD
786016.650000
0.7114092
Long
ABS-CBDO
CORP
KY
N
2
2029-01-23
Floating
2.193
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 1A1
83612TAA0
704041.900000
PA
USD
555827.840000
0.5030695
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
0.36825
N
N
N
N
N
N
SOUTH AFRICA GOVT
N/A
REPUBLIC OF SOUTH AFRICA SR UNSECURED 09/29 4.85
836205BA1
400000.000000
PA
USD
380148.000000
0.3440649
Long
DBT
NUSS
ZA
N
2
2029-09-30
Fixed
4.85
N
N
N
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
SOUTHERN CO SR UNSECURED 07/23 2.95
842587CU9
300000.000000
PA
USD
317365.500000
0.2872417
Long
DBT
CORP
US
N
2
2023-07-01
Fixed
2.95
N
N
N
N
N
N
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST
N/A
AERCAP IRELAND CAP/GLOBA COMPANY GUAR 02/22 3.95
00772BAR2
200000.000000
PA
USD
200158.180000
0.1811595
Long
DBT
CORP
IE
N
2
2022-02-01
Fixed
3.95
N
N
N
N
N
N
SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I)
N/A
AGFC CAPITAL TRUST I LIMITD GUARA 144A 01/67 VAR
00846NAA5
100000.000000
PA
USD
33166.450000
0.0300183
Long
DBT
CORP
US
N
2
2067-01-15
Floating
2.96888
N
N
N
N
N
N
SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP)
5493008I795YYBFWFU90
SPRINGLEAF FINANCE CORP COMPANY GUAR 03/24 6.125
85172FAP4
250000.000000
PA
USD
254576.250000
0.2304123
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
6.125
N
N
N
N
N
N
SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP)
5493008I795YYBFWFU90
SPRINGLEAF FINANCE CORP COMPANY GUAR 12/20 8.25
85172FAJ8
100000.000000
PA
USD
103362.500000
0.0935515
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
8.25
N
N
N
N
N
N
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST
N/A
AERCAP IRELAND CAP/GLOBA COMPANY GUAR 12/21 4.45
00774MAH8
300000.000000
PA
USD
303042.750000
0.2742784
Long
DBT
CORP
IE
N
2
2021-12-16
Fixed
4.45
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2005-AR5
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A1
86359LPD5
32139.110000
PA
USD
29544.400000
0.0267401
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
0.44388
N
N
N
N
N
N
AIA GROUP LIMITED
ZP5ILWVSYE4LJGMMVD57
AIA GROUP LTD SR UNSECURED 144A 09/21 VAR
00131LAG0
700000.000000
PA
USD
700938.000000
0.6344060
Long
DBT
CORP
HK
N
2
2021-09-20
Floating
0.82638
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T MOBILE USA INC SR SECURED 144A 04/30 3.875
87264ABE4
200000.000000
PA
USD
223289.000000
0.2020948
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.875
N
N
N
N
N
N
TEGNA INC
549300YC5EDBGX85AO10
TEGNA INC COMPANY GUAR 144A 03/28 4.625
87901JAE5
200000.000000
PA
USD
185165.000000
0.1675894
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.625
N
N
N
N
N
N
TERWIN MORTGAGE TRUST SERIES TMTS 2005-18AL
N/A
TERWIN MORTGAGE TRUST TMTS 2005 18AL A3
881561F33
685404.330000
PA
USD
331994.160000
0.3004818
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.53825
N
N
N
N
N
N
TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV
5493004T21MOAFINJP35
TEVA PHARMACEUTICALS NE COMPANY GUAR 07/21 2.2
88167AAC5
78000.000000
PA
USD
76589.370000
0.0693196
Long
DBT
CORP
NL
N
2
2021-07-21
Fixed
2.2
N
N
N
N
N
N
TEXTRON INC
3PPKBHUG1HD6BO7RNR87
TEXTRON INC SR UNSECURED 11/20 VAR
883203BZ3
100000.000000
PA
USD
99703.160000
0.0902395
Long
DBT
CORP
US
N
2
2020-11-10
Floating
