NPORT-P false 0000810893 XXXXXXXX S000009683 C000026540 C000198388 C000026539 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Global Bond Opportunities Fund (Unhedged) S000009683 R7RDV19025JX26S0V169 2021-03-31 2020-09-30 N 504069151.700000 308725769.700000 195343382.000000 0.000000 0.000000 54889645.480000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 7055007.190000 BRL GBP CAD AUD CNY DKK EUR NZD CHF JPY NOK ARS PEN ILS USD N N/A N/A 000000000 1.000000 NC 9192.040000 0.0047056 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2555000.000000 SEK 294614.920000 USD 2020-11-17 9192.040000 N N N N/A N/A 000000000 -4250000.000000 NC USD -3004.750000 -0.0015382 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written USD-LIBOR-BBA-Bloomberg 1M N/A N/A N/A 0.000000 USD 2022-10-07 XXXX 1378.060000 N N N N/A N/A 000000000 -2000000.000000 NC USD -1437.000000 -0.0007356 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written USD-LIBOR-BBA-Bloomberg 1M N/A N/A N/A 0.000000 USD 2022-10-08 XXXX 538.000000 N N N N/A N/A 000000000 54.000000 NC 147421.680000 0.0754680 N/A DIR DE N 1 Eurex N/A Long N/A ITALY GOVT 2020-12-08 9343627.440000 EUR 147421.680000 N N N N/A N/A 000000000 95.000000 NC -95.790000 -0.0000490 N/A DIR DE N 1 Eurex N/A Put Purchased Eurex N/A N/A 815600DE60799F5A9309 000000000 0.000000 NC 0.000000 0.000000 DIR IT N/A N/A FIN FUT EUX EURO-BTP 12/08/20 2020-12-09 N/A EUR N/A 80.000000 EUR 2020-11-20 XXXX -95.790000 N N N N/A N/A 000000000 1.000000 NC USD -4797.550000 -0.0024560 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2025-06-21 0.000000 USD -9695.850000 USD 400000.000000 USD 4898.300000 N N N N/A N/A 000000000 1.000000 NC USD -2398.770000 -0.0012280 N/A DCR US N 2 Citibank International Limited N/A ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2025-06-21 0.000000 USD -4869.900000 USD 200000.000000 USD 2471.130000 N N N N/A N/A 000000000 1.000000 NC -8895.750000 -0.0045539 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ITRAXX EUROPE SERIES 31 N/A N/A Y Single Leg Swap 2029-06-21 0.000000 EUR -20545.660000 EUR 2600000.000000 EUR 11649.910000 N N N N/A N/A 000000000 1.000000 NC 1399.630000 0.0007165 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 32 Y Single Leg Swap 2029-12-21 0.000000 EUR -10357.470000 EUR 600000.000000 EUR 11757.100000 N N N N/A N/A 000000000 -400000.000000 NC -447.960000 -0.0002293 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 0.900000 EUR 2020-11-18 XXXX 17.800000 N N N N/A N/A 000000000 -400000.000000 NC -83.280000 -0.0000426 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 0.480000 EUR 2020-11-18 XXXX 242.960000 N N N N/A N/A 000000000 -200000.000000 NC -12.430000 -0.0000064 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 0.480000 EUR 2020-10-21 XXXX 176.170000 N N N N/A N/A 000000000 -100000.000000 NC -38.840000 -0.0000199 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 0.480000 EUR 2020-12-16 XXXX 44.210000 N N N N/A N/A 000000000 -200000.000000 NC -12.430000 -0.0000064 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 0.480000 EUR 2020-10-21 XXXX 106.910000 N N N N/A N/A 000000000 -900000.000000 NC -2079.610000 -0.0010646 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 0.850000 EUR 2020-12-16 XXXX -924.220000 N N N N/A N/A 000000000 -900000.000000 NC -349.580000 -0.0001790 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 2020-12-16 XXXX 364.980000 N N N N/A N/A 000000000 -400000.000000 NC -98.380000 -0.0000504 N/A DCR DE N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Call Written CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 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 0.450000 EUR 2020-12-16 XXXX 137.230000 N N N N/A N/A 000000000 -200000.000000 NC -12.430000 -0.0000064 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 0.480000 EUR 2020-10-21 XXXX 85.810000 N N N N/A N/A 000000000 -200000.000000 NC -113.730000 -0.0000582 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 0.800000 EUR 2020-10-21 XXXX 50.360000 N N N N/A N/A 000000000 -200000.000000 NC -78.740000 -0.0000403 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 0.850000 EUR 2020-10-21 XXXX 222.290000 N N N N/A N/A 000000000 -200000.000000 NC -36.400000 -0.0000186 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 0.530000 EUR 2020-10-21 XXXX 247.340000 N N N N/A N/A 000000000 -100000.000000 NC -231.070000 -0.0001183 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 0.850000 EUR 2020-12-16 XXXX -97.590000 N N N N/A N/A 000000000 -300000.000000 NC -335.970000 -0.0001720 N/A DCR DE N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Put Written CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 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 0.900000 EUR 2020-11-18 XXXX 12.290000 N N N N/A N/A 000000000 -300000.000000 NC -62.460000 -0.0000320 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 2020-11-18 XXXX 168.250000 N N N N/A N/A 000000000 -400000.000000 NC -83.280000 -0.0000426 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 0.480000 EUR 2020-11-18 XXXX 240.700000 N N N N/A N/A 000000000 -600000.000000 NC -236.240000 -0.0001209 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 0.850000 EUR 2020-10-21 XXXX 806.480000 N N N N/A N/A 000000000 -400000.000000 NC -1084.480000 -0.0005552 N/A DCR DE N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Put Written CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 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 0.800000 EUR 2020-12-16 XXXX -448.330000 N N N N/A N/A 000000000 -200000.000000 NC -31.590000 -0.0000162 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 1.000000 EUR 2020-10-21 XXXX 297.550000 N N N N/A N/A 000000000 -500000.000000 NC -91.010000 -0.0000466 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 0.530000 EUR 2020-10-21 XXXX 557.910000 N N N N/A N/A 000000000 -200000.000000 NC -113.730000 -0.0000582 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 0.800000 EUR 2020-10-21 XXXX 23.010000 N N N N/A N/A 000000000 -200000.000000 NC -78.740000 -0.0000403 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 0.850000 EUR 2020-10-21 XXXX 259.530000 N N N N/A N/A 000000000 -1100000.000000 NC -115.630000 -0.0000592 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 0.500000 EUR 2020-10-21 XXXX 825.780000 N N N N/A N/A 000000000 -500000.000000 NC -120.390000 -0.0000616 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 0.930000 EUR 2020-10-21 XXXX 609.320000 N N N N/A N/A 000000000 -200000.000000 NC -542.230000 -0.0002776 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 0.800000 EUR 2020-12-16 XXXX -257.660000 N N N N/A N/A 000000000 -200000.000000 NC -78.740000 -0.0000403 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 0.850000 EUR 2020-10-21 XXXX 234.260000 N N N N/A N/A 000000000 -1400000.000000 NC -3795.680000 -0.0019431 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 0.800000 EUR 2020-12-16 XXXX -1856.350000 N N N N/A N/A 000000000 -200000.000000 NC -21.020000 -0.0000108 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 2020-10-21 XXXX 143.420000 N N N N/A N/A 000000000 -500000.000000 NC -78.950000 -0.0000404 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 1.000000 EUR 2020-10-21 XXXX 908.530000 N N N N/A N/A 000000000 -300000.000000 NC -62.460000 -0.0000320 N/A DCR DE N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Call Written CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 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 2020-11-18 XXXX 193.400000 N N N N/A N/A 000000000 -500000.000000 NC -25.440000 -0.0000130 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 1238.670000 N N N N/A N/A 000000000 -500000.000000 NC -25.440000 -0.0000130 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 1209.590000 N N N N/A N/A 000000000 -500000.000000 NC -52.560000 -0.0000269 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 396.540000 N N N N/A N/A 000000000 -300000.000000 NC -335.970000 -0.0001720 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 0.900000 EUR 2020-11-18 XXXX -16.520000 N N N N/A N/A 000000000 -200000.000000 NC -31.590000 -0.0000162 N/A DCR DE N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Put Written CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 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 2020-10-21 XXXX 375.230000 N N N N/A N/A 000000000 -200000.000000 NC -113.730000 -0.0000582 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 0.800000 EUR 2020-10-21 XXXX 93.410000 N N N N/A N/A 000000000 -1400000.000000 NC -344.330000 -0.0001763 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 0.450000 EUR 2020-12-16 XXXX 786.370000 N N N N/A N/A 000000000 -200000.000000 NC -49.180000 -0.0000252 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 0.450000 EUR 2020-12-16 XXXX 114.450000 N N N N/A N/A 000000000 -200000.000000 NC -169.590000 -0.0000868 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 0.750000 EUR 2020-10-21 XXXX 67.640000 N N N N/A N/A 000000000 -200000.000000 NC -36.400000 -0.0000186 N/A DCR DE N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Call Written CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 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 0.530000 EUR 2020-10-21 XXXX 212.210000 N N N N/A N/A 000000000 -200000.000000 NC -21.020000 -0.0000108 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 2020-10-21 XXXX 193.170000 N N N N/A N/A 000000000 -400000.000000 NC -447.960000 -0.0002293 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 0.900000 EUR 2020-11-18 XXXX 1.810000 N N N N/A N/A 000000000 -500000.000000 NC -52.560000 -0.0000269 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 368.810000 N N N N/A N/A 000000000 -300000.000000 NC -639.160000 -0.0003272 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 MAIN34 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2020-12-16 XXXX -3.820000 N N N N/A N/A 000000000 -400000.000000 NC -732.680000 -0.0003751 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 MAIN34 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.900000 EUR 2020-12-16 XXXX 87.160000 N N N N/A N/A 000000000 -400000.000000 NC -852.220000 -0.0004363 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 MAIN34 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2020-12-16 XXXX -112.820000 N N N N/A N/A 000000000 -200000.000000 NC -317.300000 -0.0001624 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 MAIN34 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.950000 EUR 2020-12-16 XXXX 34.850000 N N N N/A N/A 000000000 1.000000 NC USD -1670.490000 -0.0008552 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -3456.740000 USD 100000.000000 USD 1786.250000 N N N N/A N/A 000000000 1.000000 NC USD -25057.360000 -0.0128273 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -53703.360000 USD 1500000.000000 USD 28646.000000 N N N N/A N/A 000000000 1.000000 NC USD -13363.930000 -0.0068413 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -27230.260000 USD 800000.000000 USD 13866.330000 N N N N/A N/A 000000000 1.000000 NC USD -5011.470000 -0.0025655 N/A DCR US N 2 Citibank International Limited N/A JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -10431.490000 USD 300000.000000 USD 5420.020000 N N N N/A N/A 000000000 1.000000 NC USD -23386.870000 -0.0119722 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -49042.050000 USD 1400000.000000 USD 25655.180000 N N N N/A N/A 000000000 9.000000 NC 28225.530000 0.0144492 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE N/A Long N/A JAPAN GOVT 2020-12-14 12980514.860000 JPY 28225.530000 N N N N/A N/A 000000000 1.000000 NC -3209.230000 -0.0016429 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 284316.020000 USD 1785000.000000 DKK 2020-10-01 -3209.230000 N N N N/A N/A 000000000 1.000000 NC -1045.900000 -0.0005354 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 121923.060000 USD 103000.000000 EUR 2020-11-17 -1045.900000 N N N N/A N/A 000000000 1.000000 NC 104627.660000 0.0535609 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3958231.940000 USD 90033943.750000 MXN 2020-10-21 104627.660000 N N N N/A N/A 000000000 1.000000 NC -37145.320000 -0.0190154 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6507828.000000 DKK 987725.620000 USD 2020-10-01 -37145.320000 N N N N/A N/A 000000000 1.000000 NC 789.320000 0.0004041 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1080000.000000 DKK 170870.740000 USD 2020-10-01 789.320000 N N N N/A N/A 000000000 1.000000 NC -4400.570000 -0.0022527 N/A DFE IL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2223000.000000 ILS 645156.550000 USD 2020-12-10 -4400.570000 N N N N/A N/A 000000000 1.000000 NC -1244.970000 -0.0006373 N/A DFE IL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1335999.000000 ILS 389131.850000 USD 2020-12-10 -1244.970000 N N N N/A N/A 000000000 1.000000 NC 215035.040000 0.1100805 N/A DFE NO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 29130000.000000 NOK 3338247.540000 USD 2020-11-17 215035.040000 N N N N/A N/A 000000000 1.000000 NC -43520.050000 -0.0222787 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 860670.810000 USD 63551502.000000 RUB 2020-10-13 -43520.050000 N N N N/A N/A 000000000 1.000000 NC -71.140000 -0.0000364 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3415000.000000 CNY 501084.040000 USD 2020-12-16 -71.140000 N N N N/A N/A 000000000 1.000000 NC 358.410000 0.0001835 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 321402000.000000 KRW 276000.000000 USD 2020-10-30 358.410000 N N N N/A N/A 000000000 1.000000 NC 28.660000 0.0000147 N/A DFE RO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5616.460000 RON 1375.000000 USD 2020-11-20 28.660000 N N N N/A N/A 000000000 1.000000 NC 58.980000 0.0000302 N/A DFE RO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11230.130000 RON 2751.000000 USD 2020-11-20 58.980000 N N N N/A N/A 000000000 1.000000 NC USD -4415.960000 -0.0022606 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) HEINZ (H.J.) CO DEB Y Single Leg Swap 2022-06-21 0.000000 USD -5845.410000 USD 500000.000000 USD 1429.450000 N N N N/A N/A 000000000 1.000000 NC 208.830000 0.0001069 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 811919.210000 BRL 144783.910000 USD 2020-10-02 208.830000 N N N N/A N/A 000000000 1.000000 NC -7292.120000 -0.0037330 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1579425.280000 USD 2194951.000000 AUD 2020-10-02 -7292.120000 N N N N/A N/A 000000000 1.000000 NC -7921.760000 -0.0040553 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 437671.620000 USD 600000.000000 AUD 2020-10-02 -7921.760000 N N N N/A N/A 000000000 1.000000 NC 15992.830000 0.0081870 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1168942.930000 USD 1654241.000000 AUD 2020-11-03 15992.830000 N N N N/A N/A 000000000 1.000000 NC -1781.690000 -0.0009121 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 23013.000000 USD 18000.000000 EUR 2021-06-28 -1781.690000 N N N N/A N/A 000000000 1.000000 NC 1328.940000 0.0006803 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 352522.230000 USD 37300000.000000 JPY 2020-11-17 1328.940000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 5220000.000000 PA 37694.310000 0.0192964 Long DBT NUSS AR N 2 2022-04-03 Floating 31.6406 N N N N N N N/A N/A 000000000 1.000000 NC -368724.800000 -0.1887573 N/A DFE SE N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 11511388.200000 USD 99745000.000000 SEK 2020-11-17 -368724.800000 N N N N/A N/A 000000000 1.000000 NC -15996.130000 -0.0081887 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1654241.000000 AUD 1168853.610000 USD 2020-10-02 -15996.130000 N N N N/A N/A 000000000 1.000000 NC -40587.330000 -0.0207774 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6044479.000000 DKK 911314.120000 USD 2020-10-01 -40587.330000 N N N N/A N/A 000000000 1.000000 NC -39722.220000 -0.0203346 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6921011.000000 DKK 1050217.940000 USD 2020-10-01 -39722.220000 N N N N/A N/A 000000000 1.000000 NC -53585.870000 -0.0274316 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 8317751.000000 DKK 1256316.810000 USD 2020-10-01 -53585.870000 N N N N/A N/A 000000000 1.000000 NC -44669.390000 -0.0228671 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 7292612.000000 DKK 1103791.530000 USD 2020-10-01 -44669.390000 N N N N/A N/A 000000000 1.000000 NC 24025.570000 0.0122991 N/A DFE NZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2258000.000000 NZD 1517805.020000 USD 2020-10-02 24025.570000 N N N N/A N/A 000000000 1.000000 NC 11947.710000 0.0061163 N/A DFE NZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1104000.000000 NZD 742298.690000 USD 2020-10-02 11947.710000 N N N N/A N/A 000000000 1.000000 NC 4032.950000 0.0020645 N/A DFE SE N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1510000.000000 SEK 172717.310000 USD 2020-11-17 4032.950000 N N N N/A N/A 000000000 1.000000 NC 8075.120000 0.0041338 N/A DFE CA N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 649000.000000 CAD 495545.440000 USD 2020-11-17 8075.120000 N N N N/A N/A 000000000 1.000000 NC USD -3420.650000 -0.0017511 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 REYNOLDS AMERICAN INC REYNOLDS AMERICAN INC SR UNSEC Y Single Leg Swap 2020-12-21 0.000000 USD -38427.830000 USD 1400000.000000 USD 35007.180000 N N N N/A N/A 000000000 1.000000 NC -29340.080000 -0.0150197 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ROLLS-ROYCE PLC ROLLS-ROYCE PLC Y Single Leg Swap 2024-06-21 530.990000 EUR 0.000000 EUR 200000.000000 EUR -29871.070000 N N N N/A N/A 000000000 1.000000 NC USD 3095.520000 0.0015847 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 RYDER SYSTEM INC RYDER SYSTEM INC Y Single Leg Swap 2022-06-21 7472.530000 USD 0.000000 USD 300000.000000 USD -4377.010000 N N N N/A N/A 000000000 1.000000 NC 10805.770000 0.0055317 N/A DCR NL N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 SHELL INTERNATIONAL FINANCE BV SHELL INTERNATIONAL FIN Y Single Leg Swap 2026-12-22 14784.560000 EUR 0.000000 EUR 500000.000000 EUR -3978.790000 N N N N/A N/A 000000000 1.000000 NC -50030.980000 -0.0256118 N/A DFE DK N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 7673074.000000 DKK 1158346.160000 USD 2020-10-01 -50030.980000 N N N N/A N/A 000000000 1.000000 NC USD -37414.390000 -0.0191531 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 SOUTH KOREA GOVT REPUBLIC OF KOREA Y Single Leg Swap 2023-06-21 0.000000 USD -38921.010000 USD 1600000.000000 USD 1506.620000 N N N N/A N/A 000000000 1.000000 NC USD -21045.600000 -0.0107736 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 SOUTH KOREA GOVT REPUBLIC OF KOREA Y Single Leg Swap 2023-06-21 0.000000 USD -22825.420000 USD 900000.000000 USD 1779.820000 N N N N/A N/A 000000000 1.000000 NC USD -11692.000000 -0.0059854 N/A DCR US N 2 HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 SOUTH KOREA GOVT REPUBLIC OF KOREA Y Single Leg Swap 2023-06-21 0.000000 USD -12472.420000 USD 500000.000000 USD 780.420000 N N N N/A N/A 000000000 1.000000 NC USD -4676.800000 -0.0023941 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 SOUTH KOREA GOVT REPUBLIC OF KOREA Y Single Leg Swap 2023-06-21 0.000000 USD -4790.110000 USD 200000.000000 USD 113.310000 N N N N/A N/A 000000000 1.000000 NC 38919.350000 0.0199236 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3785327.280000 USD 5339264.000000 AUD 2020-10-02 38919.350000 N N N N/A N/A 000000000 1.000000 NC -201305.080000 -0.1030519 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 17804775.000000 USD 15000000.000000 EUR 2020-11-17 -201305.080000 N N N N/A N/A 000000000 1.000000 NC -17132.140000 -0.0087703 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2151846.260000 USD 1819000.000000 EUR 2020-11-17 -17132.140000 N N N N/A N/A 000000000 1.000000 NC 2955.530000 0.0015130 N/A DFE IL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 607763.660000 USD 2087137.000000 ILS 2021-02-11 2955.530000 N N N N/A N/A 000000000 1.000000 NC -4216.400000 -0.0021585 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 260897.720000 USD 388000.000000 NZD 2020-10-02 -4216.400000 N N N N/A N/A 000000000 1.000000 NC -3989.960000 -0.0020425 N/A DFE SE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 165971.630000 USD 1450000.000000 SEK 2020-11-17 -3989.960000 N N N N/A N/A 000000000 1.000000 NC -5753.250000 -0.0029452 N/A DFE SE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 161590.790000 USD 1395000.000000 SEK 2020-11-17 -5753.250000 N N N N/A N/A 000000000 1.000000 NC -3430.020000 -0.0017559 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 273000.000000 AUD 192106.170000 USD 2020-10-02 -3430.020000 N N N N/A N/A 000000000 1.000000 NC -38940.710000 -0.0199345 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 5339264.000000 AUD 3785583.560000 USD 2020-11-03 -38940.710000 N N N N/A N/A 000000000 1.000000 NC 7351.940000 0.0037636 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 774000.000000 EUR 915690.990000 USD 2020-11-17 7351.940000 N N N N/A N/A 000000000 1.000000 NC -249.070000 -0.0001275 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 26800000.000000 JPY 253992.520000 USD 2020-11-17 -249.070000 N N N N/A N/A 000000000 1.000000 NC 3931.270000 0.0020125 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2794064.590000 USD 41941703512.000000 IDR 2020-12-16 3931.270000 N N N N/A N/A 000000000 1.000000 NC 6136.060000 0.0031412 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 644000.000000 USD 757988000.000000 KRW 2020-12-18 6136.060000 N N N N/A N/A 000000000 1.000000 NC -27234.670000 -0.0139419 N/A DFE MY N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 9667098.500000 MYR 2294369.990000 USD 2020-12-23 -27234.670000 N N N N/A N/A 000000000 1.000000 NC 17.080000 0.0000087 N/A DFE RO N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3829.230000 RON 935.000000 USD 2020-11-20 17.080000 N N N N/A N/A 000000000 1.000000 NC -1800.270000 -0.0009216 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 12046205.000000 TWD 415000.000000 USD 2020-10-19 -1800.270000 N N N N/A N/A 000000000 1.000000 NC -838.950000 -0.0004295 N/A DFE BR N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 145414.030000 USD 811919.210000 BRL 2020-10-02 -838.950000 N N N N/A N/A 000000000 1.000000 NC -4603.740000 -0.0023567 N/A DFE CA N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 504842.930000 USD 666000.000000 CAD 2020-11-17 -4603.740000 N N N N/A N/A 000000000 1.000000 NC -6906.490000 -0.0035356 N/A DFE N/A N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1205116.010000 USD 1021000.000000 EUR 2020-11-17 -6906.490000 N N N N/A N/A 000000000 1.000000 NC -12766.610000 -0.0065355 N/A DFE GB N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 443743.250000 USD 334000.000000 GBP 2020-10-02 -12766.610000 N N N N/A N/A 000000000 1.000000 NC -9979.040000 -0.0051085 N/A DFE SE N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 294843.360000 USD 2550000.000000 SEK 2020-11-17 -9979.040000 N N N N/A N/A 000000000 1.000000 NC 842.960000 0.0004315 N/A DFE BR N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 811919.190000 BRL 145298.740000 USD 2020-11-04 842.960000 N N N N/A N/A 000000000 -8300000.000000 NC USD -249.830000 -0.0001279 N/A DIR 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 DIR US IRS USD R 1.88000 09/17/21-3Y CME N/A N/A 2024-09-17 0.000000 USD 0.000000 USD N/A USD N/A 1.880000 USD 2021-09-15 XXXX 40946.620000 N N N N/A N/A 000000000 1000000.000000 NC USD 11888.600000 0.0060860 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Purchased BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.17500 09/17/21-30Y CME N/A N/A 2051-09-17 0.000000 USD 0.000000 USD N/A USD N/A 2.170000 USD 2021-09-15 XXXX -29415.750000 N N N N/A N/A 000000000 -7700000.000000 NC USD -446.600000 -0.0002286 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.02000 12/23/21-3Y LCH N/A N/A 2024-12-23 0.000000 USD 0.000000 USD N/A USD N/A 2.020000 USD 2021-12-21 XXXX 34943.780000 N N N N/A N/A 000000000 900000.000000 NC USD 11207.610000 0.0057374 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.30000 12/23/21-30Y LCH N/A N/A 2051-12-23 0.000000 USD 0.000000 USD N/A USD N/A 2.300000 USD 2021-12-21 XXXX -24072.390000 N N N N/A N/A 000000000 600000.000000 NC USD 7471.740000 0.0038249 N/A DIR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Purchased Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.30000 12/23/21-30Y LCH N/A N/A 2051-12-23 0.000000 USD 0.000000 USD N/A USD N/A 2.300000 USD 2021-12-21 XXXX -16528.260000 N N N N/A N/A 000000000 -5100000.000000 NC USD -295.800000 -0.0001514 N/A DIR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Written Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.02000 12/23/21-3Y LCH N/A N/A 2024-12-23 0.000000 USD 0.000000 USD N/A USD N/A 2.020000 USD 2021-12-21 XXXX 22970.060000 N N N N/A N/A 000000000 -300000.000000 NC -8870.470000 -0.0045410 N/A DIR DE N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R -0.15000 02/19/21-30Y LCH 2051-02-19 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.150000 EUR 2021-02-17 XXXX 1232.410000 N N N N/A N/A 000000000 -300000.000000 NC -9058.900000 -0.0046374 N/A DIR DE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R -0.15000 02/24/21-30Y LCH 2051-02-24 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.150000 EUR 2021-02-22 XXXX 4358.930000 N N N N/A N/A 000000000 -200000.000000 NC -6039.270000 -0.0030916 N/A DIR 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 DIR N/A IRS EUR R -0.15000 02/24/21-30Y LCH 2051-02-24 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.150000 EUR 2021-02-22 XXXX 2609.560000 N N N N/A N/A 000000000 -9200000.000000 NC USD -450.800000 -0.0002308 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.44800 08/25/21-3Y LCH N/A N/A 2024-08-25 0.000000 USD 0.000000 USD N/A USD N/A 1.450000 USD 2021-08-23 XXXX 81492.520000 N N N N/A N/A 000000000 1100000.000000 NC USD 26181.650000 0.0134029 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.75200 08/25/21-30Y LCH N/A N/A 2051-08-25 0.000000 USD 0.000000 USD N/A USD N/A 1.750000 USD 2021-08-23 XXXX -55334.140000 N N N N/A N/A 000000000 -11600000.000000 NC USD -660.040000 -0.0003379 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.39900 08/31/21-3Y LCH N/A N/A 2024-08-31 0.000000 USD 0.000000 USD N/A USD N/A 1.400000 USD 2021-08-26 XXXX 104159.240000 N N N N/A N/A 000000000 1400000.000000 NC USD 34934.900000 0.0178838 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.73300 08/31/21-30Y LCH N/A N/A 2051-08-31 0.000000 USD 0.000000 USD N/A USD N/A 1.730000 USD 2021-08-26 XXXX -70065.100000 N N N N/A N/A 000000000 1.000000 NC USD 1637.360000 0.0008382 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-03-07 0.000000 USD 0.000000 USD 1700000.000000 USD 1637.360000 N N N N/A N/A 000000000 1.000000 NC USD -1156.080000 -0.0005918 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-04-26 0.000000 USD 0.000000 USD 12700000.000000 USD -1156.080000 N N N N/A N/A 000000000 1.000000 NC 63139.150000 0.0323221 N/A DFE AU N 2 Citibank International Limited N/A -1380000.000000 USD 2000000.000000 AUD 2029-07-31 62838.800000 N N N N/A N/A 000000000 1.000000 NC 60167.820000 0.0308011 N/A DFE AU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 -1311000.000000 USD 1900000.000000 AUD 2029-08-01 67043.020000 N N N N/A N/A 000000000 1.000000 NC -13007.340000 -0.0066587 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-02-15 0.000000 GBP 0.000000 GBP 2200000.000000 GBP -13007.340000 N N N N/A N/A 000000000 1.000000 NC -9033.980000 -0.0046247 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-02-15 0.000000 GBP 0.000000 GBP 1500000.000000 GBP -9033.980000 N N N N/A N/A 000000000 1.000000 NC -6316.630000 -0.0032336 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-02-15 0.000000 GBP 0.000000 GBP 1000000.000000 GBP -6316.630000 N N N N/A N/A 000000000 1.000000 NC 292.870000 0.0001499 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-01-15 0.000000 GBP 0.000000 GBP 300000.000000 GBP 292.870000 N N N N/A N/A 000000000 1.000000 NC 892.140000 0.0004567 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 200000.000000 GBP 892.140000 N N N N/A N/A 000000000 1.000000 NC 10322.970000 0.0052845 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-02-15 744.670000 GBP 0.000000 GBP 1500000.000000 GBP 9578.300000 N N N N/A N/A 000000000 1.000000 NC 15542.560000 0.0079565 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 2100000.000000 GBP 15542.560000 N N N N/A N/A 000000000 1.000000 NC 14330.890000 0.0073363 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2022-03-03 0.000000 CAD 0.000000 CAD 1700000.000000 CAD 14330.890000 N N N N/A N/A 000000000 1.000000 NC 124803.380000 0.0638892 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2030-06-17 0.000000 CAD -72532.540000 CAD 3600000.000000 CAD 197335.920000 N N N N/A N/A 000000000 1.000000 NC 8688.850000 0.0044480 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2022-06-17 2636.950000 CAD 0.000000 CAD 600000.000000 CAD 6051.900000 N N N N/A N/A 000000000 1.000000 NC 220281.670000 0.1127664 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2029-10-02 919.220000 CAD 0.000000 CAD 4400000.000000 CAD 219362.450000 N N N N/A N/A 000000000 1.000000 NC 376622.860000 0.1928004 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2029-12-18 91301.270000 CAD 0.000000 CAD 6000000.000000 CAD 285321.590000 N N N N/A N/A 000000000 1.000000 NC -50160.140000 -0.0256779 N/A DIR CA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2026-06-16 5924.410000 CAD 0.000000 CAD 800000.000000 CAD -56084.550000 N N N N/A N/A 000000000 1.000000 NC 100181.700000 0.0512849 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2049-03-08 0.000000 CAD 0.000000 CAD 500000.000000 CAD 100181.700000 N N N N/A N/A 000000000 1.000000 NC 212827.010000 0.1089502 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 5218.690000 CAD 0.000000 CAD 900000.000000 CAD 207608.320000 N N N N/A N/A 000000000 1.000000 NC 6589.700000 0.0033734 N/A DIR CH N 2 London Clearing house N/A CHF-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2025-09-16 2076.200000 CHF 0.000000 CHF 1200000.000000 CHF 4513.500000 N N N N/A N/A 000000000 1.000000 NC -5405.830000 -0.0027673 N/A DIR CH N 2 London Clearing house N/A CHF-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2025-03-18 9707.170000 CHF 0.000000 CHF 1750000.000000 CHF -15113.000000 N N N N/A N/A 000000000 1.000000 NC 53654.690000 0.0274669 N/A DIR CH N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CHF-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2026-03-16 0.000000 CHF -14162.760000 CHF 1400000.000000 CHF 67817.450000 N N N N/A N/A 000000000 1.000000 NC 598207.320000 0.3062337 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2025-12-15 335804.960000 EUR 0.000000 EUR 36900000.000000 EUR 262402.360000 N N N N/A N/A 000000000 1.000000 NC -254854.680000 -0.1304650 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2022-12-15 0.000000 EUR -87601.370000 EUR 56900000.000000 EUR -167253.310000 N N N N/A N/A 000000000 1.000000 NC 1582114.540000 0.8099146 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2030-12-16 1166553.500000 EUR 0.000000 EUR 27800000.000000 EUR 415561.040000 N N N N/A N/A 000000000 1.000000 NC -2212219.460000 -1.1324773 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2050-12-15 0.000000 EUR -1809735.150000 EUR 9800000.000000 EUR -402484.310000 N N N N/A N/A 000000000 1.000000 NC 143382.920000 0.0734004 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2029-06-19 53059.190000 EUR 0.000000 EUR 1600000.000000 EUR 90323.730000 N N N N/A N/A 000000000 1.000000 NC 8732.590000 0.0044704 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2050-06-17 8785.770000 GBP 0.000000 GBP 400000.000000 GBP -53.180000 N N N N/A N/A 000000000 1.000000 NC 1944.060000 0.0009952 N/A DIR IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 TELBOR ILS 3M N/A N/A Y 2027-05-14 938.550000 ILS 0.000000 ILS 700000.000000 ILS 1005.510000 N N N N/A N/A 000000000 1.000000 NC -276635.780000 -0.1416151 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2029-06-19 0.000000 JPY -143684.420000 JPY 1560000000.000000 JPY -132951.360000 N N N N/A N/A 000000000 1.000000 NC -123627.900000 -0.0632875 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2039-06-20 6273.770000 JPY 0.000000 JPY 350000000.000000 JPY -129901.670000 N N N N/A N/A 000000000 1.000000 NC -86667.330000 -0.0443667 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2049-06-21 17864.320000 JPY 0.000000 JPY 180000000.000000 JPY -104531.650000 N N N N/A N/A 000000000 1.000000 NC -15450.940000 -0.0079096 N/A DIR NO N 2 London Clearing house N/A N/A NOK-NIBOR-NIBR-Bloomberg 6M Y 2025-03-18 0.000000 NOK 0.000000 NOK 2600000.000000 NOK -15450.940000 N N N N/A N/A 000000000 1.000000 NC -20716.410000 -0.0106051 N/A DIR NO N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A NOK-NIBOR-NIBR-Bloomberg 6M Y 2024-11-12 0.000000 NOK -1374.140000 NOK 2600000.000000 NOK -19342.270000 N N N N/A N/A 000000000 1.000000 NC -20762.730000 -0.0106288 N/A DIR NZ N 2 London Clearing house N/A NZ$ Bank Bill 3M FRA N/A N/A Y 2027-04-15 2178.770000 NZD 0.000000 NZD 1800000.000000 NZD -22941.500000 N N N N/A N/A 000000000 1.000000 NC -3288.730000 -0.0016836 N/A DIR NZ N 2 London Clearing house N/A NZ$ Bank Bill 3M FRA N/A N/A Y 2037-04-15 0.000000 NZD -465.380000 NZD 1050000.000000 NZD -2823.350000 N N N N/A N/A 000000000 1.000000 NC USD -44380.690000 -0.0227193 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-01-18 0.000000 USD -37596.690000 USD 4700000.000000 USD -6784.000000 N N N N/A N/A 000000000 1.000000 NC USD 3675.210000 0.0018814 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-12-16 3677.750000 USD 0.000000 USD 350000.000000 USD -2.540000 N N N N/A N/A 000000000 1.000000 NC USD -226544.480000 -0.1159724 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-12-16 0.000000 USD -265313.050000 USD 9200000.000000 USD 38768.570000 N N N N/A N/A 000000000 1.000000 NC USD -269726.100000 -0.1380779 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-12-16 0.000000 USD -278796.350000 USD 8700000.000000 USD 9070.250000 N N N N/A N/A 000000000 1.000000 NC USD -140036.610000 -0.0716874 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-08-30 0.000000 USD 0.000000 USD 4900000.000000 USD -140036.610000 N N N N/A N/A 000000000 1.000000 NC USD 17032.340000 0.0087192 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 0.000000 USD -8495.700000 USD 300000.000000 USD 25528.040000 N N N N/A N/A 000000000 1.000000 NC USD -195236.090000 -0.0999451 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 -175472.400000 USD 4200000.000000 USD -19763.690000 N N N N/A N/A 000000000 1.000000 NC USD -2689.490000 -0.0013768 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-12-16 0.000000 USD -10770.400000 USD 100000.000000 USD 8080.910000 N N N N/A N/A 000000000 1.000000 NC USD -117207.870000 -0.0600009 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-08-27 0.000000 USD 0.000000 USD 3900000.000000 USD -117207.870000 N N N N/A N/A 000000000 1.000000 NC USD -158516.970000 -0.0811479 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-08-21 0.000000 USD 0.000000 USD 4950000.000000 USD -158516.970000 N N N N/A N/A 000000000 1.000000 NC USD -73928.650000 -0.0378455 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-09-17 0.000000 USD 0.000000 USD 2350000.000000 USD -73928.650000 N N N AT&T INC 549300Z40J86GGSTL398 ACI1K11M9 300000.000000 PA 340620.810000 0.1743703 Long DBT CORP US N 2 2025-03-02 Floating 2.875 N N N N N N N/A N/A 000000000 1.000000 NC USD -168383.840000 -0.0861989 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-06-17 0.000000 USD -317303.590000 USD 1700000.000000 USD 148919.750000 N N N N/A N/A 000000000 1.000000 NC USD -49896.930000 -0.0255432 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-02-28 0.000000 USD -5781.250000 USD 2500000.000000 USD -44115.680000 N N N N/A N/A 000000000 1.000000 NC USD -584564.630000 -0.2992498 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-12-21 227757.760000 USD 0.000000 USD 11000000.000000 USD -812322.390000 N N N N/A N/A 000000000 1.000000 NC USD -583922.990000 -0.2989213 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2021-12-20 0.000000 USD -233665.790000 USD 16700000.000000 USD -350257.200000 N N N N/A N/A 000000000 1.000000 NC USD 2150417.130000 1.1008395 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-18 2125958.380000 USD 0.000000 USD 21600000.000000 USD 24458.750000 N N N N/A N/A 000000000 1.000000 NC USD 59252.780000 0.0303326 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 0.000000 USD -15036.570000 USD 400000.000000 USD 74289.350000 N N N AT&T INC 549300Z40J86GGSTL398 00206RKH4 100000.000000 PA USD 100232.190000 0.0513108 Long DBT CORP US N 2 2032-02-01 Fixed 2.25 N N N N N N N/A N/A 000000000 1.000000 NC USD 742.400000 0.0003800 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-10-04 0.000000 USD 0.000000 USD 1900000.000000 USD 742.400000 N N N N/A N/A 000000000 1.000000 NC USD 770.020000 0.0003942 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-06-12 0.000000 USD 0.000000 USD 3500000.000000 USD 770.020000 N N N N/A N/A 000000000 1.000000 NC USD 4192.100000 0.0021460 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-04-27 0.000000 USD 0.000000 USD 9500000.000000 USD 4192.100000 N N N N/A N/A 000000000 1.000000 NC USD -113.460000 -0.0000581 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-06-12 0.000000 USD 0.000000 USD 4800000.000000 USD -113.460000 N N N N/A N/A 000000000 1.000000 NC USD -1778.680000 -0.0009105 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-06-19 1312.500000 USD 0.000000 USD 17500000.000000 USD -3091.180000 N N N N/A N/A 000000000 1.000000 NC USD 3490.190000 0.0017867 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-09-06 504.360000 USD 0.000000 USD 5200000.000000 USD 2985.830000 N N N N/A N/A 000000000 1.000000 NC USD 2377.080000 0.0012169 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2029-05-23 0.000000 USD 0.000000 USD 1400000.000000 USD 2377.080000 N N N N/A N/A 000000000 1.000000 NC USD -8307.950000 -0.0042530 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-03-18 0.000000 USD -1092.530000 USD 45600000.000000 USD -7215.420000 N N N AT&T INC 549300Z40J86GGSTL398 00206RKD3 100000.000000 PA USD 98101.690000 0.0502201 Long DBT CORP US N 2 2043-02-01 Fixed 3.1 N N N N N N N/A N/A 000000000 1.000000 NC 36533.810000 0.0187024 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2022-12-16 38189.760000 GBP 0.000000 GBP 4400000.000000 GBP -1655.950000 N N N N/A N/A 000000000 1.000000 NC 561918.800000 0.2876569 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2030-12-16 558161.400000 GBP 0.000000 GBP 12400000.000000 GBP 3757.400000 N N N N/A N/A 000000000 1.000000 NC -53045.930000 -0.0271552 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2050-12-16 0.000000 GBP -81639.580000 GBP 700000.000000 GBP 28593.650000 N N N N/A N/A 000000000 1.000000 NC 36883.980000 0.0188816 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2025-12-16 30296.910000 GBP 0.000000 GBP 1100000.000000 GBP 6587.070000 N N N AT&T INC 549300Z40J86GGSTL398 00206RKE1 100000.000000 PA USD 93671.100000 0.0479520 Long DBT CORP US N 2 2052-02-01 Fixed 3.3 N N N N N N N/A N/A 000000000 1.000000 NC -1741.340000 -0.0008914 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2025-01-02 0.000000 BRL 0.000000 BRL 600000.000000 BRL -1741.340000 N N N N/A N/A 000000000 1.000000 NC 10493.940000 0.0053720 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 TESCO PLC TESCO PLC UNSUB EMTN Y Single Leg Swap 2025-06-21 0.000000 EUR -19822.920000 EUR 600000.000000 EUR 30316.860000 N N N N/A N/A 000000000 1.000000 NC -2207.680000 -0.0011302 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 184156.610000 USD 254030.000000 AUD 2020-10-02 -2207.680000 N N N N/A N/A 000000000 1.000000 NC -12285.130000 -0.0062890 N/A DFE N/A N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 2024948.520000 USD 1715000.000000 EUR 2020-11-17 -12285.130000 N N N N/A N/A 000000000 1.000000 NC -25501.840000 -0.0130549 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 4069960.900000 USD 5646716.000000 AUD 2020-10-02 -25501.840000 N N N N/A N/A 000000000 1.000000 NC -22970.550000 -0.0117591 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 1741940.640000 USD 2399959.000000 AUD 2020-10-02 -22970.550000 N N N N/A N/A 000000000 1.000000 NC 66182.240000 0.0338799 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 3947989.370000 USD 5604023.000000 AUD 2020-11-03 66182.240000 N N N N/A N/A 000000000 1.000000 NC -3231.770000 -0.0016544 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 210868.680000 USD 191000.000000 CHF 2020-11-17 -3231.770000 N N N N/A N/A 000000000 1.000000 NC -65556.600000 -0.0335597 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 6859322.420000 USD 5789000.000000 EUR 2020-11-17 -65556.600000 N N N N/A N/A 000000000 1.000000 NC 4059.040000 0.0020779 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 948398.260000 USD 100400000.000000 JPY 2020-11-17 4059.040000 N N N N/A N/A 000000000 1.000000 NC -461519.820000 -0.2362608 N/A DFE NO N 2 UBS AG BFM8T61CT2L1QCEMIK50 9730910.030000 USD 86455000.000000 NOK 2020-11-17 -461519.820000 N N N N/A N/A 000000000 1.000000 NC -481.570000 -0.0002465 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 10606.660000 USD 789560.000000 RUB 2020-11-13 -481.570000 N N N N/A N/A 000000000 1.000000 NC -66182.240000 -0.0338799 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 5604023.000000 AUD 3947697.960000 USD 2020-10-02 -66182.240000 N N N N/A N/A 000000000 1.000000 NC -322.640000 -0.0001652 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 72000.000000 AUD 51247.340000 USD 2020-10-02 -322.640000 N N N N/A N/A 000000000 1.000000 NC 2108.970000 0.0010796 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 230000.000000 CAD 174864.250000 USD 2020-11-17 2108.970000 N N N N/A N/A 000000000 1.000000 NC -429.090000 -0.0002197 N/A DFE SE N 2 UBS AG BFM8T61CT2L1QCEMIK50 515000.000000 SEK 57102.330000 USD 2020-11-17 -429.090000 N N N N/A N/A 000000000 -300000.000000 NC USD -10.650000 -0.0000055 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% OCT 30YR N/A 105.320000 USD 2020-10-07 XXXX 411.230000 N N N N/A N/A 000000000 -400000.000000 NC USD -369.480000 -0.0001891 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 101.950000 USD 2020-11-05 XXXX 1239.900000 N N N N/A N/A 000000000 -500000.000000 NC USD -598.250000 -0.0003063 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 102.380000 USD 2020-11-05 XXXX 1589.250000 N N N N/A N/A 000000000 6600000.000000 NC USD 0.070000 0.0000000 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Purchased UMBS PASS THRU POOLS FNMA TBA 3.5% NOV 30YR N/A 64.000000 USD 2020-11-05 XXXX -257.740000 N N N N/A N/A 000000000 -400000.000000 NC USD -14.160000 -0.0000072 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 103.600000 USD 2020-10-07 XXXX 923.340000 N N N N/A N/A 000000000 -400000.000000 NC USD -8.880000 -0.0000045 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.600000 USD 2020-10-07 XXXX 1428.620000 N N N N/A N/A 000000000 -300000.000000 NC USD -20.910000 -0.0000107 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 102.190000 USD 2020-10-07 XXXX 940.030000 N N N N/A N/A 000000000 -100000.000000 NC USD -468.970000 -0.0002401 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 1.5% NOV 30YR N/A 99.940000 USD 2020-11-05 XXXX 218.530000 N N N N/A N/A 000000000 -400000.000000 NC USD -360.880000 -0.0001847 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 103.920000 USD 2020-11-05 XXXX 451.620000 N N N N/A N/A 000000000 -100000.000000 NC USD -173.560000 -0.0000888 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% DEC 30YR N/A 104.090000 USD 2020-12-07 XXXX 13.940000 N N N N/A N/A 000000000 -300000.000000 NC USD -1776.540000 -0.0009094 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Call Written UMBS PASS THRU POOLS FNMA TBA 1.5% DEC 30YR N/A 101.170000 USD 2020-12-07 XXXX 578.930000 N N N N/A N/A 000000000 -200000.000000 NC USD -4.040000 -0.0000021 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.550000 USD 2020-10-07 XXXX 902.210000 N N N N/A N/A 000000000 -300000.000000 NC USD -19.140000 -0.0000098 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 102.140000 USD 2020-10-07 XXXX 918.360000 N N N N/A N/A 000000000 -100000.000000 NC USD -405.620000 -0.0002076 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 1.5% NOV 30YR N/A 99.480000 USD 2020-11-05 XXXX 328.760000 N N N N/A N/A 000000000 -100000.000000 NC USD -408.680000 -0.0002092 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% DEC 30YR N/A 101.940000 USD 2020-12-07 XXXX -33.680000 N N N N/A N/A 000000000 10000000.000000 NC USD 0.100000 0.0000001 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.5% NOV 30YR N/A 71.000000 USD 2020-11-05 XXXX -390.530000 N N N N/A N/A 000000000 -200000.000000 NC USD -3.180000 -0.0000016 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.440000 USD 2020-10-07 XXXX 840.570000 N N N N/A N/A 000000000 -500000.000000 NC USD -1034.200000 -0.0005294 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 103.380000 USD 2020-11-05 XXXX 372.050000 N N N N/A N/A 000000000 -100000.000000 NC USD -430.640000 -0.0002205 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% DEC 30YR N/A 102.090000 USD 2020-12-07 XXXX -55.640000 N N N N/A N/A 000000000 -400000.000000 NC USD -17.760000 -0.0000091 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.950000 USD 2020-10-07 XXXX 1294.740000 N N N N/A N/A 000000000 -200000.000000 NC USD -11.320000 -0.0000058 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 102.080000 USD 2020-10-07 XXXX 644.930000 N N N N/A N/A 000000000 -200000.000000 NC USD -17.020000 -0.0000087 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 102.290000 USD 2020-10-07 XXXX 607.980000 N N N N/A N/A 000000000 -400000.000000 NC USD -948.600000 -0.0004856 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Call Written UMBS PASS THRU POOLS FNMA TBA 1.5% NOV 30YR N/A 102.220000 USD 2020-11-05 XXXX 1676.400000 N N N N/A N/A 000000000 -100000.000000 NC USD -208.230000 -0.0001066 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% DEC 30YR N/A 103.940000 USD 2020-12-07 XXXX -5.100000 N N N N/A N/A 000000000 -400000.000000 NC USD -363.040000 -0.0001858 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 101.920000 USD 2020-11-05 XXXX 824.460000 N N N N/A N/A 000000000 -400000.000000 NC USD -359.920000 -0.0001842 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 101.910000 USD 2020-11-05 XXXX 1249.460000 N N N N/A N/A 000000000 -200000.000000 NC USD -7.060000 -0.0000036 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.840000 USD 2020-10-07 XXXX 657.000000 N N N N/A N/A 000000000 -400000.000000 NC USD -973.480000 -0.0004983 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Call Written UMBS PASS THRU POOLS FNMA TBA 1.5% NOV 30YR N/A 102.140000 USD 2020-11-05 XXXX 2089.020000 N N N N/A N/A 000000000 -100000.000000 NC USD -12.010000 -0.0000061 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% OCT 30YR N/A 104.500000 USD 2020-10-07 XXXX 175.490000 N N N N/A N/A 000000000 -200000.000000 NC USD -1432.760000 -0.0007335 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 1.5% DEC 30YR N/A 99.220000 USD 2020-12-07 XXXX 35.990000 N N N N/A N/A 000000000 12000000.000000 NC USD 0.120000 0.0000001 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Purchased UMBS PASS THRU POOLS FNMA TBA 4.0% NOV 30YR N/A 66.000000 USD 2020-11-05 XXXX -468.630000 N N N N/A N/A 000000000 14000000.000000 NC USD 0.140000 0.0000001 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Call Purchased UMBS PASS THRU POOLS FNMA TBA 3.0% NOV 30YR N/A 117.250000 USD 2020-11-05 XXXX -546.740000 N N N N/A N/A 000000000 135.000000 NC -1882.890000 -0.0009639 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Call Purchased Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ECTRVYYCEF89VWYS6K36 000000000 0.000000 NC 0.000000 0.000000 DIR GB N/A N/A FIN FUT UK GILT ICE 12/29/20 2020-12-30 N/A GBP N/A 180.000000 GBP 2020-11-20 XXXX -1882.890000 N N N N/A N/A 000000000 -135.000000 NC 23394.870000 0.0119763 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2020-12-29 -23709973.370000 GBP 23394.870000 N N N N/A N/A 000000000 11000000.000000 NC USD 11.000000 0.0000056 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2020-10-22 N/A 1.020000 USD 2020-10-22 XXXX -1089.000000 N N N N/A N/A 000000000 9600000.000000 NC USD 172.800000 0.0000885 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2020-10-22 N/A 12.250000 USD 2020-10-22 XXXX -787.200000 N N N N/A N/A 000000000 15100000.000000 NC USD 15.100000 0.0000077 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2020-10-13 N/A 111.000000 USD 2020-10-13 XXXX -1494.900000 N N N N/A N/A 000000000 10500000.000000 NC USD 10.500000 0.0000054 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Purchased None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2020-10-13 N/A 1.450000 USD 2020-10-13 XXXX -1039.500000 N N N N/A N/A 000000000 11700000.000000 NC USD 23.400000 0.0000120 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Purchased None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2020-10-13 N/A 10.500000 USD 2020-10-13 XXXX -1146.600000 N N N N/A N/A 000000000 -962000.000000 NC USD -3463.200000 -0.0017729 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2020-10-28 N/A 1150.000000 USD 2020-10-28 XXXX 96.200000 N N N N/A N/A 000000000 -51.000000 NC USD 2602.090000 0.0013321 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-12-21 -7116093.750000 USD 2602.090000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 ACI0QBJL6 800000.000000 PA 741191.410000 0.3794300 Long DBT NUSS AU N 2 2047-03-21 Fixed 3 N N N N N N N/A N/A 000000000 77.000000 NC USD 8634.260000 0.0044200 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-12-31 9704406.250000 USD 8634.260000 N N N N/A N/A 000000000 -2.000000 NC USD -3061.310000 -0.0015671 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-12-21 -352562.500000 USD -3061.310000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 BMZ8B6II2 500000.000000 PA 361192.890000 0.1849015 Long DBT NUSS AU N 2 2051-06-21 Fixed 1.75 N N N N N N N/A N/A 000000000 -3.000000 NC USD 10393.620000 0.0053207 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-12-21 -665437.500000 USD 10393.620000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 ACI1RRGQ0 7400000.000000 PA 5316293.660000 2.7215120 Long DBT NUSS AU N 2 2026-09-21 Fixed 0.5 N N N N N N AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA) 95980020140005848404 B081RMII3 100000.000000 PA 151458.630000 0.0775346 Long DBT NUSS ES N 2 2035-04-26 Fixed 4.22 N N N N N N AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA) 95980020140005848404 B5BMDRII6 150000.000000 PA 183692.710000 0.0940358 Long DBT NUSS ES N 2 2021-09-15 Fixed 4.9 N N N N N N AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD) 635400CPI3EOIFF6OC33 70014LAA8 900000.000000 PA USD 903976.670000 0.4627629 Long DBT CORP KY N 2 2022-08-15 Fixed 5.25 N N N N N N AVON FINANCE NO 2 PLC 2A N/A ACI1RJQB0 400000.000000 PA 514991.280000 0.2636339 Long ABS-MBS CORP GB N 2 2048-09-20 Floating 0.959 N N N N N N BABSON EURO CLO 2015-1A BV N/A ACI0Y8ZQ5 522633.760000 PA 608311.340000 0.3114062 Long ABS-CBDO CORP NL N 2 2029-10-25 Floating 0.367 N N N N N N BANC OF AMERICA FUNDING CORP 2006-A N/A 058927AA2 224962.790000 PA USD 218250.620000 0.1117267 Long ABS-MBS CORP US N 2 2036-02-20 Floating 3.89494 N N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 38547.290000 PA USD 37547.530000 0.0192213 Long ABS-MBS CORP US N 2 2047-01-20 Floating 4.19876 Y N N N N N BANCA CARIGE SPA F1T87K3OQ2OV1UORLH26 ACI1FC9D3 700000.000000 PA 826209.530000 0.4229524 Long DBT CORP IT N 2 2022-05-25 Floating 1.013 N N N N N N BANCA CARIGE SPA F1T87K3OQ2OV1UORLH26 ACI1BW9L5 700000.000000 PA 826049.490000 0.4228705 Long DBT CORP IT N 2 2021-10-25 Floating 1.247 N N N N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI1FY8R5 300000.000000 PA 365747.560000 0.1872331 Long DBT CORP IT N 2 2027-10-08 Fixed 0.875 N N N N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI1J7WJ1 200000.000000 PA 232877.840000 0.1192146 Long DBT CORP IT N 2 2025-04-28 Fixed 2.625 N N N N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 ACI0LW0M3 400000.000000 PA 485356.690000 0.2484633 Long DBT CORP ES N 2 2021-04-14 Floating 8.875 N N N N Y BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) EUR XXXX N N N BANK OF AMERICA MTGE SECURITIES 2005-D N/A 05949A4R8 211542.670000 PA USD 207283.830000 0.1061125 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.77102 Y N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 1600000.000000 PA USD 1760500.220000 0.9012336 Long DBT CORP GB N 2 2022-11-21 Fixed 7.625 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 B4XDHNII0 200000.000000 PA 272327.430000 0.1394096 Long DBT CORP GB N 2 2021-05-21 Fixed 10 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBG9 200000.000000 PA USD 213102.600000 0.1090913 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 06738EBN4 300000.000000 PA USD 304841.060000 0.1560539 Long DBT CORP GB N 2 2025-12-15 Floating 6.125 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAT2 600000.000000 PA USD 604446.260000 0.3094276 Long DBT CORP GB N 2 2023-01-10 Floating 1.89788 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 500000.000000 PA USD 584676.430000 0.2993070 Long DBT CORP GB N 2 2029-05-16 Floating 4.972 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAA1 300000.000000 PA USD 306055.690000 0.1566757 Long DBT CORP US N 2 2021-06-25 Fixed 3.5 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAC7 200000.000000 PA USD 200412.120000 0.1025948 Long DBT CORP US N 2 2021-06-25 Floating 0.855 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 200000.000000 PA USD 229053.830000 0.1172570 Long DBT CORP US N 2 2025-12-15 Fixed 4.25 N N N N N N BCAP LLC TRUST 2011-RR4 N/A 05533XAA0 181215.670000 PA USD 139124.090000 0.0712203 Long ABS-MBS CORP US N 2 2037-04-26 Fixed 5.25 N N N N N N BCAP LLC TRUST 2011-RR5 N/A 05534AAG6 4099.800000 PA USD 4100.750000 0.0020993 Long ABS-MBS CORP US N 2 2036-02-26 Floating 3.23912 N N N N N N BCAP LLC TRUST 2011-RR5 N/A 05534AAJ0 109587.780000 PA USD 100313.660000 0.0513525 Long ABS-MBS CORP US N 2 2047-01-26 Floating 2.0625 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 453806.870000 PA USD 376952.910000 0.1929694 Long ABS-MBS CORP US N 2 2036-01-26 Floating 3.07203 Y N N N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MB68 2306.160000 PA USD 2290.440000 0.0011725 Long ABS-MBS CORP US N 2 2034-02-25 Floating 3.88498 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-5 N/A 07384MWN8 2776.210000 PA USD 2733.270000 0.0013992 Long ABS-MBS CORP US N 2 2033-08-25 Floating 3.09836 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-6 N/A 07384MWW8 20188.360000 PA USD 20245.720000 0.0103642 Long ABS-MBS CORP US N 2 2033-08-25 Floating 2.86368 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MN32 36233.250000 PA USD 34605.820000 0.0177154 Long ABS-MBS CORP US N 2 2034-05-25 Floating 3.80818 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MN57 27408.900000 PA USD 24396.710000 0.0124891 Long ABS-MBS CORP US N 2 2034-05-25 Floating 3.11666 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 25002.970000 PA USD 24335.190000 0.0124576 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.42921 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-3 N/A 073881AA2 133840.370000 PA USD 129403.530000 0.0662441 Long ABS-MBS CORP US N 2 2047-05-25 Floating 3.87416 Y N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7 N/A 07384MYW6 15349.870000 PA USD 15341.300000 0.0078535 Long ABS-MBS CORP US N 2 2033-10-25 Floating 3.18556 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 282209.650000 PA USD 222858.220000 0.1140854 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.25119 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AM3 129647.880000 PA USD 93855.670000 0.0480465 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.62175 Y N N N N N BEAR STEARNS ASSETBACKED SEC 2001-3 N/A 07384YBM7 17473.630000 PA USD 17150.600000 0.0087797 Long ABS-MBS CORP US N 2 2032-10-27 Floating 0.94813 N N N N N N BEAR STEARNS ASSETBK SECU INC 2002- N/A 07384YEM4 4107.240000 PA USD 4081.430000 0.0020894 Long ABS-MBS CORP US N 2 2032-10-25 Floating 0.80813 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2M5 600000.000000 PA USD 598222.870000 0.3062417 Long DBT CORP FR N 2 2028-09-30 Floating 1.904 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 09681LAE0 300000.000000 PA USD 319318.870000 0.1634654 Long DBT CORP SG N 2 2027-09-18 Fixed 3.5 N N N N N N BP CAPITAL MARKETS AMERICA INC 5493009NTB34VXE1T760 10373QAD2 400000.000000 PA USD 438791.480000 0.2246257 Long DBT CORP US N 2 2024-02-06 Fixed 3.79 N N N N N N BRITISH AIRWAYS 2019-1 CLASS A PASS THROUGH TRUST 635400GSHSFIWYIDXC76 11043XAB9 97863.120000 PA USD 81688.130000 0.0418177 Long DBT CORP US N 2 2030-12-15 Fixed 3.35 N N N N N N BRITISH AIRWAYS 2019-1 CLASS AA PASS THROUGH TRUST N/A 11043XAA1 198897.170000 PA USD 187365.770000 0.0959161 Long DBT CORP US N 2 2034-06-15 Fixed 3.3 N N N N N N BRITISH TELECOMMUNICATIONS PLC 549300OWFMSO9NYV4H90 111021AE1 400000.000000 PA USD 641416.610000 0.3283534 Long DBT CORP GB N 2 2030-12-15 Variable 9.625 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BE8 58000.000000 PA USD 62111.470000 0.0317960 Long DBT CORP US N 2 2023-03-15 Fixed 3.65 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -1100000.000000 PA -1158228.310000 -0.5929191 Short DBT NUSS CA N 2 2048-12-01 Fixed 2.75 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087ZH0 474740.000000 PA 504072.020000 0.2580441 Long DBT NUSS CA N 2 2044-12-01 Fixed 1.5 N N N N N N CENTERPOINT ENERGY RESOURCES CORP 2JADVB0458J06WCD4N56 15189WAK6 100000.000000 PA USD 107170.040000 0.0548624 Long DBT CORP US N 2 2023-04-01 Fixed 3.55 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0SQCV6 800000.000000 PA USD 822882.350000 0.4212492 Long DBT CORP JP N 2 2022-03-03 Fixed 2.849 N N N N N N CENTURYLINK INC 8M3THTGWLTYZVE6BBY25 15669GAH7 306351.660000 PA USD 294890.740000 0.1509602 Long LON CORP US N 2 2027-03-15 Floating 2.3966 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC 549300TPZNMN50BJ3745 16117LBX6 1245510.330000 PA USD 1220859.190000 0.6249811 Long LON CORP US N 2 2027-02-01 Floating 1.8961 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AA6 48778.410000 PA USD 48627.670000 0.0248934 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.503 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A2 N/A 16163LAQ5 29713.010000 PA USD 26619.890000 0.0136272 Long ABS-MBS CORP US N 2 2037-07-25 Variable 3.10585 Y N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 BZ82X0II5 2000000.000000 PA 287620.610000 0.1472385 Long DBT CORP CN N 2 2036-01-25 Fixed 3.8 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI19HN43 26600000.000000 PA 3925657.850000 2.0096191 Long DBT CORP CN N 2 2026-02-26 Fixed 3.68 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 BDG28WII3 23700000.000000 PA 3558880.160000 1.8218586 Long DBT CORP CN N 2 2027-04-10 Fixed 4.04 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 BD0F7YII8 5400000.000000 PA 768028.370000 0.3931684 Long DBT CORP CN N 2 2026-08-25 Fixed 3.05 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI0XJLS3 24700000.000000 PA 3760767.940000 1.9252088 Long DBT CORP CN N 2 2027-08-24 Fixed 4.24 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI16C869 3400000.000000 PA 513363.180000 0.2628004 Long DBT CORP CN N 2 2025-10-26 Fixed 4.15 N N N N N N CHINA GOVT 300300CHN201808MOF68 BD1F1VII9 1000000.000000 PA 143977.560000 0.0737049 Long DBT NUSS CN N 2 2026-08-04 Fixed 2.74 N N N N N N CITICORP MORTGAGE SECURITIES 2007-3 N/A 17312FAA1 18601.780000 PA USD 18681.180000 0.0095633 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 473569.680000 PA USD 456157.000000 0.2335155 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.35534 Y N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-3 N/A 17307GTJ7 32107.580000 PA USD 31958.740000 0.0163603 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.17687 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-7 N/A 17307GA57 468023.460000 PA USD 429797.640000 0.2200216 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.72151 Y N N N N N CITY OF BUENOS AIRES 5299007MC8RF52X0ON96 ACI0SB547 910000.000000 PA 6562.120000 0.0033593 Long DBT MUN AR N 2 2022-01-23 Floating 29.8231 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 BD2YKYII0 400000.000000 PA 484686.520000 0.2481203 Long DBT CORP NL N 2 2021-06-29 Floating 6.625 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 74977RDE1 800000.000000 PA USD 875613.970000 0.4482435 Long DBT CORP NL N 2 2023-09-26 Fixed 3.875 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 74977RDD3 600000.000000 PA USD 607740.710000 0.3111141 Long DBT CORP NL N 2 2023-09-26 Floating 1.09325 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-36T2 N/A 02146XAS7 1014417.860000 PA USD 674555.720000 0.3453179 Long ABS-MBS CORP US N 2 2036-12-25 Fixed 6.25 Y N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-41CB N/A 02149CAJ0 361306.830000 PA USD 291818.820000 0.1493876 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668AGT6 85942.000000 PA USD 79131.120000 0.0405087 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.05929 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668ALV5 111648.460000 PA USD 100594.370000 0.0514962 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.51929 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1 N/A 02150GAN8 172412.340000 PA USD 57590.860000 0.0294819 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.49813 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB N/A 02152AAY5 92036.800000 PA USD 72423.980000 0.0370752 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6.25 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TRUST 2005-41 N/A 12667GR62 471258.470000 PA USD 357654.260000 0.1830900 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.47813 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13 N/A 02149DAN9 217881.210000 PA USD 210521.810000 0.1077701 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.83927 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 480394.250000 PA USD 449890.270000 0.2303074 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.33813 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6 N/A 12668BD91 26559.680000 PA USD 23817.870000 0.0121928 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.35813 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB N/A 12667GKC6 53182.640000 PA USD 50142.170000 0.0256687 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 5.25 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-7 N/A 126673Y97 6720.850000 PA USD 6832.030000 0.0034974 Long ABS-MBS CORP US N 2 2035-10-25 Fixed 4.693 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-SD4 N/A 232433AA0 26274.940000 PA USD 18314.900000 0.0093757 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.48813 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AA9 135865.030000 PA USD 132492.780000 0.0678256 Long ABS-MBS CORP US N 2 2047-08-25 Floating 0.88813 N N N N N N COUNTRYWIDE HOME LOANS 2004-12 N/A 12669FN58 6719.460000 PA USD 6568.780000 0.0033627 Long ABS-MBS CORP US N 2 2034-08-25 Floating 3.02045 Y N N N N N COUNTRYWIDE HOME LOANS 2004-16 N/A 12669FY23 5076.320000 PA USD 4946.400000 0.0025322 Long ABS-MBS CORP US N 2 2034-09-25 Floating 0.90813 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 48823.790000 PA USD 48523.850000 0.0248403 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.73471 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GJY8 115739.840000 PA USD 112284.440000 0.0574805 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.80813 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB5 N/A 12669F3A9 4909.340000 PA USD 4904.010000 0.0025105 Long ABS-MBS CORP US N 2 2035-04-20 Floating 2.98207 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPN5 501374.990000 PA USD 438108.540000 0.2242761 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.78813 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 89071.040000 PA USD 85302.860000 0.0436682 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.78813 N N N N N N COUNTRYWIDE HOME LOANS 2005-22 N/A 126694LU0 9504.450000 PA USD 8874.390000 0.0045430 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.34785 Y N N N N N CREDIT SUISSE AG/ ZURICH BRANCH ANGGYXNX0JLX3X63JN86 ACI06K5Q2 1000000.000000 PA USD 1136106.000000 0.5815943 Long DBT CORP CH N 2 2023-08-08 Fixed 6.5 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AT8 600000.000000 PA USD 645892.760000 0.3306448 Long DBT CORP GG N 2 2023-06-09 Fixed 3.8 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 10030.090000 PA USD 9663.800000 0.0049471 Long ABS-MBS CORP US N 2 2032-01-25 Floating 0.76813 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-8 N/A 22541NX20 8202.730000 PA USD 8643.440000 0.0044247 Long ABS-MBS CORP US N 2 2033-04-25 Fixed 6.5 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR18 N/A 22541QFC1 6066.130000 PA USD 6063.260000 0.0031039 Long ABS-MBS CORP US N 2 2033-07-25 Floating 3.26368 N N N N N N CVC CORDATUS LOAN FUND IV LTD 4A N/A ACI18JLV2 250000.000000 PA 292849.660000 0.1499153 Long ABS-CBDO CORP IE N 2 2030-04-22 Floating 0.97 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650DC1 54000.000000 PA USD 54709.430000 0.0280068 Long DBT CORP US N 2 2021-03-09 Fixed 3.35 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851CZ5 400000.000000 PA USD 402473.580000 0.2060339 Long DBT CORP US N 2 2021-02-12 Fixed 2.3 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DV3 700000.000000 PA USD 703962.740000 0.3603719 Long DBT CORP US N 2 2022-02-15 Floating 1.18013 N N N N N N DBS BANK LTD ATUEL7OJR5057F2PV266 23304RAB1 200000.000000 PA USD 206606.430000 0.1057658 Long DBT CORP SG N 2 2021-11-27 Fixed 3.3 N N N N N N DBUBS MORTGAGE TRUST 2011-LC1A N/A 233050AD5 981648.660000 PA USD 15.710000 0.0000080 Long ABS-MBS CORP US N 2 2046-11-10 Variable 0.788421 N N N N N N DBUBS MORTGAGE TRUST 2011-LC1A N/A 233050AE3 4700000.000000 PA USD 621.810000 0.0003183 Long ABS-MBS CORP US N 2 2046-11-10 Variable 0.34514 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 25272KAD5 50000.000000 PA USD 51187.450000 0.0262038 Long DBT CORP US N 2 2021-06-15 Fixed 4.42 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI0ZWMV4 200000.000000 PA 236211.350000 0.1209211 Long DBT CORP DE N 2 2028-01-17 Fixed 1.75 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI183TH0 300000.000000 PA 353646.960000 0.1810386 Long DBT CORP DE N 2 2021-02-12 Fixed 1.625 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI183TV9 400000.000000 PA 493572.280000 0.2526691 Long DBT CORP DE N 2 2026-02-12 Fixed 2.625 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CD9 200000.000000 PA USD 201395.130000 0.1030980 Long DBT CORP DE N 2 2031-09-18 Floating 3.547 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CB3 600000.000000 PA USD 638487.800000 0.3268541 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAL3 600000.000000 PA USD 608209.840000 0.3113542 Long DBT CORP US N 2 2024-12-01 Fixed 2.875 N N N N N N DORCHESTER PARK CLO LTD 2015-1A N/A 25820NAA2 784276.570000 PA USD 782196.230000 0.4004212 Long ABS-CBDO CORP IE N 2 2028-04-20 Floating 1.17175 N N N N N N DRYDEN EURO CLO 16-46A N/A ACI1C3DT6 600000.000000 PA 703248.100000 0.3600061 Long ABS-CBDO CORP NL N 2 2030-01-15 Floating 0.88 N N N N N N DURHAM MORTGAGES B PLC 18-BX N/A ACI192FB9 392379.060000 PA 503698.540000 0.2578529 Long ABS-MBS CORP GB N 2 2054-03-31 Floating 0.66825 N N N N N N EGCLO 2018-1A N/A 29915RAA1 190461.600000 PA USD 189147.180000 0.0968280 Long ABS-CBDO CORP KY N 2 2028-05-28 Floating 1.17588 N N N N N N EMERA US FINANCE LP N/A 29103DAF3 300000.000000 PA USD 304170.410000 0.1557106 Long DBT CORP US N 2 2021-06-15 Fixed 2.7 N N N N N N EMERALD BAY SA 2221008SU8XG8LZVS860 ACI0YB9V6 472000.000000 PA 550975.190000 0.2820547 Long DBT CORP LU N 2 2020-10-08 None 0 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NBB0 600000.000000 PA USD 599881.210000 0.3070906 Long DBT CORP CA N 2 2022-02-18 Floating 0.77038 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAL2 300000.000000 PA USD 318383.360000 0.1629865 Long DBT CORP NL N 2 2024-09-10 Fixed 2.65 N N N N N N EPR PROPERTIES 549300YSSXFHMPOWZ492 26884UAD1 500000.000000 PA USD 461056.930000 0.2360238 Long DBT CORP US N 2 2027-06-01 Fixed 4.5 N N N N N N EUROSAIL PLC 2007-3X N/A ACI01JMT5 790872.720000 PA 1014378.980000 0.5192799 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 1.00963 N N N N N N EXPORT-IMPORT BANK OF INDIA 335800OFZ8YEIVN1QI11 ACI1HMTB1 300000.000000 PA USD 299167.500000 0.1531495 Long DBT CORP IN Y 2 2022-03-28 Floating 1.25325 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 400000.000000 PA 487567.930000 0.2495953 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FANNIE MAE 2006-48 N/A 31395NLE5 24308.080000 PA USD 24470.970000 0.0125272 Long ABS-MBS USGSE US N 2 2036-06-25 Floating 0.54813 N N N N N N FANNIE MAE 2010-115 N/A 31398NNS9 75314.720000 PA USD 76169.200000 0.0389925 Long ABS-MBS USGSE US N 2 2040-10-25 Floating 0.64813 N N N N N N FCE BANK PLC TU5V87TL5Q0UV1EW4H93 ACI0KHKC7 100000.000000 PA 116628.390000 0.0597043 Long DBT CORP GB N 2 2021-02-11 Fixed 1.66 N N N N N N FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K024 N/A 3137AXHQ9 4562903.350000 PA USD 61988.410000 0.0317330 Long ABS-MBS USGSE US N 2 2022-09-25 Variable 0.922474 N N N N N N FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K026 N/A 3137B1BT8 5483829.510000 PA USD 89233.970000 0.0456806 Long ABS-MBS USGSE US N 2 2022-11-25 Variable 1.08614 N N N N N N FHLMC PASS THRU POOLS N/A 3128S4HZ3 8952.120000 PA USD 9457.970000 0.0048417 Long ABS-MBS USGSE US N 2 2037-04-01 Floating 3.744 N N N N N N FHLMC PASS THRU POOLS N/A 31288U5Q0 2570.340000 PA USD 2596.080000 0.0013290 Long ABS-MBS USGSE US N 2 2023-05-01 Floating 3.736 N N N N N N FHLMC PASS THRU POOLS N/A 3128HDZD4 15980.350000 PA USD 16101.190000 0.0082425 Long ABS-MBS USGSE US N 2 2029-02-01 Floating 3.452 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-62 N/A 31395HHV5 719489.920000 PA USD 740535.000000 0.3790940 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 2.21929 N N N N N N FIGUEROA CLO LTD 2014-1A N/A 31683YAJ3 173597.220000 PA USD 173636.830000 0.0888880 Long ABS-CBDO CORP KY N 2 2027-01-15 Floating 1.175 N N N N N N FIRST ABU DHABI BANK PJSC 2138002Y3WMK6RZS8H90 ACI0TC3G9 400000.000000 PA USD 413530.770000 0.2116943 Long DBT CORP AE N 2 2022-03-30 Fixed 3 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF10 N/A 32028HAA1 555202.120000 PA USD 518788.740000 0.2655778 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.26313 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738AT5 600000.000000 PA USD 667326.810000 0.3416173 Long DBT CORP US N 2 2026-07-01 Fixed 3.2 N N N N N N FLAGSHIP CLO LTD 2014-8A N/A 338422AQ1 294122.250000 PA USD 293894.300000 0.1504501 Long ABS-CBDO CORP KY N 2 2026-01-16 Floating 1.12088 N N N N N N FNMA PASS THRU POOLS N/A 31368HFF5 487.820000 PA USD 488.740000 0.0002502 Long ABS-MBS USGSE US N 2 2023-11-01 Floating 3.983 N N N N N N FNMA PASS THRU POOLS N/A 31368JBE8 1315.040000 PA USD 1322.920000 0.0006772 Long ABS-MBS USGSE US N 2 2024-03-01 Floating 3.621 N N N N N N FNMA PASS THRU POOLS N/A 31402KEP5 65653.990000 PA USD 70876.900000 0.0362832 Long ABS-MBS USGSE US N 2 2023-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31405U6G9 39802.630000 PA USD 41295.360000 0.0211399 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 3.519 N N N N N N FNMA PASS THRU POOLS N/A 31406VQS8 17075.350000 PA USD 17289.740000 0.0088509 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 2.643 N N N N N N FNMA PASS THRU POOLS N/A 31407UMR5 316653.080000 PA USD 335747.530000 0.1718756 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 3.266 N N N N N N FNMA PASS THRU POOLS N/A 31412ENT9 62914.330000 PA USD 65911.950000 0.0337416 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3138APSL3 45278.570000 PA USD 50994.720000 0.0261052 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 3138ENBT5 121658.160000 PA USD 135553.460000 0.0693924 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 4.5 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 ACI07BWB4 1110.000000 NS 234179.030000 0.1198807 Long EP CORP GB N 2 N N N FNMA PASS THRU POOLS N/A 3140FXLQ3 776016.990000 PA USD 857674.950000 0.4390602 Long ABS-MBS USGSE US N 2 2059-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HAU57 154743.870000 PA USD 169191.520000 0.0866124 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QBZL5 573763.330000 PA USD 617729.760000 0.3162276 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140QDYC2 500795.800000 PA USD 540363.410000 0.2766223 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140X47J9 157094.800000 PA USD 168918.440000 0.0864726 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140X6S93 348258.460000 PA USD 373371.900000 0.1911362 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140X7MW6 499120.810000 PA USD 532697.890000 0.2726982 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31417YMB0 29875.140000 PA USD 32948.830000 0.0168671 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417YNY9 18086.630000 PA USD 19946.050000 0.0102108 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 4.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI12NHY8 300000.000000 PA 345857.440000 0.1770510 Long DBT CORP US N 2 2021-05-14 Floating 0.000001 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI0Z5583 1000000.000000 PA 1133305.190000 0.5801605 Long DBT CORP US N 2 2021-12-01 Floating 0.000001 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI05M6Y1 3000000.000000 PA 6011630.290000 3.0774681 Long DBT NUSS FR N 2 2045-05-25 Fixed 3.25 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI0V7KW3 6300000.000000 PA 10632195.380000 5.4428234 Long DBT NUSS FR N 2 2048-05-25 Fixed 2 N N N N N N FREDDIE MAC 1764 N/A 3133T5X81 12098.180000 PA USD 12675.610000 0.0064889 Long ABS-MBS USGSE US N 2 2024-12-15 Fixed 6 N N N N N N FREDDIE MAC 3397 N/A 31397PLU2 59219.520000 PA USD 60099.500000 0.0307661 Long ABS-MBS USGSE US N 2 2037-12-15 Floating 0.75238 N N N N N N FREDDIE MAC 3699 N/A 3137A0AK1 272720.920000 PA USD 275742.450000 0.1411578 Long ABS-MBS USGSE US N 2 2040-07-15 Floating 0.75238 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPPH6 375777.730000 PA USD 375648.950000 0.1923019 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 0.50563 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPS83 375777.730000 PA USD 21475.400000 0.0109937 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 3.11685 N N N N N N FREDDIE MAC REMICS 5002 N/A 3137FUAH7 459647.190000 PA USD 461731.320000 0.2363691 Long ABS-MBS USGSE US N 2 2050-07-25 Floating 0.55238 N N N N N N FRONTIER FINANCE PLC 213800XVLIFOCEEVIS52 ACI0T8JS5 750000.000000 PA 1000704.530000 0.5122797 Long DBT CORP GB N 2 2022-03-23 Fixed 8 N N N N N N FUTURE LAND (NEW METRO GLOBAL LIMITED) 549300HJRNTCANEH0D47 ACI1H9HH0 200000.000000 PA USD 205247.960000 0.1050703 Long DBT CORP VG N 2 2021-12-16 Fixed 7.5 N N N N N N GATX CORPORATION 549300IHYHCQP2PIR591 361448BB8 200000.000000 PA USD 199778.720000 0.1022705 Long DBT CORP US N 2 2021-11-05 Floating 0.969 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 18319.740000 PA USD 183435.610000 0.0939042 Long STIV RF US N 1 N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCH7 100000.000000 PA USD 99958.140000 0.0511705 Long DBT CORP US N 2 2021-04-09 Floating 1.11838 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 ACI11L997 100000.000000 PA 116153.430000 0.0594612 Long DBT CORP US N 2 2022-03-26 Floating 0.057 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCU8 100000.000000 PA USD 103468.790000 0.0529676 Long DBT CORP US N 2 2022-07-08 Fixed 3.55 N N N N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AL3 300000.000000 PA USD 334972.500000 0.1714788 Long DBT CORP US N 2 2029-01-15 Fixed 5.3 N N N N N N GNMA PASS THRU POOLS N/A 36202J4F2 1188.410000 PA USD 1195.960000 0.0006122 Long ABS-MBS USGSE US N 2 2022-07-20 Floating 3.25 N N N N N N GNMA PASS THRU POOLS N/A 36202J5G9 1528.430000 PA USD 1536.700000 0.0007867 Long ABS-MBS USGSE US N 2 2022-09-20 Floating 3.25 N N N N N N GNMA PASS THRU POOLS N/A 36202J5J3 592.280000 PA USD 595.910000 0.0003051 Long ABS-MBS USGSE US N 2 2022-09-20 Floating 3.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KDD4 1790.130000 PA USD 1819.720000 0.0009315 Long ABS-MBS USGSE US N 2 2023-05-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36202KDW2 1820.370000 PA USD 1851.780000 0.0009480 Long ABS-MBS USGSE US N 2 2023-06-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36202KD93 1774.860000 PA USD 1811.760000 0.0009275 Long ABS-MBS USGSE US N 2 2023-07-20 Floating 3.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KEV3 1903.120000 PA USD 1915.480000 0.0009806 Long ABS-MBS USGSE US N 2 2023-07-20 Floating 3.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KFV2 2691.840000 PA USD 2750.200000 0.0014079 Long ABS-MBS USGSE US N 2 2023-09-20 Floating 3.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KF67 919.600000 PA USD 925.930000 0.0004740 Long ABS-MBS USGSE US N 2 2023-09-20 Floating 3.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KHR9 1890.920000 PA USD 1936.700000 0.0009914 Long ABS-MBS USGSE US N 2 2023-12-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A 36202KJS5 13213.500000 PA USD 13551.800000 0.0069374 Long ABS-MBS USGSE US N 2 2024-02-20 Floating 3 N N N N N N GNMA PASS THRU POOLS N/A 36202KPM1 1083.610000 PA USD 1113.970000 0.0005703 Long ABS-MBS USGSE US N 2 2024-10-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A 36202KW76 898.720000 PA USD 904.770000 0.0004632 Long ABS-MBS USGSE US N 2 2025-12-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A 36202K6G5 1227.810000 PA USD 1242.550000 0.0006361 Long ABS-MBS USGSE US N 2 2026-09-20 Floating 3.25 N N N N N N GNMA PASS THRU POOLS N/A 36202K6H3 104.600000 PA USD 106.080000 0.0000543 Long ABS-MBS USGSE US N 2 2022-05-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CAL0 1665.080000 PA USD 1679.250000 0.0008596 Long ABS-MBS USGSE US N 2 2026-11-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A 36225CAY2 3059.750000 PA USD 3170.710000 0.0016231 Long ABS-MBS USGSE US N 2 2026-12-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A 36225CGH3 3808.620000 PA USD 3870.660000 0.0019815 Long ABS-MBS USGSE US N 2 2028-05-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CMN3 9141.820000 PA USD 9547.100000 0.0048873 Long ABS-MBS USGSE US N 2 2030-01-20 Floating 3 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 22540.970000 PA USD 222276.520000 0.1137876 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 36225CNP7 1979.660000 PA USD 2083.510000 0.0010666 Long ABS-MBS USGSE US N 2 2030-04-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CNZ5 6784.670000 PA USD 7095.160000 0.0036321 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CN36 8688.730000 PA USD 9146.140000 0.0046821 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 21H0206C4 3700000.000000 PA USD 3829269.820000 1.9602762 Long ABS-MBS USGSE US N 2 2050-12-21 Fixed 2 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121 N/A 38380TV37 42792.310000 PA USD 43929.320000 0.0224883 Long ABS-MBS USGSE US N 2 2046-07-20 Fixed 3 N N N N N N GREENPOINT MORTGAGE FUND TRUST 2006-OH1 N/A 39539GAA0 147309.260000 PA USD 135756.500000 0.0694963 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.32813 N N N N N N GREENPOINT MRGT PASS THRU CER 2003-1 N/A 395387AA1 3036.580000 PA USD 3004.880000 0.0015383 Long ABS-MBS CORP US N 2 2033-10-25 Floating 3.38873 N N N N N N GREENPOINT MTGE FUNDING TR 2006-AR3 N/A 39538WHF8 174504.210000 PA USD 166470.470000 0.0852194 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.35813 N N N N N N GREENPOINT MTGE FUNDING TRUST 2006-AR5 N/A 39538AAJ5 786957.920000 PA USD 674394.290000 0.3452353 Long ABS-MBS CORP US N 2 2046-10-25 Floating 0.34813 Y N N N N N GS MORTGAGE SECURITIES CORP II 2012-GCJ9 N/A 36192PAQ9 3969741.750000 PA USD 125441.850000 0.0642161 Long ABS-MBS CORP US N 2 2045-11-10 Variable 2.09319 N N N N N N GSAMP TRUST 2005-WMC2 N/A 362341VA4 3103384.330000 PA USD 2787849.900000 1.4271535 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.79313 Y N N N N N GSR MORTGAGE LOAN TRUST 2003-1 N/A 36229RJJ9 21538.970000 PA USD 21162.220000 0.0108333 Long ABS-MBS CORP US N 2 2033-03-25 Floating 2.93 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 20870.640000 PA USD 21241.640000 0.0108740 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.68124 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-4 N/A 41161PMX8 18341.360000 PA USD 15523.310000 0.0079467 Long ABS-MBS CORP US N 2 2035-07-19 Floating 3.5721 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-5 N/A 41161MAC4 713307.830000 PA USD 412362.970000 0.2110965 Long ABS-MBS CORP US N 2 2046-07-19 Floating 0.33625 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-SB1 N/A 41162BAA1 278123.290000 PA USD 257622.680000 0.1318820 Long ABS-MBS CORP US N 2 2036-12-19 Floating 1.86929 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2007-5 N/A 41165AAB8 277113.010000 PA USD 258634.980000 0.1324002 Long ABS-MBS CORP US N 2 2037-09-19 Floating 0.34625 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 785055.140000 PA 1013370.810000 0.5187638 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.1122 N N N N N N HOME EQUITY MTGE TRUST 2006-5 N/A 43709PAB4 391196.390000 PA USD 216562.880000 0.1108627 Long ABS-MBS CORP US N 2 2037-01-25 Variable 6 Y N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BZ1 600000.000000 PA USD 648690.940000 0.3320773 Long DBT CORP GB N 2 2025-03-11 Floating 3.803 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BK4 200000.000000 PA USD 221059.040000 0.1131643 Long DBT CORP GB N 2 2028-03-13 Floating 4.041 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CC1 400000.000000 PA USD 448193.940000 0.2294390 Long DBT CORP GB N 2 2030-05-22 Floating 3.973 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BT5 400000.000000 PA USD 460369.350000 0.2356718 Long DBT CORP GB N 2 2029-06-19 Floating 4.583 N N N N N N HUNTSMAN INTERNATIONAL LLC 3YTEJFW18LGIUQ2N5J61 44701QBD3 300000.000000 PA USD 322857.000000 0.1652767 Long DBT CORP US N 2 2022-11-15 Fixed 5.125 N N N N N N INDUSTRIAL & COMMERCIAL BANK OF CHINA LTD/DUBAI BRANCH 254900RYF4STUN5BW294 ACI1HMTQ8 300000.000000 PA USD 299702.670000 0.1534235 Long DBT CORP CN N 2 2021-12-21 Floating 0.97738 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 655014.920000 PA USD 592158.900000 0.3031374 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.33813 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR11 N/A 45660N6S9 19077.510000 PA USD 19111.610000 0.0097836 Long ABS-MBS CORP US N 2 2034-12-25 Floating 3.71625 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR14 N/A 45668GAD4 751832.670000 PA USD 683148.700000 0.3497168 Long ABS-MBS CORP US N 2 2046-11-25 Floating 0.34813 Y N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-E N/A 43709XAD3 2362654.360000 PA USD 1866621.930000 0.9555593 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.26813 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI0RRBN4 1300000.000000 PA 421113.930000 0.2155762 Long DBT NUSS IL N 2 2027-03-31 Fixed 2 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513YJJ8 200000.000000 PA USD 253894.000000 0.1299732 Long DBT NUSS IL N 2 2048-01-17 Fixed 4.125 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1M29S4 400000.000000 PA USD 478000.000000 0.2446973 Long DBT NUSS IL N 2 2060-05-13 Fixed 3.8 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI1LYDJ0 1500000.000000 PA 1890193.520000 0.9676261 Long DBT NUSS IT N 2 2025-07-01 Fixed 1.85 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI0XNFQ5 1300000.000000 PA 1606915.180000 0.8226105 Long DBT NUSS IT N 2 2024-11-15 Fixed 1.45 N N N N N N ITALY GOVT 815600DE60799F5A9309 551287II8 1200000.000000 PA 1965571.680000 1.0062136 Long DBT NUSS IT N 2 2028-08-04 Fixed 6 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI09FT43 160000000.000000 PA 1765696.680000 0.9038938 Long DBT NUSS JP N 2 2034-09-20 Fixed 1.4 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1B32J1 200000000.000000 PA 1863841.080000 0.9541358 Long DBT NUSS JP N 2 2049-03-20 Fixed 0.5 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 BJB9V0II4 90000000.000000 PA 883547.150000 0.4523046 Long DBT NUSS JP N 2 2048-12-20 Fixed 0.7 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 221966800.000000 PA 2102544.290000 1.0763325 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A6 N/A 466285AK9 3160.780000 PA USD 2138.570000 0.0010948 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.5 Y N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2013-C10 N/A 46639JAG5 11563364.580000 PA USD 212140.330000 0.1085987 Long ABS-MBS CORP US N 2 2047-12-15 Variable 1.10453 N N N N N N JP MORGAN MORTGAGE TRUST 2003-A2 N/A 466247AZ6 15852.310000 PA USD 15991.040000 0.0081861 Long ABS-MBS CORP US N 2 2033-11-25 Floating 2.99924 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A8 N/A 466247YH0 21367.230000 PA USD 19461.210000 0.0099626 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.63446 Y N N N N N JT INTERNATIONAL FINANCIAL SERVICES BV 549300U2F0PG10VZUN93 ACI155428 500000.000000 PA USD 541123.170000 0.2770113 Long DBT CORP NL N 2 2023-09-28 Fixed 3.5 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BKLH46II9 14547197.260000 PA 2292078.750000 1.1733588 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI1CPNN9 5772720.260000 PA 915013.300000 0.4684127 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BH3VW6II4 2184605.270000 PA 352466.670000 0.1804344 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 BJBQCWII7 100000.000000 NS 140006.920000 0.0716722 Long EP CORP NL N 2 N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAM4 100000.000000 PA USD 105619.880000 0.0540688 Long DBT CORP US N 2 2024-12-15 Fixed 3.45 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAA9 600000.000000 PA USD 607570.640000 0.3110270 Long DBT CORP US N 2 2021-02-15 Fixed 5 N N N N N N LANARK MASTER ISSUER PLC 19-1A N/A ACI189DK7 350000.000000 PA 453561.310000 0.2321867 Long ABS-MBS CORP GB N 2 2069-12-22 Floating 0.89075 N N N N N N LANDWIRTSCHAFTLICHE RENTENBANK 529900Z3J0N6S0F7CT25 ACI09B035 1500000.000000 PA 1169186.840000 0.5985290 Long DBT NUSS DE N 2 2024-04-23 Fixed 5.375 N N N N N N LCM XX LP 20A N/A 50188WAE8 700000.000000 PA USD 694412.200000 0.3554828 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 1.31175 N N N N N N LIBERTY FUNDING PTY LIMITED 2017-1 N/A ACI0T56B2 224309.170000 PA 160876.680000 0.0823558 Long ABS-MBS CORP AU N 2 2049-01-25 Floating 1.4883 N N N N N N LITHUANIA GOVT 529900F7Y171QF1RSU09 X5048HDW6 100000.000000 PA USD 102629.100000 0.0525378 Long DBT NUSS LT N 2 2021-03-09 Fixed 6.125 N N N N N N LLOYDS BANK CORPORATE MARKETS PLC 213800MBWEIJDM5CU638 ACI1D3YZ8 300000.000000 PA 396479.460000 0.2029654 Long DBT CORP GB N 2 2024-07-11 Fixed 1.75 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI0808F5 200000.000000 PA 269019.750000 0.1377163 Long DBT CORP GB N 2 2023-06-27 Floating 7.625 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAB9 500000.000000 PA USD 557583.890000 0.2854378 Long DBT CORP GB N 2 2026-03-24 Fixed 4.65 N N N N N N LUMINENT MORTGAGE TRUST 2006-7 N/A 55028BAG2 1054064.360000 PA USD 977886.920000 0.5005990 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.31813 N N N N N N MAN GLG EURO CLO II DAC 2A N/A ACI1DJHC3 400000.000000 PA 466792.140000 0.2389598 Long ABS-CBDO CORP IE N 2 2030-01-15 Floating 0.87 N N N N N N MASTR ALT LN TR 2006-2 N/A 5764342H6 153900.030000 PA USD 8707.250000 0.0044574 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.54813 Y N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 71560.440000 PA USD 69385.450000 0.0355197 Long ABS-MBS CORP US N 2 2030-12-15 Floating 0.59238 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A2 N/A 589929M70 23100.530000 PA USD 22282.300000 0.0114067 Long ABS-MBS CORP US N 2 2033-02-25 Floating 2.73064 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 22693.930000 PA USD 22174.070000 0.0113513 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.35813 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BP7 300000.000000 PA USD 341141.430000 0.1746368 Long DBT CORP US N 2 2027-02-15 Fixed 4.185 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YBC2 600000.000000 PA USD 599893.280000 0.3070968 Long DBT CORP JP N 2 2024-05-25 Floating 0.88 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-WMC2 N/A 61749KAA1 92254.260000 PA USD 82660.080000 0.0423153 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.27313 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAB2 1655477.120000 PA USD 917384.300000 0.4696265 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.25813 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C9 N/A 61762DAX9 10044519.290000 PA USD 214014.550000 0.1095581 Long ABS-MBS CORP US N 2 2046-05-15 Variable 1.17975 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAD7 270019.890000 PA USD 186622.790000 0.0955358 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.49813 N N N N N N MPT OPERATING PARTNERSHIP LP/MPT FINANCE CORP N/A ACI1H1MY4 400000.000000 PA 515892.970000 0.2640954 Long DBT CORP US N 2 2023-12-05 Fixed 2.55 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63859UBE2 400000.000000 PA USD 411856.000000 0.2108369 Long DBT CORP GB N 2 2023-01-27 Fixed 2 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAA5 300000.000000 PA USD 319039.210000 0.1633223 Long DBT CORP GB N 2 2024-03-08 Floating 3.766 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 623599.620000 PA USD 656682.700000 0.3361684 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 555603.880000 PA USD 588102.980000 0.3010611 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N NEW SOUTH WALES TREASURY CORPORATION TC7LRO17HPNPLTAV0H77 ACI1DKMP5 300000.000000 PA 229862.610000 0.1176711 Long DBT NUSS AU N 2 2031-03-20 Fixed 2 N N N N N N NEW SOUTH WALES TREASURY CORPORATION TC7LRO17HPNPLTAV0H77 BZ30FCII8 300000.000000 PA 250740.150000 0.1283587 Long DBT NUSS AU N 2 2030-02-20 Fixed 3 N N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI08T0K9 1700000.000000 PA 1441083.670000 0.7377182 Long DBT NUSS NZ N 2 2027-04-15 Fixed 4.5 N N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI0PFL68 1000000.000000 PA 849457.950000 0.4348537 Long DBT NUSS NZ N 2 2037-04-15 Fixed 2.75 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI0CR3W9 1.290000 PA 0.210000 0.0000001 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BKDSHHII6 4596782.200000 PA 724819.000000 0.3710487 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BH3VWJII6 798484.530000 PA 128828.390000 0.0659497 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI0WLGL0 1.020000 PA 0.170000 0.0000001 Long DBT CORP DK N 2 2050-10-01 Fixed 2 N N N N N N NORTHERN TERRITORY TREASURY CORPORATION 254900V4FQ2K6E3VJ628 ACI1K8177 300000.000000 PA 222137.020000 0.1137162 Long DBT MUN AU N 2 2031-04-21 Fixed 2 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 500000.000000 NS USD 540236.350000 0.2765573 Long EP CORP US N 2 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BQ13RXII5 1.370000 PA 0.230000 0.0000001 Long DBT CORP DK N 2 2036-10-01 Fixed 2.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI09WV27 1.970000 PA 0.330000 0.0000002 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1CY5Z3 7577301.920000 PA 1192399.710000 0.6104121 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BK9CXBII1 20338616.090000 PA 3222200.000000 1.6495056 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI19Y843 7051076.450000 PA 1137628.600000 0.5823738 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BDDX39II4 1.620000 PA 0.260000 0.0000001 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N OBX TRUST 2018-1 N/A 67112FAD2 69973.500000 PA USD 70043.470000 0.0358566 Long ABS-MBS CORP US N 2 2057-06-25 Floating 0.79813 N N N N N N ORIX CORPORATION 35380016EMHNBOVYE123 686330AK7 100000.000000 PA USD 108524.560000 0.0555558 Long DBT CORP JP N 2 2024-12-04 Fixed 3.25 N N N N N N OVERSEA-CHINESE BANKING CORP 5493007O3QFXCPOGWK22 ACI12PFS8 400000.000000 PA USD 400447.470000 0.2049967 Long DBT CORP SG N 2 2021-05-17 Floating 0.73013 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308GZ4 100000.000000 PA USD 100226.630000 0.0513079 Long DBT CORP US N 2 2042-04-15 Fixed 4.45 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JL2 100000.000000 PA USD 104786.070000 0.0536420 Long DBT CORP US N 2 2025-07-01 Fixed 3.45 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2018-4A N/A 69700KAA1 414006.380000 PA USD 413098.770000 0.2114731 Long ABS-CBDO CORP KY N 2 2026-11-15 Floating 1.18013 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638DB5 300000.000000 PA 82666.920000 0.0423188 Long DBT NUSS PE N 2 2040-08-12 Fixed 5.35 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BX9 5100000.000000 PA 1663698.800000 0.8516791 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BV3 1000000.000000 PA 334804.080000 0.1713926 Long DBT NUSS PE N 2 2028-08-12 Fixed 6.35 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AC3 5500000.000000 PA 1841422.470000 0.9426593 Long DBT NUSS PE N 2 2028-08-12 Fixed 6.35 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NBE8 812000.000000 PA USD 854305.200000 0.4373351 Long DBT CORP NL N 2 2030-01-15 Fixed 5.093 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NAK5 530000.000000 PA USD 605207.000000 0.3098170 Long DBT CORP NL N 2 2044-03-17 Fixed 7.25 N N N N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 716743AP4 200000.000000 PA USD 224084.520000 0.1147131 Long DBT CORP MY N 2 2030-04-21 Fixed 3.5 N N N N N N PREFERRED TERM SECURITIES XVI LTD / PREFERRED TERM SECURITIES XVI INC N/A 74041EAA3 915148.640000 PA USD 841936.750000 0.4310035 Long DBT CORP KY N 2 2035-03-23 Floating 0.73725 N N N N N N PROVINCE OF BUENOS AIRES ARGENTINA 549300L6AYROPOTQ4L07 P1910WRC5 840000.000000 PA 5371.020000 0.0027495 Long DBT NUSS AR N 2 2025-04-12 Floating 33.3808 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 74727PBE0 200000.000000 PA USD 258003.000000 0.1320767 Long DBT NUSS QA N 2 2050-04-16 Fixed 4.4 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI19CQH2 300000.000000 PA USD 323674.500000 0.1656951 Long DBT NUSS QA N 2 2024-03-14 Fixed 3.375 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI19CPF7 1200000.000000 PA USD 1405488.000000 0.7194961 Long DBT NUSS QA N 2 2029-03-14 Fixed 4 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI19CPD2 200000.000000 PA USD 269945.000000 0.1381900 Long DBT NUSS QA N 2 2049-03-14 Fixed 4.817 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 M8489SAH0 1200000.000000 PA USD 1437540.000000 0.7359041 Long DBT NUSS QA N 2 2028-04-23 Fixed 4.5 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 BD93CFII1 2200000.000000 PA USD 2209053.000000 1.1308563 Long DBT CORP KY N 2 2021-05-31 Floating 1.60588 N N N N N N QUEENSLAND TREASURY CORPORATION 98INKCEEHOU5YJS0HQ88 ACI0Y7JW2 600000.000000 PA 523773.770000 0.2681298 Long DBT CORP AU N 2 2030-08-21 Fixed 3.5 N N N N N N QUEENSLAND TREASURY CORPORATION 98INKCEEHOU5YJS0HQ88 ACI1G3SL3 200000.000000 PA 149251.380000 0.0764046 Long DBT CORP AU N 2 2031-08-21 Fixed 1.75 N N N N N N REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A N/A 75585RQL2 225048.350000 PA 172896.220000 0.0885089 Long ABS-MBS CORP CA N 2 2053-08-12 Fixed 3.072 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BQ13RFII4 1.200000 PA 0.200000 0.0000001 Long DBT CORP DK N 2 2036-04-01 Fixed 2.5 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI0B2V53 1.300000 PA 0.220000 0.0000001 Long DBT CORP DK N 2 2047-04-01 Fixed 2.5 N N N N N N RECKITT BENCKISER TREASURY SERVICES PLC 213800LAXWIUOOBZ3908 75625QAF6 500000.000000 PA USD 501969.780000 0.2569679 Long DBT CORP GB N 2 2022-06-24 Floating 0.7825 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAF0 716586.350000 PA USD 420403.230000 0.2152124 Long ABS-MBS CORP US N 2 2037-09-25 Variable 7.238 Y N N N N N ABU DHABI GOVT 213800FER4348CINTA77 29135LAJ9 200000.000000 PA USD 245000.000000 0.1254202 Long DBT NUSS AE N 2 2050-04-16 Fixed 3.875 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2007-QO2 N/A 75116AAA8 346815.430000 PA USD 172720.710000 0.0884190 Long ABS-MBS CORP US N 2 2047-02-25 Floating 0.29813 N N N N N N RESIDENTIAL ASSET MTGE PROD INC 2002-RS3 N/A 760985LY5 10206.430000 PA USD 9574.860000 0.0049016 Long ABS-MBS CORP US N 2 2032-06-25 Floating 0.70813 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A8 N/A 761119AJ5 444594.310000 PA USD 227459.830000 0.1164410 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.5 Y N N N N N ABU DHABI GOVT 213800FER4348CINTA77 29135LAA8 1900000.000000 PA USD 2114941.300000 1.0826788 Long DBT NUSS AE N 2 2027-10-11 Fixed 3.125 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2003-S9 N/A 76111JZ72 3990.450000 PA USD 4211.680000 0.0021560 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6.5 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2005-SA4 N/A 76111XYD9 51410.820000 PA USD 39323.100000 0.0201302 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.29596 Y N N N N N RESIDENTIAL MORTGAGE SECURITIES 29 PLC N/A ACI0TDXZ2 374363.010000 PA 483487.580000 0.2475065 Long ABS-MBS CORP GB N 2 2046-12-20 Floating 1.00663 N N N N N N RESIDENTIAL MORTGAGE SECURITIES 31 PLC 31 N/A ACI16FGD8 386979.430000 PA 500434.200000 0.2561818 Long ABS-MBS CORP GB N 2 2065-09-20 Floating 1.25663 N N N N N N RESIMAC BASTILLE TRUST SERIES 2019-1NC N/A 76119UAA9 335366.860000 PA USD 335868.400000 0.1719374 Long ABS-MBS CORP AU N 2 2057-09-05 Floating 1.07 N N N N N N RIPON MORTGAGES PLC 1A N/A ACI0TMV43 1138579.220000 PA 1467583.830000 0.7512841 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.86825 N N N N N N RIPON MORTGAGES PLC 1X N/A ACI0TMVB7 401851.490000 PA 517970.770000 0.2651591 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.86825 N N N N N N ACCUNIA EUROPEAN CLO I BV 1A N/A ACI19ZJ97 250000.000000 PA 291890.610000 0.1494244 Long ABS-CBDO CORP NL N 2 2030-07-15 Floating 0.95 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 78009PEH0 700000.000000 PA USD 834826.410000 0.4273635 Long DBT CORP GB N 2 2030-01-27 Floating 5.076 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 600000.000000 PA USD 602922.650000 0.3086476 Long DBT CORP GB N 2 2024-06-25 Floating 1.775 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 300000.000000 PA USD 323576.620000 0.1656450 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BD2 300000.000000 PA USD 322458.650000 0.1650727 Long DBT CORP GB N 2 2023-09-12 Fixed 3.875 N N N N N N SALOMON BROTHERS MTGE SEC VII 2002-1 N/A 79549AQP7 4104.600000 PA USD 4075.730000 0.0020864 Long ABS-MBS CORP US N 2 2032-05-25 Floating 0.64813 N N N N N N SALOMON BROTHERS MTGE SEC VII 2002-WMC1 N/A 79549AKF5 31249.600000 PA USD 31338.420000 0.0160427 Long ABS-MBS CORP US N 2 2032-01-25 Floating 1.49813 N N N N N N SAN DIEGO GAS & ELECTRIC COMPANY KNIRVXKVNJJ4P8OTMS63 797440BR4 200000.000000 PA USD 215922.540000 0.1105349 Long DBT CORP US N 2 2023-09-01 Fixed 3.6 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAB1 300000.000000 PA USD 320583.000000 0.1641125 Long DBT CORP KY N 2 2023-08-08 Fixed 4.6 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAF2 200000.000000 PA USD 218819.000000 0.1120176 Long DBT CORP KY N 2 2025-08-08 Fixed 5.125 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 200000.000000 PA USD 223196.000000 0.1142583 Long DBT CORP KY N 2 2028-08-08 Fixed 5.4 N N N N N N SANTANDER RETAIL AUTO LEASE TRUST 2020-A N/A 80286KAB8 559163.760000 PA USD 564883.220000 0.2891745 Long ABS-O CORP US N 2 2023-01-20 Fixed 1.69 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 ACI0CTJV0 300000.000000 PA 404212.470000 0.2069241 Long DBT CORP GB N 2 2022-06-24 Floating 7.375 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 ACI0TF455 500000.000000 PA 680531.470000 0.3483770 Long DBT CORP GB N 2 2024-06-24 Floating 6.75 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAG4 800000.000000 PA USD 888104.000000 0.4546374 Long DBT NUSS SA N 2 2028-03-04 Fixed 3.625 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAH2 1500000.000000 PA USD 1669500.000000 0.8546489 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAT6 200000.000000 PA USD 234542.000000 0.1200665 Long DBT NUSS SA N 2 2029-04-16 Fixed 4.375 N N N N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 80414L2A2 200000.000000 PA USD 205005.640000 0.1049463 Long DBT CORP SA N 2 2022-04-16 Fixed 2.75 N N N N N N SBERBANK OF RUSSIA VIA SB CAPITAL SA 222100YFG9QVABDS2B03 ACI060JC2 300000.000000 PA USD 318782.700000 0.1631909 Long DBT CORP LU N 2 2023-05-23 Fixed 5.25 N N N N N N SBERBANK OF RUSSIA VIA SB CAPITAL SA 222100YFG9QVABDS2B03 ACI02M251 300000.000000 PA USD 315376.500000 0.1614472 Long DBT CORP LU N 2 2022-10-29 Fixed 5.125 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAD0 500000.000000 PA USD 534280.000000 0.2735081 Long DBT CORP DE N 2 2029-05-15 Fixed 6.375 N N Y N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BB4 300000.000000 PA USD 300429.500000 0.1537956 Long DBT CORP US N 2 2021-03-15 Floating 0.70038 N N N N N N SEQUOIA MORTGAGE TRUST 2003-4 N/A 81743PBW5 120798.160000 PA USD 116271.330000 0.0595215 Long ABS-MBS CORP US N 2 2033-07-20 Floating 0.50625 N N N N N N SEQUOIA MORTGAGE TRUST 2005-4 N/A 81744FJG3 216545.370000 PA USD 220894.400000 0.1130801 Long ABS-MBS CORP US N 2 2035-04-20 Floating 4.03061 N N N N N N SEQUOIA MORTGAGE TRUST 5 N/A 81743WAA9 33755.870000 PA USD 33041.310000 0.0169145 Long ABS-MBS CORP US N 2 2026-10-19 Floating 0.50625 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-OPT2 N/A 78420MAE9 2900000.000000 PA USD 2687099.400000 1.3755774 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.29813 N N N N N N SGSP AUSTRALIA ASSETS PTY LTD (AKA: SPI AUSTRALIA ASSETS PTY LTD) 254900BJJ12X7PJT5072 ACI02IL67 700000.000000 PA USD 738866.530000 0.3782399 Long DBT CORP AU N 2 2023-04-09 Variable 3.3 N N N N N N SHRIRAM TRANSPORT FINANCE COMPANY LIMITED 335800TM2YO24B76XL26 Y7758EEC1 300000.000000 PA USD 282909.000000 0.1448265 Long DBT CORP IN N 2 2022-10-24 Fixed 5.95 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-5 N/A 007036LJ3 28898.560000 PA USD 27065.540000 0.0138554 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.82243 Y N N N N N SLOVENIA GOVT 485100000LWQHIX4XX88 831594AG1 1122000.000000 PA USD 1291632.940000 0.6612115 Long DBT NUSS SI N 2 2024-02-18 Fixed 5.25 N N N N N N SLOVENIA GOVT 485100000LWQHIX4XX88 ACI07T7X5 462000.000000 PA USD 531848.860000 0.2722636 Long DBT NUSS SI N 2 2024-02-18 Fixed 5.25 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-BA N/A 78449XAB8 100000.000000 PA USD 100462.070000 0.0514284 Long ABS-O CORP US N 2 2053-07-15 Floating 1.26825 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-BA N/A 78449XAA0 400000.000000 PA USD 400558.880000 0.2050537 Long ABS-O CORP US N 2 2053-07-15 Fixed 1.29 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 ACI084Z26 400000.000000 PA 475634.270000 0.2434862 Long DBT CORP FR N 2 2021-04-07 Floating 6.75 N N N N N N SOUND POINT CLO X LTD 2015-3A N/A 83609WAN0 357799.710000 PA USD 355675.760000 0.1820772 Long ABS-CBDO CORP KY N 2 2028-01-20 Floating 1.16175 N N N N N N SOUNDVIEW HOME EQUITY LN TR 2006-3 N/A 83612HAD0 700000.000000 PA USD 650622.840000 0.3330662 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.39813 N N N N N N SOUTH AUSTRALIAN GOVERNMENT FINANCING AUTHORITY 254900TDPILDN6AUAD69 ACI18FDS6 500000.000000 PA 408137.660000 0.2089334 Long DBT MUN AU N 2 2030-05-24 Fixed 2.75 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587CU9 400000.000000 PA USD 425572.760000 0.2178588 Long DBT CORP US N 2 2023-07-01 Fixed 2.95 N N N N N N SOUTHERN COMPANY GAS CAPITAL CORPORATION E8CD46SWUD2TSN8PA636 8426EPAA6 100000.000000 PA USD 105221.460000 0.0538649 Long DBT CORP US N 2 2023-10-01 Fixed 2.45 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI17SZK2 1800000.000000 PA 2353103.170000 1.2045984 Long DBT NUSS ES N 2 2029-04-30 Fixed 1.45 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI1B8TR3 100000.000000 PA 120017.720000 0.0614394 Long DBT NUSS ES N 2 2024-07-30 Fixed 0.25 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BD35VZII7 2900000.000000 PA 3767101.650000 1.9284511 Long DBT NUSS ES N 2 2028-07-30 Fixed 1.4 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BJRJGGII7 700000.000000 PA 971288.980000 0.4972213 Long DBT NUSS ES N 2 2035-07-30 Fixed 1.85 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BMWWMLII7 2400000.000000 PA 3094056.540000 1.5839065 Long DBT NUSS ES N 2 2030-10-31 Fixed 1.25 N N N N N N SPIRIT AEROSYSTEMS INC ZD2NBKV6GCC3UMGBM518 85205TAH3 100000.000000 PA USD 94602.240000 0.0484287 Long DBT CORP US N 2 2021-06-15 Floating 1.05038 N N N N N N SPIRIT AEROSYSTEMS INC ZD2NBKV6GCC3UMGBM518 85205TAJ9 100000.000000 PA USD 89082.000000 0.0456028 Long DBT CORP US N 2 2023-06-15 Fixed 3.95 N N N N N N SPIRIT REALTY LP 549300GTBVIBJRX5BW73 84861TAD0 300000.000000 PA USD 312098.120000 0.1597690 Long DBT CORP US N 2 2029-07-15 Fixed 4 N N N N N N SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC / SPRINT SPECTRUM CO III LLC N/A 85208NAD2 200000.000000 PA USD 216875.000000 0.1110224 Long DBT CORP US N 2 2029-09-20 Fixed 4.738 N N N N N N STANLINGTON NO 1 PLC 17-1 N/A ACI0SNHR7 738360.060000 PA 949823.310000 0.4862327 Long ABS-MBS CORP GB N 2 2046-06-12 Floating 1.05963 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGF2 26533.250000 PA USD 25902.080000 0.0132598 Long ABS-MBS CORP US N 2 2034-02-25 Floating 3.17007 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-4 N/A 86359BNU1 47639.110000 PA USD 46726.010000 0.0239199 Long ABS-MBS CORP US N 2 2034-04-25 Floating 3.34468 N N N N N N STRUCTURED ARM LOAN TRUST 2004-12 N/A 863579AV0 8409.440000 PA USD 8406.050000 0.0043032 Long ABS-MBS CORP US N 2 2034-09-25 Floating 3.12719 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR3 N/A 86359LBY4 26151.930000 PA USD 25906.480000 0.0132620 Long ABS-MBS CORP US N 2 2034-07-19 Floating 0.73625 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPD5 361129.080000 PA USD 342967.790000 0.1755717 Long ABS-MBS CORP US N 2 2035-07-19 Floating 0.40625 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 243187.650000 PA USD 224330.760000 0.1148392 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.35813 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR6 N/A 86360UAF3 152352.330000 PA USD 120720.280000 0.0617990 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.33813 Y N N N N N STRUCTURED ASSET SEC CORP 2006-RF1 N/A 86359DXP7 115823.230000 PA USD 103775.890000 0.0531249 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.42813 N N N N N N STRUCTURED ASSET SEC CORP 2006-RF4 N/A 863911AA1 275682.120000 PA USD 237003.840000 0.1213268 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.43813 N N N N N N SUNAC CHINA HOLDINGS LIMITED 549300OLARYHDXP3WK18 ACI18F1D2 200000.000000 PA USD 202500.000000 0.1036636 Long DBT CORP KY N 2 2022-02-15 Fixed 7.875 N N N N N N AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST N/A 00908PAA5 179520.000000 PA USD 171414.190000 0.0877502 Long DBT CORP CA N 2 2031-07-15 Fixed 3.3 N N N N N N TAKEDA PHARMACEUTICAL COMPANY LIMITED 549300ZLMVP4X0OGR454 ACI16G2T6 200000.000000 PA 239885.100000 0.1228018 Long DBT CORP JP N 2 2022-11-21 Fixed 1.125 N N N N N N TESCO PROPERTY FINANCE 6 PLC 213800FORYFOB97FHO66 B9JST3II3 283494.890000 PA 477884.950000 0.2446384 Long DBT CORP GB N 2 2044-07-13 Fixed 5.4111 N N N N N N TEXTRON INC 3PPKBHUG1HD6BO7RNR87 883203BZ3 500000.000000 PA USD 500015.070000 0.2559672 Long DBT CORP US N 2 2020-11-10 Floating 0.79325 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAC5 71491.450000 PA USD 69087.810000 0.0353674 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.62175 Y N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAE1 184960.090000 PA USD 161692.370000 0.0827734 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.62175 Y N N N N N THORNBURG MORTGAGE SECURITIES TRUST 2007-2 N/A 88522WAD5 437671.310000 PA USD 394137.150000 0.2017663 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.57175 N N N N N N TORO EUROPEAN CLO 2 DAC 2A N/A ACI157J36 700000.000000 PA 819601.120000 0.4195694 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 0.9 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 926260.000000 PA 1191497.220000 0.6099501 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 0.9652 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 609969.430000 PA 789153.890000 0.4039829 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.101 N N N N N N TOWD POINT MORTGAGE FUNDING 2019-AUBURN 13 PLC 19-A13X N/A ACI1G4DQ6 463130.000000 PA 595748.610000 0.3049751 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 0.9652 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 2061581.160000 PA USD 2186719.960000 1.1194236 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N TOWD POINT MORTGAGE TRUST 2020-1 N/A 89178WAU2 515459.800000 PA USD 539616.410000 0.2762399 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.71 N N N N N N TOWD POINT MORTGAGE TRUST 2020-2 N/A 89176UAN4 553776.240000 PA USD 564662.150000 0.2890613 Long ABS-MBS CORP US N 2 2060-04-25 Variable 1.636 N N N N N N TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2019-1A N/A 89231XAA9 700000.000000 PA USD 747783.540000 0.3828046 Long ABS-O CORP US N 2 2031-11-25 Fixed 2.56 N N N N N N TRALEE CLO V LTD 2018-5A N/A 89300JAA6 700000.000000 PA USD 694117.410000 0.3553319 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.38175 N N N N N N TREASURY CORPORATION OF VICTORIA 549300ZJM7BQW1P9UV75 BJ1DHKII8 100000.000000 PA 80556.750000 0.0412385 Long DBT MUN AU N 2 2029-10-22 Fixed 2.5 N N N N N N TREASURY CORPORATION OF VICTORIA 549300ZJM7BQW1P9UV75 ACI1K5116 800000.000000 PA 587554.210000 0.3007802 Long DBT MUN AU N 2 2030-11-20 Fixed 1.5 N N N N N N TREASURY CORPORATION OF VICTORIA 549300ZJM7BQW1P9UV75 ACI06FV19 400000.000000 PA 377208.080000 0.1931000 Long DBT MUN AU N 2 2032-12-20 Fixed 4.25 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 200000.000000 PA USD 220750.000000 0.1130061 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UBS AG / STAMFORD BRANCH BFM8T61CT2L1QCEMIK50 90261AAB8 600000.000000 PA USD 668366.350000 0.3421495 Long DBT CORP CH N 2 2022-08-17 Fixed 7.625 N N N N N N UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C4 N/A 90270RAC8 11027496.770000 PA USD 279520.580000 0.1430919 Long ABS-MBS CORP US N 2 2045-12-10 Variable 1.75516 N N N N N N UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 2011-C1 N/A 90268TAE4 2928613.640000 PA USD 35423.050000 0.0181337 Long ABS-MBS CORP US N 2 2045-01-10 Variable 2.34228 N N N N N N UMBS PASS THRU POOLS N/A 01F0324A9 800000.000000 PA USD 846046.880000 0.4331075 Long ABS-MBS USGSE US N 2 2035-10-19 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0206C8 29900000.000000 PA USD 30781994.090000 15.7578894 Long ABS-MBS USGSE US N 2 2050-12-14 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F0226B6 23700000.000000 PA USD 24807923.570000 12.6996489 Long ABS-MBS USGSE US N 2 2050-11-12 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0226C4 1300000.000000 PA USD 1358558.500000 0.6954720 Long ABS-MBS USGSE US N 2 2050-12-14 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0306B9 -15400000.000000 PA USD -16136914.180000 -8.2607939 Short ABS-MBS USGSE US N 2 2050-11-12 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F0326A7 4700000.000000 PA USD 4955378.870000 2.5367529 Long ABS-MBS USGSE US N 2 2050-10-14 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0326B5 5000000.000000 PA USD 5278266.250000 2.7020451 Long ABS-MBS USGSE US N 2 2050-11-12 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0406B8 21900000.000000 PA USD 23379961.050000 11.9686476 Long ABS-MBS USGSE US N 2 2050-11-12 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F0426A6 1600000.000000 PA USD 1731062.500000 0.8861639 Long ABS-MBS USGSE US N 2 2050-10-14 Fixed 4.5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 600000.000000 PA USD 703474.430000 0.3601220 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BMBL1FII0 300000.000000 PA 372159.180000 0.1905154 Long DBT NUSS GB N 2 2050-10-22 Fixed 0.625 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI14WP35 -800000.000000 PA -1293370.100000 -0.6621008 Short DBT NUSS GB N 2 2049-01-22 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 4936128.000000 PA USD 5541137.950000 2.8366141 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PZ5 904950.000000 PA USD 1182434.840000 0.6053109 Long DBT UST US N 2 2029-01-15 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 333465.000000 PA USD 473987.090000 0.2426430 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SM1 100763.000000 PA USD 118849.280000 0.0608412 Long DBT UST US N 2 2050-02-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284H0 312882.000000 PA USD 327289.170000 0.1675456 Long DBT UST US N 2 2023-04-15 Fixed 0.625 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBH2 700000.000000 PA USD 746737.460000 0.3822691 Long DBT CORP US N 2 2024-05-21 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZZ6 202080.000000 PA USD 224736.510000 0.1150469 Long DBT UST US N 2 2030-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284M9 6400000.000000 PA USD 7165750.020000 3.6682840 Long DBT UST US N 2 2025-04-30 Fixed 2.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284T4 200000.000000 PA USD 203506.500000 0.1041789 Long DBT UST US N 2 2021-06-15 Fixed 2.625 N N N N N N UROPA SECURITIES PLC 2008-1 N/A ACI07PFK2 211936.140000 PA 262288.120000 0.1342703 Long ABS-MBS CORP GB N 2 2059-06-10 Floating 0.2595 N N N N N N UROPA SECURITIES PLC 2008-1 N/A G92958AY6 45365.750000 PA 53663.300000 0.0274713 Long ABS-MBS CORP GB N 2 2059-06-10 Floating 0.8095 N N N N N N UROPA SECURITIES PLC 2008-1 N/A G92958AV2 54705.760000 PA 63987.750000 0.0327565 Long ABS-MBS CORP GB N 2 2059-06-10 Floating 0.4095 N N N N N N UROPA SECURITIES PLC 2008-1 N/A G92958AU4 42697.180000 PA 51037.960000 0.0261273 Long ABS-MBS CORP GB N 2 2059-06-10 Floating 0.6095 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 191928.110000 PA USD 190190.410000 0.0973621 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 1.155 N N N N N N VIRGIN MEDIA SECURED FINANCE PLC 213800X3RLP4NOTPY579 931FXZII0 400000.000000 PA 541827.960000 0.2773721 Long DBT CORP GB N 2 2027-04-15 Fixed 5 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AD7 400000.000000 PA USD 453031.460000 0.2319154 Long DBT CORP US N 2 2025-05-15 Fixed 4.5 N N N N N N VOLKSWAGEN FINANCIAL SERVICES AG 529900USFSZYPS075O24 ACI0C8PL1 200000.000000 PA 236468.410000 0.1210527 Long DBT CORP DE N 2 2021-10-14 Fixed 0.75 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AN2 200000.000000 PA USD 200774.620000 0.1027804 Long DBT CORP US N 2 2020-11-13 Fixed 3.875 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AP7 200000.000000 PA USD 207523.100000 0.1062350 Long DBT CORP US N 2 2021-11-12 Fixed 4 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AQ5 300000.000000 PA USD 301524.280000 0.1543560 Long DBT CORP US N 2 2021-11-12 Floating 1.19688 N N N N N N AMBAC ASSURANCE CORP 549300RYYRVPPB8NC636 023138AA8 294.360000 PA USD 404.010000 0.0002068 Long DBT CORP US N 2 2099-12-31 Fixed 5.1 N N N N N N AMBAC LSNI LLC N/A 02315QAA6 1093.090000 PA USD 1094.460000 0.0005603 Long DBT CORP KY N 2 2023-02-12 Floating 6 N N N N N N WASHINGTON MUTUAL 2003-AR1 N/A 939336PB3 108184.420000 PA USD 105736.500000 0.0541285 Long ABS-MBS CORP US N 2 2033-03-25 Floating 3.52044 N N N N N N WASHINGTON MUTUAL 2003-AR5 N/A 929227R65 13611.720000 PA USD 13480.230000 0.0069008 Long ABS-MBS CORP US N 2 2033-06-25 Floating 3.74817 N N N N N N WASHINGTON MUTUAL 2004-AR1 N/A 92922FLD8 72135.800000 PA USD 74232.100000 0.0380008 Long ABS-MBS CORP US N 2 2034-03-25 Floating 3.83313 N N N N N N WASHINGTON MUTUAL 2004-AR9 N/A 92922FWE4 122113.320000 PA USD 122280.320000 0.0625976 Long ABS-MBS CORP US N 2 2034-08-25 Floating 2.95862 N N N N N N WASHINGTON MUTUAL 2005-AR2 N/A 92922FD21 101543.650000 PA USD 97651.720000 0.0499898 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.45813 N N N N N N WASHINGTON MUTUAL 2005-AR3 N/A 939336Z48 79408.540000 PA USD 81103.230000 0.0415183 Long ABS-MBS CORP US N 2 2035-03-25 Floating 3.60925 N N N N N N WASHINGTON MUTUAL 2005-AR4 N/A 92922FG77 378630.410000 PA USD 374614.320000 0.1917722 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.54534 N N N N N N WASHINGTON MUTUAL 2005-AR8 N/A 92922FR75 200017.830000 PA USD 191867.520000 0.0982206 Long ABS-MBS CORP US N 2 2045-07-25 Floating 0.72813 N N N N N N WASHINGTON MUTUAL 2006-AR10 N/A 93363EAF2 77062.340000 PA USD 71399.040000 0.0365505 Long ABS-MBS CORP US N 2 2036-09-25 Variable 3.0715 N N N N N N WASHINGTON MUTUAL 2006-AR10 N/A 93363EAK1 411434.970000 PA USD 382326.030000 0.1957200 Long ABS-MBS CORP US N 2 2046-08-25 Floating 3.15796 Y N N N N N WASHINGTON MUTUAL 2006-AR11 N/A 93363TAB8 952917.690000 PA USD 936982.050000 0.4796590 Long ABS-MBS CORP US N 2 2046-09-25 Floating 2.182 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 30402.560000 PA USD 28653.020000 0.0146680 Long ABS-MBS CORP US N 2 2046-10-25 Floating 2.182 N N N N N N WASHINGTON MUTUAL 2006-AR15 N/A 93363QAC2 281674.350000 PA USD 264113.310000 0.1352046 Long ABS-MBS CORP US N 2 2046-11-25 Floating 2.182 N N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR5 N/A 93935AAC6 182918.250000 PA USD 126763.870000 0.0648928 Long ABS-MBS CORP US N 2 2046-07-25 Floating 1.95929 Y N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SJ1 900000.000000 PA USD 911398.020000 0.4665620 Long DBT CORP US N 2 2023-10-31 Floating 1.49063 N N N N N N WESTERN AUSTRALIA TREASURY CORP 213800FKHP5ME5Y3CF47 ACI18LWW3 100000.000000 PA 82217.290000 0.0420886 Long DBT MUN AU N 2 2029-07-24 Fixed 2.75 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 2013-C11 N/A 92937EAS3 9621033.900000 PA USD 217890.440000 0.1115423 Long ABS-MBS CORP US N 2 2045-03-15 Variable 1.31848 N N N N N N WIND RIVER CLO LTD 2012-1A N/A 87244ABL3 125735.300000 PA USD 125270.080000 0.0641281 Long ABS-CBDO CORP KY N 2 2026-01-15 Floating 1.155 N N N N N N YPF SA 5493003N7447U18U5U53 ACI1J9CS9 2250000.000000 PA 14727.470000 0.0075393 Long DBT CORP AR N 2 2021-03-04 Floating 33.1634 N N N N N N ZAIS CLO 1 LTD 2014-1A N/A 98886MBA1 641038.970000 PA USD 640945.910000 0.3281124 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 1.425 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-1 N/A 02660WAC0 584958.280000 PA USD 502642.830000 0.2573124 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.33813 Y N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAF9 600000.000000 PA USD 663827.790000 0.3398261 Long DBT CORP US N 2 2025-04-01 Fixed 3.55 N N N N N N N/A N/A 000000000 536000.000000 PA USD 536000.000000 0.2743886 Long RA US N 2 Repurchase N 0.0000001 2020-10-01 536000.000000 USD 546761.940000 USD UST N N N N/A N/A 000000000 -3615293.200000 PA -4236509.190000 -2.1687498 Short RA LU N 2 Reverse repurchase N -0.4500000 2020-11-19 3300000.000000 EUR 3623038.200000 EUR N N N N/A N/A 000000000 1030680.000000 PA 1329937.130000 0.6808202 Long RA GB N 2 Repurchase N 0.7300000 2022-01-20 900000.000000 GBP 1127633.770000 GBP N N N N/A N/A 000000000 -1816867.890000 PA -2129227.740000 -1.0899923 Short RA LU N 2 Reverse repurchase N -0.4600000 2020-11-18 1300000.000000 EUR 1871248.670000 EUR N N N N/A N/A 000000000 -1054162.000000 PA -1235269.680000 -0.6323581 Short RA LU N 2 Reverse repurchase N -0.4700000 2020-11-19 1000000.000000 EUR 1054278.510000 EUR N N N N/A N/A 000000000 -10540528.770000 PA -12351127.690000 -6.3227776 Short RA LU N 2 Reverse repurchase N -0.4900000 2020-11-19 7000000.000000 EUR 10615383.350000 EUR N N N N/A N/A 000000000 -1021077.370000 PA -1196461.860000 -0.6124916 Short RA LU N 2 Reverse repurchase N -0.5100000 2020-11-18 600000.000000 EUR 1025481.930000 EUR N N N N/A N/A 000000000 -2077341.450000 PA -2435123.190000 -1.2465860 Short RA LU N 2 Reverse repurchase N -0.4800000 2020-11-19 1900000.000000 EUR 2089182.390000 EUR N N N N/A N/A 000000000 -1721250.000000 PA USD -1722072.380000 -0.8815617 Short RA US N 2 Reverse repurchase N 0.2000000 2020-10-07 1500000.000000 USD 1685024.370000 USD UST N N N N/A N/A 000000000 -7240000.000000 PA USD -7240478.650000 -3.7065390 Short RA US N 2 Reverse repurchase N 0.1700000 2020-10-16 6400000.000000 USD 7167249.980000 USD UST N N N N/A N/A 000000000 -2355000.000000 PA USD -2355019.630000 -1.2055794 Short RA US N 2 Reverse repurchase N 0.1500000 2020-10-29 2000000.000000 USD 2246699.160000 USD UST N N N N/A N/A 000000000 -1399500.000000 PA USD -1399842.880000 -0.7166062 Short RA US N 2 Reverse repurchase N 0.1800000 2020-10-13 1200000.000000 USD 1348019.500000 USD UST N N N N/A N/A 000000000 11000000.000000 NC 7.880000 0.0000040 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Put Purchased None N/A N/A 213800J6B7JSBDETCB42 000000000 0.000000 NC USD 0.000000 0.000000 DFE AU 0.000000 N/A 0.000000 N/A 2020-10-22 N/A 0.570000 AUD 2020-10-22 XXXX -779.940000 N N N AMERICAN MUNICIPAL POWER INC EARKGGZJJEMVD66XQ486 02765UEP5 500000.000000 PA USD 653300.000000 0.3344367 Long DBT MUN US N 2 2028-02-15 Fixed 7.334 N N N N N N N/A N/A 000000000 19.000000 NC 13401.120000 0.0068603 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Long N/A AUSTRALIA GOVT 2020-12-15 2033048.900000 AUD 13401.120000 N N N N/A N/A 000000000 -12.000000 NC -587.120000 -0.0003006 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Short N/A AUSTRALIA GOVT 2020-12-15 -1008247.930000 AUD -587.120000 N N N N/A N/A 000000000 1.000000 NC 12090.460000 0.0061893 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2077195.990000 USD 13266760.000000 DKK 2020-10-01 12090.460000 N N N N/A N/A 000000000 1.000000 NC 19897.050000 0.0101857 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2667798.350000 USD 17066597.000000 DKK 2020-10-01 19897.050000 N N N N/A N/A 000000000 1.000000 NC -7372.950000 -0.0037744 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 929794.770000 USD 786000.000000 EUR 2020-11-17 -7372.950000 N N N N/A N/A 000000000 1.000000 NC 52475.190000 0.0268630 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 4449934.620000 USD 474605997.000000 JPY 2020-11-17 52475.190000 N N N N/A N/A 000000000 1.000000 NC 64367.420000 0.0329509 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 5401910.660000 USD 576208845.000000 JPY 2020-11-17 64367.420000 N N N N/A N/A 000000000 1.000000 NC 29230.110000 0.0149635 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2436784.040000 USD 259946374.000000 JPY 2020-11-17 29230.110000 N N N N/A N/A 000000000 1.000000 NC 9422.210000 0.0048234 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 424000.000000 USD 505323200.000000 KRW 2020-12-18 9422.210000 N N N N/A N/A 000000000 1.000000 NC 742.330000 0.0003800 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 878000.000000 USD 1024626000.000000 KRW 2020-10-30 742.330000 N N N N/A N/A 000000000 1.000000 NC -3853.290000 -0.0019726 N/A DFE SE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 265816.750000 USD 2345000.000000 SEK 2020-11-17 -3853.290000 N N N N/A N/A 000000000 1.000000 NC -5108.770000 -0.0026153 N/A DFE SG N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1305555.040000 USD 1775000.000000 SGD 2020-12-16 -5108.770000 N N N N/A N/A 000000000 1.000000 NC -254703.110000 -0.1303874 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 84589978.960000 CNY 12158973.550000 USD 2020-12-16 -254703.110000 N N N N/A N/A 000000000 1.000000 NC -11944.060000 -0.0061144 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 13266760.000000 DKK 2079540.290000 USD 2020-12-01 -11944.060000 N N N N/A N/A 000000000 1.000000 NC -19756.140000 -0.0101135 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 17066597.000000 DKK 2670766.680000 USD 2020-12-01 -19756.140000 N N N N/A N/A 000000000 1.000000 NC 30715.740000 0.0157240 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1600000.000000 EUR 1908419.200000 USD 2020-11-17 30715.740000 N N N N/A N/A 000000000 1.000000 NC 2886.790000 0.0014778 N/A DFE SG N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 772000.000000 SGD 568489.340000 USD 2020-12-16 2886.790000 N N N N/A N/A 000000000 1.000000 NC 3190.350000 0.0016332 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 148712.770000 USD 3385000.000000 MXN 2020-12-09 3190.350000 N N N N/A N/A 000000000 1.000000 NC 4937.250000 0.0025275 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 496000.000000 EUR 587025.320000 USD 2020-11-17 4937.250000 N N N N/A N/A 000000000 1.000000 NC 7162.940000 0.0036668 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 505000.000000 EUR 599813.090000 USD 2020-11-17 7162.940000 N N N N/A N/A 000000000 1.000000 NC 5836.700000 0.0029879 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 7501000.000000 MXN 344325.810000 USD 2020-10-21 5836.700000 N N N N/A N/A 000000000 1.000000 NC -837.550000 -0.0004288 N/A DCR DE N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BASF SE BASF SE SR UNSEC EMTN Y Single Leg Swap 2020-12-21 0.000000 EUR -9826.520000 EUR 300000.000000 EUR 8988.970000 N N N N/A N/A 000000000 1.000000 NC -19375.260000 -0.0099186 N/A DFE AU N 2 BNP Paribas S.A. N/A 742787.530000 USD 1010000.000000 AUD 2020-10-02 -19375.260000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 ACI12S9K6 100000.000000 PA 127366.570000 0.0652014 Long DBT CORP US N 2 2026-05-22 Fixed 1.95 N N N N N N N/A N/A 000000000 1.000000 NC -59708.270000 -0.0305658 N/A DFE CA N 2 BNP Paribas S.A. N/A 10170591.590000 USD 13461257.000000 CAD 2020-11-17 -59708.270000 N N N N/A N/A 000000000 1.000000 NC -146845.230000 -0.0751729 N/A DFE CH N 2 BNP Paribas S.A. N/A 11061371.660000 USD 10040000.000000 CHF 2020-11-17 -146845.230000 N N N N/A N/A 000000000 1.000000 NC 4886.100000 0.0025013 N/A DFE CN N 2 BNP Paribas S.A. N/A 661362.060000 USD 4539985.970000 CNY 2020-12-16 4886.100000 N N N N/A N/A 000000000 1.000000 NC 11533.420000 0.0059042 N/A DFE MY N 2 BNP Paribas S.A. N/A 2289375.810000 USD 9580923.280000 MYR 2020-12-23 11533.420000 N N N N/A N/A 000000000 1.000000 NC 21734.790000 0.0111265 N/A DFE AU N 2 BNP Paribas S.A. N/A 2025000.000000 AUD 1472140.580000 USD 2020-10-02 21734.790000 N N N N/A N/A 000000000 1.000000 NC 2.340000 0.0000012 N/A DFE HK N 2 BNP Paribas S.A. N/A 1776402.100000 HKD 229154.160000 USD 2020-12-16 2.340000 N N N N/A N/A 000000000 1.000000 NC 21326.980000 0.0109177 N/A DFE NO N 2 BNP Paribas S.A. N/A 3090000.000000 NOK 352625.530000 USD 2020-11-17 21326.980000 N N N N/A N/A 000000000 1.000000 NC 2611.520000 0.0013369 N/A DFE NZ N 2 BNP Paribas S.A. N/A 390000.000000 NZD 260615.940000 USD 2020-10-02 2611.520000 N N N N/A N/A 000000000 1.000000 NC -5728.020000 -0.0029323 N/A DFE SG N 2 BNP Paribas S.A. N/A 995000.000000 SGD 723254.540000 USD 2020-12-16 -5728.020000 N N N N/A N/A 000000000 1.000000 NC -1173.250000 -0.0006006 N/A DFE TW N 2 BNP Paribas S.A. N/A 7721741.000000 TWD 266000.000000 USD 2020-10-19 -1173.250000 N N N N/A N/A 000000000 -1969000.000000 NC -10333.350000 -0.0052898 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written None N/A N/A 4BFD7AQU0A75QLAHK410 000000000 0.000000 NC 0.000000 0.000000 DFE CA 0.000000 N/A 0.000000 N/A 2021-02-25 N/A 82.500000 CAD 2021-02-25 XXXX 9925.490000 N N N N/A N/A 000000000 1969000.000000 NC 20869.290000 0.0106834 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased None N/A N/A 4BFD7AQU0A75QLAHK410 000000000 0.000000 NC 0.000000 0.000000 DFE CA 0.000000 N/A 0.000000 N/A 2021-02-25 N/A 77.000000 CAD 2021-02-25 XXXX 610.450000 N N N N/A N/A 000000000 -71.000000 NC 2028.880000 0.0010386 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL N/A Short N/A CANADA GOVT 2020-12-18 -8094709.170000 CAD 2028.880000 N N N N/A N/A 000000000 71.000000 NC 266.610000 0.0001365 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL N/A Call Purchased THE MONTREAL EXCHANGE / BOURSE DE MONTREAL N/A N/A 4BFD7AQU0A75QLAHK410 000000000 0.000000 NC 0.000000 0.000000 DIR CA N/A N/A FIN FUT CAN 10YR BOND MSE 12/18/20 2020-12-19 N/A CAD N/A 189.000000 CAD 2020-11-20 XXXX -374.920000 N N N N/A N/A 000000000 1.000000 NC USD -78492.390000 -0.0401818 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.34 Y Single Leg Swap 2025-06-21 0.000000 USD -66562.000000 USD 1564000.000000 USD -11930.390000 N N N N/A N/A 000000000 1.000000 NC USD 2795.160000 0.0014309 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.IG.32 N/A N/A Y Single Leg Swap 2029-06-21 25.170000 USD 0.000000 USD 300000.000000 USD 2769.990000 N N N N/A N/A 000000000 1.000000 NC USD 15820.780000 0.0080990 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.33 Y Single Leg Swap 2029-12-21 2771.790000 USD 0.000000 USD 1200000.000000 USD 13048.990000 N N N N/A N/A 000000000 -100000.000000 NC USD -417.440000 -0.0002137 N/A DCR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 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 1.000000 USD 2020-12-16 XXXX -272.440000 N N N N/A N/A 000000000 -500000.000000 NC USD -594.800000 -0.0003045 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 1.000000 USD 2020-10-21 XXXX -94.800000 N N N N/A N/A 000000000 -100000.000000 NC USD -258.750000 -0.0001325 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 2020-12-16 XXXX -127.250000 N N N N/A N/A 000000000 -1500000.000000 NC USD -3404.790000 -0.0017430 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 0.900000 USD 2020-10-21 XXXX -1602.290000 N N N N/A N/A 000000000 -400000.000000 NC USD -1136.820000 -0.0005820 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 1.000000 USD 2020-11-18 XXXX -456.820000 N N N N/A N/A 000000000 -500000.000000 NC USD -2377.460000 -0.0012171 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 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 0.950000 USD 2020-12-16 XXXX -1314.960000 N N N N/A N/A 000000000 -1000000.000000 NC USD -4174.440000 -0.0021370 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 1.000000 USD 2020-12-16 XXXX -2224.440000 N N N N/A N/A 000000000 -200000.000000 NC USD -478.260000 -0.0002448 N/A DCR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Written Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 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 1.050000 USD 2020-11-18 XXXX -248.260000 N N N N/A N/A 000000000 -500000.000000 NC USD -2975.690000 -0.0015233 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 1.000000 USD 2021-01-20 XXXX -1578.190000 N N N N/A N/A 000000000 -800000.000000 NC USD -951.680000 -0.0004872 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 1.000000 USD 2020-10-21 XXXX 456.320000 N N N N/A N/A 000000000 -1200000.000000 NC USD -1427.520000 -0.0007308 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 1.000000 USD 2020-10-21 XXXX 672.480000 N N N N/A N/A 000000000 -400000.000000 NC USD -21.930000 -0.0000112 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 2020-10-21 XXXX 338.070000 N N N N/A N/A 000000000 -200000.000000 NC USD -568.410000 -0.0002910 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 1.000000 USD 2020-11-18 XXXX -378.410000 N N N N/A N/A 000000000 -300000.000000 NC USD -1252.330000 -0.0006411 N/A DCR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Written Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 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 1.000000 USD 2020-12-16 XXXX -727.330000 N N N N/A N/A 000000000 -200000.000000 NC USD -861.790000 -0.0004412 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 0.800000 USD 2020-10-21 XXXX -639.290000 N N N N/A N/A 000000000 -300000.000000 NC USD -8.800000 -0.0000045 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 0.570000 USD 2020-10-21 XXXX 231.200000 N N N N/A N/A 000000000 -300000.000000 NC USD -680.960000 -0.0003486 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 0.900000 USD 2020-10-21 XXXX -365.960000 N N N AMORTIZING RESIDENTIAL COLLAT 2001-BC6 N/A 86358RMY0 10522.550000 PA USD 10269.330000 0.0052571 Long ABS-MBS CORP US N 2 2031-10-25 Floating 0.84813 N N N N N N N/A N/A 000000000 -300000.000000 NC USD -1018.940000 -0.0005216 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 95.000000 USD 2020-11-18 XXXX -658.940000 N N N N/A N/A 000000000 -200000.000000 NC USD -344.460000 -0.0001763 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 1.150000 USD 2020-11-18 XXXX -194.460000 N N N N/A N/A 000000000 -400000.000000 NC USD -21.930000 -0.0000112 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 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 2020-10-21 XXXX 314.070000 N N N N/A N/A 000000000 -500000.000000 NC USD -27.410000 -0.0000140 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 0.600000 USD 2020-10-21 XXXX 522.590000 N N N N/A N/A 000000000 -400000.000000 NC USD -1669.780000 -0.0008548 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 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 1.000000 USD 2020-12-16 XXXX -1169.780000 N N N AMRESCO RES SEC 1999-1 N/A 03215PFN4 47917.090000 PA USD 45091.180000 0.0230830 Long ABS-MBS CORP US N 2 2029-06-25 Floating 1.08813 N N N N N N N/A N/A 000000000 1.000000 NC USD 189703.330000 0.0971127 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.34 Y Single Leg Swap 2030-06-21 21786.430000 USD 0.000000 USD 13000000.000000 USD 167916.900000 N N N N/A N/A 000000000 -400000.000000 NC USD -547.980000 -0.0002805 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 IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2020-12-16 XXXX 52.020000 N N N N/A N/A 000000000 -400000.000000 NC USD -789.450000 -0.0004041 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2021-01-20 XXXX 130.550000 N N N N/A N/A 000000000 -300000.000000 NC USD -552.400000 -0.0002828 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.950000 USD 2020-12-16 XXXX -9.400000 N N N N/A N/A 000000000 -400000.000000 NC USD -384.630000 -0.0001969 N/A DCR 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 DCR US N/A SWOP CDX IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.500000 USD 2020-11-18 XXXX -64.630000 N N N N/A N/A 000000000 -400000.000000 NC USD -824.950000 -0.0004223 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 IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2020-12-16 XXXX -184.950000 N N N N/A N/A 000000000 -400000.000000 NC USD -1062.270000 -0.0005438 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 IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2020-12-16 XXXX -462.270000 N N N N/A N/A 000000000 -400000.000000 NC USD -824.950000 -0.0004223 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 IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2020-12-16 XXXX -384.950000 N N N N/A N/A 000000000 -400000.000000 NC USD -244.950000 -0.0001254 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 IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.450000 USD 2020-12-16 XXXX 195.050000 N N N N/A N/A 000000000 1.000000 NC USD 1453.780000 0.0007442 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.35 Y Single Leg Swap 2030-12-21 0.000000 USD -7477.160000 USD 2000000.000000 USD 8930.940000 N N N N/A N/A 000000000 1.000000 NC USD -10968.200000 -0.0056148 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 CHINA GOVT CHINA (PEOPLES REP OF) GLOBAL Y Single Leg Swap 2023-06-21 0.000000 USD -9536.620000 USD 500000.000000 USD -1431.580000 N N N N/A N/A 000000000 1.000000 NC USD -21936.410000 -0.0112297 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CHINA GOVT CHINA (PEOPLES REP OF) GLOBAL Y Single Leg Swap 2023-06-21 0.000000 USD -19306.990000 USD 1000000.000000 USD -2629.420000 N N N N/A N/A 000000000 1.000000 NC -374.170000 -0.0001915 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 468216.840000 USD 3188000.000000 CNY 2020-12-16 -374.170000 N N N N/A N/A 000000000 1.000000 NC 5530.190000 0.0028310 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2003387.430000 USD 12756426.000000 DKK 2020-10-01 5530.190000 N N N N/A N/A 000000000 1.000000 NC 7495.900000 0.0038373 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1290582.340000 USD 8242667.000000 DKK 2020-10-01 7495.900000 N N N N/A N/A 000000000 1.000000 NC -1989.020000 -0.0010182 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 255478.990000 USD 216000.000000 EUR 2020-11-17 -1989.020000 N N N N/A N/A 000000000 1.000000 NC -2497.880000 -0.0012787 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 245425.760000 USD 207000.000000 EUR 2020-11-17 -2497.880000 N N N N/A N/A 000000000 1.000000 NC 4909.610000 0.0025133 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 440961.830000 USD 47000000.000000 JPY 2020-11-17 4909.610000 N N N N/A N/A 000000000 1.000000 NC 11927.170000 0.0061057 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 648000.000000 AUD 476057.020000 USD 2020-10-02 11927.170000 N N N N/A N/A 000000000 1.000000 NC -30890.960000 -0.0158137 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6152610.000000 DKK 938039.260000 USD 2020-10-01 -30890.960000 N N N N/A N/A 000000000 1.000000 NC -54295.740000 -0.0277950 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7898211.000000 DKK 1189536.600000 USD 2020-10-01 -54295.740000 N N N N/A N/A 000000000 1.000000 NC -5340.990000 -0.0027342 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12756426.000000 DKK 2005689.990000 USD 2020-12-01 -5340.990000 N N N N/A N/A 000000000 1.000000 NC -7409.080000 -0.0037928 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8242667.000000 DKK 1292034.720000 USD 2020-12-01 -7409.080000 N N N N/A N/A 000000000 1.000000 NC 462314.290000 0.2366675 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 20806000.000000 EUR 24879500.630000 USD 2020-11-17 462314.290000 N N N N/A N/A 000000000 1.000000 NC 170408.650000 0.0872354 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5439000.000000 GBP 7188618.060000 USD 2020-10-02 170408.650000 N N N N/A N/A 000000000 1.000000 NC 7120.110000 0.0036449 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1519090.850000 PEN 428661.560000 USD 2020-10-06 7120.110000 N N N N/A N/A 000000000 1.000000 NC 18116.200000 0.0092740 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3737975.700000 PEN 1055388.700000 USD 2020-10-19 18116.200000 N N N N/A N/A 000000000 1.000000 NC 7924.320000 0.0040566 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3880143.500000 PEN 1084475.110000 USD 2020-12-04 7924.320000 N N N N/A N/A 000000000 1.000000 NC 1711.500000 0.0008761 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 296587.200000 PEN 84000.000000 USD 2020-12-04 1711.500000 N N N N/A N/A 000000000 1.000000 NC 6734.450000 0.0034475 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3318308.490000 PEN 926513.610000 USD 2021-03-15 6734.450000 N N N N/A N/A 000000000 1.000000 NC 75031.810000 0.0384102 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 71814452.230000 RUB 998428.310000 USD 2020-10-13 75031.810000 N N N N/A N/A 000000000 1.000000 NC 241.690000 0.0001237 N/A DCR DE N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 DAIMLER AG DAIMLER AG Y Single Leg Swap 2020-12-21 1657.550000 EUR 0.000000 EUR 100000.000000 EUR -1415.860000 N N N N/A N/A 000000000 1.000000 NC 3269.890000 0.0016739 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 597330.500000 PEN 169000.000000 USD 2020-12-04 3269.890000 N N N N/A N/A 000000000 17.000000 NC USD 5418.750000 0.0027740 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Call Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT EURO$ CME (RED) 06/13/22 2022-06-14 N/A USD N/A 99.750000 USD 2022-06-13 XXXX 1571.990000 N N N N/A N/A 000000000 8.000000 NC USD 2200.000000 0.0011262 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Call Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT EURO$ CME (RED) 03/14/22 2022-03-15 N/A USD N/A 99.750000 USD 2022-03-14 XXXX 487.760000 N N N N/A N/A 000000000 -1319000.000000 NC -1951.640000 -0.0009991 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written None N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2021-01-29 N/A 1.090000 EUR 2021-01-29 XXXX 15096.570000 N N N N/A N/A 000000000 10000000.000000 NC 11.720000 0.0000060 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased None N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2020-10-09 N/A 1.230000 EUR 2020-10-09 XXXX -1167.130000 N N N N/A N/A 000000000 9500000.000000 NC 100.240000 0.0000513 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased None N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2020-10-09 N/A 12.500000 EUR 2020-10-09 XXXX -1019.670000 N N N N/A N/A 000000000 1.000000 NC USD -12869.370000 -0.0065881 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 FORD MOTOR CREDIT COMPANY LLC FORD MOTOR CREDIT CO LLC SR UNSEC Y Single Leg Swap 2022-06-21 0.000000 USD -46935.630000 USD 300000.000000 USD 34066.260000 N N N N/A N/A 000000000 1.000000 NC -522.790000 -0.0002676 N/A DCR FI N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 FORTUM OYJ FORTUM OYJ SR UNSECURED EMTN Y Single Leg Swap 2020-12-21 0.000000 EUR -5505.750000 EUR 200000.000000 EUR 4982.960000 N N N N/A N/A 000000000 -203.000000 NC -240615.860000 -0.1231758 N/A DIR DE N 1 Eurex N/A Short N/A FRANCE GOVT 2020-12-08 -40116131.150000 EUR -240615.860000 N N N N/A N/A 000000000 203.000000 NC -204.690000 -0.0001048 N/A DIR DE N 1 Eurex N/A Call Purchased Eurex N/A N/A 969500KCGF3SUYJHPV70 000000000 0.000000 NC 0.000000 0.000000 DIR FR N/A N/A FIN FUT EURO-OAT EUX 10YR 12/08/20 2020-12-09 N/A EUR N/A 190.000000 EUR 2020-11-20 XXXX -204.690000 N N N N/A N/A 000000000 137.000000 NC -138.140000 -0.0000707 N/A DIR DE N 1 Eurex N/A Call Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EURO-SCHATZ 2YR EUX 12/08/20 2020-12-09 N/A EUR N/A 117.000000 EUR 2020-11-20 XXXX -138.140000 N N N N/A N/A 000000000 140.000000 NC 30208.870000 0.0154645 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-12-08 22187205.060000 EUR 30208.870000 N N N N/A N/A 000000000 -116.000000 NC -75788.750000 -0.0387977 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2020-12-08 -23735448.430000 EUR -75788.750000 N N N N/A N/A 000000000 8.000000 NC 80374.150000 0.0411451 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-12-08 2088648.930000 EUR 80374.150000 N N N N/A N/A 000000000 -136.000000 NC -11719.290000 -0.0059993 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2020-12-08 -17904996.390000 EUR -11719.290000 N N N N/A N/A 000000000 140.000000 NC -141.160000 -0.0000723 N/A DIR DE N 1 Eurex N/A Put Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EURO-BOBL 5Y EUX 12/08/20 2020-12-09 N/A EUR N/A 129.750000 EUR 2020-10-23 XXXX -141.160000 N N N N/A N/A 000000000 142.000000 NC -143.180000 -0.0000733 N/A DIR DE N 1 Eurex N/A Call Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 12/08/20 2020-12-09 N/A EUR N/A 210.000000 EUR 2020-11-20 XXXX -143.180000 N N N N/A N/A 000000000 -500000.000000 NC USD -2246.750000 -0.0011502 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.0% DEC 30YR JMBO N/A 102.190000 USD 2020-12-14 XXXX 565.750000 N N N N/A N/A 000000000 -300000.000000 NC USD -2901.290000 -0.0014852 N/A DIR US N 3 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.5% JAN 30YR JMBO N/A 103.370000 USD 2021-01-14 XXXX -1588.790000 N N N N/A N/A 000000000 -200000.000000 NC USD -773.400000 -0.0003959 N/A DIR US N 3 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.5% JAN 30YR JMBO N/A 103.590000 USD 2021-01-14 XXXX 0.040000 N N N N/A N/A 000000000 -300000.000000 NC USD -525.090000 -0.0002688 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 3.0% DEC 30YR JMBO N/A 104.000000 USD 2020-12-14 XXXX 224.910000 N N N N/A N/A 000000000 1.000000 NC -490.600000 -0.0002511 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 306173.240000 USD 2083000.000000 CNY 2020-12-16 -490.600000 N N N N/A N/A 000000000 1.000000 NC -28295.280000 -0.0144849 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 784371.160000 USD 17024857.640000 MXN 2021-03-10 -28295.280000 N N N N/A N/A 000000000 1.000000 NC -4812.090000 -0.0024634 N/A DFE NO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 171533.530000 USD 1555000.000000 NOK 2020-11-17 -4812.090000 N N N N/A N/A 000000000 1.000000 NC -1461.510000 -0.0007482 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 685435.020000 USD 19767946.000000 TWD 2020-10-19 -1461.510000 N N N N/A N/A 000000000 1.000000 NC 2678.310000 0.0013711 N/A DFE CH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 151000.000000 CHF 166831.050000 USD 2020-11-17 2678.310000 N N N N/A N/A 000000000 1.000000 NC -68.040000 -0.0000348 N/A DFE CH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 40000.000000 CHF 43416.130000 USD 2020-11-17 -68.040000 N N N N/A N/A 000000000 1.000000 NC -1362.880000 -0.0006977 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4600416.000000 DKK 723885.640000 USD 2020-12-01 -1362.880000 N N N N/A N/A 000000000 1.000000 NC 28797.060000 0.0147418 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 17024857.640000 MXN 797058.490000 USD 2020-10-21 28797.060000 N N N N/A N/A 000000000 1.000000 NC 9387.230000 0.0048055 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7490000.000000 MXN 347379.960000 USD 2020-10-21 9387.230000 N N N N/A N/A 000000000 1.000000 NC -403.600000 -0.0002066 N/A DFE NZ N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 278000.000000 NZD 183507.240000 USD 2020-10-02 -403.600000 N N N N/A N/A 000000000 1.000000 NC 39.930000 0.0000204 N/A DFE RO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10517.000000 RON 2561.000000 USD 2020-11-20 39.930000 N N N N/A N/A 000000000 1.000000 NC -5897.990000 -0.0030193 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 23584283.000000 TWD 817196.220000 USD 2020-12-16 -5897.990000 N N N N/A N/A 000000000 1.000000 NC 2979.180000 0.0015251 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 19767946.000000 TWD 692882.790000 USD 2020-12-16 2979.180000 N N N N/A N/A 000000000 1.000000 NC -8116.030000 -0.0041548 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 404448.540000 USD 553344.000000 AUD 2020-10-02 -8116.030000 N N N N/A N/A 000000000 1.000000 NC -1514.810000 -0.0007755 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 218585.570000 USD 289000.000000 CAD 2020-11-17 -1514.810000 N N N N/A N/A 000000000 1.000000 NC -14591.740000 -0.0074698 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 865426.120000 USD 725000.000000 EUR 2020-11-17 -14591.740000 N N N N/A N/A 000000000 1.000000 NC 21130.700000 0.0108172 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7020304.990000 USD 5457000.000000 GBP 2020-10-02 21130.700000 N N N N/A N/A 000000000 1.000000 NC 7481.980000 0.0038302 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1281750.560000 USD 135900000.000000 JPY 2020-11-17 7481.980000 N N N N/A N/A 000000000 1.000000 NC 10808.900000 0.0055333 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 628597.270000 USD 745484930.000000 KRW 2020-12-16 10808.900000 N N N N/A N/A 000000000 1.000000 NC -102852.140000 -0.0526520 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3012073.760000 USD 65508086.110000 MXN 2021-03-10 -102852.140000 N N N N/A N/A 000000000 1.000000 NC -72257.970000 -0.0369902 N/A DFE NZ N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3341637.080000 USD 4942000.000000 NZD 2020-10-02 -72257.970000 N N N N/A N/A 000000000 1.000000 NC -6673.020000 -0.0034160 N/A DFE PE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 428214.470000 USD 1519090.850000 PEN 2020-10-06 -6673.020000 N N N N/A N/A 000000000 1.000000 NC -16123.500000 -0.0082539 N/A DFE PE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1053396.000000 USD 3737975.700000 PEN 2020-10-19 -16123.500000 N N N N/A N/A 000000000 1.000000 NC -9543.160000 -0.0048853 N/A DFE RU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 115788.890000 USD 8262950.000000 RUB 2020-10-13 -9543.160000 N N N N/A N/A 000000000 1.000000 NC 4181.020000 0.0021403 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 259000.000000 AUD 189689.710000 USD 2020-10-02 4181.020000 N N N N/A N/A 000000000 1.000000 NC 803.540000 0.0004113 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 121000.000000 AUD 87469.760000 USD 2020-10-02 803.540000 N N N N/A N/A 000000000 1.000000 NC -70267.470000 -0.0359713 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7414000.000000 AUD 5240008.350000 USD 2020-10-02 -70267.470000 N N N N/A N/A 000000000 1.000000 NC -29791.250000 -0.0152507 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7331939.550000 CNY 1046373.560000 USD 2020-12-16 -29791.250000 N N N N/A N/A 000000000 1.000000 NC -541.620000 -0.0002773 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 534000.000000 EUR 626141.910000 USD 2020-11-17 -541.620000 N N N N/A N/A 000000000 1.000000 NC 2216.360000 0.0011346 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 352000.000000 GBP 456419.290000 USD 2020-10-02 2216.360000 N N N N/A N/A 000000000 1.000000 NC -21172.540000 -0.0108386 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5457000.000000 GBP 7021440.050000 USD 2020-11-03 -21172.540000 N N N N/A N/A 000000000 1.000000 NC -1457.870000 -0.0007463 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 24200000.000000 JPY 228118.490000 USD 2020-11-17 -1457.870000 N N N N/A N/A 000000000 1.000000 NC -9422.210000 -0.0048234 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 505323200.000000 KRW 424000.000000 USD 2020-12-18 -9422.210000 N N N N/A N/A 000000000 1.000000 NC 255.910000 0.0001310 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 245730600.000000 KRW 211000.000000 USD 2020-10-30 255.910000 N N N N/A N/A 000000000 1.000000 NC 105016.470000 0.0537599 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 65508086.110000 MXN 3061125.520000 USD 2020-10-21 105016.470000 N N N N/A N/A 000000000 1.000000 NC 7357.500000 0.0037664 N/A DFE PE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1011151.980000 PEN 287946.230000 USD 2020-11-06 7357.500000 N N N N/A N/A 000000000 1.000000 NC 6233.600000 0.0031911 N/A DFE PE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1519090.850000 PEN 427587.710000 USD 2021-01-15 6233.600000 N N N N/A N/A 000000000 1.000000 NC 14509.090000 0.0074275 N/A DFE PE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3737975.700000 PEN 1050612.920000 USD 2021-03-15 14509.090000 N N N 2020-11-04 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer