NPORT-P
false
0000810893
XXXXXXXX
S000009687
C000026559
C000026562
C000064140
C000026560
C000200443
PIMCO Funds
811-05028
0000810893
00000000000000000000
650 Newport Center Drive
Newport Beach
92660
(888) 877-4626
PIMCO StocksPLUS International Fund (U.S. Dollar-Hedged)
S000009687
549300VONR8FK9YHCU32
2021-03-31
2020-06-30
N
4900981109.010000
2658401606.360000
2242579502.650000
0.000000
0.000000
638300611.850000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
16088347.030000
ARS
EUR
CAD
USD
GBP
N
N/A
N/A
SOLD TWD/BOUGHT USD
000000000
1.000000
NC
-20440.200000
-0.0009115
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
146115500.000000
TWD
5000000.000000
USD
2020-09-16
-20440.200000
N
N
N
N/A
N/A
BOUGHT AUD/SOLD USD
000000000
1.000000
NC
6802195.310000
0.3033201
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
147616377.070000
AUD
223762548.590000
AUD
2020-07-02
6802195.310000
N
N
N
N/A
N/A
BOUGHT AUD/SOLD USD
000000000
1.000000
NC
-13835.440000
-0.0006169
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
3832159.670000
AUD
5533000.000000
AUD
2020-07-02
-13835.440000
N
N
N
N/A
N/A
BOUGHT CAD/SOLD USD
000000000
1.000000
NC
96937.920000
0.0043226
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
15667013.910000
CAD
21401141.000000
CAD
2020-07-02
96937.920000
N
N
N
N/A
N/A
BOUGHT DKK/SOLD USD
000000000
1.000000
NC
68907.680000
0.0030727
N/A
DFE
DK
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
1805950.970000
DKK
12435000.000000
DKK
2020-07-01
68907.680000
N
N
N
N/A
N/A
BOUGHT DKK/SOLD USD
000000000
1.000000
NC
-10581.750000
-0.0004719
N/A
DFE
DK
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
1338135.460000
DKK
8805000.000000
DKK
2020-07-01
-10581.750000
N
N
N
N/A
N/A
BOUGHT DKK/SOLD USD
000000000
1.000000
NC
12842.590000
0.0005727
N/A
DFE
DK
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
5807099.660000
DKK
38600767.000000
DKK
2020-07-01
12842.590000
N
N
N
N/A
N/A
BOUGHT DKK/SOLD USD
000000000
1.000000
NC
-28842.070000
-0.0012861
N/A
DFE
DK
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
6692756.130000
DKK
44198410.000000
DKK
2020-07-01
-28842.070000
N
N
N
N/A
N/A
BOUGHT DKK/SOLD USD
000000000
1.000000
NC
2294.440000
0.0001023
N/A
DFE
DK
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
8006474.350000
DKK
53118159.000000
DKK
2020-07-01
2294.440000
N
N
N
N/A
N/A
BOUGHT JPY/SOLD USD
000000000
1.000000
NC
-83863.870000
-0.0037396
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
14754852.520000
JPY
1584100000.000000
JPY
2020-07-02
-83863.870000
N
N
N
N/A
N/A
BOUGHT JPY/SOLD USD
000000000
1.000000
NC
-1736389.700000
-0.0774282
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
186553907.670000
JPY
19955671503.000000
JPY
2020-07-02
-1736389.700000
N
N
N
N/A
N/A
BOUGHT NOK/SOLD USD
000000000
1.000000
NC
-38557.000000
-0.0017193
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
2844717.880000
NOK
27010000.000000
NOK
2020-07-02
-38557.000000
N
N
N
N/A
N/A
BOUGHT SEK/SOLD USD
000000000
1.000000
NC
99198.670000
0.0044234
N/A
DFE
SE
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
67885271.100000
SEK
633492886.180000
SEK
2020-07-02
99198.670000
N
N
N
N/A
N/A
BOUGHT SGD/SOLD USD
000000000
1.000000
NC
-102185.260000
-0.0045566
N/A
DFE
SG
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
21580668.980000
SGD
29926000.000000
SGD
2020-09-16
-102185.260000
N
N
N
N/A
N/A
SOLD AUD/BOUGHT USD
000000000
1.000000
NC
-5943170.890000
-0.2650149
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
223762548.590000
AUD
148475401.490000
USD
2020-07-02
-5943170.890000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
5520.640000
0.0002462
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
40083000.000000
CAD
29530417.520000
USD
2020-07-02
5520.640000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
-96840.290000
-0.0043183
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
21401141.000000
CAD
15668505.060000
USD
2020-08-04
-96840.290000
N
N
N
N/A
N/A
SOLD CHF/BOUGHT USD
000000000
1.000000
NC
-143082.630000
-0.0063803
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
9626000.000000
CHF
10016820.270000
USD
2020-07-02
-143082.630000
N
N
N
N/A
N/A
SOLD DKK/BOUGHT USD
000000000
1.000000
NC
-11744.180000
-0.0005237
N/A
DFE
DK
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
38600767.000000
DKK
5819761.150000
USD
2020-10-01
-11744.180000
N
N
N
N/A
N/A
SOLD DKK/BOUGHT USD
000000000
1.000000
NC
29664.340000
0.0013228
N/A
DFE
DK
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
44198410.000000
DKK
6706818.280000
USD
2020-10-01
29664.340000
N
N
N
N/A
N/A
SOLD DKK/BOUGHT USD
000000000
1.000000
NC
-1690.250000
-0.0000754
N/A
DFE
DK
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
53118159.000000
DKK
8022990.380000
USD
2020-10-01
-1690.250000
N
N
N
N/A
N/A
SOLD DKK/BOUGHT USD
000000000
1.000000
NC
13283.850000
0.0005923
N/A
DFE
DK
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
46571492.000000
DKK
7048944.660000
USD
2020-10-01
13283.850000
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
1740025.120000
0.0775903
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
19955671503.000000
JPY
186633292.680000
USD
2020-08-04
1740025.120000
N
N
N
N/A
N/A
SOLD SEK/BOUGHT USD
000000000
1.000000
NC
-99791.750000
-0.0044499
N/A
DFE
SE
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
633492886.180000
SEK
67912126.470000
USD
2020-08-04
-99791.750000
N
N
N
N/A
N/A
NDDUEAFE TRS EQUITY 3ML-14 CBK
000000000
1.000000
NC
USD
-2684337.240000
-0.1196986
N/A
DE
US
N
2
Citibank International Limited
N/A
MSCI DAILY TR NET EAFE USD FUND INDEX
N/A
N/A
Y
2021-06-09
0.000000
USD
0.000000
USD
168523372.790000
USD
-2684337.240000
N
N
N
N/A
N/A
NDDUEAFE TRS EQUITY 3ML-17 CBK
000000000
1.000000
NC
USD
3477849.680000
0.1550826
N/A
DE
US
N
2
Citibank International Limited
N/A
MSCI DAILY TR NET EAFE USD FUND INDEX
N/A
N/A
Y
2021-05-26
0.000000
USD
0.000000
USD
72144561.490000
USD
3477849.680000
N
N
N
N/A
N/A
NDDUEAFE TRS EQUITY 3ML-18 *BULLET* CBK
000000000
1.000000
NC
USD
-13134435.430000
-0.5856843
N/A
DE
US
N
2
Citibank International Limited
N/A
MSCI DAILY TR NET EAFE USD FUND INDEX
N/A
N/A
Y
2020-10-22
0.000000
USD
0.000000
USD
213422462.200000
USD
-13134435.430000
N
N
N
N/A
N/A
NDDUEAFE TRS EQUITY 3ML-19 *BULLET* FBF
000000000
1.000000
NC
USD
-16686903.970000
-0.7440942
N/A
DE
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
MSCI DAILY TR NET EAFE USD FUND INDEX
N/A
N/A
Y
2020-10-07
0.000000
USD
0.000000
USD
290338794.780000
USD
-16686903.970000
N
N
N
N/A
N/A
NDDUEAFE TRS EQUITY 3ML-20 *BULLET* ULO
000000000
1.000000
NC
USD
-7274281.600000
-0.3243712
N/A
DE
US
N
2
UBS Asset Management Holding Ltd
549300MOMNGW0OI5CD23
MSCI DAILY TR NET EAFE USD FUND INDEX
N/A
N/A
Y
2020-09-23
0.000000
USD
0.000000
USD
379896887.380000
USD
-7274281.600000
N
N
N
N/A
N/A
NDDUEAFE TRS EQUITY 3ML-20 ULO
000000000
1.000000
NC
USD
960763.670000
0.0428419
N/A
DE
US
N
2
UBS Asset Management Holding Ltd
549300MOMNGW0OI5CD23
MSCI DAILY TR NET EAFE USD FUND INDEX
N/A
N/A
Y
2020-11-18
0.000000
USD
0.000000
USD
52333417.790000
USD
960763.670000
N
N
N
N/A
N/A
NDDUEAFE TRS EQUITY 3ML-21 MYI
000000000
1.000000
NC
USD
53675116.420000
2.3934543
N/A
DE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MSCI DAILY TR NET EAFE USD FUND INDEX
N/A
N/A
Y
2020-07-15
0.000000
USD
0.000000
USD
428162888.020000
USD
53675116.420000
N
N
N
N/A
N/A
NDDUEAFE TRS EQUITY 3ML-22 *BULLET* MYI
000000000
1.000000
NC
USD
-11353328.480000
-0.5062620
N/A
DE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MSCI DAILY TR NET EAFE USD FUND INDEX
N/A
N/A
Y
2020-09-16
0.000000
USD
0.000000
USD
417681439.110000
USD
-11353328.480000
N
N
N
N/A
N/A
NDDUEAFE TRS EQUITY 3ML-30 *BULLET* CBK
000000000
1.000000
NC
USD
-3958797.260000
-0.1765287
N/A
DE
US
N
2
Citibank International Limited
N/A
MSCI DAILY TR NET EAFE USD FUND INDEX
N/A
N/A
Y
2020-09-16
0.000000
USD
0.000000
USD
93689638.950000
USD
-3958797.260000
N
N
N
N/A
N/A
NDDUEAFE TRS EQUITY 3ML-35 MYI
000000000
1.000000
NC
USD
8628159.790000
0.3847426
N/A
DE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MSCI DAILY TR NET EAFE USD FUND INDEX
N/A
N/A
Y
2020-08-12
0.000000
USD
0.000000
USD
109569858.940000
USD
8628159.790000
N
N
N
N/A
N/A
MSCI EAFE SEP20 IFUS 20200918
000000000
271.000000
NC
USD
27350.500000
0.0012196
N/A
DE
US
N
1
New York Futures Exchange
N/A
Long
MSCI EAFE INDEX
N/A
N/A
2020-09-18
24097320.000000
USD
27350.500000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
ARGENT LETRAS DEL TESORO BILLS 10/20 0.00000
ACI17Y2N9
1744000.000000
PA
25807.190000
0.0011508
Long
DBT
NUSS
AR
N
2
2020-10-29
None
0
N
N
N
N
N
N
N/A
N/A
ROLLS-ROYCE PLC SNR SE ICE
000000000
1.000000
NC
-802998.610000
-0.0358069
N/A
DCR
GB
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
ROLLS-ROYCE PLC
ROLLS-ROYCE PLC
Y
Single Leg Swap
2024-06-21
74978.150000
EUR
0.000000
EUR
6600000.000000
EUR
-877976.760000
N
N
N
N/A
N/A
BOUGHT HKD/SOLD USD
000000000
1.000000
NC
9123.810000
0.0004068
N/A
DFE
HK
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
5885069.940000
HKD
45703000.000000
HKD
2020-09-16
9123.810000
N
N
N
N/A
N/A
BOUGHT SEK/SOLD USD
000000000
1.000000
NC
-5988.010000
-0.0002670
N/A
DFE
SE
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
1711789.560000
SEK
15895000.000000
SEK
2020-07-02
-5988.010000
N
N
N
N/A
N/A
BOUGHT SGD/SOLD USD
000000000
1.000000
NC
-41536.310000
-0.0018522
N/A
DFE
SG
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
16880679.030000
SGD
23462000.000000
SGD
2020-09-16
-41536.310000
N
N
N
N/A
N/A
BOUGHT DKK/SOLD USD
000000000
1.000000
NC
5933.400000
0.0002646
N/A
DFE
DK
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
7382105.800000
DKK
49001170.000000
DKK
2020-07-01
5933.400000
N
N
N
N/A
N/A
BOUGHT SGD/SOLD USD
000000000
1.000000
NC
6990.360000
0.0003117
N/A
DFE
SG
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
2411007.760000
SGD
3369000.000000
SGD
2020-09-16
6990.360000
N
N
N
N/A
N/A
BOUGHT ZAR/SOLD USD
000000000
1.000000
NC
301190.660000
0.0134305
N/A
DFE
ZA
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
4391114.000000
ZAR
81477915.500000
ZAR
2020-07-08
301190.660000
N
N
N
N/A
N/A
SOLD DKK/BOUGHT USD
000000000
1.000000
NC
-5380.400000
-0.0002399
N/A
DFE
DK
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
49001170.000000
DKK
7397337.370000
USD
2020-10-01
-5380.400000
N
N
N
N/A
N/A
BOUGHT AUD/SOLD USD
000000000
1.000000
NC
8497.300000
0.0003789
N/A
DFE
AU
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
2427556.290000
AUD
3530000.000000
AUD
2020-07-02
8497.300000
N
N
N
N/A
N/A
BOUGHT AUD/SOLD USD
000000000
1.000000
NC
459369.490000
0.0204840
N/A
DFE
AU
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
148570210.680000
AUD
215953548.590000
AUD
2020-07-02
459369.490000
N
N
N
N/A
N/A
BOUGHT JPY/SOLD USD
000000000
1.000000
NC
66538.560000
0.0029671
N/A
DFE
JP
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
9536610.320000
JPY
1036900000.000000
JPY
2020-07-02
66538.560000
N
N
N
N/A
N/A
BOUGHT JPY/SOLD USD
000000000
1.000000
NC
-800268.980000
-0.0356852
N/A
DFE
JP
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
83171188.170000
JPY
8894000000.000000
JPY
2020-07-02
-800268.980000
N
N
N
N/A
N/A
BOUGHT NOK/SOLD USD
000000000
1.000000
NC
96108.930000
0.0042856
N/A
DFE
NO
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
13010681.440000
NOK
126156133.980000
NOK
2020-07-02
96108.930000
N
N
N
N/A
N/A
BOUGHT SEK/SOLD USD
000000000
1.000000
NC
-8432.230000
-0.0003760
N/A
DFE
SE
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
1398722.200000
SEK
12955000.000000
SEK
2020-07-02
-8432.230000
N
N
N
N/A
N/A
SOLD AUD/BOUGHT USD
000000000
1.000000
NC
-471786.790000
-0.0210377
N/A
DFE
AU
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
215953548.590000
AUD
148585867.320000
USD
2020-08-04
-471786.790000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
-3332119.700000
-0.1485842
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
318060936.660000
EUR
354009204.700000
USD
2020-07-02
-3332119.700000
N
N
N
N/A
N/A
SOLD NOK/BOUGHT USD
000000000
1.000000
NC
-96126.000000
-0.0042864
N/A
DFE
NO
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
126156133.980000
NOK
13012291.810000
USD
2020-08-04
-96126.000000
N
N
N
N/A
N/A
SOLD SEK/BOUGHT USD
000000000
1.000000
NC
5972.970000
0.0002663
N/A
DFE
SE
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
29395000.000000
SEK
3160552.180000
USD
2020-07-02
5972.970000
N
N
N
N/A
N/A
BOUGHT BRL/SOLD EUR
000000000
1.000000
NC
-377728.420000
-0.0168435
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
11682119.710000
BRL
69254759.830000
BRL
2020-07-02
-377728.420000
N
N
N
N/A
N/A
BOUGHT BRL/SOLD EUR
000000000
1.000000
NC
-295729.660000
-0.0131870
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
11613729.560000
BRL
69254759.830000
BRL
2020-08-04
-295729.660000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD BRL
000000000
1.000000
NC
-20371.590000
-0.0009084
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
69254759.830000
EUR
11634643.190000
EUR
2020-07-02
-20371.590000
N
N
N
N/A
N/A
SOLD BRL/BOUGHT EUR
000000000
1.000000
NC
356785.870000
0.0159096
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
69254759.830000
BRL
11634643.190000
EUR
2020-07-02
356785.870000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT BRL
000000000
1.000000
NC
-12025.710000
-0.0005362
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
11682119.710000
EUR
69254759.830000
BRL
2020-07-02
-12025.710000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT BRL
000000000
1.000000
NC
-47500.890000
-0.0021181
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
11613729.560000
EUR
69254759.830000
BRL
2020-08-04
-47500.890000
N
N
N
N/A
N/A
BOUGHT CAD/SOLD USD
000000000
1.000000
NC
-6442.960000
-0.0002873
N/A
DFE
CA
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1173207.840000
CAD
1584000.000000
CAD
2020-07-02
-6442.960000
N
N
N
N/A
N/A
BOUGHT CHF/SOLD USD
000000000
1.000000
NC
-6068.690000
-0.0002706
N/A
DFE
CH
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
4656446.020000
CHF
4406000.000000
CHF
2020-07-02
-6068.690000
N
N
N
N/A
N/A
BOUGHT DKK/SOLD USD
000000000
1.000000
NC
152432.170000
0.0067972
N/A
DFE
DK
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
3539991.500000
DKK
24490000.000000
DKK
2020-07-01
152432.170000
N
N
N
N/A
N/A
BOUGHT DKK/SOLD USD
000000000
1.000000
NC
-7883.060000
-0.0003515
N/A
DFE
DK
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1054999.530000
DKK
6945000.000000
DKK
2020-07-01
-7883.060000
N
N
N
N/A
N/A
BOUGHT HKD/SOLD USD
000000000
1.000000
NC
2589.730000
0.0001155
N/A
DFE
HK
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
2693085.340000
HKD
20902000.000000
HKD
2020-09-16
2589.730000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BILLS 08/20 VAR
ACI1JDTT0
14998000.000000
PA
163144.240000
0.0072748
Long
DBT
NUSS
AR
N
2
2020-08-28
Floating
30.3128
N
N
N
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-264436.360000
-0.0117916
N/A
DFE
MX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
105520183.110000
MXN
4313056.530000
USD
2020-07-24
-264436.360000
N
N
N
N/A
N/A
SOLD SGD/BOUGHT USD
000000000
1.000000
NC
-457198.910000
-0.0203872
N/A
DFE
SG
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
41037966.060000
SGD
28996563.240000
USD
2020-09-16
-457198.910000
N
N
N
N/A
N/A
317U226T7 IRO USD 3Y C 1.0360 JUL21 1.036 CALL
000000000
503500000.000000
NC
USD
11714128.900000
0.5223507
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 1.03600 07/21/21-3Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 1.03600 07/21/21-3Y LCH
N/A
N/A
2024-07-21
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.040000
USD
2021-07-19
XXXX
9863766.400000
N
N
N
N/A
N/A
317U227T6 IRO USD 10Y C 1.4530 JUL21 1.453 CALL
000000000
-161100000.000000
NC
USD
-12354291.810000
-0.5508965
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 1.45300 07/21/21-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 1.45300 07/21/21-10Y LCH
N/A
N/A
2031-07-21
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.450000
USD
2021-07-19
XXXX
-10553244.150000
N
N
N
N/A
N/A
317U245T4 IRO USD 3Y C 1.0230 AUG21 1.023 CALL
000000000
1115800000.000000
NC
USD
25466014.980000
1.1355680
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 1.02300 08/04/21-3Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 1.02300 08/04/21-3Y LCH
N/A
N/A
2024-08-04
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.020000
USD
2021-08-02
XXXX
21077708.740000
N
N
N
N/A
N/A
317U246T3 IRO USD 10Y C 1.4944 AUG21 1.4944 CALL
000000000
-356900000.000000
NC
USD
-28617919.430000
-1.2761162
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 1.49440 08/04/21-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 1.49440 08/04/21-10Y LCH
N/A
N/A
2031-08-04
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.490000
USD
2021-08-02
XXXX
-24231680.470000
N
N
N
N/A
N/A
317U280S2 IRO USD 5Y C 2.05000 MAR21 2.05 CALL
000000000
304300000.000000
NC
USD
25218345.190000
1.1245240
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 2.05000 03/15/21-5Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 2.05000 03/15/21-5Y CME
N/A
N/A
2026-03-15
0.000000
USD
0.000000
USD
N/A
USD
N/A
2.050000
USD
2021-03-11
XXXX
22783945.190000
N
N
N
N/A
N/A
317U281S1 IRO USD 10Y C 2.3225 MAR21 2.3225 CALL
000000000
-160700000.000000
NC
USD
-25711951.790000
-1.1465347
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 2.32250 03/15/21-10Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 2.32250 03/15/21-10Y CME
N/A
N/A
2031-03-15
0.000000
USD
0.000000
USD
N/A
USD
N/A
2.320000
USD
2021-03-11
XXXX
-23277103.310000
N
N
N
N/A
N/A
317U293S7 IRO USD 5Y C 1.80000 MAR21 1.8 CALL
000000000
310900000.000000
NC
USD
21879680.770000
0.9756479
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 1.80000 03/16/21-5Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 1.80000 03/16/21-5Y CME
N/A
N/A
2026-03-16
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.800000
USD
2021-03-12
XXXX
20055774.630000
N
N
N
N/A
N/A
317U294S6 IRO USD 10Y C 2.0940 MAR21 2.094 CALL
000000000
-164100000.000000
NC
USD
-22589612.160000
-1.0073049
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 2.09400 03/16/21-10Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 2.09400 03/16/21-10Y CME
N/A
N/A
2031-03-16
0.000000
USD
0.000000
USD
N/A
USD
N/A
2.090000
USD
2021-03-12
XXXX
-20765941.110000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BILLS 09/20 0.00000
ACI1N6NC3
1500000.000000
PA
13609.990000
0.0006069
Long
DBT
NUSS
AR
N
2
2020-09-11
None
0
N
N
N
N
N
N
N/A
N/A
317U425U3 IRO EUR 2Y C 0.35 NOV21 0.35 CALL
000000000
1027600000.000000
NC
3583362.410000
0.1597875
N/A
DIR
DE
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
IRS EUR R -0.35000 11/03/21-2Y LCH
000000000
0.000000
NC
0.000000
0.000000
DIR
N/A
IRS EUR R -0.35000 11/03/21-2Y LCH
2023-11-03
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.350000
EUR
2021-11-01
XXXX
1053180.760000
N
N
N
N/A
N/A
317U426U2 IRO EUR 10Y C 0.164 NOV21 0.164 CALL
000000000
-137300000.000000
NC
-3241113.970000
-0.1445262
N/A
DIR
DE
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
IRS EUR R -0.16400 11/03/21-10Y LCH
000000000
0.000000
NC
0.000000
0.000000
DIR
N/A
IRS EUR R -0.16400 11/03/21-10Y LCH
2031-11-03
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.160000
EUR
2021-11-01
XXXX
-1492997.260000
N
N
N
N/A
N/A
317U435U1 IRO EUR 10Y C 0.122 NOV21 0.122 CALL
000000000
-64000000.000000
NC
-1659083.490000
-0.0739810
N/A
DIR
DE
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
IRS EUR R -0.12200 11/03/21-10Y LCH
000000000
0.000000
NC
0.000000
0.000000
DIR
N/A
IRS EUR R -0.12200 11/03/21-10Y LCH
2031-11-03
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.120000
EUR
2021-11-01
XXXX
-898598.150000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BILLS 09/20 VAR
ACI1J9WH1
2800000.000000
PA
30511.670000
0.0013606
Long
DBT
NUSS
AR
N
2
2020-09-18
Floating
32.7301
N
N
N
N
N
N
N/A
N/A
INF SWAP EM NI 1.71 03/15/18-15Y LCH
000000000
1.000000
NC
-837230.640000
-0.0373334
N/A
DIR
N/A
N
2
London Clearing house
N/A
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2033-03-15
0.000000
EUR
-564646.040000
EUR
5350000.000000
EUR
-272584.600000
N
N
N
N/A
N/A
INF SWAP EM NI 1.946 03/15/18-30Y LCH
000000000
1.000000
NC
1799140.470000
0.0802264
N/A
DIR
N/A
N
2
London Clearing house
N/A
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2048-03-15
1287063.120000
EUR
0.000000
EUR
4850000.000000
EUR
512077.350000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BONDS 04/22 VAR
ACI0TFSY6
4641000.000000
PA
40034.830000
0.0017852
Long
DBT
NUSS
AR
N
2
2022-04-03
Floating
26.415
N
N
N
N
N
N
N/A
N/A
INF SWAP GB NI 3.415 02/15/20-10Y LCH
000000000
1.000000
NC
369656.880000
0.0164836
N/A
DIR
GB
N
2
London Clearing house
N/A
UK RPI All Items NSA
N/A
N/A
Y
2030-02-15
0.000000
GBP
0.000000
GBP
19000000.000000
GBP
369656.880000
N
N
N
N/A
N/A
INF SWAP GB NI 3.48 01/15/20-10Y LCH
000000000
1.000000
NC
1719269.650000
0.0766648
N/A
DIR
GB
N
2
London Clearing house
N/A
UK RPI All Items NSA
N/A
N/A
Y
2030-01-15
56045.340000
GBP
0.000000
GBP
48400000.000000
GBP
1663224.310000
N
N
N
N/A
N/A
INF SWAP GB NI 3.49 09/15/18-10Y LCH
000000000
1.000000
NC
302499.680000
0.0134889
N/A
DIR
GB
N
2
London Clearing house
N/A
UK RPI All Items NSA
N/A
N/A
Y
2028-09-15
46028.850000
GBP
0.000000
GBP
4900000.000000
GBP
256470.830000
N
N
N
N/A
N/A
INF SWAP GB NI 3.5925 11/15/18-10Y LCH
000000000
1.000000
NC
503677.830000
0.0224598
N/A
DIR
GB
N
2
London Clearing house
N/A
UK RPI All Items NSA
N/A
N/A
Y
2028-11-15
177193.140000
GBP
0.000000
GBP
6300000.000000
GBP
326484.690000
N
N
N
N/A
N/A
INF SWAP GB NI 3.595 11/15/18-10Y LCH
000000000
1.000000
NC
1961088.520000
0.0874479
N/A
DIR
GB
N
2
London Clearing house
N/A
UK RPI All Items NSA
N/A
N/A
Y
2028-11-15
696428.840000
GBP
0.000000
GBP
24400000.000000
GBP
1264659.680000
N
N
N
N/A
N/A
INF SWAP GB NI 3.603 11/15/18-10Y LCH
000000000
1.000000
NC
612965.090000
0.0273330
N/A
DIR
GB
N
2
London Clearing house
N/A
UK RPI All Items NSA
N/A
N/A
Y
2028-11-15
224061.270000
GBP
0.000000
GBP
7500000.000000
GBP
388903.820000
N
N
N
N/A
N/A
INF SWAP US IT 1.669 06/19/19-5Y LCH
000000000
1.000000
NC
USD
-2470716.500000
-0.1101730
N/A
DIR
US
N
2
London Clearing house
N/A
US CPI Urban Consumers NSA
N/A
N/A
Y
2024-06-19
100284.850000
USD
0.000000
USD
96900000.000000
USD
-2571001.350000
N
N
N
N/A
N/A
IRS CAD 1.70000 12/18/19-5Y LCH
000000000
1.000000
NC
8895182.320000
0.3966496
N/A
DIR
CA
N
2
London Clearing house
N/A
CAD-BA-CDOR 3M
N/A
N/A
Y
2024-12-18
0.000000
CAD
-1404398.130000
CAD
277600000.000000
CAD
10299580.450000
N
N
N
N/A
N/A
IRS CAD 2.20000 12/18/19-30Y LCH
000000000
1.000000
NC
1079343.960000
0.0481296
N/A
DIR
CA
N
2
London Clearing house
N/A
CAD-BA-CDOR 3M
N/A
N/A
Y
2049-12-20
105348.030000
CAD
0.000000
CAD
7000000.000000
CAD
973995.930000
N
N
N
N/A
N/A
IRS CAD 2.75000 12/18/18-30Y CME
000000000
1.000000
NC
1345314.670000
0.0599896
N/A
DIR
CA
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
CAD-BA-CDOR 3M
N/A
N/A
Y
2048-12-18
551814.610000
CAD
0.000000
CAD
5400000.000000
CAD
793500.060000
N
N
N
N/A
N/A
IRS CAD 2.75000 12/18/18-30Y LCH
000000000
1.000000
NC
4646318.230000
0.2071863
N/A
DIR
CA
N
2
London Clearing house
N/A
CAD-BA-CDOR 3M
N/A
N/A
Y
2048-12-18
1873264.740000
CAD
0.000000
CAD
18650000.000000
CAD
2773053.490000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 01/28 5.875
040114HQ6
6550000.000000
PA
USD
2649868.000000
0.1181616
Long
DBT
NUSS
AR
N
2
2028-01-11
Fixed
5.875
N
N
N
N
N
N
N/A
N/A
IRS GBP 0.90800 01/17/45-10Y LCH
000000000
1.000000
NC
2337030.900000
0.1042117
N/A
DIR
GB
N
2
London Clearing house
N/A
GBP-LIBOR-BBA-Bloomberg 6M
N/A
N/A
Y
2055-01-18
0.000000
GBP
0.000000
GBP
32000000.000000
GBP
2337030.900000
N
N
N
N/A
N/A
IRS GBP 0.95500 01/20/45-10Y LCH
000000000
1.000000
NC
12664773.940000
0.5647414
N/A
DIR
GB
N
2
London Clearing house
N/A
GBP-LIBOR-BBA-Bloomberg 6M
N/A
N/A
Y
2055-01-20
1243863.540000
GBP
0.000000
GBP
161100000.000000
GBP
11420910.400000
N
N
N
N/A
N/A
IRS GBP 1.02000 01/17/35-10Y LCH
000000000
1.000000
NC
-1885821.710000
-0.0840916
N/A
DIR
GB
N
2
London Clearing house
N/A
GBP-LIBOR-BBA-Bloomberg 6M
N/A
N/A
Y
2045-01-17
0.000000
GBP
0.000000
GBP
27000000.000000
GBP
-1885821.710000
N
N
N
N/A
N/A
IRS GBP 1.07100 01/22/35-10Y LCH
000000000
1.000000
NC
-11311231.580000
-0.5043849
N/A
DIR
GB
N
2
London Clearing house
N/A
GBP-LIBOR-BBA-Bloomberg 6M
N/A
N/A
Y
2045-01-23
0.000000
GBP
-1001955.530000
GBP
148800000.000000
GBP
-10309276.050000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 12/38 VAR
040114GK0
14300000.000000
PA
USD
5674168.500000
0.2530197
Long
DBT
NUSS
AR
N
2
2038-12-31
Variable
3.75
N
N
N
N
N
N
N/A
N/A
IRS USD 1.25000 06/17/20-10Y CME
000000000
1.000000
NC
USD
32794812.060000
1.4623701
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2030-06-17
25055179.840000
USD
0.000000
USD
542000000.000000
USD
7739632.220000
N
N
N
N/A
N/A
IRS USD 1.25000 06/17/20-5Y CME
000000000
1.000000
NC
USD
-62707181.970000
-2.7962078
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2025-06-17
0.000000
USD
-46550841.190000
USD
1355200000.000000
USD
-16156340.780000
N
N
N
N/A
N/A
IRS USD 1.25000 06/17/20-7Y CME
000000000
1.000000
NC
USD
19209350.630000
0.8565739
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2027-06-17
7414739.200000
USD
0.000000
USD
350600000.000000
USD
11794611.430000
N
N
N
N/A
N/A
IRS USD 1.50000 06/17/20-30Y CME
000000000
1.000000
NC
USD
615142.920000
0.0274301
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2050-06-17
378237.460000
USD
0.000000
USD
3900000.000000
USD
236905.460000
N
N
N
N/A
N/A
IRS USD 1.50000 12/18/19-5Y CME
000000000
1.000000
NC
USD
-11398050.890000
-0.5082563
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2024-12-18
432549.590000
USD
0.000000
USD
209970000.000000
USD
-11830600.480000
N
N
N
N/A
N/A
IRS USD 1.62500 01/06/20-10Y CME
000000000
1.000000
NC
USD
-2930788.450000
-0.1306883
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2030-01-07
423035.630000
USD
0.000000
USD
29500000.000000
USD
-3353824.080000
N
N
N
N/A
N/A
IRS USD 1.75000 06/20/18-3Y LCH
000000000
1.000000
NC
USD
-1678913.960000
-0.0748653
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2021-06-21
0.000000
USD
-36360.840000
USD
113300000.000000
USD
-1642553.120000
N
N
N
N/A
N/A
IRS USD 2.25000 06/20/18-10Y LCH
000000000
1.000000
NC
USD
-13641652.400000
-0.6083018
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-06-20
0.000000
USD
-4195118.000000
USD
99700000.000000
USD
-9446534.400000
N
N
N
N/A
N/A
IRS USD 2.50000 12/15/21-2Y CME
000000000
1.000000
NC
USD
8238895.110000
0.3673848
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2023-12-15
3126177.190000
USD
0.000000
USD
182900000.000000
USD
5112717.920000
N
N
N
N/A
N/A
IRS USD 2.75000 12/15/23-3Y CME
000000000
1.000000
NC
USD
-8083893.430000
-0.3604730
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2026-12-15
0.000000
USD
-3515267.940000
USD
129100000.000000
USD
-4568625.490000
N
N
N
N/A
N/A
IRS USD 2.92750 09/28/18-7Y* CME
000000000
1.000000
NC
USD
-560031.280000
-0.0249726
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2025-05-30
0.000000
USD
-292391.860000
USD
4300000.000000
USD
-267639.420000
N
N
N
ASSET BACK SEC CORP HM EQ LN TR 2005-HE2
N/A
ASSET BACKED SECURITIES CORP H ABSHE 2005 HE2 M3
04541GQD7
1245213.780000
PA
USD
1225420.860000
0.0546434
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
1.2795
N
N
N
N
N
N
N/A
N/A
BOUGHT CAD/SOLD USD
000000000
1.000000
NC
48040.530000
0.0021422
N/A
DFE
CA
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
9058307.440000
CAD
12362778.000000
CAD
2020-07-02
48040.530000
N
N
N
N/A
N/A
BOUGHT JPY/SOLD USD
000000000
1.000000
NC
-46184.220000
-0.0020594
N/A
DFE
JP
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
6686610.240000
JPY
717000000.000000
JPY
2020-07-02
-46184.220000
N
N
N
N/A
N/A
BOUGHT JPY/SOLD USD
000000000
1.000000
NC
-1135415.160000
-0.0506299
N/A
DFE
JP
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
120784681.370000
JPY
12919129519.000000
JPY
2020-07-02
-1135415.160000
N
N
N
N/A
N/A
SOLD AUD/BOUGHT USD
000000000
1.000000
NC
-5696584.560000
-0.2540193
N/A
DFE
AU
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
223762548.590000
AUD
148721987.820000
USD
2020-07-02
-5696584.560000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
-48015.800000
-0.0021411
N/A
DFE
CA
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
12362778.000000
CAD
9059137.160000
USD
2020-08-04
-48015.800000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
-1063846.320000
-0.0474385
N/A
DFE
N/A
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
101547359.660000
EUR
113024568.220000
USD
2020-07-02
-1063846.320000
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
2260151.340000
0.1007836
N/A
DFE
JP
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
74593227546.000000
JPY
693098100.370000
USD
2020-07-02
2260151.340000
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
1136874.150000
0.0506949
N/A
DFE
JP
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
12919129519.000000
JPY
120835179.990000
USD
2020-08-04
1136874.150000
N
N
N
N/A
N/A
BOUGHT CHF/SOLD USD
000000000
1.000000
NC
-1254.030000
-0.0000559
N/A
DFE
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
5795755.060000
CHF
5490000.000000
CHF
2020-07-02
-1254.030000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
-13233.980000
-0.0005901
N/A
DFE
GB
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
3032922.050000
GBP
2437000.000000
GBP
2020-07-02
-13233.980000
N
N
N
N/A
N/A
BOUGHT HKD/SOLD USD
000000000
1.000000
NC
-102.260000
-0.0000046
N/A
DFE
HK
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1185440.960000
HKD
9191000.000000
HKD
2020-09-16
-102.260000
N
N
N
N/A
N/A
BOUGHT HKD/SOLD USD
000000000
1.000000
NC
-196.220000
-0.0000087
N/A
DFE
HK
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1570373.430000
HKD
12175000.000000
HKD
2020-09-16
-196.220000
N
N
N
N/A
N/A
BOUGHT JPY/SOLD USD
000000000
1.000000
NC
-1292420.840000
-0.0576310
N/A
DFE
JP
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
129704564.580000
JPY
13865301220.000000
JPY
2020-07-02
-1292420.840000
N
N
N
N/A
N/A
BOUGHT SEK/SOLD USD
000000000
1.000000
NC
1146.300000
0.0000511
N/A
DFE
SE
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1435289.920000
SEK
13385000.000000
SEK
2020-07-02
1146.300000
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
1295019.970000
0.0577469
N/A
DFE
JP
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
13865301220.000000
JPY
129759794.900000
USD
2020-08-04
1295019.970000
N
N
N
ASSET BACKED FUNDING CERTS 2005-OPT1
N/A
ASSET BACKED FUNDING CERTIFICA ABFC 2005 OPT1 M1
04542BQA3
2122681.510000
PA
USD
2116071.270000
0.0943588
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
0.85825
N
N
N
N
N
N
N/A
N/A
31750GE15 OTC EPUT FN 2.5 102.0546875
000000000
-1900000.000000
NC
USD
-1834.260000
-0.0000818
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
102.050000
USD
2020-08-06
XXXX
5884.490000
N
N
N
N/A
N/A
317513MN6 OTC EPUT FN 2.5 102.1328125
000000000
-1400000.000000
NC
USD
-1415.820000
-0.0000631
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
4052.930000
N
N
N
N/A
N/A
317521A85 OTC EPUT FN 2.5 102.09375
000000000
-2000000.000000
NC
USD
-1976.000000
-0.0000881
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
5836.500000
N
N
N
N/A
N/A
3175325D7 OTC EPUT FN 2.5 JUL20 102.71875 PUT
000000000
-8300000.000000
NC
USD
-0.080000
0.0000000
N/A
DIR
US
N
2
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.5% JUL 30YR
N/A
102.720000
USD
2020-07-07
XXXX
45714.760000
N
N
N
N/A
N/A
317535HI6 OTC EPUT FN 2.5 102.1328125
000000000
-1300000.000000
NC
USD
-1314.690000
-0.0000586
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
102.130000
USD
2020-08-06
XXXX
3763.440000
N
N
N
N/A
N/A
317536QN3 OTC EPUT FN 2.5 102.578125
000000000
-3500000.000000
NC
USD
-0.040000
0.0000000
N/A
DIR
US
N
2
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.5% JUL 30YR
N/A
102.580000
USD
2020-07-07
XXXX
16132.770000
N
N
N
N/A
N/A
3175475D5 OTC EPUT FN 2.5 102.5625
000000000
-2600000.000000
NC
USD
-3395.860000
-0.0001514
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
10416.640000
N
N
N
N/A
N/A
317563N18 OTC EPUT FN 2.5 102.078125
000000000
-1800000.000000
NC
USD
-1762.020000
-0.0000786
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
102.080000
USD
2020-08-06
XXXX
5831.730000
N
N
N
N/A
N/A
317572766 OTC EPUT FN 2.5 JUL20 102.515625 PUT
000000000
-4400000.000000
NC
USD
-0.040000
0.0000000
N/A
DIR
US
N
2
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.5% JUL 30YR
N/A
102.520000
USD
2020-07-07
XXXX
15468.710000
N
N
N
N/A
N/A
317575AI9 OTC EPUT FN 2.5 102.50390625
000000000
-1500000.000000
NC
USD
-0.020000
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
6972.640000
N
N
N
N/A
N/A
3175SG655 OTC EPUT FN 2.0 JUL20 100.7226563 PUT
000000000
-4200000.000000
NC
USD
-1429.680000
-0.0000638
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
100.720000
USD
2020-07-07
XXXX
25804.700000
N
N
N
N/A
N/A
3175SG663 OTC EPUT FN 2.0 100.7890625
000000000
-4200000.000000
NC
USD
-1535.940000
-0.0000685
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
25698.440000
N
N
N
N/A
N/A
3175SG697 OTC EPUT FN 2.0 101
000000000
-8000000.000000
NC
USD
-3664.000000
-0.0001634
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
53836.000000
N
N
N
N/A
N/A
3175SG705 OTC EPUT FN 2.0 100.8671875
000000000
-3900000.000000
NC
USD
-1551.030000
-0.0000692
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
100.870000
USD
2020-07-07
XXXX
24042.720000
N
N
N
N/A
N/A
3175ZZ549 OTC EPUT FN 2.0 100.3984375
000000000
-1600000.000000
NC
USD
-381.440000
-0.0000170
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
10618.560000
N
N
N
N/A
N/A
3175ZZ572 OTC EPUT FN 2.0 100.45703125
000000000
-3800000.000000
NC
USD
-966.720000
-0.0000431
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
100.460000
USD
2020-07-07
XXXX
25158.280000
N
N
N
N/A
N/A
LONG GILT FUTURE SEP20 IFLL 20200928
000000000
-22.000000
NC
2840.240000
0.0001267
N/A
DIR
GB
N
1
Intercontinental Exchange
5493000F4ZO33MV32P92
Short
N/A
UNITED KINGDOM GOVT
2020-09-28
-3752095.630000
GBP
2840.240000
N
N
N
N/A
N/A
US 10YR NOTE (CBT)SEP20 XCBT 20200921
000000000
-3369.000000
NC
USD
-1324992.150000
-0.0590834
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2020-09-21
-468870046.880000
USD
-1324992.150000
N
N
N
N/A
N/A
US 2YR NOTE (CBT) SEP20 XCBT 20200930
000000000
-4693.000000
NC
USD
-215097.730000
-0.0095915
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2020-09-30
-1036346395.320000
USD
-215097.730000
N
N
N
N/A
N/A
US 5YR NOTE (CBT) SEP20 XCBT 20200930
000000000
-569.000000
NC
USD
-163863.040000
-0.0073069
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2020-09-30
-71547304.970000
USD
-163863.040000
N
N
N
N/A
N/A
US LONG BOND(CBT) SEP20 XCBT 20200921
000000000
-1826.000000
NC
USD
-890241.370000
-0.0396972
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2020-09-21
-326055125.000000
USD
-890241.370000
N
N
N
N/A
N/A
US ULTRA BOND CBT SEP20 XCBT 20200921
000000000
-13.000000
NC
USD
10746.780000
0.0004792
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2020-09-21
-2836031.250000
USD
10746.780000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT+T INC SR UNSECURED 06/21 VAR
00206RFZ0
10400000.000000
PA
USD
10453632.700000
0.4661432
Long
DBT
CORP
US
N
2
2021-06-01
Floating
1.1
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT+T INC SR UNSECURED 06/24 VAR
00206RGD8
6300000.000000
PA
USD
6314889.480000
0.2815904
Long
DBT
CORP
US
N
2
2024-06-12
Floating
1.49838
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT+T INC SR UNSECURED 07/21 VAR
00206RDV1
4700000.000000
PA
USD
4739037.070000
0.2113208
Long
DBT
CORP
US
N
2
2021-07-15
Floating
2.16888
N
N
N
N
N
N
AVERY POINT V CLO LTD 2014-5A
N/A
AVERY POINT CLO LTD AVERY 2014 5A AR 144A
05363XAN7
3422459.820000
PA
USD
3398933.080000
0.1515635
Long
ABS-CBDO
CORP
KY
N
2
2026-07-17
Floating
2.11488
N
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2006-H
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 6A1
05950PAU7
332077.690000
PA
USD
284364.240000
0.0126802
Long
ABS-MBS
CORP
US
N
2
2036-10-20
Floating
0.36075
N
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2006-J
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1
05951EAM9
20038.250000
PA
USD
18934.410000
0.0008443
Long
ABS-MBS
CORP
US
N
2
2047-01-20
Floating
4.18456
Y
N
N
N
N
N
BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)
K8MS7FD7N5Z2WQ51AZ71
BANCO BILBAO VIZCAYA ARG JR SUBORDINA REGS 12/49 VAR
ACI0LW0M3
800000.000000
PA
931324.520000
0.0415292
Long
DBT
CORP
ES
N
2
2021-04-14
Floating
8.875
N
N
N
N
Y
BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)
BANCO BILBAO VIZCAYA ARGENTA
EUR
XXXX
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
BANCO SANTANDER SA JR SUBORDINA REGS 09/49 VAR
BQQ3S0II9
600000.000000
PA
647258.440000
0.0288622
Long
DBT
CORP
ES
N
2
2021-09-11
Floating
6.25
N
N
N
N
Y
BANCO SANTANDER SA
BANCO SANTANDER SA
EUR
XXXX
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
BANCO SANTANDER SA JR SUBORDINA REGS 12/99 VAR
BF1ZBSII6
200000.000000
PA
231371.250000
0.0103172
Long
DBT
CORP
ES
N
2
2022-04-25
Floating
6.75
N
N
N
N
Y
BANCO SANTANDER SA
BANCO SANTANDER SA
EUR
XXXX
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP SR UNSECURED 12/23 VAR
06051GHC6
6261000.000000
PA
USD
6588210.000000
0.2937782
Long
DBT
CORP
US
N
2
2023-12-20
Floating
3.004
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC SUBORDINATED 11/22 7.625
06740L8C2
400000.000000
PA
USD
435718.590000
0.0194293
Long
DBT
CORP
GB
N
2
2022-11-21
Fixed
7.625
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC SUBORDINATED 144A 06/21 10.179
06739FFU0
18540000.000000
PA
USD
20052566.250000
0.8941742
Long
DBT
CORP
GB
N
2
2021-06-12
Fixed
10.179
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC SUBORDINATED REGS 05/21 10
B4XDHNII0
1400000.000000
PA
1857293.280000
0.0828195
Long
DBT
CORP
GB
N
2
2021-05-21
Fixed
10
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC JR SUBORDINA 12/49 VAR
ACI07CRC6
1000000.000000
PA
1129650.730000
0.0503728
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 JR SUBORDINA VAR
ACI1CH093
1720000.000000
PA
2113137.320000
0.0942280
Long
DBT
CORP
GB
N
2
2025-06-15
Floating
7.125
N
N
N
N
Y
BARCLAYS PLC
BARCLAYS PLC
GBP
XXXX
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 01/26 4.375
06738EAN5
1300000.000000
PA
USD
1469351.000000
0.0655206
Long
DBT
CORP
GB
N
2
2026-01-12
Fixed
4.375
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 02/23 VAR
06738EBE4
4400000.000000
PA
USD
4634038.550000
0.2066388
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 03/25 3.65
06738EAE5
400000.000000
PA
USD
434604.000000
0.0193796
Long
DBT
CORP
GB
N
2
2025-03-16
Fixed
3.65
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 05/24 VAR
06738EBC8
6500000.000000
PA
USD
6442969.460000
0.2873017
Long
DBT
CORP
GB
N
2
2024-05-16
Floating
1.76563
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 05/25 VAR
06738EBH7
900000.000000
PA
USD
972855.180000
0.0433811
Long
DBT
CORP
GB
N
2
2025-05-07
Floating
3.932
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 05/29 VAR
06738EBD6
1400000.000000
PA
USD
1641074.720000
0.0731780
Long
DBT
CORP
GB
N
2
2029-05-16
Floating
4.972
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SUBORDINATED 06/30 VAR
06738EBK0
400000.000000
PA
USD
456295.740000
0.0203469
Long
DBT
CORP
GB
N
2
2030-06-20
Floating
5.088
N
N
N
N
N
N
BAT CAPITAL CORPORATION
2138005GYEXN7XRHFA84
BAT CAPITAL CORP COMPANY GUAR 08/24 3.222
05526DAZ8
300000.000000
PA
USD
321641.740000
0.0143425
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.222
N
N
N
N
N
N
BAT INTERNATIONAL FINANCE PLC
21380041YBGOQDFAC823
BAT INTL FINANCE PLC COMPANY GUAR 144A 06/25 3.95
05530QAK6
1000000.000000
PA
USD
1103648.890000
0.0492134
Long
DBT
CORP
GB
N
2
2025-06-15
Fixed
3.95
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2005-4
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1
07386HSY8
73455.400000
PA
USD
71527.760000
0.0031895
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
3.76861
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2005-5
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 5 22A1
07386HUJ8
3299510.330000
PA
USD
2665187.060000
0.1188447
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
3.40708
Y
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2006-R1
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 R1 2E21
073866BN4
469079.110000
PA
USD
380606.240000
0.0169718
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
3.49676
Y
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD4
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD4 1A1
07389NAA3
322914.560000
PA
USD
320289.910000
0.0142822
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
4.29564
N
N
N
N
N
N
BEAR STEARNS ASSETBACKED SEC 2006-3
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2006 3 M1
07388GAD3
5940723.090000
PA
USD
5770561.180000
0.2573180
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
0.61825
N
N
N
N
N
N
BRAZIL GOVT
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL SR UNSECURED 01/50 4.75
105756CB4
5058000.000000
PA
USD
4765268.250000
0.2124905
Long
DBT
NUSS
BR
N
2
2050-01-14
Fixed
4.75
N
N
N
N
N
N
CALIFORNIA STATE PUBLIC WORKS BOARD
N/A
CALIFORNIA ST PUBLIC WKS BRD L CASFAC 03/35 FIXED 7.804
130685C81
1300000.000000
PA
USD
1984775.000000
0.0885041
Long
DBT
MUN
US
N
2
2035-03-01
Fixed
7.804
N
N
N
N
N
N
CANADA GOVT
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT BONDS 12/48 2.75
135087D35
-28000000.000000
PA
-29607003.450000
-1.3202209
Short
DBT
NUSS
CA
N
2
2048-12-01
Fixed
2.75
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATI 2019 TERM LOAN B2
16117LBX6
1728907.710000
PA
USD
1666475.120000
0.0743106
Long
LON
CORP
US
N
2
2027-02-01
Floating
1.93
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
1800000.000000
PA
USD
1919822.530000
0.0856078
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
4.464
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 07/25 4.908
161175AY0
1400000.000000
PA
USD
1606469.680000
0.0716349
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.908
N
N
N
N
N
N
CIT MTGE LOAN TRUST 2007-1
N/A
CIT MORTGAGE LOAN TRUST CITM 2007 1 1A 144A
12559QAA0
4226471.410000
PA
USD
4223842.120000
0.1883475
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Floating
1.5345
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2012-GC8
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2012 GC8 XA 144A
17318UAK0
5379719.400000
PA
USD
162751.580000
0.0072573
Long
ABS-MBS
CORP
US
N
2
2045-09-10
Variable
1.9252
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC SR UNSECURED 06/24 VAR
172967MA6
6200000.000000
PA
USD
6186606.450000
0.2758701
Long
DBT
CORP
US
N
2
2024-06-01
Floating
1.373
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC SR UNSECURED 09/23 VAR
172967KX8
500000.000000
PA
USD
505182.510000
0.0225268
Long
DBT
CORP
US
N
2
2023-09-01
Floating
1.78
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2006-WFH2
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH2 M2
17309MAF0
14200000.000000
PA
USD
13018196.480000
0.5805010
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
0.4645
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-10
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA
17313QAL2
3452274.710000
PA
USD
3250412.610000
0.1449408
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
3.93407
Y
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-10
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 3A3A
17313QBP2
43112.930000
PA
USD
38893.260000
0.0017343
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
4.08871
Y
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AR1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR1 A2
17310UAB8
7468222.620000
PA
USD
6424094.150000
0.2864600
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.3445
N
N
N
N
N
N
CITIGROUP MTGE LOAN TRUST INC 2005-11
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A
17307GW79
77821.020000
PA
USD
75697.750000
0.0033755
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
4.38
N
N
N
N
N
N
CITY OF CHICAGO
T5UYO5SYLC8K73MJQX30
CHICAGO IL CHI 01/42 FIXED 7.75
167486D22
153000.000000
PA
USD
164921.760000
0.0073541
Long
DBT
MUN
US
N
2
2042-01-01
Fixed
7.75
N
N
N
N
N
N
CMLTI 2005-HE4
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M1
17307GP69
334323.080000
PA
USD
339598.900000
0.0151432
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
0.5945
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP COMPANY GUAR 10/25 3.95
20030NCS8
104000.000000
PA
USD
119262.550000
0.0053181
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.95
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA JR SUBORDINA REGS 12/49 VAR
BD2YKYII0
1000000.000000
PA
1157996.620000
0.0516368
Long
DBT
CORP
NL
N
2
2021-06-29
Floating
6.625
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-J3
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J3 1A1
12667GDA8
1379372.170000
PA
USD
1094548.230000
0.0488076
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
0.7345
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY4 1A1
02150QAA4
492054.840000
PA
USD
416205.670000
0.0185592
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Variable
2.93943
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A
02146YAC0
431053.190000
PA
USD
320669.220000
0.0142991
Long
ABS-MBS
CORP
US
N
2
2046-07-20
Floating
0.4
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1
126694A32
720676.590000
PA
USD
604449.330000
0.0269533
Long
ABS-MBS
CORP
US
N
2
2046-03-20
Floating
0.4
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OC8
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC8 2A2B
232434AD2
331761.840000
PA
USD
338132.330000
0.0150778
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.3545
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-45
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 45 2A1
12667G6K4
237939.420000
PA
USD
193092.220000
0.0086103
Long
ABS-MBS
CORP
US
N
2
2035-10-20
Floating
3.55382
N
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC3 1A
23246LAA7
1967464.810000
PA
USD
1647914.290000
0.0734830
Long
ABS-MBS
CORP
US
N
2
2047-11-25
Floating
0.3645
Y
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERTS 2006-22
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A
12666BAA3
4716525.810000
PA
USD
4076835.680000
0.1817922
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
0.3245
Y
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERTS 2006-BC5
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC5 1A
12666SAA6
1031702.020000
PA
USD
988443.480000
0.0440762
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.3245
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-5
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 5 1A
126670YE2
3826274.220000
PA
USD
3765206.500000
0.1678962
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
0.3845
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-6
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 6 2A3
126670ZM3
1670702.310000
PA
USD
1660208.960000
0.0740312
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
0.4645
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-8
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 8 2A4
045427AD3
6563742.850000
PA
USD
5868466.570000
0.2616838
Long
ABS-MBS
CORP
US
N
2
2046-01-25
Floating
0.4345
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-10
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 10 2A4
23246BAK7
2782032.000000
PA
USD
2501077.650000
0.1115268
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
0.4345
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-6
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 2A3
12669LAD2
1164901.800000
PA
USD
993054.090000
0.0442818
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
0.4045
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-9
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 1A
12670FAA8
3027464.480000
PA
USD
2654355.820000
0.1183617
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
0.3845
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERTIFICAT 2007-3
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 3 2A3
12668UAG6
5544672.830000
PA
USD
4883287.620000
0.2177532
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
0.3945
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-8
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2005 8 M6
1266735Z1
5093000.000000
PA
USD
4791799.470000
0.2136736
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
1.2195
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERTS 2005-13
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2005 13 MV1
126670HJ0
9708291.000000
PA
USD
9653725.550000
0.4304742
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
0.82825
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-2
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1
12669GPR6
39564.910000
PA
USD
36921.900000
0.0016464
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
0.8245
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-3
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 3 1A2
12669GTQ4
68535.270000
PA
USD
60805.730000
0.0027114
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
0.7645
N
N
N
N
N
N
CREDIT SUISSE AG/ ZURICH BRANCH
ANGGYXNX0JLX3X63JN86
CREDIT SUISSE AG SUBORDINATED 144A 08/23 6.5
22546DAA4
200000.000000
PA
USD
219233.600000
0.0097760
Long
DBT
CORP
CH
N
2
2023-08-08
Fixed
6.5
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR
225401AJ7
2800000.000000
PA
USD
2910894.000000
0.1298012
Long
DBT
CORP
CH
N
2
2023-07-17
Floating
7.5
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG JR SUBORDINA 144A VAR
225401AL2
2500000.000000
PA
USD
2540837.500000
0.1132998
Long
DBT
CORP
CH
N
2
2026-08-21
Floating
6.375
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG JR SUBORDINA REGS 12/99 VAR
ACI0S3RH2
200000.000000
PA
USD
206188.000000
0.0091942
Long
DBT
CORP
CH
N
2
2022-07-29
Floating
7.125
N
N
N
N
Y
CREDIT SUISSE GROUP AG
CREDIT SUISSE GROUP AG-REG
CHF
XXXX
N
N
N
CREDIT SUISSE MORTGAGE CAP CERT 2009-3R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2009 3R 29A2 144A
22943YUN7
1380323.780000
PA
USD
957054.260000
0.0426765
Long
ABS-MBS
CORP
US
N
2
2037-01-27
Floating
0.4845
N
N
N
N
N
N
CS FIRST BOSTON MTGE SEC CORP 2003-AR15
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR15 2A1
22541QCT7
27783.420000
PA
USD
26831.780000
0.0011965
Long
ABS-MBS
CORP
US
N
2
2033-06-25
Floating
3.56663
N
N
N
N
N
N
CSN RESOURCES SA
222100ZEX458NMOXZP08
CSN RESOURCES SA COMPANY GUAR 144A 02/23 7.625
12644VAB4
650000.000000
PA
USD
605312.500000
0.0269918
Long
DBT
CORP
LU
N
2
2023-02-13
Fixed
7.625
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP SR UNSECURED 04/30 3.75
126650DJ6
2400000.000000
PA
USD
2765340.260000
0.1233107
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.75
N
N
N
N
N
N
DAIMLER FINANCE NORTH AMERICA LLC
549300423Z16BB673J12
DAIMLER FINANCE NA LLC COMPANY GUAR 144A 02/22 VAR
233851DV3
3250000.000000
PA
USD
3212180.470000
0.1432360
Long
DBT
CORP
US
N
2
2022-02-15
Floating
1.29238
N
N
N
N
N
N
DEUTSCHE ALT-A SEC INC MTGE LO 2005-1
N/A
DEUTSCHE ALT A SECURITIES INC DBALT 2005 1 1A4
251510DG5
381332.740000
PA
USD
363509.740000
0.0162094
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
0.66825
N
N
N
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK NY SR UNSECURED 02/23 VAR
251526BS7
9300000.000000
PA
USD
8945341.800000
0.3988863
Long
DBT
CORP
DE
N
2
2023-02-27
Floating
1.59925
N
N
N
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK NY SR UNSECURED 10/21 4.25
251526BX6
8250000.000000
PA
USD
8469401.330000
0.3776634
Long
DBT
CORP
DE
N
2
2021-10-14
Fixed
4.25
N
N
N
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK NY SR UNSECURED 11/25 VAR
251526CB3
6200000.000000
PA
USD
6510844.010000
0.2903283
Long
DBT
CORP
DE
N
2
2025-11-26
Floating
3.961
N
N
N
N
N
N
DSLA MORTGAGE LOAN TRUST 2004-AR3
N/A
DSLA MORTGAGE LOAN TRUST DSLA 2004 AR3 2A1
23332UBF0
17576.660000
PA
USD
16539.070000
0.0007375
Long
ABS-MBS
CORP
US
N
2
2044-07-19
Floating
3.7734
N
N
N
N
N
N
DSLA MORTGAGE LOAN TRUST 2005-AR4
N/A
DSLA MORTGAGE LOAN TRUST DSLA 2005 AR4 2A1A
23332UEM2
214422.860000
PA
USD
197450.130000
0.0088046
Long
ABS-MBS
CORP
US
N
2
2045-08-19
Floating
0.43238
N
N
N
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
EQUINOR ASA COMPANY GUAR 04/40 3.625
29446MAG7
3200000.000000
PA
USD
3602639.390000
0.1606471
Long
DBT
CORP
NO
N
2
2040-04-06
Fixed
3.625
N
N
N
N
N
N
EQUITABLE HOLDINGS INC
549300FIBAKMNHPZ4009
EQUITABLE HOLDINGS INC SR UNSECURED 04/28 4.35
054561AJ4
2300000.000000
PA
USD
2577338.620000
0.1149274
Long
DBT
CORP
US
N
2
2028-04-20
Fixed
4.35
N
N
N
N
N
N
ERSTE GROUP BANK AG
PQOH26KWDF7CG10L6792
ERSTE GROUP BANK AG JR SUBORDINA REGS 12/49 VAR
BDB50MII1
200000.000000
PA
235307.100000
0.0104927
Long
DBT
CORP
AT
N
2
2021-10-15
Floating
8.875
N
N
N
N
N
N
EUROPEAN LOAN CONDUIT 36A
N/A
EUROPEAN LOAN CONDUIT EURO 36A A1 144A
ACI1G9KP9
3496376.210000
PA
3815242.060000
0.1701274
Long
ABS-MBS
CORP
IE
N
2
2030-02-17
Floating
1
N
N
N
N
N
N
FAIRFAX FINANCIAL HOLDINGS LIMITED
GLS7OQD0WOEDI8YAP031
FAIRFAX FINL HLDGS LTD SR UNSECURED 144A 03/28 2.75
BD9MMZII4
2100000.000000
PA
2451465.160000
0.1093145
Long
DBT
CORP
CA
N
2
2028-03-29
Fixed
2.75
N
N
N
N
N
N
FANNIE MAE 1994-77
N/A
FANNIE MAE FNR 1994 77 FB
31359HA87
9928.620000
PA
USD
10033.320000
0.0004474
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Floating
1.6845
N
N
N
N
N
N
FANNIE MAE 2004-11
N/A
FANNIE MAE FNR 2004 11 A
31393T7H3
1895.670000
PA
USD
1888.780000
0.0000842
Long
ABS-MBS
USGSE
US
N
2
2034-03-25
Floating
0.3045
N
N
N
N
N
N
FANNIE MAE 2006-15
N/A
FANNIE MAE FNR 2006 15 FC
31395BVE0
61144.820000
PA
USD
60892.360000
0.0027153
Long
ABS-MBS
USGSE
US
N
2
2036-03-25
Floating
0.294844
N
N
N
N
N
N
FANNIE MAE-1993-202
N/A
FANNIE MAE FNR 1993 202 FY
31359FDB1
9761.850000
PA
USD
9792.360000
0.0004367
Long
ABS-MBS
USGSE
US
N
2
2023-11-25
Floating
1.625
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2003-W6
N/A
FANNIEMAE WHOLE LOAN FNW 2003 W6 F
31393BX75
116152.770000
PA
USD
116174.750000
0.0051804
Long
ABS-MBS
USGSE
US
N
2
2042-09-25
Floating
0.51825
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1J1214 FH 09/35 FLOATING VAR
3128NHK36
17516.850000
PA
USD
18167.780000
0.0008101
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
3.562
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO JR SUBORDINA 12/49 VAR
46625HHA1
1977000.000000
NS
USD
1803496.270000
0.0804206
Long
EP
CORP
US
N
2
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q53756 FG 01/48 FIXED 4
3132XWE64
158347.050000
PA
USD
168570.710000
0.0075168
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO JR SUBORDINA 12/99 VAR
48128BAG6
1600000.000000
NS
USD
1428560.000000
0.0637016
Long
EP
CORP
US
N
2
N
N
N
FHLMC STRUCTURED PASS THRU SEC T-61
N/A
FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1
31395A3J2
150849.930000
PA
USD
156710.100000
0.0069879
Long
ABS-MBS
USGSE
US
N
2
2044-07-25
Floating
2.90382
N
N
N
N
N
N
FHLMC STRUCTURED PASS THRU SEC T-62
N/A
FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1
31395HHV5
32876.980000
PA
USD
33229.210000
0.0014817
Long
ABS-MBS
USGSE
US
N
2
2044-10-25
Floating
2.70382
N
N
N
N
N
N
FIRST FRANKLIN MTG LN ABS CERT 2004-FF7
N/A
FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF7 M1
32027NLA7
534209.380000
PA
USD
537891.900000
0.0239854
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
1.03825
N
N
N
N
N
N
FIRST FRANKLIN MTG LOAN 2006-FF12
N/A
FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF12 A4
32027GAD8
13972.460000
PA
USD
13823.960000
0.0006164
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
0.3245
N
N
N
N
N
N
FIRST HORIZON ALT MTGE SEC 2005-AA1
N/A
FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA1 1A1
32051GGD1
54388.120000
PA
USD
42330.510000
0.0018876
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
3.50654
Y
N
N
N
N
N
FIRST HORIZON MTGE PASS-THRU TR 2005-AR3
N/A
FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR3 2A1
32051GQL2
10312.780000
PA
USD
8540.770000
0.0003808
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
3.8642
Y
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 606116 FN 09/31 FLOATING VAR
31388JK53
379.150000
PA
USD
381.820000
0.0000170
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Floating
3.717
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 650988 FN 07/32 FLOATING VAR
31390NF56
8968.260000
PA
USD
8940.820000
0.0003987
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Floating
2.53
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 725495 FN 02/34 FLOATING VAR
31402C7G1
36891.560000
PA
USD
38289.700000
0.0017074
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Floating
3.629
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 735813 FN 07/35 FLOATING VAR
31402RN62
19209.830000
PA
USD
19351.110000
0.0008629
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Floating
3.574
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 811801 FN 02/35 FLOATING VAR
31406J3J0
15297.560000
PA
USD
15390.960000
0.0006863
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
3.675
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 813595 FN 10/35 FLOATING VAR
31406L3C0
47308.170000
PA
USD
47543.390000
0.0021200
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Floating
4.175
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 828809 FN 08/35 FLOATING VAR
31407EYE7
106365.980000
PA
USD
107060.840000
0.0047740
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Floating
2.777
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 836458 FN 10/35 FLOATING VAR
31407PJB5
7659.340000
PA
USD
7707.000000
0.0003437
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Floating
3.677
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 836552 FN 10/35 FLOATING VAR
31407PL97
40081.680000
PA
USD
40389.500000
0.0018010
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Floating
3.658
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 841068 FN 11/34 FLOATING VAR
31407UMR5
56126.300000
PA
USD
59082.730000
0.0026346
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Floating
3.773
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 841734 FN 09/35 FLOATING VAR
31407VEF8
132608.920000
PA
USD
133178.520000
0.0059386
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
4.068
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 850662 FN 03/36 FLOATING VAR
31408GB71
159484.330000
PA
USD
161344.860000
0.0071946
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Floating
3.764
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 884729 FN 08/36 FLOATING VAR
31410B4N1
51506.820000
PA
USD
51929.450000
0.0023156
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Floating
3.514
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 960213 FN 09/27 FIXED 5.5
31414AGW6
4038.830000
PA
USD
4443.700000
0.0001982
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AB4698 FN 03/42 FIXED 4
31417BGG6
3627757.510000
PA
USD
4100234.800000
0.1828356
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AB4955 FN 04/42 FIXED 4
31417BQH3
5720929.140000
PA
USD
6464246.550000
0.2882505
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AE5114 FN 10/30 FIXED 4
31419FVG8
147973.260000
PA
USD
158013.470000
0.0070461
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AK3107 FN 02/42 FIXED 4
3138E7NZ3
3359051.480000
PA
USD
3761634.070000
0.1677369
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL2171 FN 06/42 FIXED VAR
3138EJMV7
5270170.140000
PA
USD
5907187.730000
0.2634104
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL2382 FN 02/42 FIXED VAR
3138EJUG1
11250239.690000
PA
USD
12598533.550000
0.5617876
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AO3178 FN 06/42 FIXED 4
3138LTQ84
1187691.430000
PA
USD
1341319.980000
0.0598115
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AO7345 FN 08/42 FIXED 4
3138LYET0
464953.040000
PA
USD
509633.950000
0.0227253
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BM5807 FN 04/48 FIXED VAR
3140JANZ7
6763169.530000
PA
USD
7150852.940000
0.3188673
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL CA1057 FN 01/48 FIXED 4
3140Q8E76
3495051.130000
PA
USD
3715548.310000
0.1656819
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL CA1314 FN 01/48 FIXED 4
3140Q8N84
6225300.780000
PA
USD
6614911.480000
0.2949689
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL CA3084 FN 02/49 FIXED 4
3140QANA4
119569.290000
PA
USD
126748.480000
0.0056519
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL FM1107 FN 06/49 FIXED VAR
3140X4GR1
6188291.930000
PA
USD
6582418.490000
0.2935200
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3306 FN 03/48 FIXED 4
31418CU85
495057.320000
PA
USD
526159.670000
0.0234623
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
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
1600000.000000
PA
USD
1576242.770000
0.0702870
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 01/23 3.087
345397A29
2000000.000000
PA
USD
1905620.000000
0.0849745
Long
DBT
CORP
US
N
2
2023-01-09
Fixed
3.087
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 09/20 VAR
34540RAC0
4700000.000000
PA
USD
4662512.190000
0.2079084
Long
DBT
CORP
US
N
2
2020-09-24
Floating
1.22663
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 10/22 3.55
34540XAB9
1800000.000000
PA
USD
1754235.000000
0.0782240
Long
DBT
CORP
US
N
2
2022-10-07
Fixed
3.55
N
N
N
N
N
N
FREDDIE MAC 2437
N/A
FREDDIE MAC FHR 2437 FD
31339WVY9
19.020000
PA
USD
19.000000
0.0000008
Long
ABS-MBS
USGSE
US
N
2
2020-10-15
Floating
0.38475
N
N
N
N
N
N
FREDDIE MAC REMICS 4273
N/A
FREDDIE MAC FHR 4273 PF
3137B66E6
1506844.640000
PA
USD
1505744.640000
0.0671434
Long
ABS-MBS
USGSE
US
N
2
2043-11-15
Floating
0.58475
N
N
N
N
N
N
FREMONT HOME LOAN TRUST 2005-E
N/A
FREMONT HOME LOAN TRUST FHLT 2005 E 2A4
35729PNC0
376551.020000
PA
USD
358001.780000
0.0159638
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.82825
N
N
N
N
N
N
FREMONT HOME LOAN TRUST 2006-C
N/A
FREMONT HOME LOAN TRUST FHLT 2006 C 1A1
35729TAA0
3025575.530000
PA
USD
2691785.570000
0.1200308
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.30325
N
N
N
N
N
N
GE-WMC MORTGAGE SECURITIES LLC 2006-1
N/A
GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A2A
36829JAA9
7347.320000
PA
USD
3962.510000
0.0001767
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
0.2245
N
N
N
N
N
N
PIMCO FUNDS
549300F9QJIJF2GM8419
PIMCO ST FLOATING NAV PORT IV MUTUAL FUND
000000000
40218024.050000
PA
USD
401174789.880000
17.8889885
Long
STIV
RF
US
N
1
N
N
N
GENERAL MOTORS COMPANY
54930070NSV60J38I987
GENERAL MOTORS CO SR UNSECURED 08/20 VAR
37045VAM2
300000.000000
PA
USD
299934.600000
0.0133745
Long
DBT
CORP
US
N
2
2020-08-07
Floating
1.274
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST 2019-3A
N/A
GLS AUTO RECEIVABLES TRUST GCAR 2019 3A A 144A
36258AAA8
4437307.230000
PA
USD
4490834.470000
0.2002531
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
2.58
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST 2019-4A
N/A
GLS AUTO RECEIVABLES TRUST GCAR 2019 4A A 144A
36258HAA3
6582725.640000
PA
USD
6664549.580000
0.2971823
Long
ABS-O
CORP
US
N
2
2023-11-15
Fixed
2.47
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008542 G2 11/24 FLOATING VAR
36202KP33
12385.280000
PA
USD
12774.640000
0.0005696
Long
ABS-MBS
USGSE
US
N
2
2024-11-20
Floating
3.125
N
N
N
N
N
N
PIMCO FUNDS
LWVQWTQCFH3YG7CVH718
PIMCO PRV SHORT TERM FLT III MUTUAL FUND
000000000
16280.350000
PA
USD
160507.950000
0.0071573
Long
STIV
RF
US
N
1
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II TBA 30 YR 5 JUMBOS
21H050672
9600000.000000
PA
USD
10428750.050000
0.4650337
Long
ABS-MBS
USGSE
US
N
2
2050-07-21
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL AL2172 GN 02/45 FIXED 3.5
36183XMV9
1111401.500000
PA
USD
1177199.150000
0.0524931
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL AL2279 GN 03/45 FIXED 3.5
36183XQ86
1485115.560000
PA
USD
1571222.630000
0.0700632
Long
ABS-MBS
USGSE
US
N
2
2045-03-15
Fixed
3.5
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC SR UNSECURED 11/21 VAR
38145GAF7
9500000.000000
PA
USD
9528721.260000
0.4249000
Long
DBT
CORP
US
N
2
2021-11-15
Floating
1.56238
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H18
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H18 NA
38375BUL4
1185501.490000
PA
USD
1185888.910000
0.0528806
Long
ABS-MBS
USGSE
US
N
2
2062-08-20
Floating
0.82338
N
N
N
N
N
N
GREENPOINT MORTGAGE FUND TRUST 2006-OH1
N/A
GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1
39539GAA0
7110395.330000
PA
USD
6226980.620000
0.2776705
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.3645
N
N
N
N
N
N
GSAA HOME EQUITY TRUST 2005-10
N/A
GSAA HOME EQUITY TRUST GSAA 2005 10 M5
362341JL4
5000000.000000
PA
USD
4510908.000000
0.2011482
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
0.8945
Y
N
N
N
N
N
GSAMP TRUST 2005-HE3
N/A
GSAMP TRUST GSAMP 2005 HE3 M4
362341BT5
6927000.000000
PA
USD
6597639.850000
0.2941987
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
1.9845
N
N
N
N
N
N
GSAMP TRUST 2006-HE2
N/A
GSAMP TRUST GSAMP 2006 HE2 M1
362334LJ1
10400000.000000
PA
USD
10060466.000000
0.4486113
Long
ABS-MBS
CORP
US
N
2
2046-03-25
Floating
0.5045
N
N
N
N
N
N
GSAMP TRUST 2006-HE3
N/A
GSAMP TRUST GSAMP 2006 HE3 A2D
36244KAE5
12450000.000000
PA
USD
11231177.370000
0.5008151
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
0.66825
N
N
N
N
N
N
GSAMP TRUST 2006-HE8
N/A
GSAMP TRUST GSAMP 2006 HE8 A2D
3622M8AE6
7000000.000000
PA
USD
5508771.100000
0.2456444
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.39825
N
N
N
N
N
N
GSAMP TRUST 2006-S1
N/A
GSAMP TRUST GSAMP 2006 S1 A2A
3623413A5
49424.770000
PA
USD
8871.500000
0.0003956
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.3645
N
N
N
N
N
N
GSMSC PASS-THROUGH TRUST 2009-4R
N/A
GS MORTGAGE SECURITIES CORP. GSMSC 2009 4R 2A3 144A
36190GAE8
3743195.170000
PA
USD
2348543.910000
0.1047251
Long
ABS-MBS
CORP
US
N
2
2036-12-26
Floating
0.61825
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2005-AR6
N/A
GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1
362341RX9
26474.220000
PA
USD
26352.370000
0.0011751
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
4.06528
N
N
N
N
N
N
HALCYON LOAN ADVISORS FUNDING 2014-3 LTD
N/A
HALCYON LOAN ADVISORS FUNDING HLA 2014 3A AR 144A
40538FAQ6
330181.790000
PA
USD
329736.300000
0.0147034
Long
ABS-CBDO
CORP
KY
N
2
2025-10-22
Floating
2.19763
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TRUST 2007-4
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 4 2A1
41164YAB7
9255144.670000
PA
USD
8134328.140000
0.3627220
Long
ABS-MBS
CORP
US
N
2
2047-07-19
Floating
0.39238
N
N
N
N
N
N
HAWKSMOOR MORTGAGES 19-1A
N/A
HAWKSMOOR MORTGAGES PLC HWKSM 2019 1A A 144A
ACI1DHFV7
14321474.690000
PA
17741342.840000
0.7911132
Long
ABS-MBS
CORP
GB
N
2
2053-05-25
Floating
1.28692
N
N
N
N
N
N
HOME EQUITY LOAN TRUST 2007-FRE1
N/A
HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV4
43710XAE8
11054000.000000
PA
USD
8417342.440000
0.3753420
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
0.50825
N
N
N
N
N
N
HOMEBANC MORTGAGE TRUST 2006-1
N/A
HOMEBANC MORTGAGE TRUST HMBT 2006 1 3A2
43739ECR6
487361.730000
PA
USD
439388.670000
0.0195930
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
3.43872
Y
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 01/22 VAR
404280BG3
2100000.000000
PA
USD
2130500.300000
0.0950022
Long
DBT
CORP
GB
N
2
2022-01-05
Floating
1.80375
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 03/26 4.3
404280AW9
1000000.000000
PA
USD
1129665.930000
0.0503735
Long
DBT
CORP
GB
N
2
2026-03-08
Fixed
4.3
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 05/24 VAR
404280BR9
1400000.000000
PA
USD
1389574.800000
0.0619632
Long
DBT
CORP
GB
N
2
2024-05-18
Floating
1.38563
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 06/31 VAR
404280CH0
600000.000000
PA
USD
614885.000000
0.0274186
Long
DBT
CORP
GB
N
2
2031-06-04
Floating
2.848
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 09/26 VAR
404280BX6
1300000.000000
PA
USD
1447790.850000
0.0645592
Long
DBT
CORP
GB
N
2
2026-09-12
Floating
4.292
N
N
N
N
N
N
HSI ASSET SEC CORP TRUST 2006-WMC1
N/A
HSI ASSET SECURITIZATION CORPO HASC 2006 WMC1 A2
40430MAC1
5002150.970000
PA
USD
2683650.990000
0.1196680
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.36825
N
N
N
N
N
N
ILLINOIS ST
54930048FV8RWPR02D67
ILLINOIS ST ILS 07/35 FIXED 7.35
452152GS4
3600000.000000
PA
USD
4089276.000000
0.1823470
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
7.35
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/24 3.125
45262BAA1
300000.000000
PA
USD
311971.700000
0.0139113
Long
DBT
CORP
GB
N
2
2024-07-26
Fixed
3.125
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/26 3.5
45262BAB9
400000.000000
PA
USD
428278.900000
0.0190976
Long
DBT
CORP
GB
N
2
2026-07-26
Fixed
3.5
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TR 2006-AR4
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A
45661EAV6
732176.390000
PA
USD
669085.560000
0.0298355
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
0.58825
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TR 2007-AR7
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 1A1
45670CAA5
205218.400000
PA
USD
114416.810000
0.0051020
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
0.4845
Y
N
N
N
N
N
INDYMAC INDX MTGE LOAN TRUST 2004-AR10
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR10 2A2A
45660N2Y0
7283.050000
PA
USD
6713.530000
0.0002994
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Floating
0.9645
N
N
N
N
N
N
INDYMAC INDX MTGE LOAN TRUST 2004-AR11
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR11 2A
45660N6S9
9615.860000
PA
USD
9256.860000
0.0004128
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
3.71712
N
N
N
N
N
N
INEOS FINANCE PLC
2138002D68XDR4LZCG32
INEOS FINANCE PLC SR SECURED REGS 11/25 2.125
ACI0YJHL2
3400000.000000
PA
3647277.310000
0.1626376
Long
DBT
CORP
GB
N
2
2025-11-15
Fixed
2.125
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING GROEP NV JR SUBORDINA REGS 12/49 VAR
ACI0QYRD5
400000.000000
PA
USD
414624.000000
0.0184887
Long
DBT
CORP
NL
N
2
2022-04-16
Floating
6.875
N
N
N
N
Y
ING GROEP NV
ING GROEP NV
EUR
XXXX
N
N
N
INTERCONTINENTAL HOTELS GROUP PLC
2138007ZFQYRUSLU3J98
INTERCONTINENTAL HOTELS COMPANY GUAR REGS 05/27 2.125
ACI168Q27
800000.000000
PA
866584.880000
0.0386423
Long
DBT
CORP
GB
N
2
2027-05-15
Fixed
2.125
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA JR SUBORDINA REGS 12/49 VAR
ACI0K0SG7
1100000.000000
PA
1233291.310000
0.0549943
Long
DBT
CORP
IT
N
2
2021-01-19
Floating
7
N
N
N
N
N
N
ISRAEL GOVT
213800T8ZHTFZIBYPE21
STATE OF ISRAEL SR UNSECURED 01/48 4.125
46513YJJ8
1300000.000000
PA
USD
1615629.600000
0.0720434
Long
DBT
NUSS
IL
N
2
2048-01-17
Fixed
4.125
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A
46651QAA5
3300000.000000
PA
USD
3239116.980000
0.1444371
Long
ABS-MBS
CORP
US
N
2
2031-12-15
Floating
1.63475
N
N
N
N
N
N
JP MORGAN ALTERNATIVE LN TRUST 2008-R4
N/A
J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 1A1 144A
466309AA9
2742533.670000
PA
USD
2199817.800000
0.0980932
Long
ABS-MBS
CORP
US
N
2
2036-12-27
Fixed
6
Y
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO SR UNSECURED 06/22 VAR
46647PAT3
6000000.000000
PA
USD
6010396.980000
0.2680127
Long
DBT
CORP
US
N
2
2022-06-18
Floating
0.91788
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO SR UNSECURED 07/24 VAR
46647PAU0
2000000.000000
PA
USD
2169502.980000
0.0967414
Long
DBT
CORP
US
N
2
2024-07-23
Floating
3.797
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO SR UNSECURED 07/24 VAR
46647PAW6
5400000.000000
PA
USD
5411242.100000
0.2412954
Long
DBT
CORP
US
N
2
2024-07-23
Floating
1.933
N
N
N
N
N
N
JP MORGAN MORTGAGE ACQI CORP 2006-CW1
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CW1 M1
46628MAG1
1700000.000000
PA
USD
1589481.640000
0.0708774
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
0.4545
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2005-S3
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A11
466247ZY2
322248.380000
PA
USD
243011.400000
0.0108362
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
6
Y
N
N
N
N
N
JP MORGAN MORTGAGE TRUST-2005-A1
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1
466247LZ4
18740.600000
PA
USD
17662.900000
0.0007876
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
3.77394
N
N
N
N
N
N
JP MORGAN MTGE ACQUIS CORP 2007-CH3
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 A5
46630XAF5
487000.000000
PA
USD
473525.250000
0.0211152
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.4445
N
N
N
N
N
N
STICHTING AK RABOBANK CERTIFICATEN
DG3RU1DBUFHT4ZF9WN62
STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 0.0000
BJBQCWII7
930000.000000
NS
1115001.950000
0.0497196
Long
EP
CORP
NL
N
2
N
N
N
KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO)
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO COMPANY GUAR 07/35 5
50077LAL0
100000.000000
PA
USD
110110.850000
0.0049100
Long
DBT
CORP
US
N
2
2035-07-15
Fixed
5
N
N
N
N
N
N
KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO)
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO COMPANY GUAR 07/45 5.2
50077LAM8
200000.000000
PA
USD
217129.170000
0.0096821
Long
DBT
CORP
US
N
2
2045-07-15
Fixed
5.2
N
N
N
N
N
N
LEHMAN XS TRUST 2006-7
N/A
LEHMAN XS TRUST LXS 2006 7 1A1A
52522EAA7
3874963.230000
PA
USD
3827637.920000
0.1706801
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
0.3445
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC JR SUBORDINA 12/99 VAR
539439AU3
4200000.000000
PA
USD
4360225.630000
0.1944290
Long
DBT
CORP
GB
N
2
2025-09-27
Floating
7.5
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 JR SUBORDINA 12/99 VAR
ACI1GWB29
1900000.000000
PA
2157448.790000
0.0962039
Long
DBT
CORP
GB
N
2
2024-12-27
Floating
5.125
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 JR SUBORDINA REGS 12/49 VAR
ACI0808F5
1300000.000000
PA
1649790.280000
0.0735666
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
900000.000000
PA
USD
927471.280000
0.0413573
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 06/21 VAR
53944YAG8
4000000.000000
PA
USD
4017090.000000
0.1791281
Long
DBT
CORP
GB
N
2
2021-06-21
Floating
1.10638
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC SR UNSECURED 08/23 4.05
539439AS8
200000.000000
PA
USD
217669.740000
0.0097062
Long
DBT
CORP
GB
N
2
2023-08-16
Fixed
4.05
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC SUBORDINATED 12/25 4.582
539439AM1
1200000.000000
PA
USD
1333731.600000
0.0594731
Long
DBT
CORP
GB
N
2
2025-12-10
Fixed
4.582
N
N
N
N
N
N
LONDON WALL MORTGAGE CAPITAL PLC 17-FL1
N/A
LONDON WALL MORTGAGE CAPITAL LWMC 2017 FL1 A REGS
ACI0WP8J5
1032950.310000
PA
1271225.790000
0.0566859
Long
ABS-MBS
CORP
GB
N
2
2049-11-15
Floating
1.14225
N
N
N
N
N
N
LONG BEACH MORTGAGE LOAD TR 2005-WL2
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL2 M2
542514NC4
167160.970000
PA
USD
166427.950000
0.0074213
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
0.9195
N
N
N
N
N
N
LONG BEACH MORTGAGE LOAD TR 2005-WL3
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL3 M1
542514PR9
498379.860000
PA
USD
483208.330000
0.0215470
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.8295
N
N
N
N
N
N
LONG BEACH MORTGAGE LOAN TR 2005-3
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 3 1A
542514NT7
1073473.080000
PA
USD
1010737.600000
0.0450703
Long
ABS-MBS
CORP
US
N
2
2045-08-25
Floating
0.7045
N
N
N
N
N
N
LONG BEACH MORTGAGE LOAN TRUST 2006-11
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 11 2A3
542512AD0
11675769.330000
PA
USD
5688095.050000
0.2536407
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.3545
N
N
N
N
N
N
LONG BEACH MTGE LOAN TRUST 2004-4
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1
542514HN7
185536.080000
PA
USD
162114.100000
0.0072289
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
0.7445
N
N
N
N
N
N
LOS ANGELES COUNTY PUBLIC WORKS FINANCING AUTHORITY
N/A
LOS ANGELES CNTY CA PUBLIC WKS LOSFAC 08/23 FIXED 6.466
54473ENV2
1100000.000000
PA
USD
1267332.000000
0.0565122
Long
DBT
MUN
US
N
2
2023-08-01
Fixed
6.466
N
N
N
N
N
N
MASTR ASSET BACKED SEC TR 2006-HE4
N/A
MASTR ASSET BACKED SECURITIES MABS 2006 HE4 A2
576449AB8
21140703.780000
PA
USD
9430011.760000
0.4204984
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.27825
N
N
N
N
N
N
MASTR ASSET BACKED SECUR TR 2005-FRE1
N/A
MASTR ASSET BACKED SECURITIES MABS 2005 FRE1 M1
57643LMA1
3946860.920000
PA
USD
3580019.540000
0.1596385
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
0.6845
Y
N
N
N
N
N
MCDONALDS CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD S CORP SR UNSECURED 10/21 VAR
58013MFG4
700000.000000
PA
USD
701720.610000
0.0312908
Long
DBT
CORP
US
N
2
2021-10-28
Floating
1.31713
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE INV 2006-MLN1
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 MLN1 A2B
59023AAC0
16063163.730000
PA
USD
8557947.650000
0.3816118
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
0.2945
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE INVS 2005-A10
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A10 A
59020UZ65
381.240000
PA
USD
366.710000
0.0000164
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.58825
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE INVS 2006-HE5
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2B
59022QAC6
6164832.540000
PA
USD
3762923.160000
0.1677944
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
0.2945
N
N
N
N
N
N
MF1 2019-FL2 LTD
N/A
MF1 2019 FL2 LTD. MF1 2019 FL2 A 144A
55282LAA4
7500000.000000
PA
USD
7396984.500000
0.3298427
Long
ABS-MBS
CORP
KY
N
2
2034-12-25
Floating
1.3145
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST 2019-GS2
N/A
MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 A1 144A
59981TAC9
4353152.270000
PA
USD
4582081.070000
0.2043219
Long
ABS-MBS
CORP
US
N
2
2059-08-25
Fixed
2.75
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2005-HE1
N/A
MORGAN STANLEY CAPITAL INC MSAC 2005 HE1 M2
61744CKP0
1082060.540000
PA
USD
967717.800000
0.0431520
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
0.8895
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-HE7
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2C
61750MAE5
1091781.890000
PA
USD
578579.550000
0.0257997
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
0.3445
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-HE8
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A1
61750SAA0
994216.130000
PA
USD
858811.850000
0.0382957
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.29825
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2007-NC2
N/A
MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A1 144A
61753NAA8
5287608.820000
PA
USD
4436821.460000
0.1978446
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
0.29825
N
N
N
N
N
N
MOUNTAIN HAWK III CLO LTD 2014-3A
N/A
MOUNTAIN HAWK CLO LTD MHAWK 2014 3A AR 144A
62405CAN4
474345.030000
PA
USD
472411.680000
0.0210655
Long
ABS-CBDO
CORP
KY
N
2
2025-04-18
Floating
2.33525
N
N
N
N
N
N
NASSAU LTD 2017-IA
N/A
NASSAU LTD NCC 2017 IA A1AS 144A
631707AL0
4900000.000000
PA
USD
4807373.100000
0.2143680
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
2.36888
N
N
N
N
N
N
NAVIENT CORPORATION
54930067J0ZNOEBRW338
NAVIENT CORP SR UNSECURED 01/22 7.25
78442FEL8
200000.000000
PA
USD
200945.000000
0.0089604
Long
DBT
CORP
US
N
2
2022-01-25
Fixed
7.25
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC SR UNSECURED REGS 11/29 3.875
ACI1BLJV6
2400000.000000
PA
2839806.940000
0.1266313
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.875
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3
N/A
NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A
64830NAA9
7395499.990000
PA
USD
7772177.950000
0.3465731
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Fixed
2.75
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 07/22 2.65
654740AZ2
5050000.000000
PA
USD
4976020.630000
0.2218883
Long
DBT
CORP
US
N
2
2022-07-13
Fixed
2.65
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/21 1.9
654740AS8
700000.000000
PA
USD
687678.710000
0.0306646
Long
DBT
CORP
US
N
2
2021-09-14
Fixed
1.9
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/22 2.6
654740BD0
700000.000000
PA
USD
685324.170000
0.0305596
Long
DBT
CORP
US
N
2
2022-09-28
Fixed
2.6
N
N
N
N
N
N
NOVASTAR HOME EQUITY LOAN 2005-1
N/A
NOVASTAR HOME EQUITY LOAN NHEL 2005 1 M5
66987XGJ8
3494000.000000
PA
USD
3402317.790000
0.1517145
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
1.2645
N
N
N
N
N
N
OPTION ONE MORTGAGE LOAN TRUST 2006-1
N/A
OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 1 M1
68389FKR4
7800000.000000
PA
USD
6799332.540000
0.3031925
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.52825
N
N
N
N
N
N
ORACLE CORPORATION
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP SR UNSECURED 04/50 3.6
68389XBX2
7100000.000000
PA
USD
8039383.890000
0.3584882
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.6
N
N
N
N
N
N
PARK PLACE SECURITIES INC 2004-MHQ1
N/A
PARK PLACE SECURITIES INC PPSI 2004 MHQ1 M4
70069FCY1
1208467.590000
PA
USD
1180446.250000
0.0526379
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
1.96825
N
N
N
N
N
N
PARK PLACE SECURITIES INC 2004-WCW2
N/A
PARK PLACE SECURITIES INC PPSI 2004 WCW2 M3
70069FAZ0
1800000.000000
PA
USD
1727740.260000
0.0770425
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
1.21825
N
N
N
N
N
N
PENNSYLVANIA ECONOMIC DEVELOPMENT FINANCING AUTHORITY
N/A
PENNSYLVANIA ST ECON DEV FING PASDEV 06/39 FIXED 6.532
70869PFT9
100000.000000
PA
USD
135267.000000
0.0060318
Long
DBT
MUN
US
N
2
2039-06-15
Fixed
6.532
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE COMPANY GUAR 144A 01/30 5.093
71647NBF5
3052000.000000
PA
USD
3045896.000000
0.1358211
Long
DBT
CORP
NL
N
2
2030-01-15
Fixed
5.093
N
N
N
N
N
N
AAMES MORTGAGE INVESTMENT TRUST 2004-1
N/A
AAMES MORTGAGE INVESTMENT TRUS AMIT 2004 1 M6
00252FAK7
4428610.250000
PA
USD
4192381.980000
0.1869446
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
2.19325
Y
N
N
N
N
N
AAMES MORTGAGE INVESTMENT TRUST 2005-2
N/A
AAMES MORTGAGE INVESTMENT TRUS AMIT 2005 2 M5
126673L42
6091642.700000
PA
USD
6016489.490000
0.2682843
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
1.15825
Y
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC SR UNSECURED 144A 02/21 4.875
00287YCD9
186000.000000
PA
USD
189002.920000
0.0084279
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
4.875
N
N
N
N
N
N
RALI TRUST 2006-QA10
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA10 A1
74922NAA7
115773.230000
PA
USD
102924.250000
0.0045895
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.3695
N
N
N
N
N
N
RENAISSANCE HOME EQUITY LOAN TR 2007-1
N/A
RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF3
75970JAF3
12961123.880000
PA
USD
5189215.360000
0.2313949
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
5.612
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS4 3A1
74923HAK7
2761028.290000
PA
USD
2520247.300000
0.1123816
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2004-QA4
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2004 QA4 CB1
76110HZE2
3157913.990000
PA
USD
3100627.540000
0.1382617
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
4.54317
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2006-QO10
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO10 A1
751153AA5
6793759.210000
PA
USD
6260940.980000
0.2791848
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.3445
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2007-QA1
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA1 A3
74923GAC7
4338366.620000
PA
USD
3808141.860000
0.1698108
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.3545
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INC 2006-QS12
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS12 2A11
751151AQ4
234559.200000
PA
USD
215230.610000
0.0095975
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
5
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INC 2007-QH9
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH9 A1
749241AA3
6846520.700000
PA
USD
6019018.030000
0.2683971
Long
ABS-MBS
CORP
US
N
2
2037-11-25
Floating
2.84703
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INC 2007-QO1
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO1 A1
75115YAA7
2897681.350000
PA
USD
2577920.180000
0.1149533
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
0.3345
N
N
N
N
N
N
RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 NC1 AII
76112BR36
865517.330000
PA
USD
753633.200000
0.0336056
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
0.6245
N
N
N
N
N
N
RESIDENTIAL ASSET MTGE PROD 2005-EFC5
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC5 M3
76112BH60
6889600.000000
PA
USD
6641951.950000
0.2961746
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
0.8745
N
N
N
N
N
N
RESIDENTIAL ASSET SEC TRUST 2005-A10
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2005 A10 A4
45660LXN4
3624201.020000
PA
USD
2775695.470000
0.1237724
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Fixed
5.5
Y
N
N
N
N
N
RESIDENTIAL ASSET SECURITIES 2005-KS10
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2005 KS10 M3
75405WAG7
4492791.000000
PA
USD
4179500.150000
0.1863702
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.6545
N
N
N
N
N
N
RESIDENTIAL ASSET SECURITIES 2006-KS6
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2006 KS6 M1
75406WAE1
15000000.000000
PA
USD
13857135.000000
0.6179105
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
0.4545
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC COMPANY GUAR 06/22 4
761713BF2
100000.000000
PA
USD
105702.590000
0.0047134
Long
DBT
CORP
US
N
2
2022-06-12
Fixed
4
N
N
N
N
N
N
RIO OIL FINANCE TRUST SERIES 2014-1
549300V5D1W52HY8NO65
RIO OIL FINANCE TRUST SR SECURED 144A 07/24 9.25
76716XAA0
1015002.780000
PA
USD
1040377.850000
0.0463920
Long
DBT
CORP
US
N
2
2024-07-06
Variable
9.25
N
N
N
N
N
N
RIPON MORTGAGES PLC 1X
N/A
RIPON MORTGAGES RIPON 1X A1 REGS
ACI0TMVB7
4456913.780000
PA
5504194.110000
0.2454403
Long
ABS-MBS
CORP
GB
N
2
2056-08-20
Floating
1.05613
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GROUP PLC
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC JR SUBORDINA 12/49 VAR
780097BB6
2000000.000000
PA
USD
2083940.000000
0.0929260
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 JR SUBORDINA 12/49 VAR
780099CJ4
1200000.000000
PA
USD
1204800.000000
0.0537238
Long
DBT
CORP
GB
N
2
2020-08-10
Floating
7.5
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 JR SUBORDINA 12/49 VAR
780099CK1
1200000.000000
PA
USD
1327296.000000
0.0591861
Long
DBT
CORP
GB
N
2
2025-08-10
Floating
8
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 01/30 VAR
78009PEH0
3800000.000000
PA
USD
4568308.930000
0.2037078
Long
DBT
CORP
GB
N
2
2030-01-27
Floating
5.076
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GROUP PLC
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC SR UNSECURED 04/26 4.8
780097BA8
1100000.000000
PA
USD
1274669.460000
0.0568394
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 05/29 VAR
780097BG5
2600000.000000
PA
USD
3068520.100000
0.1368299
Long
DBT
CORP
GB
N
2
2029-05-18
Floating
4.892
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GROUP PLC
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC SR UNSECURED 05/30 VAR
780097BL4
400000.000000
PA
USD
464644.200000
0.0207192
Long
DBT
CORP
GB
N
2
2030-05-08
Floating
4.445
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GROUP PLC
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC SR UNSECURED 06/24 VAR
780097BH3
4400000.000000
PA
USD
4403835.000000
0.1963736
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
ROYAL BK SCOTLND GRP PLC SR UNSECURED 06/24 VAR
780097BJ9
3000000.000000
PA
USD
3261947.010000
0.1454551
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 SUBORDINATED 06/23 6.1
780097AY7
200000.000000
PA
USD
221536.320000
0.0098786
Long
DBT
CORP
GB
N
2
2023-06-10
Fixed
6.1
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GROUP PLC
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC SUBORDINATED 12/23 6
780097AZ4
1400000.000000
PA
USD
1569331.760000
0.0699789
Long
DBT
CORP
GB
N
2
2023-12-19
Fixed
6
N
N
N
N
N
N
ACE SECURITIES CORP 2006-FM1
N/A
ACE SECURITIES CORP. ACE 2006 FM1 A1A
00441VAA6
4110912.800000
PA
USD
1889573.260000
0.0842589
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.31825
Y
N
N
N
N
N
ACE SECURITIES CORP 2007-HE2
N/A
ACE SECURITIES CORP. ACE 2007 HE2 A2C
00443PAD1
13842795.780000
PA
USD
9279926.510000
0.4138059
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.40825
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 08/25 5.125
80007RAF2
5000000.000000
PA
USD
5434775.000000
0.2423448
Long
DBT
CORP
KY
N
2
2025-08-08
Fixed
5.125
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 08/28 5.4
80007RAE5
3600000.000000
PA
USD
3986424.000000
0.1777607
Long
DBT
CORP
KY
N
2
2028-08-08
Fixed
5.4
N
N
N
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HLDGS SR UNSECURED 11/24 VAR
80281LAJ4
3900000.000000
PA
USD
4316289.860000
0.1924699
Long
DBT
CORP
GB
N
2
2024-11-15
Floating
4.796
N
N
N
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC SR UNSECURED 06/24 2.875
80283LAX1
7500000.000000
PA
USD
8001659.480000
0.3568061
Long
DBT
CORP
GB
N
2
2024-06-18
Fixed
2.875
N
N
N
N
N
N
SASOL FINANCING USA LLC
549300XRB1PFMESFEL85
SASOL FINANCING USA LLC COMPANY GUAR 03/24 5.875
80386WAA3
500000.000000
PA
USD
447500.000000
0.0199547
Long
DBT
CORP
US
N
2
2024-03-27
Fixed
5.875
N
N
N
N
N
N
SAUDI ARABIA GOVT
635400FMICXSM3SI3H65
SAUDI INTERNATIONAL BOND SR UNSECURED REGS 04/25 4
M6320UAH2
2900000.000000
PA
USD
3221679.600000
0.1436595
Long
DBT
NUSS
SA
N
2
2025-04-17
Fixed
4
N
N
N
N
N
N
SAUDI ARABIA GOVT
635400FMICXSM3SI3H65
SAUDI INTERNATIONAL BOND SR UNSECURED REGS 04/49 5
ACI121KG1
1300000.000000
PA
USD
1612306.800000
0.0718952
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 10/21 2.375
ACI0QG399
300000.000000
PA
USD
304901.400000
0.0135960
Long
DBT
NUSS
SA
N
2
2021-10-26
Fixed
2.375
N
N
N
N
N
N
SAUDI ARABIA GOVT
635400FMICXSM3SI3H65
SAUDI INTERNATIONAL BOND SR UNSECURED REGS 10/46 4.5
M6320UAC3
600000.000000
PA
USD
691794.000000
0.0308481
Long
DBT
NUSS
SA
N
2
2046-10-26
Fixed
4.5
N
N
N
N
N
N
SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)
529900JL0HDVGZMUJF32
IHO VERWALTUNGS GMBH SR SECURED 144A 05/27 6
44963BAE8
3200000.000000
PA
USD
3261392.000000
0.1454304
Long
DBT
CORP
DE
N
2
2027-05-15
Fixed
6
N
N
Y
N
N
N
SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)
529900JL0HDVGZMUJF32
IHO VERWALTUNGS GMBH SR SECURED REGS 05/25 3.625
ACI1C5ZK6
3000000.000000
PA
3366369.840000
0.1501115
Long
DBT
CORP
DE
N
2
2025-05-15
Fixed
3.625
N
N
Y
N
N
N
SEC ASSET BACKED REC LLC 2005-FR2
N/A
SECURITIZED ASSET BACKED RECEI SABR 2005 FR2 M3
81375WEG7
2599000.000000
PA
USD
2188034.940000
0.0975678
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
1.21825
N
N
N
N
N
N
SEC ASSET BACKED REC LLC 2006-FR4
N/A
SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A2B
81377GAB5
692543.140000
PA
USD
292191.010000
0.0130292
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
0.3545
Y
N
N
N
N
N
SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2
N/A
SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2D
81377AAE2
6902882.460000
PA
USD
3837242.640000
0.1711084
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.40825
N
N
N
N
N
N
SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005-FR5
N/A
SECURITIZED ASSET BACKED RECEI SABR 2005 FR5 M1
81375WFU5
2155633.970000
PA
USD
1604688.630000
0.0715555
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
0.82825
Y
N
N
N
N
N
SEVERN TRENT WATER UTILITIES FINANCE PLC
213800KY9PT6WBH33232
SEVERN TRENT WATER UTIL COMPANY GUAR 02/24 6.125
052515II6
525000.000000
PA
771907.660000
0.0344205
Long
DBT
CORP
GB
N
2
2024-02-26
Fixed
6.125
N
N
N
N
N
N
SL GREEN REALTY CORP
549300VQZPJU97H3GT17
SL GREEN REALTY CORP COMPANY GUAR 12/22 4.5
75625AAD6
4600000.000000
PA
USD
4698662.590000
0.2095204
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
4.5
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE JR SUBORDINA 144A 12/49 VAR
83368JKG4
800000.000000
PA
USD
808736.000000
0.0360628
Long
DBT
CORP
FR
N
2
2021-09-13
Floating
7.375
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 A A2FX 144A
83406TAB8
7400000.000000
PA
USD
7677167.740000
0.3423365
Long
ABS-O
CORP
US
N
2
2046-05-15
Fixed
2.54
N
N
N
N
N
N
SOUND POINT CLO XIV LTD 2016-3A
N/A
SOUND POINT CLO LTD SNDPT 2016 3A AR 144A
83609NAL4
4800000.000000
PA
USD
4716099.890000
0.2102980
Long
ABS-CBDO
CORP
KY
N
2
2029-01-23
Floating
2.193
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN 2006-1
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 1 A5
83611MKZ0
4700000.000000
PA
USD
4187543.020000
0.1867289
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.4945
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ1
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 EQ1 A3
83612JAC8
2897489.020000
PA
USD
2875999.210000
0.1282451
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.3445
N
N
N
N
N
N
AEGIS ASSET BACKED SECURITIES TR 2005-4
N/A
AEGIS ASSET BACKED SECURITIES AABST 2005 4 M1
00764MGG6
817511.330000
PA
USD
810941.320000
0.0361611
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
0.84325
N
N
N
N
N
N
AEGIS ASSET BACKED SECURITIES TR 2005-4
N/A
AEGIS ASSET BACKED SECURITIES AABST 2005 4 M2
00764MGH4
9500000.000000
PA
USD
8567816.300000
0.3820518
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
0.87325
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A2
83612NAD7
731382.880000
PA
USD
266773.730000
0.0118958
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
0.3645
N
N
N
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
SOUTHERN CO SR UNSECURED 04/30 3.7
842587DE4
3700000.000000
PA
USD
4238465.550000
0.1889996
Long
DBT
CORP
US
N
2
2030-04-30
Fixed
3.7
N
N
N
N
N
N
SOUTHERN POWER COMPANY
5LADC78JBG2BMZD5XF57
SOUTHERN POWER CO SR UNSECURED 144A 12/20 VAR
843646AV2
700000.000000
PA
USD
700048.030000
0.0312162
Long
DBT
CORP
US
N
2
2020-12-20
Floating
0.85638
N
N
N
N
N
N
SPECIALTY UNDERWRITING & RESID 2005-BC2
N/A
SPECIALTY UNDERWRITING + RESID SURF 2005 BC2 M3
84751PFW4
230957.960000
PA
USD
227969.590000
0.0101655
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
1.1595
N
N
N
N
N
N
SPRINT CORP (SPRINT COMMUNICATIONS INC)
549300JKU50UT08ZWD77
SPRINT COMMUNICATIONS COMPANY GUAR 11/22 6
852061AS9
500000.000000
PA
USD
528057.500000
0.0235469
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
6
N
N
N
N
N
N
SPRINT CORPORATION
549300ZTTY7CXOLJ6539
SPRINT CORP COMPANY GUAR 09/21 7.25
85207UAE5
1500000.000000
PA
USD
1574257.500000
0.0701985
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
7.25
N
N
N
N
N
N
SPRINT CORPORATION
549300ZTTY7CXOLJ6539
SPRINT CORP COMPANY GUAR 09/23 7.875
85207UAF2
900000.000000
PA
USD
1014745.500000
0.0452490
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
7.875
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC SR UNSECURED 144A 09/22 VAR
853254BR0
5800000.000000
PA
USD
5814819.000000
0.2592915
Long
DBT
CORP
GB
N
2
2022-09-10
Floating
1.50975
N
N
N
N
N
N
STRUCTURED ADJ RATE MTG LN 2004-19
N/A
STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1
863579JG4
74287.610000
PA
USD
67386.600000
0.0030049
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
2.90382
Y
N
N
N
N
N
STRUCTURED ASSET INVEST LN TR 2006-BNC3
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2006 BNC3 A3
86361KAC1
1894597.480000
PA
USD
1823583.800000
0.0813164
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
0.31825
N
N
N
N
N
N
STRUCTURED ASSET INVESTMENT LOAN TRUST 2003-BC9
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC9 2A
86358EDG8
13261707.730000
PA
USD
12989256.550000
0.5792105
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
1.11825
N
N
N
N
N
N
STRUCTURED ASSET INVST LN TR 2005-5
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2005 5 M4
86358ETJ5
10000000.000000
PA
USD
9260767.000000
0.4129516
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
1.09825
N
N
N
N
N
N
STRUCTURED ASSET INVST LN TR 2006-4
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A2
86360WAB8
1316353.870000
PA
USD
1015069.030000
0.0452635
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.29825
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2005-AR5
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A1
86359LPD5
10713.040000
PA
USD
9848.140000
0.0004391
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
0.44388
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2005-AR5
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2
86359LPE3
10460.100000
PA
USD
9716.380000
0.0004333
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
0.44388
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2005-AR5
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3
86359LPF0
33711.080000
PA
USD
32105.600000
0.0014316
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
0.44388
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2005-AR8
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A
86359LRW1
220126.850000
PA
USD
200795.160000
0.0089538
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.4645
Y
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2005-AR8
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A2
86359LRY7
917195.220000
PA
USD
864747.800000
0.0385604
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
3.62526
Y
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2006-AR3
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A1
86360KAE8
112195.660000
PA
USD
105527.670000
0.0047056
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
0.4045
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2006-AR7
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1BG
86361HAB0
9907248.750000
PA
USD
8670729.000000
0.3866409
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
0.3045
N
N
N
N
N
N
STRUCTURED ASSET MTGE INVEST 2006-AR5
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 4A1
86360JAN1
455562.460000
PA
USD
232970.000000
0.0103885
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
0.4045
N
N
N
N
N
N
STRUCTURED ASSET MTGE INVEST 2006-AR6
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 1A3
86360UAC0
2927569.420000
PA
USD
2153599.110000
0.0960322
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
0.3745
Y
N
N
N
N
N
STRUCTURED ASSET SEC CORP 2005-7XS
N/A
STRUCTURED ASSET SECURITIES CO SASC 2005 7XS 2A1A
86359B7K1
117945.170000
PA
USD
114599.730000
0.0051102
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
1.67263
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CORP 2006-BC1
N/A
STRUCTURED ASSET SECURITIES CO SASC 2006 BC1 A2
86359YAD3
488350.310000
PA
USD
454539.620000
0.0202686
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
0.3445
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CORP 2006-BC5
N/A
STRUCTURED ASSET SECURITIES CO SASC 2006 BC5 A4
86359SAD6
1923360.060000
PA
USD
1856081.690000
0.0827655
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.3545
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CP 2002-14A
N/A
STRUCTURED ASSET SECURITIES CO SASC 2002 14A 2A1
86358RR66
91.340000
PA
USD
83.260000
0.0000037
Long
ABS-MBS
CORP
US
N
2
2032-07-25
Floating
3.49015
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CRP 2003-22A
N/A
STRUCTURED ASSET SECURITIES CO SASC 2003 22A 2A1
86359AYX5
9201.880000
PA
USD
8950.340000
0.0003991
Long
ABS-MBS
CORP
US
N
2
2033-06-25
Floating
3.23424
N
N
N
N
N
N
SUDBURY MILL CLO LTD 2013-1A
N/A
SUDBURY MILL CLO LTD SUDSM 2013 1A A1R 144A
864662AM3
3979274.280000
PA
USD
3960802.690000
0.1766182
Long
ABS-CBDO
CORP
KY
N
2
2026-01-17
Floating
2.28488
N
N
N
N
N
N
SYMPHONY CLO XII LTD 2013-12A
N/A
CALIFORNIA STREET CLO XII, LTD SYMP 2013 12A AR 144A
13080BAA9
4966835.510000
PA
USD
4930828.730000
0.2198731
Long
ABS-CBDO
CORP
KY
N
2
2025-10-15
Floating
2.24888
N
N
N
N
N
N
TEXAS PUBLIC FINANCE AUTHORITY
N/A
TEXAS ST PUBLIC FIN AUTH TXSGEN 07/24 FIXED 8.25
8827562Q1
1905000.000000
PA
USD
1912372.350000
0.0852756
Long
DBT
MUN
US
N
2
2024-07-01
Fixed
8.25
N
N
N
N
N
N
TICP CLO III-2 LTD 2018-3R
N/A
TICP CLO LTD TICP 2018 3R A 144A
87249FAC8
3800000.000000
PA
USD
3745253.100000
0.1670065
Long
ABS-CBDO
CORP
KY
N
2
2028-04-20
Floating
1.97525
N
N
N
N
N
N
TOWD POINT MORTGAGE FUNDING 19-A13A
N/A
TOWD POINT MORTGAGE FUNDING TPMF 2019 A13A A1 144A
ACI1G4F01
19503747.000000
PA
24105175.660000
1.0748861
Long
ABS-MBS
CORP
GB
N
2
2045-07-20
Floating
1.3921
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
6586047.760000
PA
8162380.710000
0.3639729
Long
ABS-MBS
CORP
GB
N
2
2051-10-20
Floating
1.67675
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2019-HY3
N/A
TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 A1A 144A
89177XAA5
5116913.030000
PA
USD
5103714.980000
0.2275823
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Floating
1.1845
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORPORATION
Z2VZBHUMB7PWWJ63I008
TOYOTA MOTOR CREDIT CORPORATIO 2018 TERM LOAN
933NLFII8
5000000.000000
PA
USD
4993054.700000
0.2226478
Long
LON
CORP
US
N
3
2020-09-28
Floating
0.886
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG SUBORDINATED REGS 02/26 VAR
ACI07SK20
6400000.000000
PA
7346543.890000
0.3275935
Long
DBT
CORP
CH
N
2
2026-02-12
Floating
4.75
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG SUBORDINATED REGS 05/24 5.125
BMJ6SQII2
6000000.000000
PA
USD
6530322.000000
0.2911969
Long
DBT
CORP
CH
N
2
2024-05-15
Fixed
5.125
N
N
N
N
N
N
UBS AG/STAMFORD CT BRANCH
BFM8T61CT2L1QCEMIK50
UBS AG STAMFORD CT SUBORDINATED 08/22 7.625
90261AAB8
4700000.000000
PA
USD
5243797.140000
0.2338288
Long
DBT
CORP
CH
N
2
2022-08-17
Fixed
7.625
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG JR SUBORDINA REGS 12/49 VAR
ACI0BSNR7
200000.000000
PA
230979.600000
0.0102997
Long
DBT
CORP
CH
N
2
2022-02-19
Floating
5.75
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG JR SUBORDINA REGS 12/49 VAR
BD1FLTII2
600000.000000
PA
USD
613280.400000
0.0273471
Long
DBT
CORP
CH
N
2
2021-08-10
Floating
7.125
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG SR UNSECURED 144A 09/20 2.95
90351DAA5
700000.000000
PA
USD
703945.860000
0.0313900
Long
DBT
CORP
CH
N
2
2020-09-24
Fixed
2.95
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG SR UNSECURED 144A 09/25 4.125
90351DAB3
800000.000000
PA
USD
907842.750000
0.0404821
Long
DBT
CORP
CH
N
2
2025-09-24
Fixed
4.125
N
N
N
N
N
N
UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C5
N/A
UBS BARCLAYS COMMERCIAL MORTGA UBSBB 2013 C5 XA 144A
90270YAC3
22359243.780000
PA
USD
437326.690000
0.0195011
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Variable
1.08169
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE
01F020687
40400000.000000
PA
USD
41236831.860000
1.8388125
Long
ABS-MBS
USGSE
US
N
2
2050-08-13
Fixed
2
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE
01F020695
12100000.000000
PA
USD
12321827.970000
0.5494489
Long
ABS-MBS
USGSE
US
N
2
2050-09-14
Fixed
2
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE
01F022683
126600000.000000
PA
USD
131695005.610000
5.8724788
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
65000000.000000
PA
USD
67471325.350000
3.0086481
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
01F030686
55000000.000000
PA
USD
57831884.550000
2.5788109
Long
ABS-MBS
USGSE
US
N
2
2050-08-13
Fixed
3
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE
01F030694
197600000.000000
PA
USD
207408980.580000
9.2486790
Long
ABS-MBS
USGSE
US
N
2
2050-09-14
Fixed
3
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE
01F032682
117800000.000000
PA
USD
123902968.260000
5.5250201
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
FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE
01F040685
-53168000.000000
PA
USD
-56368464.770000
-2.5135548
Short
ABS-MBS
USGSE
US
N
2
2050-08-13
Fixed
4
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE
01F042673
50400000.000000
PA
USD
54160312.250000
2.4150900
Long
ABS-MBS
USGSE
US
N
2
2050-07-14
Fixed
4.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE
01F050676
-9600000.000000
PA
USD
-10491750.050000
-0.4678429
Short
ABS-MBS
USGSE
US
N
2
2050-07-14
Fixed
5
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UNICREDIT SPA JR SUBORDINA REGS 12/49 VAR
ACI09B5F3
400000.000000
PA
441900.690000
0.0197050
Long
DBT
CORP
IT
N
2
2021-09-10
Floating
6.75
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UNICREDIT SPA JR SUBORDINA REGS 12/49 VAR
BYXSS8II2
200000.000000
PA
239704.470000
0.0106888
Long
DBT
CORP
IT
N
2
2022-06-03
Floating
9.25
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC COMPANY GUAR 09/20 7.5
02005NAJ9
5250000.000000
PA
USD
5302001.410000
0.2364242
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
7.5
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/22 0.125
912828SA9
73647600.000000
PA
USD
74720201.440000
3.3318864
Long
DBT
UST
US
N
2
2022-01-15
Fixed
0.125
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/26 0.625
912828N71
5892814.200000
PA
USD
6388920.860000
0.2848916
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.625
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/43 0.625
912810RA8
1450046.000000
PA
USD
1711355.370000
0.0763119
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.625
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/44 1.375
912810RF7
8472695.000000
PA
USD
11579791.710000
0.5163604
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 02/46 1
912810RR1
8442018.000000
PA
USD
10933352.990000
0.4875347
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/48 1
912810SB5
15183124.000000
PA
USD
20112606.090000
0.8968514
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/49 1
912810SG4
1730160.020000
PA
USD
2313672.200000
0.1031701
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 04/22 0.125
912828X39
44604927.000000
PA
USD
45303119.450000
2.0201344
Long
DBT
UST
US
N
2
2022-04-15
Fixed
0.125
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 07/21 0.625
912828QV5
17636210.000000
PA
USD
17961277.100000
0.8009204
Long
DBT
UST
US
N
2
2021-07-15
Fixed
0.625
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 02/26 1.625
912828P46
6100000.000000
PA
USD
6527357.400000
0.2910647
Long
DBT
UST
US
N
2
2026-02-15
Fixed
1.625
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 02/29 2.625
9128286B1
275500000.000000
PA
USD
322867704.050000
14.3971575
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 02/40 4.625
912810QE1
11300000.000000
PA
USD
18330056.680000
0.8173649
Long
DBT
UST
US
N
2
2040-02-15
Fixed
4.625
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 02/49 3
912810SF6
37000000.000000
PA
USD
51067949.080000
2.2771968
Long
DBT
UST
US
N
2
2049-02-15
Fixed
3
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 05/23 1.75
912828VB3
1330000.000000
PA
USD
1390239.650000
0.0619929
Long
DBT
UST
US
N
2
2023-05-15
Fixed
1.75
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 05/40 4.375
912810QH4
16100000.000000
PA
USD
25449320.230000
1.1348235
Long
DBT
UST
US
N
2
2040-05-15
Fixed
4.375
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 07/22 1.875
9128282P4
50800000.000000
PA
USD
52613718.500000
2.3461250
Long
DBT
UST
US
N
2
2022-07-31
Fixed
1.875
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 07/22 2
912828XQ8
32400000.000000
PA
USD
33642210.820000
1.5001569
Long
DBT
UST
US
N
2
2022-07-31
Fixed
2
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 08/22 1.875
912828L24
293800000.000000
PA
USD
304685519.160000
13.5863865
Long
DBT
UST
US
N
2
2022-08-31
Fixed
1.875
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 08/26 1.5
9128282A7
51500000.000000
PA
USD
54879710.160000
2.4471690
Long
DBT
UST
US
N
2
2026-08-15
Fixed
1.5
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 08/27 2.25
9128282R0
27800000.000000
PA
USD
31231019.570000
1.3926382
Long
DBT
UST
US
N
2
2027-08-15
Fixed
2.25
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 08/47 2.75
912810RY6
500000.000000
PA
USD
653193.360000
0.0291269
Long
DBT
UST
US
N
2
2047-08-15
Fixed
2.75
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 08/48 3
912810SD1
900000.000000
PA
USD
1237394.530000
0.0551773
Long
DBT
UST
US
N
2
2048-08-15
Fixed
3
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 09/25 3
9128285C0
56300000.000000
PA
USD
64155609.380000
2.8607953
Long
DBT
UST
US
N
2
2025-09-30
Fixed
3
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 10/25 3
9128285J5
56600000.000000
PA
USD
64588117.050000
2.8800815
Long
DBT
UST
US
N
2
2025-10-31
Fixed
3
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 11/22 2
912828M80
43000000.000000
PA
USD
44899726.670000
2.0021465
Long
DBT
UST
US
N
2
2022-11-30
Fixed
2
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 11/26 2
912828U24
37400000.000000
PA
USD
41078640.810000
1.8317585
Long
DBT
UST
US
N
2
2026-11-15
Fixed
2
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 12/22 1.625
912828YW4
66700000.000000
PA
USD
69091820.650000
3.0809084
Long
DBT
UST
US
N
2
2022-12-15
Fixed
1.625
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 12/23 2.25
912828V23
3800000.000000
PA
USD
4072679.680000
0.1816069
Long
DBT
UST
US
N
2
2023-12-31
Fixed
2.25
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 12/24 1.75
912828YY0
19750000.000000
PA
USD
21074638.620000
0.9397499
Long
DBT
UST
US
N
2
2024-12-31
Fixed
1.75
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 12/25 2.625
9128285T3
22700000.000000
PA
USD
25516218.750000
1.1378067
Long
DBT
UST
US
N
2
2025-12-31
Fixed
2.625
N
N
N
N
N
N
US INTERNATIONAL DEVELOPMENT FINANCE CORPORATION
N/A
INT DEVELOPMENT FIN CORP US GOVT GUAR 05/30 4.14
690353RQ2
854100.000000
PA
USD
990756.800000
0.0441793
Long
DBT
NUSS
US
N
2
2030-05-15
Fixed
4.14
N
N
N
N
N
N
VENTURE CDO LTD 2016-25A
N/A
VENTURE CDO LTD VENTR 2016 25A AR 144A
92329VAQ5
8400000.000000
PA
USD
8273951.110000
0.3689480
Long
ABS-CBDO
CORP
KY
N
2
2029-04-20
Floating
2.36525
N
N
N
N
N
N
VENTURE CLO LTD 2014-17A
N/A
VENTURE CDO LTD VENTR 2014 17A ARR 144A
92329YAL0
4564635.470000
PA
USD
4484999.060000
0.1999929
Long
ABS-CBDO
CORP
KY
N
2
2027-04-15
Floating
2.09888
N
N
N
N
N
N
WAMU ASSET-BACKED CERTIFICATES 2007-HE3
N/A
WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 1A
93364EAA2
5798586.080000
PA
USD
5299959.280000
0.2363332
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
0.4095
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR1
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1A
939336X40
38085.530000
PA
USD
37599.310000
0.0016766
Long
ABS-MBS
CORP
US
N
2
2045-01-25
Floating
0.8245
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR13
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1
92922F4M7
751712.610000
PA
USD
729913.850000
0.0325480
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Floating
0.4745
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR17
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR17 A1A2
92922F7Q5
11516728.470000
PA
USD
10566326.580000
0.4711684
Long
ABS-MBS
CORP
US
N
2
2045-12-25
Floating
0.4745
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR2
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A
92922FD21
36034.190000
PA
USD
34216.410000
0.0015258
Long
ABS-MBS
CORP
US
N
2
2045-01-25
Floating
0.4945
N
N
N
N
N
N
WEYERHAEUSER COMPANY
08IRJODWFYBI7QWRGS31
WEYERHAEUSER CO SR UNSECURED 04/30 4
962166BY9
4000000.000000
PA
USD
4523512.960000
0.2017103
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COMPANIES INC SR UNSECURED 11/23 4.5
96950FAL8
1100000.000000
PA
USD
1205941.670000
0.0537748
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
4.5
N
N
N
N
N
N
WIND RIVER CLO LTD 2015-2A
N/A
WIND RIVER CLO LTD WINDR 2015 2A A1R 144A
88432GAL1
5336997.010000
PA
USD
5272201.170000
0.2350954
Long
ABS-CBDO
CORP
KY
N
2
2027-10-15
Floating
2.08888
N
N
N
N
N
N
WMALT MTGE PASS-THRU CERT 2006-AR8
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR8 2A
93935LAB4
4594982.890000
PA
USD
3901198.370000
0.1739603
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
2.35382
Y
N
N
N
N
N
WMALT MTGE PASS-THRU CERT 2006-AR9
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR9 1A
939346AA0
2984565.720000
PA
USD
2554379.370000
0.1139036
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
2.33382
N
N
N
N
N
N
WPC EUROBOND BV
5493005XDMOLBARL5M14
WPC EUROBOND BV COMPANY GUAR 04/26 2.25
ACI15F7Y3
5700000.000000
PA
6725632.160000
0.2999061
Long
DBT
CORP
NL
N
2
2026-04-09
Fixed
2.25
N
N
N
N
N
N
AMERICAN HOME MORTGAGE ASSETS 2006-1
N/A
AMERICAN HOME MORTGAGE ASSETS AHMA 2006 1 2A1
02660WAC0
575666.990000
PA
USD
482109.070000
0.0214980
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
0.35825
Y
N
N
N
N
N
AMERICAN HOME MORTGAGE ASSETS 2006-4
N/A
AMERICAN HOME MORTGAGE ASSETS AHMA 2006 4 1A12
02660LAB6
219225.090000
PA
USD
139337.380000
0.0062133
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
0.3945
N
N
N
N
N
N
YPF SA
5493003N7447U18U5U53
YPF SOCIEDAD ANONIMA SR UNSECURED 03/21 VAR
ACI1J9CS9
21000000.000000
PA
216304.850000
0.0096454
Long
DBT
CORP
AR
N
2
2021-03-04
Floating
52.9918
N
N
N
N
N
N
ZIMMER BIOMET HOLDINGS INC
2P2YLDVPES3BXQ1FRB91
ZIMMER BIOMET HOLDINGS SR UNSECURED 04/25 3.55
98956PAF9
2100000.000000
PA
USD
2285581.200000
0.1019175
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.55
N
N
N
N
N
N
N/A
N/A
FIXED INC CLEARING CORP.REPO
000000000
200000.000000
PA
USD
200000.000000
0.0089183
Long
RA
US
N
2
Repurchase
N
0.0000001
2020-07-01
190500.000000
USD
204059.200000
USD
UST
N
N
N
AMERICAN HOME MTGE INV TRUST 2004-4
N/A
AMERICAN HOME MORTGAGE INVESTM AHM 2004 4 4A
02660TCS0
111546.740000
PA
USD
111081.360000
0.0049533
Long
ABS-MBS
CORP
US
N
2
2045-02-25
Floating
2.515
N
N
N
N
N
N
AMERICAN HOME MTGE INV TRUST 2005-2
N/A
AMERICAN HOME MORTGAGE INVESTM AHM 2005 2 4A2
02660TFG3
48928.720000
PA
USD
48476.440000
0.0021616
Long
ABS-MBS
CORP
US
N
2
2045-09-25
Floating
2.015
N
N
N
N
N
N
AMERICAN HONDA FINANCE CORPORATION
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA FINANCE CORP TERM LOAN
934NVQII2
1900000.000000
PA
USD
1890901.360000
0.0843181
Long
LON
CORP
US
N
3
2021-03-29
Floating
1.156
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-2140000.000000
PA
USD
-2140010.700000
-0.0954263
Short
RA
US
N
2
Reverse repurchase
N
0.1800000
2020-07-01
2000000.000000
USD
2029248.580000
USD
UST
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-50597500.000000
PA
USD
-50599566.060000
-2.2563109
Short
RA
US
N
2
Reverse repurchase
N
0.2100000
2020-07-01
37000000.000000
USD
51098300.920000
USD
UST
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-199350750.000000
PA
USD
-199368193.180000
-8.8901282
Short
RA
US
N
2
Reverse repurchase
N
0.2100000
2020-07-22
169300000.000000
USD
198421584.200000
USD
UST
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-1071965.000000
PA
USD
-1072065.050000
-0.0478050
Short
RA
US
N
2
Reverse repurchase
N
0.2100000
2020-08-13
797000.000000
USD
1063479.350000
USD
UST
N
N
N
N/A
N/A
REVERSE REPO BANK OF MONTREAL REVERSE REPO
000000000
-15116250.000000
PA
USD
-15118563.630000
-0.6741595
Short
RA
US
N
2
Reverse repurchase
N
0.1900000
2020-07-02
14500000.000000
USD
15036386.760000
USD
UST
N
N
N
N/A
N/A
REVERSE REPO DEUTSCHE REVERSE REPO
000000000
-729750.000000
PA
USD
-729753.650000
-0.0325408
Short
RA
US
N
2
Reverse repurchase
N
0.1800000
2020-07-07
700000.000000
USD
725894.530000
USD
UST
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-78396000.000000
PA
USD
-78396396.160000
-3.4958135
Short
RA
US
N
2
Reverse repurchase
N
0.1800000
2020-07-02
75200000.000000
USD
77981812.690000
USD
UST
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-47585125.000000
PA
USD
-47606696.930000
-2.1228544
Short
RA
US
N
2
Reverse repurchase
N
0.2400000
2020-07-23
45700000.000000
USD
47390543.080000
USD
UST
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF SCO REVERSE REPO
000000000
-8859375.000000
PA
USD
-8863223.900000
-0.3952245
Short
RA
US
N
2
Reverse repurchase
N
0.2300000
2020-07-13
7500000.000000
USD
8790087.900000
USD
UST
N
N
N
N/A
N/A
REVERSE REPO THE BANK OF NOVA REVERSE REPO
000000000
-8307000.000000
PA
USD
-8311596.540000
-0.3706266
Short
RA
US
N
2
Reverse repurchase
N
0.2400000
2020-07-09
7800000.000000
USD
8323453.160000
USD
UST
N
N
N
N/A
N/A
AT&T INC SNR S* ICE
000000000
1.000000
NC
USD
9521.290000
0.0004246
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
AT&T INC
AT&T INC SR UNSEC SMR
Y
Single Leg Swap
2020-12-21
28701.550000
USD
0.000000
USD
4500000.000000
USD
-19180.260000
N
N
N
N/A
N/A
BOUGHT CNH/SOLD USD
000000000
1.000000
NC
35959.400000
0.0016035
N/A
DFE
CN
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
3882707.300000
CNY
27817656.450000
CNY
2020-09-16
35959.400000
N
N
N
N/A
N/A
BOUGHT JPY/SOLD USD
000000000
1.000000
NC
-1556106.710000
-0.0693891
N/A
DFE
JP
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
149351664.050000
JPY
15958225304.000000
JPY
2020-07-02
-1556106.710000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
61319.680000
0.0027343
N/A
DFE
RU
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
680902.800000
RUB
52923851.000000
RUB
2020-07-17
61319.680000
N
N
N
N/A
N/A
BOUGHT SEK/SOLD USD
000000000
1.000000
NC
2854.610000
0.0001273
N/A
DFE
SE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1109484.680000
SEK
10365000.000000
SEK
2020-07-02
2854.610000
N
N
N
N/A
N/A
BOUGHT TWD/SOLD USD
000000000
1.000000
NC
14452.770000
0.0006445
N/A
DFE
TW
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
987687.740000
TWD
29166419.000000
TWD
2020-09-16
14452.770000
N
N
N
N/A
N/A
BOUGHT ZAR/SOLD USD
000000000
1.000000
NC
1635620.350000
0.0729348
N/A
DFE
ZA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
17459979.700000
ZAR
331579000.000000
ZAR
2020-07-08
1635620.350000
N
N
N
N/A
N/A
SOLD CHF/BOUGHT USD
000000000
1.000000
NC
-2554777.620000
-0.1139214
N/A
DFE
CH
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
160156648.440000
CHF
166484906.210000
USD
2020-07-02
-2554777.620000
N
N
N
N/A
N/A
SOLD ILS/BOUGHT USD
000000000
1.000000
NC
28099.160000
0.0012530
N/A
DFE
IL
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
12048952.170000
ILS
3513402.000000
USD
2020-09-15
28099.160000
N
N
N
N/A
N/A
SOLD ILS/BOUGHT USD
000000000
1.000000
NC
22180.050000
0.0009890
N/A
DFE
IL
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
14360810.170000
ILS
4176215.340000
USD
2020-09-15
22180.050000
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
1558457.130000
0.0694940
N/A
DFE
JP
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
15958225304.000000
JPY
149414590.180000
USD
2020-08-04
1558457.130000
N
N
N
N/A
N/A
SOLD TWD/BOUGHT USD
000000000
1.000000
NC
-4536.600000
-0.0002023
N/A
DFE
TW
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
242135130.000000
TWD
8315080.000000
USD
2020-09-16
-4536.600000
N
N
N
N/A
N/A
SOLD TWD/BOUGHT USD
000000000
1.000000
NC
-22297.780000
-0.0009943
N/A
DFE
TW
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
243171271.000000
TWD
8332920.000000
USD
2020-09-16
-22297.780000
N
N
N
N/A
N/A
BOUGHT HKD/SOLD USD
000000000
1.000000
NC
609.640000
0.0000272
N/A
DFE
HK
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
1497732.770000
HKD
11618000.000000
HKD
2020-09-16
609.640000
N
N
N
N/A
N/A
BERKSHIRE HATHAWAY INC SNR S* ICE
000000000
1.000000
NC
USD
90218.170000
0.0040230
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
BERKSHIRE HATHAWAY INC
BERKSHIRE HATHAWAY INC SR UNSEC
Y
Single Leg Swap
2023-12-21
86679.790000
USD
0.000000
USD
3100000.000000
USD
3538.380000
N
N
N
N/A
N/A
BOUGHT AUD/SOLD USD
000000000
1.000000
NC
-1256.900000
-0.0000560
N/A
DFE
AU
N
2
BNP Paribas S.A.
N/A
3165366.170000
AUD
4585000.000000
AUD
2020-07-02
-1256.900000
N
N
N
N/A
N/A
BOUGHT AUD/SOLD USD
000000000
1.000000
NC
3044.180000
0.0001357
N/A
DFE
AU
N
2
BNP Paribas S.A.
N/A
1552441.600000
AUD
2254000.000000
AUD
2020-07-02
3044.180000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
-117323.160000
-0.0052316
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
14689112.540000
EUR
12970000.000000
EUR
2020-07-02
-117323.160000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
14728.390000
0.0006568
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
7504854.210000
EUR
6693000.000000
EUR
2020-07-02
14728.390000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
-150590.600000
-0.0067151
N/A
DFE
GB
N
2
BNP Paribas S.A.
N/A
7466240.320000
GBP
5904000.000000
GBP
2020-07-02
-150590.600000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
-5403.620000
-0.0002410
N/A
DFE
GB
N
2
BNP Paribas S.A.
N/A
3482319.800000
GBP
2806000.000000
GBP
2020-07-02
-5403.620000
N
N
N
N/A
N/A
BOUGHT IDR/SOLD USD
000000000
1.000000
NC
-10655.010000
-0.0004751
N/A
DFE
ID
N
2
BNP Paribas S.A.
N/A
291229.330000
IDR
4134728432.000000
IDR
2020-09-16
-10655.010000
N
N
N
N/A
N/A
BOUGHT JPY/SOLD USD
000000000
1.000000
NC
-54945.820000
-0.0024501
N/A
DFE
JP
N
2
BNP Paribas S.A.
N/A
11959553.370000
JPY
1285400000.000000
JPY
2020-07-02
-54945.820000
N
N
N
N/A
N/A
SOLD BRL/BOUGHT USD
000000000
1.000000
NC
281406.260000
0.0125483
N/A
DFE
BR
N
2
BNP Paribas S.A.
N/A
102951896.750000
BRL
19212999.420000
USD
2020-07-02
281406.260000
N
N
N
N/A
N/A
SOLD DKK/BOUGHT USD
000000000
1.000000
NC
-95089.590000
-0.0042402
N/A
DFE
DK
N
2
BNP Paribas S.A.
N/A
27830000.000000
DKK
4100914.930000
USD
2020-07-01
-95089.590000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
-482860.340000
-0.0215315
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
42783000.000000
EUR
47583821.610000
USD
2020-07-02
-482860.340000
N
N
N
N/A
N/A
SOLD RUB/BOUGHT USD
000000000
1.000000
NC
89499.330000
0.0039909
N/A
DFE
RU
N
2
BNP Paribas S.A.
N/A
204720807.000000
RUB
2960575.090000
USD
2020-07-17
89499.330000
N
N
N
N/A
N/A
SOLD TWD/BOUGHT USD
000000000
1.000000
NC
-66535.330000
-0.0029669
N/A
DFE
TW
N
2
BNP Paribas S.A.
N/A
478754545.000000
TWD
16258000.000000
USD
2020-07-15
-66535.330000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
-340839.770000
-0.0151986
N/A
DFE
ZA
N
2
BNP Paribas S.A.
N/A
61754000.000000
ZAR
3215566.650000
USD
2020-07-08
-340839.770000
N
N
N
AMERIQUEST MORTGAGE SEC INC 2004-R10
N/A
AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R10 M2
03072SVS1
2971706.780000
PA
USD
2801142.100000
0.1249071
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
1.3095
N
N
N
N
N
N
AMERIQUEST MTGE SEC INC 2004-R9
N/A
AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R9 M3
03072SUQ6
1000000.000000
PA
USD
977628.600000
0.0435939
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
1.2045
N
N
N
N
N
N
AMERIQUEST MTGE SECURITIES INC 2005-R8
N/A
AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R8 M3
03072SM28
7530451.000000
PA
USD
7321520.900000
0.3264777
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
0.9495
N
N
N
N
N
N
N/A
N/A
3175DM419 CDX.O C 0.625 AUG20 0.625 CALL
000000000
-3900000.000000
NC
USD
-2969.730000
-0.0001324
N/A
DCR
US
N
2
BNP Paribas S.A.
N/A
Call
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
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
-239.730000
N
N
N
N/A
N/A
3175JJ378 SWAPTION SEP20 1.2 PUT
000000000
-4800000.000000
NC
USD
-8451.500000
-0.0003769
N/A
DCR
US
N
2
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
Put
Written
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
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
2020-09-16
XXXX
-1707.500000
N
N
N
N/A
N/A
3175JJ675 CDX.O C 0.55 SEP20 0.55 CALL
000000000
-3600000.000000
NC
USD
-1751.900000
-0.0000781
N/A
DCR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
Call
Written
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
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
768.100000
N
N
N
N/A
N/A
3175JJ691 SWAPTION AUG20 1.1 PUT
000000000
-2900000.000000
NC
USD
-3686.710000
-0.0001644
N/A
DCR
US
N
2
BNP Paribas S.A.
N/A
Put
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
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
83.290000
N
N
N
N/A
N/A
3175JJ717 CDX.O P 1.10 AUG20 1.1 PUT
000000000
-4000000.000000
NC
USD
-5085.120000
-0.0002268
N/A
DCR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
Put
Written
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
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
2634.880000
N
N
N
N/A
N/A
3175JJ725 CDX.O C 0.60 AUG20 0.6 CALL
000000000
-3800000.000000
NC
USD
-1995.270000
-0.0000890
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
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
626.730000
N
N
N
N/A
N/A
3175JJ733 SWAPTION AUG20 0.6 CALL
000000000
-2900000.000000
NC
USD
-1522.700000
-0.0000679
N/A
DCR
US
N
2
BNP Paribas S.A.
N/A
Call
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
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
797.300000
N
N
N
N/A
N/A
3175JJ758 CDX.O C 0.60 AUG20 0.6 CALL
000000000
-4000000.000000
NC
USD
-2100.280000
-0.0000937
N/A
DCR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
Call
Written
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
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
299.720000
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
AMGEN INC SR UNSECURED 11/21 3.875
031162BM1
82857.140000
PA
USD
85974.570000
0.0038337
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
3.875
N
N
N
N
N
N
N/A
N/A
3175JJ782 SWAPTION AUG20 1.15 PUT
000000000
-3100000.000000
NC
USD
-3404.700000
-0.0001518
N/A
DCR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
Put
Written
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
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
3175JJ808 CDX.O P 1.20 AUG20 1.2 PUT
000000000
-3900000.000000
NC
USD
-3734.760000
-0.0001665
N/A
DCR
US
N
2
BNP Paribas S.A.
N/A
Put
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
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
1920.240000
N
N
N
N/A
N/A
3175SH026 CDX.O P 1.10 SEP20 1.1 PUT
000000000
-3600000.000000
NC
USD
-7909.740000
-0.0003527
N/A
DCR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
Put
Written
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
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
-619.740000
N
N
N
N/A
N/A
3175ZZ325 CDX.O P 1.10 AUG20 1.1 PUT
000000000
-3800000.000000
NC
USD
-4830.860000
-0.0002154
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
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
1249.140000
N
N
N
N/A
N/A
3175ZZ804 SWAPTION SEP20 0.55 CALL
000000000
-4800000.000000
NC
USD
-2335.870000
-0.0001042
N/A
DCR
US
N
2
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
Call
Written
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
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
3280.130000
N
N
N
N/A
N/A
BOUGHT AUD/SOLD USD
000000000
1.000000
NC
5545.740000
0.0002473
N/A
DFE
AU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1594106.450000
AUD
2318000.000000
AUD
2020-07-02
5545.740000
N
N
N
N/A
N/A
BOUGHT CHF/SOLD USD
000000000
1.000000
NC
1896.630000
0.0000846
N/A
DFE
CH
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2421450.250000
CHF
2296000.000000
CHF
2020-07-02
1896.630000
N
N
N
N/A
N/A
BOUGHT COP/SOLD USD
000000000
1.000000
NC
-2829.190000
-0.0001262
N/A
DFE
CO
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
64439.630000
COP
231828022.900000
COP
2020-07-17
-2829.190000
N
N
N
N/A
N/A
BOUGHT DKK/SOLD USD
000000000
1.000000
NC
-53565.900000
-0.0023886
N/A
DFE
DK
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
5977622.440000
DKK
39291305.000000
DKK
2020-07-01
-53565.900000
N
N
N
N/A
N/A
BOUGHT DKK/SOLD USD
000000000
1.000000
NC
24028.430000
0.0010715
N/A
DFE
DK
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
7580785.140000
DKK
50438926.000000
DKK
2020-07-01
24028.430000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
-154544.290000
-0.0068914
N/A
DFE
N/A
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
18172106.840000
EUR
16037000.000000
EUR
2020-07-02
-154544.290000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
-24533.730000
-0.0010940
N/A
DFE
GB
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1252482.390000
GBP
991000.000000
GBP
2020-07-02
-24533.730000
N
N
N
N/A
N/A
BOUGHT JPY/SOLD USD
000000000
1.000000
NC
-67037.910000
-0.0029893
N/A
DFE
JP
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
11652127.050000
JPY
1250900000.000000
JPY
2020-07-02
-67037.910000
N
N
N
N/A
N/A
BOUGHT JPY/SOLD USD
000000000
1.000000
NC
-229482.980000
-0.0102330
N/A
DFE
JP
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
25685375.550000
JPY
2748600000.000000
JPY
2020-07-02
-229482.980000
N
N
N
N/A
N/A
SOLD DKK/BOUGHT USD
000000000
1.000000
NC
-2034566.640000
-0.0907244
N/A
DFE
DK
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
380000000.000000
DKK
55259063.210000
USD
2020-07-01
-2034566.640000
N
N
N
N/A
N/A
SOLD DKK/BOUGHT USD
000000000
1.000000
NC
54604.680000
0.0024349
N/A
DFE
DK
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
39291305.000000
DKK
5990431.150000
USD
2020-10-01
54604.680000
N
N
N
N/A
N/A
SOLD DKK/BOUGHT USD
000000000
1.000000
NC
-23398.950000
-0.0010434
N/A
DFE
DK
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
50438926.000000
DKK
7596523.880000
USD
2020-10-01
-23398.950000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
-2853839.060000
-0.1272570
N/A
DFE
N/A
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
231350468.970000
EUR
257068312.500000
USD
2020-07-02
-2853839.060000
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
146460.530000
0.0065309
N/A
DFE
JP
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
5622000000.000000
JPY
52214068.770000
USD
2020-07-02
146460.530000
N
N
N
N/A
N/A
SOLD KRW/BOUGHT USD
000000000
1.000000
NC
-4232.990000
-0.0001888
N/A
DFE
KR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
189986276.000000
KRW
154209.640000
USD
2020-09-16
-4232.990000
N
N
N
N/A
N/A
SOLD SEK/BOUGHT USD
000000000
1.000000
NC
-22898.360000
-0.0010211
N/A
DFE
SE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
21915000.000000
SEK
2328950.710000
USD
2020-07-02
-22898.360000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
-1967795.110000
-0.0877469
N/A
DFE
ZA
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
482416000.000000
ZAR
25814492.050000
USD
2020-07-08
-1967795.110000
N
N
N
N/A
N/A
SOLD HKD/BOUGHT USD
000000000
1.000000
NC
-46610.680000
-0.0020784
N/A
DFE
HK
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
623370738.720000
HKD
80347847.330000
USD
2020-09-16
-46610.680000
N
N
N
N/A
N/A
BOUGHT BRL/SOLD USD
000000000
1.000000
NC
-585354.090000
-0.0261018
N/A
DFE
BR
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
19516947.250000
BRL
102951896.750000
BRL
2020-07-02
-585354.090000
N
N
N
N/A
N/A
SOLD BRL/BOUGHT USD
000000000
1.000000
NC
595826.600000
0.0265688
N/A
DFE
BR
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
102951896.750000
BRL
19496249.810000
USD
2020-08-04
595826.600000
N
N
N
N/A
N/A
EURO-BUND FUTURE SEP20 XEUR 20200908
000000000
-19.000000
NC
-32133.870000
-0.0014329
N/A
DIR
DE
N
1
Eurex
N/A
Short
N/A
GERMANY GOVT
2020-09-08
-3768082.730000
EUR
-32133.870000
N
N
N
N/A
N/A
BOUGHT CAD/SOLD USD
000000000
1.000000
NC
-104810.170000
-0.0046736
N/A
DFE
CA
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
27994468.390000
CAD
37863000.000000
CAD
2020-07-02
-104810.170000
N
N
N
N/A
N/A
BOUGHT CHF/SOLD USD
000000000
1.000000
NC
5887.450000
0.0002625
N/A
DFE
CH
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
3749455.840000
CHF
3558000.000000
CHF
2020-07-02
5887.450000
N
N
N
N/A
N/A
BOUGHT CHF/SOLD USD
000000000
1.000000
NC
9077.570000
0.0004048
N/A
DFE
CH
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
2443822.320000
CHF
2324000.000000
CHF
2020-07-02
9077.570000
N
N
N
N/A
N/A
BOUGHT DKK/SOLD USD
000000000
1.000000
NC
110871.570000
0.0049439
N/A
DFE
DK
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
4070055.680000
DKK
27730000.000000
DKK
2020-07-01
110871.570000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
-185490.370000
-0.0082713
N/A
DFE
GB
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
11747537.710000
GBP
9331000.000000
GBP
2020-07-02
-185490.370000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
-173083.100000
-0.0077180
N/A
DFE
GB
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
8442840.250000
GBP
6674000.000000
GBP
2020-07-02
-173083.100000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
-39464.680000
-0.0017598
N/A
DFE
GB
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
4868239.570000
GBP
3897000.000000
GBP
2020-07-02
-39464.680000
N
N
N
N/A
N/A
BOUGHT HKD/SOLD USD
000000000
1.000000
NC
353.610000
0.0000158
N/A
DFE
HK
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
1877797.580000
HKD
14563000.000000
HKD
2020-09-16
353.610000
N
N
N
N/A
N/A
BOUGHT MXN/SOLD USD
000000000
1.000000
NC
347071.840000
0.0154765
N/A
DFE
MX
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
4274921.260000
MXN
106546000.000000
MXN
2020-07-24
347071.840000
N
N
N
N/A
N/A
BOUGHT NZD/SOLD USD
000000000
1.000000
NC
16121.800000
0.0007189
N/A
DFE
NZ
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
1891384.780000
NZD
2956000.000000
NZD
2020-07-02
16121.800000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
46330.590000
0.0020660
N/A
DFE
RU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
824054.690000
RUB
62062443.000000
RUB
2020-07-17
46330.590000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
67703.010000
0.0030190
N/A
DFE
RU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
738105.850000
RUB
57457850.000000
RUB
2020-07-17
67703.010000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
27434.910000
0.0012234
N/A
DFE
RU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
405468.680000
RUB
30868002.000000
RUB
2020-07-17
27434.910000
N
N
N
N/A
N/A
SOLD DKK/BOUGHT USD
000000000
1.000000
NC
-16505.670000
-0.0007360
N/A
DFE
DK
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
19840000.000000
DKK
2974824.900000
USD
2020-07-01
-16505.670000
N
N
N
N/A
N/A
SOLD TWD/BOUGHT USD
000000000
1.000000
NC
-432.140000
-0.0000193
N/A
DFE
TW
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
3092040.000000
TWD
105000.000000
USD
2020-07-15
-432.140000
N
N
N
N/A
N/A
BOUGHT AUD/SOLD USD
000000000
1.000000
NC
2740.710000
0.0001222
N/A
DFE
AU
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
2961929.610000
AUD
4296000.000000
AUD
2020-07-02
2740.710000
N
N
N
N/A
N/A
BOUGHT CAD/SOLD USD
000000000
1.000000
NC
19724.900000
0.0008796
N/A
DFE
CA
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
2197482.670000
CAD
3010081.000000
CAD
2020-07-02
19724.900000
N
N
N
N/A
N/A
BOUGHT CAD/SOLD USD
000000000
1.000000
NC
5659.010000
0.0002523
N/A
DFE
CA
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
1047670.390000
CAD
1430000.000000
CAD
2020-07-02
5659.010000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
-17176.270000
-0.0007659
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
11992558.150000
EUR
10659000.000000
EUR
2020-07-02
-17176.270000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
2750.400000
0.0001226
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
7379765.250000
EUR
6571000.000000
EUR
2020-07-02
2750.400000
N
N
N
N/A
N/A
BOUGHT TWD/SOLD USD
000000000
1.000000
NC
118302.440000
0.0052753
N/A
DFE
TW
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
16311665.030000
TWD
481846585.000000
TWD
2020-07-15
118302.440000
N
N
N
N/A
N/A
BOUGHT ZAR/SOLD USD
000000000
1.000000
NC
461668.010000
0.0205865
N/A
DFE
ZA
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
7369203.000000
ZAR
135976474.800000
ZAR
2020-07-08
461668.010000
N
N
N
N/A
N/A
SOLD AUD/BOUGHT USD
000000000
1.000000
NC
-235464.480000
-0.0104997
N/A
DFE
AU
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
14707000.000000
AUD
9913838.690000
USD
2020-07-02
-235464.480000
N
N
N
N/A
N/A
SOLD BRL/BOUGHT USD
000000000
1.000000
NC
-85700.570000
-0.0038215
N/A
DFE
BR
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
3010000.000000
BRL
464040.700000
USD
2021-01-05
-85700.570000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
13971.100000
0.0006230
N/A
DFE
CA
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
4213000.000000
CAD
3117241.580000
USD
2020-07-02
13971.100000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
79335.760000
0.0035377
N/A
DFE
CA
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
33355000.000000
CAD
24648428.280000
USD
2020-07-02
79335.760000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
-19712.320000
-0.0008790
N/A
DFE
CA
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
3010081.000000
CAD
2197691.250000
USD
2020-08-04
-19712.320000
N
N
N
N/A
N/A
SOLD CNY/BOUGHT USD
000000000
1.000000
NC
-39755.660000
-0.0017728
N/A
DFE
CN
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
28779978.000000
CNY
4015624.110000
USD
2020-09-16
-39755.660000
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
10556.880000
0.0004707
N/A
DFE
GB
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
18116000.000000
GBP
22458102.660000
USD
2020-07-02
10556.880000
N
N
N
N/A
N/A
SOLD NOK/BOUGHT USD
000000000
1.000000
NC
-196973.970000
-0.0087834
N/A
DFE
NO
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
153166133.980000
NOK
15715977.280000
USD
2020-07-02
-196973.970000
N
N
N
N/A
N/A
SOLD NZD/BOUGHT USD
000000000
1.000000
NC
-234876.180000
-0.0104735
N/A
DFE
NZ
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
9337333.000000
NZD
5790504.110000
USD
2020-07-02
-234876.180000
N
N
N
N/A
N/A
SOLD NZD/BOUGHT USD
000000000
1.000000
NC
-102064.920000
-0.0045512
N/A
DFE
NZ
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
4669000.000000
NZD
2910840.430000
USD
2020-07-02
-102064.920000
N
N
N
N/A
N/A
SOLD TWD/BOUGHT USD
000000000
1.000000
NC
-127502.210000
-0.0056855
N/A
DFE
TW
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
481846585.000000
TWD
16428454.990000
USD
2020-09-16
-127502.210000
N
N
N
N/A
N/A
31754D4F8 ITRAXX.O P 2.50 EU32 JAN21 2.5 PUT
000000000
-2700000.000000
NC
-2731.140000
-0.0001218
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
-627.950000
N
N
N
N/A
N/A
3175429S9 ITRAXX.O P 1.1 SEP20 1.1 PUT
000000000
-2900000.000000
NC
-4604.640000
-0.0002053
N/A
DCR
DE
N
2
BNP Paribas S.A.
N/A
Put
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
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
1107.780000
N
N
N
N/A
N/A
3175529F6 ITRAXX.O C 0.475 SEP20 0.475 CALL
000000000
-2900000.000000
NC
-1291.500000
-0.0000576
N/A
DCR
DE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
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
3175575A0 ITRAXX.O P 1.20 OCT20 1.2 PUT
000000000
-3100000.000000
NC
-6651.890000
-0.0002966
N/A
DCR
DE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
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
1185.570000
N
N
N
N/A
N/A
3175579A6 ITRAXX.O C 0.5 SEP20 0.5 CALL
000000000
-2900000.000000
NC
-1952.800000
-0.0000871
N/A
DCR
DE
N
2
BNP Paribas S.A.
N/A
Call
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
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
-157.470000
N
N
N
N/A
N/A
3175589V8 ITRAXX.O P 1.20 OCT20 1.2 PUT
000000000
-3800000.000000
NC
-8153.930000
-0.0003636
N/A
DCR
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
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
1232.260000
N
N
N
N/A
N/A
3175599L8 ITRAXX.O C 0.50 SEP20 0.5 CALL
000000000
-2900000.000000
NC
-1952.800000
-0.0000871
N/A
DCR
DE
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
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
318.060000
N
N
N
N/A
N/A
3175599Q7 ITRAXX.O C 0.50 OCT20 0.5 CALL
000000000
-3800000.000000
NC
-3954.990000
-0.0001764
N/A
DCR
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Call
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
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
-541.830000
N
N
N
N/A
N/A
3175599W4 ITRAXX.O P SEP20 1.10 PUT
000000000
-2900000.000000
NC
-4604.640000
-0.0002053
N/A
DCR
DE
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
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
585.890000
N
N
N
N/A
N/A
3175699A1 SWAPTION SEP20 1 PUT
000000000
-2900000.000000
NC
-5981.990000
-0.0002667
N/A
DCR
DE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
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
3175ZY161 ITRAXX.O C 0.50 OCT20 0.5 CALL
000000000
-3100000.000000
NC
-3226.440000
-0.0001439
N/A
DCR
DE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
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
-613.950000
N
N
N
N/A
N/A
CDX ITRAXX MAIN33 5Y ICE
000000000
1.000000
NC
776386.460000
0.0346202
N/A
DCR
N/A
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
ITRAXX EUROPE SERIES 33
Y
Single Leg Swap
2025-06-21
719146.960000
EUR
0.000000
EUR
40900000.000000
EUR
57239.500000
N
N
N
N/A
N/A
BOUGHT DKK/SOLD USD
000000000
1.000000
NC
-28116.280000
-0.0012537
N/A
DFE
DK
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
6294195.590000
DKK
41559771.000000
DKK
2020-07-01
-28116.280000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
-17775.260000
-0.0007926
N/A
DFE
N/A
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
3062459.080000
EUR
2710000.000000
EUR
2020-07-02
-17775.260000
N
N
N
N/A
N/A
SOLD CHF/BOUGHT USD
000000000
1.000000
NC
-1064395.520000
-0.0474630
N/A
DFE
CH
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
68153478.740000
CHF
70869193.310000
USD
2020-07-02
-1064395.520000
N
N
N
ARGENT SECURITIES INC 2005-W1
N/A
ARGENT SECURITIES INC. ARSI 2005 W1 A1
040104MX6
3196460.490000
PA
USD
2838068.860000
0.1265538
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
0.6645
N
N
N
N
N
N
N/A
N/A
SOLD DKK/BOUGHT USD
000000000
1.000000
NC
-9687.060000
-0.0004320
N/A
DFE
DK
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4795000.000000
DKK
713268.090000
USD
2020-07-01
-9687.060000
N
N
N
N/A
N/A
SOLD DKK/BOUGHT USD
000000000
1.000000
NC
-2729.790000
-0.0001217
N/A
DFE
DK
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
10720000.000000
DKK
1613553.660000
USD
2020-07-01
-2729.790000
N
N
N
N/A
N/A
SOLD DKK/BOUGHT USD
000000000
1.000000
NC
29205.650000
0.0013023
N/A
DFE
DK
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
41559771.000000
DKK
6307734.410000
USD
2020-10-01
29205.650000
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
-2988700.930000
-0.1332707
N/A
DFE
GB
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
324387669.830000
GBP
398960242.960000
USD
2020-07-02
-2988700.930000
N
N
N
N/A
N/A
SOLD SEK/BOUGHT USD
000000000
1.000000
NC
-1077685.300000
-0.0480556
N/A
DFE
SE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
634782886.180000
SEK
67045223.220000
USD
2020-07-02
-1077685.300000
N
N
N
N/A
N/A
KRAFT HEINZ FOODS CO (AKA: HJ SNR S* ICE
000000000
1.000000
NC
USD
-2608.960000
-0.0001163
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO)
HEINZ (H.J.) CO DEB
Y
Single Leg Swap
2020-09-21
0.000000
USD
-11988.330000
USD
1500000.000000
USD
9379.370000
N
N
N
2020-08-04
PIMCO Funds
/s/ Jason Nagler
Jason Nagler
Assistant Treasurer
XXXX