NPORT-P false 0000810893 XXXXXXXX S000009706 C000026642 C000031215 C000064154 C000200451 C000031217 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO StocksPLUS Short Fund S000009706 P42MUQ6KRRELZQZE1595 2021-03-31 2020-06-30 N 1595928272.970000 772316273.380000 823611999.590000 0.000000 0.000000 210061917.860000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 JPY USD EUR GBP ARS CAD N N/A N/A 000000000 1.000000 NC 31570.810000 0.0038332 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5102445.100000 CAD 6969940.000000 CAD 2020-07-02 31570.810000 N N N N/A N/A 000000000 1.000000 NC 56599.410000 0.0068721 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1599972.890000 EUR 1473000.000000 EUR 2020-08-17 56599.410000 N N N N/A N/A 000000000 1.000000 NC -115304.490000 -0.0139999 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 12388061.960000 JPY 1325150988.000000 JPY 2020-07-02 -115304.490000 N N N N/A N/A 000000000 1.000000 NC -31554.300000 -0.0038312 N/A DFE SG N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6664003.280000 SGD 9241000.000000 SGD 2020-09-16 -31554.300000 N N N N/A N/A 000000000 1.000000 NC -31539.020000 -0.0038294 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6969940.000000 CAD 5102930.730000 USD 2020-08-04 -31539.020000 N N N N/A N/A 000000000 1.000000 NC 115545.900000 0.0140292 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1325150988.000000 JPY 12393333.500000 USD 2020-08-04 115545.900000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI17Y2N9 2892000.000000 PA 42794.950000 0.0051960 Long DBT NUSS AR N 2 2020-10-29 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -12318.200000 -0.0014956 N/A DFE SG N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 5006212.800000 SGD 6958000.000000 SGD 2020-09-16 -12318.200000 N N N N/A N/A 000000000 -988.000000 NC USD -3735909.220000 -0.4536006 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short S&P 500 INDEX N/A N/A 2020-09-18 -152655880.000000 USD -3735909.220000 N N N N/A N/A 000000000 1.000000 NC USD 6044766.550000 0.7339338 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 S&P 500 INDEX N/A N/A Y 2021-01-13 0.000000 USD 0.000000 USD 312999405.920000 USD 6044766.550000 N N N N/A N/A 000000000 1.000000 NC USD -20424405.800000 -2.4798577 N/A DE US N 2 UBS Asset Management Holding Ltd 549300MOMNGW0OI5CD23 S&P 500 INDEX N/A N/A Y 2021-02-10 0.000000 USD 0.000000 USD 200622254.720000 USD -20424405.800000 N N N N/A N/A 000000000 1.000000 NC USD -15817793.830000 -1.9205395 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 S&P 500 INDEX N/A N/A Y 2021-06-09 0.000000 USD 0.000000 USD 155392941.120000 USD -15817793.830000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1M4K08 14630000.000000 PA 137449.090000 0.0166886 Long DBT NUSS AR N 2 2020-07-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 73377.430000 0.0089092 N/A DFE ZA N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1069783.000000 ZAR 19850017.300000 ZAR 2020-07-08 73377.430000 N N N N/A N/A 000000000 1.000000 NC 93361.710000 0.0113356 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1037600000.000000 JPY 9702993.570000 USD 2020-07-02 93361.710000 N N N N/A N/A 000000000 1.000000 NC -150529.870000 -0.0182768 N/A DFE BR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 4655482.260000 BRL 27598955.840000 BRL 2020-07-02 -150529.870000 N N N N/A N/A 000000000 1.000000 NC -117852.260000 -0.0143092 N/A DFE BR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 4628227.860000 BRL 27598955.840000 BRL 2020-08-04 -117852.260000 N N N N/A N/A 000000000 1.000000 NC -8118.360000 -0.0009857 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 27598955.840000 EUR 4636562.230000 EUR 2020-07-02 -8118.360000 N N N N/A N/A 000000000 1.000000 NC 142183.980000 0.0172635 N/A DFE BR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 27598955.840000 BRL 4636562.230000 EUR 2020-07-02 142183.980000 N N N N/A N/A 000000000 1.000000 NC -4792.400000 -0.0005819 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 4655482.260000 EUR 27598955.840000 BRL 2020-07-02 -4792.400000 N N N N/A N/A 000000000 1.000000 NC -18929.730000 -0.0022984 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 4628227.860000 EUR 27598955.840000 BRL 2020-08-04 -18929.730000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1JDTT0 25105000.000000 PA 273085.500000 0.0331571 Long DBT NUSS AR N 2 2020-08-28 Floating 30.3128 N N N N N N N/A N/A 000000000 237300000.000000 NC USD 5520879.420000 0.6703253 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.03600 07/21/21-3Y LCH N/A N/A 2024-07-21 0.000000 USD 0.000000 USD N/A USD N/A 1.040000 USD 2021-07-19 XXXX 4648801.920000 N N N N/A N/A 000000000 -75900000.000000 NC USD -5820550.890000 -0.7067103 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.45300 07/21/21-10Y LCH N/A N/A 2031-07-21 0.000000 USD 0.000000 USD N/A USD N/A 1.450000 USD 2021-07-19 XXXX -4972012.610000 N N N N/A N/A 000000000 520500000.000000 NC USD 11879423.550000 1.4423568 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.02300 08/04/21-3Y LCH N/A N/A 2024-08-04 0.000000 USD 0.000000 USD N/A USD N/A 1.020000 USD 2021-08-02 XXXX 9832360.100000 N N N N/A N/A 000000000 -166600000.000000 NC USD -13358771.020000 -1.6219738 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.49440 08/04/21-10Y LCH N/A N/A 2031-08-04 0.000000 USD 0.000000 USD N/A USD N/A 1.490000 USD 2021-08-02 XXXX -11311285.980000 N N N N/A N/A 000000000 172800000.000000 NC USD 14320506.240000 1.7387442 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.05000 03/15/21-5Y CME N/A N/A 2026-03-15 0.000000 USD 0.000000 USD N/A USD N/A 2.050000 USD 2021-03-11 XXXX 12938106.240000 N N N N/A N/A 000000000 -91200000.000000 NC USD -14591972.640000 -1.7717047 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.32250 03/15/21-10Y CME N/A N/A 2031-03-15 0.000000 USD 0.000000 USD N/A USD N/A 2.320000 USD 2021-03-11 XXXX -13210154.460000 N N N N/A N/A 000000000 172300000.000000 NC USD 12125664.190000 1.4722544 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.80000 03/16/21-5Y CME N/A N/A 2026-03-16 0.000000 USD 0.000000 USD N/A USD N/A 1.800000 USD 2021-03-12 XXXX 11114859.990000 N N N N/A N/A 000000000 -91000000.000000 NC USD -12526841.600000 -1.5209639 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.09400 03/16/21-10Y CME N/A N/A 2031-03-16 0.000000 USD 0.000000 USD N/A USD N/A 2.090000 USD 2021-03-12 XXXX -11515543.210000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1N6NC3 11200000.000000 PA 101621.270000 0.0123385 Long DBT NUSS AR N 2 2020-09-11 None 0 N N N N N N N/A N/A 000000000 460900000.000000 NC 1607212.660000 0.1951420 N/A DIR DE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R -0.35000 11/03/21-2Y LCH 2023-11-03 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.350000 EUR 2021-11-01 XXXX 472517.170000 N N N N/A N/A 000000000 -61400000.000000 NC -1449412.950000 -0.1759825 N/A DIR DE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R -0.16400 11/03/21-10Y LCH 2031-11-03 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.160000 EUR 2021-11-01 XXXX -667662.290000 N N N N/A N/A 000000000 -29800000.000000 NC -772510.750000 -0.0937955 N/A DIR DE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R -0.12200 11/03/21-10Y LCH 2031-11-03 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.120000 EUR 2021-11-01 XXXX -418409.770000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1J9WH1 21300000.000000 PA 232106.630000 0.0281816 Long DBT NUSS AR N 2 2020-09-18 Floating 32.7301 N N N N N N N/A N/A 000000000 1.000000 NC -579019.310000 -0.0703024 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 -168160.140000 EUR 3700000.000000 EUR -410859.170000 N N N N/A N/A 000000000 1.000000 NC 1372540.150000 0.1666489 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 280957.110000 EUR 0.000000 EUR 3700000.000000 EUR 1091583.040000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 5009000.000000 PA 43209.320000 0.0052463 Long DBT NUSS AR N 2 2022-04-03 Floating 26.415 N N N N N N N/A N/A 000000000 1.000000 NC 60312.440000 0.0073229 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 3100000.000000 GBP 60312.440000 N N N N/A N/A 000000000 1.000000 NC 252206.910000 0.0306221 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-01-15 8311.050000 GBP 0.000000 GBP 7100000.000000 GBP 243895.860000 N N N N/A N/A 000000000 1.000000 NC 209897.730000 0.0254850 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-09-15 4530.160000 GBP 0.000000 GBP 3400000.000000 GBP 205367.570000 N N N N/A N/A 000000000 1.000000 NC 343780.100000 0.0417405 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 78905.540000 GBP 0.000000 GBP 4300000.000000 GBP 264874.560000 N N N N/A N/A 000000000 1.000000 NC 1157363.720000 0.1405229 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 248870.380000 GBP 0.000000 GBP 14400000.000000 GBP 908493.340000 N N N N/A N/A 000000000 1.000000 NC 359606.180000 0.0436621 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 88171.420000 GBP 0.000000 GBP 4400000.000000 GBP 271434.760000 N N N N/A N/A 000000000 1.000000 NC 2438484.790000 0.2960720 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 -461309.370000 CAD 76100000.000000 CAD 2899794.160000 N N N N/A N/A 000000000 1.000000 NC 946702.920000 0.1149453 N/A DIR CA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 55645.080000 CAD 0.000000 CAD 3800000.000000 CAD 891057.840000 N N N N/A N/A 000000000 1.000000 NC 1943232.290000 0.2359403 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 100782.540000 CAD 0.000000 CAD 7800000.000000 CAD 1842449.750000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HQ6 2731000.000000 PA USD 1104853.360000 0.1341473 Long DBT NUSS AR N 2 2028-01-11 Fixed 5.875 N N N N N N N/A N/A 000000000 1.000000 NC 949418.800000 0.1152750 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 13000000.000000 GBP 949418.800000 N N N N/A N/A 000000000 1.000000 NC 5015596.380000 0.6089756 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2055-01-20 490277.070000 GBP 0.000000 GBP 63800000.000000 GBP 4525319.310000 N N N N/A N/A 000000000 1.000000 NC -761313.210000 -0.0924359 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 10900000.000000 GBP -761313.210000 N N N N/A N/A 000000000 1.000000 NC -4484964.130000 -0.5445482 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 -401238.570000 GBP 59000000.000000 GBP -4083725.560000 N N N N/A N/A 000000000 1.000000 NC -1229623.840000 -0.1492965 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2028-06-19 0.000000 JPY -1412959.800000 JPY 4400000000.000000 JPY 183335.960000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114GK0 5643000.000000 PA USD 2239114.190000 0.2718652 Long DBT NUSS AR N 2 2038-12-31 Variable 3.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -1022644.330000 -0.1241658 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-06-17 0.000000 USD -768512.340000 USD 66000000.000000 USD -254131.990000 N N N N/A N/A 000000000 1.000000 NC USD 6183818.810000 0.7508170 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 2636586.510000 USD 0.000000 USD 102200000.000000 USD 3547232.300000 N N N N/A N/A 000000000 1.000000 NC USD 10351373.850000 1.2568265 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 7435961.120000 USD 0.000000 USD 170800000.000000 USD 2915412.730000 N N N N/A N/A 000000000 1.000000 NC USD -16380122.800000 -1.9888155 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 -9687993.250000 USD 354000000.000000 USD -6692129.550000 N N N N/A N/A 000000000 1.000000 NC USD -15523059.990000 -1.8847540 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-17 0.000000 USD -10867073.050000 USD 335300000.000000 USD -4655986.940000 N N N N/A N/A 000000000 1.000000 NC USD 7637716.700000 0.9273440 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-06-17 3026654.870000 USD 0.000000 USD 139400000.000000 USD 4611061.830000 N N N N/A N/A 000000000 1.000000 NC USD -5305223.850000 -0.6441412 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-01-07 0.000000 USD -156399.760000 USD 53400000.000000 USD -5148824.090000 N N N N/A N/A 000000000 1.000000 NC USD -2298693.680000 -0.2790991 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-20 639949.230000 USD 0.000000 USD 16800000.000000 USD -2938642.910000 N N N N/A N/A 000000000 1.000000 NC USD -358495.590000 -0.0435272 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2048-05-26 78719.800000 USD 0.000000 USD 900000.000000 USD -437215.390000 N N N N/A N/A 000000000 1.000000 NC USD 7184821.050000 0.8723551 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-12-15 0.000000 USD -189872.800000 USD 159500000.000000 USD 7374693.850000 N N N N/A N/A 000000000 1.000000 NC USD -597328.820000 -0.0725255 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 66936.020000 USD 0.000000 USD 4000000.000000 USD -664264.840000 N N N N/A N/A 000000000 1.000000 NC 14665.910000 0.0017807 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 2765339.980000 CAD 3774136.000000 CAD 2020-07-02 14665.910000 N N N N/A N/A 000000000 1.000000 NC -75396.930000 -0.0091544 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 8020674.210000 JPY 857891314.000000 JPY 2020-07-02 -75396.930000 N N N N/A N/A 000000000 1.000000 NC -14658.370000 -0.0017798 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 3774136.000000 CAD 2765593.270000 USD 2020-08-04 -14658.370000 N N N N/A N/A 000000000 1.000000 NC 86618.780000 0.0105169 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 3125865544.000000 JPY 29036519.630000 USD 2020-07-02 86618.780000 N N N N/A N/A 000000000 1.000000 NC 75493.820000 0.0091662 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 857891314.000000 JPY 8024027.560000 USD 