NPORT-P false 0000810893 XXXXXXXX S000010253 C000064162 C000031249 C000200457 C000031251 C000031248 C000028347 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO StocksPLUS Small Fund S000010253 LP81JMWRLFYV1VGLZ622 2021-03-31 2020-09-30 N 2427608731.250000 781495379.780000 1646113351.470000 0.000000 0.000000 17816015.050000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 7222758.420000 JPY CAD USD GBP EUR ARS N N/A N/A 000000000 -1400000.000000 NC -103.950000 -0.0000063 N/A DCR DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.500000 EUR 2021-01-20 XXXX 986.590000 N N N N/A N/A 000000000 -2100000.000000 NC -2351.770000 -0.0001429 N/A DCR DE N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.900000 EUR 2020-11-18 XXXX 106.640000 N N N N/A N/A 000000000 -2100000.000000 NC -437.230000 -0.0000266 N/A DCR DE N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.480000 EUR 2020-11-18 XXXX 1272.480000 N N N N/A N/A 000000000 -1700000.000000 NC -105.670000 -0.0000064 N/A DCR DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.480000 EUR 2020-10-21 XXXX 1497.430000 N N N N/A N/A 000000000 -1500000.000000 NC -582.640000 -0.0000354 N/A DCR DE N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.480000 EUR 2020-12-16 XXXX 663.130000 N N N N/A N/A 000000000 -1200000.000000 NC -74.590000 -0.0000045 N/A DCR DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.480000 EUR 2020-10-21 XXXX 641.420000 N N N N/A N/A 000000000 -2700000.000000 NC -6238.830000 -0.0003790 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2020-12-16 XXXX -2772.660000 N N N N/A N/A 000000000 -2700000.000000 NC -1048.730000 -0.0000637 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.480000 EUR 2020-12-16 XXXX 1094.960000 N N N N/A N/A 000000000 -2000000.000000 NC -491.890000 -0.0000299 N/A DCR DE N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Call Written CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.450000 EUR 2020-12-16 XXXX 686.160000 N N N N/A N/A 000000000 -1300000.000000 NC -80.820000 -0.0000049 N/A DCR DE N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.480000 EUR 2020-10-21 XXXX 557.760000 N N N N/A N/A 000000000 -1200000.000000 NC -682.380000 -0.0000415 N/A DCR DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2020-10-21 XXXX 302.130000 N N N N/A N/A 000000000 -1200000.000000 NC -472.470000 -0.0000287 N/A DCR DE N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2020-10-21 XXXX 1333.700000 N N N N/A N/A 000000000 -1100000.000000 NC -200.210000 -0.0000122 N/A DCR DE N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.530000 EUR 2020-10-21 XXXX 1360.350000 N N N N/A N/A 000000000 -1500000.000000 NC -3466.020000 -0.0002106 N/A DCR DE N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2020-12-16 XXXX -1463.890000 N N N N/A N/A 000000000 -1100000.000000 NC -1231.880000 -0.0000748 N/A DCR DE N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Put Written CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.900000 EUR 2020-11-18 XXXX 45.070000 N N N N/A N/A 000000000 -1100000.000000 NC -229.030000 -0.0000139 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.480000 EUR 2020-11-18 XXXX 616.920000 N N N N/A N/A 000000000 -2000000.000000 NC -416.410000 -0.0000253 N/A DCR DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.480000 EUR 2020-11-18 XXXX 1203.510000 N N N N/A N/A 000000000 -2500000.000000 NC -984.330000 -0.0000598 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2020-10-21 XXXX 3252.500000 N N N N/A N/A 000000000 -2000000.000000 NC -5422.390000 -0.0003294 N/A DCR DE N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Put Written CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2020-12-16 XXXX -2241.650000 N N N N/A N/A 000000000 -1100000.000000 NC -173.700000 -0.0000106 N/A DCR DE N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.000000 EUR 2020-10-21 XXXX 1636.550000 N N N N/A N/A 000000000 -2600000.000000 NC -473.220000 -0.0000287 N/A DCR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.530000 EUR 2020-10-21 XXXX 2901.140000 N N N N/A N/A 000000000 -1700000.000000 NC -966.710000 -0.0000587 N/A DCR DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2020-10-21 XXXX 195.540000 N N N N/A N/A 000000000 -1200000.000000 NC -472.470000 -0.0000287 N/A DCR DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2020-10-21 XXXX 1557.150000 N N N N/A N/A 000000000 -4900000.000000 NC -515.050000 -0.0000313 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-10-21 XXXX 3850.230000 N N N N/A N/A 000000000 -2400000.000000 NC -577.850000 -0.0000351 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.930000 EUR 2020-10-21 XXXX 2924.780000 N N N N/A N/A 000000000 -900000.000000 NC -2440.080000 -0.0001482 N/A DCR DE N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2020-12-16 XXXX -1159.520000 N N N N/A N/A 000000000 -1400000.000000 NC -551.230000 -0.0000335 N/A DCR DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2020-10-21 XXXX 1639.750000 N N N N/A N/A 000000000 -5900000.000000 NC -15996.060000 -0.0009717 N/A DCR DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2020-12-16 XXXX -7915.480000 N N N N/A N/A 000000000 -1200000.000000 NC -126.130000 -0.0000077 N/A DCR DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-10-21 XXXX 860.490000 N N N N/A N/A 000000000 -2600000.000000 NC -410.560000 -0.0000249 N/A DCR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.000000 EUR 2020-10-21 XXXX 4724.340000 N N N N/A N/A 000000000 -1100000.000000 NC -229.030000 -0.0000139 N/A DCR DE N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Call Written CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.480000 EUR 2020-11-18 XXXX 709.130000 N N N N/A N/A 000000000 -2200000.000000 NC -111.920000 -0.0000068 N/A DCR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.200000 EUR 2020-10-21 XXXX 5450.150000 N N N N/A N/A 000000000 -2700000.000000 NC -137.350000 -0.0000083 N/A DCR DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.200000 EUR 2020-10-21 XXXX 6531.790000 N N N N/A N/A 000000000 -1900000.000000 NC -5151.280000 -0.0003129 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2020-12-16 XXXX -2394.470000 N N N N/A N/A 000000000 -2700000.000000 NC -283.800000 -0.0000172 N/A DCR DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-10-21 XXXX 2141.340000 N N N N/A N/A 000000000 -1100000.000000 NC -68.380000 -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 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 709.660000 N N N N/A N/A 000000000 -1100000.000000 NC -1231.880000 -0.0000748 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.900000 EUR 2020-11-18 XXXX -60.560000 N N N N/A N/A 000000000 -1300000.000000 NC -205.270000 -0.0000125 N/A DCR DE N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Put Written CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.000000 EUR 2020-10-21 XXXX 2439.050000 N N N N/A N/A 000000000 -1300000.000000 NC -739.240000 -0.0000449 N/A DCR DE N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2020-10-21 XXXX 607.160000 N N N N/A N/A 000000000 -1100000.000000 NC -625.510000 -0.0000380 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2020-10-21 XXXX 573.970000 N N N N/A N/A 000000000 -5900000.000000 NC -1451.070000 -0.0000882 N/A DCR DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.450000 EUR 2020-12-16 XXXX 3427.360000 N N N N/A N/A 000000000 -900000.000000 NC -221.350000 -0.0000134 N/A DCR DE N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.450000 EUR 2020-12-16 XXXX 514.970000 N N N N/A N/A 000000000 -1900000.000000 NC -467.290000 -0.0000284 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.450000 EUR 2020-12-16 XXXX 826.720000 N N N N/A N/A 000000000 -1100000.000000 NC -932.740000 -0.0000567 N/A DCR DE N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.750000 EUR 2020-10-21 XXXX 372.020000 N N N N/A N/A 000000000 -1300000.000000 NC -236.610000 -0.0000144 N/A DCR DE N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Call Written CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.530000 EUR 2020-10-21 XXXX 1379.360000 N N N N/A N/A 000000000 -1200000.000000 NC -126.130000 -0.0000077 N/A DCR DE N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-10-21 XXXX 1159.030000 N N N N/A N/A 000000000 -2000000.000000 NC -2239.780000 -0.0001361 N/A DCR DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.900000 EUR 2020-11-18 XXXX 9.050000 N N N N/A N/A 000000000 -2200000.000000 NC -231.240000 -0.0000140 N/A DCR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-10-21 XXXX 1622.780000 N N N N/A N/A 000000000 1.000000 NC 447941.000000 0.0272120 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 33 Y Single Leg Swap 2025-06-21 402798.100000 EUR 0.000000 EUR 21400000.000000 EUR 45142.900000 N N N N/A N/A 000000000 -1200000.000000 NC -2556.670000 -0.0001553 N/A DCR DE N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN34 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2020-12-16 XXXX -15.320000 N N N N/A N/A 000000000 -2100000.000000 NC -3846.540000 -0.0002337 N/A DCR DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN34 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.900000 EUR 2020-12-16 XXXX 457.620000 N N N N/A N/A 000000000 -1900000.000000 NC -4048.050000 -0.0002459 N/A DCR DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN34 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2020-12-16 XXXX -535.890000 N N N N/A N/A 000000000 -900000.000000 NC -1427.840000 -0.0000867 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN34 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.950000 EUR 2020-12-16 XXXX 156.860000 N N N N/A N/A 000000000 1.000000 NC 287.660000 0.0000175 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 10882.840000 USD 247541.000000 MXN 2020-10-21 287.660000 N N N N/A N/A 000000000 1.000000 NC 151.370000 0.0000092 N/A DFE ZA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 120857.450000 USD 2037000.000000 ZAR 2020-11-13 151.370000 N N N N/A N/A 000000000 1.000000 NC 12915.740000 0.0007846 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 50216439.340000 BRL 8954748.630000 USD 2020-10-02 12915.740000 N N N N/A N/A 000000000 1.000000 NC -8605.830000 -0.0005228 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 13963291.650000 USD 1471730940.000000 JPY 2020-10-02 -8605.830000 N N N N/A N/A 000000000 1.000000 NC 79532.840000 0.0048316 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 11238002.000000 CAD 8519349.720000 USD 2020-10-02 79532.840000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 3688000.000000 PA 26631.540000 0.0016178 Long DBT NUSS AR N 2 2022-04-03 Floating 31.6406 N N N N N N N/A N/A 000000000 1.000000 NC -62515.630000 -0.0037978 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1238396605.000000 JPY 11679736.350000 USD 2020-10-02 -62515.630000 N N N N/A N/A 000000000 1.000000 NC -21479.280000 -0.0013048 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 391054814.000000 JPY 3686431.530000 USD 2020-10-02 -21479.280000 N N N N/A N/A 000000000 1.000000 NC 8779.130000 0.0005333 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1471730940.000000 JPY 13968526.540000 USD 2020-11-04 8779.130000 N N N N/A N/A 000000000 1.000000 NC -498781.380000 -0.0303005 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ROLLS-ROYCE PLC ROLLS-ROYCE PLC Y Single Leg Swap 2024-06-21 22911.750000 EUR 0.000000 EUR 3400000.000000 EUR -521693.130000 N N N N/A N/A 000000000 4889.000000 NC USD -4387090.220000 -0.2665120 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long RUSSELL 2000 INDEX N/A N/A 2020-12-18 367750580.000000 USD -4387090.220000 N N N N/A N/A 000000000 1.000000 NC USD -4527761.390000 -0.2750577 N/A DE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 RUSSELL 2000 INDEX N/A N/A Y 2020-11-18 0.000000 USD 0.000000 USD 211375579.200000 USD -4527761.390000 N N N N/A N/A 000000000 1.000000 NC USD -13422734.510000 -0.8154198 N/A DE US N 2 UBS Asset Management Holding Ltd 549300MOMNGW0OI5CD23 RUSSELL 2000 INDEX N/A N/A Y 2020-10-22 0.000000 USD 0.000000 USD 406984912.580000 USD -13422734.510000 N N N N/A N/A 000000000 1.000000 NC USD 21243920.230000 1.2905503 N/A DE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A RUSSELL 2000 TOTAL RETURN INDEX Y 2021-06-09 0.000000 USD 0.000000 USD 93337816.100000 USD 21243920.230000 N N N N/A N/A 000000000 1.000000 NC USD 1430469.680000 0.0868998 N/A DE US N 2 Wells Fargo Trust Company, National Association 549300RFXISSEVCFN040 N/A RUSSELL 2000 TOTAL RETURN INDEX Y 2021-04-07 0.000000 USD 0.000000 USD 63180680.020000 USD 1430469.680000 N N N N/A N/A 000000000 1.000000 NC USD 2994673.780000 0.1819239 N/A DE US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 N/A RUSSELL 2000 TOTAL RETURN INDEX Y 2020-10-07 0.000000 USD 0.000000 USD 130323806.400000 USD 2994673.780000 N N N N/A N/A 000000000 1.000000 NC USD 7029084.380000 0.4270110 N/A DE US N 2 Wells Fargo Trust Company, National Association 549300RFXISSEVCFN040 N/A RUSSELL 2000 TOTAL RETURN INDEX Y 2021-01-13 0.000000 USD 0.000000 USD 142099762.100000 USD 7029084.380000 N N N N/A N/A 000000000 1.000000 NC USD 6900413.710000 0.4191943 N/A DE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A RUSSELL 2000 TOTAL RETURN INDEX Y 2021-04-07 0.000000 USD 0.000000 USD 139214003.180000 USD 6900413.710000 N N N N/A N/A 000000000 1.000000 NC USD 1476977.000000 0.0897251 N/A DE US N 2 Wells Fargo Trust Company, National Association 549300RFXISSEVCFN040 N/A RUSSELL 2000 TOTAL RETURN INDEX Y 2020-10-07 0.000000 USD 0.000000 USD 63173146.850000 USD 1476977.000000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HX1 248340.000000 PA USD 113243.040000 0.0068794 Long DBT NUSS AR N 2 2029-07-09 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC 17565.330000 0.0010671 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1341172.400000 USD 1053000.000000 GBP 2020-10-02 17565.330000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HS2 1198767.000000 PA USD 500485.220000 0.0304041 Long DBT NUSS AR N 2 2030-07-09 Variable 0.125 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HT0 2196232.000000 PA USD 825783.230000 0.0501656 Long DBT NUSS AR N 2 2035-07-09 Variable 0.125 N N N N N N N/A N/A 000000000 1.000000 NC -51887.780000 -0.0031521 N/A DFE BR N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 8993720.670000 USD 50216439.340000 BRL 2020-10-02 -51887.780000 N N N N/A N/A 000000000 1.000000 NC 76821.480000 0.0046668 N/A DFE CA N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 12442100.570000 USD 16669517.000000 CAD 2020-10-02 76821.480000 N N N N/A N/A 000000000 1.000000 NC -40422.620000 -0.0024556 N/A DFE JP N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 29401190.140000 USD 3096533346.000000 JPY 2020-10-02 -40422.620000 N N N N/A N/A 000000000 1.000000 NC 52136.310000 0.0031672 N/A DFE BR N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 50216439.320000 BRL 8986590.620000 USD 2020-11-04 52136.310000 N N N N/A N/A 000000000 1.000000 NC 163073.950000 0.0099066 N/A DFE CA N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 16034000.010000 CAD 12204718.360000 USD 2020-10-02 163073.950000 N N N N/A N/A 000000000 1.000000 NC -76666.460000 -0.0046574 N/A DFE CA N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 16669517.010000 CAD 12443473.310000 USD 2020-11-03 -76666.460000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HV5 7350000.000000 PA USD 2930812.500000 0.1780444 Long DBT NUSS AR N 2 2041-07-09 Variable 0.125 N N N N N N N/A N/A 000000000 1.000000 NC 40664.300000 0.0024703 N/A DFE JP N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 3096533346.000000 JPY 29412081.440000 USD 2020-11-04 40664.300000 N N N N/A N/A 000000000 9400000.000000 NC 961707.020000 0.0584229 N/A DIR DE N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.20000 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 958536.180000 N N N N/A N/A 000000000 -18800000.000000 NC -751874.360000 -0.0456757 N/A DIR DE N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R -0.10000 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 -751874.360000 N N N N/A N/A 000000000 261100000.000000 NC USD 5888927.730000 0.3577474 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.03600 07/21/21-3Y LCH N/A N/A 2024-07-21 0.000000 USD 0.000000 USD N/A USD N/A 1.040000 USD 2021-07-19 XXXX 4929385.230000 N N N N/A N/A 000000000 -83600000.000000 NC USD -5721935.120000 -0.3476027 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.45300 07/21/21-10Y LCH N/A N/A 2031-07-21 0.000000 USD 0.000000 USD N/A USD N/A 1.450000 USD 2021-07-19 XXXX -4787313.240000 N N N N/A N/A 000000000 572600000.000000 NC USD 12643466.080000 0.7680799 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.02300 08/04/21-3Y LCH N/A N/A 2024-08-04 0.000000 USD 0.000000 USD N/A USD N/A 1.020000 USD 2021-08-02 XXXX 10391499.640000 N N N N/A N/A 000000000 -183200000.000000 NC USD -13172446.400000 -0.8002150 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.49440 08/04/21-10Y LCH N/A N/A 2031-08-04 0.000000 USD 0.000000 USD N/A USD N/A 1.490000 USD 2021-08-02 XXXX -10920950.250000 N N N N/A N/A 000000000 157800000.000000 NC USD 12947458.440000 0.7865472 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.05000 03/15/21-5Y CME N/A N/A 2026-03-15 0.000000 USD 0.000000 USD N/A USD N/A 2.050000 USD 2021-03-11 XXXX 11685058.440000 N N N N/A N/A 000000000 -83300000.000000 NC USD -12659667.440000 -0.7690641 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.32250 03/15/21-10Y CME N/A N/A 2031-03-15 0.000000 USD 0.000000 USD N/A USD N/A 2.320000 USD 2021-03-11 XXXX -11397546.230000 N N N N/A N/A 000000000 163200000.000000 NC USD 11349221.760000 0.6894557 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.80000 03/16/21-5Y CME N/A N/A 2026-03-16 0.000000 USD 0.000000 USD N/A USD N/A 1.800000 USD 2021-03-12 XXXX 10391803.040000 N N N N/A N/A 000000000 -86200000.000000 NC USD -11174433.560000 -0.6788374 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.09400 03/16/21-10Y CME N/A N/A 2031-03-16 0.000000 USD 0.000000 USD N/A USD N/A 2.090000 USD 2021-03-12 XXXX -10216478.380000 N N N N/A N/A 000000000 530600000.000000 NC 2106561.290000 0.1279718 N/A DIR DE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R -0.35000 11/03/21-2Y LCH 2023-11-03 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.350000 EUR 2021-11-01 XXXX 800279.740000 N N N N/A N/A 000000000 -70600000.000000 NC -1538190.420000 -0.0934438 N/A DIR DE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R -0.16400 11/03/21-10Y LCH 2031-11-03 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.160000 EUR 2021-11-01 XXXX -639304.480000 N N N N/A N/A 000000000 -34400000.000000 NC -841008.540000 -0.0510906 N/A DIR DE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R -0.12200 11/03/21-10Y LCH 2031-11-03 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.120000 EUR 2021-11-01 XXXX -432247.680000 N N N N/A N/A 000000000 1.000000 NC -397987.560000 -0.0241774 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 -3296.940000 EUR 2450000.000000 EUR -394690.620000 N N N N/A N/A 000000000 1.000000 NC 970099.430000 0.0589327 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 6996.560000 EUR 0.000000 EUR 2450000.000000 EUR 963102.870000 N N N N/A N/A 000000000 1.000000 NC 264521.630000 0.0160695 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 21500000.000000 GBP 262117.310000 N N N N/A N/A 000000000 1.000000 NC 5172.150000 0.0003142 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 6200000.000000 GBP 5172.150000 N N N N/A N/A 000000000 1.000000 NC -302349.430000 -0.0183675 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 -22465.880000 GBP 21500000.000000 GBP -279883.550000 N N N N/A N/A 000000000 1.000000 NC 403341.400000 0.0245027 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-01-15 27344.540000 GBP 0.000000 GBP 23400000.000000 GBP 375996.860000 N N N N/A N/A 000000000 1.000000 NC 967810.340000 0.0587937 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 -2578.780000 GBP 22600000.000000 GBP 970389.120000 N N N N/A N/A 000000000 1.000000 NC 236016.100000 0.0143378 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 3800000.000000 GBP 236016.100000 N N N N/A N/A 000000000 1.000000 NC 819405.400000 0.0497782 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 154910.760000 GBP 0.000000 GBP 13100000.000000 GBP 664494.640000 N N N N/A N/A 000000000 1.000000 NC 236653.360000 0.0143765 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 3700000.000000 GBP 236653.360000 N N N N/A N/A 000000000 1.000000 NC USD -198563.830000 -0.0120626 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 33700000.000000 USD -198563.830000 N N N N/A N/A 000000000 1.000000 NC 5014320.170000 0.3046157 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 -663261.760000 CAD 147900000.000000 CAD 5677581.930000 N N N N/A N/A 000000000 1.000000 NC 516033.860000 0.0313486 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2049-12-20 54976.180000 CAD 0.000000 CAD 3700000.000000 CAD 461057.680000 N N N N/A N/A 000000000 1.000000 NC 756717.840000 0.0459700 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 -83008.390000 CAD 3200000.000000 CAD 839726.230000 N N N N/A N/A 000000000 1.000000 NC 1466140.520000 0.0890668 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 -30678.800000 CAD 6200000.000000 CAD 1496819.320000 N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAA7 2358880.480000 PA USD 1835003.080000 0.1114749 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.27813 N N N N N N N/A N/A 000000000 1.000000 NC 840190.170000 0.0510408 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 17300000.000000 GBP 840190.170000 N N N N/A N/A 000000000 1.000000 NC 4552671.150000 0.2765709 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2055-01-20 631707.580000 GBP 0.000000 GBP 84100000.000000 GBP 3920963.570000 N N N N/A N/A 000000000 1.000000 NC -628992.790000 -0.0382108 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 14700000.000000 GBP -628992.790000 N N N N/A N/A 000000000 1.000000 NC -3806954.360000 -0.2312693 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 -509696.420000 GBP 77600000.000000 GBP -3297257.940000 N N N N/A N/A 000000000 1.000000 NC -2576843.260000 -0.1565411 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 -2623027.190000 JPY 8380000000.000000 JPY 46183.930000 N N N ASSET BACKED SEC CORP HM EQ 2005-HE6 N/A 04541GTN2 290602.670000 PA USD 291398.630000 0.0177022 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.10813 N N N N N N N/A N/A 000000000 1.000000 NC USD -477321.970000 -0.0289969 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2045-11-15 0.000000 USD 0.000000 USD 7700000.000000 USD -477321.970000 N N N N/A N/A 000000000 1.000000 NC USD -694974.130000 -0.0422191 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2045-11-15 0.000000 USD 0.000000 USD 11400000.000000 USD -694974.130000 N N N N/A N/A 000000000 1.000000 NC USD 8254077.590000 0.5014283 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 6234795.750000 USD 0.000000 USD 149000000.000000 USD 2019281.840000 N N N N/A N/A 000000000 1.000000 NC USD 2957951.130000 0.1796930 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 2988440.780000 USD 0.000000 USD 52100000.000000 USD -30489.650000 N N N N/A N/A 000000000 1.000000 NC USD -29689837.850000 -1.8036326 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 -21560675.450000 USD 638700000.000000 USD -8129162.400000 N N N N/A N/A 000000000 1.000000 NC USD 8183368.580000 0.4971328 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-06-17 3278354.850000 USD 0.000000 USD 151000000.000000 USD 4905013.730000 N N N N/A N/A 000000000 1.000000 NC USD -5126079.620000 -0.3114050 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-18 212125.300000 USD 0.000000 USD 93900000.000000 USD -5338204.920000 N N N N/A N/A 000000000 1.000000 NC USD -2038746.590000 -0.1238521 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-20 1041488.620000 USD 0.000000 USD 15000000.000000 USD -3080235.210000 N N N AT&T INC 549300Z40J86GGSTL398 00206RKG6 400000.000000 PA USD 401375.660000 0.0243832 Long DBT CORP US N 2 2028-02-01 Fixed 1.65 N N N N N N N/A N/A 000000000 1.000000 NC USD 3396769.180000 0.2063509 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-12-15 0.000000 USD -98741.180000 USD 76300000.000000 USD 3495510.360000 N N N N/A N/A 000000000 1.000000 NC USD -2533644.960000 -0.1539168 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 0.000000 USD -269285.140000 USD 17000000.000000 USD -2264359.820000 N N N N/A N/A 000000000 1.000000 NC USD -3343465.510000 -0.2031127 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-15 0.000000 USD -46039.580000 USD 53900000.000000 USD -3297425.930000 N N N N/A N/A 000000000 1.000000 NC USD -14426195.770000 -0.8763792 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-05-30 0.000000 USD -25611.950000 USD 110500000.000000 USD -14400583.820000 N N N AT&T INC 549300Z40J86GGSTL398 00206RKH4 400000.000000 PA USD 400928.780000 0.0243561 Long DBT CORP US N 2 2032-02-01 Fixed 2.25 N N N N N N N/A N/A 000000000 1.000000 NC 5861.760000 0.0003561 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 8242816.310000 USD 869946833.000000 JPY 2020-10-02 5861.760000 N N N N/A N/A 000000000 1.000000 NC 141303.140000 0.0085840 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 10469214.000000 CAD 8003754.940000 USD 2020-10-02 141303.140000 N N N N/A N/A 000000000 1.000000 NC -72665.930000 -0.0044144 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1491923048.000000 JPY 14073477.800000 USD 2020-10-02 -72665.930000 N N N N/A N/A 000000000 1.000000 NC -5783.170000 -0.0003513 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 869946833.000000 JPY 8245886.830000 USD 2020-11-04 -5783.170000 N N N N/A N/A 000000000 1.000000 NC 147103.150000 0.0089364 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 12989999.000000 EUR 15391706.930000 USD 2020-11-17 147103.150000 N N N N/A N/A 000000000 1.000000 NC -162791.050000 -0.0098894 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 2277157685.000000 JPY 21428805.070000 USD 2020-10-02 -162791.050000 N N N N/A N/A 000000000 -1000000.000000 NC USD -47.200000 -0.0000029 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 3234.050000 N N N N/A N/A 000000000 -1300000.000000 NC USD -90.610000 -0.0000055 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 4073.450000 N N N N/A N/A 000000000 -400000.000000 NC USD -694.240000 -0.0000422 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 55.760000 N N N N/A N/A 000000000 -1900000.000000 NC USD -11251.420000 -0.0006835 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 3666.550000 N N N N/A N/A 000000000 -800000.000000 NC USD -16.160000 -0.0000010 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 3608.840000 N N N N/A N/A 000000000 -2000000.000000 NC USD -127.600000 -0.0000078 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 6122.400000 N N N N/A N/A 000000000 -1000000.000000 NC USD -4086.800000 -0.0002483 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 -336.800000 N N N N/A N/A 000000000 -1900000.000000 NC USD -30.210000 -0.0000018 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 7985.420000 N N N N/A N/A 000000000 -400000.000000 NC USD -1722.560000 -0.0001046 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 -222.560000 N N N N/A N/A 000000000 -1700000.000000 NC USD -75.480000 -0.0000046 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 5502.650000 N N N N/A N/A 000000000 -1100000.000000 NC USD -62.260000 -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 3547.120000 N N N N/A N/A 000000000 -1500000.000000 NC USD -127.650000 -0.0000078 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 4559.850000 N N N N/A N/A 000000000 -500000.000000 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 976.550000 N N N N/A N/A 000000000 -1000000.000000 NC USD -2082.300000 -0.0001265 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 -51.050000 N N N N/A N/A 000000000 -900000.000000 NC USD -31.770000 -0.0000019 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 2956.510000 N N N N/A N/A 000000000 -1200000.000000 NC USD -8596.560000 -0.0005222 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 215.940000 N N N N/A N/A 000000000 -11.000000 NC -5624.520000 -0.0003417 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2020-12-29 -1931923.760000 GBP -5624.520000 N N N N/A N/A 000000000 -2885.000000 NC USD -714883.870000 -0.0434286 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-12-21 -402547656.250000 USD -714883.870000 N N N N/A N/A 000000000 -1029.000000 NC USD -81788.300000 -0.0049686 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-12-31 -227368805.200000 USD -81788.300000 N N N N/A N/A 000000000 523.000000 NC USD 85125.050000 0.0051713 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-12-31 65914343.750000 USD 85125.050000 N N N N/A N/A 000000000 -435.000000 NC USD 1507074.900000 0.0915535 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-12-21 -96488437.500000 USD 1507074.900000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAJ0 800000.000000 PA USD 715345.730000 0.0434567 Long DBT CORP KY N 2 2027-02-15 Fixed 3.25 N N N N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 ACI0LW0M3 200000.000000 PA 242678.340000 0.0147425 Long DBT CORP ES N 2 2021-04-14 Floating 8.875 N N N N Y BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) EUR XXXX N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 ACI0TGL47 5600000.000000 PA 6593517.990000 0.4005507 Long DBT CORP ES N 2 2022-04-12 Floating 0.162 N N N N N N BANCO DEL ESTADO DE CHILE 5493004R4EJC0W0XVQ72 P1027DEN7 8100000.000000 PA USD 8118306.000000 0.4931803 Long DBT CORP CL N 2 2020-10-07 Fixed 4.125 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 1800000.000000 PA USD 1980562.750000 0.1203175 Long DBT CORP GB N 2 2022-11-21 Fixed 7.625 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06739FFU0 2400000.000000 PA USD 2525284.870000 0.1534089 Long DBT CORP GB N 2 2021-06-12 Fixed 10.179 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI07CRC6 200000.000000 PA 237274.520000 0.0144142 Long DBT CORP GB N 2 2020-12-15 Floating 8 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBG9 1700000.000000 PA USD 1811372.130000 0.1100393 Long DBT CORP GB N 2 2024-06-15 Floating 8 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI1CH093 3100000.000000 PA 4181086.320000 0.2539975 Long DBT CORP GB N 2 2025-06-15 Floating 7.125 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBE4 4300000.000000 PA USD 4502239.450000 0.2735073 Long DBT CORP GB N 2 2023-02-15 Floating 4.61 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBC8 3200000.000000 PA USD 3210363.230000 0.1950269 Long DBT CORP GB N 2 2024-05-16 Floating 1.66013 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAZ8 100000.000000 PA USD 107097.980000 0.0065061 Long DBT CORP US N 2 2024-08-15 Fixed 3.222 N N N N N N BAT INTERNATIONAL FINANCE PLC 21380041YBGOQDFAC823 05530QAK6 400000.000000 PA USD 445121.570000 0.0270408 Long DBT CORP GB N 2 2025-06-15 Fixed 3.95 N N N N N N BAY AREA TOLL AUTHORITY 5493001FUZGUQMIP5D78 072024PY2 100000.000000 PA USD 181550.000000 0.0110290 Long DBT MUN US N 2 2050-10-01 Fixed 6.907 N N N N N N BCAP LLC TRUST 2012-RR11 N/A 05541YAG5 6432487.290000 PA USD 4867723.650000 0.2957101 Long ABS-MBS CORP US N 2 2037-03-26 Variable 6 N N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HXZ9 186520.660000 PA USD 174583.340000 0.0106058 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.35284 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HYH8 4428202.930000 PA USD 3435415.330000 0.2086986 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.66127 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE1 N/A 07387UBT7 1776000.000000 PA USD 1752050.280000 0.1064356 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.60813 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE10 N/A 07389RAB2 137583.860000 PA USD 137606.040000 0.0083595 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.34813 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE6 N/A 07388UAB6 1161577.230000 PA USD 1158928.830000 0.0704040 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.29813 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE2 N/A 07389YAB7 135086.000000 PA USD 216362.760000 0.0131439 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.25813 Y N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE7 N/A 07388HAP4 614132.220000 PA USD 762343.270000 0.0463117 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.30813 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 105756CB4 1954000.000000 PA USD 1902482.790000 0.1155742 Long DBT NUSS BR N 2 2050-01-14 Fixed 4.75 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BC2 300000.000000 PA USD 300570.660000 0.0182594 Long DBT CORP US N 2 2021-03-15 Floating 0.88038 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BE8 601000.000000 PA USD 643603.360000 0.0390984 Long DBT CORP US N 2 2023-03-15 Fixed 3.65 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -11300000.000000 PA -11898163.470000 -0.7228034 Short DBT NUSS CA N 2 2048-12-01 Fixed 2.75 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAR2 900000.000000 PA USD 943870.500000 0.0573393 Long DBT CORP US N 2 2027-12-15 Fixed 4.25 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BP8 4000000.000000 PA USD 4094541.400000 0.2487399 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 161175BB9 300000.000000 PA USD 317753.360000 0.0193032 Long DBT CORP US N 2 2022-07-23 Fixed 4.464 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175AY0 700000.000000 PA USD 809948.190000 0.0492037 Long DBT CORP US N 2 2025-07-23 Fixed 4.908 N N N N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 3945727.290000 PA USD 3489377.890000 0.2119768 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.44813 N N N N N N CIT GROUP INC N8O96ZZJQRFYQUJY7K79 125581GQ5 200000.000000 PA USD 206538.000000 0.0125470 Long DBT CORP US N 2 2022-08-15 Fixed 5 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAA0 1550208.610000 PA USD 1557329.960000 0.0946065 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.49813 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LL3 300000.000000 PA USD 302755.550000 0.0183921 Long DBT CORP US N 2 2024-05-17 Floating 1.38013 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LZ2 1500000.000000 PA USD 1621634.130000 0.0985129 Long DBT CORP US N 2 2024-06-01 Floating 4.044 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MA6 5200000.000000 PA USD 5229838.220000 0.3177083 Long DBT CORP US N 2 2024-06-01 Floating 1.269 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3 N/A 17309QAF1 2000000.000000 PA USD 1967553.600000 0.1195272 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.44813 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR1 N/A 17307G3C0 120386.840000 PA USD 118253.840000 0.0071838 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.14 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL3 N/A 17312GAA9 18338.590000 PA USD 15486.450000 0.0009408 Long ABS-MBS CORP US N 2 2045-07-25 Floating 0.20813 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 2899418.540000 PA USD 2035020.980000 0.1236258 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.30813 N N N N N N CITIGROUP MTGE LOAN TR INC 2008-RR1 N/A 173145AA1 3800.450000 PA USD 3344.730000 0.0002032 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.21813 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-4 N/A 17307GWE4 47935.910000 PA USD 48628.800000 0.0029542 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.02334 N N N N N N CITIMORTGAGE ALTERNATIVE LOAN TRUST 2007-A4 N/A 12566VAJ1 1683753.910000 PA USD 1309306.910000 0.0795393 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.74813 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486D22 104000.000000 PA USD 112575.840000 0.0068389 Long DBT MUN US N 2 2042-01-01 Fixed 7.75 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030NCS8 421000.000000 PA USD 483331.800000 0.0293620 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 BD2YKYII0 1800000.000000 PA 2181089.320000 0.1324993 Long DBT CORP NL N 2 2021-06-29 Floating 6.625 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-43CB N/A 02149FAM6 927180.540000 PA USD 696837.280000 0.0423323 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 5.75 Y N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA22 N/A 23245PAA9 16303.520000 PA USD 14748.410000 0.0008960 Long ABS-MBS CORP US N 2 2047-02-25 Floating 0.30813 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-28CB N/A 12667GYQ0 1530596.820000 PA USD 1042481.530000 0.0633299 Long ABS-MBS CORP US N 2 2035-08-25 Fixed 6 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDE0 6446.700000 PA USD 5933.240000 0.0003604 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.01929 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA18 N/A 23244GAD4 4535895.580000 PA USD 4232029.130000 0.2570922 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.26813 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY8C N/A 02150XAA9 2399165.130000 PA USD 2216531.320000 0.1346524 Long ABS-MBS CORP US N 2 2047-09-25 Floating 0.30813 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6 N/A 02150PAB4 52795.910000 PA USD 47762.400000 0.0029015 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.34813 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-13 N/A 02150MAA3 2361331.300000 PA USD 1860303.080000 0.1130118 Long ABS-MBS CORP US N 2 2047-06-25 Fixed 6 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-2 N/A 1266714B9 4848.690000 PA USD 4855.340000 0.0002950 Long ABS-MBS CORP US N 2 2034-04-25 Floating 1.49813 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAD8 3997407.610000 PA USD 3871626.380000 0.2351980 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.40813 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-15 N/A 12666UAC7 1923587.350000 PA USD 1913117.070000 0.1162203 Long ABS-MBS CORP US N 2 2046-10-25 Variable 5.689 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAA9 1001110.160000 PA USD 922224.080000 0.0560243 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.28813 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-26 N/A 12668HAA8 970660.350000 PA USD 896299.520000 0.0544494 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.28813 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-6 N/A 126670ZM3 2084784.360000 PA USD 2083898.540000 0.1265951 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.42813 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-10 N/A 23246BAK7 1200000.000000 PA USD 1119931.320000 0.0680349 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.39813 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8 N/A 12669WAA4 187472.100000 PA USD 176028.800000 0.0106936 Long ABS-MBS CORP US N 2 2037-11-25 Floating 0.33813 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KK3 1281386.830000 PA USD 1163690.420000 0.0706932 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.41813 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-1 N/A 126670TV0 1770745.120000 PA USD 1757578.040000 0.1067714 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.44813 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 4068.650000 PA USD 4043.660000 0.0002456 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.73471 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 1887.880000 PA USD 1881.390000 0.0001143 Long ABS-MBS CORP US N 2 2035-02-20 Floating 3.59706 N N N N N N COUNTRYWIDE HOME LOANS 2005-24 N/A 126694JR0 31066.530000 PA USD 26134.340000 0.0015876 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE HOME LOANS 2007-HY7 N/A 12544HAY6 841570.150000 PA USD 810694.040000 0.0492490 Long ABS-MBS CORP US N 2 2037-11-25 Variable 3.54188 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB6 N/A 1248RHAA5 7235.410000 PA USD 5686.200000 0.0003454 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.26813 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AJ7 1600000.000000 PA USD 1692496.000000 0.1028177 Long DBT CORP CH N 2 2023-07-17 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AH1 2000000.000000 PA USD 2017179.560000 0.1225420 Long DBT CORP CH N 2 2024-06-12 Floating 1.48913 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AC5 600000.000000 PA USD 665564.420000 0.0404325 Long DBT CORP GG N 2 2025-03-26 Fixed 3.75 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AT8 250000.000000 PA USD 269121.990000 0.0163489 Long DBT CORP GG N 2 2023-06-09 Fixed 3.8 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AH4 700000.000000 PA USD 740298.550000 0.0449725 Long DBT CORP GG N 2 2022-09-15 Fixed 3.8 N N N N N N CSN RESOURCES SA 222100ZEX458NMOXZP08 12644VAB4 450000.000000 PA USD 466317.000000 0.0283284 Long DBT CORP LU N 2 2023-02-13 Fixed 7.625 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAD6 200000.000000 PA USD 203000.000000 0.0123321 Long DBT CORP US N 2 2021-11-15 Fixed 5.25 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DV3 1750000.000000 PA USD 1759906.840000 0.1069129 Long DBT CORP US N 2 2022-02-15 Floating 1.18013 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAQ4 1300000.000000 PA USD 1290534.830000 0.0783989 Long DBT CORP DK N 2 2023-09-12 Floating 1.30913 N N N N N N DENVER CITY & COUNTY SCHOOL DISTRICT NO 1 N/A 249218AJ7 3484493.520000 PA USD 4058947.120000 0.2465776 Long DBT MUN US N 2 2026-12-15 Fixed 6.22 N N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2007-AR3 N/A 25150VAZ9 21316.720000 PA USD 22187.710000 0.0013479 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.32813 Y N N N N N DEUTSCHE ALT-A SECURITIES LN TR 2007-1 N/A 25151YAG4 3179296.710000 PA USD 2715978.750000 0.1649934 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.47813 Y N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI0Z7P46 1400000.000000 PA 1641659.490000 0.0997294 Long DBT CORP DE N 2 2020-12-07 Floating 0.02 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BS7 4000000.000000 PA USD 3934963.080000 0.2390457 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 251526BX6 7066000.000000 PA USD 7267257.200000 0.4414798 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 251526BM0 1700000.000000 PA USD 1674984.990000 0.1017539 Long DBT CORP DE N 2 2022-11-16 Floating 1.47013 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CB3 1900000.000000 PA USD 2021878.030000 0.1228274 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N DISCOVER BANK/GREENWOOD BRANCH X05BVSK68TQ7YTOSNR22 25466AAJ0 1700000.000000 PA USD 1862909.760000 0.1131702 Long DBT CORP US N 2 2026-07-27 Fixed 3.45 N N N N N N DISCOVER BANK/GREENWOOD BRANCH X05BVSK68TQ7YTOSNR22 25466AAP6 2700000.000000 PA USD 3180187.740000 0.1931937 Long DBT CORP US N 2 2028-09-13 Fixed 4.65 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 1100000.000000 PA USD 1254097.780000 0.0761854 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 1000000.000000 PA 1218919.820000 0.0740484 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 12250.320000 PA USD 12289.720000 0.0007466 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 31396WLX2 19701.710000 PA USD 19826.280000 0.0012044 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.52813 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 69944.890000 PA USD 70435.280000 0.0042789 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 0.54813 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION (FANNIE MAE) B1V7KEBTPIMZEU4LTD58 3135G05X7 34200000.000000 PA USD 34100966.380000 2.0716050 Long DBT USGSE US N 2 2025-08-25 Fixed 0.375 N N N N N N FHLMC PASS THRU POOLS N/A 31292K2G1 3953.310000 PA USD 4608.610000 0.0002800 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 6 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HHA1 1091000.000000 NS USD 1046803.610000 0.0635924 Long EP CORP US N 2 N N N FHLMC PASS THRU POOLS N/A 3132XWE64 3447250.130000 PA USD 3689889.070000 0.2241577 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FIELDSTONE MORTGAGE INVESTMENT CORP 2005-2 N/A 31659TDV4 6667532.070000 PA USD 6636560.720000 0.4031655 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.88313 N N N N N N FIRST FRANKLIN MTG LOAN ASSET 2005-FFH3 N/A 32027NVD0 438855.890000 PA USD 439527.690000 0.0267009 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.94313 N N N N N N FNMA PASS THRU POOLS N/A 31368HJD6 222.800000 PA USD 241.010000 0.0000146 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31368HXZ1 428.780000 PA USD 458.460000 0.0000279 Long ABS-MBS USGSE US N 2 2024-06-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31371EVY8 148.070000 PA USD 161.080000 0.0000098 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31371FAX0 76.550000 PA USD 83.740000 0.0000051 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31371HNH7 554.700000 PA USD 632.850000 0.0000384 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31371HYB8 5408.020000 PA USD 6341.190000 0.0003852 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31373UCY1 613.010000 PA USD 641.720000 0.0000390 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31374QHD0 517.440000 PA USD 519.490000 0.0000316 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31376EN22 228.320000 PA USD 244.800000 0.0000149 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31376KS23 1029.400000 PA USD 1149.350000 0.0000698 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31376KTB2 24666.160000 PA USD 27567.990000 0.0016747 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31379JG59 465.610000 PA USD 492.600000 0.0000299 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31381BHM4 4351.000000 PA USD 4367.450000 0.0002653 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31382GHS9 417.720000 PA USD 419.330000 0.0000255 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31382UET9 2641.540000 PA USD 2900.050000 0.0001762 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31383VEC3 314.620000 PA USD 315.880000 0.0000192 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31384HQH9 614.240000 PA USD 616.490000 0.0000375 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31385HX98 500.730000 PA USD 611.690000 0.0000372 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31386TNA9 6875.820000 PA USD 8024.980000 0.0004875 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31386T6B6 571.050000 PA USD 660.090000 0.0000401 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31387DNE5 5414.450000 PA USD 6252.690000 0.0003798 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31389ERT4 492.780000 PA USD 494.800000 0.0000301 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31390RTU7 5005.230000 PA USD 5086.400000 0.0003090 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31409CZS7 18556.850000 PA USD 21682.630000 0.0013172 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409XTB5 3775.310000 PA USD 4304.390000 0.0002615 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410GGE7 34378.440000 PA USD 41225.960000 0.0025044 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GRM7 6884.860000 PA USD 8124.110000 0.0004935 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KBF0 100983.810000 PA USD 119311.160000 0.0072481 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410PAD5 2568.210000 PA USD 2863.490000 0.0001740 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411EUF2 14612.570000 PA USD 17232.700000 0.0010469 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413LTD1 40544.020000 PA USD 45226.250000 0.0027475 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413NVK8 42779.270000 PA USD 50057.340000 0.0030409 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413N2Y0 3307.930000 PA USD 3836.140000 0.0002330 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413TJV5 63042.610000 PA USD 72168.130000 0.0043842 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413UKP3 110227.550000 PA USD 129060.200000 0.0078403 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414G6Q7 15225.250000 PA USD 17763.750000 0.0010791 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415TAM2 1829.950000 PA USD 1908.540000 0.0001159 Long ABS-MBS USGSE US N 2 2023-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415WZZ9 5329.570000 PA USD 6198.160000 0.0003765 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31419CSK0 17622.300000 PA USD 18688.290000 0.0011353 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419DPS4 1593.600000 PA USD 1689.630000 0.0001026 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A2NX3 40457.890000 PA USD 43030.070000 0.0026140 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A7W53 23285.280000 PA USD 24758.210000 0.0015040 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AGLQ9 28875.610000 PA USD 30611.810000 0.0018596 Long ABS-MBS USGSE US N 2 2021-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138EGE26 195567.360000 PA USD 229772.940000 0.0139585 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EKW35 109857.270000 PA USD 129670.990000 0.0078774 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138L0MH1 97856.780000 PA USD 100227.160000 0.0060887 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 3140GVZY4 8956842.670000 PA USD 9457123.090000 0.5745123 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 3140H1FD7 1267902.570000 PA USD 1342674.160000 0.0815663 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 3140H37E0 1771621.250000 PA USD 1876551.060000 0.1139989 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CS47 1179961.990000 PA USD 1247835.850000 0.0758050 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CUA0 1154348.220000 PA USD 1221814.660000 0.0742242 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 11157759.790000 PA USD 11803264.310000 0.7170384 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 31418CXM1 684742.600000 PA USD 721359.460000 0.0438220 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CYL2 995368.510000 PA USD 1048866.100000 0.0637177 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CZG2 919578.930000 PA USD 969719.720000 0.0589097 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 345397ZL0 500000.000000 PA USD 498228.060000 0.0302669 Long DBT CORP US N 2 2021-01-07 Floating 2.82588 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A29 1300000.000000 PA USD 1276574.000000 0.0775508 Long DBT CORP US N 2 2023-01-09 Fixed 3.087 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397XW8 200000.000000 PA USD 200360.000000 0.0121717 Long DBT CORP US N 2 2021-03-18 Fixed 3.336 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397VU4 600000.000000 PA USD 612375.000000 0.0372013 Long DBT CORP US N 2 2021-08-02 Fixed 5.875 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540XAB9 2600000.000000 PA USD 2578875.000000 0.1566645 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 24663.730000 PA USD 25095.860000 0.0015246 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 0.86238 N N N N N N FREMONT HOME LOAN TRUST 2006-2 N/A 35729PPX2 1040649.610000 PA USD 1001808.510000 0.0608590 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.31813 N N N N N N FREMONT HOME LOAN TRUST 2006-B N/A 35729QAC2 97765.050000 PA USD 42248.450000 0.0025666 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.27513 N N N N N N GE-WMC MORTGAGE SECURITIES LLC 2006-1 N/A 36829JAA9 206.810000 PA USD 125.070000 0.0000076 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.18813 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 14899773.330000 PA USD 149191430.340000 9.0632538 Long STIV RF US N 1 N N N GEORGIA POWER COMPANY D981X4Z4RWS7PDMJUZ03 373334KL4 800000.000000 PA USD 858467.550000 0.0521512 Long DBT CORP US N 2 2029-09-15 Fixed 2.65 N N N N N N GLS AUTO RECEIVABLES TRUST 2019-3A N/A 36258AAA8 1667975.090000 PA USD 1686431.570000 0.1024493 Long ABS-O CORP US N 2 2023-07-17 Fixed 2.58 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 23320236.750000 PA USD 229960854.590000 13.9699283 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 21H0506A5 5400000.000000 PA USD 5879039.080000 0.3571467 Long ABS-MBS USGSE US N 2 2050-10-21 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36297AZ55 50723.980000 PA USD 57783.530000 0.0035103 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 6 N N N N N N AT&T MOBILITY II LLC N/A 04651L206 524026.000000 NS USD 14175814.060000 0.8611688 Long EP CORP US Y 3 N N N GOLDENTREE LOAN MANAGEMENT EUR CLO 4 DAC 4A N/A ACI1N8273 3700000.000000 PA 4339308.110000 0.2636093 Long ABS-CBDO CORP IE N 2 2031-07-20 Floating 1.55 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAF7 1300000.000000 PA USD 1301627.900000 0.0790728 Long DBT CORP US N 2 2021-11-15 Floating 1.45013 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19 N/A 38380VEU1 856943.600000 PA USD 851368.750000 0.0517199 Long ABS-MBS USGSE US N 2 2047-08-20 Floating 0.50675 N N N N N N GSAA HOME EQUITY TRUST 2006-4 N/A 362334FK5 4814325.800000 PA USD 3801784.020000 0.2309552 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.62434 N N N N N N GSAA HOME EQUITY TRUST 2007-4 N/A 3622EBAB4 4868699.730000 PA USD 2082511.330000 0.1265108 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.34813 N N N N N N GSAMP TRUST 2005-HE1 N/A 36242DRX3 1314953.770000 PA USD 1100233.790000 0.0668383 Long ABS-MBS CORP US N 2 2034-12-25 Floating 1.46813 Y N N N N N GSAMP TRUST 2006-HE5 N/A 362437AD7 724250.100000 PA USD 715980.110000 0.0434952 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.29813 N N N N N N GSAMP TRUST 2006-HE8 N/A 3622M8AE6 2700000.000000 PA USD 2321745.930000 0.1410441 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.37813 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 3209.050000 PA USD 3164.100000 0.0001922 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.35028 N N N N N N HALCYON LOAN ADVISORS FUNDING 2014-3 LTD N/A 40538FAQ6 156516.960000 PA USD 156351.990000 0.0094983 Long ABS-CBDO CORP KY N 2 2025-10-22 Floating 1.35775 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-11 N/A 41162GAA0 390113.670000 PA USD 351760.390000 0.0213691 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.32625 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 987449.360000 PA USD 869572.000000 0.0528258 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.36125 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAF6 368953.990000 PA USD 335477.650000 0.0203800 Long ABS-MBS CORP US N 2 2038-01-19 Floating 0.34625 N N N N N N HARVARD UNIVERSITY 6S3X7J22E861RNTJSA74 740816AG8 1100000.000000 PA USD 1796697.610000 0.1091479 Long DBT CORP US N 2 2039-01-15 Fixed 6.5 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 7152724.640000 PA 9232934.050000 0.5608930 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.1122 N N N N N N HOME EQUITY LOAN TRUST 2007-FRE1 N/A 43710XAE8 5300000.000000 PA USD 4196868.070000 0.2549562 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.48813 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AW9 300000.000000 PA USD 338683.940000 0.0205748 Long DBT CORP GB N 2 2026-03-08 Fixed 4.3 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BR9 600000.000000 PA USD 598082.510000 0.0363330 Long DBT CORP GB N 2 2024-05-18 Floating 1.27038 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 200000.000000 PA USD 207461.440000 0.0126031 Long DBT CORP GB N 2 2031-06-04 Floating 2.848 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 1400000.000000 PA USD 1560691.260000 0.0948107 Long DBT CORP GB N 2 2026-09-12 Floating 4.292 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAA1 200000.000000 PA USD 211720.790000 0.0128619 Long DBT CORP GB N 2 2024-07-26 Fixed 3.125 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAB9 200000.000000 PA USD 216650.110000 0.0131613 Long DBT CORP GB N 2 2026-07-26 Fixed 3.5 N N N N N N INDYMAC HOME EQUITY LOAN ABS TR 2004-B N/A 456606FA5 163371.720000 PA USD 160434.390000 0.0097463 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.19813 N N N N N N INDYMAC RESIDENTIAL ASSET BCD TR 2005-B N/A 456606GY2 2000000.000000 PA USD 1869660.600000 0.1135803 Long ABS-MBS CORP US N 2 2035-08-25 Floating 1.21313 N N N N N N INEOS FINANCE PLC 2138002D68XDR4LZCG32 ACI0YJHL2 3100000.000000 PA 3451930.500000 0.2097019 Long DBT CORP GB N 2 2025-11-15 Fixed 2.125 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AR4 1000000.000000 PA USD 1039585.000000 0.0631539 Long DBT CORP NL N 2 2026-11-16 Floating 5.75 N N N N Y ING GROEP NV EUR XXXX N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513YJJ8 1300000.000000 PA USD 1650311.000000 0.1002550 Long DBT NUSS IL N 2 2048-01-17 Fixed 4.125 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 5488633600.000000 PA 51990186.000000 3.1583600 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1BXN03 2635181100.000000 PA 24986309.200000 1.5178972 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBQ8 3900000.000000 PA USD 3985925.070000 0.2421416 Long DBT CORP US N 2 2024-06-01 Floating 1.514 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBR6 5800000.000000 PA USD 6060188.870000 0.3681514 Long DBT CORP US N 2 2028-06-01 Floating 2.182 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAU0 1200000.000000 PA USD 1300718.060000 0.0790175 Long DBT CORP US N 2 2024-07-23 Floating 3.797 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAW6 3000000.000000 PA USD 3026299.590000 0.1838452 Long DBT CORP US N 2 2024-07-23 Floating 1.1455 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 16252.630000 PA USD 16341.870000 0.0009928 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.04431 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 13393.100000 PA USD 9668.900000 0.0005874 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A3 N/A 46628KAT7 36853.790000 PA USD 35771.930000 0.0021731 Long ABS-MBS CORP US N 2 2034-08-25 Floating 2.96994 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAR6 2518435.700000 PA USD 2474832.260000 0.1503440 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.60399 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 1014.010000 PA USD 963.490000 0.0000585 Long ABS-MBS CORP US N 2 2035-02-25 Floating 3.35825 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 77541.630000 PA USD 75531.330000 0.0045885 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.35813 N N N N N N JP MORGAN RESECURITIZATION TRUST SERIES 2015-3 N/A 46644NAG9 4313782.420000 PA USD 4150711.090000 0.2521522 Long ABS-MBS CORP US N 2 2037-06-26 Floating 0.295131 N N N N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 BJBQCWII7 360000.000000 NS 504024.900000 0.0306191 Long EP CORP NL N 2 N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAL0 100000.000000 PA USD 115292.070000 0.0070039 Long DBT CORP US N 2 2035-07-15 Fixed 5 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAM8 100000.000000 PA USD 109435.750000 0.0066481 Long DBT CORP US N 2 2045-07-15 Fixed 5.2 N N N N N N LEHMAN MORTGAGE TRUST 2006-7 N/A 52520QAB0 1618037.620000 PA USD 931709.100000 0.0566005 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.79813 Y N N N N N LEHMAN XS TRUST 2006 GP4 N/A 525161AN5 1939122.550000 PA USD 1802291.660000 0.1094877 Long ABS-MBS CORP US N 2 2046-08-25 Floating 0.37313 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AU3 2500000.000000 PA USD 2663611.200000 0.1618121 Long DBT CORP GB N 2 2025-09-27 Floating 7.5 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI0808H1 900000.000000 PA 1339922.110000 0.0813991 Long DBT CORP GB N 2 2029-06-27 Floating 7.875 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAG8 2200000.000000 PA USD 2208966.430000 0.1341929 Long DBT CORP GB N 2 2021-06-21 Floating 1.02738 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AS8 1100000.000000 PA USD 1194315.620000 0.0725537 Long DBT CORP GB N 2 2023-08-16 Fixed 4.05 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AT6 1000000.000000 PA USD 1179737.100000 0.0716680 Long DBT CORP GB N 2 2028-08-16 Fixed 4.55 N N N N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RH9 3806264.480000 PA USD 3710730.670000 0.2254238 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.36813 N N N N N N LONG BEACH UNIFIED SCHOOL DISTRICT N/A 542433ND5 3500000.000000 PA USD 4084920.000000 0.2481555 Long DBT MUN US N 2 2025-08-01 Fixed 5.914 N N N N N N MACKAY SHIELDS EURO CLO-2 DAC 2A N/A ACI1NGXC0 700000.000000 PA 825454.690000 0.0501457 Long ABS-CBDO CORP IE N 2 2033-08-15 Floating 1.55 N N N N N N MASTR SPECIALIZED LOAN TRUST 2006-2 N/A 57643AAA8 935791.270000 PA USD 902954.730000 0.0548537 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.40813 N N N N N N MASTR SPECIALIZED LOAN TRUST 2006-3 N/A 57643BAA6 3009456.590000 PA USD 2878913.280000 0.1748916 Long ABS-MBS CORP US N 2 2046-06-25 Floating 0.40813 N N N N N N MCDONALDS CORPORATION UE2136O97NLB5BYP9H04 58013MFG4 500000.000000 PA USD 501516.230000 0.0304667 Long DBT CORP US N 2 2021-10-28 Floating 0.67675 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 78860.730000 PA USD 72514.150000 0.0044052 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.2535 Y N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAC6 6871753.610000 PA USD 4607428.330000 0.2798974 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.25813 N N N N N N MONARCH GROVE CLO 2018-1A N/A 60909GAA8 3621844.800000 PA USD 3587177.120000 0.2179180 Long ABS-CBDO CORP KY N 2 2028-01-25 Floating 1.1245 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 ACI0TTCS6 4100000.000000 PA 4825570.430000 0.2931493 Long DBT CORP US N 2 2022-11-08 Floating 0.226 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAE5 2808309.440000 PA USD 1639322.830000 0.0995875 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.30813 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-WMC2 N/A 61749KAB9 3306.410000 PA USD 1739.970000 0.0001057 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.19813 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAA4 15952309.870000 PA USD 8581013.880000 0.5212894 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.36313 N N N N N N MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS N/A 61752JAA8 4380441.050000 PA USD 2241400.280000 0.1361632 Long ABS-MBS CORP US N 2 2046-09-25 Variable 5.965 Y N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-6AR N/A 61748HMZ1 2385000.000000 PA USD 2310374.070000 0.1403533 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.76813 N N N N N N MORTGAGEIT TRUST 2007-1 N/A 61915YAA9 1181630.910000 PA USD 1117900.590000 0.0679115 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.37813 N N N N N N MOUNTAIN HAWK III CLO LTD 2014-3A N/A 62405CAN4 215246.330000 PA USD 214930.920000 0.0130569 Long ABS-CBDO CORP KY N 2 2025-04-18 Floating 1.47175 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAC1 1500000.000000 PA USD 1627510.430000 0.0988699 Long DBT CORP GB N 2 2024-08-01 Floating 4.363 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 78442FEQ7 300000.000000 PA USD 303685.500000 0.0184486 Long DBT CORP US N 2 2023-01-25 Fixed 5.5 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAF5 200000.000000 PA USD 204500.000000 0.0124232 Long DBT CORP US N 2 2022-06-15 Fixed 6.5 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAD0 100000.000000 PA USD 101687.500000 0.0061774 Long DBT CORP US N 2 2021-07-26 Fixed 6.625 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAA6 400000.000000 PA USD 400576.000000 0.0243347 Long DBT CORP US N 2 2020-10-26 Fixed 5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 3741597.710000 PA USD 3940096.200000 0.2393575 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 6574645.890000 PA USD 6959218.620000 0.4227667 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N NEW YORK STATE THRUWAY AUTHORITY HIGHWAY & BRIDGE TRUST FUND N/A 650014TJ2 1000000.000000 PA USD 1288800.000000 0.0782935 Long DBT MUN US N 2 2030-04-01 Fixed 5.883 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AZ2 800000.000000 PA USD 808840.640000 0.0491364 Long DBT CORP US N 2 2022-07-13 Fixed 2.65 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AS8 300000.000000 PA USD 301325.930000 0.0183053 Long DBT CORP US N 2 2021-09-14 Fixed 1.9 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BD0 300000.000000 PA USD 303113.100000 0.0184139 Long DBT CORP US N 2 2022-09-28 Fixed 2.6 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AA9 1100000.000000 PA USD 1115786.770000 0.0677831 Long DBT CORP JP N 2 2023-09-15 Fixed 3.043 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AB7 2000000.000000 PA USD 2023232.040000 0.1229096 Long DBT CORP JP N 2 2025-09-17 Fixed 3.522 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 1100000.000000 PA USD 1105952.230000 0.0671857 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 1100000.000000 PA USD 1105176.300000 0.0671385 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAQ2 1900000.000000 PA USD 2020428.780000 0.1227393 Long DBT CORP JP N 2 2030-01-16 Fixed 3.103 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAR0 1700000.000000 PA USD 1732274.520000 0.1052342 Long DBT CORP JP N 2 2025-07-16 Fixed 1.851 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAS8 1300000.000000 PA USD 1341477.670000 0.0814936 Long DBT CORP JP N 2 2030-07-16 Fixed 2.679 N N N N N N ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION) 5493008I795YYBFWFU90 85172FAD1 200000.000000 PA USD 209640.000000 0.0127355 Long DBT CORP US N 2 2021-10-01 Fixed 7.75 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-3 N/A 68402BAA4 1635929.080000 PA USD 1284959.960000 0.0780602 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.36813 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-4 N/A 68403FAA4 1262084.750000 PA USD 1011270.650000 0.0614338 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.36813 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-4 N/A 68403FAE6 340207.960000 PA USD 242446.240000 0.0147284 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.45813 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-5 N/A 68403HAA0 1696979.560000 PA USD 1259239.610000 0.0764977 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.36813 N N N N N N PEOPLES CHOICE HOME LOAN SEC TR 2005-4 N/A 71085PDD2 69105.810000 PA USD 69011.320000 0.0041924 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.66813 Y N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NBE8 1012000.000000 PA USD 1064725.200000 0.0646812 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 126673L42 3005465.270000 PA USD 2998755.870000 0.1821719 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.13813 Y N N N N N POPULAR ABS MORTGAGE PASS-THROUGH TRUST 2006-C N/A 73316MAE7 3700000.000000 PA USD 3484812.070000 0.2116994 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.47813 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCD9 186000.000000 PA USD 187037.970000 0.0113624 Long DBT CORP US N 2 2021-02-15 Fixed 4.875 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAF3 3702910.040000 PA USD 2088840.070000 0.1268953 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.586 N N N N N N RESIDENTIAL ACCREDIT LOAN, INC. 2007-QO4 N/A 74923LAA0 5974827.060000 PA USD 5451429.820000 0.3311698 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.34813 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 520663.550000 PA USD 470948.100000 0.0286097 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.33313 N N N N N N RESIDENTIAL ASSET SEC CORP 2007-KS3 N/A 74924YAC7 4732998.960000 PA USD 4706991.600000 0.2859458 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.39813 N N N N N N RESIDENTIAL ASSET SECURITIES 2006-KS1 N/A 76113AAH4 580000.000000 PA USD 574411.820000 0.0348950 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.54813 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BF2 100000.000000 PA USD 105440.390000 0.0064054 Long DBT CORP US N 2 2022-06-12 Fixed 4 N N N N N N RIPON MORTGAGES PLC 1A N/A ACI0TMV43 17110836.450000 PA 22055195.310000 1.3398345 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.86825 N N N N N N RIPON MORTGAGES PLC 1X N/A ACI0TMVB7 1004628.730000 PA 1294926.930000 0.0786657 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 ACI0WLGW6 5498667.890000 PA 7087352.400000 0.4305507 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 780097BB6 1400000.000000 PA USD 1438108.000000 0.0873639 Long DBT CORP GB N 2 2021-08-15 Floating 8.625 N N N N Y ROYAL BANK OF SCOTLAND GROUP PLC GBP XXXX N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780099CK1 1100000.000000 PA USD 1223442.000000 0.0743231 Long DBT CORP GB N 2 2025-08-10 Floating 8 N N N N Y ROYAL BANK OF SCOTLAND GROUP PLC GBP XXXX N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 1700000.000000 PA USD 1978884.290000 0.1202156 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 2300000.000000 PA USD 2311203.510000 0.1404037 Long DBT CORP GB N 2 2024-06-25 Floating 1.775 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 1500000.000000 PA USD 1617883.100000 0.0982850 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAJ4 2200000.000000 PA USD 2424437.710000 0.1472825 Long DBT CORP GB N 2 2024-11-15 Floating 4.796 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAX1 3100000.000000 PA USD 3311592.080000 0.2011764 Long DBT CORP GB N 2 2024-06-18 Fixed 2.875 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAH2 1400000.000000 PA USD 1558200.000000 0.0946593 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI121KG1 500000.000000 PA USD 648339.000000 0.0393860 Long DBT NUSS SA N 2 2049-04-17 Fixed 5 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAC3 200000.000000 PA USD 240650.000000 0.0146193 Long DBT NUSS SA N 2 2046-10-26 Fixed 4.5 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 ACI1C5ZK6 2800000.000000 PA 3300425.950000 0.2004981 Long DBT CORP DE N 2 2025-05-15 Fixed 3.625 N N Y N N N SEC ASSET BACKED REC LLC 2006-FR1 N/A 81375WJT4 673889.800000 PA USD 672004.930000 0.0408237 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.72813 N N N N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AC8 1375899.800000 PA USD 967995.320000 0.0588049 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.39813 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 1132530.090000 PA USD 680851.610000 0.0413612 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.38813 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BB4 2000000.000000 PA USD 2002863.340000 0.1216723 Long DBT CORP US N 2 2021-03-15 Floating 0.70038 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-FRE1 N/A 81879MAV1 4692481.900000 PA USD 3381914.410000 0.2054485 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.32813 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2007-20L N/A 83162CRL9 18114.430000 PA USD 19560.370000 0.0011883 Long ABS-O CORP US N 2 2027-12-01 Fixed 5.29 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20H N/A 83162CRY1 242985.280000 PA USD 268648.100000 0.0163201 Long ABS-O CORP US N 2 2028-08-01 Fixed 6.02 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2009-20A N/A 83162CSG9 327030.430000 PA USD 363640.470000 0.0220909 Long ABS-O CORP US N 2 2029-01-01 Fixed 5.72 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 ACI0T6W62 3600000.000000 PA 4251124.670000 0.2582522 Long DBT CORP FR N 2 2022-04-01 Floating 0.356 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2007-3 N/A 00703RAE0 5804374.010000 PA USD 4969518.130000 0.3018940 Long ABS-MBS CORP US N 2 2037-11-25 Floating 5.18655 Y N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAB8 3800000.000000 PA USD 3951532.980000 0.2400523 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 83609NAL4 2500000.000000 PA USD 2490871.650000 0.1513184 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 1.4055 N N N N N N SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1 N/A 83611DAA6 7699.470000 PA USD 3242.970000 0.0001970 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.20813 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT2 N/A 83611MGJ1 2200000.000000 PA USD 2040270.760000 0.1239447 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.98813 Y N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ1 N/A 83612JAD6 3900000.000000 PA USD 3705090.480000 0.2250811 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.39813 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2 N/A 83613DAA4 1708286.980000 PA USD 1493753.130000 0.0907442 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.31813 N N N N N N SOUNDVIEW HOME EQUITY LOAN TRUST 2007-1 N/A 83612PAA8 522791.820000 PA USD 501935.930000 0.0304922 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.29813 N N N N N N SPECIALTY UNDERWRITING & RESID 2006-AB1 N/A 84751PKW8 1377311.690000 PA USD 1348716.360000 0.0819334 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.74813 N N N N N N SPIRIT AEROSYSTEMS INC ZD2NBKV6GCC3UMGBM518 85205TAJ9 600000.000000 PA USD 534492.000000 0.0324699 Long DBT CORP US N 2 2023-06-15 Fixed 3.95 N N N N N N SPRINT CORP (SPRINT COMMUNICATIONS INC) 549300JKU50UT08ZWD77 852061AS9 1500000.000000 PA USD 1618125.000000 0.0982997 Long DBT CORP US N 2 2022-11-15 Fixed 6 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAH8 300000.000000 PA USD 345561.000000 0.0209925 Long DBT CORP US N 2 2024-06-15 Fixed 7.125 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAE5 900000.000000 PA USD 942750.000000 0.0572713 Long DBT CORP US N 2 2021-09-15 Fixed 7.25 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAF2 800000.000000 PA USD 918100.000000 0.0557738 Long DBT CORP US N 2 2023-09-15 Fixed 7.875 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BR0 3000000.000000 PA USD 3010293.870000 0.1828728 Long DBT CORP GB N 2 2022-09-10 Floating 1.4495 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-7 N/A 863579PM4 119003.180000 PA USD 110637.840000 0.0067212 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.29667 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR1 N/A 86359LTD1 708627.270000 PA USD 701312.110000 0.0426041 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.37813 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR7 N/A 86361HAB0 7451772.430000 PA USD 6789140.710000 0.4124346 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.26813 N N N N N N STRUCTURED ASSET SEC CORP 2005-RF2 N/A 86359DEX1 1791148.280000 PA USD 1547727.830000 0.0940232 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.49813 N N N N N N STRUCTURED ASSET SECURITIES CO-2007-BC3 N/A 86363WAC3 1576359.090000 PA USD 1534947.030000 0.0932467 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.37813 N N N N N N TAKEDA PHARMACEUTICAL COMPANY LIMITED 549300ZLMVP4X0OGR454 874060AZ9 1800000.000000 PA USD 1853085.550000 0.1125734 Long DBT CORP JP N 2 2050-07-09 Fixed 3.175 N N N N N N TAKEDA PHARMACEUTICAL COMPANY LIMITED 549300ZLMVP4X0OGR454 874060BD7 1800000.000000 PA USD 1865022.750000 0.1132986 Long DBT CORP JP N 2 2060-07-09 Fixed 3.375 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 9633104.000000 PA 12391571.060000 0.7527775 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 0.9652 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 3278585.680000 PA 4241702.160000 0.2576798 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.101 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 ACI07SK20 2500000.000000 PA 2969067.840000 0.1803684 Long DBT CORP CH N 2 2026-02-12 Floating 4.75 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 3300000.000000 PA USD 3642375.000000 0.2212712 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UBS AG / STAMFORD BRANCH BFM8T61CT2L1QCEMIK50 90261AAB8 300000.000000 PA USD 334183.170000 0.0203013 Long DBT CORP CH N 2 2022-08-17 Fixed 7.625 N N N N N N UBS COMMERCIAL MORTGAGE TRUST 2017-C6 N/A 90276UAU5 3395000.000000 PA USD 3769465.110000 0.2289918 Long ABS-MBS CORP US N 2 2050-12-15 Fixed 3.5042 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90352JAD5 1400000.000000 PA USD 1409740.540000 0.0856406 Long DBT CORP CH N 2 2023-08-15 Floating 1.23013 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90351DAB3 400000.000000 PA USD 456557.990000 0.0277355 Long DBT CORP CH N 2 2025-09-24 Fixed 4.125 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 ACI0T2G44 6400000.000000 PA 7535036.430000 0.4577471 Long DBT CORP CH N 2 2022-09-20 Floating 0.199 N N N N N N UMBS PASS THRU POOLS N/A 01F0206C8 54402000.000000 PA USD 56006757.270000 3.4023633 Long ABS-MBS USGSE US N 2 2050-12-14 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F0226B6 77700000.000000 PA USD 81332306.390000 4.9408691 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 01F0306B9 127700000.000000 PA USD 133810645.490000 8.1288840 Long ABS-MBS USGSE US N 2 2050-11-12 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F0426A6 25900000.000000 PA USD 28021574.150000 1.7022870 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 01F0506A9 -5400000.000000 PA USD -5917851.580000 -0.3595045 Short ABS-MBS USGSE US N 2 2050-10-14 Fixed 5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962R9 17400000.000000 PA USD 17399509.490000 1.0570056 Long DBT UST US N 2 2020-10-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828SA9 38457888.000000 PA USD 39067605.510000 2.3733241 Long DBT UST US N 2 2022-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828UH1 8080776.000000 PA USD 8327481.360000 0.5058875 Long DBT UST US N 2 2023-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 676062.000000 PA USD 832655.780000 0.0505831 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 4335045.000000 PA USD 6161832.140000 0.3743261 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 4373320.000000 PA USD 5896419.350000 0.3582025 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 13446784.000000 PA USD 18532932.960000 1.1258601 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 6012280.000000 PA USD 8382111.910000 0.5092062 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X39 36004436.000000 PA USD 36642284.830000 2.2259879 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828QV5 9195280.000000 PA USD 9332871.270000 0.5669641 Long DBT UST US N 2 2021-07-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828B66 10500000.000000 PA USD 11411777.370000 0.6932559 Long DBT UST US N 2 2024-02-15 Fixed 2.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828P46 3300000.000000 PA USD 3529710.950000 0.2144270 Long DBT UST US N 2 2026-02-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286B1 145600000.000000 PA USD 170056250.000000 10.3307740 Long DBT UST US N 2 2029-02-15 Fixed 2.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QE1 4500000.000000 PA USD 7247285.150000 0.4402665 Long DBT UST US N 2 2040-02-15 Fixed 4.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 19000000.000000 PA USD 25978046.780000 1.5781445 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286T2 90400000.000000 PA USD 104027093.980000 6.3195584 Long DBT UST US N 2 2029-05-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QH4 5300000.000000 PA USD 8321207.020000 0.5055063 Long DBT UST US N 2 2040-05-15 Fixed 4.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282P4 15300000.000000 PA USD 15787687.500000 0.9590887 Long DBT UST US N 2 2022-07-31 Fixed 1.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XQ8 8000000.000000 PA USD 8272812.480000 0.5025664 Long DBT UST US N 2 2022-07-31 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828K74 5800000.000000 PA USD 6285070.300000 0.3818127 Long DBT UST US N 2 2025-08-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282R0 100000.000000 PA USD 112175.780000 0.0068146 Long DBT UST US N 2 2027-08-15 Fixed 2.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 500000.000000 PA USD 681621.100000 0.0414079 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285C0 30200000.000000 PA USD 34274640.780000 2.0821556 Long DBT UST US N 2 2025-09-30 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828M80 13100000.000000 PA USD 13627070.380000 0.8278331 Long DBT UST US N 2 2022-11-30 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YY0 10300000.000000 PA USD 10962660.180000 0.6659724 Long DBT UST US N 2 2024-12-31 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285T3 12100000.000000 PA USD 13561453.130000 0.8238469 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 92329VAQ5 5600000.000000 PA USD 5583136.940000 0.3391709 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 1.50175 N N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAE4 941056.880000 PA USD 891608.200000 0.0541644 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.16197 Y N N N N N WASHINGTON MUTUAL 2005-AR14 N/A 92922F4C9 1512919.020000 PA USD 1492561.480000 0.0906719 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.68373 N N N N N N WASHINGTON MUTUAL 2005-AR15 N/A 92922F5Y0 2632795.310000 PA USD 2601845.750000 0.1580599 Long ABS-MBS CORP US N 2 2045-11-25 Floating 0.72813 N N N N N N WASHINGTON MUTUAL 2006-AR11 N/A 93363TAB8 34651.550000 PA USD 34072.070000 0.0020698 Long ABS-MBS CORP US N 2 2046-09-25 Floating 2.182 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 30402.560000 PA USD 28653.020000 0.0017406 Long ABS-MBS CORP US N 2 2046-10-25 Floating 2.182 N N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AE0 222363.760000 PA USD 207225.860000 0.0125888 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.04627 Y N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AB4 16562.790000 PA USD 16171.380000 0.0009824 Long ABS-MBS CORP US N 2 2047-01-25 Floating 1.74929 N N N N N N WASHINGTON MUTUAL 2006-AR8 N/A 93362FAJ2 100426.690000 PA USD 93240.300000 0.0056643 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.29002 Y N N N N N WASHINGTON MUTUAL 2007-OA4 N/A 93364CAA6 2844199.100000 PA USD 2556102.210000 0.1552811 Long ABS-MBS CORP US N 2 2047-05-25 Floating 1.78929 N N N N N N WASHINGTON STATE CONVENTION CENTER PUBLIC FACILITIES DISTRICT N/A 93976AAH5 600000.000000 PA USD 764916.000000 0.0464680 Long DBT MUN US N 2 2040-07-01 Fixed 6.79 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BFC9 38000.000000 PA USD 39620.100000 0.0024069 Long DBT CORP US N 2 2022-03-08 Fixed 3.5 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2S1 16200000.000000 PA USD 16920707.870000 1.0279188 Long DBT CORP US N 2 2028-06-02 Floating 2.393 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR19 N/A 949789AA9 145531.700000 PA USD 136087.040000 0.0082672 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.99633 Y N N N N N WIND RIVER CLO LTD 2015-2A N/A 88432GAL1 2500692.160000 PA USD 2485930.400000 0.1510182 Long ABS-CBDO CORP KY N 2 2027-10-15 Floating 1.145 N N N N N N WPC EUROBOND BV 5493005XDMOLBARL5M14 ACI15F7Y3 3300000.000000 PA 4149093.750000 0.2520540 Long DBT CORP NL N 2 2026-04-09 Fixed 2.25 N N N N N N YPF SA 5493003N7447U18U5U53 ACI1J9CS9 11380000.000000 PA 74488.250000 0.0045251 Long DBT CORP AR N 2 2021-03-04 Floating 33.1634 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAF9 1600000.000000 PA USD 1770207.440000 0.1075386 Long DBT CORP US N 2 2025-04-01 Fixed 3.55 N N N N N N N/A N/A 000000000 522000.000000 PA USD 522000.000000 0.0317111 Long RA US N 2 Repurchase N 0.0000001 2020-10-01 523900.000000 USD 532459.910000 USD UST N N N AMERICAN HOME MORTGAGE ASSETS 2006-5 N/A 02660KAA0 7111344.210000 PA USD 3100106.590000 0.1883289 Long ABS-MBS CORP US N 2 2046-11-25 Floating 1.93929 N N N N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 934NVQII2 1000000.000000 PA USD 998376.090000 0.0606505 Long LON CORP US N 3 2021-03-29 Floating 1.0679 N N N N N N N/A N/A 000000000 1.000000 NC USD -322519.500000 -0.0195928 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -741155.870000 USD 3456254.470000 USD 418636.370000 N N N N/A N/A 000000000 1.000000 NC -6.660000 -0.0000004 N/A DFE HK N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 1232568.000000 HKD 158991.800000 USD 2020-12-16 -6.660000 N N N N/A N/A 000000000 1.000000 NC 32717.910000 0.0019876 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 6450608.880000 USD 8632846.000000 CAD 2020-10-02 32717.910000 N N N N/A N/A 000000000 1.000000 NC -13933.550000 -0.0008465 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1392872.030000 USD 1175000.000000 EUR 2020-11-17 -13933.550000 N N N N/A N/A 000000000 1.000000 NC 134461.230000 0.0081684 N/A DFE SG N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 25405570.860000 USD 34860000.000000 SGD 2020-12-16 134461.230000 N N N N/A N/A 000000000 1.000000 NC -32652.450000 -0.0019836 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 8632846.000000 CAD 6451304.970000 USD 2020-11-03 -32652.450000 N N N N/A N/A 000000000 1.000000 NC -57295.770000 -0.0034807 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 19028617.560000 CNY 2735175.730000 USD 2020-12-16 -57295.770000 N N N N/A N/A 000000000 1.000000 NC 30576.840000 0.0018575 N/A DFE JP N 2 BNP Paribas S.A. N/A 28041626.080000 USD 2960634881.000000 JPY 2020-10-02 30576.840000 N N N N/A N/A 000000000 1.000000 NC -83221.220000 -0.0050556 N/A DFE JP N 2 BNP Paribas S.A. N/A 1684176972.000000 JPY 15885839.340000 USD 2020-10-02 -83221.220000 N N N N/A N/A 000000000 1.000000 NC -30317.280000 -0.0018417 N/A DFE JP N 2 BNP Paribas S.A. N/A 2960634881.000000 JPY 28052067.880000 USD 2020-11-04 -30317.280000 N N N N/A N/A 000000000 1.000000 NC USD 74183.580000 0.0045066 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.HY.32 N/A N/A Y Single Leg Swap 2024-06-21 92088.840000 USD 0.000000 USD 1513000.000000 USD -17905.260000 N N N N/A N/A 000000000 1.000000 NC USD 55406.450000 0.0033659 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.34 Y Single Leg Swap 2025-06-21 0.000000 USD -9182.300000 USD 1104000.000000 USD 64588.750000 N N N N/A N/A 000000000 1.000000 NC USD 12812.430000 0.0007783 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.35 Y Single Leg Swap 2025-12-21 11710.000000 USD 0.000000 USD 300000.000000 USD 1102.430000 N N N N/A N/A 000000000 -1300000.000000 NC USD -5426.770000 -0.0003297 N/A DCR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.000000 USD 2020-12-16 XXXX -3541.770000 N N N N/A N/A 000000000 -3400000.000000 NC USD -4044.640000 -0.0002457 N/A DCR US N 2 CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 Put Written CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.000000 USD 2020-10-21 XXXX -644.640000 N N N N/A N/A 000000000 -1600000.000000 NC USD -4140.000000 -0.0002515 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.200000 USD 2020-12-16 XXXX -2036.000000 N N N N/A N/A 000000000 -9200000.000000 NC USD -20882.710000 -0.0012686 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2020-10-21 XXXX -9977.710000 N N N N/A N/A 000000000 -2600000.000000 NC USD -7389.330000 -0.0004489 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.000000 USD 2020-11-18 XXXX -2969.330000 N N N N/A N/A 000000000 -2400000.000000 NC USD -10018.660000 -0.0006086 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.000000 USD 2020-12-16 XXXX -5098.660000 N N N N/A N/A 000000000 -1300000.000000 NC USD -6181.400000 -0.0003755 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.950000 USD 2020-12-16 XXXX -3418.900000 N N N N/A N/A 000000000 -6700000.000000 NC USD -27968.750000 -0.0016991 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.000000 USD 2020-12-16 XXXX -14891.250000 N N N N/A N/A 000000000 -1300000.000000 NC USD -3108.700000 -0.0001889 N/A DCR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Written Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.050000 USD 2020-11-18 XXXX -1613.700000 N N N N/A N/A 000000000 -4200000.000000 NC USD -24995.750000 -0.0015185 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.000000 USD 2021-01-20 XXXX -13228.250000 N N N N/A N/A 000000000 -6100000.000000 NC USD -7256.560000 -0.0004408 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.000000 USD 2020-10-21 XXXX 3475.440000 N N N N/A N/A 000000000 -9600000.000000 NC USD -11420.160000 -0.0006938 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.000000 USD 2020-10-21 XXXX 5358.840000 N N N N/A N/A 000000000 -3000000.000000 NC USD -164.460000 -0.0000100 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.600000 USD 2020-10-21 XXXX 2535.540000 N N N N/A N/A 000000000 -1300000.000000 NC USD -3694.670000 -0.0002244 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.000000 USD 2020-11-18 XXXX -2459.670000 N N N N/A N/A 000000000 -1700000.000000 NC USD -7096.550000 -0.0004311 N/A DCR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Written Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.000000 USD 2020-12-16 XXXX -4521.550000 N N N N/A N/A 000000000 -1300000.000000 NC USD -5601.650000 -0.0003403 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2020-10-21 XXXX -4155.400000 N N N N/A N/A 000000000 -3600000.000000 NC USD -105.590000 -0.0000064 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.570000 USD 2020-10-21 XXXX 2774.410000 N N N N/A N/A 000000000 -5200000.000000 NC USD -11803.270000 -0.0007170 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2020-10-21 XXXX -5943.270000 N N N N/A N/A 000000000 -2700000.000000 NC USD -9170.500000 -0.0005571 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 95.000000 USD 2020-11-18 XXXX -5930.500000 N N N N/A N/A 000000000 -1400000.000000 NC USD -2411.230000 -0.0001465 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.150000 USD 2020-11-18 XXXX -1361.230000 N N N N/A N/A 000000000 -3300000.000000 NC USD -180.910000 -0.0000110 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.600000 USD 2020-10-21 XXXX 2591.090000 N N N N/A N/A 000000000 -3400000.000000 NC USD -186.390000 -0.0000113 N/A DCR US N 2 CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 Call Written CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.600000 USD 2020-10-21 XXXX 3553.610000 N N N N/A N/A 000000000 -1900000.000000 NC USD -8187.020000 -0.0004974 N/A DCR US N 2 CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 Put Written CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2020-10-21 XXXX -5109.020000 N N N N/A N/A 000000000 -2700000.000000 NC USD -11270.990000 -0.0006847 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.000000 USD 2020-12-16 XXXX -7895.990000 N N N N/A N/A 000000000 -1900000.000000 NC USD -2602.910000 -0.0001581 N/A DCR US N 2 CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 Put Written CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2020-12-16 XXXX 247.090000 N N N N/A N/A 000000000 -2700000.000000 NC USD -5328.800000 -0.0003237 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2021-01-20 XXXX 881.200000 N N N N/A N/A 000000000 -3000000.000000 NC USD -5524.020000 -0.0003356 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.950000 USD 2020-12-16 XXXX -94.020000 N N N N/A N/A 000000000 -3100000.000000 NC USD -2980.900000 -0.0001811 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.500000 USD 2020-11-18 XXXX -500.900000 N N N N/A N/A 000000000 -2900000.000000 NC USD -5980.900000 -0.0003633 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2020-12-16 XXXX -1340.900000 N N N N/A N/A 000000000 -2800000.000000 NC USD -7435.900000 -0.0004517 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2020-12-16 XXXX -3235.900000 N N N N/A N/A 000000000 -3000000.000000 NC USD -6187.140000 -0.0003759 N/A DCR US N 2 CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 Put Written CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2020-12-16 XXXX -2887.140000 N N N N/A N/A 000000000 -3000000.000000 NC USD -1837.140000 -0.0001116 N/A DCR US N 2 CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 Call Written CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.450000 USD 2020-12-16 XXXX 1462.860000 N N N N/A N/A 000000000 1.000000 NC -81815.990000 -0.0049703 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12164765.780000 USD 16089000.000000 CAD 2020-10-02 -81815.990000 N N N N/A N/A 000000000 1.000000 NC 70969.070000 0.0043113 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14987196.630000 USD 20050636.000000 CAD 2020-10-02 70969.070000 N N N N/A N/A 000000000 1.000000 NC 85542.840000 0.0051967 N/A DFE CH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 25131329.210000 USD 23226000.000000 CHF 2020-10-02 85542.840000 N N N N/A N/A 000000000 1.000000 NC -9197.250000 -0.0005587 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1537178.440000 USD 1302000.000000 EUR 2020-11-17 -9197.250000 N N N N/A N/A 000000000 1.000000 NC 6.480000 0.0000004 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10967.460000 USD 247541.000000 MXN 2021-03-25 6.480000 N N N N/A N/A 000000000 1.000000 NC -143.850000 -0.0000087 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 45042.000000 USD 755792.190000 ZAR 2020-11-13 -143.850000 N N N N/A N/A 000000000 1.000000 NC 25677.650000 0.0015599 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2690024.000000 CAD 2045904.200000 USD 2020-10-02 25677.650000 N N N N/A N/A 000000000 1.000000 NC -70737.540000 -0.0042972 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 20050636.000000 CAD 14988892.870000 USD 2020-11-03 -70737.540000 N N N N/A N/A 000000000 1.000000 NC -85385.570000 -0.0051871 N/A DFE CH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 23226000.000000 CHF 25153837.930000 USD 2020-11-03 -85385.570000 N N N N/A N/A 000000000 1.000000 NC 10674.210000 0.0006484 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 422000.000000 EUR 505918.500000 USD 2020-11-17 10674.210000 N N N N/A N/A 000000000 1.000000 NC 1583963.970000 0.0962245 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 50556000.000000 GBP 66818859.140000 USD 2020-10-02 1583963.970000 N N N N/A N/A 000000000 1.000000 NC -7.430000 -0.0000005 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 247541.000000 MXN 11163.070000 USD 2020-10-21 -7.430000 N N N N/A N/A 000000000 -21.000000 NC -21327.050000 -0.0012956 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2020-12-08 -4296934.630000 EUR -21327.050000 N N N N/A N/A 000000000 -142.000000 NC -13462.210000 -0.0008178 N/A DIR DE N 1 Eurex N/A Call Written Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 12/08/20 2020-12-09 N/A EUR N/A 174.000000 EUR 2020-10-23 XXXX -13462.210000 N N N N/A N/A 000000000 -142.000000 NC 179663.720000 0.0109144 N/A DIR DE N 1 Eurex N/A Put Written Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 12/08/20 2020-12-09 N/A EUR N/A 172.500000 EUR 2020-10-23 XXXX 179663.720000 N N N N/A N/A 000000000 -1600000.000000 NC USD -7189.600000 -0.0004368 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 1810.400000 N N N N/A N/A 000000000 -1200000.000000 NC USD -11605.140000 -0.0007050 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 -6355.140000 N N N N/A N/A 000000000 -1100000.000000 NC USD -4253.700000 -0.0002584 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 0.210000 N N N N/A N/A 000000000 -1200000.000000 NC USD -2100.360000 -0.0001276 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 899.640000 N N N N/A N/A 000000000 1.000000 NC -4809.930000 -0.0002922 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5513855.840000 EUR 36526538.000000 BRL 2020-10-02 -4809.930000 N N N N/A N/A 000000000 1.000000 NC 19266.090000 0.0011704 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5511193.630000 EUR 36526538.000000 BRL 2020-11-04 19266.090000 N N N N/A N/A 000000000 1.000000 NC 30076.290000 0.0018271 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 36526538.000000 BRL 5518854.420000 EUR 2020-10-02 30076.290000 N N N N/A N/A 000000000 1.000000 NC -63625.660000 -0.0038652 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 36526538.000000 BRL 5518854.420000 EUR 2020-10-02 -63625.660000 N N N N/A N/A 000000000 1.000000 NC 44219.880000 0.0026863 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5513855.840000 EUR 36526538.000000 BRL 2020-10-02 44219.880000 N N N N/A N/A 000000000 1.000000 NC 13496.670000 0.0008199 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5511193.630000 EUR 36526538.000000 BRL 2020-11-04 13496.670000 N N N N/A N/A 000000000 1.000000 NC -180817.190000 -0.0109845 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 723033851.000000 TWD 25053147.990000 USD 2020-12-16 -180817.190000 N N N N/A N/A 000000000 1.000000 NC 75530.590000 0.0045884 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2652900.240000 USD 18588872.000000 CNY 2020-12-16 75530.590000 N N N N/A N/A 000000000 1.000000 NC 193839.470000 0.0117756 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 64399752.140000 USD 50059000.000000 GBP 2020-10-02 193839.470000 N N N N/A N/A 000000000 1.000000 NC -35660.540000 -0.0021663 N/A DFE BR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1520000.000000 BRL 234332.850000 USD 2021-01-05 -35660.540000 N N N N/A N/A 000000000 1.000000 NC 117386.500000 0.0071311 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 14759500.000000 CAD 11201872.630000 USD 2020-10-02 117386.500000 N N N N/A N/A 000000000 1.000000 NC 62461.030000 0.0037945 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6251259.000000 CAD 4757199.580000 USD 2020-10-02 62461.030000 N N N N/A N/A 000000000 1.000000 NC 407386.910000 0.0247484 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 23226000.000000 CHF 25624258.960000 USD 2020-10-02 407386.910000 N N N N/A N/A 000000000 1.000000 NC 1449.370000 0.0000880 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 556000.000000 GBP 718883.540000 USD 2020-10-02 1449.370000 N N N N/A N/A 000000000 1.000000 NC -194223.260000 -0.0117989 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 50059000.000000 GBP 64410164.420000 USD 2020-11-03 -194223.260000 N N N N/A N/A 000000000 1.000000 NC -96944.900000 -0.0058893 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1316136876.000000 JPY 12382426.230000 USD 2020-10-02 -96944.900000 N N N 2020-11-04 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer