NPORT-P
false
0000810893
XXXXXXXX
S000009705
C000026637
C000026640
C000064153
C000200450
C000026638
PIMCO Funds
811-05028
0000810893
00000000000000000000
650 Newport Center Drive
Newport Beach
92660
(888) 877-4626
PIMCO StocksPLUS Absolute Return Fund
S000009705
DP5YBOMA0XM2I3P0Z191
2021-03-31
2020-09-30
N
3196531340.600000
981702825.390000
2214828515.210000
0.000000
0.000000
24475282.590000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
9292491.620000
GBP
ARS
JPY
EUR
CAD
USD
N
N/A
N/A
31754D4F8 ITRAXX.O P 2.50 EU32 JAN21 2.5 PUT
000000000
-1800000.000000
NC
-133.650000
-0.0000060
N/A
DCR
DE
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP
Single Leg Swap
2024-12-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
2.500000
EUR
2021-01-20
XXXX
1268.480000
N
N
N
N/A
N/A
3175119G0 ITRAXX.O P 0.90 NOV20 0.9 PUT
000000000
-3000000.000000
NC
-3359.670000
-0.0001517
N/A
DCR
DE
N
2
BNP Paribas S.A.
N/A
Put
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.900000
EUR
2020-11-18
XXXX
133.550000
N
N
N
N/A
N/A
3175119P0 ITRAXX.O C 0.475 NOV20 0.475 CALL
000000000
-3000000.000000
NC
-624.610000
-0.0000282
N/A
DCR
DE
N
2
BNP Paribas S.A.
N/A
Call
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.480000
EUR
2020-11-18
XXXX
1822.160000
N
N
N
ARGENT SECURITIES INC 2005-W4
N/A
ARGENT SECURITIES INC. ARSI 2005 W4 A2D
040104PT2
1288542.460000
PA
USD
1180036.750000
0.0532789
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.52813
N
N
N
N
N
N
N/A
N/A
3175129B9 ITRAXX.O C 0.475 OCT20 0.475 CALL
000000000
-2100000.000000
NC
-130.540000
-0.0000059
N/A
DCR
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Call
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.480000
EUR
2020-10-21
XXXX
1849.760000
N
N
N
N/A
N/A
3175129G8 ITRAXX.O C 0.475 DEC20 0.475 CALL
000000000
-2000000.000000
NC
-776.840000
-0.0000351
N/A
DCR
DE
N
2
BNP Paribas S.A.
N/A
Call
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.480000
EUR
2020-12-16
XXXX
884.190000
N
N
N
N/A
N/A
3175149K5 ITRAXX.O C 0.475 OCT20 0.475 CALL
000000000
-1600000.000000
NC
-99.460000
-0.0000045
N/A
DCR
DE
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.480000
EUR
2020-10-21
XXXX
855.220000
N
N
N
N/A
N/A
3175219J3 ITRAX EU33 5Y DEC20 0.85 PUT
000000000
-2600000.000000
NC
-6007.760000
-0.0002713
N/A
DCR
DE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.850000
EUR
2020-12-16
XXXX
-2666.000000
N
N
N
N/A
N/A
3175229H5 ITRAX EU33 5Y DEC20 0.475 CALL
000000000
-2600000.000000
NC
-1009.890000
-0.0000456
N/A
DCR
DE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.480000
EUR
2020-12-16
XXXX
1047.300000
N
N
N
N/A
N/A
3175239F7 ITRAX EU33 5Y DEC20 0.45 CALL
000000000
-2600000.000000
NC
-639.450000
-0.0000289
N/A
DCR
DE
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Call
Written
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.450000
EUR
2020-12-16
XXXX
892.020000
N
N
N
N/A
N/A
3175249G3 ITRAXX.O C 0.475 OCT20 0.475 CALL
000000000
-1500000.000000
NC
-93.240000
-0.0000042
N/A
DCR
DE
N
2
BNP Paribas S.A.
N/A
Call
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.480000
EUR
2020-10-21
XXXX
643.580000
N
N
N
N/A
N/A
3175259H8 SWAPTION OCT20 0.8 PUT
000000000
-1600000.000000
NC
-909.840000
-0.0000411
N/A
DCR
DE
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.800000
EUR
2020-10-21
XXXX
402.850000
N
N
N
N/A
N/A
31752W9B2 ITRAXX EU33 5Y V1 OCT20 0.85 PUT
000000000
-1500000.000000
NC
-590.600000
-0.0000267
N/A
DCR
DE
N
2
BNP Paribas S.A.
N/A
Put
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.850000
EUR
2020-10-21
XXXX
1667.110000
N
N
N
N/A
N/A
3175419A0 ITRAXX.O C 0.525 OCT20 0.525 CALL
000000000
-1600000.000000
NC
-291.210000
-0.0000131
N/A
DCR
DE
N
2
BNP Paribas S.A.
N/A
Call
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.530000
EUR
2020-10-21
XXXX
1978.690000
N
N
N
N/A
N/A
3175429F7 ITRAXX.O P 0.85 DEC20 0.85 PUT
000000000
-2000000.000000
NC
-4621.350000
-0.0002087
N/A
DCR
DE
N
2
BNP Paribas S.A.
N/A
Put
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.850000
EUR
2020-12-16
XXXX
-1951.840000
N
N
N
N/A
N/A
3175429G5 ITRAXX.O P 0.90 NOV20 0.9 PUT
000000000
-1400000.000000
NC
-1567.850000
-0.0000708
N/A
DCR
DE
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Put
Written
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.900000
EUR
2020-11-18
XXXX
57.350000
N
N
N
N/A
N/A
3175429J9 ITRAXX.O C 0.475 NOV20 0.475 CALL
000000000
-1500000.000000
NC
-312.310000
-0.0000141
N/A
DCR
DE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.480000
EUR
2020-11-18
XXXX
841.260000
N
N
N
N/A
N/A
3175429K6 ITRAXX.O C 0.475 NOV20 0.475 CALL
000000000
-2700000.000000
NC
-562.150000
-0.0000254
N/A
DCR
DE
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.480000
EUR
2020-11-18
XXXX
1636.420000
N
N
N
N/A
N/A
3175449Q9 ITRAXX.O P 0.85 OCT20 0.85 PUT
000000000
-3000000.000000
NC
-1181.200000
-0.0000533
N/A
DCR
DE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.850000
EUR
2020-10-21
XXXX
3885.350000
N
N
N
N/A
N/A
3175469A9 ITRAX EU33 5Y DEC20 0.8 PUT
000000000
-2600000.000000
NC
-7049.110000
-0.0003183
N/A
DCR
DE
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Put
Written
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.800000
EUR
2020-12-16
XXXX
-2914.150000
N
N
N
N/A
N/A
31754AS43 ITRAXX.O P 1.00 OCT20 1 PUT
000000000
-1600000.000000
NC
-252.650000
-0.0000114
N/A
DCR
DE
N
2
BNP Paribas S.A.
N/A
Put
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
1.000000
EUR
2020-10-21
XXXX
2380.430000
N
N
N
N/A
N/A
31754ASD3 ITRAXX EU33 V1 5Y OCT20 0.525 CALL
000000000
-3500000.000000
NC
-637.040000
-0.0000288
N/A
DCR
DE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.530000
EUR
2020-10-21
XXXX
3905.370000
N
N
N
N/A
N/A
31754F8A0 ITRAXX.O P 0.80 OCT20 0.8 PUT
000000000
-2100000.000000
NC
-1194.160000
-0.0000539
N/A
DCR
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.800000
EUR
2020-10-21
XXXX
241.560000
N
N
N
N/A
N/A
31754FDA4 ITRAXX.O P 0.85 OCT20 0.85 PUT
000000000
-1500000.000000
NC
-590.600000
-0.0000267
N/A
DCR
DE
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.850000
EUR
2020-10-21
XXXX
1946.430000
N
N
N
N/A
N/A
3175519G6 ITRAX EU33V1 5Y OCT20 0.5 CALL
000000000
-6100000.000000
NC
-641.180000
-0.0000289
N/A
DCR
DE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.500000
EUR
2020-10-21
XXXX
4828.420000
N
N
N
ARGENT SECURITIES INC 2006-W4
N/A
ARGENT SECURITIES INC. ARSI 2006 W4 A2D
040104TH4
6359270.520000
PA
USD
2632923.050000
0.1188771
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
0.41813
N
N
N
N
N
N
N/A
N/A
3175539V9 ITRAX EU33V1 5Y OCT20 0.925 PUT
000000000
-3100000.000000
NC
-746.400000
-0.0000337
N/A
DCR
DE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.930000
EUR
2020-10-21
XXXX
3777.830000
N
N
N
N/A
N/A
3175549F2 ITRAXX EU33 5Y V1 DEC20 0.8 PUT
000000000
-1300000.000000
NC
-3524.560000
-0.0001591
N/A
DCR
DE
N
2
BNP Paribas S.A.
N/A
Put
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.800000
EUR
2020-12-16
XXXX
-1674.870000
N
N
N
N/A
N/A
3175549G0 ITRAXX.O P 0.85 OCT20 0.85 PUT
000000000
-2000000.000000
NC
-787.460000
-0.0000356
N/A
DCR
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.850000
EUR
2020-10-21
XXXX
2342.510000
N
N
N
N/A
N/A
317554AD5 ITRAXX.O P0.80 DEC20 0.8 PUT
000000000
-8000000.000000
NC
-21689.570000
-0.0009793
N/A
DCR
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.800000
EUR
2020-12-16
XXXX
-10734.000000
N
N
N
N/A
N/A
317554F57 ITRAXX.O C 0.50 OCT20 0.5 CALL
000000000
-1500000.000000
NC
-157.670000
-0.0000071
N/A
DCR
DE
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.500000
EUR
2020-10-21
XXXX
1075.610000
N
N
N
N/A
N/A
317554FA6 ITRAXX EU33 V1 5Y OCT20 1 PUT
000000000
-3500000.000000
NC
-552.670000
-0.0000250
N/A
DCR
DE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
1.000000
EUR
2020-10-21
XXXX
6359.700000
N
N
N
N/A
N/A
3175569P5 ITRAXX.O C 0.475 NOV20 0.475 CALL
000000000
-1400000.000000
NC
-291.480000
-0.0000132
N/A
DCR
DE
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Call
Written
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.480000
EUR
2020-11-18
XXXX
902.550000
N
N
N
N/A
N/A
3175575A0 ITRAXX.O P 1.20 OCT20 1.2 PUT
000000000
-2900000.000000
NC
-147.530000
-0.0000067
N/A
DCR
DE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
1.200000
EUR
2020-10-21
XXXX
7184.280000
N
N
N
N/A
N/A
3175589V8 ITRAXX.O P 1.20 OCT20 1.2 PUT
000000000
-3500000.000000
NC
-178.060000
-0.0000080
N/A
DCR
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
1.200000
EUR
2020-10-21
XXXX
8467.120000
N
N
N
N/A
N/A
317558AS3 ITRAX EU33 5Y DEC20 0.8 PUT
000000000
-2600000.000000
NC
-7049.110000
-0.0003183
N/A
DCR
DE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.800000
EUR
2020-12-16
XXXX
-3276.640000
N
N
N
N/A
N/A
3175599Q7 ITRAXX.O C 0.50 OCT20 0.5 CALL
000000000
-3500000.000000
NC
-367.890000
-0.0000166
N/A
DCR
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Call
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.500000
EUR
2020-10-21
XXXX
2775.810000
N
N
N
N/A
N/A
317564581 ITRAXX.O C 0.475 OCT20 0.475 CALL
000000000
-1500000.000000
NC
-93.240000
-0.0000042
N/A
DCR
DE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.480000
EUR
2020-10-21
XXXX
967.730000
N
N
N
N/A
N/A
3175749T0 ITRAXX.O P 0.90 NOV20 0.9 PUT
000000000
-1500000.000000
NC
-1679.840000
-0.0000758
N/A
DCR
DE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.900000
EUR
2020-11-18
XXXX
-82.590000
N
N
N
N/A
N/A
3175779H9 ITRAXX.O P 1.00 OCT20 1 PUT
000000000
-1700000.000000
NC
-268.440000
-0.0000121
N/A
DCR
DE
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Put
Written
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
1.000000
EUR
2020-10-21
XXXX
3189.510000
N
N
N
N/A
N/A
3175879A3 ITRAXX.O P 0.8 OCT20 0.8 PUT
000000000
-1500000.000000
NC
-852.980000
-0.0000385
N/A
DCR
DE
N
2
BNP Paribas S.A.
N/A
Put
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.800000
EUR
2020-10-21
XXXX
700.560000
N
N
N
N/A
N/A
3175879H8 ITRAXX EU33 5Y V1 OCT20 0.8 PUT
000000000
-1500000.000000
NC
-852.980000
-0.0000385
N/A
DCR
DE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.800000
EUR
2020-10-21
XXXX
782.680000
N
N
N
N/A
N/A
3175889A1 ITRAXX.O C 0.45 EU33 DEC20 0.45 CALL
000000000
-8000000.000000
NC
-1967.560000
-0.0000888
N/A
DCR
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Call
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.450000
EUR
2020-12-16
XXXX
4648.680000
N
N
N
N/A
N/A
3175889C7 ITRAXX EU33 5Y V1 DEC20 0.45 CALL
000000000
-1300000.000000
NC
-319.730000
-0.0000144
N/A
DCR
DE
N
2
BNP Paribas S.A.
N/A
Call
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.450000
EUR
2020-12-16
XXXX
743.840000
N
N
N
N/A
N/A
3175889D5 ITRAX EU33 5Y DEC20 0.45 CALL
000000000
-2600000.000000
NC
-639.450000
-0.0000289
N/A
DCR
DE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.450000
EUR
2020-12-16
XXXX
1131.300000
N
N
N
N/A
N/A
3175889Q6 ITRAXX.O P 0.75 OCT20 0.75 PUT
000000000
-1500000.000000
NC
-1271.930000
-0.0000574
N/A
DCR
DE
N
2
BNP Paribas S.A.
N/A
Put
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.750000
EUR
2020-10-21
XXXX
507.290000
N
N
N
N/A
N/A
3175959A6 ITRAXX.O C 0.525 OCT20 0.525 CALL
000000000
-1700000.000000
NC
-309.420000
-0.0000140
N/A
DCR
DE
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Call
Written
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.530000
EUR
2020-10-21
XXXX
1803.770000
N
N
N
N/A
N/A
3175979R5 ITRAXX EU33 5Y V1 OCT20 0.5 CALL
000000000
-1500000.000000
NC
-157.670000
-0.0000071
N/A
DCR
DE
N
2
BNP Paribas S.A.
N/A
Call
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.500000
EUR
2020-10-21
XXXX
1448.780000
N
N
N
N/A
N/A
3175FAS41 ITRAXX.O P 0.90 NOV20 0.9 PUT
000000000
-2700000.000000
NC
-3023.700000
-0.0001365
N/A
DCR
DE
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.900000
EUR
2020-11-18
XXXX
-24.440000
N
N
N
N/A
N/A
3175ZY161 ITRAXX.O C 0.50 OCT20 0.5 CALL
000000000
-2900000.000000
NC
-304.830000
-0.0000138
N/A
DCR
DE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N/A
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
0.000000
0.000000
DCR
N/A
SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.500000
EUR
2020-10-21
XXXX
2139.110000
N
N
N
N/A
N/A
CDX ITRAXX MAIN33 5Y ICE
000000000
1.000000
NC
169547.760000
0.0076551
N/A
DCR
N/A
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
ITRAXX EUROPE SERIES 33
Y
Single Leg Swap
2025-06-21
176475.690000
EUR
0.000000
EUR
8100000.000000
EUR
-6927.930000
N
N
N
N/A
N/A
31752W9C0 ITRAXX.O P0.85 EU34 DEC20 0.85 PUT
000000000
-1500000.000000
NC
-3195.830000
-0.0001443
N/A
DCR
DE
N
2
BNP Paribas S.A.
N/A
Put
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX ITRAXX MAIN34 (V1 ONLY) 5Y SP
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
-19.150000
N
N
N
N/A
N/A
31752W9D8 ITRAXX EU34 5Y DEC20 0.9 PUT
000000000
-3000000.000000
NC
-5495.050000
-0.0002481
N/A
DCR
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
N/A
N/A
SWOP CDX ITRAXX MAIN34 (V1 ONLY) 5Y SP
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
653.750000
N
N
N
N/A
N/A
31752W9E6 ITRAXX EU34 5Y V1 DEC20 0.85 PUT
000000000
-2800000.000000
NC
-5965.540000
-0.0002693
N/A
DCR
DE
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX ITRAXX MAIN34 (V1 ONLY) 5Y SP
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
-789.720000
N
N
N
N/A
N/A
3175DA464 ITRAXX.O P 0.95 DEC20 0.95 PUT
000000000
-1200000.000000
NC
-1903.790000
-0.0000860
N/A
DCR
DE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
SWOP CDX ITRAXX MAIN34 (V1 ONLY) 5Y SP
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
209.140000
N
N
N
N/A
N/A
BOUGHT ZAR/SOLD USD
000000000
1.000000
NC
642.000000
0.0000290
N/A
DFE
ZA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
72108.000000
USD
1224635.910000
ZAR
2020-11-13
642.000000
N
N
N
N/A
N/A
KRAFT HEINZ FOODS CO (AKA: HJ SNR S* ICE
000000000
1.000000
NC
USD
-7065.530000
-0.0003190
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
-9352.650000
USD
800000.000000
USD
2287.120000
N
N
N
N/A
N/A
SOLD BRL/BOUGHT USD
000000000
1.000000
NC
17585.660000
0.0007940
N/A
DFE
BR
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
68373157.490000
BRL
12192509.980000
USD
2020-10-02
17585.660000
N
N
N
N/A
N/A
BOUGHT JPY/SOLD USD
000000000
1.000000
NC
-11482.670000
-0.0005184
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
18631063.560000
USD
1963714099.000000
JPY
2020-10-02
-11482.670000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BONDS 04/22 VAR
ACI0TFSY6
4863000.000000
PA
35116.370000
0.0015855
Long
DBT
NUSS
AR
N
2
2022-04-03
Floating
31.6406
N
N
N
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
105029.640000
0.0047421
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
14840706.000000
CAD
11250502.040000
USD
2020-10-02
105029.640000
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
-83413.910000
-0.0037662
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
1652378710.000000
JPY
15584141.300000
USD
2020-10-02
-83413.910000
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
-28659.560000
-0.0012940
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
521780056.000000
JPY
4918764.290000
USD
2020-10-02
-28659.560000
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
11713.890000
0.0005289
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
1963714099.000000
JPY
18638048.410000
USD
2020-11-04
11713.890000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
155928.630000
0.0070402
N/A
DFE
CA
N
2
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
24074000.000000
CAD
18235668.400000
USD
2020-10-02
155928.630000
N
N
N
N/A
N/A
ROLLS-ROYCE PLC SNR SE ICE
000000000
1.000000
NC
-630811.720000
-0.0284813
N/A
DCR
GB
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
ROLLS-ROYCE PLC
ROLLS-ROYCE PLC
Y
Single Leg Swap
2024-06-21
28976.620000
EUR
0.000000
EUR
4300000.000000
EUR
-659788.340000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1
040114HX1
307008.000000
PA
USD
139995.650000
0.0063208
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1
N
N
N
N
N
N
N/A
N/A
S+P500 EMINI FUT DEC20 XCME 20201218
000000000
4296.000000
NC
USD
-111115.340000
-0.0050169
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
S&P 500 INDEX
N/A
N/A
2020-12-18
720009600.000000
USD
-111115.340000
N
N
N
N/A
N/A
SPTR TRS EQUITY 3ML+0 FAR
000000000
1.000000
NC
USD
2327644.800000
0.1050937
N/A
DE
US
N
2
Wells Fargo Trust Company, National Association
549300RFXISSEVCFN040
S&P 500 INDEX
N/A
N/A
Y
2021-04-21
0.000000
USD
0.000000
USD
51332935.440000
USD
2327644.800000
N
N
N
N/A
N/A
SPTR TRS EQUITY 3ML+11.5 HUS
000000000
1.000000
NC
USD
-299998.660000
-0.0135450
N/A
DE
US
N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
S&P 500 INDEX
N/A
N/A
Y
2021-05-19
0.000000
USD
0.000000
USD
75570039.130000
USD
-299998.660000
N
N
N
N/A
N/A
SPTR TRS EQUITY 3ML+12 HUS
000000000
1.000000
NC
USD
-389827.010000
-0.0176008
N/A
DE
US
N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
S&P 500 INDEX
N/A
N/A
Y
2021-08-11
0.000000
USD
0.000000
USD
122001855.010000
USD
-389827.010000
N
N
N
N/A
N/A
SPTR TRS EQUITY 3ML+15 CBK
000000000
1.000000
NC
USD
-278580.660000
-0.0125780
N/A
DE
US
N
2
Citibank International Limited
N/A
S&P 500 INDEX
N/A
N/A
Y
2021-09-15
0.000000
USD
0.000000
USD
43667464.060000
USD
-278580.660000
N
N
N
N/A
N/A
SPTR TRS EQUITY 3ML+17 *BULLET* BPS
000000000
1.000000
NC
USD
6181205.790000
0.2790828
N/A
DE
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
S&P 500 INDEX
N/A
N/A
Y
2020-10-14
0.000000
USD
0.000000
USD
40037697.620000
USD
6181205.790000
N
N
N
N/A
N/A
SPTR TRS EQUITY 3ML+17 *BULLET* FAR
000000000
1.000000
NC
USD
6569214.060000
0.2966015
N/A
DE
US
N
2
Wells Fargo Trust Company, National Association
549300RFXISSEVCFN040
S&P 500 INDEX
N/A
N/A
Y
2021-10-13
0.000000
USD
0.000000
USD
167843541.360000
USD
6569214.060000
N
N
N
N/A
N/A
SPTR TRS EQUITY 3ML+17 *BULLET* GST
000000000
1.000000
NC
USD
6568953.520000
0.2965897
N/A
DE
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
S&P 500 INDEX
N/A
N/A
Y
2021-10-27
0.000000
USD
0.000000
USD
167836883.540000
USD
6568953.520000
N
N
N
N/A
N/A
SPTR TRS EQUITY 3ML+18 FAR
000000000
1.000000
NC
USD
-208044.460000
-0.0093933
N/A
DE
US
N
2
Wells Fargo Trust Company, National Association
549300RFXISSEVCFN040
S&P 500 INDEX
N/A
N/A
Y
2021-03-17
0.000000
USD
0.000000
USD
32555654.010000
USD
-208044.460000
N
N
N
N/A
N/A
SPTR TRS EQUITY 3ML+19 BPS
000000000
1.000000
NC
USD
3084360.670000
0.1392596
N/A
DE
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
S&P 500 INDEX
N/A
N/A
Y
2020-10-07
0.000000
USD
0.000000
USD
35029443.510000
USD
3084360.670000
N
N
N
N/A
N/A
SPTR TRS EQUITY 3ML+23 *BULLET* FAR
000000000
1.000000
NC
USD
614016.710000
0.0277230
N/A
DE
US
N
2
Wells Fargo Trust Company, National Association
549300RFXISSEVCFN040
S&P 500 INDEX
N/A
N/A
Y
2021-03-24
0.000000
USD
0.000000
USD
345900809.980000
USD
614016.710000
N
N
N
N/A
N/A
SPTR TRS EQUITY 3ML+3 *BULLET* BPS
000000000
1.000000
NC
USD
32213834.290000
1.4544618
N/A
DE
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
S&P 500 INDEX
N/A
N/A
Y
2021-04-07
0.000000
USD
0.000000
USD
183102511.520000
USD
32213834.290000
N
N
N
N/A
N/A
SPTR TRS EQUITY 3ML+3 GST
000000000
1.000000
NC
USD
4885730.650000
0.2205918
N/A
DE
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
S&P 500 INDEX
N/A
N/A
Y
2021-02-24
0.000000
USD
0.000000
USD
55234096.230000
USD
4885730.650000
N
N
N
N/A
N/A
SPTR TRS EQUITY 3ML+6 HUS
000000000
1.000000
NC
USD
-384711.600000
-0.0173698
N/A
DE
US
N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
S&P 500 INDEX
N/A
N/A
Y
2021-06-09
0.000000
USD
0.000000
USD
35251438.320000
USD
-384711.600000
N
N
N
N/A
N/A
SPTR TRS EQUITY 3ML+8 HUS
000000000
1.000000
NC
USD
-479169.950000
-0.0216346
N/A
DE
US
N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
S&P 500 INDEX
N/A
N/A
Y
2021-06-23
0.000000
USD
0.000000
USD
43875450.910000
USD
-479169.950000
N
N
N
N/A
N/A
SPTR TRS EQUITY 3ML-2 CBK
000000000
1.000000
NC
USD
827743.750000
0.0373728
N/A
DE
US
N
2
Citibank International Limited
N/A
S&P 500 INDEX
N/A
N/A
Y
2021-04-15
0.000000
USD
0.000000
USD
18237745.230000
USD
827743.750000
N
N
N
N/A
N/A
SPTR TRS EQUITY 3ML-40 FAR
000000000
1.000000
NC
USD
473281.670000
0.0213688
N/A
DE
US
N
2
Wells Fargo Trust Company, National Association
549300RFXISSEVCFN040
S&P 500 INDEX
N/A
N/A
Y
2020-10-07
0.000000
USD
0.000000
USD
10246741.880000
USD
473281.670000
N
N
N
N/A
N/A
SPTR TRS EQUITY 3ML-5 HUS
000000000
1.000000
NC
USD
828898.950000
0.0374250
N/A
DE
US
N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
S&P 500 INDEX
N/A
N/A
Y
2021-01-13
0.000000
USD
0.000000
USD
18237745.230000
USD
828898.950000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR
040114HS2
1472771.000000
PA
USD
614881.890000
0.0277621
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.125
N
N
N
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
17832.230000
0.0008051
N/A
DFE
GB
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
1361551.090000
USD
1069000.000000
GBP
2020-10-02
17832.230000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/35 VAR
040114HT0
2698228.000000
PA
USD
1014533.730000
0.0458064
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
0.125
N
N
N
N
N
N
N/A
N/A
BOUGHT BRL/SOLD USD
000000000
1.000000
NC
-70648.800000
-0.0031898
N/A
DFE
BR
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
12245573.120000
USD
68373157.490000
BRL
2020-10-02
-70648.800000
N
N
N
N/A
N/A
BOUGHT CAD/SOLD USD
000000000
1.000000
NC
101052.110000
0.0045625
N/A
DFE
CA
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
16366522.210000
USD
21927328.000000
CAD
2020-10-02
101052.110000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR
040114HV5
9150000.000000
PA
USD
3648562.500000
0.1647334
Long
DBT
NUSS
AR
N
2
2041-07-09
Variable
0.125
N
N
N
N
N
N
N/A
N/A
BOUGHT JPY/SOLD USD
000000000
1.000000
NC
-53935.460000
-0.0024352
N/A
DFE
JP
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
39229678.480000
USD
4131669738.000000
JPY
2020-10-02
-53935.460000
N
N
N
N/A
N/A
SOLD BRL/BOUGHT USD
000000000
1.000000
NC
70987.200000
0.0032051
N/A
DFE
BR
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
68373157.500000
BRL
12235865.070000
USD
2020-11-04
70987.200000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
-100848.190000
-0.0045533
N/A
DFE
CA
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
21927328.000000
CAD
16368327.930000
USD
2020-11-03
-100848.190000
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
54257.920000
0.0024498
N/A
DFE
JP
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
4131669738.000000
JPY
39244210.620000
USD
2020-11-04
54257.920000
N
N
N
N/A
N/A
317U164W4 IRO EUR 30Y C 0.2 MAR21 0.2 CALL
000000000
12200000.000000
NC
1248172.940000
0.0563553
N/A
DIR
DE
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
N/A
N/A
IRS EUR R 0.20000 03/17/21-30Y LCH
000000000
0.000000
NC
0.000000
0.000000
DIR
N/A
IRS EUR R 0.20000 03/17/21-30Y LCH
2051-03-17
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.200000
EUR
2021-03-15
XXXX
1244057.600000
N
N
N
N/A
N/A
317U166W2 IRO EUR 30Y C 0.1 MAR21 0.1 CALL
000000000
-24400000.000000
NC
-975836.940000
-0.0440593
N/A
DIR
DE
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Written
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
N/A
N/A
IRS EUR R -0.10000 03/17/21-30Y LCH
000000000
0.000000
NC
0.000000
0.000000
DIR
N/A
IRS EUR R -0.10000 03/17/21-30Y LCH
2051-03-17
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.100000
EUR
2021-03-15
XXXX
-975836.940000
N
N
N
N/A
N/A
317U226T7 IRO USD 3Y C 1.0360 JUL21 1.036 CALL
000000000
335900000.000000
NC
USD
7575989.370000
0.3420576
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 1.03600 07/21/21-3Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 1.03600 07/21/21-3Y LCH
N/A
N/A
2024-07-21
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.040000
USD
2021-07-19
XXXX
6341556.870000
N
N
N
N/A
N/A
317U245T4 IRO USD 3Y C 1.0230 AUG21 1.023 CALL
000000000
736800000.000000
NC
USD
16269133.440000
0.7345550
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 1.02300 08/04/21-3Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 1.02300 08/04/21-3Y LCH
N/A
N/A
2024-08-04
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.020000
USD
2021-08-02
XXXX
13371388.290000
N
N
N
N/A
N/A
317U269U2 IRO USD 15Y C 2.4 MAR21 2.4 CALL
000000000
-68000000.000000
NC
USD
-13819565.200000
-0.6239564
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 2.40000 03/15/21-15Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 2.40000 03/15/21-15Y CME
N/A
N/A
2036-03-15
0.000000
USD
0.000000
USD
N/A
USD
N/A
2.400000
USD
2021-03-11
XXXX
-8209565.200000
N
N
N
N/A
N/A
317U270U9 IRO USD 15Y C 2.19 MAR21 2.19 CALL
000000000
-70500000.000000
NC
USD
-12222359.400000
-0.5518422
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 2.19000 03/16/21-15Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 2.19000 03/16/21-15Y CME
N/A
N/A
2036-03-16
0.000000
USD
0.000000
USD
N/A
USD
N/A
2.190000
USD
2021-03-12
XXXX
-7772359.400000
N
N
N
N/A
N/A
317U271U8 IRO USD 15Y C 1.55 JUL21 1.55 CALL
000000000
-75000000.000000
NC
USD
-6658672.500000
-0.3006405
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 1.55000 07/21/21-15Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 1.55000 07/21/21-15Y LCH
N/A
N/A
2036-07-21
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.550000
USD
2021-07-19
XXXX
-4578672.500000
N
N
N
N/A
N/A
317U272U7 IRO USD 15Y C 1.59 AUG21 1.59 CALL
000000000
-165000000.000000
NC
USD
-15459163.500000
-0.6979847
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 1.59000 08/04/21-15Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 1.59000 08/04/21-15Y LCH
N/A
N/A
2036-08-04
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.590000
USD
2021-08-02
XXXX
-10554163.500000
N
N
N
N/A
N/A
317U280S2 IRO USD 5Y C 2.05000 MAR21 2.05 CALL
000000000
184200000.000000
NC
USD
15113573.160000
0.6823812
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 2.05000 03/15/21-5Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 2.05000 03/15/21-5Y CME
N/A
N/A
2026-03-15
0.000000
USD
0.000000
USD
N/A
USD
N/A
2.050000
USD
2021-03-11
XXXX
13639973.160000
N
N
N
N/A
N/A
317U293S7 IRO USD 5Y C 1.80000 MAR21 1.8 CALL
000000000
190700000.000000
NC
USD
13261621.260000
0.5987651
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 1.80000 03/16/21-5Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 1.80000 03/16/21-5Y CME
N/A
N/A
2026-03-16
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.800000
USD
2021-03-12
XXXX
12142872.790000
N
N
N
N/A
N/A
317U425U3 IRO EUR 2Y C 0.35 NOV21 0.35 CALL
000000000
686300000.000000
NC
2724713.550000
0.1230214
N/A
DIR
DE
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
IRS EUR R -0.35000 11/03/21-2Y LCH
000000000
0.000000
NC
0.000000
0.000000
DIR
N/A
IRS EUR R -0.35000 11/03/21-2Y LCH
2023-11-03
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.350000
EUR
2021-11-01
XXXX
1035110.940000
N
N
N
N/A
N/A
317U426U2 IRO EUR 10Y C 0.164 NOV21 0.164 CALL
000000000
-91400000.000000
NC
-1991368.330000
-0.0899107
N/A
DIR
DE
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
IRS EUR R -0.16400 11/03/21-10Y LCH
000000000
0.000000
NC
0.000000
0.000000
DIR
N/A
IRS EUR R -0.16400 11/03/21-10Y LCH
2031-11-03
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.160000
EUR
2021-11-01
XXXX
-827654.800000
N
N
N
N/A
N/A
317U435U1 IRO EUR 10Y C 0.122 NOV21 0.122 CALL
000000000
-44400000.000000
NC
-1085487.770000
-0.0490100
N/A
DIR
DE
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
IRS EUR R -0.12200 11/03/21-10Y LCH
000000000
0.000000
NC
0.000000
0.000000
DIR
N/A
IRS EUR R -0.12200 11/03/21-10Y LCH
2031-11-03
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
0.120000
EUR
2021-11-01
XXXX
-557901.070000
N
N
N
N/A
N/A
INF SWAP EM NI 1.71 03/15/18-15Y LCH
000000000
1.000000
NC
-495453.910000
-0.0223699
N/A
DIR
N/A
N
2
London Clearing house
N/A
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2033-03-15
0.000000
EUR
-4072.690000
EUR
3050000.000000
EUR
-491381.220000
N
N
N
N/A
N/A
INF SWAP EM NI 1.946 03/15/18-30Y LCH
000000000
1.000000
NC
1207674.800000
0.0545268
N/A
DIR
N/A
N
2
London Clearing house
N/A
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2048-03-15
8446.600000
EUR
0.000000
EUR
3050000.000000
EUR
1199228.200000
N
N
N
N/A
N/A
INF SWAP GB NI 3.334 08/15/20-5Y LCH
000000000
1.000000
NC
254678.970000
0.0114988
N/A
DIR
GB
N
2
London Clearing house
N/A
UK RPI All Items NSA
N/A
N/A
Y
2025-08-15
2404.320000
GBP
0.000000
GBP
20700000.000000
GBP
252274.650000
N
N
N
N/A
N/A
INF SWAP GB NI 3.415 02/15/20-10Y LCH
000000000
1.000000
NC
9343.230000
0.0004218
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
11200000.000000
GBP
9343.230000
N
N
N
N/A
N/A
INF SWAP GB NI 3.475 08/15/20-10Y LCH
000000000
1.000000
NC
-291099.220000
-0.0131432
N/A
DIR
GB
N
2
London Clearing house
N/A
UK RPI All Items NSA
N/A
N/A
Y
2030-08-15
0.000000
GBP
-20524.380000
GBP
20700000.000000
GBP
-270574.840000
N
N
N
N/A
N/A
INF SWAP GB NI 3.48 01/15/20-10Y LCH
000000000
1.000000
NC
663617.260000
0.0299625
N/A
DIR
GB
N
2
London Clearing house
N/A
UK RPI All Items NSA
N/A
N/A
Y
2030-01-15
44842.090000
GBP
0.000000
GBP
38500000.000000
GBP
618775.170000
N
N
N
N/A
N/A
INF SWAP GB NI 3.49 09/15/18-10Y LCH
000000000
1.000000
NC
997786.760000
0.0450503
N/A
DIR
GB
N
2
London Clearing house
N/A
UK RPI All Items NSA
N/A
N/A
Y
2028-09-15
0.000000
GBP
-2667.580000
GBP
23300000.000000
GBP
1000454.340000
N
N
N
N/A
N/A
INF SWAP GB NI 3.5925 11/15/18-10Y LCH
000000000
1.000000
NC
260859.910000
0.0117779
N/A
DIR
GB
N
2
London Clearing house
N/A
UK RPI All Items NSA
N/A
N/A
Y
2028-11-15
0.000000
GBP
0.000000
GBP
4200000.000000
GBP
260859.910000
N
N
N
N/A
N/A
INF SWAP GB NI 3.595 11/15/18-10Y LCH
000000000
1.000000
NC
938250.460000
0.0423622
N/A
DIR
GB
N
2
London Clearing house
N/A
UK RPI All Items NSA
N/A
N/A
Y
2028-11-15
179896.360000
GBP
0.000000
GBP
15000000.000000
GBP
758354.100000
N
N
N
N/A
N/A
INF SWAP GB NI 3.603 11/15/18-10Y LCH
000000000
1.000000
NC
268633.540000
0.0121289
N/A
DIR
GB
N
2
London Clearing house
N/A
UK RPI All Items NSA
N/A
N/A
Y
2028-11-15
0.000000
GBP
0.000000
GBP
4200000.000000
GBP
268633.540000
N
N
N
N/A
N/A
INF SWAP US IT 1.669 06/19/19-5Y LCH
000000000
1.000000
NC
USD
-157319.120000
-0.0071030
N/A
DIR
US
N
2
London Clearing house
N/A
US CPI Urban Consumers NSA
N/A
N/A
Y
2024-06-19
0.000000
USD
0.000000
USD
26700000.000000
USD
-157319.120000
N
N
N
N/A
N/A
IRS CAD 1.70000 12/18/19-5Y LCH
000000000
1.000000
NC
6312821.860000
0.2850253
N/A
DIR
CA
N
2
London Clearing house
N/A
CAD-BA-CDOR 3M
N/A
N/A
Y
2024-12-18
0.000000
CAD
-806775.570000
CAD
186200000.000000
CAD
7119597.430000
N
N
N
N/A
N/A
IRS CAD 2.20000 12/18/19-30Y LCH
000000000
1.000000
NC
781024.120000
0.0352634
N/A
DIR
CA
N
2
London Clearing house
N/A
CAD-BA-CDOR 3M
N/A
N/A
Y
2049-12-20
37158.750000
CAD
0.000000
CAD
5600000.000000
CAD
743865.370000
N
N
N
N/A
N/A
IRS CAD 2.75000 12/18/18-30Y CME
000000000
1.000000
NC
851307.740000
0.0384367
N/A
DIR
CA
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
CAD-BA-CDOR 3M
N/A
N/A
Y
2048-12-18
0.000000
CAD
-93384.440000
CAD
3600000.000000
CAD
944692.180000
N
N
N
N/A
N/A
IRS CAD 2.75000 12/18/18-30Y LCH
000000000
1.000000
NC
2388390.650000
0.1078364
N/A
DIR
CA
N
2
London Clearing house
N/A
CAD-BA-CDOR 3M
N/A
N/A
Y
2048-12-18
0.000000
CAD
-15502.660000
CAD
10100000.000000
CAD
2403893.310000
N
N
N
N/A
N/A
IRS GBP 0.90800 01/17/45-10Y LCH
000000000
1.000000
NC
1078163.110000
0.0486793
N/A
DIR
GB
N
2
London Clearing house
N/A
GBP-LIBOR-BBA-Bloomberg 6M
N/A
N/A
Y
2055-01-18
0.000000
GBP
0.000000
GBP
22200000.000000
GBP
1078163.110000
N
N
N
N/A
N/A
IRS GBP 0.95500 01/20/45-10Y LCH
000000000
1.000000
NC
5987222.710000
0.2703244
N/A
DIR
GB
N
2
London Clearing house
N/A
GBP-LIBOR-BBA-Bloomberg 6M
N/A
N/A
Y
2055-01-20
862390.910000
GBP
0.000000
GBP
110600000.000000
GBP
5124831.800000
N
N
N
N/A
N/A
IRS GBP 1.02000 01/17/35-10Y LCH
000000000
1.000000
NC
-804426.150000
-0.0363200
N/A
DIR
GB
N
2
London Clearing house
N/A
GBP-LIBOR-BBA-Bloomberg 6M
N/A
N/A
Y
2045-01-17
0.000000
GBP
0.000000
GBP
18800000.000000
GBP
-804426.150000
N
N
N
N/A
N/A
IRS GBP 1.07100 01/22/35-10Y LCH
000000000
1.000000
NC
-5003986.410000
-0.2259311
N/A
DIR
GB
N
2
London Clearing house
N/A
GBP-LIBOR-BBA-Bloomberg 6M
N/A
N/A
Y
2045-01-23
0.000000
GBP
-676931.970000
GBP
102000000.000000
GBP
-4327054.440000
N
N
N
N/A
N/A
IRS JPY 0.38000 06/18/18-10Y LCH
000000000
1.000000
NC
-3425540.500000
-0.1546639
N/A
DIR
JP
N
2
London Clearing house
N/A
JPY-LIBOR-BBA-Bloomberg 6M
N/A
N/A
Y
2028-06-19
0.000000
JPY
-3458894.470000
JPY
11140000000.000000
JPY
33353.970000
N
N
N
ASSET BACKED SEC CORP HM EQ 2005-HE6
N/A
ASSET BACKED SECURITIES CORP H ABSHE 2005 HE6 M4
04541GTN2
290602.670000
PA
USD
291398.630000
0.0131567
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
1.10813
N
N
N
N
N
N
ASSET BACKED SEC HOME EQTY LN 2004-HE3
N/A
ASSET BACKED SECURITIES CORP H ABSHE 2004 HE3 M1
04541GJT0
4227422.310000
PA
USD
4090469.470000
0.1846856
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
0.95813
N
N
N
N
N
N
N/A
N/A
IRS USD 1.25000 06/17/20-10Y CME
000000000
1.000000
NC
USD
5589506.250000
0.2523675
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2030-06-17
2598475.370000
USD
0.000000
USD
100900000.000000
USD
2991030.880000
N
N
N
N/A
N/A
IRS USD 1.25000 06/17/20-5Y CME
000000000
1.000000
NC
USD
-29350498.870000
-1.3251816
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
-19701649.170000
USD
631400000.000000
USD
-9648849.700000
N
N
N
N/A
N/A
IRS USD 1.25000 06/17/20-7Y CME
000000000
1.000000
NC
USD
12318408.460000
0.5561789
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2027-06-17
4862142.530000
USD
0.000000
USD
227300000.000000
USD
7456265.930000
N
N
N
N/A
N/A
IRS USD 1.50000 06/17/20-30Y CME
000000000
1.000000
NC
USD
4665222.770000
0.2106358
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2050-06-17
6860830.400000
USD
0.000000
USD
47100000.000000
USD
-2195607.630000
N
N
N
N/A
N/A
IRS USD 1.62500 01/06/20-10Y CME
000000000
1.000000
NC
USD
-6544511.550000
-0.2954862
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2030-01-07
0.000000
USD
-213804.910000
USD
73000000.000000
USD
-6330706.640000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT+T INC SR UNSECURED 02/28 1.65
00206RKG6
600000.000000
PA
USD
602063.490000
0.0271833
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65
N
N
N
N
N
N
N/A
N/A
IRS USD 2.50000 01/31/18-10Y CME
000000000
1.000000
NC
USD
-6512527.550000
-0.2940421
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-01-31
2134.790000
USD
0.000000
USD
44400000.000000
USD
-6514662.340000
N
N
N
N/A
N/A
IRS USD 2.50000 12/15/21-2Y CME
000000000
1.000000
NC
USD
4425148.840000
0.1997965
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2023-12-15
153203.040000
USD
0.000000
USD
99400000.000000
USD
4271945.800000
N
N
N
N/A
N/A
IRS USD 2.75000 12/15/23-3Y CME
000000000
1.000000
NC
USD
-4354569.180000
-0.1966098
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2026-12-15
0.000000
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-153292.340000
USD
70200000.000000
USD
-4201276.840000
N
N
N
N/A
N/A
IRS USD 2.92750 09/28/18-7Y* CME
000000000
1.000000
NC
USD
-6292693.540000
-0.2841165
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2025-05-30
3467.400000
USD
0.000000
USD
48200000.000000
USD
-6296160.940000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT+T INC SR UNSECURED 02/32 2.25
00206RKH4
600000.000000
PA
USD
601393.160000
0.0271530
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.25
N
N
N
N
N
N
N/A
N/A
BOUGHT JPY/SOLD USD
000000000
1.000000
NC
7821.290000
0.0003531
N/A
DFE
JP
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
10998297.420000
USD
1160760310.000000
JPY
2020-10-02
7821.290000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
186602.410000
0.0084251
N/A
DFE
CA
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
13825458.000000
CAD
10569616.570000
USD
2020-10-02
186602.410000
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
-96957.340000
-0.0043776
N/A
DFE
JP
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
1990656202.000000
JPY
18778083.690000
USD
2020-10-02
-96957.340000
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
-7716.420000
-0.0003484
N/A
DFE
JP
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
1160760310.000000
JPY
11002394.390000
USD
2020-11-04
-7716.420000
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
-217210.280000
-0.0098071
N/A
DFE
JP
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
3038385978.000000
JPY
28592214.440000
USD
2020-10-02
-217210.280000
N
N
N
N/A
N/A
317513JI1 OTC EPUT FN 2.0 101.984375
000000000
-1400000.000000
NC
USD
-66.080000
-0.0000030
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
101.980000
USD
2020-10-07
XXXX
4527.670000
N
N
N
N/A
N/A
317521Q13 OTC EPUT FN 2.0 102.1875
000000000
-1700000.000000
NC
USD
-118.490000
-0.0000053
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
5326.820000
N
N
N
N/A
N/A
317532F20 OTC ECAL FN 2.0 104.09375
000000000
-500000.000000
NC
USD
-867.800000
-0.0000392
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
69.700000
N
N
N
N/A
N/A
317532HL6 OTC ECAL FN 1.5 101.171875
000000000
-2500000.000000
NC
USD
-14804.500000
-0.0006684
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
4824.410000
N
N
N
N/A
N/A
317535UE0 OTC EPUT FN 2.0 101.5546875
000000000
-900000.000000
NC
USD
-18.180000
-0.0000008
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
4059.950000
N
N
N
N/A
N/A
317544831 OTC EPUT FN 2.0 OCT20 102.140625 PUT
000000000
-2400000.000000
NC
USD
-153.120000
-0.0000069
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
7346.880000
N
N
N
N/A
N/A
317546BD0 OTC EPUT FN 2.0 101.9375
000000000
-1300000.000000
NC
USD
-5312.840000
-0.0002399
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
-437.840000
N
N
N
N/A
N/A
317551KW8 OTC EPUT FN 2.0 101.4375
000000000
-2400000.000000
NC
USD
-38.160000
-0.0000017
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
10086.840000
N
N
N
N/A
N/A
317553G25 OTC EPUT FN 2.0 102.09375
000000000
-500000.000000
NC
USD
-2153.200000
-0.0000972
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
-278.200000
N
N
N
N/A
N/A
317555C57 OTC EPUT FN 2.0 OCT20 101.953125 PUT
000000000
-2200000.000000
NC
USD
-97.680000
-0.0000044
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
7121.070000
N
N
N
N/A
N/A
317555VA5 OTC EPUT FN 2.0 102.078125
000000000
-1500000.000000
NC
USD
-84.900000
-0.0000038
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
4836.980000
N
N
N
N/A
N/A
3175569Q3 OTC EPUT FN 2.0 OCT20 102.292968 PUT
000000000
-2000000.000000
NC
USD
-170.200000
-0.0000077
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
6079.800000
N
N
N
N/A
N/A
317557551 OTC ECAL FN 2.0 103.96875
000000000
-600000.000000
NC
USD
-0.010000
0.0000000
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
103.970000
USD
2020-10-07
XXXX
1171.870000
N
N
N
N/A
N/A
317562ZF6 OTC ECAL FN 2.0 103.9375
000000000
-1300000.000000
NC
USD
-2706.990000
-0.0001222
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
-66.360000
N
N
N
N/A
N/A
317581R16 OTC EPUT FN 2.0 101.8359375
000000000
-1100000.000000
NC
USD
-38.830000
-0.0000018
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
3613.510000
N
N
N
N/A
N/A
317583PV8 OTC EPUT FN 2.5 104.5
000000000
-400000.000000
NC
USD
-48.040000
-0.0000022
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
701.960000
N
N
N
N/A
N/A
3175860X4 OTC EPUT FN 1.5 99.21875
000000000
-1600000.000000
NC
USD
-11462.080000
-0.0005175
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
287.920000
N
N
N
N/A
N/A
LONG GILT FUTURE DEC20 IFLL 20201229
000000000
-14.000000
NC
-7137.360000
-0.0003223
N/A
DIR
GB
N
1
Intercontinental Exchange
5493000F4ZO33MV32P92
Short
N/A
UNITED KINGDOM GOVT
2020-12-29
-2458812.050000
GBP
-7137.360000
N
N
N
N/A
N/A
US 10YR NOTE (CBT)DEC20 XCBT 20201221
000000000
-5209.000000
NC
USD
-1288054.380000
-0.0581559
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2020-12-21
-726818281.250000
USD
-1288054.380000
N
N
N
N/A
N/A
US 2YR NOTE (CBT) DEC20 XCBT 20201231
000000000
-1194.000000
NC
USD
-98563.060000
-0.0044501
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2020-12-31
-263827359.970000
USD
-98563.060000
N
N
N
N/A
N/A
US 5YR NOTE (CBT) DEC20 XCBT 20201231
000000000
-105.000000
NC
USD
-16542.750000
-0.0007469
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2020-12-31
-13233281.250000
USD
-16542.750000
N
N
N
N/A
N/A
US ULTRA BOND CBT DEC20 XCBT 20201221
000000000
-127.000000
NC
USD
439996.580000
0.0198659
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2020-12-21
-28170187.500000
USD
439996.580000
N
N
N
AVERY POINT V CLO LTD 2014-5A
N/A
AVERY POINT CLO LTD AVERY 2014 5A AR 144A
05363XAN7
2078953.980000
PA
USD
2078531.600000
0.0938462
Long
ABS-CBDO
CORP
KY
N
2
2026-07-17
Floating
1.25288
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LIMITED
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 01/23 5.5
05401AAA9
1600000.000000
PA
USD
1615906.830000
0.0729586
Long
DBT
CORP
KY
N
2
2023-01-15
Fixed
5.5
N
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2005-D
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1
06051GDM8
24363.880000
PA
USD
24683.940000
0.0011145
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
3.67609
N
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2006-J
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1
05951EAM9
57820.980000
PA
USD
56321.340000
0.0025429
Long
ABS-MBS
CORP
US
N
2
2047-01-20
Floating
4.19876
Y
N
N
N
N
N
BANCO DEL ESTADO DE CHILE
5493004R4EJC0W0XVQ72
BANCO DEL ESTADO CHILE SR UNSECURED REGS 10/20 4.125
P1027DEN7
1800000.000000
PA
USD
1804068.000000
0.0814541
Long
DBT
CORP
CL
N
2
2020-10-07
Fixed
4.125
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
BANCO SANTANDER SA JR SUBORDINA REGS 12/99 VAR
BF1ZBSII6
200000.000000
PA
245390.690000
0.0110794
Long
DBT
CORP
ES
N
2
2022-04-25
Floating
6.75
N
N
N
N
Y
BANCO SANTANDER SA
BANCO SANTANDER SA
EUR
XXXX
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC SUBORDINATED 11/22 7.625
06740L8C2
1000000.000000
PA
USD
1100312.640000
0.0496794
Long
DBT
CORP
GB
N
2
2022-11-21
Fixed
7.625
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC SUBORDINATED 144A 06/21 10.179
06739FFU0
2800000.000000
PA
USD
2946165.680000
0.1330200
Long
DBT
CORP
GB
N
2
2021-06-12
Fixed
10.179
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC JR SUBORDINA 12/49 VAR
ACI07CRC6
600000.000000
PA
711823.570000
0.0321390
Long
DBT
CORP
GB
N
2
2020-12-15
Floating
8
N
N
N
N
Y
BARCLAYS PLC
BARCLAYS PLC
GBP
XXXX
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC JR SUBORDINA 12/99 VAR
06738EBG9
2000000.000000
PA
USD
2131026.040000
0.0962163
Long
DBT
CORP
GB
N
2
2024-06-15
Floating
8
N
N
N
N
Y
BARCLAYS PLC
BARCLAYS PLC
GBP
XXXX
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC JR SUBORDINA VAR
ACI1CH093
3900000.000000
PA
5260076.340000
0.2374936
Long
DBT
CORP
GB
N
2
2025-06-15
Floating
7.125
N
N
N
N
Y
BARCLAYS PLC
BARCLAYS PLC
GBP
XXXX
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 02/23 VAR
06738EBE4
4100000.000000
PA
USD
4292832.960000
0.1938224
Long
DBT
CORP
GB
N
2
2023-02-15
Floating
4.61
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 05/24 VAR
06738EBC8
4800000.000000
PA
USD
4815544.850000
0.2174229
Long
DBT
CORP
GB
N
2
2024-05-16
Floating
1.66013
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 05/29 VAR
06738EBD6
1400000.000000
PA
USD
1637093.990000
0.0739152
Long
DBT
CORP
GB
N
2
2029-05-16
Floating
4.972
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 08/21 3.2
06738EAQ8
3200000.000000
PA
USD
3274703.680000
0.1478536
Long
DBT
CORP
GB
N
2
2021-08-10
Fixed
3.2
N
N
N
N
N
N
BAT CAPITAL CORPORATION
2138005GYEXN7XRHFA84
BAT CAPITAL CORP COMPANY GUAR 08/24 3.222
05526DAZ8
200000.000000
PA
USD
214195.970000
0.0096710
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.222
N
N
N
N
N
N
BAT INTERNATIONAL FINANCE PLC
21380041YBGOQDFAC823
BAT INTL FINANCE PLC COMPANY GUAR 144A 06/25 3.95
05530QAK6
1000000.000000
PA
USD
1112803.920000
0.0502433
Long
DBT
CORP
GB
N
2
2025-06-15
Fixed
3.95
N
N
N
N
N
N
BAY AREA TOLL AUTHORITY
5493001FUZGUQMIP5D78
BAY AREA CA TOLL AUTH TOLL BRI BAYTRN 10/50 FIXED 6.907
072024PY2
100000.000000
PA
USD
181550.000000
0.0081970
Long
DBT
MUN
US
N
2
2050-10-01
Fixed
6.907
N
N
N
N
N
N
BAYVIEW FINANCIAL ASSET TR 2007-SR1A
N/A
BAYVIEW FINANCIAL ASSET TRUST BFAT 2007 SR1A A 144A
07325QAA3
552966.070000
PA
USD
509269.420000
0.0229936
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
2.927
N
N
N
N
N
N
BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 1A1
07384MZQ8
877.210000
PA
USD
834.500000
0.0000377
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
4
N
N
N
N
N
N
BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 4A1
07384MZV7
19156.890000
PA
USD
19539.310000
0.0008822
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
3.54042
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2005-4
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1
07386HSY8
151649.710000
PA
USD
150620.210000
0.0068005
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
3.50182
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2005-7
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1
07386HVS7
36414.170000
PA
USD
28755.920000
0.0012983
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
3.25119
Y
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2006-4
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 4 12A1
073871AC9
1400502.340000
PA
USD
1303303.420000
0.0588444
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
0.48813
Y
N
N
N
N
N
BEAR STEARNS ARM 2003-1
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 6A1
07384MTN2
230.590000
PA
USD
238.760000
0.0000108
Long
ABS-MBS
CORP
US
N
2
2033-04-25
Floating
4.01572
N
N
N
N
N
N
BEAR STEARNS ARM TRUST 2002-11
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A2
07384MSJ2
19.320000
PA
USD
17.490000
0.0000008
Long
ABS-MBS
CORP
US
N
2
2033-02-25
Floating
3.7512
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE7 2A1
07387VAC3
2037723.670000
PA
USD
1947399.530000
0.0879255
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Floating
1.09813
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 22A1
07389QAN8
235113.080000
PA
USD
164876.480000
0.0074442
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Fixed
2.56955
Y
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS JR SUBORDINA REGS 12/49 VAR
F1R15XK44
200000.000000
PA
USD
203625.000000
0.0091937
Long
DBT
CORP
FR
N
2
2021-03-30
Floating
7.625
N
N
N
N
N
N
BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD)
254900H06V5RMEB3KE72
BOC AVIATION LTD SR UNSECURED REGS 01/23 3.5
ACI10BM53
500000.000000
PA
USD
519017.250000
0.0234337
Long
DBT
CORP
SG
N
2
2023-01-31
Fixed
3.5
N
N
N
N
N
N
BRAZIL GOVT
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL SR UNSECURED 01/50 4.75
105756CB4
2644000.000000
PA
USD
2574290.940000
0.1162298
Long
DBT
NUSS
BR
N
2
2050-01-14
Fixed
4.75
N
N
N
N
N
N
CALIFORNIA STATE UNIVERSITY
N/A
CALIFORNIA ST UNIV REVENUE CASHGR 11/30 FIXED 6.434
13077CTM6
100000.000000
PA
USD
137140.000000
0.0061919
Long
DBT
MUN
US
N
2
2030-11-01
Fixed
6.434
N
N
N
N
N
N
CANADA GOVT
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT BONDS 12/48 2.75
135087D35
-17000000.000000
PA
-17899891.950000
-0.8081841
Short
DBT
NUSS
CA
N
2
2048-12-01
Fixed
2.75
N
N
N
N
N
N
CENTENE CORPORATION
549300Z7JJ4TQSQGT333
CENTENE CORP SR UNSECURED 12/29 4.625
15135BAT8
3000000.000000
PA
USD
3239865.000000
0.1462806
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.625
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 02/24 VAR
161175BP8
4600000.000000
PA
USD
4708722.610000
0.2125999
Long
DBT
CORP
US
N
2
2024-02-01
Floating
1.901
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 07/22 4.464
161175BB9
1100000.000000
PA
USD
1165095.660000
0.0526043
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
4.464
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 07/25 4.908
161175AY0
2300000.000000
PA
USD
2661258.330000
0.1201564
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.908
N
N
N
N
N
N
CHASEFLEX TRUST 2007-3
N/A
CHASEFLEX TRUST CFLX 2007 3 2A1
16165AAD6
407616.460000
PA
USD
360472.930000
0.0162754
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
0.44813
N
N
N
N
N
N
CHICAGO TRANSIT AUTHORITY SALES TAX RECEIPTS FUND
N/A
CHICAGO IL TRANSIT AUTH SALES CHITRN 12/40 FIXED 6.899
167725AF7
300000.000000
PA
USD
428343.000000
0.0193398
Long
DBT
MUN
US
N
2
2040-12-01
Fixed
6.899
N
N
N
N
N
N
CIFC FUNDING LTD 2015-5A
N/A
CIFC FUNDING LTD CIFC 2015 5A A1R 144A
12547UAL2
2171576.900000
PA
USD
2155185.510000
0.0973071
Long
ABS-CBDO
CORP
KY
N
2
2027-10-25
Floating
1.1045
N
N
N
N
N
N
CIT MTGE LOAN TRUST 2007-1
N/A
CIT MORTGAGE LOAN TRUST CITM 2007 1 1A 144A
12559QAA0
2107473.140000
PA
USD
2117154.450000
0.0955900
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Floating
1.49813
N
N
N
N
N
N
CIT MTGE LOAN TRUST 2007-1
N/A
CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A
12559QAF9
2600000.000000
PA
USD
2598596.260000
0.1173272
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Floating
1.64813
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC SR UNSECURED 06/24 VAR
172967LZ2
1000000.000000
PA
USD
1081089.420000
0.0488114
Long
DBT
CORP
US
N
2
2024-06-01
Floating
4.044
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC SR UNSECURED 06/24 VAR
172967MA6
3500000.000000
PA
USD
3520083.420000
0.1589325
Long
DBT
CORP
US
N
2
2024-06-01
Floating
1.269
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC3 A1 144A
17312EAA4
1179638.200000
PA
USD
1085891.170000
0.0490282
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.40813
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-10
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA
17313QAL2
2007033.470000
PA
USD
1933236.860000
0.0872861
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
3.35534
Y
N
N
N
N
N
CITIGROUP MTGE LOAN TRUST INC 2005-11
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A
17307GW79
7265.070000
PA
USD
7213.370000
0.0003257
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
2.53
N
N
N
N
N
N
CITY OF CHICAGO
T5UYO5SYLC8K73MJQX30
CHICAGO IL CHI 01/42 FIXED 7.75
167486D22
102000.000000
PA
USD
110410.920000
0.0049851
Long
DBT
MUN
US
N
2
2042-01-01
Fixed
7.75
N
N
N
N
N
N
COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR
N/A
COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR A 144A
12564NAA0
7075000.000000
PA
USD
6660472.920000
0.3007218
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
1.28138
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP COMPANY GUAR 10/25 3.95
20030NCS8
1479000.000000
PA
USD
1697975.610000
0.0766640
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.95
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA JR SUBORDINA REGS 12/49 VAR
BD2YKYII0
1600000.000000
PA
1938746.060000
0.0875348
Long
DBT
CORP
NL
N
2
2021-06-29
Floating
6.625
N
N
N
N
N
N
COUNTRYWIDE ALT LOAN TRUST 2003-J2
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2003 J2 A1
12669E4A1
9588.660000
PA
USD
9807.270000
0.0004428
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Fixed
6
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 65CB 2A6
12668AZ65
2702821.290000
PA
USD
2611677.290000
0.1179178
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN 2005-27
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 2A3
12667GN58
5878782.830000
PA
USD
5669380.590000
0.2559738
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
2.57929
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY11 A1
021466AA5
1795512.120000
PA
USD
1711657.750000
0.0772817
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
0.26813
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1
126694A32
3720003.550000
PA
USD
3153133.790000
0.1423647
Long
ABS-MBS
CORP
US
N
2
2046-03-20
Floating
0.36625
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA2
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA2 A5
126694S41
86743.880000
PA
USD
69609.960000
0.0031429
Long
ABS-MBS
CORP
US
N
2
2046-05-20
Floating
0.38625
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A1A
126680AA5
213682.050000
PA
USD
197110.450000
0.0088996
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
0.32813
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-27CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 27CB A1
12667FWU5
3594317.620000
PA
USD
3612179.940000
0.1630907
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Fixed
6
N
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERT 2007-QH1
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH1 A1 144A
12669HAA7
1060684.590000
PA
USD
974577.050000
0.0440024
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
0.34813
Y
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERTS 2006-20
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 2A3
12667HAD3
225794.660000
PA
USD
219339.350000
0.0099032
Long
ABS-MBS
CORP
US
N
2
2047-04-25
Floating
0.29813
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-12
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A
12667AAA4
1834579.310000
PA
USD
1722093.730000
0.0777529
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.27813
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-12
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 2A3
12667AAD8
5069882.820000
PA
USD
4910355.410000
0.2217036
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.40813
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-18
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 18 2A2
23243WAC2
190493.380000
PA
USD
189320.300000
0.0085479
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.30813
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-23
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 23 1A
12666CAA1
3511113.150000
PA
USD
3316836.240000
0.1497559
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
0.28813
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-24
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 1A
23243HAA9
1001110.160000
PA
USD
922224.080000
0.0416386
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
0.28813
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-5
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 5 1A
126670YE2
2149871.660000
PA
USD
2124346.230000
0.0959147
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
0.34813
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-1
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 2A3
23245CAD2
4332574.590000
PA
USD
4081213.780000
0.1842677
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
0.28813
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-10
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 10 2A4
23246BAK7
1600000.000000
PA
USD
1493241.760000
0.0674202
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
0.39813
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-9
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 2A4
12670FAE0
960000.000000
PA
USD
890743.200000
0.0402173
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.39813
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2004-HYB9
N/A
COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1
12669GHG9
45309.190000
PA
USD
45153.530000
0.0020387
Long
ABS-MBS
CORP
US
N
2
2035-02-20
Floating
3.59706
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-HYB9
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A
126670JY5
18314.430000
PA
USD
16057.560000
0.0007250
Long
ABS-MBS
CORP
US
N
2
2036-02-20
Floating
2.19525
Y
N
N
N
N
N
COUNTY OF CLARK DEPARTMENT OF AVIATION
549300LDD8NZB2EOVG83
CLARK CNTY NV ARPT REVENUE CLAAPT 07/45 FIXED 6.82
18085PMT8
100000.000000
PA
USD
165156.000000
0.0074568
Long
DBT
MUN
US
N
2
2045-07-01
Fixed
6.82
N
N
N
N
N
N
CREDIT BASED ASSET SRVC & SEC 2006-CB3
N/A
CREDIT BASED ASSET SERVICING A CBASS 2006 CB3 AV4
12489WQX5
6573436.590000
PA
USD
6259868.550000
0.2826345
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
0.40813
N
N
N
N
N
N
CREDIT BASED ASSET SRVC & SEC 2006-CB6
N/A
CREDIT BASED ASSET SERVICING A CBASS 2006 CB6 A24
14986PAE3
2000000.000000
PA
USD
1913164.200000
0.0863798
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.39813
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR
225401AJ7
1600000.000000
PA
USD
1692496.000000
0.0764166
Long
DBT
CORP
CH
N
2
2023-07-17
Floating
7.5
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG JR SUBORDINA 144A VAR
225401AL2
1700000.000000
PA
USD
1818294.500000
0.0820964
Long
DBT
CORP
CH
N
2
2026-08-21
Floating
6.375
N
N
N
N
N
N
CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED
549300PXR5FKNXF0OH19
CRED SUIS GP FUN LTD COMPANY GUAR 03/25 3.75
225433AC5
600000.000000
PA
USD
665564.420000
0.0300504
Long
DBT
CORP
GG
N
2
2025-03-26
Fixed
3.75
N
N
N
N
N
N
CS FIRST BOSTON MTGE SEC CORP 2001-HE17
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1
22540A7A0
5731.480000
PA
USD
5522.170000
0.0002493
Long
ABS-MBS
CORP
US
N
2
2032-01-25
Floating
0.76813
N
N
N
N
N
N
GENERAL MOTORS COMPANY
54930070NSV60J38I987
ESCROW GM CORP SR
370ESC733
40000.000000
NS
USD
0.040000
0.0000000
Long
EP
CORP
DE
N
3
N
N
N
CSN RESOURCES SA
222100ZEX458NMOXZP08
CSN RESOURCES SA COMPANY GUAR 144A 02/23 7.625
12644VAB4
450000.000000
PA
USD
466317.000000
0.0210543
Long
DBT
CORP
LU
N
2
2023-02-13
Fixed
7.625
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE FUNDING LLC COMPANY GUAR 144A 11/21 5.25
23371DAD6
200000.000000
PA
USD
203000.000000
0.0091655
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
5.25
N
N
N
N
N
N
DAIMLER FINANCE NORTH AMERICA LLC
549300423Z16BB673J12
DAIMLER FINANCE NA LLC COMPANY GUAR 144A 02/22 VAR
233851DV3
2850000.000000
PA
USD
2866133.990000
0.1294066
Long
DBT
CORP
US
N
2
2022-02-15
Floating
1.18013
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S SR UNSECURED 144A 09/23 VAR
23636AAQ4
1400000.000000
PA
USD
1389806.740000
0.0627501
Long
DBT
CORP
DK
N
2
2023-09-12
Floating
1.30913
N
N
N
N
N
N
DELTA AIR LINES INC / SKYMILES IP LTD
N/A
DELTA AIR LINES/SKYMILES SR SECURED 144A 10/25 4.5
830867AA5
1400000.000000
PA
USD
1437961.740000
0.0649243
Long
DBT
CORP
US
N
2
2025-10-20
Fixed
4.5
N
N
N
N
N
N
DEUTSCHE ALT-A SEC INC MTGE LO 2005-1
N/A
DEUTSCHE ALT A SECURITIES INC DBALT 2005 1 1A4
251510DG5
238083.130000
PA
USD
228488.550000
0.0103163
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
0.64813
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG SR UNSECURED 10/21 4.25
251541AQ1
100000.000000
PA
USD
102848.250000
0.0046436
Long
DBT
CORP
DE
N
2
2021-10-14
Fixed
4.25
N
N
N
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK NY SR UNSECURED 02/23 VAR
251526BS7
5000000.000000
PA
USD
4918703.850000
0.2220806
Long
DBT
CORP
DE
N
2
2023-02-27
Floating
1.481
N
N
N
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK NY SR UNSECURED 09/31 VAR
251526CD9
500000.000000
PA
USD
503487.820000
0.0227326
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
DEUTSCHE BANK NY SR UNSECURED 10/21 4.25
251526BX6
4400000.000000
PA
USD
4525322.910000
0.2043193
Long
DBT
CORP
DE
N
2
2021-10-14
Fixed
4.25
N
N
N
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK NY SR UNSECURED 11/25 VAR
251526CB3
6300000.000000
PA
USD
6704121.880000
0.3026926
Long
DBT
CORP
DE
N
2
2025-11-26
Floating
3.961
N
N
N
N
N
N
ECMC GROUP STUDENT LOAN TRUST 2019-1A
N/A
ECMC GROUP STUDENT LOAN TRUST ECMC 2019 1A A1B 144A
26829XAB7
2355663.070000
PA
USD
2334993.300000
0.1054255
Long
ABS-O
CORP
US
N
2
2069-07-25
Floating
1.14813
N
N
N
N
N
N
ELLINGTON LOAN ACQUISITION TRUST 2007-1
N/A
ELLINGTON LOAN ACQUISITION TRU ELAT 2007 1 A1 144A
288542AA1
1445868.420000
PA
USD
1436459.290000
0.0648565
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
1.24813
N
N
N
N
N
N
EQUITABLE HOLDINGS INC
549300FIBAKMNHPZ4009
EQUITABLE HOLDINGS INC SR UNSECURED 04/28 4.35
054561AJ4
1200000.000000
PA
USD
1368106.670000
0.0617703
Long
DBT
CORP
US
N
2
2028-04-20
Fixed
4.35
N
N
N
N
N
N
EURO-GALAXY V CLO BV 16-5A
N/A
EURO GALAXY CLO BV EGLXY 2016 5A ARV 144A
ACI1DMHB8
1300000.000000
PA
1520395.510000
0.0686462
Long
ABS-CBDO
CORP
NL
N
2
2030-11-10
Floating
0.82
N
N
N
N
N
N
EUROPEAN LOAN CONDUIT 36A
N/A
EUROPEAN LOAN CONDUIT EURO 36A A1 144A
ACI1G9KP9
3596272.670000
PA
4181166.260000
0.1887806
Long
ABS-MBS
CORP
IE
N
2
2030-02-17
Floating
1
N
N
N
N
N
N
FAIRFAX FINANCIAL HOLDINGS LIMITED
GLS7OQD0WOEDI8YAP031
FAIRFAX FINL HLDGS LTD SR UNSECURED 144A 03/28 2.75
BD9MMZII4
1100000.000000
PA
1340811.800000
0.0605380
Long
DBT
CORP
CA
N
2
2028-03-29
Fixed
2.75
N
N
N
N
N
N
FANNIE MAE 2003-25
N/A
FANNIE MAE FNR 2003 25 KP
31393APU5
1734.160000
PA
USD
1980.200000
0.0000894
Long
ABS-MBS
USGSE
US
N
2
2033-04-25
Fixed
5
N
N
N
N
N
N
FANNIE MAE 2005-79
N/A
FANNIE MAE FNR 2005 79 NF
31394FHD0
118976.910000
PA
USD
119765.040000
0.0054074
Long
ABS-MBS
USGSE
US
N
2
2035-09-25
Floating
0.55813
N
N
N
N
N
N
FANNIE MAE 2006-118
N/A
FANNIE MAE FNR 2006 118 A1
31396L4R8
11396.140000
PA
USD
11334.030000
0.0005117
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
Floating
0.23513
N
N
N
N
N
N
FANNIE MAE 2006-5
N/A
FANNIE MAE FNR 2006 5 3A2
31394VL73
4674.800000
PA
USD
4768.480000
0.0002153
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Floating
3.14123
N
N
N
N
N
N
FANNIE MAE 2007-63
N/A
FANNIE MAE FNR 2007 63 FC
31396WTU0
15853.350000
PA
USD
15904.330000
0.0007181
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
0.49813
N
N
N
N
N
N
FANNIE MAE 2007-65
N/A
FANNIE MAE FNR 2007 65 KF
31396WLX2
25923.300000
PA
USD
26087.210000
0.0011778
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
0.52813
N
N
N
N
N
N
FANNIE MAE 2007-96
N/A
FANNIE MAE FNR 2007 96 AF
31396XNT7
178192.220000
PA
USD
181594.050000
0.0081990
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Floating
0.86813
N
N
N
N
N
N
FANNIE MAE 2009-106
N/A
FANNIE MAE FNR 2009 106 FA
31398GUJ6
458461.480000
PA
USD
467254.950000
0.0210967
Long
ABS-MBS
USGSE
US
N
2
2040-01-25
Floating
0.89813
N
N
N
N
N
N
FANNIE MAE REMICS 2012-71
N/A
FANNIE MAE FNR 2012 71 LZ
3136A6Z31
5661485.210000
PA
USD
6835134.870000
0.3086079
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Fixed
3.75
N
N
N
N
N
N
FANNIE MAE-2005-75
N/A
FANNIE MAE FNR 2005 75 AF
31394FAF2
62173.230000
PA
USD
62609.130000
0.0028268
Long
ABS-MBS
USGSE
US
N
2
2035-09-25
Floating
0.54813
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2004-W2
N/A
FANNIEMAE WHOLE LOAN FNW 2004 W2 5AF
31393XGV3
57488.890000
PA
USD
57614.220000
0.0026013
Long
ABS-MBS
USGSE
US
N
2
2044-03-25
Floating
0.49813
N
N
N
N
N
N
FCE BANK PLC
TU5V87TL5Q0UV1EW4H93
FCE BANK PLC SR UNSECURED REGS 09/21 0.869
ACI0RTLT6
1500000.000000
PA
1727319.250000
0.0779888
Long
DBT
CORP
GB
N
2
2021-09-13
Fixed
0.869
N
N
N
N
N
N
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FANNIE MAE)
B1V7KEBTPIMZEU4LTD58
FANNIE MAE NOTES 08/25 0.375
3135G05X7
44800000.000000
PA
USD
44670271.740000
2.0168727
Long
DBT
USGSE
US
N
2
2025-08-25
Fixed
0.375
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 781296 FH 03/34 FLOATING VAR
31349SNM1
47995.500000
PA
USD
50771.430000
0.0022923
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Floating
3.735
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91239 FG 03/29 FIXED 4.5
3128P7LU5
27099.370000
PA
USD
29536.970000
0.0013336
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
4.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G05956 FG 07/38 FIXED 5.5
3128M75R3
22286.440000
PA
USD
25890.990000
0.0011690
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G08789 FG 11/47 FIXED 4
3128MJ2X7
1678130.030000
PA
USD
1800991.550000
0.0813152
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO JR SUBORDINA 12/49 VAR
46625HHA1
1227000.000000
NS
USD
1177294.250000
0.0531551
Long
EP
CORP
US
N
2
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q52981 FG 12/47 FIXED 4
3132XVJ38
3378273.160000
PA
USD
3615469.590000
0.1632393
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q53756 FG 01/48 FIXED 4
3132XWE64
1258519.890000
PA
USD
1347102.360000
0.0608220
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4
N
N
N
N
N
N
FHLMC STRUCTURED PASS THROUGH SEC T-63
N/A
FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1
31395M2F5
10619.930000
PA
USD
10795.140000
0.0004874
Long
ABS-MBS
USGSE
US
N
2
2045-02-25
Floating
2.5225
N
N
N
N
N
N
FIRST HORIZON MTGE PASS-THRU TR 2005-AR3
N/A
FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR3 2A1
32051GQL2
30740.240000
PA
USD
26040.910000
0.0011758
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
3.0944
Y
N
N
N
N
N
FIRST NLC TRUST 2005-4
N/A
FIRST NLC TRUST FNLC 2005 4 M1
32113JCH6
14622000.000000
PA
USD
11863447.110000
0.5356373
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.63813
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FIRSTENERGY CORP SR UNSECURED 07/22 2.85
337932AG2
800000.000000
PA
USD
820478.940000
0.0370448
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
2.85
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 190372 FN 08/36 FIXED VAR
31368HMV2
45044.190000
PA
USD
53365.560000
0.0024095
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 357515 FN 03/34 FIXED 5.5
31376KDU7
3021.310000
PA
USD
3495.280000
0.0001578
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 544860 FN 09/34 FLOATING VAR
31385HJD5
1413.020000
PA
USD
1486.420000
0.0000671
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Floating
5.016
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 544861 FN 12/36 FLOATING VAR
31385HJE3
2723.250000
PA
USD
2860.020000
0.0001291
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Floating
4.096
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 545204 FN 05/36 FLOATING VAR
31385HU59
499.460000
PA
USD
516.930000
0.0000233
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Floating
3.363
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 701305 FN 06/33 FLOATING VAR
31400YDJ2
99848.360000
PA
USD
100508.910000
0.0045380
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Floating
3.804
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 724254 FN 08/33 FLOATING VAR
31402BTK0
5408.000000
PA
USD
5483.340000
0.0002476
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Floating
2.519
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 745308 FN 01/36 FLOATING VAR
31403DAH2
12520.500000
PA
USD
12617.230000
0.0005697
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Floating
3.399
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 748077 FN 09/33 FLOATING VAR
31403GCN0
6260.880000
PA
USD
6296.940000
0.0002843
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Floating
2.455
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 795297 FN 07/44 FLOATING VAR
31405PRS1
9576.190000
PA
USD
9623.260000
0.0004345
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Floating
2.22
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 813035 FN 04/35 FIXED 5.5
31406LHL5
36719.920000
PA
USD
42348.670000
0.0019121
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 826481 FN 07/35 FIXED 5.5
31407CFW2
46910.320000
PA
USD
54909.170000
0.0024792
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 843096 FN 10/35 FIXED 6.5
31407WUV3
128896.370000
PA
USD
144280.640000
0.0065143
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 888029 FN 12/36 FIXED VAR
31410FSS5
2694.460000
PA
USD
3183.850000
0.0001438
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 894117 FN 10/36 FIXED 6.5
31410QK67
18743.400000
PA
USD
21593.330000
0.0009749
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 898564 FN 10/36 FIXED 6
31410VJH4
955.390000
PA
USD
1099.980000
0.0000497
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 976968 FN 02/38 FIXED 6
31414UZ92
32072.400000
PA
USD
37761.020000
0.0017049
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL1983 FN 05/22 VARIABLE
3138EJFZ6
663838.410000
PA
USD
678179.010000
0.0306199
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
3.155
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AM0359 FN 08/22 FIXED 2.31
3138L0MH1
97856.780000
PA
USD
100227.160000
0.0045253
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
2.31
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BJ0163 FN 12/47 FIXED 3.5
3140H1FD7
1267902.570000
PA
USD
1342674.160000
0.0606220
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BJ2692 FN 04/48 FIXED 3.5
3140H37E0
1181080.830000
PA
USD
1251034.040000
0.0564845
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BM5807 FN 04/48 FIXED VAR
3140JANZ7
4601661.140000
PA
USD
4869706.750000
0.2198683
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3238 FN 01/48 FIXED 3.5
31418CS47
1769942.980000
PA
USD
1871753.760000
0.0845101
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3276 FN 02/48 FIXED 3.5
31418CUA0
1442964.110000
PA
USD
1527298.840000
0.0689579
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3305 FN 03/48 FIXED 3.5
31418CU77
31714567.230000
PA
USD
33549334.860000
1.5147599
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3356 FN 05/48 FIXED 3.5
31418CWS9
535033.000000
PA
USD
564897.610000
0.0255053
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3383 FN 06/48 FIXED 3.5
31418CXM1
1467304.960000
PA
USD
1545769.640000
0.0697918
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3414 FN 07/48 FIXED 3.5
31418CYL2
995368.510000
PA
USD
1048866.100000
0.0473565
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3442 FN 08/48 FIXED 3.5
31418CZG2
919578.930000
PA
USD
969719.720000
0.0437831
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
3.5
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 01/21 VAR
345397ZL0
3000000.000000
PA
USD
2989368.360000
0.1349706
Long
DBT
CORP
US
N
2
2021-01-07
Floating
2.82588
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 01/23 3.087
345397A29
1600000.000000
PA
USD
1571168.000000
0.0709386
Long
DBT
CORP
US
N
2
2023-01-09
Fixed
3.087
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 05/21 VAR
ACI12NHY8
200000.000000
PA
230571.630000
0.0104104
Long
DBT
CORP
US
N
2
2021-05-14
Floating
0.000001
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 10/22 3.55
34540XAB9
900000.000000
PA
USD
892687.500000
0.0403050
Long
DBT
CORP
US
N
2
2022-10-07
Fixed
3.55
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 12/21 VAR
ACI0Z5583
200000.000000
PA
226661.040000
0.0102338
Long
DBT
CORP
US
N
2
2021-12-01
Floating
0.000001
N
N
N
N
N
N
FREDDIE MAC 3355
N/A
FREDDIE MAC FHR 3355 BF
31397KC90
107802.590000
PA
USD
110243.680000
0.0049775
Long
ABS-MBS
USGSE
US
N
2
2037-08-15
Floating
0.85238
N
N
N
N
N
N
FREDDIE MAC 3360
N/A
FREDDIE MAC FHR 3360 FC
31397KE31
57543.230000
PA
USD
58635.950000
0.0026474
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
Floating
0.87238
N
N
N
N
N
N
FREDDIE MAC 3368
N/A
FREDDIE MAC FHR 3368 AF
31397KL82
68500.890000
PA
USD
69592.810000
0.0031421
Long
ABS-MBS
USGSE
US
N
2
2037-09-15
Floating
0.87238
N
N
N
N
N
N
FREDDIE MAC 3898
N/A
FREDDIE MAC FHR 3898 AF
3137ADX44
71858.340000
PA
USD
72646.680000
0.0032800
Long
ABS-MBS
USGSE
US
N
2
2041-06-15
Floating
0.72238
N
N
N
N
N
N
FREDDIE MAC REMICS 3376
N/A
FREDDIE MAC FHR 3376 FD
31397KZG9
19730.980000
PA
USD
20076.680000
0.0009065
Long
ABS-MBS
USGSE
US
N
2
2037-10-15
Floating
0.86238
N
N
N
N
N
N
FREMONT HOME LOAN TRUST 2006-E
N/A
FREMONT HOME LOAN TRUST FHLT 2006 E 2A1
35729NAB1
7785.010000
PA
USD
4284.020000
0.0001934
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.20813
N
N
N
N
N
N
PIMCO FUNDS
549300F9QJIJF2GM8419
PIMCO ST FLOATING NAV PORT IV MUTUAL FUND
000000000
34340777.070000
PA
USD
343854200.770000
15.5250936
Long
STIV
RF
US
N
1
N
N
N
GLS AUTO RECEIVABLES TRUST 2019-3A
N/A
GLS AUTO RECEIVABLES TRUST GCAR 2019 3A A 144A
36258AAA8
2184253.100000
PA
USD
2208422.300000
0.0997108
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
2.58
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST 2020-1A
N/A
GLS AUTO RECEIVABLES TRUST GCAR 2020 1A A 144A
36258XAA8
4027138.920000
PA
USD
4074876.220000
0.1839816
Long
ABS-O
CORP
US
N
2
2024-02-15
Fixed
2.17
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080054 G2 03/27 FLOATING VAR
36225CBY1
582.430000
PA
USD
591.270000
0.0000267
Long
ABS-MBS
USGSE
US
N
2
2027-03-20
Floating
3
N
N
N
N
N
N
PIMCO FUNDS
LWVQWTQCFH3YG7CVH718
PIMCO PRV SHORT TERM FLT III MUTUAL FUND
000000000
35425499.550000
PA
USD
349330851.050000
15.7723656
Long
STIV
RF
US
N
1
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA2391 G2 11/44 FLOATING VAR
36179QUQ2
1666978.020000
PA
USD
1735084.440000
0.0783394
Long
ABS-MBS
USGSE
US
N
2
2044-11-20
Floating
3.125
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II TBA 30 YR 5 JUMBOS
21H0506A5
6000000.000000
PA
USD
6532265.640000
0.2949332
Long
ABS-MBS
USGSE
US
N
2
2050-10-21
Fixed
5
N
N
N
N
N
N
AT&T MOBILITY II LLC
N/A
AT+T MOBILITY II LLC PREFERRED STOCK 7
04651L206
700035.000000
NS
USD
18937163.410000
0.8550171
Long
EP
CORP
US
Y
3
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 527150 GN 02/30 FIXED 8
36211YTF1
179.770000
PA
USD
185.710000
0.0000084
Long
ABS-MBS
USGSE
US
N
2
2030-02-15
Fixed
8
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 651787 GN 04/36 FIXED 5
36292LCY8
16269.190000
PA
USD
18635.590000
0.0008414
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 677219 GN 08/38 FIXED 5
36295QK82
262148.380000
PA
USD
294030.150000
0.0132755
Long
ABS-MBS
USGSE
US
N
2
2038-08-15
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 685882 GN 05/38 FIXED 5
36296A6T6
18783.200000
PA
USD
21205.850000
0.0009574
Long
ABS-MBS
USGSE
US
N
2
2038-05-15
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 692340 GN 02/39 FIXED 5
36296JEM3
168392.670000
PA
USD
192926.550000
0.0087107
Long
ABS-MBS
USGSE
US
N
2
2039-02-15
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 692374 GN 02/39 FIXED 5
36296JFP5
44470.780000
PA
USD
50998.030000
0.0023026
Long
ABS-MBS
USGSE
US
N
2
2039-02-15
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 706707 GN 02/39 FIXED 5
36297BDL2
1784.110000
PA
USD
1962.850000
0.0000886
Long
ABS-MBS
USGSE
US
N
2
2039-02-15
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 717943 GN 09/39 FIXED 5
3620A3S88
62474.770000
PA
USD
70801.480000
0.0031967
Long
ABS-MBS
USGSE
US
N
2
2039-09-15
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 782528 GN 01/39 FIXED 5
36241KYZ5
71392.890000
PA
USD
81753.800000
0.0036912
Long
ABS-MBS
USGSE
US
N
2
2039-01-15
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 782562 GN 02/39 FIXED 5
36241KZ35
358959.030000
PA
USD
411065.410000
0.0185597
Long
ABS-MBS
USGSE
US
N
2
2039-02-15
Fixed
5
N
N
N
N
N
N
GOLDENTTREE LOAN MANAGEMENT US CLO 1 LTD 2017-1A
N/A
GOLDENTREE LOAN MANAGEMENT US GLM 2017 1A AR 144A
38136FAU7
5500000.000000
PA
USD
5478383.680000
0.2473502
Long
ABS-CBDO
CORP
KY
N
2
2029-04-20
Floating
1.22175
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC SR UNSECURED 11/21 VAR
38145GAF7
2100000.000000
PA
USD
2102629.680000
0.0949342
Long
DBT
CORP
US
N
2
2021-11-15
Floating
1.45013
N
N
N
N
N
N
GRIFONAS FINANCE NO.1 PLC GRIF-1
N/A
GRIFONAS FINANCE PLC GRIF 1 A REGS
B1DFQWII3
149701.200000
PA
166181.820000
0.0075031
Long
ABS-MBS
CORP
GB
N
2
2039-08-28
Floating
0
N
N
N
N
N
N
GSMPS MORTGAGE LOAN TRUST 2006-RP1
N/A
GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP1 1AF2 144A
3623413V9
1934525.380000
PA
USD
1575555.620000
0.0711367
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.49813
Y
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2005-AR7
N/A
GSR MORTGAGE LOAN TRUST GSR 2005 AR7 5A1
362341XE4
121056.810000
PA
USD
116729.380000
0.0052704
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
3.56756
Y
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2005-AR7
N/A
GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1
362341XG9
25672.370000
PA
USD
25312.800000
0.0011429
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
3.35028
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2007-2F
N/A
GSR MORTGAGE LOAN TRUST GSR 2007 2F 3A3
362636AT9
23817.960000
PA
USD
19474.750000
0.0008793
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
6
Y
N
N
N
N
N
GSR MTGE LOAN TRUST 2003-2F
N/A
GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1
36228FNB8
245.820000
PA
USD
262.640000
0.0000119
Long
ABS-MBS
CORP
US
N
2
2032-03-25
Fixed
6
N
N
N
N
N
N
GSR MTGE LOAN TRUST 2004-7
N/A
GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1
36228F4P8
27561.640000
PA
USD
26539.350000
0.0011983
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
2.90449
N
N
N
N
N
N
HALCYON LOAN ADVISORS FUNDING 2014-3 LTD
N/A
HALCYON LOAN ADVISORS FUNDING HLA 2014 3A AR 144A
40538FAQ6
156516.960000
PA
USD
156351.990000
0.0070593
Long
ABS-CBDO
CORP
KY
N
2
2025-10-22
Floating
1.35775
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2005-2
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A
41161PLR2
886735.690000
PA
USD
827214.090000
0.0373489
Long
ABS-MBS
CORP
US
N
2
2035-05-19
Floating
0.59625
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2006-12
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 1A1A
41162DAA7
1254883.560000
PA
USD
1105081.080000
0.0498947
Long
ABS-MBS
CORP
US
N
2
2036-12-19
Floating
0.36125
N
N
N
N
N
N
HAWKSMOOR MORTGAGES 19-1A
N/A
HAWKSMOOR MORTGAGES PLC HWKSM 2019 1A A 144A
ACI1DHFV7
9246205.030000
PA
11935256.210000
0.5388795
Long
ABS-MBS
CORP
GB
N
2
2053-05-25
Floating
1.1122
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR
404280BP3
200000.000000
PA
USD
212537.000000
0.0095961
Long
DBT
CORP
GB
N
2
2028-03-23
Floating
6.5
N
N
N
N
Y
HSBC HOLDINGS PLC
HSBC HOLDINGS PLC
GBP
XXXX
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 03/26 4.3
404280AW9
600000.000000
PA
USD
677367.880000
0.0305833
Long
DBT
CORP
GB
N
2
2026-03-08
Fixed
4.3
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 05/24 VAR
404280BR9
600000.000000
PA
USD
598082.510000
0.0270036
Long
DBT
CORP
GB
N
2
2024-05-18
Floating
1.27038
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 05/30 VAR
BJ0297II1
2700000.000000
PA
3722979.700000
0.1680934
Long
DBT
CORP
GB
N
2
2030-05-29
Floating
3
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 06/31 VAR
404280CH0
300000.000000
PA
USD
311192.170000
0.0140504
Long
DBT
CORP
GB
N
2
2031-06-04
Floating
2.848
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 09/26 VAR
404280BX6
1300000.000000
PA
USD
1449213.310000
0.0654323
Long
DBT
CORP
GB
N
2
2026-09-12
Floating
4.292
N
N
N
N
N
N
HSI ASSET SECUR CORP TRUST 2007-OPT1
N/A
HSI ASSET SECURITIZATION CORPO HASC 2007 OPT1 2A3
40431JAD5
8884400.090000
PA
USD
7603888.840000
0.3433173
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.29813
N
N
N
N
N
N
ILLINOIS MUNICIPAL ELECTRIC AGENCY
N/A
ILLINOIS ST MUNI ELEC AGY PWR ILSPWR 02/35 FIXED 6.832
452024GT3
200000.000000
PA
USD
277668.000000
0.0125368
Long
DBT
MUN
US
N
2
2035-02-01
Fixed
6.832
N
N
N
N
N
N
IMPAC CMB TRUST 2003-9F
N/A
IMPAC CMB TRUST IMM 2003 9F A1
45254NFL6
10076.480000
PA
USD
9720.500000
0.0004389
Long
ABS-MBS
CORP
US
N
2
2033-07-25
Floating
1.14813
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/24 3.125
45262BAA1
5800000.000000
PA
USD
6139903.030000
0.2772180
Long
DBT
CORP
GB
N
2
2024-07-26
Fixed
3.125
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/26 3.5
45262BAB9
400000.000000
PA
USD
433300.220000
0.0195636
Long
DBT
CORP
GB
N
2
2026-07-26
Fixed
3.5
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TR 2006-AR12
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A1
45661VAA4
272595.470000
PA
USD
246436.880000
0.0111267
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
0.33813
N
N
N
N
N
N
INEOS FINANCE PLC
2138002D68XDR4LZCG32
INEOS FINANCE PLC SR SECURED REGS 11/25 2.125
ACI0YJHL2
2000000.000000
PA
2227051.930000
0.1005519
Long
DBT
CORP
GB
N
2
2025-11-15
Fixed
2.125
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING GROEP NV JR SUBORDINA VAR
456837AR4
1100000.000000
PA
USD
1143543.500000
0.0516312
Long
DBT
CORP
NL
N
2
2026-11-16
Floating
5.75
N
N
N
N
Y
ING GROEP NV
ING GROEP NV
EUR
XXXX
N
N
N
INTERCONTINENTAL HOTELS GROUP PLC
2138007ZFQYRUSLU3J98
INTERCONTINENTAL HOTELS COMPANY GUAR REGS 08/26 2.125
ACI0P88L6
400000.000000
PA
487160.510000
0.0219954
Long
DBT
CORP
GB
N
2
2026-08-24
Fixed
2.125
N
N
N
N
N
N
ISRAEL GOVT
213800T8ZHTFZIBYPE21
STATE OF ISRAEL SR UNSECURED 01/48 4.125
46513YJJ8
700000.000000
PA
USD
888629.000000
0.0401218
Long
DBT
NUSS
IL
N
2
2048-01-17
Fixed
4.125
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A
46651QAA5
2300000.000000
PA
USD
2230734.120000
0.1007181
Long
ABS-MBS
CORP
US
N
2
2031-12-15
Floating
1.60238
N
N
N
N
N
N
JAPAN GOVT
353800WZS8AXZXFUC241
JAPAN GOVT CPI LINKED BONDS 03/28 0.1
ACI12NZL6
7002043600.000000
PA
66325715.230000
2.9946208
Long
DBT
NUSS
JP
N
2
2028-03-10
Fixed
0.1
N
N
N
N
N
N
JAPAN GOVT
353800WZS8AXZXFUC241
JAPAN GOVT CPI LINKED BONDS 03/29 0.1
ACI1BXN03
3827725794.000000
PA
36293801.680000
1.6386732
Long
DBT
NUSS
JP
N
2
2029-03-10
Fixed
0.1
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO SR UNSECURED 07/24 VAR
46647PAU0
1200000.000000
PA
USD
1300718.060000
0.0587277
Long
DBT
CORP
US
N
2
2024-07-23
Floating
3.797
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO SR UNSECURED 07/24 VAR
46647PAW6
4100000.000000
PA
USD
4135942.770000
0.1867387
Long
DBT
CORP
US
N
2
2024-07-23
Floating
1.1455
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2020-NNN
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 NNN AFL 144A
46652BAA7
3600000.000000
PA
USD
3542726.160000
0.1599549
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Floating
1.01213
N
N
N
N
N
N
JP MORGAN MORTGAGE ACQI CORP 2006-CW2
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CW2 MV1
46629BAT6
1100000.000000
PA
USD
986705.170000
0.0445500
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
0.41813
N
N
N
N
N
N
JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A1
46628TAA9
1385939.690000
PA
USD
1180387.090000
0.0532947
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.28313
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2005-A8
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 1A1
466247YH0
69176.410000
PA
USD
63005.670000
0.0028447
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
3.63446
Y
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2005-S3
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2
466247ZP1
26786.200000
PA
USD
19337.800000
0.0008731
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
5.75
Y
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2006-A2
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 4A1
466247K51
279256.060000
PA
USD
285772.840000
0.0129027
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Fixed
3.07595
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2007-A1
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 5A1
46630GAR6
439959.770000
PA
USD
432342.440000
0.0195204
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
3.60399
N
N
N
N
N
N
JP MORGAN MTGE ACQUIS CORP 2007-CH3
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 M1
46630XAG3
5503293.000000
PA
USD
5070402.870000
0.2289298
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.44813
N
N
N
N
N
N
STICHTING AK RABOBANK CERTIFICATEN
DG3RU1DBUFHT4ZF9WN62
STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 0.0000
BJBQCWII7
480000.000000
NS
672033.200000
0.0303424
Long
EP
CORP
NL
N
2
N
N
N
KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO)
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO COMPANY GUAR 144A 04/30 3.75
50077LAU0
1200000.000000
PA
USD
1268737.720000
0.0572838
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.75
N
N
N
N
N
N
LEGACY MORTGAGE ASSET TRUST 2019-GS6
N/A
LEGACY MORTGAGE ASSET TRUST LMAT 2019 GS6 A1 144A
52474VAA7
2288499.160000
PA
USD
2300325.670000
0.1038602
Long
ABS-MBS
CORP
US
N
2
2059-06-25
Fixed
3
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC JR SUBORDINA 12/99 VAR
539439AU3
1100000.000000
PA
USD
1171988.930000
0.0529156
Long
DBT
CORP
GB
N
2
2025-09-27
Floating
7.5
N
N
N
N
Y
LLOYDS BANKING GROUP PLC
LLOYDS BANKING GROUP PLC
GBP
XXXX
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR
ACI080964
200000.000000
PA
232672.420000
0.0105052
Long
DBT
CORP
GB
N
2
2025-06-27
Floating
4.947
N
N
N
N
Y
LLOYDS BANKING GROUP PLC
LLOYDS BANKING GROUP PLC
GBP
XXXX
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC SR UNSECURED 03/23 VAR
53944YAK9
800000.000000
PA
USD
822714.470000
0.0371457
Long
DBT
CORP
GB
N
2
2023-03-17
Floating
2.858
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC SR UNSECURED 06/21 VAR
53944YAG8
2300000.000000
PA
USD
2309374.000000
0.1042687
Long
DBT
CORP
GB
N
2
2021-06-21
Floating
1.02738
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC SR UNSECURED 08/23 4.05
539439AS8
2600000.000000
PA
USD
2822927.820000
0.1274558
Long
DBT
CORP
GB
N
2
2023-08-16
Fixed
4.05
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC SR UNSECURED 08/28 4.55
539439AT6
2500000.000000
PA
USD
2949342.750000
0.1331635
Long
DBT
CORP
GB
N
2
2028-08-16
Fixed
4.55
N
N
N
N
N
N
LONDON WALL MORTGAGE CAPITAL PLC 17-FL1
N/A
LONDON WALL MORTGAGE CAPITAL LWMC 2017 FL1 A REGS
ACI0WP8J5
654206.670000
PA
841875.850000
0.0380109
Long
ABS-MBS
CORP
GB
N
2
2049-11-15
Floating
0.92338
N
N
N
N
N
N
LONG BEACH MORTGAGE LOAN TR 2005-3
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 3 2A3
542514NW0
2933864.620000
PA
USD
2923741.610000
0.1320076
Long
ABS-MBS
CORP
US
N
2
2045-08-25
Floating
0.90813
N
N
N
N
N
N
LONG BEACH MTGE LOAN TRUST 2004-4
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1
542514HN7
12369.070000
PA
USD
11804.590000
0.0005330
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
0.70813
N
N
N
N
N
N
MACKAY SHIELDS EURO CLO-2 DAC 2A
N/A
MACKAY SHIELDS EURO CLO MKSE 2A A 144A
ACI1NGXC0
900000.000000
PA
1061298.890000
0.0479179
Long
ABS-CBDO
CORP
IE
N
2
2033-08-15
Floating
1.55
N
N
N
N
N
N
MASTR ASSET BACKED SEC TR 2006-HE5
N/A
MASTR ASSET BACKED SECURITIES MABS 2006 HE5 A2
576455AB5
9642475.280000
PA
USD
7172121.330000
0.3238229
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.24813
N
N
N
N
N
N
MCDONALDS CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD S CORP SR UNSECURED 10/21 VAR
58013MFG4
600000.000000
PA
USD
601819.470000
0.0271723
Long
DBT
CORP
US
N
2
2021-10-28
Floating
0.67675
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE INVESTORS 2003-A1
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A1 3A
589929F37
863.980000
PA
USD
829.390000
0.0000374
Long
ABS-MBS
CORP
US
N
2
2032-12-25
Floating
1.80988
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE INVS 2005-A10
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A10 A
59020UZ65
39714.370000
PA
USD
38804.620000
0.0017520
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.35813
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE INVS 2005-A2
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A2 A2
59020USJ5
419404.150000
PA
USD
431775.860000
0.0194948
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
3.7759
N
N
N
N
N
N
MF1 2019-FL2 LTD
N/A
MF1 2019 FL2 LTD. MF1 2019 FL2 A 144A
55282LAA4
5200000.000000
PA
USD
5131792.640000
0.2317016
Long
ABS-MBS
CORP
KY
N
2
2034-12-25
Floating
1.27813
N
N
N
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
MICRON TECHNOLOGY INC SR UNSECURED 02/27 4.185
595112BP7
1500000.000000
PA
USD
1705707.150000
0.0770131
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.185
N
N
N
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
MICRON TECHNOLOGY INC SR UNSECURED 02/29 5.327
595112BN2
1300000.000000
PA
USD
1564651.020000
0.0706443
Long
DBT
CORP
US
N
2
2029-02-06
Fixed
5.327
N
N
N
N
N
N
MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FIN GRP SR UNSECURED 07/22 2.623
606822BL7
2800000.000000
PA
USD
2904004.800000
0.1311165
Long
DBT
CORP
JP
N
2
2022-07-18
Fixed
2.623
N
N
N
N
N
N
MLCC MORTGAGE INVESTORS INC 2005-3
N/A
MLCC MORTGAGE INVESTORS INC MLCC 2005 3 5A
59020UL78
19728.070000
PA
USD
18883.220000
0.0008526
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.39813
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY SR UNSECURED 04/24 3.875
61746BDQ6
600000.000000
PA
USD
661736.010000
0.0298775
Long
DBT
CORP
US
N
2
2024-04-29
Fixed
3.875
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY SR UNSECURED 10/23 VAR
61746BEC6
400000.000000
PA
USD
406633.470000
0.0183596
Long
DBT
CORP
US
N
2
2023-10-24
Floating
1.6635
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2005-WMC6
N/A
MORGAN STANLEY CAPITAL INC MSAC 2005 WMC6 M4
61744CSY3
4500000.000000
PA
USD
4425713.100000
0.1998219
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
1.07813
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-HE4
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A3
61748BAC8
1909296.540000
PA
USD
1264714.210000
0.0571021
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
0.44813
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-HE7
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2D
61750MAF2
877596.700000
PA
USD
520847.850000
0.0235164
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
0.37813
N
N
N
N
N
N
TRUIST FINANCIAL CORPORATION
549300DRQQI75D2JP341
TRUIST FINANCIAL CORP JR SUBORDINA 12/99 VAR
89832QAE9
2300000.000000
NS
USD
2426500.000000
0.1095570
Long
EP
CORP
US
N
2
N
N
N
MORGAN STANLEY ABS CAPITAL I 2007-HE4
N/A
MORGAN STANLEY CAPITAL INC MSAC 2007 HE4 A2B
61753VAC6
1655117.800000
PA
USD
723380.990000
0.0326608
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
0.32813
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2007-HE5
N/A
MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A1
61753KAA4
10168738.280000
PA
USD
5469934.140000
0.2469687
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.36313
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2007-NC2
N/A
MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A1 144A
61753NAA8
3164779.190000
PA
USD
2705043.740000
0.1221333
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
0.27813
N
N
N
N
N
N
MOUNTAIN HAWK III CLO LTD 2014-3A
N/A
MOUNTAIN HAWK CLO LTD MHAWK 2014 3A AR 144A
62405CAN4
251120.720000
PA
USD
250752.740000
0.0113215
Long
ABS-CBDO
CORP
KY
N
2
2025-04-18
Floating
1.47175
N
N
N
N
N
N
NASSAU LTD 2017-IA
N/A
NASSAU LTD NCC 2017 IA A1AS 144A
631707AL0
3300000.000000
PA
USD
3287662.090000
0.1484387
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
1.425
N
N
N
N
N
N
NASSAU LTD 2020-IA
N/A
NASSAU LTD NCC 2020 1A A1 144A
631715AA7
2800000.000000
PA
USD
2805501.890000
0.1266690
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
2.38267
N
N
N
N
N
N
NAVIENT CORPORATION
54930067J0ZNOEBRW338
NAVIENT CORP SR UNSECURED 01/22 7.25
78442FEL8
1200000.000000
PA
USD
1234854.000000
0.0557539
Long
DBT
CORP
US
N
2
2022-01-25
Fixed
7.25
N
N
N
N
N
N
NAVIENT CORPORATION
54930067J0ZNOEBRW338
NAVIENT CORP SR UNSECURED 03/21 5.875
63938CAC2
200000.000000
PA
USD
201813.000000
0.0091119
Long
DBT
CORP
US
N
2
2021-03-25
Fixed
5.875
N
N
N
N
N
N
NAVIENT CORPORATION
54930067J0ZNOEBRW338
NAVIENT CORP SR UNSECURED 06/22 6.5
63938CAF5
200000.000000
PA
USD
204500.000000
0.0092332
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
6.5
N
N
N
N
N
N
NAVIENT CORPORATION
54930067J0ZNOEBRW338
NAVIENT CORP SR UNSECURED 07/21 6.625
63938CAD0
400000.000000
PA
USD
406750.000000
0.0183649
Long
DBT
CORP
US
N
2
2021-07-26
Fixed
6.625
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC SR UNSECURED REGS 11/29 3.875
ACI1BLJV6
1400000.000000
PA
1815831.590000
0.0819852
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.875
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3
N/A
NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A
64830NAA9
4810625.620000
PA
USD
5065837.970000
0.2287237
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Fixed
2.75
N
N
N
N
N
N
NEW YORK STATE THRUWAY AUTHORITY HIGHWAY & BRIDGE TRUST FUND
N/A
NEW YORK ST THRUWAY AUTH 2ND G NYSTRN 04/30 FIXED 5.883
650014TJ2
1000000.000000
PA
USD
1288800.000000
0.0581896
Long
DBT
MUN
US
N
2
2030-04-01
Fixed
5.883
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 07/22 2.65
654740AZ2
1000000.000000
PA
USD
1011050.800000
0.0456492
Long
DBT
CORP
US
N
2
2022-07-13
Fixed
2.65
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/21 1.9
654740AS8
300000.000000
PA
USD
301325.930000
0.0136049
Long
DBT
CORP
US
N
2
2021-09-14
Fixed
1.9
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/22 2.6
654740BD0
400000.000000
PA
USD
404150.800000
0.0182475
Long
DBT
CORP
US
N
2
2022-09-28
Fixed
2.6
N
N
N
N
N
N
NISSAN MOTOR CO LTD
353800DRBDH1LUTNAY26
NISSAN MOTOR CO SR UNSECURED 144A 09/23 3.043
654744AA9
1900000.000000
PA
USD
1927268.060000
0.0870166
Long
DBT
CORP
JP
N
2
2023-09-15
Fixed
3.043
N
N
N
N
N
N
NISSAN MOTOR CO LTD
353800DRBDH1LUTNAY26
NISSAN MOTOR CO SR UNSECURED 144A 09/25 3.522
654744AB7
800000.000000
PA
USD
809292.820000
0.0365398
Long
DBT
CORP
JP
N
2
2025-09-17
Fixed
3.522
N
N
N
N
N
N
NISSAN MOTOR CO LTD
353800DRBDH1LUTNAY26
NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345
654744AC5
1700000.000000
PA
USD
1709198.900000
0.0771707
Long
DBT
CORP
JP
N
2
2027-09-17
Fixed
4.345
N
N
N
N
N
N
NISSAN MOTOR CO LTD
353800DRBDH1LUTNAY26
NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81
654744AD3
1300000.000000
PA
USD
1306117.450000
0.0589715
Long
DBT
CORP
JP
N
2
2030-09-17
Fixed
4.81
N
N
N
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
NOMURA HOLDINGS INC SR UNSECURED 01/25 2.648
65535HAP4
2700000.000000
PA
USD
2844457.610000
0.1284279
Long
DBT
CORP
JP
N
2
2025-01-16
Fixed
2.648
N
N
N
N
N
N
ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION)
5493008I795YYBFWFU90
ONEMAIN FINANCE CORP COMPANY GUAR 03/24 6.125
85172FAP4
700000.000000
PA
USD
734125.000000
0.0331459
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
6.125
N
N
N
N
N
N
ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION)
5493008I795YYBFWFU90
ONEMAIN FINANCE CORP COMPANY GUAR 10/21 7.75
85172FAD1
200000.000000
PA
USD
209640.000000
0.0094653
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
7.75
N
N
N
N
N
N
OZLME BV 1A
N/A
OZLME OZLME 1A AR 144A
ACI1DQDD9
2500000.000000
PA
2923063.850000
0.1319770
Long
ABS-CBDO
CORP
NL
N
2
2030-01-18
Floating
0.82
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE COMPANY GUAR 01/30 5.093
71647NBE8
2057000.000000
PA
USD
2164169.700000
0.0977127
Long
DBT
CORP
NL
N
2
2030-01-15
Fixed
5.093
N
N
N
N
N
N
AAMES MORTGAGE INVESTMENT TRUST 2005-2
N/A
AAMES MORTGAGE INVESTMENT TRUS AMIT 2005 2 M5
126673L42
3825137.620000
PA
USD
3816598.380000
0.1723203
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
1.13813
Y
N
N
N
N
N
PRIME MORTGAGE TRUST 2004-CL1
N/A
PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2
74160MDL3
4790.860000
PA
USD
4563.810000
0.0002061
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Floating
0.54813
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC SR UNSECURED 11/22 2.9
00287YAL3
100000.000000
PA
USD
104915.100000
0.0047369
Long
DBT
CORP
US
N
2
2022-11-06
Fixed
2.9
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC SR UNSECURED 144A 02/21 4.875
00287YCD9
698000.000000
PA
USD
701895.180000
0.0316907
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
4.875
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC SR UNSECURED 144A 03/22 3.45
00287YCF4
1500000.000000
PA
USD
1554466.950000
0.0701845
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.45
N
N
N
N
N
N
RAAC SERIES 2007-SP1
N/A
RAAC SERIES RAAC 2007 SP1 A3
74978AAC4
149733.810000
PA
USD
149919.610000
0.0067689
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.62813
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2006-QA7
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA7 2A1
751152AB5
520663.550000
PA
USD
470948.100000
0.0212634
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
0.33313
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2007-QA1
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA1 A3
74923GAC7
1864455.940000
PA
USD
1650812.780000
0.0745346
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.31813
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2007-QH8
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A
74924EAA5
1923976.260000
PA
USD
1746811.520000
0.0788689
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Variable
2.02877
N
N
N
N
N
N
RESIDENTIAL ASSET SECURITIES 2005-KS10
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2005 KS10 M3
75405WAG7
13000000.000000
PA
USD
12346252.100000
0.5574360
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.61813
N
N
N
N
N
N
RESIDENTIAL ASSET SECURITIES 2005-KS11
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2005 KS11 M3
76110W7F7
10018905.000000
PA
USD
9326506.490000
0.4210938
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
0.58813
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC COMPANY GUAR 06/22 4
761713BF2
100000.000000
PA
USD
105440.390000
0.0047607
Long
DBT
CORP
US
N
2
2022-06-12
Fixed
4
N
N
N
N
N
N
RIPON MORTGAGES PLC 1A
N/A
RIPON MORTGAGES RIPON 1A A1 144A
ACI0TMV43
20963252.740000
PA
27020808.400000
1.2199955
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
RIPON MORTGAGES RIPON 1X A2 REGS
ACI0WLGW6
6027772.360000
PA
7769326.640000
0.3507868
Long
ABS-MBS
CORP
GB
N
2
2056-08-20
Floating
0.86825
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC JR SUBORDINA 12/49 VAR
780097BB6
500000.000000
PA
USD
513610.000000
0.0231896
Long
DBT
CORP
GB
N
2
2021-08-15
Floating
8.625
N
N
N
N
Y
ROYAL BANK OF SCOTLAND GROUP PLC
NATWEST GROUP PLC
GBP
XXXX
N
N
N
ROYAL BANK OF SCOTLAND GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC JR SUBORDINA 12/49 VAR
780099CK1
1400000.000000
PA
USD
1557108.000000
0.0703038
Long
DBT
CORP
GB
N
2
2025-08-10
Floating
8
N
N
N
N
Y
ROYAL BANK OF SCOTLAND GROUP PLC
NATWEST GROUP PLC
GBP
XXXX
N
N
N
ROYAL BANK OF SCOTLAND GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC SR UNSECURED 01/30 VAR
78009PEH0
1500000.000000
PA
USD
1788913.740000
0.0807699
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
NATWEST GROUP PLC SR UNSECURED 05/29 VAR
780097BG5
3500000.000000
PA
USD
4074173.530000
0.1839498
Long
DBT
CORP
GB
N
2
2029-05-18
Floating
4.892
N
N
N
N
N
N
ACE SECURITIES CORP 2004-FM1
N/A
ACE SECURITIES CORP. ACE 2004 FM1 M1
004421DK6
1107167.870000
PA
USD
1096422.140000
0.0495037
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Floating
1.04813
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC SR UNSECURED 06/24 VAR
780097BH3
3100000.000000
PA
USD
3115100.380000
0.1406475
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
NATWEST GROUP PLC SR UNSECURED 06/24 VAR
780097BJ9
1500000.000000
PA
USD
1617883.100000
0.0730478
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
NATWEST GROUP PLC SR UNSECURED REGS 03/25 VAR
ACI14S007
1000000.000000
PA
1220007.860000
0.0550836
Long
DBT
CORP
GB
N
2
2025-03-04
Floating
2
N
N
N
N
N
N
SALOMON BROTHERS MTGE SEC VII 2003-UP2
N/A
SALOMON BROTHERS MORTGAGE SECU SBM7 2003 UP2 A1
79549AXP9
1718.260000
PA
USD
1810.560000
0.0000817
Long
ABS-MBS
CORP
US
N
2
2033-06-25
Variable
7
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 08/25 5.125
80007RAF2
4000000.000000
PA
USD
4376380.000000
0.1975945
Long
DBT
CORP
KY
N
2
2025-08-08
Fixed
5.125
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 08/28 5.4
80007RAE5
2900000.000000
PA
USD
3236342.000000
0.1461216
Long
DBT
CORP
KY
N
2
2028-08-08
Fixed
5.4
N
N
N
N
N
N
ACE SECURITIES CORP 2006-NC3
N/A
ACE SECURITIES CORP. ACE 2006 NC3 A1A
00442EAC9
5555912.920000
PA
USD
3527128.540000
0.1592506
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.27813
N
N
N
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HLDGS SR UNSECURED 11/24 VAR
80281LAJ4
3100000.000000
PA
USD
3416253.130000
0.1542446
Long
DBT
CORP
GB
N
2
2024-11-15
Floating
4.796
N
N
N
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC SR UNSECURED 06/24 2.875
80283LAX1
4200000.000000
PA
USD
4486673.140000
0.2025743
Long
DBT
CORP
GB
N
2
2024-06-18
Fixed
2.875
N
N
N
N
N
N
SAUDI ARABIA GOVT
635400FMICXSM3SI3H65
SAUDI INTERNATIONAL BOND SR UNSECURED REGS 04/25 4
M6320UAH2
1500000.000000
PA
USD
1669500.000000
0.0753783
Long
DBT
NUSS
SA
N
2
2025-04-17
Fixed
4
N
N
N
N
N
N
SAUDI ARABIA GOVT
635400FMICXSM3SI3H65
SAUDI INTERNATIONAL BOND SR UNSECURED REGS 04/49 5
ACI121KG1
600000.000000
PA
USD
778006.800000
0.0351272
Long
DBT
NUSS
SA
N
2
2049-04-17
Fixed
5
N
N
N
N
N
N
SAUDI ARABIA GOVT
635400FMICXSM3SI3H65
SAUDI INTERNATIONAL BOND SR UNSECURED REGS 10/46 4.5
M6320UAC3
200000.000000
PA
USD
240650.000000
0.0108654
Long
DBT
NUSS
SA
N
2
2046-10-26
Fixed
4.5
N
N
N
N
N
N
SAXON ASSET SECURITIES TRUST 2005-4
N/A
SAXON ASSET SECURITIES TRUST SAST 2005 4 M2
805564TK7
3580000.000000
PA
USD
3461575.390000
0.1562909
Long
ABS-MBS
CORP
US
N
2
2037-11-25
Floating
0.59813
N
N
N
N
N
N
SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)
529900JL0HDVGZMUJF32
IHO VERWALTUNGS GMBH SR SECURED 144A 05/27 6
44963BAE8
1700000.000000
PA
USD
1798489.500000
0.0812022
Long
DBT
CORP
DE
N
2
2027-05-15
Fixed
6
N
N
Y
N
N
N
SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)
529900JL0HDVGZMUJF32
IHO VERWALTUNGS GMBH SR SECURED 144A 05/29 6.375
44963BAD0
3800000.000000
PA
USD
4060528.000000
0.1833337
Long
DBT
CORP
DE
N
2
2029-05-15
Fixed
6.375
N
N
Y
N
N
N
SEC ASSET BACKED REC LLC 2006-FR3
N/A
SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3
813765AC8
3182006.930000
PA
USD
2238657.060000
0.1010759
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
0.39813
N
N
N
N
N
N
SEC ASSET BACKED REC LLC 2007-BR4
N/A
SECURITIZED ASSET BACKED RECEI SABR 2007 BR4 A2A
81378EAA1
13445392.670000
PA
USD
9125311.370000
0.4120098
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
0.23813
Y
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
SEMPRA ENERGY SR UNSECURED 03/21 VAR
816851BB4
2500000.000000
PA
USD
2503579.180000
0.1130372
Long
DBT
CORP
US
N
2
2021-03-15
Floating
0.70038
N
N
N
N
N
N
SL GREEN REALTY CORP
549300VQZPJU97H3GT17
SL GREEN REALTY CORP COMPANY GUAR 12/22 4.5
75625AAD6
3100000.000000
PA
USD
3234994.930000
0.1460607
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
4.5
N
N
N
N
N
N
SMALL BUSINESS ADMIN PART CERT 2004-20F
N/A
SMALL BUSINESS ADMINISTRATION SBAP 2004 20F 1
83162CNU3
38628.020000
PA
USD
40898.010000
0.0018466
Long
ABS-O
CORP
US
N
2
2024-06-01
Fixed
5.52
N
N
N
N
N
N
SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY
549300OD7VKRVNWB2J98
SMBC AVIATION CAPITAL FI COMPANY GUAR 144A 07/22 3
78448TAB8
400000.000000
PA
USD
408289.120000
0.0184343
Long
DBT
CORP
IE
N
2
2022-07-15
Fixed
3
N
N
N
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE JR SUBORDINA REGS 04/49 VAR
ACI084Z26
100000.000000
PA
118908.570000
0.0053687
Long
DBT
CORP
FR
N
2
2021-04-07
Floating
6.75
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 A A2FX 144A
83406TAB8
5000000.000000
PA
USD
5199385.500000
0.2347534
Long
ABS-O
CORP
US
N
2
2046-05-15
Fixed
2.54
N
N
N
N
N
N
SOUND POINT CLO XIV LTD 2016-3A
N/A
SOUND POINT CLO LTD SNDPT 2016 3A AR 144A
83609NAL4
3200000.000000
PA
USD
3188315.710000
0.1439532
Long
ABS-CBDO
CORP
KY
N
2
2029-01-23
Floating
1.4055
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN 2005-2
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 2 M6
83611MEV6
3290000.000000
PA
USD
3214081.610000
0.1451165
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
1.22813
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN 2006-1
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 1 A5
83611MKZ0
3100000.000000
PA
USD
2866082.990000
0.1294043
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.45813
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT2
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 OPT2 M2
83611MGJ1
2989000.000000
PA
USD
2771986.050000
0.1251558
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
0.98813
Y
N
N
N
N
N
SOUTHERN POWER COMPANY
5LADC78JBG2BMZD5XF57
SOUTHERN POWER CO SR UNSECURED 144A 12/20 VAR
843646AV2
2700000.000000
PA
USD
2700359.610000
0.1219218
Long
DBT
CORP
US
N
2
2020-12-20
Floating
0.77738
N
N
N
N
N
N
SP STATIC CLO 2020-1A
N/A
SP STATIC LTD SPSTC 2020 1A A 144A
78472HAA5
5800000.000000
PA
USD
5796837.320000
0.2617285
Long
ABS-CBDO
CORP
KY
N
2
2028-07-22
Floating
1.63495
N
N
N
N
N
N
SPRINT CORP (SPRINT COMMUNICATIONS INC)
549300JKU50UT08ZWD77
SPRINT COMMUNICATIONS COMPANY GUAR 11/21 11.5
852061AM2
200000.000000
PA
USD
219795.000000
0.0099238
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
11.5
N
N
N
N
N
N
SPRINT CORP (SPRINT COMMUNICATIONS INC)
549300JKU50UT08ZWD77
SPRINT COMMUNICATIONS COMPANY GUAR 11/22 6
852061AS9
1300000.000000
PA
USD
1402375.000000
0.0633175
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
6
N
N
N
N
N
N
SPRINT CORPORATION
549300ZTTY7CXOLJ6539
SPRINT CORP COMPANY GUAR 09/21 7.25
85207UAE5
2800000.000000
PA
USD
2933000.000000
0.1324256
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
7.25
N
N
N
N
N
N
SPRINT CORPORATION
549300ZTTY7CXOLJ6539
SPRINT CORP COMPANY GUAR 09/23 7.875
85207UAF2
400000.000000
PA
USD
459050.000000
0.0207262
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
7.875
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC SR UNSECURED 144A 09/22 VAR
853254BR0
5000000.000000
PA
USD
5017156.450000
0.2265257
Long
DBT
CORP
GB
N
2
2022-09-10
Floating
1.4495
N
N
N
N
N
N
STRUCTURED ADJUSTABLE RT MTGE LN 2005-17
N/A
STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1
863579VM7
40765.800000
PA
USD
39492.970000
0.0017831
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
3.23919
N
N
N
N
N
N
STRUCTURED ASSET INVEST LN TR 2006-BNC3
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2006 BNC3 A3
86361KAC1
870877.620000
PA
USD
848902.330000
0.0383281
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
0.29813
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2005-AR5
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3
86359LPF0
190544.980000
PA
USD
186329.710000
0.0084128
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
0.40625
N
N
N
N
N
N
STRUCTURED ASSET SEC CORP 2007-GEL2
N/A
STRUCTURED ASSET SECURITIES CO SASC 2007 GEL2 A2 144A
86363MAB7
17633.910000
PA
USD
17652.880000
0.0007970
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
0.46813
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CO-2007-TC1
N/A
STRUCTURED ASSET SECURITIES CO SASC 2007 TC1 M2 144A
86364GAD5
4830000.000000
PA
USD
4628702.990000
0.2089870
Long
ABS-MBS
CORP
US
N
2
2031-04-25
Floating
0.79813
N
N
N
N
N
N
TELOS CLO LTD 2014-5A
N/A
TELOS CLO LTD TELOS 2014 5A A1R 144A
87974KAQ7
2534998.410000
PA
USD
2518765.670000
0.1137228
Long
ABS-CBDO
CORP
KY
N
2
2028-04-17
Floating
1.22288
N
N
N
N
N
N
TESCO PLC
2138002P5RNKC5W2JZ46
TESCO PLC SR UNSECURED 02/22 6.125
G87623HR1
100000.000000
PA
138159.760000
0.0062379
Long
DBT
CORP
GB
N
2
2022-02-24
Fixed
6.125
N
N
N
N
N
N
THORNBURG MORTGAGE SECURITIES TR 2007-3
N/A
THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1
88522XAE1
305895.530000
PA
USD
267414.300000
0.0120738
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
1.62175
Y
N
N
N
N
N
TICP CLO III-2 LTD 2018-3R
N/A
TICP CLO LTD TICP 2018 3R A 144A
87249FAC8
1767099.030000
PA
USD
1763412.240000
0.0796185
Long
ABS-CBDO
CORP
KY
N
2
2028-04-20
Floating
1.11175
N
N
N
N
N
N
TOBACCO SETTLEMENT FINANCE AUTHORITY
N/A
TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 FIXED 7.467
88880LAA1
445000.000000
PA
USD
476532.700000
0.0215156
Long
DBT
MUN
US
N
2
2047-06-01
Fixed
7.467
N
N
N
N
N
N
TOWD POINT MORTGAGE FUNDING 19-A13A
N/A
TOWD POINT MORTGAGE FUNDING TPMF 2019 A13A A1 144A
ACI1G4F01
12782388.000000
PA
16442661.620000
0.7423898
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
TOWD POINT MORTGAGE FUNDING TPMF 2019 GR4A A1 144A
ACI19VH23
3964801.290000
PA
5129500.300000
0.2315981
Long
ABS-MBS
CORP
GB
N
2
2051-10-20
Floating
1.101
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2017-6
N/A
TOWD POINT MORTGAGE TRUST TPMT 2017 6 B1 144A
89175JAE0
4900000.000000
PA
USD
5213151.160000
0.2353749
Long
ABS-MBS
CORP
US
N
2
2057-10-25
Variable
3.4282
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2019-HY2
N/A
TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A
89177HAA0
3459673.490000
PA
USD
3465727.230000
0.1564784
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Floating
1.14813
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2019-SJ3
N/A
TOWD POINT MORTGAGE TRUST TPMT 2019 SJ3 A1 144A
89178JAA5
1977051.270000
PA
USD
2011727.760000
0.0908300
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG SUBORDINATED REGS 02/26 VAR
ACI07SK20
3700000.000000
PA
4394220.410000
0.1984000
Long
DBT
CORP
CH
N
2
2026-02-12
Floating
4.75
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG SUBORDINATED REGS 05/24 5.125
BMJ6SQII2
3300000.000000
PA
USD
3642375.000000
0.1644540
Long
DBT
CORP
CH
N
2
2024-05-15
Fixed
5.125
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG SR UNSECURED 144A 08/23 VAR
90352JAD5
2200000.000000
PA
USD
2215306.570000
0.1000216
Long
DBT
CORP
CH
N
2
2023-08-15
Floating
1.23013
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG SR UNSECURED 144A 09/25 4.125
90351DAB3
500000.000000
PA
USD
570697.490000
0.0257671
Long
DBT
CORP
CH
N
2
2025-09-24
Fixed
4.125
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE
01F0206C8
78060000.000000
PA
USD
80362624.030000
3.6283903
Long
ABS-MBS
USGSE
US
N
2
2050-12-14
Fixed
2
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE
01F0226B6
97100000.000000
PA
USD
101639214.290000
4.5890331
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
FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE
01F0306B9
154700000.000000
PA
USD
162102637.880000
7.3189701
Long
ABS-MBS
USGSE
US
N
2
2050-11-12
Fixed
3
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE
01F0426A6
33800000.000000
PA
USD
36568695.230000
1.6510847
Long
ABS-MBS
USGSE
US
N
2
2050-10-14
Fixed
4.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE
01F0506A9
-6000000.000000
PA
USD
-6575390.640000
-0.2968803
Short
ABS-MBS
USGSE
US
N
2
2050-10-14
Fixed
5
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UNICREDIT SPA JR SUBORDINA REGS 12/49 VAR
BYXSS8II2
300000.000000
PA
382806.840000
0.0172838
Long
DBT
CORP
IT
N
2
2022-06-03
Floating
9.25
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UNICREDIT SPA SR UNSECURED 144A 01/22 6.572
904678AJ8
1900000.000000
PA
USD
2016843.520000
0.0910609
Long
DBT
CORP
IT
N
2
2022-01-14
Fixed
6.572
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/22 0.125
912828SA9
52765138.000000
PA
USD
53601684.940000
2.4201280
Long
DBT
UST
US
N
2
2022-01-15
Fixed
0.125
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/27 2.375
912810PS1
3468420.000000
PA
USD
4278259.860000
0.1931644
Long
DBT
UST
US
N
2
2027-01-15
Fixed
2.375
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/28 1.75
912810PV4
1236570.000000
PA
USD
1506540.550000
0.0680206
Long
DBT
UST
US
N
2
2028-01-15
Fixed
1.75
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC SR UNSECURED 02/22 4.125
02005NAY6
100000.000000
PA
USD
103784.700000
0.0046859
Long
DBT
CORP
US
N
2
2022-02-13
Fixed
4.125
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/43 0.625
912810RA8
901416.000000
PA
USD
1110207.710000
0.0501261
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.625
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/44 1.375
912810RF7
5557750.000000
PA
USD
7899784.790000
0.3566770
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.375
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/46 1
912810RR1
5575983.000000
PA
USD
7517934.670000
0.3394364
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/48 1
912810SB5
19224699.000000
PA
USD
26496302.590000
1.1963140
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC SR UNSECURED 04/21 4.25
02005NBG4
100000.000000
PA
USD
101717.670000
0.0045926
Long
DBT
CORP
US
N
2
2021-04-15
Fixed
4.25
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/49 1
912810SG4
6951801.700000
PA
USD
9691960.420000
0.4375942
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 04/22 0.125
912828X39
50597950.000000
PA
USD
51494335.190000
2.3249807
Long
DBT
UST
US
N
2
2022-04-15
Fixed
0.125
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 07/21 0.625
912828QV5
11838923.000000
PA
USD
12016071.760000
0.5425283
Long
DBT
UST
US
N
2
2021-07-15
Fixed
0.625
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 07/27 0.375
9128282L3
4765635.000000
PA
USD
5299391.460000
0.2392687
Long
DBT
UST
US
N
2
2027-07-15
Fixed
0.375
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 07/30 0.125
912828ZZ6
1616640.000000
PA
USD
1797892.120000
0.0811752
Long
DBT
UST
US
N
2
2030-07-15
Fixed
0.125
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 02/24 2.75
912828B66
4700000.000000
PA
USD
5108128.920000
0.2306332
Long
DBT
UST
US
N
2
2024-02-15
Fixed
2.75
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 02/26 1.625
912828P46
4000000.000000
PA
USD
4278437.520000
0.1931724
Long
DBT
UST
US
N
2
2026-02-15
Fixed
1.625
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 02/29 2.625
9128286B1
170000000.000000
PA
USD
198554687.500000
8.9647883
Long
DBT
UST
US
N
2
2029-02-15
Fixed
2.625
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 02/40 4.625
912810QE1
5900000.000000
PA
USD
9501996.080000
0.4290172
Long
DBT
UST
US
N
2
2040-02-15
Fixed
4.625
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 02/49 3
912810SF6
22200000.000000
PA
USD
30353296.760000
1.3704581
Long
DBT
UST
US
N
2
2049-02-15
Fixed
3
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 05/23 1.75
912828VB3
2140000.000000
PA
USD
2229863.290000
0.1006788
Long
DBT
UST
US
N
2
2023-05-15
Fixed
1.75
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 05/29 2.375
9128286T2
67500000.000000
PA
USD
77675097.830000
3.5070479
Long
DBT
UST
US
N
2
2029-05-15
Fixed
2.375
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 05/40 4.375
912810QH4
8200000.000000
PA
USD
12874320.290000
0.5812784
Long
DBT
UST
US
N
2
2040-05-15
Fixed
4.375
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 08/48 3
912810SD1
600000.000000
PA
USD
817945.310000
0.0369304
Long
DBT
UST
US
N
2
2048-08-15
Fixed
3
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 09/21 2.125
912828F21
2200000.000000
PA
USD
2243277.080000
0.1012845
Long
DBT
UST
US
N
2
2021-09-30
Fixed
2.125
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 09/25 3
9128285C0
36600000.000000
PA
USD
41538140.810000
1.8754563
Long
DBT
UST
US
N
2
2025-09-30
Fixed
3
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 12/23 2.25
912828V23
6300000.000000
PA
USD
6724511.700000
0.3036132
Long
DBT
UST
US
N
2
2023-12-31
Fixed
2.25
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 12/24 1.75
912828YY0
13300000.000000
PA
USD
14155668.000000
0.6391316
Long
DBT
UST
US
N
2
2024-12-31
Fixed
1.75
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 12/25 2.625
9128285T3
15300000.000000
PA
USD
17147953.130000
0.7742339
Long
DBT
UST
US
N
2
2025-12-31
Fixed
2.625
N
N
N
N
N
N
VENTURE CDO LTD 2016-25A
N/A
VENTURE CDO LTD VENTR 2016 25A AR 144A
92329VAQ5
5400000.000000
PA
USD
5383739.200000
0.2430770
Long
ABS-CBDO
CORP
KY
N
2
2029-04-20
Floating
1.50175
N
N
N
N
N
N
VENTURE CLO LTD 2013-4A
N/A
VENTURE CDO LTD VENTR 2013 14A ARR 144A
92328GBA3
7000000.000000
PA
USD
6956362.280000
0.3140813
Long
ABS-CBDO
CORP
KY
N
2
2029-08-28
Floating
1.28588
N
N
N
N
N
N
VENTURE XX CLO LTD 2015-20A
N/A
VENTURE CDO LTD VENTR 2015 20A AR 144A
92330JCC8
6124150.050000
PA
USD
6095514.870000
0.2752139
Long
ABS-CBDO
CORP
KY
N
2
2027-04-15
Floating
1.095
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
VODAFONE GROUP PLC SR UNSECURED REGS 05/39 2.5
ACI1C4MC1
1100000.000000
PA
1482865.230000
0.0669517
Long
DBT
CORP
GB
N
2
2039-05-24
Fixed
2.5
N
N
N
N
N
N
WAMU MTGE P/T CERT 2007-HY7
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 3A1
93364FAG6
7005023.300000
PA
USD
6697822.210000
0.3024082
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
3.1711
Y
N
N
N
N
N
WASHINGTON MUTUAL 2002 AR2
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A
929227LE4
19387.470000
PA
USD
19242.130000
0.0008688
Long
ABS-MBS
CORP
US
N
2
2034-02-27
Floating
1.903
N
N
N
N
N
N
WASHINGTON MUTUAL 2002-AR17
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A
929227XB7
9497.160000
PA
USD
9037.280000
0.0004080
Long
ABS-MBS
CORP
US
N
2
2042-11-25
Floating
2.21929
N
N
N
N
N
N
WASHINGTON MUTUAL 2002-AR9
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A
9393357P4
6002.930000
PA
USD
5719.070000
0.0002582
Long
ABS-MBS
CORP
US
N
2
2042-08-25
Floating
2.41929
N
N
N
N
N
N
WASHINGTON MUTUAL 2004-RP1
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2004 RP1 1F 144A
92922FYJ1
1779225.080000
PA
USD
1516449.730000
0.0684680
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Floating
0.51813
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR13
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1
92922F4M7
17858.570000
PA
USD
17664.800000
0.0007976
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Floating
0.43813
N
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR3
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A
92925CDA7
82050.620000
PA
USD
80163.610000
0.0036194
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
2.01929
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY SR UNSECURED 06/28 VAR
95000U2S1
19600000.000000
PA
USD
20471967.540000
0.9243139
Long
DBT
CORP
US
N
2
2028-06-02
Floating
2.393
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY SR UNSECURED 07/22 2.625
95000U2B8
600000.000000
PA
USD
622743.350000
0.0281170
Long
DBT
CORP
US
N
2
2022-07-22
Fixed
2.625
N
N
N
N
N
N
WIND RIVER CLO LTD 2015-2A
N/A
WIND RIVER CLO LTD WINDR 2015 2A A1R 144A
88432GAL1
3195328.870000
PA
USD
3176466.620000
0.1434182
Long
ABS-CBDO
CORP
KY
N
2
2027-10-15
Floating
1.145
N
N
N
N
N
N
WMALT MTGE PASS-THRU CERT 2006-AR9
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR9 1A
939346AA0
6752742.010000
PA
USD
5935415.100000
0.2679853
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
1.84929
N
N
N
N
N
N
WPC EUROBOND BV
5493005XDMOLBARL5M14
WPC EUROBOND BV COMPANY GUAR 04/26 2.25
ACI15F7Y3
3500000.000000
PA
4400553.980000
0.1986860
Long
DBT
CORP
NL
N
2
2026-04-09
Fixed
2.25
N
N
N
N
N
N
YPF SA
5493003N7447U18U5U53
YPF SOCIEDAD ANONIMA SR UNSECURED 03/21 VAR
ACI1J9CS9
14530000.000000
PA
95106.700000
0.0042941
Long
DBT
CORP
AR
N
2
2021-03-04
Floating
33.1634
N
N
N
N
N
N
ZIMMER BIOMET HOLDINGS INC
2P2YLDVPES3BXQ1FRB91
ZIMMER BIOMET HOLDINGS SR UNSECURED 04/25 3.55
98956PAF9
1700000.000000
PA
USD
1880845.410000
0.0849206
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.55
N
N
N
N
N
N
N/A
N/A
FIXED INC CLEARING CORP.REPO
000000000
528000.000000
PA
USD
528000.000000
0.0238393
Long
RA
US
N
2
Repurchase
N
0.0000001
2020-10-01
528000.000000
USD
538601.320000
USD
UST
N
N
N
AMERICAN HOME MTGE INV TRUST 2004-4
N/A
AMERICAN HOME MORTGAGE INVESTM AHM 2004 4 4A
02660TCS0
17700.750000
PA
USD
17757.510000
0.0008018
Long
ABS-MBS
CORP
US
N
2
2045-02-25
Floating
2.30988
N
N
N
N
N
N
AMERICAN HONDA FINANCE CORPORATION
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA FINANCE CORP TERM LOAN
934NVQII2
1200000.000000
PA
USD
1198051.310000
0.0540923
Long
LON
CORP
US
N
3
2021-03-29
Floating
1.0679
N
N
N
N
N
N
N/A
N/A
ABX.HE.AAA.06-2 SP BOA
000000000
1.000000
NC
USD
-31465.330000
-0.0014207
N/A
DCR
US
N
2
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
ABX.HE.AAA.06-2
N/A
N/A
Y
Single Leg Swap
2046-05-26
0.000000
USD
-71141.610000
USD
337195.560000
USD
39676.280000
N
N
N
N/A
N/A
AT&T INC SNR S* ICE
000000000
1.000000
NC
USD
18143.300000
0.0008192
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
AT&T INC
AT&T INC SR UNSEC SMR
Y
Single Leg Swap
2024-12-21
23427.080000
USD
0.000000
USD
1500000.000000
USD
-5283.780000
N
N
N
N/A
N/A
SOLD HKD/BOUGHT USD
000000000
1.000000
NC
-6.540000
-0.0000003
N/A
DFE
HK
N
2
Australia and New Zealand Banking Group
JHE42UYNWWTJB8YTTU19
1209312.000000
HKD
155991.950000
USD
2020-12-16
-6.540000
N
N
N
N/A
N/A
BOUGHT CAD/SOLD USD
000000000
1.000000
NC
43037.620000
0.0019432
N/A
DFE
CA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
8485225.350000
USD
11355772.000000
CAD
2020-10-02
43037.620000
N
N
N
N/A
N/A
BOUGHT SGD/SOLD USD
000000000
1.000000
NC
172824.730000
0.0078031
N/A
DFE
SG
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
32654102.350000
USD
44806000.000000
SGD
2020-12-16
172824.730000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
-42951.520000
-0.0019393
N/A
DFE
CA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
11355772.000000
CAD
8486140.990000
USD
2020-11-03
-42951.520000
N
N
N
N/A
N/A
BOUGHT CAD/SOLD USD
000000000
1.000000
NC
-205416.770000
-0.0092746
N/A
DFE
CA
N
2
BNP Paribas S.A.
N/A
18515715.650000
USD
24381000.000000
CAD
2020-10-02
-205416.770000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
-13416.960000
-0.0006058
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
2244588.880000
USD
1903000.000000
EUR
2020-10-02
-13416.960000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
717.100000
0.0000324
N/A
DFE
GB
N
2
BNP Paribas S.A.
N/A
1016078.090000
USD
788000.000000
GBP
2020-10-02
717.100000
N
N
N
N/A
N/A
BOUGHT JPY/SOLD USD
000000000
1.000000
NC
40798.340000
0.0018421
N/A
DFE
JP
N
2
BNP Paribas S.A.
N/A
37415627.390000
USD
3950341940.000000
JPY
2020-10-02
40798.340000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
15915.170000
0.0007186
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
628000.000000
EUR
752213.630000
USD
2020-10-02
15915.170000
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
-111041.150000
-0.0050135
N/A
DFE
JP
N
2
BNP Paribas S.A.
N/A
2247178458.000000
JPY
21196297.380000
USD
2020-10-02
-111041.150000
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
-40452.010000
-0.0018264
N/A
DFE
JP
N
2
BNP Paribas S.A.
N/A
3950341940.000000
JPY
37429559.780000
USD
2020-11-04
-40452.010000
N
N
N
N/A
N/A
SOLD KRW/BOUGHT USD
000000000
1.000000
NC
-1728.540000
-0.0000780
N/A
DFE
KR
N
2
BNP Paribas S.A.
N/A
126744260.000000
KRW
106980.650000
USD
2020-12-16
-1728.540000
N
N
N
N/A
N/A
CDX IG32 5Y ICE
000000000
1.000000
NC
USD
-189225.810000
-0.0085436
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
CDX.NA.IG.32
N/A
N/A
Y
Single Leg Swap
2024-06-21
0.000000
USD
-446411.690000
USD
21100000.000000
USD
257185.880000
N
N
N
N/A
N/A
3175DA084 CDX.O P 1.00 IG34 DEC20 1 PUT
000000000
-1800000.000000
NC
USD
-7513.990000
-0.0003393
N/A
DCR
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Put
Written
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.000000
USD
2020-12-16
XXXX
-4903.990000
N
N
N
N/A
N/A
3175DM443 CDX.O P 1.00 OCT20 1 PUT
000000000
-4400000.000000
NC
USD
-5234.240000
-0.0002363
N/A
DCR
US
N
2
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
Put
Written
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.000000
USD
2020-10-21
XXXX
-834.240000
N
N
N
N/A
N/A
3175DM450 CDX.O P 1.20 DEC20 1.2 PUT
000000000
-2000000.000000
NC
USD
-5175.000000
-0.0002337
N/A
DCR
US
N
2
BNP Paribas S.A.
N/A
Put
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.200000
USD
2020-12-16
XXXX
-2545.000000
N
N
N
N/A
N/A
3175DM500 CDX.O P 0.90 IG34 OCT20 0.9 PUT
000000000
-11700000.000000
NC
USD
-26557.360000
-0.0011991
N/A
DCR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
Put
Written
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.900000
USD
2020-10-21
XXXX
-12679.860000
N
N
N
N/A
N/A
3175DM658 CDX.O P 1.00 IG34 NOV20 1 PUT
000000000
-3300000.000000
NC
USD
-9378.770000
-0.0004235
N/A
DCR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
Put
Written
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.000000
USD
2020-11-18
XXXX
-3768.770000
N
N
N
N/A
N/A
3175DM708 CDX.O P 1.00 IG34 DEC20 1 PUT
000000000
-3000000.000000
NC
USD
-12523.320000
-0.0005654
N/A
DCR
US
N
2
BNP Paribas S.A.
N/A
Put
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.000000
USD
2020-12-16
XXXX
-6373.320000
N
N
N
N/A
N/A
3175DM724 CDX IG34 5Y V1 DEC20 0.95 PUT
000000000
-1700000.000000
NC
USD
-8083.360000
-0.0003650
N/A
DCR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.950000
USD
2020-12-16
XXXX
-4470.860000
N
N
N
N/A
N/A
3175DM757 CDX.O P 1.00 IG34 DEC20 1 PUT
000000000
-8800000.000000
NC
USD
-36735.070000
-0.0016586
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.000000
USD
2020-12-16
XXXX
-19540.070000
N
N
N
N/A
N/A
3175DM765 CDX.O P 1.05 IG34 NOV20 1.05 PUT
000000000
-2000000.000000
NC
USD
-4782.620000
-0.0002159
N/A
DCR
US
N
2
Deutsche Bank Securities Inc.
9J6MBOOO7BECTDTUZW19
Put
Written
Deutsche Bank Securities Inc.
9J6MBOOO7BECTDTUZW19
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.050000
USD
2020-11-18
XXXX
-2482.620000
N
N
N
N/A
N/A
3175GS876 CDX.O P 1.00 IG34 JAN21 1 PUT
000000000
-5300000.000000
NC
USD
-31542.260000
-0.0014241
N/A
DCR
US
N
2
BNP Paribas S.A.
N/A
Put
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.000000
USD
2021-01-20
XXXX
-16697.260000
N
N
N
N/A
N/A
3175JK227 CDX IG34 5Y V1 OCT20 1 PUT
000000000
-7900000.000000
NC
USD
-9397.840000
-0.0004243
N/A
DCR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
Put
Written
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.000000
USD
2020-10-21
XXXX
4510.160000
N
N
N
N/A
N/A
3175JK243 CDX.O P 1.00 OCT20 1 PUT
000000000
-12600000.000000
NC
USD
-14988.960000
-0.0006768
N/A
DCR
US
N
2
BNP Paribas S.A.
N/A
Put
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.000000
USD
2020-10-21
XXXX
7040.040000
N
N
N
N/A
N/A
3175JK342 CDX.O C 0.60 OCT20 0.6 CALL
000000000
-4000000.000000
NC
USD
-219.280000
-0.0000099
N/A
DCR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
Call
Written
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.600000
USD
2020-10-21
XXXX
3380.720000
N
N
N
N/A
N/A
3175JK524 CDX.O P 1.00 IG34 NOV20 1 PUT
000000000
-1600000.000000
NC
USD
-4547.280000
-0.0002053
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.000000
USD
2020-11-18
XXXX
-3027.280000
N
N
N
N/A
N/A
3175JK532 CDX.O P 1.00 IG34 DEC20 1 PUT
000000000
-4000000.000000
NC
USD
-16697.760000
-0.0007539
N/A
DCR
US
N
2
Deutsche Bank Securities Inc.
9J6MBOOO7BECTDTUZW19
Put
Written
Deutsche Bank Securities Inc.
9J6MBOOO7BECTDTUZW19
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.000000
USD
2020-12-16
XXXX
-10247.760000
N
N
N
N/A
N/A
3175JK607 CDX.O P0.80 IG34 OCT20 0.8 PUT
000000000
-1700000.000000
NC
USD
-7325.230000
-0.0003307
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.800000
USD
2020-10-21
XXXX
-5433.980000
N
N
N
N/A
N/A
3175SH257 CDX.O C0.575IG345YV1 OCT20 0.575 CALL
000000000
-4400000.000000
NC
USD
-129.050000
-0.0000058
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.570000
USD
2020-10-21
XXXX
3390.950000
N
N
N
N/A
N/A
3175SH265 CDX.O P0.90IG345YV1 OCT20 0.90 PUT
000000000
-6400000.000000
NC
USD
-14527.100000
-0.0006559
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.900000
USD
2020-10-21
XXXX
-7307.100000
N
N
N
N/A
N/A
3175SQ620 CDX.O P 0.95 NOV20 95 PUT
000000000
-3600000.000000
NC
USD
-12227.330000
-0.0005521
N/A
DCR
US
N
2
BNP Paribas S.A.
N/A
Put
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
95.000000
USD
2020-11-18
XXXX
-7907.330000
N
N
N
N/A
N/A
3175ZX205 CDX.O P 1.15 NOV20 1.15 PUT
000000000
-1800000.000000
NC
USD
-3100.160000
-0.0001400
N/A
DCR
US
N
2
BNP Paribas S.A.
N/A
Put
Written
BNP Paribas S.A.
N/A
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.150000
USD
2020-11-18
XXXX
-1750.160000
N
N
N
N/A
N/A
3175ZY690 CDX.O C 0.60 IG34 OCT20 0.6 CALL
000000000
-4300000.000000
NC
USD
-235.730000
-0.0000106
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.600000
USD
2020-10-21
XXXX
3376.270000
N
N
N
N/A
N/A
3175ZY716 CDX.O C 0.60 OCT20 0.6 CALL
000000000
-4400000.000000
NC
USD
-241.210000
-0.0000109
N/A
DCR
US
N
2
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
Call
Written
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.600000
USD
2020-10-21
XXXX
4598.790000
N
N
N
N/A
N/A
3175ZY864 CDX.O P 0.80 OCT20 0.8 PUT
000000000
-2300000.000000
NC
USD
-9910.610000
-0.0004475
N/A
DCR
US
N
2
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
Put
Written
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.800000
USD
2020-10-21
XXXX
-6184.610000
N
N
N
N/A
N/A
3175ZY997 CDX IG34 5Y V1 DEC20 1 PUT
000000000
-3700000.000000
NC
USD
-15445.430000
-0.0006974
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG34 (V1 ONLY) 5Y SP
Single Leg Swap
2025-06-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.000000
USD
2020-12-16
XXXX
-10820.430000
N
N
N
N/A
N/A
CDX IG34 5Y ICE
000000000
1.000000
NC
USD
-41940.070000
-0.0018936
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
CDX.NA.IG.34
Y
Single Leg Swap
2025-06-21
52525.720000
USD
0.000000
USD
5900000.000000
USD
-94465.790000
N
N
N
N/A
N/A
3175DA274 CDX.O P 1.10 IG35 DEC20 1.1 PUT
000000000
-4000000.000000
NC
USD
-5479.800000
-0.0002474
N/A
DCR
US
N
2
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
Put
Written
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
N/A
N/A
SWOP CDX IG35 (V1 ONLY) 5Y SP
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
520.200000
N
N
N
N/A
N/A
3175DA290 CDX IG35 5Y V1 JAN21 1.1 PUT
000000000
-4000000.000000
NC
USD
-7894.520000
-0.0003564
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
SWOP CDX IG35 (V1 ONLY) 5Y SP
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
1305.480000
N
N
N
N/A
N/A
3175DA308 CDX.O P 0.95 DEC20 0.95 PUT
000000000
-4000000.000000
NC
USD
-7365.360000
-0.0003325
N/A
DCR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
SWOP CDX IG35 (V1 ONLY) 5Y SP
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
-125.360000
N
N
N
N/A
N/A
3175JK870 CDX.O C 0.50 NOV20 0.5 CALL
000000000
-4100000.000000
NC
USD
-3942.480000
-0.0001780
N/A
DCR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
SWOP CDX IG35 (V1 ONLY) 5Y SP
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
-662.480000
N
N
N
N/A
N/A
3175SG473 CDX.O P0.90 IG35 DEC20 0.9 PUT
000000000
-3600000.000000
NC
USD
-7424.570000
-0.0003352
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX IG35 (V1 ONLY) 5Y SP
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
-1664.570000
N
N
N
N/A
N/A
3175SH430 CDX IG35 5Y V1 DEC20 0,8 PUT
000000000
-3800000.000000
NC
USD
-10091.580000
-0.0004556
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
SWOP CDX IG35 (V1 ONLY) 5Y SP
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
-4391.580000
N
N
N
N/A
N/A
3175SH448 CDXO P 090 DEC20 0.9 PUT
000000000
-3900000.000000
NC
USD
-8043.280000
-0.0003632
N/A
DCR
US
N
2
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
Put
Written
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
N/A
N/A
SWOP CDX IG35 (V1 ONLY) 5Y SP
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
-3753.280000
N
N
N
N/A
N/A
3175SH455 CDXO C 045 DEC20 0.45 CALL
000000000
-3900000.000000
NC
USD
-2388.280000
-0.0001078
N/A
DCR
US
N
2
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
Call
Written
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
N/A
N/A
SWOP CDX IG35 (V1 ONLY) 5Y SP
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
1901.720000
N
N
N
N/A
N/A
BOUGHT CAD/SOLD USD
000000000
1.000000
NC
93353.750000
0.0042149
N/A
DFE
CA
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
19714377.760000
USD
26374900.000000
CAD
2020-10-02
93353.750000
N
N
N
N/A
N/A
BOUGHT CHF/SOLD USD
000000000
1.000000
NC
110985.440000
0.0050110
N/A
DFE
CH
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
32606022.320000
USD
30134000.000000
CHF
2020-10-02
110985.440000
N
N
N
N/A
N/A
BOUGHT ZAR/SOLD USD
000000000
1.000000
NC
-193.070000
-0.0000087
N/A
DFE
ZA
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
60451.000000
USD
1014350.910000
ZAR
2020-11-13
-193.070000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
33909.470000
0.0015310
N/A
DFE
CA
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
3552399.000000
CAD
2701785.580000
USD
2020-10-02
33909.470000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
-93049.190000
-0.0042012
N/A
DFE
CA
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
26374900.000000
CAD
19716609.020000
USD
2020-11-03
-93049.190000
N
N
N
N/A
N/A
SOLD CHF/BOUGHT USD
000000000
1.000000
NC
-110781.400000
-0.0050018
N/A
DFE
CH
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
30134000.000000
CHF
32635225.700000
USD
2020-11-03
-110781.400000
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
2021311.710000
0.0912627
N/A
DFE
GB
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
64515000.000000
GBP
85268191.650000
USD
2020-10-02
2021311.710000
N
N
N
N/A
N/A
BOUGHT IDR/SOLD USD
000000000
1.000000
NC
45.130000
0.0000020
N/A
DFE
ID
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
132898.350000
USD
1992810701.000000
IDR
2020-12-16
45.130000
N
N
N
N/A
N/A
EURO-BUND FUTURE DEC20 XEUR 20201208
000000000
-40.000000
NC
-40600.060000
-0.0018331
N/A
DIR
DE
N
1
Eurex
N/A
Short
N/A
GERMANY GOVT
2020-12-08
-8184637.390000
EUR
-40600.060000
N
N
N
N/A
N/A
RXX0C174 NOV20 174 CALL FSO
000000000
-180.000000
NC
-17064.770000
-0.0007705
N/A
DIR
DE
N
1
Eurex
N/A
Call
Written
Eurex
N/A
N/A
529900AQBND3S6YJLY83
FIN FUT EUR-BUND 10YR EUX 12/08/20
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
174.000000
EUR
2020-10-23
XXXX
-17064.770000
N
N
N
N/A
N/A
RXX0P172.5 NOV20 172.5 PUT FSO
000000000
-180.000000
NC
227742.740000
0.0102826
N/A
DIR
DE
N
1
Eurex
N/A
Put
Written
Eurex
N/A
N/A
529900AQBND3S6YJLY83
FIN FUT EUR-BUND 10YR EUX 12/08/20
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
172.500000
EUR
2020-10-23
XXXX
227742.740000
N
N
N
N/A
N/A
317510TB1 OTC EPUT G2 2.0 DEC20 102.1875 PUT
000000000
-2200000.000000
NC
USD
-9885.700000
-0.0004463
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
2489.300000
N
N
N
N/A
N/A
317516RE4 OTC EPUT G2 2.5 103.3671875
000000000
-1600000.000000
NC
USD
-15473.520000
-0.0006986
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
-8473.520000
N
N
N
N/A
N/A
317535N65 OTC EPUT G2 2.5 JAN21 103.59375 PUT
000000000
-1500000.000000
NC
USD
-5800.500000
-0.0002619
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
0.280000
N
N
N
N/A
N/A
317563A46 OTC EPUT G2 3.0 104
000000000
-1500000.000000
NC
USD
-2625.450000
-0.0001185
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
1124.550000
N
N
N
N/A
N/A
BOUGHT BRL/SOLD EUR
000000000
1.000000
NC
-6274.590000
-0.0002833
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
7192863.610000
EUR
47649125.000000
BRL
2020-10-02
-6274.590000
N
N
N
N/A
N/A
BOUGHT BRL/SOLD EUR
000000000
1.000000
NC
25132.750000
0.0011347
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
7189390.740000
EUR
47649125.000000
BRL
2020-11-04
25132.750000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD BRL
000000000
1.000000
NC
39234.740000
0.0017715
N/A
DFE
N/A
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
47649125.000000
BRL
7199384.300000
EUR
2020-10-02
39234.740000
N
N
N
N/A
N/A
SOLD BRL/BOUGHT EUR
000000000
1.000000
NC
-83000.130000
-0.0037475
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
47649125.000000
BRL
7199384.300000
EUR
2020-10-02
-83000.130000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT BRL
000000000
1.000000
NC
57685.160000
0.0026045
N/A
DFE
N/A
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
7192863.610000
EUR
47649125.000000
BRL
2020-10-02
57685.160000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT BRL
000000000
1.000000
NC
17606.500000
0.0007949
N/A
DFE
N/A
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
7189390.740000
EUR
47649125.000000
BRL
2020-11-04
17606.500000
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
6991.950000
0.0003157
N/A
DFE
GB
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
899000.000000
GBP
1167015.900000
USD
2020-10-02
6991.950000
N
N
N
N/A
N/A
SOLD TWD/BOUGHT USD
000000000
1.000000
NC
-232037.890000
-0.0104766
N/A
DFE
TW
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
927850108.000000
TWD
32150038.390000
USD
2020-12-16
-232037.890000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
-178244.340000
-0.0080478
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
11135959.940000
USD
9346000.000000
EUR
2020-10-02
-178244.340000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
246106.690000
0.0111118
N/A
DFE
GB
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
81764618.690000
USD
63557000.000000
GBP
2020-10-02
246106.690000
N
N
N
N/A
N/A
SOLD AUD/BOUGHT USD
000000000
1.000000
NC
3172.570000
0.0001432
N/A
DFE
AU
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
148000.000000
AUD
109177.540000
USD
2020-10-02
3172.570000
N
N
N
N/A
N/A
SOLD BRL/BOUGHT USD
000000000
1.000000
NC
-41525.770000
-0.0018749
N/A
DFE
BR
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
1770000.000000
BRL
272874.430000
USD
2021-01-05
-41525.770000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
155018.530000
0.0069991
N/A
DFE
CA
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
19491135.000000
CAD
14792995.130000
USD
2020-10-02
155018.530000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
82484.920000
0.0037242
N/A
DFE
CA
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
8255302.000000
CAD
6282273.570000
USD
2020-10-02
82484.920000
N
N
N
N/A
N/A
SOLD CHF/BOUGHT USD
000000000
1.000000
NC
528554.080000
0.0238643
N/A
DFE
CH
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
30134000.000000
CHF
33245561.840000
USD
2020-10-02
528554.080000
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
-246593.980000
-0.0111338
N/A
DFE
GB
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
63557000.000000
GBP
81777838.550000
USD
2020-11-03
-246593.980000
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
-129352.480000
-0.0058403
N/A
DFE
JP
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
1756106683.000000
JPY
16521732.550000
USD
2020-10-02
-129352.480000
N
N
N
2020-11-04
PIMCO Funds
/s/ Jason Nagler
Jason Nagler
Assistant Treasurer