2020-08-04 75493.820000 N N N N/A N/A 000000000 1.000000 NC -6880.630000 -0.0008354 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 1186612.020000 EUR 1049000.000000 EUR 2020-08-17 -6880.630000 N N N N/A N/A 000000000 1.000000 NC -85822.860000 -0.0104203 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 8612996.660000 JPY 920721591.000000 JPY 2020-07-02 -85822.860000 N N N N/A N/A 000000000 1.000000 NC 22422.920000 0.0027225 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 241600000.000000 JPY 2259977.910000 USD 2020-07-02 22422.920000 N N N N/A N/A 000000000 1.000000 NC 85995.450000 0.0104413 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 920721591.000000 JPY 8616664.210000 USD 2020-08-04 85995.450000 N N N N/A N/A 000000000 -600000.000000 NC USD -579.240000 -0.0000703 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 1858.260000 N N N N/A N/A 000000000 -400000.000000 NC USD -404.520000 -0.0000491 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 1157.980000 N N N N/A N/A 000000000 -600000.000000 NC USD -592.800000 -0.0000720 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 1750.950000 N N N ASSET BACKED SEC CORP HM EQ 2005-HE6 N/A 04541GTN2 1438000.000000 PA USD 1421379.020000 0.1725787 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.12825 N N N N N N N/A N/A 000000000 -400000.000000 NC USD -404.520000 -0.0000491 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 1157.980000 N N N N/A N/A 000000000 -800000.000000 NC USD -1044.880000 -0.0001269 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 3205.120000 N N N N/A N/A 000000000 -600000.000000 NC USD -587.340000 -0.0000713 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 1943.910000 N N N N/A N/A 000000000 -1800000.000000 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 8367.170000 N N N N/A N/A 000000000 -1100000.000000 NC USD -0.010000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% JUL 30YR N/A 102.530000 USD 2020-07-07 XXXX 3867.180000 N N N N/A N/A 000000000 -1500000.000000 NC USD -510.600000 -0.0000620 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 9215.960000 N N N N/A N/A 000000000 -1500000.000000 NC USD -548.550000 -0.0000666 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 9178.010000 N N N N/A N/A 000000000 -3000000.000000 NC USD -1374.000000 -0.0001668 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 20188.500000 N N N N/A N/A 000000000 -1500000.000000 NC USD -596.550000 -0.0000724 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 9247.200000 N N N N/A N/A 000000000 -600000.000000 NC USD -143.040000 -0.0000174 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 3981.960000 N N N N/A N/A 000000000 -1300000.000000 NC USD -330.720000 -0.0000402 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 8606.780000 N N N N/A N/A 000000000 -52.000000 NC 6725.690000 0.0008166 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2020-09-28 -8868589.670000 GBP 6725.690000 N N N N/A N/A 000000000 -603.000000 NC USD -246538.540000 -0.0299338 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-09-21 -83920640.630000 USD -246538.540000 N N N N/A N/A 000000000 -1751.000000 NC USD -89839.040000 -0.0109079 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-09-30 -386670048.630000 USD -89839.040000 N N N N/A N/A 000000000 -1890.000000 NC USD -531754.020000 -0.0645637 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-09-30 -237652735.320000 USD -531754.020000 N N N N/A N/A 000000000 -1315.000000 NC USD -641096.060000 -0.0778396 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-09-21 -234809687.500000 USD -641096.060000 N N N N/A N/A 000000000 143.000000 NC USD -131914.030000 -0.0160165 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-09-21 31196343.750000 USD -131914.030000 N N N AT&T INC 549300Z40J86GGSTL398 00206RFZ0 4816000.000000 PA USD 4840836.060000 0.5877569 Long DBT CORP US N 2 2021-06-01 Floating 1.1 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RGD8 3019000.000000 PA USD 3026135.130000 0.3674224 Long DBT CORP US N 2 2024-06-12 Floating 1.49838 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RDV1 3163000.000000 PA USD 3189271.120000 0.3872298 Long DBT CORP US N 2 2021-07-15 Floating 2.16888 N N N N N N BANC OF AMERICA FUNDING CORP 2004-D N/A 05946XMY6 4311.630000 PA USD 4260.300000 0.0005173 Long ABS-MBS CORP US N 2 2034-06-25 Floating 3.53984 N N N N N N BANC OF AMERICA FUNDING CORP 2005-D N/A 06051GDM8 2600.680000 PA USD 2572.760000 0.0003124 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.0123 N N N N N N BANCO DEL ESTADO DE CHILE 5493004R4EJC0W0XVQ72 P1027DEN7 8769000.000000 PA USD 8819114.840000 1.0707851 Long DBT CORP CL N 2 2020-10-07 Fixed 4.125 N N N N N N BANK OF AMERICA MTGE SEC 2003-D N/A 05948XBV2 7957.900000 PA USD 7820.830000 0.0009496 Long ABS-MBS CORP US N 2 2033-05-25 Floating 4.29245 N N N N N N BANK OF AMERICA MTGE SEC 2005-F N/A 05949CCA2 335951.740000 PA USD 321052.410000 0.0389810 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.88546 Y N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06739FFU0 11141000.000000 PA USD 12049926.680000 1.4630587 Long DBT CORP GB N 2 2021-06-12 Fixed 10.179 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI07CRC6 500000.000000 PA 564825.360000 0.0685791 Long DBT CORP GB N 2 2020-12-15 Floating 8 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI1CH093 500000.000000 PA 614284.100000 0.0745842 Long DBT CORP GB N 2 2025-06-15 Floating 7.125 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBC8 3019000.000000 PA USD 2992511.510000 0.3633400 Long DBT CORP GB N 2 2024-05-16 Floating 1.76563 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAZ8 72000.000000 PA USD 77194.020000 0.0093726 Long DBT CORP US N 2 2024-08-15 Fixed 3.222 N N N N N N BAT INTERNATIONAL FINANCE PLC 21380041YBGOQDFAC823 05530QAK6 647000.000000 PA USD 714060.830000 0.0866987 Long DBT CORP GB N 2 2025-06-15 Fixed 3.95 N N N N N N BAY AREA TOLL AUTHORITY 5493001FUZGUQMIP5D78 072024PY2 505000.000000 PA USD 909474.700000 0.1104251 Long DBT MUN US N 2 2050-10-01 Fixed 6.907 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 5675.600000 PA USD 5423.660000 0.0006585 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.3321 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZQ8 20.920000 PA USD 19.410000 0.0000024 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-11 N/A 07387AFG5 9054.740000 PA USD 9040.460000 0.0010977 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.16069 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSP7 251816.890000 PA USD 251807.300000 0.0305735 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.60825 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 554613.150000 PA USD 435620.730000 0.0528915 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.73613 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-8 N/A 07386HWZ0 1293637.010000 PA USD 1190580.320000 0.1445560 Long ABS-MBS CORP US N 2 2035-10-25 Variable 3.71533 Y N N N N N BEAR STEARNS ARM TR 2004-8 N/A 07384M2E1 29584.400000 PA USD 28312.860000 0.0034376 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.93635 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE5 N/A 073859AC4 4918687.530000 PA USD 4851485.960000 0.5890499 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.4245 N N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE7 N/A 07388HAP4 1613037.450000 PA USD 1967006.900000 0.2388269 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.3445 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 105756CB4 2809000.000000 PA USD 2646429.130000 0.3213199 Long DBT NUSS BR N 2 2050-01-14 Fixed 4.75 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -10600000.000000 PA -11208365.590000 -1.3608793 Short DBT NUSS CA N 2 2048-12-01 Fixed 2.75 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC 549300TPZNMN50BJ3745 16117LBX6 1632857.280000 PA USD 1573893.170000 0.1910964 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 161175BB9 575000.000000 PA USD 613276.640000 0.0744618 Long DBT CORP US N 2 2022-07-23 Fixed 4.464 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175AY0 1150000.000000 PA USD 1319600.090000 0.1602211 Long DBT CORP US N 2 2025-07-23 Fixed 4.908 N N N N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPB9 336293.000000 PA USD 324933.860000 0.0394523 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.6833 Y N N N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAN2 245090.950000 PA USD 213876.410000 0.0259681 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.05842 Y N N N N N CHASE MORTGAGE FINANCE CORP 2006-S4 N/A 16162YAE5 182094.060000 PA USD 125680.970000 0.0152597 Long ABS-MBS CORP US N 2 2036-12-25 Fixed 6 N N N N N N CHICAGO TRANSIT AUTHORITY 549300CB8XLRGIPN3E12 167725AF7 290000.000000 PA USD 400127.500000 0.0485820 Long DBT MUN US N 2 2040-12-01 Fixed 6.899 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MA6 3091000.000000 PA USD 3084322.670000 0.3744873 Long DBT CORP US N 2 2024-06-01 Floating 1.373 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KY6 647000.000000 PA USD 710139.420000 0.0862226 Long DBT CORP US N 2 2026-10-21 Fixed 3.2 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3 N/A 17307GWU8 2588000.000000 PA USD 2378311.960000 0.2887661 Long ABS-MBS CORP US N 2 2035-09-25 Floating 1.0845 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL2 N/A 17312TAJ2 4095422.500000 PA USD 3146345.600000 0.3820179 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.3845 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 1045351.290000 PA USD 697850.390000 0.0847305 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.3445 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAB1 6773486.220000 PA USD 5428273.890000 0.6590814 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.34825 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 7100.790000 PA USD 7002.730000 0.0008502 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.57 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 4095.840000 PA USD 3984.090000 0.0004837 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.38 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486D22 110000.000000 PA USD 118571.200000 0.0143965 Long DBT MUN US N 2 2042-01-01 Fixed 7.75 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030NCS8 835000.000000 PA USD 957540.660000 0.1162611 Long DBT CORP US N 2 2025-10-15 Fixed 3.95 N N N N N N COOPERATIEVE RABOBANK UA/NEW YORK BRANCH DG3RU1DBUFHT4ZF9WN62 21688AAF9 1509000.000000 PA USD 1527189.940000 0.1854259 Long DBT CORP NL N 2 2021-01-19 Fixed 2.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 138533.040000 PA USD 120203.470000 0.0145947 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.4645 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 1324257.930000 PA USD 1208391.060000 0.1467185 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.3745 Y N N N N N FARM CREDIT BANK OF TEXAS V1EBJIOLRNYDHDF63Z33 30767E307 1100.000000 NS USD 1111000.000000 0.1348936 Long EP USGSE US N 2 N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OC8 N/A 232434AD2 740001.280000 PA USD 754210.780000 0.0915736 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.3545 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1 N/A 02150JAV4 1694574.670000 PA USD 962669.570000 0.1168839 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB N/A 12667GTQ6 4609.300000 PA USD 4185.240000 0.0005082 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-20 N/A 12667HAA9 1392629.690000 PA USD 1342364.530000 0.1629851 Long ABS-MBS CORP US N 2 2047-04-25 Floating 0.3245 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-21 N/A 12667LAD4 959938.390000 PA USD 952259.270000 0.1156199 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.3345 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAD2 563917.930000 PA USD 559932.160000 0.0679849 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.3645 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KK3 1698730.570000 PA USD 1471906.890000 0.1787136 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.4545 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 289890.850000 PA USD 282769.300000 0.0343328 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.81915 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 15544.810000 PA USD 15218.700000 0.0018478 Long ABS-MBS CORP US N 2 2035-02-20 Floating 3.6333 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JY5 4800.660000 PA USD 4063.370000 0.0004934 Long ABS-MBS CORP US N 2 2036-02-20 Floating 3.71138 Y N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AK4 1078000.000000 PA USD 1108394.210000 0.1345772 Long DBT CORP CH N 2 2025-09-12 Floating 7.25 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AC5 250000.000000 PA USD 275904.470000 0.0334993 Long DBT CORP GG N 2 2025-03-26 Fixed 3.75 N N N N N N GENERAL MOTORS COMPANY 54930070NSV60J38I987 370ESC733 24000.000000 NS USD 0.020000 0.0000000 Long EP CORP DE N 3 N N N CSN RESOURCES SA 222100ZEX458NMOXZP08 12644VAB4 250000.000000 PA USD 232812.500000 0.0282673 Long DBT CORP LU N 2 2023-02-13 Fixed 7.625 N N N N N N CVS PASS-THROUGH TRUST N/A 126650BQ2 566092.720000 PA USD 648512.250000 0.0787400 Long DBT CORP US N 2 2030-01-10 Fixed 6.943 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DV3 1330000.000000 PA USD 1314523.080000 0.1596047 Long DBT CORP US N 2 2022-02-15 Floating 1.29238 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR1 N/A 251510LD3 3061291.140000 PA USD 2877613.060000 0.3493894 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.49825 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BS7 4241000.000000 PA USD 4079268.240000 0.4952900 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 251526BX6 5750000.000000 PA USD 5902916.080000 0.7167108 Long DBT CORP DE N 2 2021-10-14 Fixed 4.25 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 1078000.000000 PA USD 1207987.410000 0.1466695 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 1006000.000000 PA 1174368.550000 0.1425876 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FANNIE MAE 2005-79 N/A 31394FHD0 389935.060000 PA USD 390499.300000 0.0474130 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 0.5945 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 51944.380000 PA USD 51796.660000 0.0062890 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.5345 N N N N N N FANNIE MAE 2007-65 N/A 31396WLX2 90337.040000 PA USD 90354.860000 0.0109706 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.5645 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 698241.860000 PA USD 707912.720000 0.0859522 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 0.9045 N N N N N N FANNIE MAE 2010-151 N/A 31397QW61 97951.950000 PA USD 98899.640000 0.0120080 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 0.7845 N N N N N N FANNIE MAE REMICS 2011-35 N/A 31397SVH4 13560921.470000 PA USD 14735172.510000 1.7890915 Long ABS-MBS USGSE US N 2 2041-04-25 Fixed 4 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 208851.560000 PA USD 209103.770000 0.0253886 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 0.5845 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 26098.080000 PA USD 26103.020000 0.0031693 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 3128JREM4 9794.810000 PA USD 10383.200000 0.0012607 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 3.954 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRGY6 13959.160000 PA USD 14708.310000 0.0017858 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 2.862 N N N N N N FHLMC PASS THRU POOLS N/A 31297F2U6 51573.980000 PA USD 56948.790000 0.0069145 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 31297SRD9 5867.660000 PA USD 6730.500000 0.0008172 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 31297VLN6 16024.830000 PA USD 17566.190000 0.0021328 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128K5D58 11764.680000 PA USD 13087.830000 0.0015891 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128K8EE2 48277.790000 PA USD 55411.660000 0.0067279 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128K8Q25 4842.860000 PA USD 5515.750000 0.0006697 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128K9RM8 31048.830000 PA USD 34920.720000 0.0042399 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128K95C4 105662.740000 PA USD 121257.460000 0.0147226 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128KGF86 10576.020000 PA USD 11629.570000 0.0014120 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128KKPP8 38373.640000 PA USD 42145.010000 0.0051171 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128KKZG7 124733.930000 PA USD 142988.040000 0.0173611 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128L1PU8 15531.020000 PA USD 18050.290000 0.0021916 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128L5HY0 99035.790000 PA USD 113387.920000 0.0137672 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128L7L96 117226.740000 PA USD 134246.720000 0.0162998 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128L9KD4 97461.420000 PA USD 111707.030000 0.0135631 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LAFY1 13291.250000 PA USD 15217.770000 0.0018477 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LBC55 60316.060000 PA USD 69089.380000 0.0083886 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 312929MQ2 17467.740000 PA USD 19995.560000 0.0024278 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3129296L1 67433.100000 PA USD 77170.650000 0.0093698 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 31292JH78 3627.140000 PA USD 4040.230000 0.0004906 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7NZ2 60258.250000 PA USD 67597.170000 0.0082074 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128E2VX1 3280.000000 PA USD 3579.450000 0.0004346 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LXAV2 16348.390000 PA USD 18797.530000 0.0022823 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4AK9 14730.370000 PA USD 16114.470000 0.0019566 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4QW6 91547.820000 PA USD 105157.140000 0.0127678 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4WK5 79942.000000 PA USD 91786.810000 0.0111444 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4W90 32983.020000 PA USD 37869.270000 0.0045980 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5BY5 63405.480000 PA USD 72820.890000 0.0088416 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6B98 1619.650000 PA USD 1859.630000 0.0002258 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6JE9 25344.830000 PA USD 29108.570000 0.0035343 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6JM1 39420.620000 PA USD 45215.100000 0.0054899 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6QV3 45531.570000 PA USD 52222.910000 0.0063407 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6SU3 39272.020000 PA USD 45115.960000 0.0054778 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6WG9 33722.950000 PA USD 38704.650000 0.0046994 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7C95 26459.250000 PA USD 30383.230000 0.0036890 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7EX0 64645.830000 PA USD 74242.880000 0.0090143 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7E44 81721.210000 PA USD 93787.240000 0.0113873 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7HT6 51925.540000 PA USD 59590.840000 0.0072353 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7KV7 7835.070000 PA USD 9001.780000 0.0010930 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7KW5 5541.440000 PA USD 6362.380000 0.0007725 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M75R3 40072.550000 PA USD 46047.540000 0.0055909 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJCJ7 58666.370000 PA USD 67363.440000 0.0081790 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128CULV6 17914.470000 PA USD 19937.370000 0.0024207 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128CUM29 25654.940000 PA USD 28521.860000 0.0034630 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 6 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HHA1 882000.000000 NS USD 804594.690000 0.0976910 Long EP CORP US N 2 N N N FHLMC PASS THRU POOLS N/A 3132XWE64 272990.310000 PA USD 290615.890000 0.0352855 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132LAY63 194313.370000 PA USD 205994.400000 0.0250111 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-1 N/A 31659TEY7 2107152.670000 PA USD 1584732.630000 0.1924125 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.3745 N N N N N N FIRST FRANKLIN MTG LN ASSET CERT2005-FF8 N/A 362341QR3 56490.310000 PA USD 56802.440000 0.0068967 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.9195 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF12 N/A 32027GAD8 1292452.980000 PA USD 1278716.530000 0.1552572 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.3245 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF5 N/A 32027EAE1 152546.810000 PA USD 146125.700000 0.0177421 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.48825 N N N N N N FNMA PASS THRU POOLS N/A 31368HML4 31957.670000 PA USD 36760.550000 0.0044633 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31368HMQ3 51641.680000 PA USD 59381.840000 0.0072099 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371JY57 395.580000 PA USD 439.670000 0.0000534 Long ABS-MBS USGSE US N 2 2021-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371J3J1 844.810000 PA USD 938.970000 0.0001140 Long ABS-MBS USGSE US N 2 2021-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371KVF5 8103.480000 PA USD 9190.800000 0.0011159 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371L4M8 29164.390000 PA USD 32087.960000 0.0038960 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MKF3 57936.770000 PA USD 63744.620000 0.0077396 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MQC4 2863.310000 PA USD 3287.490000 0.0003992 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MRS8 1687.710000 PA USD 1967.450000 0.0002389 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371MZM2 16209.410000 PA USD 18034.260000 0.0021897 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371M3W5 312111.140000 PA USD 357714.980000 0.0434325 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371M5N3 38532.990000 PA USD 44780.260000 0.0054371 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371M7J0 435.150000 PA USD 498.980000 0.0000606 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371M7M3 177705.870000 PA USD 195839.240000 0.0237781 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371NAA3 13347.550000 PA USD 14857.260000 0.0018039 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371NDU6 17054.030000 PA USD 18983.660000 0.0023049 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371NLG8 33090.970000 PA USD 36435.450000 0.0044239 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371NLH6 22244.560000 PA USD 24764.090000 0.0030068 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371NU52 12425.610000 PA USD 13704.250000 0.0016639 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371PCL2 10833.990000 PA USD 11876.050000 0.0014419 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31374CPF7 41772.040000 PA USD 45607.470000 0.0055375 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31376KHQ2 2297.920000 PA USD 2638.230000 0.0003203 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31381AL25 10636.770000 PA USD 11823.990000 0.0014356 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31381RQD9 1662205.520000 PA USD 1692983.300000 0.2055559 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 3.89 N N N N N N FNMA PASS THRU POOLS N/A 31385XNR4 19306.430000 PA USD 22045.330000 0.0026767 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31390WZK1 1053.380000 PA USD 1174.320000 0.0001426 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31400BNW2 4430.990000 PA USD 4896.980000 0.0005946 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31400JR50 61611.750000 PA USD 70363.750000 0.0085433 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31400RKV2 278424.620000 PA USD 311094.610000 0.0377720 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31401XVM6 7864.050000 PA USD 8813.290000 0.0010701 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402DF70 558.280000 PA USD 651.600000 0.0000791 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31402DP79 425.700000 PA USD 488.610000 0.0000593 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402QYY1 28339.390000 PA USD 32540.330000 0.0039509 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402RRR2 24982.050000 PA USD 29158.080000 0.0035403 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31402RTS8 11191.650000 PA USD 11296.250000 0.0013715 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 2.546 N N N N N N FNMA PASS THRU POOLS N/A 31402RT58 7529.660000 PA USD 8664.320000 0.0010520 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402X4D5 2506.780000 PA USD 2766.790000 0.0003359 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403CQ79 91197.980000 PA USD 102099.480000 0.0123966 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403C5S6 5402.360000 PA USD 6309.780000 0.0007661 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31403C6S5 31510.280000 PA USD 36797.320000 0.0044678 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31403DDX4 62093.180000 PA USD 71412.260000 0.0086706 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DGZ6 57516.530000 PA USD 66145.880000 0.0080312 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403LUQ2 44798.460000 PA USD 51374.290000 0.0062377 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403MUU1 50008.760000 PA USD 55747.440000 0.0067687 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403NVY0 7267.900000 PA USD 7311.000000 0.0008877 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 3.819 N N N N N N FNMA PASS THRU POOLS N/A 31403QP53 24473.330000 PA USD 27048.330000 0.0032841 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403VDD8 1563.970000 PA USD 1577.510000 0.0001915 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 3.738 N N N N N N FNMA PASS THRU POOLS N/A 31403YNJ8 32526.670000 PA USD 37191.400000 0.0045156 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404H2N8 8108.550000 PA USD 9294.570000 0.0011285 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404MZ92 735.560000 PA USD 842.420000 0.0001023 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404U4Y3 1777.610000 PA USD 2003.480000 0.0002433 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404V6A1 25468.720000 PA USD 25643.090000 0.0031135 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 2.7 N N N N N N FNMA PASS THRU POOLS N/A 31405PAH3 457.740000 PA USD 463.260000 0.0000562 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 3.544 N N N N N N FNMA PASS THRU POOLS N/A 31406L2T4 237.630000 PA USD 238.630000 0.0000290 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 3.675 N N N N N N FNMA PASS THRU POOLS N/A 31406TGE5 104778.540000 PA USD 122109.770000 0.0148261 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31406TQU8 15103.850000 PA USD 17051.910000 0.0020704 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31406XXM9 26516.470000 PA USD 30410.340000 0.0036923 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407ADE8 2690.130000 PA USD 3082.270000 0.0003742 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407BXK0 2693.540000 PA USD 2702.340000 0.0003281 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 2.23 N N N N N N FNMA PASS THRU POOLS N/A 31407EH89 1547.420000 PA USD 1777.670000 0.0002158 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407FD64 12576.500000 PA USD 14439.510000 0.0017532 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407FYD6 7365.140000 PA USD 7716.670000 0.0009369 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 2.695 N N N N N N FNMA PASS THRU POOLS N/A 31407HRF5 42582.590000 PA USD 49847.190000 0.0060523 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407JDY5 1268.010000 PA USD 1475.900000 0.0001792 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407LZN0 5486.720000 PA USD 5888.770000 0.0007150 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31407MWT8 7338.710000 PA USD 7403.440000 0.0008989 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 3.878 N N N N N N FNMA PASS THRU POOLS N/A 31407NQC0 3260.830000 PA USD 3562.040000 0.0004325 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31407PFB9 68261.270000 PA USD 78392.630000 0.0095182 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407RVX9 1921.910000 PA USD 2105.620000 0.0002557 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31407T7L8 2287.770000 PA USD 2518.870000 0.0003058 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407W4J9 3321.160000 PA USD 3687.270000 0.0004477 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407YHH5 1846.750000 PA USD 1894.780000 0.0002301 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 3.086 N N N N N N FNMA PASS THRU POOLS N/A 31407YNU9 5894.570000 PA USD 6772.930000 0.0008223 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31408CA89 34188.030000 PA USD 38973.000000 0.0047320 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31408DFG4 46898.500000 PA USD 52949.990000 0.0064290 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31408DKS2 1324.350000 PA USD 1521.030000 0.0001847 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409ADU0 4191.770000 PA USD 4812.330000 0.0005843 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409AF53 984.320000 PA USD 1147.040000 0.0001393 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409AYV5 7018.880000 PA USD 7722.490000 0.0009376 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409JUL2 1930.050000 PA USD 2211.140000 0.0002685 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409T6S2 13577.440000 PA USD 15202.150000 0.0018458 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409VPY3 477.770000 PA USD 532.370000 0.0000646 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409WLC3 35181.590000 PA USD 40370.760000 0.0049017 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409XPU7 19080.360000 PA USD 21909.790000 0.0026602 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410CB84 281.020000 PA USD 317.710000 0.0000386 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410FVW2 1410200.660000 PA USD 1620345.290000 0.1967365 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410FYY5 8384.250000 PA USD 9160.820000 0.0011123 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31410F3J2 49606.580000 PA USD 56954.010000 0.0069152 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GHP1 447955.280000 PA USD 515107.440000 0.0625425 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GNK5 1350.150000 PA USD 1478.040000 0.0001795 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GNL3 107783.760000 PA USD 123966.420000 0.0150516 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GPA5 17896.720000 PA USD 20552.090000 0.0024954 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GPD9 319267.000000 PA USD 366379.200000 0.0444844 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GRN5 53787.440000 PA USD 61881.620000 0.0075134 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410G2H5 35159.940000 PA USD 40404.360000 0.0049058 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KAA2 15433.490000 PA USD 17749.810000 0.0021551 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KHH0 6405.840000 PA USD 7360.520000 0.0008937 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KNH3 212819.820000 PA USD 244554.980000 0.0296930 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KXK5 312376.250000 PA USD 358846.890000 0.0435699 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KXL3 15476.370000 PA USD 18066.600000 0.0021936 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410LKA9 10302.230000 PA USD 11472.290000 0.0013929 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31410RNM7 437.560000 PA USD 509.940000 0.0000619 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410SS65 25246.670000 PA USD 28934.960000 0.0035132 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410VVE7 2299.500000 PA USD 2352.500000 0.0002856 Long ABS-MBS USGSE US N 2 2021-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410V6F2 5985.540000 PA USD 6857.140000 0.0008326 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410WML9 55652.410000 PA USD 64507.660000 0.0078323 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411APZ2 1341.280000 PA USD 1537.380000 0.0001867 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411BX99 1533.090000 PA USD 1705.160000 0.0002070 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411CDR9 268545.090000 PA USD 307980.520000 0.0373939 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411DAE9 6371.080000 PA USD 7176.030000 0.0008713 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411DY78 519.470000 PA USD 590.190000 0.0000717 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411ECZ8 257.480000 PA USD 295.240000 0.0000358 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411K3D3 218.440000 PA USD 219.980000 0.0000267 Long ABS-MBS USGSE US N 2 2022-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411K4P5 61.820000 PA USD 62.140000 0.0000075 Long ABS-MBS USGSE US N 2 2022-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411S2B1 827.160000 PA USD 939.960000 0.0001141 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411W4N4 806.760000 PA USD 939.230000 0.0001140 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412AWT7 32465.310000 PA USD 36386.730000 0.0044179 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412BFS6 377012.800000 PA USD 432122.540000 0.0524668 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412BFT4 12641.830000 PA USD 14211.370000 0.0017255 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412DLU0 110216.500000 PA USD 126139.000000 0.0153153 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412DLW6 344000.380000 PA USD 400160.930000 0.0485861 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412LM72 47669.090000 PA USD 54568.060000 0.0066255 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412LQE3 9140.430000 PA USD 10056.710000 0.0012210 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412MTG3 296161.220000 PA USD 332837.980000 0.0404120 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412NBF2 3412.380000 PA USD 3968.860000 0.0004819 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412N6C5 13498.820000 PA USD 14398.780000 0.0017482 Long ABS-MBS USGSE US N 2 2024-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31412PQ79 168683.630000 PA USD 185593.260000 0.0225341 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412PWN7 139997.310000 PA USD 154324.720000 0.0187376 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412QPU7 2273.630000 PA USD 2647.510000 0.0003215 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412QZY8 56207.030000 PA USD 59527.540000 0.0072276 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31412RBR7 7128.240000 PA USD 7961.110000 0.0009666 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412SD28 11272.250000 PA USD 12895.160000 0.0015657 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412XFH2 12378.470000 PA USD 13758.140000 0.0016705 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413FYX4 1214.220000 PA USD 1353.910000 0.0001644 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413HWP9 10052.380000 PA USD 11693.540000 0.0014198 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413NGG4 13139.830000 PA USD 15081.940000 0.0018312 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31413VKF3 10746.310000 PA USD 11995.840000 0.0014565 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414CJM1 114809.340000 PA USD 133369.000000 0.0161932 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414FFS5 522.510000 PA USD 583.820000 0.0000709 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414FS51 20180.210000 PA USD 21704.430000 0.0026353 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31414G3K3 63624.340000 PA USD 73577.980000 0.0089336 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414HJX6 38694.720000 PA USD 44971.550000 0.0054603 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414LB98 354423.390000 PA USD 405613.480000 0.0492481 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414L2H0 35208.280000 PA USD 40258.160000 0.0048880 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414NEZ3 80153.820000 PA USD 92969.330000 0.0112880 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414PU64 169470.580000 PA USD 197199.060000 0.0239432 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414QVY0 1345.190000 PA USD 1565.930000 0.0001901 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415BDJ5 11697.140000 PA USD 12547.470000 0.0015235 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31415LVW4 424.730000 PA USD 447.560000 0.0000543 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31415QCN4 14679.670000 PA USD 16317.560000 0.0019812 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415QFJ0 1691.760000 PA USD 1885.180000 0.0002289 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415TFV7 2233.840000 PA USD 2599.920000 0.0003157 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415TF54 27328.380000 PA USD 31273.850000 0.0037972 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415VK61 4654.120000 PA USD 5389.750000 0.0006544 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415XKP5 56352.210000 PA USD 63150.150000 0.0076675 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415YMN6 4408.160000 PA USD 4895.460000 0.0005944 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BN61 486.320000 PA USD 558.200000 0.0000678 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BS82 23552.940000 PA USD 26194.470000 0.0031804 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BUC0 489.770000 PA USD 569.950000 0.0000692 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416B2P2 9356.130000 PA USD 10756.210000 0.0013060 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416CD29 81562.890000 PA USD 95196.000000 0.0115584 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416CKF2 145875.300000 PA USD 170343.920000 0.0206825 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416H4W2 97924.430000 PA USD 108723.360000 0.0132008 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416JAW1 94496.700000 PA USD 108498.560000 0.0131735 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416JMP3 1653.460000 PA USD 1776.420000 0.0002157 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416VGE8 102760.670000 PA USD 118065.380000 0.0143351 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416VGN8 9526.090000 PA USD 10930.880000 0.0013272 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416VKF0 279339.650000 PA USD 325463.820000 0.0395166 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416YE87 275809.210000 PA USD 315305.250000 0.0382832 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416YNX2 318201.650000 PA USD 346104.330000 0.0420227 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417MBT9 28701.850000 PA USD 30847.930000 0.0037454 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417S3V0 32644.700000 PA USD 37484.130000 0.0045512 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31417UC52 8665.020000 PA USD 9637.200000 0.0011701 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417VAP8 41201.930000 PA USD 45341.410000 0.0055052 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418MGG1 827.980000 PA USD 952.470000 0.0001156 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418MG63 565.040000 PA USD 659.610000 0.0000801 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31418PCG8 7413.280000 PA USD 8165.130000 0.0009914 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418PS22 29639.140000 PA USD 33096.450000 0.0040185 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418RB75 47344.440000 PA USD 52461.810000 0.0063697 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418U2M5 29656.570000 PA USD 31695.210000 0.0038483 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418XNQ7 14961.050000 PA USD 16719.360000 0.0020300 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418YC20 10883.880000 PA USD 12054.560000 0.0014636 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419AK89 17846.090000 PA USD 18969.700000 0.0023032 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419AR66 11036.290000 PA USD 12248.570000 0.0014872 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419A3K1 572586.780000 PA USD 668657.490000 0.0811860 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31419BMQ5 1624278.690000 PA USD 1818286.760000 0.2207698 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419CSC8 10796.970000 PA USD 12015.150000 0.0014588 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419DG54 20270.620000 PA USD 22329.100000 0.0027111 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31419G2S2 27935.490000 PA USD 30036.110000 0.0036469 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A1CC3 324410.200000 PA USD 354022.770000 0.0429842 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A36Z5 10183953.710000 PA USD 11341366.160000 1.3770278 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A37H4 305824.030000 PA USD 340656.450000 0.0413613 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A5VU3 14151.440000 PA USD 15761.010000 0.0019136 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A5WG3 62239.260000 PA USD 69159.960000 0.0083972 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A5W65 43318.890000 PA USD 46899.110000 0.0056943 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A8BH8 6502.230000 PA USD 7117.910000 0.0008642 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AAS93 17606.010000 PA USD 19601.960000 0.0023800 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ABDP1 11114.930000 PA USD 12427.710000 0.0015089 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ADYY5 83786.810000 PA USD 93325.350000 0.0113312 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AE2F9 58050.910000 PA USD 62421.740000 0.0075790 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AFVY3 365135.460000 PA USD 406733.440000 0.0493841 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AHGU4 15093.970000 PA USD 16813.290000 0.0020414 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AHS80 83913.820000 PA USD 93444.200000 0.0113457 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AKTT6 185313.490000 PA USD 196024.910000 0.0238006 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138ANJA2 941823.780000 PA USD 1049115.700000 0.1273798 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ANY56 10150.390000 PA USD 11306.770000 0.0013728 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138APAF5 69250.880000 PA USD 74800.290000 0.0090820 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138E2GN9 3996.870000 PA USD 4296.960000 0.0005217 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EDMB4 11440.320000 PA USD 12541.860000 0.0015228 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EGSJ4 299462.060000 PA USD 343252.380000 0.0416765 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EGSP0 37990.750000 PA USD 43634.750000 0.0052980 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EG4G6 9242.340000 PA USD 10368.890000 0.0012590 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EHPD8 127892.600000 PA USD 141910.190000 0.0172302 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EHXA5 39843.150000 PA USD 45001.930000 0.0054640 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EKRF4 65354.060000 PA USD 75836.410000 0.0092078 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EKSM8 336698.710000 PA USD 386689.820000 0.0469505 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EKW35 2812811.450000 PA USD 3285397.640000 0.3989011 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EK2N4 207107.650000 PA USD 241768.100000 0.0293546 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138ELCT8 143041.180000 PA USD 167076.800000 0.0202859 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138LT4L9 23950.080000 PA USD 25995.290000 0.0031563 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138XQQC8 131487.550000 PA USD 141498.690000 0.0171803 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GVZA6 793941.910000 PA USD 844776.290000 0.1025697 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140H1WH9 7944911.790000 PA USD 8358317.730000 1.0148368 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H6LZ0 1803578.200000 PA USD 1917070.590000 0.2327638 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HERQ7 1014201.740000 PA USD 1075241.060000 0.1305519 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HKBK3 422816.920000 PA USD 448263.330000 0.0544265 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GM3 7113108.160000 PA USD 7593057.660000 0.9219217 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JL2R4 693539.140000 PA USD 746206.560000 0.0906017 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JN3X6 713734.460000 PA USD 762118.160000 0.0925336 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140QBCD8 2174156.330000 PA USD 2403589.350000 0.2918352 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140X6M65 352048.180000 PA USD 372774.610000 0.0452609 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31417YJ24 82490.170000 PA USD 90852.730000 0.0110310 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CS47 3037430.720000 PA USD 3205366.650000 0.3891841 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 17592809.190000 PA USD 18576180.550000 2.2554529 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CYL2 2679946.400000 PA USD 2816595.100000 0.3419808 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZL0 500000.000000 PA USD 492575.870000 0.0598068 Long DBT CORP US N 2 2021-01-07 Floating 2.82588 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A29 300000.000000 PA USD 285843.000000 0.0347060 Long DBT CORP US N 2 2023-01-09 Fixed 3.087 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540RAC0 2085000.000000 PA USD 2068369.770000 0.2511340 Long DBT CORP US N 2 2020-09-24 Floating 1.22663 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540XAB9 1006000.000000 PA USD 980422.450000 0.1190394 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FOUR TIMES SQUARE TRUST 2006-4TS N/A 350910AN5 4540994.660000 PA USD 4582006.200000 0.5563307 Long ABS-MBS CORP US N 2 2028-12-13 Fixed 5.401 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 954097.130000 PA USD 969970.630000 0.1177703 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 0.88475 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 541663.020000 PA USD 549136.780000 0.0666742 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 0.90475 N N N N N N FREDDIE MAC 3368 N/A 31397KL82 562058.520000 PA USD 567759.370000 0.0689353 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 0.90475 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 163603.380000 PA USD 165519.670000 0.0200968 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 0.89475 N N N N N N FREDDIE MAC-3289 N/A 31397FNM0 697762.950000 PA USD 698037.660000 0.0847532 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 0.56475 N N N N N N FREMONT HOME LOAN TRUST 2004-3 N/A 35729PFM7 7613105.130000 PA USD 7428804.040000 0.9019786 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.21825 N N N N N N FREMONT HOME LOAN TRUST 2006-B N/A 35729QAD0 15098202.580000 PA USD 5949282.160000 0.7223404 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.32825 N N N N N N GENERAL MOTORS COMPANY 54930070NSV60J38I987 37045VAM2 1689000.000000 PA USD 1688631.800000 0.2050276 Long DBT CORP US N 2 2020-08-07 Floating 1.274 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 10570.190000 PA USD 104211.480000 0.0126530 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 21H050672 6000000.000000 PA USD 6517968.780000 0.7913883 Long ABS-MBS USGSE US N 2 2050-07-21 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36210B4E2 86376.210000 PA USD 97829.810000 0.0118781 Long ABS-MBS USGSE US N 2 2039-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36212NPC5 1621.680000 PA USD 1855.100000 0.0002252 Long ABS-MBS USGSE US N 2 2035-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36212TA53 29339.340000 PA USD 33371.300000 0.0040518 Long ABS-MBS USGSE US N 2 2035-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36200JJZ4 76789.840000 PA USD 87211.090000 0.0105889 Long ABS-MBS USGSE US N 2 2035-12-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36291CE76 8959.520000 PA USD 9817.540000 0.0011920 Long ABS-MBS USGSE US N 2 2035-12-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36291TUF3 74772.870000 PA USD 81964.070000 0.0099518 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295GBG6 16789.520000 PA USD 18674.720000 0.0022674 Long ABS-MBS USGSE US N 2 2037-07-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36295GBH4 19298.780000 PA USD 21495.640000 0.0026099 Long ABS-MBS USGSE US N 2 2037-08-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36295KGC1 1215.760000 PA USD 1333.560000 0.0001619 Long ABS-MBS USGSE US N 2 2038-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295LGE5 30434.930000 PA USD 33444.230000 0.0040607 Long ABS-MBS USGSE US N 2 2038-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295L3X7 24097.740000 PA USD 26800.280000 0.0032540 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295L4B4 618.010000 PA USD 677.200000 0.0000822 Long ABS-MBS USGSE US N 2 2038-07-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295NCQ8 2192.110000 PA USD 2489.840000 0.0003023 Long ABS-MBS USGSE US N 2 2038-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295NCS4 538060.280000 PA USD 612045.410000 0.0743123 Long ABS-MBS USGSE US N 2 2038-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QN55 6192.270000 PA USD 6788.500000 0.0008242 Long ABS-MBS USGSE US N 2 2038-09-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296BGC0 1131.520000 PA USD 1291.800000 0.0001568 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296B2K7 2435.210000 PA USD 2668.500000 0.0003240 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296DP28 109331.920000 PA USD 125150.990000 0.0151954 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296DZF8 22532.890000 PA USD 24747.100000 0.0030047 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296GTL5 2669.780000 PA USD 2931.540000 0.0003559 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296JJY2 17702.340000 PA USD 20085.390000 0.0024387 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296P6L0 31823.900000 PA USD 36416.630000 0.0044216 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QDB2 175522.090000 PA USD 200697.340000 0.0243679 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QK32 256909.850000 PA USD 288977.200000 0.0350866 Long ABS-MBS USGSE US N 2 2039-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QL31 84113.020000 PA USD 96252.960000 0.0116867 Long ABS-MBS USGSE US N 2 2039-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QRU5 6633.460000 PA USD 7534.540000 0.0009148 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QZD4 48541.940000 PA USD 55145.150000 0.0066955 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296Q6V6 96687.840000 PA USD 110405.810000 0.0134051 Long ABS-MBS USGSE US N 2 2039-08-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296UE30 32670.470000 PA USD 37067.240000 0.0045006 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296UHW3 11207.110000 PA USD 12273.740000 0.0014902 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296UNU0 305590.600000 PA USD 349950.720000 0.0424898 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296XUD4 83389.830000 PA USD 95472.040000 0.0115919 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296XU77 579938.740000 PA USD 663114.920000 0.0805130 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296X3G7 52841.550000 PA USD 58095.890000 0.0070538 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36297AKJ1 180680.520000 PA USD 205278.620000 0.0249242 Long ABS-MBS USGSE US N 2 2039-01-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36297BXM8 365853.080000 PA USD 415450.590000 0.0504425 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36297GKW9 8206.950000 PA USD 9397.980000 0.0011411 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36297KH87 73675.190000 PA USD 84391.500000 0.0102465 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620A6DC8 110697.990000 PA USD 126594.830000 0.0153707 Long ABS-MBS USGSE US N 2 2039-07-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620AAT81 30693.360000 PA USD 35103.270000 0.0042621 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620AVQ47 54241.060000 PA USD 60752.150000 0.0073763 Long ABS-MBS USGSE US N 2 2040-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176AB99 14883.740000 PA USD 16299.320000 0.0019790 Long ABS-MBS USGSE US N 2 2041-11-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176ARN1 125083.940000 PA USD 138203.100000 0.0167801 Long ABS-MBS USGSE US N 2 2041-10-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176DEZ2 48368.910000 PA USD 55042.660000 0.0066831 Long ABS-MBS USGSE US N 2 2041-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176R7B2 51251.440000 PA USD 56660.330000 0.0068795 Long ABS-MBS USGSE US N 2 2042-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176R7H9 80115.050000 PA USD 88096.620000 0.0106964 Long ABS-MBS USGSE US N 2 2042-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241KZ35 1140940.120000 PA USD 1305441.490000 0.1585020 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241LJY3 171306.850000 PA USD 196069.280000 0.0238060 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAF7 2300000.000000 PA USD 2306953.570000 0.2801020 Long DBT CORP US N 2 2021-11-15 Floating 1.56238 N N N N N N GSAMP TRUST 2006-HE8 N/A 3622M8AE6 4109000.000000 PA USD 3233648.640000 0.3926180 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.39825 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAB4 2490739.220000 PA USD 1448899.870000 0.1759202 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.21825 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAD0 8516279.450000 PA USD 5053168.480000 0.6135375 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.31825 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 8169.200000 PA USD 8131.600000 0.0009873 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.06528 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XE4 587722.840000 PA USD 553842.380000 0.0672455 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.23203 Y N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 9528.880000 PA USD 9151.240000 0.0011111 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.09715 N N N N N N GSR MORTGAGE LOAN TRUST 2006-1F N/A 3623417Z6 4904712.550000 PA USD 3298083.710000 0.4004414 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 6 Y N N N N N GSR MORTGAGE LOAN TRUST 2007-4F N/A 362669AK9 11827.070000 PA USD 10580.930000 0.0012847 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 Y N N N N N GSR MORTGAGE LOAN TRUST 2007-4F N/A 362669BJ1 1275777.050000 PA USD 1141356.840000 0.1385794 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 Y N N N N N HALCYON LOAN ADVISORS FUNDING 2014-3 LTD N/A 40538FAQ6 174115.860000 PA USD 173880.940000 0.0211120 Long ABS-CBDO CORP KY N 2 2025-10-22 Floating 2.19763 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 8597.420000 PA USD 7802.040000 0.0009473 Long ABS-MBS CORP US N 2 2035-05-19 Floating 0.63388 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-3 N/A 41161PMG5 1327980.430000 PA USD 1299083.440000 0.1577300 Long ABS-MBS CORP US N 2 2035-06-19 Floating 0.67388 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-11 N/A 41162GAA0 193491.680000 PA USD 169598.690000 0.0205921 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.51238 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAD1 2650964.660000 PA USD 2375463.690000 0.2884202 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.41238 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-3 N/A 41161QAD3 1054038.540000 PA USD 674811.920000 0.0819332 Long ABS-MBS CORP US N 2 2036-06-19 Floating 3.2557 Y N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 4969865.980000 PA 6156635.270000 0.7475165 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.28692 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BG3 1438000.000000 PA USD 1458885.440000 0.1771326 Long DBT CORP GB N 2 2022-01-05 Floating 1.80375 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BR9 575000.000000 PA USD 570718.220000 0.0692945 Long DBT CORP GB N 2 2024-05-18 Floating 1.38563 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 791000.000000 PA USD 880925.050000 0.1069587 Long DBT CORP GB N 2 2026-09-12 Floating 4.292 N N N N N N HSI ASSET SECUR CORP TRUST 2007-WF1 N/A 40431RAA3 1221396.340000 PA USD 1197399.200000 0.1453839 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.32825 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAA1 400000.000000 PA USD 415962.260000 0.0505046 Long DBT CORP GB N 2 2024-07-26 Fixed 3.125 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAB9 200000.000000 PA USD 214139.450000 0.0260000 Long DBT CORP GB N 2 2026-07-26 Fixed 3.5 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR11 N/A 45661KAD2 2527273.090000 PA USD 2229287.120000 0.2706720 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.59505 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR39 N/A 45660KAA9 1489388.550000 PA USD 1367479.860000 0.1660345 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.3645 Y N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AR4 500000.000000 PA USD 496667.500000 0.0603036 Long DBT CORP NL N 2 2026-11-16 Floating 5.75 N N N N Y ING GROEP NV EUR XXXX N N N IOWA TOBACCO SETTLEMENT AUTHORITY N/A 888805AP3 30000.000000 PA USD 30020.400000 0.0036450 Long DBT MUN US N 2 2023-06-01 Fixed 6.5 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513YJJ8 575000.000000 PA USD 714605.400000 0.0867648 Long DBT NUSS IL N 2 2048-01-17 Fixed 4.125 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 3820262211.000000 PA 35257154.830000 4.2807966 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1BXN03 642596472.000000 PA 5948369.290000 0.7222296 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A2 N/A 46628GAL3 1325707.340000 PA USD 936445.590000 0.1136998 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.70589 Y N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HKC3 647000.000000 PA USD 705586.870000 0.0856698 Long DBT CORP US N 2 2025-01-23 Fixed 3.125 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAT3 2875000.000000 PA USD 2879981.890000 0.3496770 Long DBT CORP US N 2 2022-06-18 Floating 0.91788 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAU0 1006000.000000 PA USD 1091260.000000 0.1324969 Long DBT CORP US N 2 2024-07-23 Floating 3.797 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAW6 2588000.000000 PA USD 2593387.880000 0.3148798 Long DBT CORP US N 2 2024-07-23 Floating 1.933 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HMN7 503000.000000 PA USD 570825.780000 0.0693076 Long DBT CORP US N 2 2025-07-15 Fixed 3.9 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HRW2 72000.000000 PA USD 72820.200000 0.0088416 Long DBT CORP US N 2 2023-10-24 Floating 2.25025 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 97014.250000 PA USD 97517.740000 0.0118403 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.19197 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 29872.800000 PA USD 21739.480000 0.0026395 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BAG5 734393.300000 PA USD 632077.850000 0.0767446 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.94542 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BBC3 123593.000000 PA USD 104732.520000 0.0127162 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.62627 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 1927.620000 PA USD 1816.770000 0.0002206 Long ABS-MBS CORP US N 2 2035-02-25 Floating 3.77394 N N N N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 BJBQCWII7 518000.000000 NS 621044.100000 0.0754049 Long EP CORP NL N 2 N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAL0 72000.000000 PA USD 79279.810000 0.0096259 Long DBT CORP US N 2 2035-07-15 Fixed 5 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAM8 144000.000000 PA USD 156333.000000 0.0189814 Long DBT CORP US N 2 2045-07-15 Fixed 5.2 N N N N N N LA QUINTA FINANCING AUTHORITY N/A 50420ABJ2 1960000.000000 PA USD 1982696.800000 0.2407319 Long DBT MUN US N 2 2036-09-01 Fixed 8.07 N N N N N N LEHMAN MORTGAGE TRUST 2007-8 N/A 52521YAA4 1137891.230000 PA USD 1149864.350000 0.1396124 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6 Y N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AU3 2731000.000000 PA USD 2835184.810000 0.3442379 Long DBT CORP GB N 2 2025-09-27 Floating 7.5 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAK9 791000.000000 PA USD 815144.200000 0.0989719 Long DBT CORP GB N 2 2023-03-17 Floating 2.858 N N N N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RH9 4794073.800000 PA USD 4611215.840000 0.5598772 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.4045 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-4 N/A 54251MAA2 944527.570000 PA USD 638737.430000 0.0775532 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.3345 N N N N N N LONG BEACH MORTGAGE LOAN TRUST 2006-3 N/A 542514UL6 5276450.340000 PA USD 2467956.760000 0.2996504 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.4545 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 6663.830000 PA USD 5822.590000 0.0007070 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 54473ENS9 360000.000000 PA USD 604562.400000 0.0734038 Long DBT MUN US N 2 2040-08-01 Fixed 7.618 N N N N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 256967.900000 PA USD 250918.880000 0.0304657 Long ABS-O CORP US N 2 2038-04-25 Floating 1.94138 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2005-6 N/A 576433C53 209023.330000 PA USD 189745.150000 0.0230382 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.72068 Y N N N N N MASTR ASSET BACKED SEC TR 2006-FRE1 N/A 57643LPP5 1255114.300000 PA USD 1239751.200000 0.1505261 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.74825 N N N N N N MASTR ASSET BACKED SEC TR 2007-HE1 N/A 576457AC9 4738257.270000 PA USD 4470038.740000 0.5427360 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.37825 N N N N N N MASTR ASSET BACKED SEC TR 2007-WMC1 N/A 55275TAB4 19114655.280000 PA USD 6389513.160000 0.7757917 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.21825 N N N N N N MCDONALDS CORPORATION UE2136O97NLB5BYP9H04 58013MFG4 503000.000000 PA USD 504236.380000 0.0612226 Long DBT CORP US N 2 2021-10-28 Floating 1.31713 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC2 N/A 585525ED6 587.120000 PA USD 572.600000 0.0000695 Long ABS-MBS CORP US N 2 2030-06-15 Floating 0.66475 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 33570.480000 PA USD 32280.790000 0.0039194 Long ABS-MBS CORP US N 2 2030-12-15 Floating 0.62475 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAF1 1356255.500000 PA USD 525075.540000 0.0637528 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.46825 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 634850.840000 PA USD 570736.300000 0.0692967 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.06326 Y N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A3 N/A 589929R26 21160.500000 PA USD 20603.770000 0.0025016 Long ABS-MBS CORP US N 2 2033-05-25 Floating 3.60287 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-HE4 N/A 59023EAE8 2913450.120000 PA USD 1038088.500000 0.1260410 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.4345 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 21316.860000 PA USD 20504.550000 0.0024896 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.58825 N N N N N N METROPOLITAN GOVERNMENT OF NASHVILLE & DAVIDSON COUNTY CONVENTION CENTER AUTH N/A 592125AM0 70000.000000 PA USD 106571.500000 0.0129395 Long DBT MUN US N 2 2043-07-01 Fixed 6.731 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822BL7 1509000.000000 PA USD 1567021.700000 0.1902621 Long DBT CORP JP N 2 2022-07-18 Fixed 2.623 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL78 20156.190000 PA USD 18777.430000 0.0022799 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.66825 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE3 N/A 61749HAE0 4092007.130000 PA USD 3124432.810000 0.3793574 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.4345 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAE5 9880163.180000 PA USD 5235899.600000 0.6357241 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.3445 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A 617526AA6 8030046.290000 PA USD 5698245.310000 0.6918604 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.3195 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAB6 2436309.520000 PA USD 1361188.540000 0.1652706 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.2745 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAD2 3511733.570000 PA USD 1998955.300000 0.2427059 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.3945 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE4 N/A 61753VAA0 4333518.200000 PA USD 2164271.230000 0.2627780 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.29825 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC2 N/A 61753NAA8 1954715.670000 PA USD 1640197.810000 0.1991469 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.29825 N N N N N N MORGAN STANLEY ABS CAPITAL I INC TRUST 2007-SEA1 N/A 61757MAA6 2163779.540000 PA USD 1915158.240000 0.2325316 Long ABS-MBS CORP US N 2 2047-02-25 Floating 2.0845 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-1 N/A 61751QAB1 3646873.660000 PA USD 2003167.890000 0.2432174 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.2845 N N N N N N MORTGAGE EQUITY CONVER ASSET TR 2007-FF3 N/A 61911GAA2 2142780.330000 PA USD 2027357.110000 0.2461544 Long ABS-MBS CORP US N 2 2042-05-25 Floating 0.68 N N N N N N MOUNTAIN HAWK III CLO LTD 2014-3A N/A 62405CAN4 279001.120000 PA USD 277863.960000 0.0337372 Long ABS-CBDO CORP KY N 2 2025-04-18 Floating 2.33525 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAC1 1294000.000000 PA USD 1401112.730000 0.1701181 Long DBT CORP GB N 2 2024-08-01 Floating 4.363 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AZ2 1222000.000000 PA USD 1204098.460000 0.1461973 Long DBT CORP US N 2 2022-07-13 Fixed 2.65 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BJ7 431000.000000 PA USD 432224.570000 0.0524791 Long DBT CORP US N 2 2021-09-21 Fixed 3.65 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BD0 503000.000000 PA USD 492454.370000 0.0597920 Long DBT CORP US N 2 2022-09-28 Fixed 2.6 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AP2 N/A 65535VLL0 48141.370000 PA USD 33489.520000 0.0040662 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.476 Y N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-1 N/A 68400DAE4 2292754.170000 PA USD 1515287.650000 0.1839808 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.30825 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NBF5 968000.000000 PA USD 966064.000000 0.1172960 Long DBT CORP NL N 2 2030-01-15 Fixed 5.093 N N N N N N POPULAR ABS MORTGAGE PASS-THROUGH TRUST 2006-C N/A 73316MAE7 6325000.000000 PA USD 5779218.910000 0.7016919 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.5145 N N N N N N PRIME MORTGAGE TRUST 2006-1 N/A 74161BAH8 617121.660000 PA USD 597982.620000 0.0726049 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 Y N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCG2 900000.000000 PA USD 941994.630000 0.1143736 Long DBT CORP US N 2 2022-10-01 Fixed 3.25 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCE7 1100000.000000 PA USD 1155049.560000 0.1402420 Long DBT CORP US N 2 2021-12-15 Fixed 5 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAF3 5169668.990000 PA USD 2712354.720000 0.3293243 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.586 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA5 N/A 75115BAB5 3812215.750000 PA USD 2136436.990000 0.2593985 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.3645 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA6 N/A 74922MAA9 2305922.910000 PA USD 2180241.120000 0.2647170 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.3745 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 2439854.080000 PA USD 2143543.810000 0.2602614 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.3695 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA8 N/A 74922QAA0 3989457.350000 PA USD 3539415.440000 0.4297431 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.3745 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAC7 2350373.920000 PA USD 2063116.860000 0.2504962 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.3545 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA2 N/A 74922PAC8 1244752.540000 PA USD 1073291.610000 0.1303152 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.3345 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-EMX7 N/A 74924TAC8 1259323.810000 PA USD 1225455.430000 0.1487904 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.3345 N N N N N N ACCREDITED MORTGAGE LOAN TRUST 2005-3 N/A 004375DV0 1934063.120000 PA USD 1916918.620000 0.2327453 Long ABS-MBS CORP US N 2 2035-09-25 Floating 1.11 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BF2 72000.000000 PA USD 76105.870000 0.0092405 Long DBT CORP US N 2 2022-06-12 Fixed 4 N N N N N N RIVERSIDE COMMUNITY COLLEGE DISTRICT N/A 76886PEC3 70000.000000 PA USD 70336.700000 0.0085400 Long DBT MUN US N 2 2035-08-01 Fixed 6.971 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BB6 575000.000000 PA USD 599132.750000 0.0727445 Long DBT CORP GB N 2 2021-08-15 Floating 8.625 N N N N Y ROYAL BANK OF SCOTLAND GROUP PLC GBP XXXX N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780099CJ4 575000.000000 PA USD 577300.000000 0.0700937 Long DBT CORP GB N 2 2020-08-10 Floating 7.5 N N N N Y ROYAL BANK OF SCOTLAND GROUP PLC GBP XXXX N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780099CK1 600000.000000 PA USD 663648.000000 0.0805777 Long DBT CORP GB N 2 2025-08-10 Floating 8 N N N N Y ROYAL BANK OF SCOTLAND GROUP PLC GBP XXXX N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 300000.000000 PA USD 354060.010000 0.0429887 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 1653000.000000 PA USD 1654440.740000 0.2008762 Long DBT CORP GB N 2 2024-06-25 Floating 1.84688 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 1006000.000000 PA USD 1093839.560000 0.1328101 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 ACI115596 359000.000000 PA 413725.880000 0.0502331 Long DBT CORP GB N 2 2026-03-02 Floating 1.75 N N N N N N ACE SECURITIES CORP 2006-HE4 N/A 00442BAB7 9509.960000 PA USD 4900.650000 0.0005950 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.22825 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAJ4 1797000.000000 PA USD 1988813.560000 0.2414746 Long DBT CORP GB N 2 2024-11-15 Floating 4.796 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAG0 647000.000000 PA USD 713376.920000 0.0866157 Long DBT CORP GB N 2 2028-11-03 Floating 3.823 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAX1 1509000.000000 PA USD 1609933.890000 0.1954724 Long DBT CORP GB N 2 2024-06-18 Fixed 2.875 N N N N N N SASOL FINANCING USA LLC 549300XRB1PFMESFEL85 80386WAA3 600000.000000 PA USD 537000.000000 0.0652006 Long DBT CORP US N 2 2024-03-27 Fixed 5.875 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAH2 1438000.000000 PA USD 1597508.710000 0.1939637 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI121KG1 519000.000000 PA USD 643682.480000 0.0781536 Long DBT NUSS SA N 2 2049-04-17 Fixed 5 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAC3 200000.000000 PA USD 230598.000000 0.0279984 Long DBT NUSS SA N 2 2046-10-26 Fixed 4.5 N N N N N N SEC ASSET BACKED REC LLC 2006-FR4 N/A 81377GAA7 1705443.940000 PA USD 699210.530000 0.0848956 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.2645 Y N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4 N/A 81375WFJ0 3750602.170000 PA USD 3130572.120000 0.3801028 Long ABS-MBS CORP US N 2 2036-01-25 Floating 1.12825 Y N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 1640147.690000 PA USD 911741.540000 0.1107004 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.40825 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-OPT2 N/A 78420MAB5 2511078.130000 PA USD 2251121.030000 0.2733230 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.30825 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2006-3 N/A 00703QAG7 898293.720000 PA USD 902468.180000 0.1095744 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.56825 N N N N N N SMALL BUSINESS ADMIN PART CERT 2004-20F N/A 83162CNU3 603.580000 PA USD 643.150000 0.0000781 Long ABS-O CORP US N 2 2024-06-01 Fixed 5.52 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2009-20E N/A 83162CSN4 157679.730000 PA USD 170497.440000 0.0207012 Long ABS-O CORP US N 2 2029-05-01 Fixed 4.43 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAA9 5788341.960000 PA USD 4835193.050000 0.5870717 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.0845 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BR0 2013000.000000 PA USD 2018143.220000 0.2450357 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 863579JG4 20756.180000 PA USD 18828.020000 0.0022860 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.90382 Y N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGG0 14194.960000 PA USD 13754.890000 0.0016701 Long ABS-MBS CORP US N 2 2034-02-25 Floating 3.76507 N N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YU6 23141.760000 PA USD 22802.580000 0.0027686 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.4845 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2006-1 N/A 86358EA97 1480750.880000 PA USD 1313796.370000 0.1595164 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.78825 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 13207.610000 PA USD 12047.710000 0.0014628 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.4645 Y N N N N N STRUCTURED ASSET SEC CORP 2006-EQ1A N/A 86360RAA1 1108753.910000 PA USD 1068306.570000 0.1297099 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.3195 N N N N N N STRUCTURED ASSET SEC CORP 2007-GEL2 N/A 86363MAB7 275385.310000 PA USD 275302.800000 0.0334263 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.5045 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC5 N/A 86359SAD6 553158.350000 PA USD 533809.090000 0.0648132 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.3545 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAE1 1143356.870000 PA USD 970011.390000 0.1177753 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.93488 Y N N N N N TOBACCO SETTLEMENT FINANCE AUTHORITY N/A 88880LAA1 160000.000000 PA USD 161260.800000 0.0195797 Long DBT MUN US N 2 2047-06-01 Fixed 7.467 N N N N N N TOLL ROAD INVESTORS PARTNERSHIP II LP N/A 88948ABL0 8552899.510000 PA USD 2782389.240000 0.3378277 Long DBT CORP US N 2 2045-02-15 None 0 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 2509839.640000 PA 3110555.440000 0.3776724 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.67675 N N N N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 933NLFII8 3200000.000000 PA USD 3195555.010000 0.3879928 Long LON CORP US N 3 2020-09-28 Floating 0.886 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 ACI07SK20 200000.000000 PA 229579.500000 0.0278747 Long DBT CORP CH N 2 2026-02-12 Floating 4.75 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 1653000.000000 PA USD 1799103.710000 0.2184407 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UBS AG/STAMFORD CT BRANCH BFM8T61CT2L1QCEMIK50 90261AAB8 600000.000000 PA USD 669420.910000 0.0812787 Long DBT CORP CH N 2 2022-08-17 Fixed 7.625 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90352JAD5 2803000.000000 PA USD 2807865.920000 0.3409210 Long DBT CORP CH N 2 2023-08-15 Floating 1.34238 N N N N N N UMBS PASS THRU POOLS N/A 01F022683 58300000.000000 PA USD 60646278.250000 7.3634525 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 01F030694 51200000.000000 PA USD 53741598.210000 6.5251111 Long ABS-MBS USGSE US N 2 2050-09-14 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F032682 49200000.000000 PA USD 51748947.700000 6.2831707 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 01F040685 -16600000.000000 PA USD -17599242.310000 -2.1368366 Short ABS-MBS USGSE US N 2 2050-08-13 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F042673 -400000.000000 PA USD -429843.750000 -0.0521901 Short ABS-MBS USGSE US N 2 2050-07-14 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F050676 15000000.000000 PA USD 16393359.450000 1.9904226 Long ABS-MBS USGSE US N 2 2050-07-14 Fixed 5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962H1 261000.000000 PA USD 260926.050000 0.0316807 Long DBT UST US N 2 2020-09-24 None 0 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NAJ9 1581000.000000 PA USD 1596659.850000 0.1938607 Long DBT CORP US N 2 2020-09-15 Fixed 7.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 653636.120000 PA USD 771426.340000 0.0936638 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 3242731.450000 PA USD 4431902.100000 0.5381056 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 3345420.210000 PA USD 4332691.550000 0.5260598 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 7619640.380000 PA USD 10093497.590000 1.2255161 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 2079004.800000 PA USD 2780168.050000 0.3375580 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X39 16372011.740000 PA USD 16628279.730000 2.0189458 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828QV5 5807433.280000 PA USD 5914474.730000 0.7181142 Long DBT UST US N 2 2021-07-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828VM9 21703102.200000 PA USD 22625181.720000 2.7470680 Long DBT UST US N 2 2023-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828P46 2697000.000000 PA USD 2885948.020000 0.3504014 Long DBT UST US N 2 2026-02-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286B1 163600000.000000 PA USD 191728335.320000 23.2789633 Long DBT UST US N 2 2029-02-15 Fixed 2.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QE1 6613000.000000 PA USD 10727138.480000 1.3024505 Long DBT UST US N 2 2040-02-15 Fixed 4.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 18285000.000000 PA USD 25237228.350000 3.0642133 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286T2 5200000.000000 PA USD 6001835.940000 0.7287213 Long DBT UST US N 2 2029-05-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QH4 11085000.000000 PA USD 17522094.090000 2.1274695 Long DBT UST US N 2 2040-05-15 Fixed 4.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XQ8 82826000.000000 PA USD 86001535.590000 10.4419964 Long DBT UST US N 2 2022-07-31 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828L24 57045000.000000 PA USD 59158561.750000 7.1828193 Long DBT UST US N 2 2022-08-31 Fixed 1.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RY6 1653000.000000 PA USD 2159457.250000 0.2621935 Long DBT UST US N 2 2047-08-15 Fixed 2.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 503000.000000 PA USD 691566.050000 0.0839675 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285C0 29500000.000000 PA USD 33616171.880000 4.0815544 Long DBT UST US N 2 2025-09-30 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285J5 28231000.000000 PA USD 32215320.360000 3.9114681 Long DBT UST US N 2 2025-10-31 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YY0 9200000.000000 PA USD 9817046.850000 1.1919504 Long DBT UST US N 2 2024-12-31 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285T3 10574000.000000 PA USD 11885836.880000 1.4431355 Long DBT UST US N 2 2025-12-31 Fixed 2.625 N N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAK6 392209.490000 PA USD 349115.390000 0.0423883 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.64855 Y N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 3194.160000 PA USD 2969.980000 0.0003606 Long ABS-MBS CORP US N 2 2042-11-25 Floating 2.70382 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 103870.730000 PA USD 92260.020000 0.0112019 Long ABS-MBS CORP US N 2 2046-10-25 Floating 2.24 N N N N N N WASHINGTON STATE CONVENTION CENTER PUBLIC FACILITIES DISTRICT N/A 93976AAH5 2590000.000000 PA USD 3129212.100000 0.3799377 Long DBT MUN US N 2 2040-07-01 Fixed 6.79 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746RW3 934000.000000 PA USD 1020750.240000 0.1239358 Long DBT CORP US N 2 2026-04-22 Fixed 3 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR19 N/A 949789AA9 596933.460000 PA USD 548090.160000 0.0665471 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.33445 Y N N N N N YPF SA 5493003N7447U18U5U53 ACI1J9CS9 6620000.000000 PA 68187.530000 0.0082791 Long DBT CORP AR N 2 2021-03-04 Floating 52.9918 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAL6 2731000.000000 PA USD 2836150.600000 0.3443552 Long DBT CORP US N 2 2022-04-01 Fixed 3.15 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAC6 431000.000000 PA USD 444477.760000 0.0539669 Long DBT CORP US N 2 2021-11-30 Fixed 3.375 N N N N N N N/A N/A 000000000 2041000.000000 PA USD 2041000.000000 0.2478109 Long RA US N 2 Repurchase N 0.0000001 2020-07-01 1943500.000000 USD 2081832.290000 USD UST N N N AMERICAN HOME MTGE INV TRUST 2004-4 N/A 02660TCS0 2170.660000 PA USD 2161.600000 0.0002625 Long ABS-MBS CORP US N 2 2045-02-25 Floating 2.515 N N N N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 934NVQII2 1000000.000000 PA USD 995211.240000 0.1208350 Long LON CORP US N 3 2021-03-29 Floating 1.156 N N N N N N N/A N/A 000000000 -4280000.000000 PA USD -4280021.400000 -0.5196648 Short RA US N 2 Reverse repurchase N 0.1800000 2020-07-01 4000000.000000 USD 4058497.160000 USD UST N N N N/A N/A 000000000 -2307500.000000 PA USD -2307715.370000 -0.2801945 Short RA US N 2 Reverse repurchase N 0.2100000 2020-07-16 2000000.000000 USD 2308554.680000 USD UST N N N N/A N/A 000000000 -11068500.000000 PA USD -11069468.500000 -1.3440150 Short RA US N 2 Reverse repurchase N 0.2100000 2020-07-22 9400000.000000 USD 11016910.170000 USD UST N N N N/A N/A 000000000 -2652000.000000 PA USD -2652279.930000 -0.3220303 Short RA US N 2 Reverse repurchase N 0.2000000 2020-07-13 2040000.000000 USD 2722080.140000 USD UST N N N N/A N/A 000000000 -33061500.000000 PA USD -33061665.310000 -4.0142282 Short RA US N 2 Reverse repurchase N 0.1800000 2020-07-02 31600000.000000 USD 32809687.500000 USD UST N N N N/A N/A 000000000 -44604000.000000 PA USD -44624517.840000 -5.4181481 Short RA US N 2 Reverse repurchase N 0.2400000 2020-07-09 37800000.000000 USD 44302043.020000 USD UST N N N N/A N/A 000000000 1.000000 NC USD -903571.500000 -0.1097084 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -2039269.000000 USD 9683048.530000 USD 1135697.500000 N N N N/A N/A 000000000 1.000000 NC 12699.320000 0.0015419 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 422530.470000 EUR 387000.000000 EUR 2020-08-17 12699.320000 N N N N/A N/A 000000000 1.000000 NC -103332.850000 -0.0125463 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 9917657.010000 JPY 1059701651.000000 JPY 2020-07-02 -103332.850000 N N N N/A N/A 000000000 1.000000 NC 6268.610000 0.0007611 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 428390.180000 TWD 12650362.000000 TWD 2020-09-16 6268.610000 N N N N/A N/A 000000000 1.000000 NC 296921.390000 0.0360511 N/A DFE ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3169587.210000 ZAR 60193000.000000 ZAR 2020-07-08 296921.390000 N N N N/A N/A 000000000 1.000000 NC -6465.060000 -0.0007850 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 5001276.790000 CNY 698063.620000 USD 2020-09-16 -6465.060000 N N N N/A N/A 000000000 1.000000 NC 103488.930000 0.0125653 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1059701651.000000 JPY 9921835.600000 USD 2020-08-04 103488.930000 N N N N/A N/A 000000000 1.000000 NC 10802.460000 0.0013116 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 24919779.000000 RUB 359118.610000 USD 2020-08-14 10802.460000 N N N N/A N/A 000000000 1.000000 NC -848.190000 -0.0001030 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 45271408.000000 TWD 1554650.000000 USD 2020-09-16 -848.190000 N N N N/A N/A 000000000 1.000000 NC -13744.210000 -0.0016688 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 149888966.000000 TWD 5136350.000000 USD 2020-09-16 -13744.210000 N N N N/A N/A 000000000 1.000000 NC 65385.190000 0.0079388 N/A DFE BR N 2 BNP Paribas S.A. N/A 23921036.610000 BRL 4464170.910000 USD 2020-07-02 65385.190000 N N N N/A N/A 000000000 1.000000 NC 67331.570000 0.0081752 N/A DFE RU N 2 BNP Paribas S.A. N/A 154014264.000000 RUB 2227281.150000 USD 2020-07-17 67331.570000 N N N N/A N/A 000000000 1.000000 NC -20695.590000 -0.0025128 N/A DFE TW N 2 BNP Paribas S.A. N/A 148915102.000000 TWD 5057000.000000 USD 2020-07-15 -20695.590000 N N N N/A N/A 000000000 1.000000 NC USD 10653.700000 0.0012935 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.HY.32 N/A N/A Y Single Leg Swap 2024-06-21 300301.340000 USD 0.000000 USD 5005000.000000 USD -289647.640000 N N N N/A N/A 000000000 1.000000 NC USD -9746.060000 -0.0011833 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.34 Y Single Leg Swap 2025-06-21 0.000000 USD -3415.900000 USD 1615000.000000 USD -6330.160000 N N N N/A N/A 000000000 1.000000 NC USD -105726.060000 -0.0128369 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.IG.32 N/A N/A Y Single Leg Swap 2024-06-21 0.000000 USD -192528.260000 USD 9100000.000000 USD 86802.200000 N N N N/A N/A 000000000 -1400000.000000 NC USD -1066.060000 -0.0001294 N/A DCR US N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.630000 USD 2020-08-19 XXXX -86.060000 N N N N/A N/A 000000000 -1700000.000000 NC USD -2993.240000 -0.0003634 N/A DCR US N 2 CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 Put Written CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.200000 USD 2020-09-16 XXXX -604.740000 N N N N/A N/A 000000000 -1300000.000000 NC USD -632.630000 -0.0000768 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.550000 USD 2020-09-16 XXXX 277.370000 N N N N/A N/A 000000000 -1500000.000000 NC USD -1906.920000 -0.0002315 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2020-08-19 XXXX 43.080000 N N N N/A N/A 000000000 -1500000.000000 NC USD -1906.920000 -0.0002315 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2020-08-19 XXXX 988.080000 N N N N/A N/A 000000000 -1400000.000000 NC USD -735.100000 -0.0000893 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.600000 USD 2020-08-19 XXXX 230.900000 N N N N/A N/A 000000000 -1500000.000000 NC USD -787.610000 -0.0000956 N/A DCR US N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.600000 USD 2020-08-19 XXXX 412.390000 N N N N/A N/A 000000000 -1500000.000000 NC USD -787.610000 -0.0000956 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.600000 USD 2020-08-19 XXXX 112.390000 N N N N/A N/A 000000000 -1600000.000000 NC USD -1757.260000 -0.0002134 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.150000 USD 2020-08-19 XXXX 482.740000 N N N N/A N/A 000000000 -1400000.000000 NC USD -1340.680000 -0.0001628 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.200000 USD 2020-08-19 XXXX 689.320000 N N N N/A N/A 000000000 -1300000.000000 NC USD -2856.300000 -0.0003468 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2020-09-16 XXXX -223.800000 N N N N/A N/A 000000000 -1400000.000000 NC USD -1779.790000 -0.0002161 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2020-08-19 XXXX 460.210000 N N N N/A N/A 000000000 -1700000.000000 NC USD -827.290000 -0.0001004 N/A DCR US N 2 CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 Call Written CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.550000 USD 2020-09-16 XXXX 1161.710000 N N N N/A N/A 000000000 1.000000 NC USD -3546118.210000 -0.4305569 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.34 Y Single Leg Swap 2025-06-21 1420680.900000 USD 0.000000 USD 303400000.000000 USD -4966799.110000 N N N N/A N/A 000000000 1.000000 NC -2728.720000 -0.0003313 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 62151.220000 COP 223595219.000000 COP 2020-07-17 -2728.720000 N N N N/A N/A 000000000 1.000000 NC 112366.830000 0.0136432 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2233949.000000 ZAR 40741796.800000 ZAR 2020-07-08 112366.830000 N N N N/A N/A 000000000 1.000000 NC 91125.260000 0.0110641 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1109837.000000 ZAR 20853697.390000 ZAR 2020-07-08 91125.260000 N N N N/A N/A 000000000 1.000000 NC -590641.200000 -0.0717135 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 144799000.000000 ZAR 7748318.120000 USD 2020-07-08 -590641.200000 N N N N/A N/A 000000000 1.000000 NC -295.030000 -0.0000358 N/A DFE HK N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 3945768.000000 HKD 508580.120000 USD 2020-09-16 -295.030000 N N N N/A N/A 000000000 1.000000 NC -136007.950000 -0.0165136 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 4534793.670000 BRL 23921036.610000 BRL 2020-07-02 -136007.950000 N N N N/A N/A 000000000 1.000000 NC 138441.260000 0.0168090 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 23921036.610000 BRL 4529984.590000 USD 2020-08-04 138441.260000 N N N N/A N/A 000000000 10.000000 NC 18025.310000 0.0021886 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-09-08 1983201.430000 EUR 18025.310000 N N N N/A N/A 000000000 1.000000 NC 2564.820000 0.0003114 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1241000.000000 CAD 916677.960000 USD 2020-07-02 2564.820000 N N N N/A N/A 000000000 1.000000 NC -51312.770000 -0.0062302 N/A DFE GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9064000.000000 GBP 11179894.720000 USD 2020-07-02 -51312.770000 N N N N/A N/A 000000000 1.000000 NC 7703.480000 0.0009353 N/A DFE GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 423000.000000 GBP 531843.020000 USD 2020-07-02 7703.480000 N N N N/A N/A 000000000 1.000000 NC -11270.480000 -0.0013684 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 11267163.230000 CAD 15281000.000000 CAD 2020-07-02 -11270.480000 N N N N/A N/A 000000000 1.000000 NC 6021.660000 0.0007311 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 670852.240000 CAD 918924.000000 CAD 2020-07-02 6021.660000 N N N N/A N/A 000000000 1.000000 NC 6422.300000 0.0007798 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 648700.710000 CNY 4649238.000000 CNY 2020-09-16 6422.300000 N N N N/A N/A 000000000 1.000000 NC 3835.910000 0.0004657 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 457260.250000 EUR 410000.000000 EUR 2020-08-17 3835.910000 N N N N/A N/A 000000000 1.000000 NC 36561.470000 0.0044392 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5041134.120000 TWD 148915102.000000 TWD 2020-07-15 36561.470000 N N N N/A N/A 000000000 1.000000 NC 112473.610000 0.0136561 N/A DFE ZA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1795318.000000 ZAR 33127193.370000 ZAR 2020-07-08 112473.610000 N N N N/A N/A 000000000 1.000000 NC -1328.860000 -0.0001613 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 83000.000000 AUD 55949.450000 USD 2020-07-02 -1328.860000 N N N N/A N/A 000000000 1.000000 NC -101644.860000 -0.0123414 N/A DFE BR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3570000.000000 BRL 550373.850000 USD 2021-01-05 -101644.860000 N N N N/A N/A 000000000 1.000000 NC 10636.000000 0.0012914 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1117000.000000 CAD 833411.490000 USD 2020-07-02 10636.000000 N N N N/A N/A 000000000 1.000000 NC 23062.200000 0.0028001 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 9696000.000000 CAD 7165077.520000 USD 2020-07-02 23062.200000 N N N N/A N/A 000000000 1.000000 NC -6017.820000 -0.0007307 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 918924.000000 CAD 670915.910000 USD 2020-08-04 -6017.820000 N N N N/A N/A 000000000 1.000000 NC 6803.380000 0.0008260 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 99664000.000000 JPY 929831.860000 USD 2020-07-02 6803.380000 N N N N/A N/A 000000000 1.000000 NC -39404.670000 -0.0047844 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 148915102.000000 TWD 5077228.160000 USD 2020-09-16 -39404.670000 N N N N/A N/A 000000000 -1100000.000000 NC -1112.680000 -0.0001351 N/A DCR DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.500000 EUR 2021-01-20 XXXX -255.820000 N N N N/A N/A 000000000 -1100000.000000 NC -1746.590000 -0.0002121 N/A DCR DE N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.100000 EUR 2020-09-16 XXXX 420.190000 N N N N/A N/A 000000000 -1100000.000000 NC -489.880000 -0.0000595 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.480000 EUR 2020-09-16 XXXX 131.810000 N N N N/A N/A 000000000 -1200000.000000 NC -2574.930000 -0.0003126 N/A DCR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.200000 EUR 2020-10-21 XXXX 458.920000 N N N N/A N/A 000000000 -1100000.000000 NC -740.720000 -0.0000899 N/A DCR DE N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-09-16 XXXX -59.730000 N N N N/A N/A 000000000 -1400000.000000 NC -3004.080000 -0.0003647 N/A DCR DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.200000 EUR 2020-10-21 XXXX 453.990000 N N N N/A N/A 000000000 -1100000.000000 NC -740.720000 -0.0000899 N/A DCR DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-09-16 XXXX 120.640000 N N N N/A N/A 000000000 -1400000.000000 NC -1457.100000 -0.0001769 N/A DCR DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-10-21 XXXX -199.620000 N N N N/A N/A 000000000 -1100000.000000 NC -1746.590000 -0.0002121 N/A DCR DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.100000 EUR 2020-09-16 XXXX 222.230000 N N N N/A N/A 000000000 -1100000.000000 NC -2269.030000 -0.0002755 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.000000 EUR 2020-09-16 XXXX -124.190000 N N N N/A N/A 000000000 -1200000.000000 NC -1248.950000 -0.0001516 N/A DCR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-10-21 XXXX -237.670000 N N N N/A N/A 000000000 1.000000 NC 353075.520000 0.0428692 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 33 Y Single Leg Swap 2025-06-21 327257.240000 EUR 0.000000 EUR 18600000.000000 EUR 25818.280000 N N N N/A N/A 000000000 1.000000 NC -9613.880000 -0.0011673 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 872027.870000 GBP 696000.000000 GBP 2020-07-02 -9613.880000 N N N N/A N/A 000000000 1.000000 NC 153358.270000 0.0186202 N/A DFE ZA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3085718.000000 ZAR 56243829.420000 ZAR 2020-07-08 153358.270000 N N N N/A N/A 000000000 1.000000 NC 26589.690000 0.0032284 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 14890000.000000 CAD 10994474.190000 USD 2020-07-02 26589.690000 N N N N/A N/A 000000000 1.000000 NC -290135.260000 -0.0352272 N/A DFE ZA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 84762000.000000 ZAR 4591299.490000 USD 2020-07-08 -290135.260000 N N N N/A N/A 000000000 1.000000 NC -30076.340000 -0.0036518 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1256826.620000 RUB 87766088.000000 RUB 2020-08-14 -30076.340000 N N N N/A N/A 000000000 1.000000 NC -25751.090000 -0.0031266 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1293565.770000 RUB 90400973.540000 RUB 2020-07-17 -25751.090000 N N N 2020-08-04 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer XXXX