NPORT-P false 0000810893 XXXXXXXX S000014410 C000200458 C000039232 C000039229 C000039231 C000064167 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO StocksPLUS International Fund (Unhedged) S000014410 549300788EIV7LQVH379 2021-03-31 2020-06-30 N 944706247.010000 446598346.750000 498107900.260000 0.000000 0.000000 22486703.840000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1460549.436228 0.000000 0.000000 0.000000 ARS CAD GBP JPY EUR USD N ARGENT SECURITIES INC 2006-W4 N/A 040104TG6 3259023.880000 PA USD 1182403.520000 0.2373790 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.3445 N N N N N N N/A N/A 000000000 1.000000 NC -67048.920000 -0.0134607 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 7203588.960000 JPY 770567911.000000 JPY 2020-07-02 -67048.920000 N N N N/A N/A 000000000 1.000000 NC -23454.880000 -0.0047088 N/A DFE SG N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4953472.410000 SGD 6869000.000000 SGD 2020-09-16 -23454.880000 N N N N/A N/A 000000000 1.000000 NC 67189.300000 0.0134889 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 770567911.000000 JPY 7206654.330000 USD 2020-08-04 67189.300000 N N N N/A N/A 000000000 1.000000 NC USD 4383276.270000 0.8799853 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2021-06-23 0.000000 USD 0.000000 USD 91033753.390000 USD 4383276.270000 N N N N/A N/A 000000000 1.000000 NC USD 4802399.810000 0.9641284 N/A DE US N 2 UBS Asset Management Holding Ltd 549300MOMNGW0OI5CD23 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2021-06-23 0.000000 USD 0.000000 USD 72838350.800000 USD 4802399.810000 N N N N/A N/A 000000000 1.000000 NC USD 732666.460000 0.1470899 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2021-05-12 0.000000 USD 0.000000 USD 7323996.890000 USD 732666.460000 N N N N/A N/A 000000000 1.000000 NC USD -3679975.620000 -0.7387909 N/A DE US N 2 Citibank International Limited N/A MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2020-10-22 0.000000 USD 0.000000 USD 59796210.120000 USD -3679975.620000 N N N N/A N/A 000000000 1.000000 NC USD 402013.240000 0.0807081 N/A DE US N 2 Citibank International Limited N/A MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2021-03-11 0.000000 USD 0.000000 USD 21847009.970000 USD 402013.240000 N N N N/A N/A 000000000 1.000000 NC USD 3004429.560000 0.6031684 N/A DE US N 2 UBS Asset Management Holding Ltd 549300MOMNGW0OI5CD23 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2021-09-15 0.000000 USD 0.000000 USD 163238267.220000 USD 3004429.560000 N N N N/A N/A 000000000 1.000000 NC USD 5485516.370000 1.1012707 N/A DE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2020-08-12 0.000000 USD 0.000000 USD 69661110.470000 USD 5485516.370000 N N N N/A N/A 000000000 1.000000 NC -7380.660000 -0.0014817 N/A DFE SG N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 2999554.640000 SGD 4169000.000000 SGD 2020-09-16 -7380.660000 N N N N/A N/A 000000000 1.000000 NC 27114.000000 0.0054434 N/A DFE ZA N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 395300.000000 ZAR 7334863.090000 ZAR 2020-07-08 27114.000000 N N N N/A N/A 000000000 1.000000 NC 90626.370000 0.0181941 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1007200000.000000 JPY 9418711.570000 USD 2020-07-02 90626.370000 N N N N/A N/A 000000000 1.000000 NC -33124.110000 -0.0066500 N/A DFE BR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1024439.460000 BRL 6073153.690000 BRL 2020-07-02 -33124.110000 N N N N/A N/A 000000000 1.000000 NC -25933.400000 -0.0052064 N/A DFE BR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1018442.120000 BRL 6073153.690000 BRL 2020-08-04 -25933.400000 N N N N/A N/A 000000000 1.000000 NC -1786.440000 -0.0003586 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 6073153.690000 EUR 1020276.100000 EUR 2020-07-02 -1786.440000 N N N N/A N/A 000000000 1.000000 NC 31287.600000 0.0062813 N/A DFE BR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 6073153.690000 BRL 1020276.100000 EUR 2020-07-02 31287.600000 N N N N/A N/A 000000000 1.000000 NC -1054.580000 -0.0002117 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1024439.460000 EUR 6073153.690000 BRL 2020-07-02 -1054.580000 N N N N/A N/A 000000000 1.000000 NC -4165.490000 -0.0008363 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1018442.120000 EUR 6073153.690000 BRL 2020-08-04 -4165.490000 N N N N/A N/A 000000000 1.000000 NC -19825.170000 -0.0039801 N/A DFE MX N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 7911000.100000 MXN 323356.060000 USD 2020-07-24 -19825.170000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1JDTT0 547000.000000 PA 5950.120000 0.0011945 Long DBT NUSS AR N 2 2020-08-28 Floating 30.3128 N N N N N N N/A N/A 000000000 54100000.000000 NC USD 1258658.140000 0.2526878 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 1059840.640000 N N N N/A N/A 000000000 -17300000.000000 NC USD -1326686.830000 -0.2663453 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 -1133278.240000 N N N N/A N/A 000000000 118800000.000000 NC USD 2711384.280000 0.5443367 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 2244158.270000 N N N N/A N/A 000000000 -38000000.000000 NC USD -3047018.600000 -0.6117186 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 -2580005.210000 N N N N/A N/A 000000000 30500000.000000 NC USD 2527635.650000 0.5074474 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 2283635.650000 N N N N/A N/A 000000000 -16100000.000000 NC USD -2575995.170000 -0.5171561 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 -2332055.780000 N N N N/A N/A 000000000 31100000.000000 NC USD 995520.330000 0.1998604 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Purchased BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.33500 07/21/21-3Y LCH N/A N/A 2024-07-21 0.000000 USD 0.000000 USD N/A USD N/A 1.340000 USD 2021-07-19 XXXX 715620.330000 N N N N/A N/A 000000000 31200000.000000 NC USD 2195709.360000 0.4408100 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 2012673.430000 N N N N/A N/A 000000000 -16500000.000000 NC USD -2271350.400000 -0.4559957 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 -2087983.110000 N N N N/A N/A 000000000 -10800000.000000 NC USD -828220.680000 -0.1662733 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 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 -592510.680000 N N N N/A N/A 000000000 129000000.000000 NC 449838.220000 0.0903094 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 136250.500000 N N N N/A N/A 000000000 -17200000.000000 NC -406024.470000 -0.0815134 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 -187708.370000 N N N N/A N/A 000000000 -8300000.000000 NC -215162.390000 -0.0431959 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 -114192.690000 N N N N/A N/A 000000000 1.000000 NC 341687.260000 0.0685970 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-01-15 252567.880000 GBP 0.000000 GBP 15400000.000000 GBP 89119.380000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 996000.000000 PA 8591.830000 0.0017249 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 31129.000000 0.0062494 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 1600000.000000 GBP 31129.000000 N N N N/A N/A 000000000 1.000000 NC 380086.470000 0.0763061 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-01-15 75845.650000 GBP 0.000000 GBP 10700000.000000 GBP 304240.820000 N N N N/A N/A 000000000 1.000000 NC 442048.640000 0.0887456 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 91613.890000 GBP 0.000000 GBP 5500000.000000 GBP 350434.750000 N N N N/A N/A 000000000 1.000000 NC USD -55859.870000 -0.0112144 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2024-06-19 0.000000 USD 0.000000 USD 2200000.000000 USD -55859.870000 N N N N/A N/A 000000000 1.000000 NC 778772.270000 0.1563461 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2024-12-19 688021.920000 CAD 0.000000 CAD 30600000.000000 CAD 90750.350000 N N N N/A N/A 000000000 1.000000 NC 1140736.690000 0.2290140 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 -124135.140000 CAD 35600000.000000 CAD 1264871.830000 N N N N/A N/A 000000000 1.000000 NC 1033899.180000 0.2075653 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 269576.940000 CAD 0.000000 CAD 4150000.000000 CAD 764322.240000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HQ6 748000.000000 PA USD 302610.880000 0.0607521 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 211793.420000 0.0425196 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 2900000.000000 GBP 211793.420000 N N N N/A N/A 000000000 1.000000 NC 1871021.850000 0.3756258 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2055-01-20 263617.480000 GBP 0.000000 GBP 23800000.000000 GBP 1607404.370000 N N N N/A N/A 000000000 1.000000 NC -167628.590000 -0.0336531 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 2400000.000000 GBP -167628.590000 N N N N/A N/A 000000000 1.000000 NC -1687562.780000 -0.3387946 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 -221497.950000 GBP 22200000.000000 GBP -1466064.830000 N N N N/A N/A 000000000 1.000000 NC -754542.020000 -0.1514816 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 -802951.240000 JPY 2700000000.000000 JPY 48409.220000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114GK0 1629000.000000 PA USD 646379.060000 0.1297669 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 3636472.710000 0.7300572 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 2957677.370000 USD 0.000000 USD 60100000.000000 USD 678795.340000 N N N N/A N/A 000000000 1.000000 NC USD -11507730.340000 -2.3102887 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 -8776699.670000 USD 248700000.000000 USD -2731030.670000 N N N N/A N/A 000000000 1.000000 NC USD 2843597.550000 0.5708798 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-06-17 1117976.070000 USD 0.000000 USD 51900000.000000 USD 1725621.480000 N N N N/A N/A 000000000 1.000000 NC USD 2917985.680000 0.5858140 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-06-17 2824717.300000 USD 0.000000 USD 18500000.000000 USD 93268.380000 N N N N/A N/A 000000000 1.000000 NC USD -1443959.380000 -0.2898889 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-18 