0.99763
N
N
N
N
N
N
TIKEHAU CLO II BV 2A
N/A
TIKEHAU TIKEH 2A AR 144A
ACI1CK6K5
400000.000000
PA
445340.040000
0.4030690
Long
ABS-CBDO
CORP
NL
N
2
2029-12-07
Floating
0.88
N
N
N
N
N
N
TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC
N/A
TOWD POINT MORTGAGE FUNDING TPMF 2019 GR4A A1 144A
ACI19VH23
1190249.600000
PA
1475129.050000
1.3351121
Long
ABS-MBS
CORP
GB
N
2
2051-10-20
Floating
1.67675
N
N
N
N
N
N
TOYOTA TSUSHO CORPORATION
549300CEE2ENIUJNXB84
TOYOTA TSUSHO CORP SR UNSECURED REGS 09/23 3.625
ACI14XK12
300000.000000
PA
USD
321664.160000
0.2911323
Long
DBT
CORP
JP
N
2
2023-09-13
Fixed
3.625
N
N
N
N
N
N
TRALEE CLO V LTD 2018-5A
N/A
TRALEE CLO LTD TRAL 2018 5A A1 144A
89300JAA6
600000.000000
PA
USD
591320.480000
0.5351932
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
2.24525
N
N
N
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
TRANSOCEAN INC COMPANY GUAR 144A 11/25 7.25
893830BK4
100000.000000
PA
USD
56000.000000
0.0506846
Long
DBT
CORP
KY
N
2
2025-11-01
Fixed
7.25
N
N
N
N
N
N
TURKEY GOVT
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY SR UNSECURED 03/24 5.75
900123CF5
200000.000000
PA
USD
199064.200000
0.1801693
Long
DBT
NUSS
TR
N
2
2024-03-22
Fixed
5.75
N
N
N
N
N
N
TURKEY GOVT
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY SR UNSECURED 08/24 6.35
900123CV0
800000.000000
PA
USD
811000.000000
0.7340211
Long
DBT
NUSS
TR
N
2
2024-08-10
Fixed
6.35
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE
01F022683
4155000.000000
PA
USD
4322217.600000
3.9119593
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
FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE
01F022691
10445000.000000
PA
USD
10842122.970000
9.8130053
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
FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE
01F030694
4200000.000000
PA
USD
4408490.480000
3.9900433
Long
ABS-MBS
USGSE
US
N
2
2050-09-14
Fixed
3
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UNICREDIT SPA SR UNSECURED 144A 12/23 7.83
904678AG4
600000.000000
PA
USD
694656.440000
0.6287207
Long
DBT
CORP
IT
N
2
2023-12-04
Fixed
7.83
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 08/20 0.00000
912796XF1
12300000.000000
PA
USD
12298035.440000
11.1307248
Long
DBT
UST
US
N
2
2020-08-20
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/28 1.75
912810PV4
734466.000000
PA
USD
877013.490000
0.7937687
Long
DBT
UST
US
N
2
2028-01-15
Fixed
1.75
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/44 1.375
912810RF7
220070.770000
PA
USD
300774.860000
0.2722258
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.375
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 04/21 0.125
912828Q60
2380444.000000
PA
USD
2394072.300000
2.1668306
Long
DBT
UST
US
N
2
2021-04-15
Fixed
0.125
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 07/28 0.75
912828Y38
1225956.000000
PA
USD
1383610.710000
1.2522805
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.75
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 02/29 2.625
9128286B1
360000.000000
PA
USD
421896.090000
0.3818504
Long
DBT
UST
US
N
2
2029-02-15
Fixed
2.625
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 02/30 1.5
912828Z94
6300000.000000
PA
USD
6810890.630000
6.1644114
Long
DBT
UST
US
N
2
2030-02-15
Fixed
1.5
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 05/28 2.875
9128284N7
1100000.000000
PA
USD
1298343.750000
1.1751070
Long
DBT
UST
US
N
2
2028-05-15
Fixed
2.875
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 07/23 1.25
912828S92
587000.000000
PA
USD
606432.910000
0.5488712
Long
DBT
UST
US
N
2
2023-07-31
Fixed
1.25
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 11/28 3.125
9128285M8
3300000.000000
PA
USD
3990099.600000
3.6113655
Long
DBT
UST
US
N
2
2028-11-15
Fixed
3.125
N
N
N
N
N
N
VENTURE CDO LTD 2016-25A
N/A
VENTURE CDO LTD VENTR 2016 25A AR 144A
92329VAQ5
700000.000000
PA
USD
689495.930000
0.6240500
Long
ABS-CBDO
CORP
KY
N
2
2029-04-20
Floating
2.36525
N
N
N
N
N
N
VENTURE CDO LTD 2018-35A
N/A
VENTURE CDO LTD VENTR 2018 35A AS 144A
92331XAC8
700000.000000
PA
USD
689807.140000
0.6243317
Long
ABS-CBDO
CORP
KY
N
2
2031-10-22
Floating
2.24763
N
N
N
N
N
N
VOLKSWAGEN BANK GMBH
529900GJD3OQLRZCKW37
VOLKSWAGEN BANK GMBH SR UNSECURED REGS 09/21 0.625
ACI134XC9
200000.000000
PA
224206.700000
0.2029253
Long
DBT
CORP
DE
N
2
2021-09-08
Fixed
0.625
N
N
N
N
N
N
VOLKSWAGEN GROUP OF AMERICA FINANCE LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 11/20 VAR
928668AV4
600000.000000
PA
USD
600387.970000
0.5434001
Long
DBT
CORP
US
N
2
2020-11-13
Floating
1.2035
N
N
N
N
N
N
WAMU ASSET-BACKED CERTIFICATES 2007-HE3
N/A
WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 1A
93364EAA2
513149.210000
PA
USD
469022.940000
0.4245040
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
0.4095
N
N
N
N
N
N
WAMU MTGE P/T CERT 2007-HY3
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 2A1
933634AC1
600363.000000
PA
USD
530580.770000
0.4802189
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
3.34915
Y
N
N
N
N
N
WASHINGTON MUTUAL 2002-AR9
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A
9393357P4
16247.490000
PA
USD
15133.620000
0.0136972
Long
ABS-MBS
CORP
US
N
2
2042-08-25
Floating
2.90382
N
N
N
N
N
N
AMERICAN AIRLINES 2016-3 CLASS A PASS THROUGH TRUST
N/A
AMER AIRLINE 16 3 A PTT PASS THRU CE 04/30 3.25
023771S25
84666.120000
PA
USD
69438.880000
0.0628478
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.25
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY SR UNSECURED 04/26 3
949746RW3
300000.000000
PA
USD
327864.100000
0.2967437
Long
DBT
CORP
US
N
2
2026-04-22
Fixed
3
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY SR UNSECURED 07/20 2.6
94974BGM6
100000.000000
PA
USD
100122.840000
0.0906193
Long
DBT
CORP
US
N
2
2020-07-22
Fixed
2.6
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY SR UNSECURED 10/23 VAR
949746SJ1
200000.000000
PA
USD
201470.680000
0.1823474
Long
DBT
CORP
US
N
2
2023-10-31
Floating
1.99013
N
N
N
N
N
N
ZAIS CLO 1 LTD 2014-1A
N/A
ZAIS CLO 1 LTD ZAIS1 2014 1A A1AR 144A
98886MBA1
493972.340000
PA
USD
489222.810000
0.4427865
Long
ABS-CBDO
CORP
KY
N
2
2028-04-15
Floating
2.36888
N
N
N
N
N
N
AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2
N/A
AMERICAN HOME MORTGAGE INVESTM AHM 2007 2 13A1
02660CAF7
156530.360000
PA
USD
151079.020000
0.1367388
Long
ABS-MBS
CORP
US
N
2
2047-03-25
Variable
6.5
N
N
N
N
N
N
N/A
N/A
FIXED INC CLEARING CORP.REPO
000000000
781000.000000
PA
USD
781000.000000
0.7068687
Long
RA
US
N
2
Repurchase
N
0.0000001
2020-07-01
743700.000000
USD
796634.250000
USD
UST
N
N
N
N/A
N/A
REVERSE REPO THE BANK OF NOVA REVERSE REPO
000000000
-851375.000000
PA
USD
-851823.390000
-0.7709696
Short
RA
US
N
2
Reverse repurchase
N
0.2400000
2020-07-13
700000.000000
USD
846480.470000
USD
UST
N
N
N
N/A
N/A
ABX.HE.AAA.06-2 SP JPM
000000000
1.000000
NC
USD
-1164695.380000
-1.0541443
N/A
DCR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
ABX.HE.AAA.06-2
N/A
N/A
Y
Single Leg Swap
2046-05-25
0.000000
USD
-2648442.290000
USD
12481360.720000
USD
1483746.910000
N
N
N
N/A
N/A
ABX.HE.AAA.07-1 BP BRC
000000000
1.000000
NC
USD
7373.120000
0.0066733
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
ABX.HE.AAA.07-1
N/A
N/A
Y
Single Leg Swap
2037-08-26
31171.860000
USD
0.000000
USD
60235.470000
USD
-23798.740000
N
N
N
N/A
N/A
ABX.HE.AAA.07-1 BP GST
000000000
1.000000
NC
USD
22119.360000
0.0200198
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
ABX.HE.AAA.07-1
N/A
N/A
Y
Single Leg Swap
2037-08-26
93063.810000
USD
0.000000
USD
180706.410000
USD
-70944.450000
N
N
N
N/A
N/A
ABX.HE.AAA.07-1 BP MYC
000000000
1.000000
NC
USD
36865.600000
0.0333664
N/A
DCR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
ABX.HE.AAA.07-1
N/A
N/A
Y
Single Leg Swap
2037-08-26
154987.800000
USD
0.000000
USD
301177.350000
USD
-118122.200000
N
N
N
N/A
N/A
AT&T INC SNR S* ICE
000000000
1.000000
NC
USD
83.750000
0.0000758
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
AT&T INC
AT&T INC SR UNSEC SMR
Y
Single Leg Swap
2024-06-21
0.000000
USD
-996.650000
USD
200000.000000
USD
1080.400000
N
N
N
N/A
N/A
AT&T INC SNR S* SP FBF
000000000
1.000000
NC
USD
83.750000
0.0000758
N/A
DCR
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
AT&T INC
AT&T INC SR UNSEC SMR
Y
Single Leg Swap
2024-06-21
0.000000
USD
-569.300000
USD
200000.000000
USD
653.050000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
1954.830000
0.0017693
N/A
DFE
RU
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
21706.730000
RUB
1687177.000000
RUB
2020-07-17
1954.830000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
-881.740000
-0.0007980
N/A
DFE
RU
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
29312.750000
RUB
2034056.000000
RUB
2020-08-14
-881.740000
N
N
N
N/A
N/A
SOLD RUB/BOUGHT USD
000000000
1.000000
NC
1515.040000
0.0013712
N/A
DFE
RU
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
5032800.000000
RUB
72000.000000
USD
2020-07-27
1515.040000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
-479.420000
-0.0004339
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
60024.900000
EUR
53000.000000
EUR
2020-07-02
-479.420000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
433.470000
0.0003923
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
566933.810000
EUR
505000.000000
EUR
2020-07-02
433.470000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
-5495.880000
-0.0049742
N/A
DFE
RU
N
2
BNP Paribas S.A.
N/A
181799.980000
RUB
12571287.000000
RUB
2020-07-17
-5495.880000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
-187.910000
-0.0001701
N/A
DFE
RU
N
2
BNP Paribas S.A.
N/A
17879.610000
RUB
1261499.000000
RUB
2020-07-17
-187.910000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
-791.380000
-0.0007163
N/A
DFE
RU
N
2
BNP Paribas S.A.
N/A
39836.470000
RUB
2793425.000000
RUB
2020-08-14
-791.380000
N
N
N
N/A
N/A
BRAZIL LA SP CBK
000000000
1.000000
NC
USD
-17830.450000
-0.0161380
N/A
DCR
US
N
2
Citibank International Limited
N/A
BRAZIL GOVT
BRAZIL BD GLBL
Y
Single Leg Swap
2024-12-21
0.000000
USD
-5180.880000
USD
300000.000000
USD
-12649.570000
N
N
N
N/A
N/A
BRAZIL LA SP GST
000000000
1.000000
NC
USD
-5943.480000
-0.0053793
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BRAZIL GOVT
BRAZIL BD GLBL
Y
Single Leg Swap
2024-12-21
0.000000
USD
-1556.240000
USD
100000.000000
USD
-4387.240000
N
N
N
N/A
N/A
BRAZIL LA SP HUS
000000000
1.000000
NC
USD
-9445.550000
-0.0085490
N/A
DCR
US
N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
BRAZIL GOVT
BRAZIL BD GLBL
Y
Single Leg Swap
2024-06-21
0.000000
USD
-5851.290000
USD
200000.000000
USD
-3594.260000
N
N
N
N/A
N/A
BRITISH TELECOMMUNICATIONS PU SNR SE ICE
000000000
1.000000
NC
1104.280000
0.0009995
N/A
DCR
GB
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
BRITISH TELECOMMUNICATIONS PLC
BRITISH TELECOM PLC WURO SR UNSEC
Y
Single Leg Swap
2024-12-21
900.970000
EUR
0.000000
EUR
300000.000000
EUR
203.310000
N
N
N
AMERIQUEST MTGE SEC INC 2004-R8
N/A
AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R8 M2
03072SUA1
488791.380000
PA
USD
480082.290000
0.4345136
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
1.2045
N
N
N
N
N
N
N/A
N/A
CDX HY33 5Y ICE
000000000
1.000000
NC
USD
-436.190000
-0.0003948
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
CDX.NA.HY.33
Y
Single Leg Swap
2024-12-21
6759.280000
USD
0.000000
USD
92000.000000
USD
-7195.470000
N
N
N
N/A
N/A
CDX HY34 5Y ICE
000000000
1.000000
NC
USD
22358.530000
0.0202363
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
CDX.NA.HY.34
Y
Single Leg Swap
2025-06-21
67435.940000
USD
0.000000
USD
3705000.000000
USD
-45077.410000
N
N
N
AMERIQUEST MTGE SECURITIES INC 2005-R9
N/A
AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R9 M1
03072SQ32
645208.910000
PA
USD
630313.420000
0.5704850
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.6545
N
N
N
N
N
N
N/A
N/A
3175JF418 CDX.O P 2.5 IG33 JAN21 2.5 PUT
000000000
-300000.000000
NC
USD
-397.660000
-0.0003599
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
Single Leg Swap
2024-12-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
2.500000
USD
2021-01-20
XXXX
-187.660000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
-1369.400000
-0.0012394
N/A
DFE
RU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
35215.350000
RUB
2421460.000000
RUB
2020-08-14
-1369.400000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
-7286.160000
-0.0065946
N/A
DFE
CA
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1048000.000000
CAD
764664.340000
USD
2020-07-02
-7286.160000
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
67.730000
0.0000613
N/A
DFE
JP
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2600000.000000
JPY
24147.380000
USD
2020-07-02
67.730000
N
N
N
N/A
N/A
CMBX.NA.AAA.10 SP MYC
000000000
1.000000
NC
USD
4480.770000
0.0040555
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
-20724.540000
USD
600000.000000
USD
25205.310000
N
N
N
N/A
N/A
CMBX.NA.AAA.10 SP SAL
000000000
1.000000
NC
USD
1493.600000
0.0013518
N/A
DCR
US
N
2
Signature Bank
VLP5AP0XK2GM6GKD1007
CMBX.NA.AAA.10
N/A
N/A
Y
Single Leg Swap
2059-11-18
0.000000
USD
-5677.290000
USD
200000.000000
USD
7170.890000
N
N
N
N/A
N/A
CMBX.NA.AAA.10 SP SAL
000000000
1.000000
NC
USD
1493.600000
0.0013518
N/A
DCR
US
N
2
Signature Bank
VLP5AP0XK2GM6GKD1007
CMBX.NA.AAA.10
N/A
N/A
Y
Single Leg Swap
2059-11-18
0.000000
USD
-5714.970000
USD
200000.000000
USD
7208.570000
N
N
N
N/A
N/A
CMBX.NA.AAA.10 SP UAG
000000000
1.000000
NC
USD
2987.180000
0.0027036
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
-14268.200000
USD
400000.000000
USD
17255.380000
N
N
N
N/A
N/A
COLOMBIA LA SP BOA
000000000
1.000000
NC
USD
-321.720000
-0.0002912
N/A
DCR
US
N
2
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
COLOMBIAN GOVT
COLOMBIA (REP OF) GLBL UNSUBORDINATED
Y
Single Leg Swap
2023-06-21
0.000000
USD
-237.000000
USD
200000.000000
USD
-84.720000
N
N
N
N/A
N/A
COLOMBIA LA SP BRC
000000000
1.000000
NC
USD
921.260000
0.0008338
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
COLOMBIAN GOVT
COLOMBIA (REP OF) GLBL UNSUBORDINATED
Y
Single Leg Swap
2021-06-21
0.000000
USD
-6447.480000
USD
200000.000000
USD
7368.740000
N
N
N
N/A
N/A
COLOMBIA LA SP CBK
000000000
1.000000
NC
USD
-2037.780000
-0.0018444
N/A
DCR
US
N
2
Citibank International Limited
N/A
COLOMBIAN GOVT
COLOMBIA (REP OF) GLBL UNSUBORDINATED
Y
Single Leg Swap
2024-12-21
392.140000
USD
0.000000
USD
100000.000000
USD
-2429.920000
N
N
N
N/A
N/A
COLOMBIA LA SP GST
000000000
1.000000
NC
USD
921.260000
0.0008338
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
COLOMBIAN GOVT
COLOMBIA (REP OF) GLBL UNSUBORDINATED
Y
Single Leg Swap
2021-06-21
0.000000
USD
-6447.480000
USD
200000.000000
USD
7368.740000
N
N
N
N/A
N/A
COLOMBIA LA SP HUS
000000000
1.000000
NC
USD
417.040000
0.0003775
N/A
DCR
US
N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
COLOMBIAN GOVT
COLOMBIA (REP OF) GLBL UNSUBORDINATED
Y
Single Leg Swap
2021-12-21
0.000000
USD
-4912.200000
USD
100000.000000
USD
5329.240000
N
N
N
N/A
N/A
EURO-BUND FUTURE SEP20 XEUR 20200908
000000000
17.000000
NC
17177.890000
0.0155474
N/A
DIR
DE
N
1
Eurex
N/A
Long
N/A
GERMANY GOVT
2020-09-08
3371442.440000
EUR
17177.890000
N
N
N
N/A
N/A
BOUGHT BRL/SOLD USD
000000000
1.000000
NC
-14213.690000
-0.0128645
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
69005.180000
BRL
300000.000000
BRL
2021-01-05
-14213.690000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
1476.990000
0.0013368
N/A
DFE
RU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
26270.310000
RUB
1978509.000000
RUB
2020-07-17
1476.990000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
2158.330000
0.0019535
N/A
DFE
RU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
23530.310000
RUB
1831717.000000
RUB
2020-07-17
2158.330000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
1210.950000
0.0010960
N/A
DFE
RU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
17896.890000
RUB
1362476.000000
RUB
2020-07-17
1210.950000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
827.150000
0.0007486
N/A
DFE
RU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
14451.480000
RUB
1089435.800000
RUB
2020-07-17
827.150000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
999.510000
0.0009046
N/A
DFE
RU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
24639.070000
RUB
1830658.000000
RUB
2020-07-27
999.510000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
-960.400000
-0.0008692
N/A
DFE
RU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
30355.120000
RUB
2103003.000000
RUB
2020-08-14
-960.400000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
-455.100000
-0.0004119
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
93705.560000
EUR
83000.000000
EUR
2020-07-02
-455.100000
N
N
N
ARBOUR CLO IV DAC 4A
N/A
ARBOUR CLO ARBR 4A A2R 144A
ACI1C2187
1000000.000000
PA
1115922.820000
1.0100011
Long
ABS-CBDO
CORP
IE
N
2
2030-01-15
Floating
0.87
N
N
N
N
N
N
N/A
N/A
BOUGHT INR/SOLD USD
000000000
1.000000
NC
193.220000
0.0001749
N/A
DFE
IN
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
80147.600000
INR
6117666.000000
INR
2020-09-16
193.220000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
-968.250000
-0.0008763
N/A
DFE
RU
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
39783.910000
RUB
2771534.000000
RUB
2020-07-27
-968.250000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
-695.300000
-0.0006293
N/A
DFE
RU
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
37396.640000
RUB
2620566.000000
RUB
2020-07-27
-695.300000
N
N
N
N/A
N/A
SOLD BRL/BOUGHT USD
000000000
1.000000
NC
-8541.590000
-0.0077308
N/A
DFE
BR
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
300000.000000
BRL
46249.900000
USD
2021-01-05
-8541.590000
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
708.610000
0.0006413
N/A
DFE
GB
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
1216000.000000
GBP
1507454.890000
USD
2020-07-02
708.610000
N
N
N
N/A
N/A
EURO-BTP FUTURE SEP20 XEUR 20200908
000000000
27.000000
NC
112522.450000
0.1018420
N/A
DIR
DE
N
1
Eurex
N/A
Long
N/A
ITALY GOVT
2020-09-08
4364526.180000
EUR
112522.450000
N
N
N
N/A
N/A
CDX ITRAXX SEN27 5Y ICE
000000000
1.000000
NC
-13585.610000
-0.0122961
N/A
DCR
N/A
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
ITRAXX EUROPE SENIOR FINANCIALS SERIES 27
N/A
N/A
Y
Single Leg Swap
2022-06-21
0.000000
EUR
-27121.340000
EUR
900000.000000
EUR
13535.730000
N
N
N
N/A
N/A
31754D4F8 ITRAXX.O P 2.50 EU32 JAN21 2.5 PUT
000000000
-200000.000000
NC
-202.310000
-0.0001831
N/A
DCR
DE
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP
Single Leg Swap
2024-12-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
2.500000
EUR
2021-01-20
XXXX
-46.520000
N
N
N
N/A
N/A
CDX ITRAXX MAIN32 5Y ICE
000000000
1.000000
NC
-13205.440000
-0.0119520
N/A
DCR
N/A
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
ITRAXX EUROPE SERIES 32
Y
Single Leg Swap
2024-12-21
0.000000
EUR
-18097.070000
EUR
700000.000000
EUR
4891.630000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
-1801.230000
-0.0016303
N/A
DFE
RU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
75269.630000
RUB
5256191.000000
RUB
2020-08-14
-1801.230000
N
N
N
N/A
N/A
SOLD RUB/BOUGHT USD
000000000
1.000000
NC
17397.210000
0.0157459
N/A
DFE
RU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
54451721.220000
RUB
780000.000000
USD
2020-07-27
17397.210000
N
N
N
N/A
N/A
MEXICO LA SP BRC
000000000
1.000000
NC
USD
875.380000
0.0007923
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
MEXICO GOVT
MEXICO GOVT (UMS) GLOBAL SR NT
Y
Single Leg Swap
2021-12-21
0.000000
USD
-7751.500000
USD
200000.000000
USD
8626.880000
N
N
N
N/A
N/A
MEXICO LA SP GST
000000000
1.000000
NC
USD
-1914.160000
-0.0017325
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
MEXICO GOVT
MEXICO GOVT (UMS)
Y
Single Leg Swap
2024-12-21
0.000000
USD
-832.340000
USD
100000.000000
USD
-1081.820000
N
N
N
2020-08-04
PIMCO Funds
/s/ Jason Nagler
Jason Nagler
Assistant Treasurer
XXXX