8914.590000 USD 0.000000 USD 26600000.000000 USD -1452873.970000 N N N N/A N/A 000000000 1.000000 NC USD -1887626.470000 -0.3789594 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 -55647.850000 USD 19000000.000000 USD -1831978.620000 N N N N/A N/A 000000000 1.000000 NC USD -181441.980000 -0.0364262 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-12-03 0.000000 USD -3653.710000 USD 1700000.000000 USD -177788.270000 N N N N/A N/A 000000000 1.000000 NC USD 4500085.410000 0.9034359 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 -233824.660000 USD 99900000.000000 USD 4733910.070000 N N N N/A N/A 000000000 1.000000 NC USD -4138044.970000 -0.8307527 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 0.000000 USD -1991750.610000 USD 27700000.000000 USD -2146294.360000 N N N N/A N/A 000000000 1.000000 NC USD -3216923.820000 -0.6458287 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-05-30 4057.500000 USD 0.000000 USD 24700000.000000 USD -3220981.320000 N N N N/A N/A 000000000 1.000000 NC 9761.760000 0.0019598 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1840635.260000 CAD 2512099.000000 CAD 2020-07-02 9761.760000 N N N N/A N/A 000000000 1.000000 NC -43842.900000 -0.0088019 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 4663977.340000 JPY 498859016.000000 JPY 2020-07-02 -43842.900000 N N N N/A N/A 000000000 1.000000 NC -9756.750000 -0.0019588 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 2512099.000000 CAD 1840803.850000 USD 2020-08-04 -9756.750000 N N N N/A N/A 000000000 1.000000 NC 41657.830000 0.0083632 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1503332000.000000 JPY 13964621.480000 USD 2020-07-02 41657.830000 N N N N/A N/A 000000000 1.000000 NC 43899.240000 0.0088132 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 498859016.000000 JPY 4665927.290000 USD 2020-08-04 43899.240000 N N N N/A N/A 000000000 1.000000 NC -3384.550000 -0.0006795 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 583690.940000 EUR 516000.000000 EUR 2020-08-17 -3384.550000 N N N N/A N/A 000000000 1.000000 NC -49905.520000 -0.0100190 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 5008409.540000 JPY 535394472.000000 JPY 2020-07-02 -49905.520000 N N N N/A N/A 000000000 1.000000 NC 5402.950000 0.0010847 N/A DFE TW N 2 UBS AG BFM8T61CT2L1QCEMIK50 750000.000000 TWD 21985339.000000 TWD 2020-09-16 5402.950000 N N N N/A N/A 000000000 1.000000 NC 13967.910000 0.0028042 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 150500000.000000 JPY 1407809.080000 USD 2020-07-02 13967.910000 N N N N/A N/A 000000000 1.000000 NC 50005.880000 0.0100392 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 535394472.000000 JPY 5010542.200000 USD 2020-08-04 50005.880000 N N N N/A N/A 000000000 1.000000 NC -22128.240000 -0.0044425 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 12054000.000000 MXN 501981.500000 USD 2020-07-07 -22128.240000 N N N N/A N/A 000000000 -400000.000000 NC USD -386.160000 -0.0000775 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 1238.840000 N N N N/A N/A 000000000 -300000.000000 NC USD -303.390000 -0.0000609 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 868.490000 N N N N/A N/A 000000000 -500000.000000 NC USD -494.000000 -0.0000992 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 1459.130000 N N N ASSET BACKED SEC CORP HM EQ 2005-HE6 N/A 04541GTN2 75000.000000 PA USD 74133.120000 0.0148829 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.12825 N N N N N N N/A N/A 000000000 -300000.000000 NC USD -303.390000 -0.0000609 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 868.490000 N N N N/A N/A 000000000 -600000.000000 NC USD -783.660000 -0.0001573 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 2403.840000 N N N N/A N/A 000000000 -400000.000000 NC USD -391.560000 -0.0000786 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% AUG 30YR N/A 102.080000 USD 2020-08-06 XXXX 1295.940000 N N N N/A N/A 000000000 -1300000.000000 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 102.500000 USD 2020-07-07 XXXX 6042.960000 N N N N/A N/A 000000000 -800000.000000 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 2812.490000 N N N N/A N/A 000000000 -1100000.000000 NC USD -374.440000 -0.0000752 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 6758.370000 N N N N/A N/A 000000000 -1100000.000000 NC USD -402.270000 -0.0000808 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 6730.540000 N N N N/A N/A 000000000 -2000000.000000 NC USD -916.000000 -0.0001839 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 13459.000000 N N N N/A N/A 000000000 -1000000.000000 NC USD -397.700000 -0.0000798 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 6164.800000 N N N N/A N/A 000000000 -400000.000000 NC USD -95.360000 -0.0000191 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 2654.640000 N N N N/A N/A 000000000 -1000000.000000 NC USD -254.400000 -0.0000511 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 6620.600000 N N N N/A N/A 000000000 -3.000000 NC 381.110000 0.0000765 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2020-09-28 -511649.400000 GBP 381.110000 N N N N/A N/A 000000000 80.000000 NC USD 23017.120000 0.0046209 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-09-21 11133750.000000 USD 23017.120000 N N N N/A N/A 000000000 46.000000 NC USD 1739.540000 0.0003492 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-09-30 10158093.800000 USD 1739.540000 N N N N/A N/A 000000000 23.000000 NC USD 8595.120000 0.0017256 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-09-30 2892070.320000 USD 8595.120000 N N N N/A N/A 000000000 -228.000000 NC USD -92941.460000 -0.0186589 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-09-21 -40712250.000000 USD -92941.460000 N N N N/A N/A 000000000 -257.000000 NC USD 467447.540000 0.0938446 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-09-21 -56066156.250000 USD 467447.540000 N N N AT&T INC 549300Z40J86GGSTL398 00206RFZ0 1166000.000000 PA USD 1172013.050000 0.2352930 Long DBT CORP US N 2 2021-06-01 Floating 1.1 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RGD8 726000.000000 PA USD 727715.840000 0.1460960 Long DBT CORP US N 2 2024-06-12 Floating 1.49838 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RDV1 880000.000000 PA USD 887309.070000 0.1781359 Long DBT CORP US N 2 2021-07-15 Floating 2.16888 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAB7 300000.000000 PA USD 277861.390000 0.0557834 Long DBT CORP KY N 2 2023-10-01 Fixed 5.125 N N N N N N BAIDU INC 254900AL64IANZYI1E02 056752AR9 1000000.000000 PA USD 1088339.210000 0.2184947 Long DBT CORP KY N 2 2030-04-07 Fixed 3.425 N N N N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 ACI0TGL47 2100000.000000 PA 2357121.860000 0.4732151 Long DBT CORP ES N 2 2022-04-12 Floating 0.346 N N N N N N BANCO DEL ESTADO DE CHILE 5493004R4EJC0W0XVQ72 P1027DEN7 418000.000000 PA USD 420388.870000 0.0843971 Long DBT CORP CL N 2 2020-10-07 Fixed 4.125 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BQQ3S0II9 100000.000000 PA 107876.410000 0.0216572 Long DBT CORP ES N 2 2021-09-11 Floating 6.25 N N N N Y BANCO SANTANDER SA EUR XXXX N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHE2 44000.000000 PA USD 43859.870000 0.0088053 Long DBT CORP US N 2 2024-03-05 Floating 1.11663 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBG9 300000.000000 PA USD 311032.690000 0.0624428 Long DBT CORP GB N 2 2024-06-15 Floating 8 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI1CH093 500000.000000 PA 614284.100000 0.1233235 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 06738EBE4 1100000.000000 PA USD 1158509.640000 0.2325821 Long DBT CORP GB N 2 2023-02-15 Floating 4.61 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBC8 1000000.000000 PA USD 991226.070000 0.1989983 Long DBT CORP GB N 2 2024-05-16 Floating 1.76563 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAQ8 800000.000000 PA USD 818460.600000 0.1643139 Long DBT CORP GB N 2 2021-08-10 Fixed 3.2 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAZ8 100000.000000 PA USD 107213.910000 0.0215242 Long DBT CORP US N 2 2024-08-15 Fixed 3.222 N N N N N N BAT INTERNATIONAL FINANCE PLC 21380041YBGOQDFAC823 05530QAK6 30000.000000 PA USD 33109.470000 0.0066470 Long DBT CORP GB N 2 2025-06-15 Fixed 3.95 N N N N N N BAY AREA TOLL AUTHORITY 5493001FUZGUQMIP5D78 072024PY2 20000.000000 PA USD 36018.800000 0.0072311 Long DBT MUN US N 2 2050-10-01 Fixed 6.907 N N N N N N BCAP LLC TRUST 2010-RR11 N/A 05533JBE2 245237.940000 PA USD 200141.430000 0.0401803 Long ABS-MBS CORP US N 2 2037-03-27 Floating 3.86889 N N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HXZ9 1947590.390000 PA USD 1775968.340000 0.3565429 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.64286 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAA8 412313.360000 PA USD 347249.730000 0.0697138 Long ABS-MBS CORP US N 2 2046-06-25 Floating 0.48825 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAX8 10177.220000 PA USD 9290.950000 0.0018652 Long ABS-MBS CORP US N 2 2034-02-25 Floating 0.32825 N N N N N N BEAR STEARNS ALT-A TRUST 2007-2 N/A 073870AA5 311373.640000 PA USD 256714.920000 0.0515380 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.50825 N N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE7 N/A 07388HAP4 198950.220000 PA USD 242608.410000 0.0487060 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.3445 N N N N N N BERKSHIRE HATHAWAY ENERGY COMPANY 549300JD0S5IZJE9LY15 084659AW1 700000.000000 PA USD 880739.870000 0.1768171 Long DBT CORP US N 2 2050-10-15 Fixed 4.25 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 105756CB4 582000.000000 PA USD 548316.750000 0.1100799 Long DBT NUSS BR N 2 2050-01-14 Fixed 4.75 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BC2 88000.000000 PA USD 88096.550000 0.0176862 Long DBT CORP US N 2 2021-03-15 Floating 0.94338 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -3900000.000000 PA -4123832.620000 -0.8278995 Short DBT NUSS CA N 2 2048-12-01 Fixed 2.75 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC 549300TPZNMN50BJ3745 16117LBX6 3033582.800000 PA USD 2924037.090000 0.5870289 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 66000.000000 PA USD 70393.490000 0.0141322 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 132000.000000 PA USD 151467.140000 0.0304085 Long DBT CORP US N 2 2025-07-23 Fixed 4.908 N N N N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 1421907.330000 PA USD 1212760.540000 0.2434735 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.4845 N N N N N N CHEVY CHASE MORTGAGE FUND CORP 2005-3A N/A 16678RDU8 182323.870000 PA USD 169608.280000 0.0340505 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.4145 N N N N N N CHICAGO TRANSIT AUTHORITY 549300CB8XLRGIPN3E12 167725AF7 20000.000000 PA USD 27595.000000 0.0055400 Long DBT MUN US N 2 2040-12-01 Fixed 6.899 N N N N N N CIM TRUST 2017-6 N/A 12553GAA8 1916122.210000 PA USD 1945087.650000 0.3904952 Long ABS-MBS CORP US N 2 2057-06-25 Variable 3.015 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAA0 511048.150000 PA USD 510730.230000 0.1025341 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.5345 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MA6 858000.000000 PA USD 856146.510000 0.1718797 Long DBT CORP US N 2 2024-06-01 Floating 1.373 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR3 N/A 17306SAA1 33233.190000 PA USD 31066.500000 0.0062369 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.02454 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-NC2 N/A 17309TAC2 1288028.370000 PA USD 1098142.980000 0.2204629 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.3445 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-OPT4 N/A 17307GUU0 128070.740000 PA USD 128054.360000 0.0257082 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.03825 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486D22 21000.000000 PA USD 22636.320000 0.0045445 Long DBT MUN US N 2 2042-01-01 Fixed 7.75 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030NCS8 93000.000000 PA USD 106648.240000 0.0214107 Long DBT CORP US N 2 2025-10-15 Fixed 3.95 N N N N N N CONSOLIDATED EDISON COMPANY OF NEW YORK INC VZFZPMWDHTQCFKYOBP05 209111FY4 1700000.000000 PA USD 2032311.270000 0.4080062 Long DBT CORP US N 2 2050-04-01 Fixed 3.95 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 BD2YKYII0 400000.000000 PA 463198.650000 0.0929916 Long DBT CORP NL N 2 2021-06-29 Floating 6.625 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA22 N/A 23245PAA9 12573.230000 PA USD 11111.360000 0.0022307 Long ABS-MBS CORP US N 2 2047-02-25 Floating 0.3445 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDE0 8227.820000 PA USD 7376.120000 0.0014808 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.50382 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1 N/A 02150GAN8 729425.980000 PA USD 253682.030000 0.0509291 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.5345 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY3 N/A 02148DAA8 2458288.690000 PA USD 2206047.370000 0.4428854 Long ABS-MBS CORP US N 2 2047-03-25 Floating 2.37688 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OH2 N/A 02151RAC7 1603528.500000 PA USD 1443100.280000 0.2897164 Long ABS-MBS CORP US N 2 2047-08-25 Floating 0.4245 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7 N/A 126680AA5 79689.020000 PA USD 69577.580000 0.0139684 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.3645 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-27CB N/A 12667FWU5 950028.450000 PA USD 940458.530000 0.1888062 Long ABS-MBS CORP US N 2 2034-12-25 Fixed 6 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-16 N/A 126670PJ1 1540000.000000 PA USD 1460778.860000 0.2932655 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.64825 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-6 N/A 126673W65 616000.000000 PA USD 587864.200000 0.1180194 Long ABS-MBS CORP US N 2 2035-07-25 Floating 0.8945 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-13 N/A 23242EAL3 4180000.000000 PA USD 3169078.290000 0.6362233 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.45825 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-15 N/A 12666UAC7 525466.530000 PA USD 519703.320000 0.1043355 Long ABS-MBS CORP US N 2 2046-10-25 Variable 5.689 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-8 N/A 045427AC5 518259.480000 PA USD 511096.560000 0.1026076 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.3445 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-5 N/A 12668KAA1 518841.480000 PA USD 384634.620000 0.0772191 Long ABS-MBS CORP US N 2 2047-09-25 Floating 0.3845 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-8 N/A 1266735Z1 770000.000000 PA USD 724462.120000 0.1454428 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.2195 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-13 N/A 126670HJ0 1054491.210000 PA USD 1048564.440000 0.2105095 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.82825 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KJ6 111587.620000 PA USD 100178.900000 0.0201119 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.4245 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 3287.740000 PA USD 3206.970000 0.0006438 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 2162.000000 PA USD 2116.640000 0.0004249 Long ABS-MBS CORP US N 2 2035-02-20 Floating 3.6333 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AK4 264000.000000 PA USD 271443.480000 0.0544949 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 484000.000000 PA USD 534151.050000 0.1072360 Long DBT CORP GG N 2 2025-03-26 Fixed 3.75 N N N N N N GENERAL MOTORS COMPANY 54930070NSV60J38I987 370ESC733 2000.000000 NS USD 0.000000 0.0000000 Long EP CORP DE N 3 N N N CSN RESOURCES SA 222100ZEX458NMOXZP08 12644VAB4 250000.000000 PA USD 232812.500000 0.0467394 Long DBT CORP LU N 2 2023-02-13 Fixed 7.625 N N N N N N CSX CORPORATION 549300JVQR4N1MMP3Q88 126408HS5 400000.000000 PA USD 476514.640000 0.0956649 Long DBT CORP US N 2 2050-04-15 Fixed 3.8 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650DH0 1400000.000000 PA USD 1574953.060000 0.3161871 Long DBT CORP US N 2 2027-04-01 Fixed 3.625 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DV3 300000.000000 PA USD 296508.970000 0.0595271 Long DBT CORP US N 2 2022-02-15 Floating 1.29238 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-AR2 N/A 25151UAA5 445432.990000 PA USD 411712.510000 0.0826553 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.31825 Y N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI0Z7P46 500000.000000 PA 560498.200000 0.1125255 Long DBT CORP DE N 2 2020-12-07 Floating 0.148 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BS7 1188000.000000 PA USD 1142695.280000 0.2294072 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 1254000.000000 PA USD 1287349.000000 0.2584478 Long DBT CORP DE N 2 2021-10-14 Fixed 4.25 N N N N N N DTE ELECTRIC CO (AKA: DETROIT EDISON COMPANY) 9N0FWODEJVKHC2DYLO03 23338VAM8 1100000.000000 PA USD 1193471.750000 0.2396010 Long DBT CORP US N 2 2031-03-01 Fixed 2.625 N N N N N N ELLINGTON LOAN ACQUISITION TRUST 2007-2 N/A 288547AA0 588428.800000 PA USD 571981.270000 0.1148308 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.2345 N N N N N N EQUINOR ASA OW6OFBNCKXC4US5C7523 29446MAF9 1400000.000000 PA USD 1547048.190000 0.3105850 Long DBT CORP NO N 2 2030-04-06 Fixed 3.125 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 1400000.000000 PA USD 1568814.810000 0.3149548 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N EXELON CORPORATION 3SOUA6IRML7435B56G12 30161NAX9 2100000.000000 PA USD 2429191.860000 0.4876839 Long DBT CORP US N 2 2030-04-15 Fixed 4.05 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 286000.000000 PA 333866.210000 0.0670269 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 9221.150000 PA USD 9234.490000 0.0018539 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 1343.790000 PA USD 1339.970000 0.0002690 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 2328.340000 PA USD 2328.800000 0.0004675 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 15470.770000 PA USD 15685.040000 0.0031489 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 0.9045 N N N N N N FANNIE MAE REMICS 2012-31 N/A 3136A5JJ6 493000.000000 PA USD 584782.890000 0.1174008 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 4 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 5448.980000 PA USD 5455.560000 0.0010953 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 0.5845 N N N N N N FHLMC PASS THRU POOLS N/A 31297MW95 39894.450000 PA USD 44112.300000 0.0088560 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LDVR2 388.470000 PA USD 427.580000 0.0000858 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 3128P7KG7 723.230000 PA USD 795.940000 0.0001598 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5R93 453.630000 PA USD 520.890000 0.0001046 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6YJ1 207782.910000 PA USD 238856.830000 0.0479528 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HHA1 225000.000000 NS USD 205253.750000 0.0412067 Long EP CORP US N 2 N N N FIRST FRANKLIN MTG LN ASSET CERT2005-FF8 N/A 362341QR3 22104.900000 PA USD 22227.040000 0.0044623 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.9195 N N N N N N FIRST HORIZON MTGE PT TR 2007-AR3 N/A 32056JAE4 192946.540000 PA USD 176219.350000 0.0353777 Long ABS-MBS CORP US N 2 2037-11-25 Floating 4.28094 Y N N N N N FNMA PASS THRU POOLS N/A 31368HL35 115.390000 PA USD 132.380000 0.0000266 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 31371PCJ7 3151.380000 PA USD 3608.450000 0.0007244 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 31385XQ59 440.840000 PA USD 505.490000 0.0001015 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 31391WFK2 305.430000 PA USD 344.860000 0.0000692 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 31400BZL3 191.580000 PA USD 214.090000 0.0000430 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 31400JSC4 110.420000 PA USD 126.460000 0.0000254 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 31402DP79 35156.180000 PA USD 40351.480000 0.0081010 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 31402QV57 5034.090000 PA USD 5508.980000 0.0011060 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31402RCR8 1598.330000 PA USD 1839.150000 0.0003692 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 31403DBL2 266.430000 PA USD 306.450000 0.0000615 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 31403DDX4 600.350000 PA USD 690.450000 0.0001386 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 31404ABA1 198.380000 PA USD 227.340000 0.0000456 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 31406PG78 26012.340000 PA USD 29853.370000 0.0059934 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 31407FHF0 339.840000 PA USD 390.410000 0.0000784 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407HKP0 1989.780000 PA USD 2283.450000 0.0004584 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 31407Q6S0 1017.620000 PA USD 1125.390000 0.0002259 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 31407RTA2 211.620000 PA USD 242.710000 0.0000487 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 31407WUV3 7902.680000 PA USD 8796.200000 0.0017659 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31407YXM6 6094.210000 PA USD 6990.380000 0.0014034 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 31408AEN6 306.350000 PA USD 351.880000 0.0000706 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 31408GY92 706.650000 PA USD 793.280000 0.0001593 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 31409AJ42 2022.830000 PA USD 2316.390000 0.0004650 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 31409BBV8 3114.850000 PA USD 3576.630000 0.0007180 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 31409EN80 423.430000 PA USD 486.320000 0.0000976 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 31410E3F3 1850.720000 PA USD 2072.770000 0.0004161 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410FCT0 2758.970000 PA USD 3148.780000 0.0006321 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410FVW2 78317.910000 PA USD 89988.650000 0.0180661 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 31410FVY8 6778.520000 PA USD 7793.260000 0.0015646 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 31410FYE9 329.530000 PA USD 379.060000 0.0000761 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 31410GF99 3557.150000 PA USD 4091.860000 0.0008215 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 31410KNN0 1064.650000 PA USD 1238.400000 0.0002486 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410UFL1 94.470000 PA USD 95.970000 0.0000193 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 31411DS75 261.350000 PA USD 298.280000 0.0000599 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 31411JF43 2840.470000 PA USD 3256.840000 0.0006538 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412MNZ7 780.400000 PA USD 893.780000 0.0001794 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 31412NEZ5 38441.920000 PA USD 44236.430000 0.0088809 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412N6Z4 9769.330000 PA USD 11187.460000 0.0022460 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412QXQ7 46375.690000 PA USD 52039.530000 0.0104474 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412V5F1 5839.250000 PA USD 6795.140000 0.0013642 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412XES9 6670.140000 PA USD 7768.100000 0.0015595 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412XMC5 5803.660000 PA USD 6389.610000 0.0012828 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 31413DRT6 18367.740000 PA USD 20435.060000 0.0041025 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413TJV5 200.730000 PA USD 228.640000 0.0000459 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413TVD1 25879.630000 PA USD 29634.750000 0.0059495 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31413UW47 2979.280000 PA USD 3003.340000 0.0006029 Long ABS-MBS USGSE US N 2 2022-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415MM28 4217.700000 PA USD 4840.570000 0.0009718 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415P3Z9 3173.610000 PA USD 3619.700000 0.0007267 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415P6P8 35845.860000 PA USD 41257.620000 0.0082829 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415YFZ7 1263.390000 PA USD 1390.040000 0.0002791 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 31416AVY3 11128.610000 PA USD 12403.600000 0.0024901 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416CBU9 3563.980000 PA USD 4078.540000 0.0008188 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416JH53 971.180000 PA USD 1023.370000 0.0002055 Long ABS-MBS USGSE US N 2 2023-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416J5B3 4335.480000 PA USD 4962.700000 0.0009963 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 31416Q6N0 2698.420000 PA USD 2998.650000 0.0006020 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 31418P3W3 15224.280000 PA USD 17480.680000 0.0035094 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 31418TWY9 68684.170000 PA USD 77944.830000 0.0156482 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418T2H9 8922.890000 PA USD 9445.870000 0.0018964 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418V3Z3 24677.350000 PA USD 26125.740000 0.0052450 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419ARE9 847.710000 PA USD 972.750000 0.0001953 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 31419AVJ3 20566.740000 PA USD 23968.180000 0.0048118 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31419A3K1 577.120000 PA USD 673.950000 0.0001353 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31419JSV1 25596.670000 PA USD 28497.320000 0.0057211 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 3138ABYE3 6366.720000 PA USD 7091.970000 0.0014238 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 3138APAF5 21209.080000 PA USD 22908.670000 0.0045991 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 3138ARNJ9 27905.960000 PA USD 30600.430000 0.0061433 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 3138EGE26 32511.020000 PA USD 37974.270000 0.0076237 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EGSJ4 233370.070000 PA USD 267495.760000 0.0537024 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 3138EHPD8 274409.300000 PA USD 304485.770000 0.0611285 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 3138EKSM8 79456.650000 PA USD 91253.920000 0.0183201 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 34201.210000 PA USD 39947.430000 0.0080198 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EK2L8 6271.420000 PA USD 7325.100000 0.0014706 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138ELCT8 67183.390000 PA USD 78472.410000 0.0157541 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138L0MH1 21638.050000 PA USD 22235.880000 0.0044641 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 2.31 N N N N N N FNMA PASS THRU POOLS N/A 3140GQ6E1 149554.380000 PA USD 158462.910000 0.0318130 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H1FD7 175732.680000 PA USD 186283.800000 0.0373983 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H4B45 150534.830000 PA USD 158964.670000 0.0319137 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5LT6 145904.740000 PA USD 154114.840000 0.0309401 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 3140H5MJ7 132009.950000 PA USD 139385.990000 0.0279831 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 3140H5M32 123015.390000 PA USD 129854.090000 0.0260695 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 3140H5NN7 148146.220000 PA USD 156432.250000 0.0314053 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5N64 128132.850000 PA USD 135137.560000 0.0271302 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HBJZ2 161869.980000 PA USD 171377.760000 0.0344058 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HN5H1 90614.930000 PA USD 95472.830000 0.0191671 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9HE6 153326.040000 PA USD 161988.960000 0.0325209 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CS47 675236.360000 PA USD 712569.370000 0.1430552 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 31418CUA0 228939.620000 PA USD 241646.300000 0.0485128 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 5847086.760000 PA USD 6173916.750000 1.2394738 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 31418CV27 153599.390000 PA USD 162116.690000 0.0325465 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CWS9 145220.090000 PA USD 153079.110000 0.0307321 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CXM1 135364.580000 PA USD 142423.460000 0.0285929 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CYL2 683547.650000 PA USD 718401.290000 0.1442260 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CZG2 130198.830000 PA USD 136947.700000 0.0274936 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418C3C6 118530.460000 PA USD 124903.590000 0.0250756 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 3.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540RAC0 550000.000000 PA USD 545613.130000 0.1095371 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 600000.000000 PA USD 584745.000000 0.1173932 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 13198.230000 PA USD 13417.810000 0.0026938 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 8373.090000 PA USD 8488.620000 0.0017042 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 7842.340000 PA USD 7921.880000 0.0015904 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 0.90475 N N N N N N FREDDIE MAC 3898 N/A 3137ADX44 77395.140000 PA USD 77846.760000 0.0156285 Long ABS-MBS USGSE US N 2 2041-06-15 Floating 0.75475 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 2287.730000 PA USD 2314.530000 0.0004647 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 0.89475 N N N N N N FREDDIE MAC REMICS 4077 N/A 3137ASAN4 427000.000000 PA USD 515377.170000 0.1034670 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 4 N N N N N N GLS AUTO RECEIVABLES TRUST 2019-3A N/A 36258AAA8 481153.800000 PA USD 486957.960000 0.0977615 Long ABS-O CORP US N 2 2023-07-17 Fixed 2.58 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 12043942.370000 PA USD 118741227.860000 23.8384550 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 21H050672 4900000.000000 PA USD 5323007.840000 1.0686455 Long ABS-MBS USGSE US N 2 2050-07-21 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295GWA6 19007.110000 PA USD 21854.680000 0.0043875 Long ABS-MBS USGSE US N 2 2037-08-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36296UNU0 29718.720000 PA USD 34032.750000 0.0068324 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620A2UY0 20787.650000 PA USD 23774.170000 0.0047729 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241KUL0 1522.130000 PA USD 1741.390000 0.0003496 Long ABS-MBS USGSE US N 2 2038-08-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241KZ35 10507.830000 PA USD 12022.850000 0.0024137 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36177MGP1 12096.470000 PA USD 13041.410000 0.0026182 Long ABS-MBS USGSE US N 2 2042-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36177TAG2 1849.550000 PA USD 1967.900000 0.0003951 Long ABS-MBS USGSE US N 2 2042-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178CLZ4 34286.520000 PA USD 36661.940000 0.0073602 Long ABS-MBS USGSE US N 2 2042-06-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178NB65 9194.970000 PA USD 9826.450000 0.0019728 Long ABS-MBS USGSE US N 2 2042-08-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36180DSZ1 12994.330000 PA USD 13782.590000 0.0027670 Long ABS-MBS USGSE US N 2 2043-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183BCF3 57442.660000 PA USD 60664.770000 0.0121790 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184BZF7 31085.060000 PA USD 32857.850000 0.0065965 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184BZJ9 36434.490000 PA USD 38500.570000 0.0077294 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184EA27 3110.460000 PA USD 3285.340000 0.0006596 Long ABS-MBS USGSE US N 2 2045-05-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184KHZ3 54708.620000 PA USD 57729.820000 0.0115898 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184NBT7 162412.380000 PA USD 172613.360000 0.0346538 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36185BRF5 30883.980000 PA USD 32733.550000 0.0065716 Long ABS-MBS USGSE US N 2 2045-06-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36186SMU9 61212.900000 PA USD 64997.930000 0.0130490 Long ABS-MBS USGSE US N 2 2045-06-15 Fixed 3.5 N N N N N N GOLDENTREE LOAN MANAGEMENT EUR CLO 4 DAC 4A N/A ACI1N8273 1300000.000000 PA 1460549.440000 0.2932195 Long ABS-CBDO CORP IE N 2 2031-07-20 Floating 1.55 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAF7 418000.000000 PA USD 419263.740000 0.0841713 Long DBT CORP US N 2 2021-11-15 Floating 1.56238 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H31 N/A 38375BC59 483498.910000 PA USD 480383.150000 0.0964416 Long ABS-MBS USGSE US N 2 2062-11-20 Floating 0.62 N N N N N N GSAMP TRUST 2006-HE8 N/A 3622M8AE6 902000.000000 PA USD 709844.500000 0.1425082 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.39825 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAB7 5024.770000 PA USD 2748.800000 0.0005518 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.23825 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RT8 20855.620000 PA USD 20862.230000 0.0041883 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.12146 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 827.160000 PA USD 794.380000 0.0001595 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.09715 N N N N N N GSR MORTGAGE LOAN TRUST 2006-9F N/A 3622X7AE6 149791.470000 PA USD 148207.160000 0.0297540 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.25 Y N N N N N GSR MORTGAGE LOAN TRUST 2007-2F N/A 362636AT9 2055.530000 PA USD 1686.890000 0.0003387 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N HALCYON LOAN ADVISORS FUNDING 2014-3 LTD N/A 40538FAQ6 55030.310000 PA USD 54956.060000 0.0110330 Long ABS-CBDO CORP KY N 2 2025-10-22 Floating 2.19763 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 1526426.770000 PA 1890926.820000 0.3796219 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.28692 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BG3 264000.000000 PA USD 267834.320000 0.0537703 Long DBT CORP GB N 2 2022-01-05 Floating 1.80375 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AW9 220000.000000 PA USD 248526.500000 0.0498941 Long DBT CORP GB N 2 2026-03-08 Fixed 4.3 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CF4 800000.000000 PA USD 959667.980000 0.1926627 Long DBT CORP ZA N 2 2030-03-31 Fixed 4.95 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BR9 200000.000000 PA USD 198510.690000 0.0398529 Long DBT CORP GB N 2 2024-05-18 Floating 1.38563 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 200000.000000 PA USD 204961.670000 0.0411480 Long DBT CORP GB N 2 2031-06-04 Floating 2.848 N N N N N N HSI ASSET SECUR CORP TRUST 2007-HE1 N/A 40430FAA0 452979.200000 PA USD 371446.750000 0.0745715 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.30825 N N N N N N IDAHO POWER COMPANY TN0LL73P2C8X3W6KM391 45138LBF9 1000000.000000 PA USD 1256697.440000 0.2522942 Long DBT CORP US N 2 2048-03-01 Fixed 4.2 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAB9 200000.000000 PA USD 214139.450000 0.0429906 Long DBT CORP GB N 2 2026-07-26 Fixed 3.5 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR27 N/A 45661LAC2 205292.480000 PA USD 117401.210000 0.0235694 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.4545 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR14 N/A 45668GAD4 938270.980000 PA USD 831001.930000 0.1668317 Long ABS-MBS CORP US N 2 2046-11-25 Floating 0.3845 Y N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AR4 300000.000000 PA USD 298000.500000 0.0598265 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 IRVINE RANCH WATER DISTRICT 2ZRS7W19IBMY48SFBI68 4636324P1 350000.000000 PA USD 547333.500000 0.1098825 Long DBT MUN US N 2 2040-05-01 Fixed 6.622 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513YJJ8 200000.000000 PA USD 248558.400000 0.0499005 Long DBT NUSS IL N 2 2048-01-17 Fixed 4.125 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 1353710172.000000 PA 12493375.190000 2.5081664 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1BXN03 1213581600.000000 PA 11233848.660000 2.2553043 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAT3 726000.000000 PA USD 727258.030000 0.1460041 Long DBT CORP US N 2 2022-06-18 Floating 0.91788 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBQ8 1700000.000000 PA USD 1728229.230000 0.3469588 Long DBT CORP US N 2 2024-06-01 Floating 1.514 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBR6 2800000.000000 PA USD 2900042.180000 0.5822116 Long DBT CORP US N 2 2028-06-01 Floating 2.182 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAU0 242000.000000 PA USD 262509.860000 0.0527014 Long DBT CORP US N 2 2024-07-23 Floating 3.797 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAW6 638000.000000 PA USD 639328.230000 0.1283514 Long DBT CORP US N 2 2024-07-23 Floating 1.933 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A3 N/A 46628KAT7 12834.610000 PA USD 12154.620000 0.0024402 Long ABS-MBS CORP US N 2 2034-08-25 Floating 3.64476 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAH8 280488.220000 PA USD 271920.930000 0.0545908 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.72054 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 334.650000 PA USD 315.410000 0.0000633 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 107800.000000 NS 129244.310000 0.0259471 Long EP CORP NL N 2 N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAL0 22000.000000 PA USD 24224.390000 0.0048633 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 22000.000000 PA USD 23884.210000 0.0047950 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 300000.000000 PA USD 303474.000000 0.0609254 Long DBT MUN US N 2 2036-09-01 Fixed 8.07 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AU3 500000.000000 PA USD 519074.480000 0.1042092 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 539439AT6 2800000.000000 PA USD 3285206.570000 0.6595371 Long DBT CORP GB N 2 2028-08-16 Fixed 4.55 N N N N N N MASTR ASSET BACKED SEC TR 2007-WMC1 N/A 55275TAB4 5975.790000 PA USD 1997.550000 0.0004010 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.21825 N N N N N N MCDONALDS CORPORATION UE2136O97NLB5BYP9H04 58013MFG4 196000.000000 PA USD 196481.770000 0.0394456 Long DBT CORP US N 2 2021-10-28 Floating 1.31713 N N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE2 N/A 59024LAD3 2290765.400000 PA USD 920108.830000 0.1847208 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.4445 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 29221.520000 PA USD 26270.390000 0.0052740 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.06326 Y N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAD4 1404751.020000 PA USD 865045.820000 0.1736664 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.3345 N N N N N N METROPOLITAN GOVERNMENT OF NASHVILLE & DAVIDSON COUNTY CONVENTION CENTER AUTH N/A 592125AM0 20000.000000 PA USD 30449.000000 0.0061129 Long DBT MUN US N 2 2043-07-01 Fixed 6.731 N N N N N N MONARCH GROVE CLO 2018-1A N/A 60909GAA8 1142055.770000 PA USD 1129207.640000 0.2266994 Long ABS-CBDO CORP KY N 2 2028-01-25 Floating 1.87138 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 ACI0TTCS6 1500000.000000 PA 1683835.430000 0.3380463 Long DBT CORP US N 2 2022-11-08 Floating 0.442 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAC4 2555320.560000 PA USD 1436635.460000 0.2884185 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.3145 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAA4 1805233.420000 PA USD 925350.010000 0.1857730 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.38325 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-11AR N/A 61748HTG6 415283.760000 PA USD 288951.330000 0.0580098 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.44825 Y N N N N N MOUNTAIN HAWK III CLO LTD 2014-3A N/A 62405CAN4 71151.760000 PA USD 70861.760000 0.0142262 Long ABS-CBDO CORP KY N 2 2025-04-18 Floating 2.33525 N N N N N N MOUNTAIN VIEW CLO LLC 2017-1A N/A 62432HAJ9 800000.000000 PA USD 782436.210000 0.1570817 Long ABS-CBDO CORP KY N 2 2029-10-16 Floating 2.26613 N N N N N N NASSAU LTD 2017-IA N/A 631707AL0 600000.000000 PA USD 588657.930000 0.1181788 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 2.36888 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAC1 374000.000000 PA USD 404958.390000 0.0812993 Long DBT CORP GB N 2 2024-08-01 Floating 4.363 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAC2 200000.000000 PA USD 197063.000000 0.0395623 Long DBT CORP US N 2 2021-03-25 Fixed 5.875 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AZ2 800000.000000 PA USD 788280.500000 0.1582550 Long DBT CORP US N 2 2022-07-13 Fixed 2.65 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AS8 300000.000000 PA USD 294719.450000 0.0591678 Long DBT CORP US N 2 2021-09-14 Fixed 1.9 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BD0 300000.000000 PA USD 293710.360000 0.0589652 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 2392.710000 PA USD 1664.490000 0.0003342 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.476 Y N N N N N NOVASTAR HOME EQUITY LOAN 2006-4 N/A 66988XAD6 1362116.840000 PA USD 761146.670000 0.1528076 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.4345 N N N N N N NVIDIA CORPORATION 549300S4KLFTLO7GSQ80 67066GAJ3 1100000.000000 PA USD 1314116.110000 0.2638216 Long DBT CORP US N 2 2060-04-01 Fixed 3.7 N N N N N N OPTION ONE MORTGAGE LOAN TR 2005-1 N/A 68389FGK4 1515803.890000 PA USD 1465295.940000 0.2941724 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.94825 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2006-1 N/A 68389FKR4 814000.000000 PA USD 709571.370000 0.1424533 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.52825 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-3 N/A 68402BAA4 553746.780000 PA USD 415024.190000 0.0833201 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.38825 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-4 N/A 68403FAA4 434827.340000 PA USD 335629.350000 0.0673809 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.38825 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-5 N/A 68403HAA0 584038.740000 PA USD 413086.450000 0.0829311 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.38825 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XBU8 2400000.000000 PA USD 2624564.260000 0.5269068 Long DBT CORP US N 2 2027-04-01 Fixed 2.8 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NBF5 446000.000000 PA USD 445108.000000 0.0893598 Long DBT CORP NL N 2 2030-01-15 Fixed 5.093 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCD9 31000.000000 PA USD 31500.490000 0.0063240 Long DBT CORP US N 2 2021-02-15 Fixed 4.875 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCF4 220000.000000 PA USD 228646.590000 0.0459030 Long DBT CORP US N 2 2022-03-15 Fixed 3.45 N N N N N N PUBLIC POWER GENERATION AGENCY N/A 744434CW9 20000.000000 PA USD 29351.800000 0.0058927 Long DBT MUN US N 2 2041-01-01 Fixed 7.242 N N N N N N RAYMOND JAMES FINANCIAL INC RGUZHJ05YTITL6D76949 754730AG4 1200000.000000 PA USD 1437414.280000 0.2885749 Long DBT CORP US N 2 2030-04-01 Fixed 4.65 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAF3 213418.610000 PA USD 111973.700000 0.0224798 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.586 N N N N N N RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4 N/A 74923HAK7 1236176.500000 PA USD 1128373.260000 0.2265319 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 121349.180000 PA USD 106611.820000 0.0214034 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.3695 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAC7 403531.900000 PA USD 354213.200000 0.0711117 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.3545 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO2 N/A 761118HU5 10701.350000 PA USD 9800.000000 0.0019674 Long ABS-MBS CORP US N 2 2045-09-25 Floating 2.86382 N N N N N N RESIDENTIAL ASSET SECS CORP 2005-KS12 N/A 753910AF5 2200000.000000 PA USD 1916102.980000 0.3846763 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.6645 N N N N N N RIPON MORTGAGES PLC 1A N/A ACI0TMV43 4936889.110000 PA 6096953.470000 1.2240226 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 1.05613 N N N N N N RIPON MORTGAGES PLC 1X N/A ACI0TMVB7 891382.760000 PA 1100838.820000 0.2210041 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 1.05613 N N N N N N RIPON MORTGAGES PLC 1X N/A ACI0WLGW6 1371358.090000 PA 1695858.370000 0.3404600 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 1.05613 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780099CJ4 400000.000000 PA USD 401600.000000 0.0806251 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 780097BG5 396000.000000 PA USD 467359.220000 0.0938269 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N ACE SECURITIES CORP 2005-SD2 N/A 004421QH9 691000.000000 PA USD 572140.950000 0.1148629 Long ABS-MBS CORP US N 2 2040-08-25 Floating 4.66825 Y N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 1800000.000000 PA USD 1801568.860000 0.3616825 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 1100000.000000 PA USD 1196047.240000 0.2401181 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N ACE SECURITIES CORP 2006-NC2 N/A 00441XAA2 432706.690000 PA USD 337000.020000 0.0676560 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.30825 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAJ4 440000.000000 PA USD 486966.040000 0.0977632 Long DBT CORP GB N 2 2024-11-15 Floating 4.796 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAX1 700000.000000 PA USD 746821.550000 0.1499317 Long DBT CORP GB N 2 2024-06-18 Fixed 2.875 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAH2 374000.000000 PA USD 415485.580000 0.0834128 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI121KG1 200000.000000 PA USD 248047.200000 0.0497979 Long DBT NUSS SA N 2 2049-04-17 Fixed 5 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 376520.860000 PA USD 209304.140000 0.0420198 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.40825 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BB4 638000.000000 PA USD 639134.460000 0.1283125 Long DBT CORP US N 2 2021-03-15 Floating 0.76338 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-FRE1 N/A 81879MAV1 1948965.600000 PA USD 1270709.390000 0.2551073 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.52825 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2007-20L N/A 83162CRL9 2264.300000 PA USD 2454.480000 0.0004928 Long ABS-O CORP US N 2 2027-12-01 Fixed 5.29 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20L N/A 83162CSE4 2536.740000 PA USD 2850.840000 0.0005723 Long ABS-O CORP US N 2 2028-12-01 Fixed 6.22 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2009-20E N/A 83162CSN4 12661.650000 PA USD 13690.910000 0.0027486 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-OPT1 N/A 83612TAB8 2812.200000 PA USD 2100.850000 0.0004218 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.24825 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAD4 682910.190000 PA USD 517764.480000 0.1039462 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.37825 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1 N/A 83612NAC9 1657924.210000 PA USD 588334.800000 0.1181139 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.2945 N N N N N N SOUNDVIEW HOME EQUITY LOAN TRUST 2007-1 N/A 83612PAA8 199293.790000 PA USD 187007.530000 0.0375436 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.31825 N N N N N N AEP TRANSMISSION COMPANY LLC 549300X123Z1I0LA3Y84 00115AAM1 1200000.000000 PA USD 1391510.840000 0.2793593 Long DBT CORP US N 2 2050-04-01 Fixed 3.65 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAF2 600000.000000 PA USD 676497.000000 0.1358133 Long DBT CORP US N 2 2023-09-15 Fixed 7.875 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BR0 600000.000000 PA USD 601533.000000 0.1207636 Long DBT CORP GB N 2 2022-09-10 Floating 1.50975 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-1 N/A 86362TAA5 236028.920000 PA USD 217585.950000 0.0436825 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.46825 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR2 N/A 86363DAH4 4990.230000 PA USD 2484.760000 0.0004988 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.4445 N N N N N N STRUCTURED ASSET SEC CORP 2007-WF1 N/A 86358BAT9 676663.540000 PA USD 636932.700000 0.1278704 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.3945 N N N N N N STRUCTURED ASSET SECURITIES CO-2007-BC3 N/A 86363WAC3 1069443.600000 PA USD 1011868.290000 0.2031424 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.4145 N N N N N N SYMPHONY CLO XVII LTD 2016-17A N/A 87165UAN1 462000.000000 PA USD 457960.740000 0.0919401 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 2.09888 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 793499.730000 PA 983419.360000 0.1974310 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.67675 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 5866841.190000 PA USD 6186091.810000 1.2419180 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 ACI07SK20 500000.000000 PA 573948.740000 0.1152258 Long DBT CORP CH N 2 2026-02-12 Floating 4.75 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 462000.000000 PA USD 502834.790000 0.1009490 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 363000.000000 PA USD 404999.650000 0.0813076 Long DBT CORP CH N 2 2022-08-17 Fixed 7.625 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90352JAD5 200000.000000 PA USD 200347.190000 0.0402216 Long DBT CORP CH N 2 2023-08-15 Floating 1.34238 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 ACI0T2G44 3700000.000000 PA 4160781.100000 0.8353172 Long DBT CORP CH N 2 2022-09-20 Floating 0.311 N N N N N N UMBS PASS THRU POOLS N/A 01F022683 22300000.000000 PA USD 23197461.490000 4.6571158 Long ABS-MBS USGSE US N 2 2050-08-13 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022691 4500000.000000 PA USD 4671091.760000 0.9377670 Long ABS-MBS USGSE US N 2 2050-09-14 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030694 67100000.000000 PA USD 70430883.590000 14.1396841 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 11440000.000000 PA USD 12032682.150000 2.4156778 Long ABS-MBS USGSE US N 2 2050-08-13 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040677 10300000.000000 PA USD 10914378.830000 2.1911676 Long ABS-MBS USGSE US N 2 2050-07-14 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F040685 -13300000.000000 PA USD -14100597.760000 -2.8308320 Short ABS-MBS USGSE US N 2 2050-08-13 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F042681 5300000.000000 PA USD 5697110.560000 1.1437503 Long ABS-MBS USGSE US N 2 2050-08-13 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F050676 -3900000.000000 PA USD -4262273.460000 -0.8556928 Short ABS-MBS USGSE US N 2 2050-07-14 Fixed 5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962F5 17300000.000000 PA USD 17280753.750000 3.4692792 Long DBT UST US N 2 2021-03-25 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962R9 10052000.000000 PA USD 10047782.380000 2.0171899 Long DBT UST US N 2 2020-10-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828SA9 9141366.720000 PA USD 9274501.310000 1.8619462 Long DBT UST US N 2 2022-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828UH1 659939.940000 PA USD 676754.730000 0.1358651 Long DBT UST US N 2 2023-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N71 107927.000000 PA USD 117013.200000 0.0234915 Long DBT UST US N 2 2026-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FS2 56851.080000 PA USD 66153.560000 0.0132810 Long DBT UST US N 2 2026-01-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PV4 36723.300000 PA USD 43850.670000 0.0088034 Long DBT UST US N 2 2028-01-15 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 111542.000000 PA USD 131642.720000 0.0264286 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 880280.000000 PA USD 1203095.240000 0.2415331 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 865848.000000 PA USD 1121369.540000 0.2251258 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 7106949.960000 PA USD 9414352.740000 1.8900228 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 705129.140000 PA USD 942940.350000 0.1893044 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X39 1159939.000000 PA USD 1178095.300000 0.2365141 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FD5 69764.200000 PA USD 93967.820000 0.0188650 Long DBT UST US N 2 2028-04-15 Fixed 3.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828QV5 1820512.000000 PA USD 1854067.310000 0.3722220 Long DBT UST US N 2 2021-07-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828VM9 2884931.280000 PA USD 3007500.670000 0.6037850 Long DBT UST US N 2 2023-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Y38 24519.120000 PA USD 27672.210000 0.0055555 Long DBT UST US N 2 2028-07-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828B66 6064000.000000 PA USD 6622432.790000 1.3295177 Long DBT UST US N 2 2024-02-15 Fixed 2.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828P46 100000.000000 PA USD 107005.860000 0.0214825 Long DBT UST US N 2 2026-02-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286B1 23656000.000000 PA USD 27723261.010000 5.5657140 Long DBT UST US N 2 2029-02-15 Fixed 2.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QE1 1807000.000000 PA USD 2931186.940000 0.5884643 Long DBT UST US N 2 2040-02-15 Fixed 4.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 6800000.000000 PA USD 9385460.910000 1.8842225 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X70 300000.000000 PA USD 320490.230000 0.0643415 Long DBT UST US N 2 2024-04-30 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XB1 4211000.000000 PA USD 4586124.430000 0.9207090 Long DBT UST US N 2 2025-05-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286T2 7000000.000000 PA USD 8079394.540000 1.6220169 Long DBT UST US N 2 2029-05-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QH4 1606000.000000 PA USD 2538609.210000 0.5096505 Long DBT UST US N 2 2040-05-15 Fixed 4.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282P4 8352000.000000 PA USD 8650192.460000 1.7366102 Long DBT UST US N 2 2022-07-31 Fixed 1.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XQ8 2970000.000000 PA USD 3083869.320000 0.6191167 Long DBT UST US N 2 2022-07-31 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828D56 3862000.000000 PA USD 4202640.450000 0.8437209 Long DBT UST US N 2 2024-08-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282R0 6800000.000000 PA USD 7639242.200000 1.5336521 Long DBT UST US N 2 2027-08-15 Fixed 2.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 154000.000000 PA USD 211731.950000 0.0425072 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828T26 11340000.000000 PA USD 11778544.000000 2.3646571 Long DBT UST US N 2 2023-09-30 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285D8 1360000.000000 PA USD 1478389.060000 0.2968010 Long DBT UST US N 2 2023-09-30 Fixed 2.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285C0 600000.000000 PA USD 683718.750000 0.1372632 Long DBT UST US N 2 2025-09-30 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285J5 600000.000000 PA USD 684679.690000 0.1374561 Long DBT UST US N 2 2025-10-31 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285P1 1180000.000000 PA USD 1287513.670000 0.2584809 Long DBT UST US N 2 2023-11-30 Fixed 2.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828U24 7329000.000000 PA USD 8049875.900000 1.6160908 Long DBT UST US N 2 2026-11-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YY0 2100000.000000 PA USD 2240847.650000 0.4498719 Long DBT UST US N 2 2024-12-31 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285T3 200000.000000 PA USD 224812.500000 0.0451333 Long DBT UST US N 2 2025-12-31 Fixed 2.625 N N N N N N UNIVERSITY OF ARIZONA N/A 040484DX2 220000.000000 PA USD 220965.800000 0.0443610 Long DBT MUN US N 2 2035-08-01 Fixed 6.423 N N N N N N VENTURE CLO LTD 2013-4A N/A 92328GBA3 1300000.000000 PA USD 1270032.430000 0.2549713 Long ABS-CBDO CORP KY N 2 2029-08-28 Floating 1.40125 N N N N N N WACHOVIA MORTGAGE LN TRUST LLC 2005-B N/A 92977YBR1 111290.230000 PA USD 99028.010000 0.0198808 Long ABS-MBS CORP US N 2 2035-10-20 Floating 4.21354 Y N N N N N WAMU ASSET-BACKED CERTIFICATES 2007-HE2 N/A 92926SAE6 5060225.990000 PA USD 2517566.670000 0.5054260 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.5445 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 13206.440000 PA USD 12279.550000 0.0024652 Long ABS-MBS CORP US N 2 2042-11-25 Floating 2.70382 N N N N N N WASHINGTON MUTUAL 2006-AR11 N/A 93363TAD4 1220489.720000 PA USD 1119065.070000 0.2246632 Long ABS-MBS CORP US N 2 2046-09-25 Floating 2.42382 Y N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AE0 80113.260000 PA USD 71512.050000 0.0143567 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.98112 Y N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 25212.870000 PA USD 24061.320000 0.0048305 Long ABS-MBS CORP US N 2 2046-02-25 Floating 2.50382 N N N N N N WASHINGTON MUTUAL 2006-AR8 N/A 93362FAD5 537592.810000 PA USD 496593.190000 0.0996959 Long ABS-MBS CORP US N 2 2046-08-25 Floating 3.91267 Y N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2S1 5800000.000000 PA USD 5997283.400000 1.2040129 Long DBT CORP US N 2 2028-06-02 Floating 2.393 N N N N N N WELLS FARGO HOME EQUITY TRUST 2005-4 N/A 9497EMAJ4 701000.000000 PA USD 661940.210000 0.1328909 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.6845 N N N N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166BY9 900000.000000 PA USD 1017790.420000 0.2043313 Long DBT CORP US N 2 2030-04-15 Fixed 4 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-4 N/A 02660LAA8 2990817.550000 PA USD 1893311.330000 0.3801006 Long ABS-MBS CORP US N 2 2046-10-25 Floating 0.3745 N N N N N N XCEL ENERGY INC LGJNMI9GH8XIDG5RCM61 98389BAY6 1100000.000000 PA USD 1268207.920000 0.2546051 Long DBT CORP US N 2 2030-06-01 Fixed 3.4 N N N N N N YPF SA 5493003N7447U18U5U53 ACI1J9CS9 1920000.000000 PA 19776.440000 0.0039703 Long DBT CORP AR N 2 2021-03-04 Floating 52.9918 N N N N N N N/A N/A 000000000 53537000.000000 PA USD 53537000.000000 10.7480729 Long RA US N 2 Repurchase N 0.0000001 2020-07-01 50979200.000000 USD 54607740.910000 USD UST N N N N/A N/A 000000000 1.000000 NC 11339.100000 0.0022764 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1224335.660000 CNY 8771752.870000 CNY 2020-09-16 11339.100000 N N N N/A N/A 000000000 1.000000 NC -12280.390000 -0.0024654 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1546268.590000 EUR 1364000.000000 EUR 2020-08-17 -12280.390000 N N N N/A N/A 000000000 1.000000 NC -60087.480000 -0.0120631 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 5767062.250000 JPY 616210601.000000 JPY 2020-07-02 -60087.480000 N N N N/A N/A 000000000 1.000000 NC 8802.130000 0.0017671 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 97740.100000 RUB 7596947.000000 RUB 2020-07-17 8802.130000 N N N N/A N/A 000000000 1.000000 NC 3520.400000 0.0007068 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 240580.730000 TWD 7104349.000000 TWD 2020-09-16 3520.400000 N N N N/A N/A 000000000 1.000000 NC 109715.840000 0.0220265 N/A DFE ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1171198.620000 ZAR 22242000.000000 ZAR 2020-07-08 109715.840000 N N N N/A N/A 000000000 1.000000 NC 60178.230000 0.0120814 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 616210601.000000 JPY 5769492.070000 USD 2020-08-04 60178.230000 N N N N/A N/A 000000000 1.000000 NC -9167.430000 -0.0018405 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 99976365.000000 TWD 3425960.000000 USD 2020-09-16 -9167.430000 N N N N/A N/A 000000000 1.000000 NC -175.880000 -0.0000353 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 421000.000000 EUR 473291.150000 USD 2020-08-17 -175.880000 N N N N/A N/A 000000000 1.000000 NC -26577.810000 -0.0053358 N/A DFE GB N 2 BNP Paribas S.A. N/A 1317720.600000 GBP 1042000.000000 GBP 2020-07-02 -26577.810000 N N N N/A N/A 000000000 1.000000 NC -3825.770000 -0.0007681 N/A DFE JP N 2 BNP Paribas S.A. N/A 832721.350000 JPY 89500000.000000 JPY 2020-07-02 -3825.770000 N N N N/A N/A 000000000 1.000000 NC 224851.360000 0.0451411 N/A DFE ZA N 2 BNP Paribas S.A. N/A 2121303.400000 ZAR 40739000.000000 ZAR 2020-07-08 224851.360000 N N N N/A N/A 000000000 1.000000 NC 24776.610000 0.0049741 N/A DFE BR N 2 BNP Paribas S.A. N/A 9064469.490000 BRL 1691621.550000 USD 2020-07-02 24776.610000 N N N N/A N/A 000000000 1.000000 NC 12739.590000 0.0025576 N/A DFE RU N 2 BNP Paribas S.A. N/A 29140551.000000 RUB 421416.810000 USD 2020-07-17 12739.590000 N N N N/A N/A 000000000 1.000000 NC -917.390000 -0.0001842 N/A DFE TW N 2 BNP Paribas S.A. N/A 14186437.000000 TWD 486520.000000 USD 2020-09-16 -917.390000 N N N N/A N/A 000000000 1.000000 NC -15383.590000 -0.0030884 N/A DFE TW N 2 BNP Paribas S.A. N/A 110692480.000000 TWD 3759000.000000 USD 2020-07-15 -15383.590000 N N N N/A N/A 000000000 1.000000 NC USD -10468.550000 -0.0021017 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.33 Y Single Leg Swap 2024-12-21 0.000000 USD -130002.620000 USD 2208000.000000 USD 119534.070000 N N N N/A N/A 000000000 1.000000 NC USD -10892.630000 -0.0021868 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.34 Y Single Leg Swap 2025-06-21 17546.500000 USD 0.000000 USD 1805000.000000 USD -28439.130000 N N N N/A N/A 000000000 -900000.000000 NC USD -685.320000 -0.0001376 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 -55.320000 N N N N/A N/A 000000000 -1000000.000000 NC USD -1760.730000 -0.0003535 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 -355.730000 N N N N/A N/A 000000000 -800000.000000 NC USD -389.310000 -0.0000782 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 170.690000 N N N N/A N/A 000000000 -900000.000000 NC USD -1144.150000 -0.0002297 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 25.850000 N N N N/A N/A 000000000 -900000.000000 NC USD -1144.150000 -0.0002297 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 592.850000 N N N N/A N/A 000000000 -900000.000000 NC USD -472.560000 -0.0000949 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 148.440000 N N N N/A N/A 000000000 -900000.000000 NC USD -472.560000 -0.0000949 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 247.440000 N N N N/A N/A 000000000 -900000.000000 NC USD -472.560000 -0.0000949 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 67.440000 N N N N/A N/A 000000000 -900000.000000 NC USD -988.460000 -0.0001984 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 271.540000 N N N N/A N/A 000000000 -900000.000000 NC USD -861.870000 -0.0001730 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 443.130000 N N N N/A N/A 000000000 -800000.000000 NC USD -1757.720000 -0.0003529 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 -137.720000 N N N N/A N/A 000000000 -900000.000000 NC USD -1144.150000 -0.0002297 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 295.850000 N N N N/A N/A 000000000 -1000000.000000 NC USD -486.640000 -0.0000977 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 683.360000 N N N N/A N/A 000000000 1.000000 NC USD -515437.750000 -0.1034791 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.34 Y Single Leg Swap 2025-06-21 0.000000 USD -410761.480000 USD 44100000.000000 USD -104676.270000 N N N N/A N/A 000000000 1.000000 NC 41602.330000 0.0083521 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 482507.410000 MXN 12054000.000000 MXN 2020-07-07 41602.330000 N N N N/A N/A 000000000 1.000000 NC 41521.150000 0.0083358 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 825476.000000 ZAR 15054674.680000 ZAR 2020-07-08 41521.150000 N N N N/A N/A 000000000 1.000000 NC 33672.030000 0.0067600 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 410100.000000 ZAR 7705727.330000 ZAR 2020-07-08 33672.030000 N N N N/A N/A 000000000 1.000000 NC -257838.500000 -0.0517636 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7641000.000000 EUR 8335419.430000 USD 2020-08-17 -257838.500000 N N N N/A N/A 000000000 1.000000 NC -509252.080000 -0.1022373 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 124846000.000000 ZAR 6680616.050000 USD 2020-07-08 -509252.080000 N N N N/A N/A 000000000 1.000000 NC -51537.900000 -0.0103467 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1718382.840000 BRL 9064469.490000 BRL 2020-07-02 -51537.900000 N N N N/A N/A 000000000 1.000000 NC 52459.960000 0.0105318 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 9064469.490000 BRL 1716560.520000 USD 2020-08-04 52459.960000 N N N N/A N/A 000000000 9.000000 NC 16217.170000 0.0032558 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-09-08 1784881.290000 EUR 16217.170000 N N N N/A N/A 000000000 1.000000 NC 25880.710000 0.0051958 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 318775.450000 MXN 7945000.000000 MXN 2020-07-24 25880.710000 N N N N/A N/A 000000000 1.000000 NC 6650.520000 0.0013352 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 118288.820000 RUB 8908745.000000 RUB 2020-07-17 6650.520000 N N N N/A N/A 000000000 1.000000 NC 9718.420000 0.0019511 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 105951.300000 RUB 8247779.000000 RUB 2020-07-17 9718.420000 N N N N/A N/A 000000000 1.000000 NC 3533.770000 0.0007094 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 52226.740000 RUB 3975979.000000 RUB 2020-07-17 3533.770000 N N N N/A N/A 000000000 1.000000 NC 1494.260000 0.0003000 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 723000.000000 CAD 534051.710000 USD 2020-07-02 1494.260000 N N N N/A N/A 000000000 1.000000 NC -62204.840000 -0.0124882 N/A DFE GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10988000.000000 GBP 13553032.130000 USD 2020-07-02 -62204.840000 N N N N/A N/A 000000000 1.000000 NC 4516.460000 0.0009067 N/A DFE GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 248000.000000 GBP 311813.400000 USD 2020-07-02 4516.460000 N N N N/A N/A 000000000 1.000000 NC -4120.680000 -0.0008273 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4119471.300000 CAD 5587000.000000 CAD 2020-07-02 -4120.680000 N N N N/A N/A 000000000 1.000000 NC 4008.070000 0.0008047 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 446525.220000 CAD 611644.000000 CAD 2020-07-02 4008.070000 N N N N/A N/A 000000000 1.000000 NC 27177.090000 0.0054561 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3747206.500000 TWD 110692480.000000 TWD 2020-07-15 27177.090000 N N N N/A N/A 000000000 1.000000 NC 41560.570000 0.0083437 N/A DFE ZA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 663395.000000 ZAR 12240959.230000 ZAR 2020-07-08 41560.570000 N N N N/A N/A 000000000 1.000000 NC -39860.730000 -0.0080024 N/A DFE BR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1400000.000000 BRL 215832.880000 USD 2021-01-05 -39860.730000 N N N N/A N/A 000000000 1.000000 NC 16925.600000 0.0033980 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7116000.000000 CAD 5258528.430000 USD 2020-07-02 16925.600000 N N N N/A N/A 000000000 1.000000 NC -4005.510000 -0.0008041 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 611644.000000 CAD 446567.610000 USD 2020-08-04 -4005.510000 N N N N/A N/A 000000000 1.000000 NC -12394.660000 -0.0024883 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 8972763.000000 CNY 1251955.210000 USD 2020-09-16 -12394.660000 N N N N/A N/A 000000000 1.000000 NC -44676.330000 -0.0089692 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1030000.000000 EUR 1113687.190000 USD 2020-08-17 -44676.330000 N N N N/A N/A 000000000 1.000000 NC 4100.430000 0.0008232 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 60068000.000000 JPY 560414.390000 USD 2020-07-02 4100.430000 N N N N/A N/A 000000000 1.000000 NC -760.800000 -0.0001527 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 30887645.000000 TWD 1060520.000000 USD 2020-09-16 -760.800000 N N N N/A N/A 000000000 1.000000 NC -29290.520000 -0.0058804 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 110692480.000000 TWD 3774036.140000 USD 2020-09-16 -29290.520000 N N N N/A N/A 000000000 -200000.000000 NC -202.310000 -0.0000406 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 -46.520000 N N N N/A N/A 000000000 -700000.000000 NC -1111.470000 -0.0002231 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 267.390000 N N N N/A N/A 000000000 -700000.000000 NC -311.740000 -0.0000626 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 83.880000 N N N N/A N/A 000000000 -700000.000000 NC -1502.040000 -0.0003015 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 267.710000 N N N N/A N/A 000000000 -700000.000000 NC -471.360000 -0.0000946 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 -38.000000 N N N N/A N/A 000000000 -800000.000000 NC -1716.620000 -0.0003446 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 259.420000 N N N N/A N/A 000000000 -700000.000000 NC -471.360000 -0.0000946 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 76.780000 N N N N/A N/A 000000000 -800000.000000 NC -832.630000 -0.0001672 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 -114.070000 N N N N/A N/A 000000000 -700000.000000 NC -1111.470000 -0.0002231 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 141.420000 N N N N/A N/A 000000000 -700000.000000 NC -1443.930000 -0.0002899 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 -79.030000 N N N N/A N/A 000000000 -700000.000000 NC -728.560000 -0.0001463 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 -138.640000 N N N N/A N/A 000000000 1.000000 NC 87319.710000 0.0175303 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 33 Y Single Leg Swap 2025-06-21 81183.890000 EUR 0.000000 EUR 4600000.000000 EUR 6135.820000 N N N ARGENT SECURITIES INC 2003-W10 N/A 040104EN7 498147.880000 PA USD 484522.490000 0.0972726 Long ABS-MBS CORP US N 2 2034-01-25 Floating 1.24825 N N N N N N N/A N/A 000000000 1.000000 NC 56668.030000 0.0113767 N/A DFE ZA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1140216.000000 ZAR 20782882.360000 ZAR 2020-07-08 56668.030000 N N N N/A N/A 000000000 1.000000 NC 9841.210000 0.0019757 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5511000.000000 CAD 4069210.690000 USD 2020-07-02 9841.210000 N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAM1 728020.690000 PA USD 616698.390000 0.1238082 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.3345 N N N N N N 2020-08-04 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer XXXX