NPORT-P false 0000810893 XXXXXXXX S000009678 C000026516 C000026518 C000026520 C000026517 C000200438 C000026522 C000064132 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO International Bond Fund (U.S. Dollar-Hedged) S000009678 549300NKY72DZUNDF872 2021-03-31 2020-12-31 N 27392953735.189999 14401017542.010000 12991936193.180000 0.000000 0.000000 3173631812.760000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 92871339.644805 0.000000 0.000000 119992800.020000 USD AUD BRL ZAR ARS CNY CZK DKK EUR GBP HUF ILS JPY KRW MXN MYR NZD PEN PLN RUB SEK CHF CAD N N/A N/A 000000000 1.000000 NC -1524.120000 -0.0000117 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 398637.930000 USD 7917000.000000 MXN 2021-01-21 -1524.120000 N N N N/A N/A 000000000 1.000000 NC -46192.000000 -0.0003555 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 12900405.380000 USD 258117000.000000 MXN 2021-03-25 -46192.000000 N N N N/A N/A 000000000 1.000000 NC 1012929.570000 0.0077966 N/A DFE NZ N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 41435368.630000 USD 58996000.000000 NZD 2021-01-08 1012929.570000 N N N N/A N/A 000000000 1.000000 NC 54722.770000 0.0004212 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1580454.390000 USD 121083352.560000 RUB 2021-01-22 54722.770000 N N N N/A N/A 000000000 1.000000 NC 5514.340000 0.0000424 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 210567.300000 USD 16055020.000000 RUB 2021-02-16 5514.340000 N N N N/A N/A 000000000 1.000000 NC 5714.700000 0.0000440 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 361353.270000 USD 10995979.910000 THB 2021-03-17 5714.700000 N N N N/A N/A 000000000 1.000000 NC 123228.570000 0.0009485 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 29471833.930000 BRL 5795381.670000 USD 2021-02-02 123228.570000 N N N N/A N/A 000000000 1.000000 NC -2729.610000 -0.0000210 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 29471833.930000 BRL 5671259.440000 USD 2021-01-05 -2729.610000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HS2 5749675.000000 PA USD 2351617.080000 0.0181006 Long DBT NUSS AR N 2 2030-07-09 Variable 0.125 N N N N N N N/A N/A 000000000 1.000000 NC -1137.240000 -0.0000088 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 427000.000000 CNY 64216.690000 USD 2021-03-17 -1137.240000 N N N N/A N/A 000000000 1.000000 NC -7706507.170000 -0.0593176 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4828885307.090000 CNY 731372254.010000 USD 2021-03-17 -7706507.170000 N N N N/A N/A 000000000 1.000000 NC -2260822.110000 -0.0174017 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 589287070.000000 DKK 94527619.420000 USD 2021-02-01 -2260822.110000 N N N N/A N/A 000000000 1.000000 NC -199623.830000 -0.0015365 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9826000.000000 ILS 2864357.510000 USD 2021-04-30 -199623.830000 N N N N/A N/A 000000000 1.000000 NC -486963.020000 -0.0037482 N/A DFE JP N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6756734923.000000 JPY 64953116.210000 USD 2021-01-08 -486963.020000 N N N N/A N/A 000000000 1.000000 NC -2670307.360000 -0.0205536 N/A DFE JP N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 113055701883.000000 JPY 1092623322.330000 USD 2021-02-02 -2670307.360000 N N N N/A N/A 000000000 1.000000 NC -352347.270000 -0.0027120 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 330806000.000000 MXN 16240760.290000 USD 2021-01-21 -352347.270000 N N N N/A N/A 000000000 1.000000 NC -404993.840000 -0.0031173 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 318203000.000000 MXN 15555951.870000 USD 2021-01-21 -404993.840000 N N N N/A N/A 000000000 1.000000 NC 44293.860000 0.0003409 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 258117000.000000 MXN 12920505.730000 USD 2021-03-10 44293.860000 N N N N/A N/A 000000000 1.000000 NC 35021.310000 0.0002696 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 73993665.020000 PEN 20477573.760000 USD 2021-03-24 35021.310000 N N N N/A N/A 000000000 1.000000 NC 2537.920000 0.0000195 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2049501.360000 PEN 568784.550000 USD 2021-01-25 2537.920000 N N N N/A N/A 000000000 1.000000 NC 2275.620000 0.0000175 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2054850.000000 PEN 570000.000000 USD 2021-01-25 2275.620000 N N N N/A N/A 000000000 1.000000 NC -4945.800000 -0.0000381 N/A DFE RO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 637012.190000 RON 154576.000000 USD 2021-02-18 -4945.800000 N N N N/A N/A 000000000 1.000000 NC -4273.280000 -0.0000329 N/A DFE RO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 555020.490000 RON 134716.000000 USD 2021-02-18 -4273.280000 N N N N/A N/A 000000000 1.000000 NC 4931.320000 0.0000380 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 95084544.000000 TWD 3392000.000000 USD 2021-01-13 4931.320000 N N N N/A N/A 000000000 1.000000 NC 24351.060000 0.0001874 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1017248.690000 USD 1351000.000000 AUD 2021-01-08 24351.060000 N N N N/A N/A 000000000 1.000000 NC -1348.620000 -0.0000104 N/A DFE BR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 11675000.000000 USD 60635280.000000 BRL 2021-01-05 -1348.620000 N N N N/A N/A 000000000 1.000000 NC 232939.390000 0.0017930 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 37566020.450000 USD 48113000.000000 CAD 2021-01-08 232939.390000 N N N N/A N/A 000000000 1.000000 NC 149.870000 0.0000012 N/A DFE CL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3000.000000 USD 2238300.000000 CLP 2021-01-15 149.870000 N N N N/A N/A 000000000 1.000000 NC 50993.810000 0.0003925 N/A DFE CL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1001000.000000 USD 747546800.000000 CLP 2021-01-15 50993.810000 N N N N/A N/A 000000000 1.000000 NC 124098.810000 0.0009552 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 8581595.620000 USD 56880000.000000 CNY 2021-03-17 124098.810000 N N N N/A N/A 000000000 1.000000 NC 21057.900000 0.0001621 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3320448.080000 USD 2735000.000000 EUR 2021-01-08 21057.900000 N N N N/A N/A 000000000 1.000000 NC 17572.070000 0.0001353 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5973925.300000 USD 4904000.000000 EUR 2021-01-08 17572.070000 N N N N/A N/A 000000000 1.000000 NC 23136.640000 0.0001781 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3285381.890000 USD 2708000.000000 EUR 2021-01-08 23136.640000 N N N N/A N/A 000000000 1.000000 NC 10850.750000 0.0000835 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1253667.970000 USD 1035000.000000 EUR 2021-01-08 10850.750000 N N N N/A N/A 000000000 1.000000 NC 47373.120000 0.0003646 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 12734650.840000 USD 10462000.000000 EUR 2021-01-08 47373.120000 N N N N/A N/A 000000000 1.000000 NC 182904.930000 0.0014078 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 11329113.600000 USD 8418000.000000 GBP 2021-01-08 182904.930000 N N N N/A N/A 000000000 1.000000 NC 921164.490000 0.0070903 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 36979059.030000 USD 27714000.000000 GBP 2021-01-08 921164.490000 N N N N/A N/A 000000000 1.000000 NC 54446.770000 0.0004191 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3375363.460000 USD 2508000.000000 GBP 2021-01-08 54446.770000 N N N N/A N/A 000000000 1.000000 NC 15088.740000 0.0001161 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1442717.360000 USD 1066000.000000 GBP 2021-01-08 15088.740000 N N N N/A N/A 000000000 1.000000 NC 56393.730000 0.0004341 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1765180.120000 USD 1332000.000000 GBP 2021-01-08 56393.730000 N N N N/A N/A 000000000 1.000000 NC 32322.560000 0.0002488 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1849423.400000 USD 1376000.000000 GBP 2021-01-08 32322.560000 N N N N/A N/A 000000000 1.000000 NC 227.150000 0.0000017 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 73000.000000 USD 79679500.000000 KRW 2021-03-17 227.150000 N N N N/A N/A 000000000 1.000000 NC -18379.120000 -0.0001415 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7650000.000000 USD 8304075000.000000 KRW 2021-03-17 -18379.120000 N N N N/A N/A 000000000 1.000000 NC 194239.160000 0.0014951 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 12443000.000000 USD 13750759300.000000 KRW 2021-03-17 194239.160000 N N N N/A N/A 000000000 1.000000 NC 189535.370000 0.0014589 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 12821000.000000 USD 14156948200.000000 KRW 2021-03-17 189535.370000 N N N N/A N/A 000000000 1.000000 NC 3556740.060000 0.0273765 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 41879602.600000 USD 910818537.170000 MXN 2021-03-10 3556740.060000 N N N N/A N/A 000000000 1.000000 NC 6068.590000 0.0000467 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 290856.000000 USD 1109083.370000 PLN 2021-01-22 6068.590000 N N N N/A N/A 000000000 1.000000 NC 5592.580000 0.0000430 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 249974.000000 USD 954601.460000 PLN 2021-01-22 5592.580000 N N N N/A N/A 000000000 1.000000 NC 890.830000 0.0000069 N/A DFE RU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 143023.430000 USD 10692932.000000 RUB 2021-02-16 890.830000 N N N N/A N/A 000000000 1.000000 NC 13163.480000 0.0001013 N/A DFE RU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1641900.380000 USD 123016759.000000 RUB 2021-02-19 13163.480000 N N N N/A N/A 000000000 1.000000 NC -10808.160000 -0.0000832 N/A DFE RU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1653310.640000 USD 122083103.000000 RUB 2021-02-19 -10808.160000 N N N N/A N/A 000000000 1.000000 NC 1085952.170000 0.0083587 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 31868282.900000 USD 271120000.000000 SEK 2021-01-08 1085952.170000 N N N N/A N/A 000000000 1.000000 NC 764899.470000 0.0058875 N/A DFE ZA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 15224778.510000 USD 235564000.000000 ZAR 2021-01-22 764899.470000 N N N N/A N/A 000000000 1.000000 NC -61438.110000 -0.0004729 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2148000.000000 AUD 1594636.110000 USD 2021-01-08 -61438.110000 N N N N/A N/A 000000000 1.000000 NC -5615.900000 -0.0000432 N/A DFE BR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 60635280.000000 BRL 11668035.480000 USD 2021-01-05 -5615.900000 N N N N/A N/A 000000000 1.000000 NC -284219.630000 -0.0021877 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 127896000.000000 CNY 19290736.330000 USD 2021-03-17 -284219.630000 N N N N/A N/A 000000000 1.000000 NC -105175.310000 -0.0008095 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 58672000.000000 CNY 8874791.350000 USD 2021-03-17 -105175.310000 N N N N/A N/A 000000000 1.000000 NC -108641.480000 -0.0008362 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 238343000.000000 CNY 36370636.440000 USD 2021-03-17 -108641.480000 N N N N/A N/A 000000000 1.000000 NC -2919935.690000 -0.0224750 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1465797685.000000 CNY 221002289.480000 USD 2021-03-17 -2919935.690000 N N N N/A N/A 000000000 1.000000 NC -868726.720000 -0.0066867 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 36839000.000000 EUR 44139587.240000 USD 2021-01-08 -868726.720000 N N N N/A N/A 000000000 1.000000 NC -1902400.550000 -0.0146429 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 63136735.440000 GBP 84440111.730000 USD 2021-01-08 -1902400.550000 N N N N/A N/A 000000000 1.000000 NC -1131041.690000 -0.0087057 N/A DFE IL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 53516000.000000 ILS 15556524.520000 USD 2021-04-30 -1131041.690000 N N N N/A N/A 000000000 1.000000 NC -981514.620000 -0.0075548 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 10958043973.000000 JPY 105148927.660000 USD 2021-01-08 -981514.620000 N N N N/A N/A 000000000 1.000000 NC -6015.710000 -0.0000463 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 566243000.000000 TWD 20394129.300000 USD 2021-03-17 -6015.710000 N N N N/A N/A 000000000 1.000000 NC 41536.910000 0.0003197 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 996457480.000000 TWD 35537000.000000 USD 2021-01-13 41536.910000 N N N N/A N/A 000000000 1.000000 NC -1988.050000 -0.0000153 N/A DFE ZA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 472655.670000 ZAR 30095.000000 USD 2021-01-22 -1988.050000 N N N N/A N/A 000000000 1.000000 NC USD -384621.710000 -0.0029605 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2021-03-22 24696.000000 USD 0.000000 USD 46000000.000000 USD -409317.710000 N N N N/A N/A 000000000 1.000000 NC USD -744995.520000 -0.0057343 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2021-03-22 47835.060000 USD 0.000000 USD 89100000.000000 USD -792830.580000 N N N N/A N/A 000000000 1.000000 NC USD -825702.950000 -0.0063555 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2021-03-22 63389.750000 USD 0.000000 USD 116700000.000000 USD -889092.700000 N N N N/A N/A 000000000 1.000000 NC USD -533453.580000 -0.0041060 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2021-03-22 34252.270000 USD 0.000000 USD 63800000.000000 USD -567705.850000 N N N AROUNDTOWN SA 529900H4DWG3KWMBMQ39 BG070KII6 2200000.000000 PA 2881408.320000 0.0221784 Long DBT CORP LU N 2 2028-01-31 Fixed 1.625 N N N N N N N/A N/A 000000000 -216500000.000000 NC USD -89479.450000 -0.0006887 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written USD-LIBOR-BBA-Bloomberg 1M N/A N/A N/A 0.000000 USD 2022-10-07 XXXX 133786.180000 N N N N/A N/A 000000000 -99000000.000000 NC USD -41619.600000 -0.0003203 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written USD-LIBOR-BBA-Bloomberg 1M N/A N/A N/A 0.000000 USD 2022-10-08 XXXX 56142.900000 N N N N/A N/A 000000000 4972.000000 NC 5255120.460000 0.0404491 N/A DIR DE N 1 Eurex N/A Long N/A ITALY GOVT 2021-03-08 923315460.590000 EUR 5255120.460000 N N N N/A N/A 000000000 1.000000 NC USD 36548.410000 0.0002813 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2025-06-21 0.000000 USD -188521.080000 USD 7820000.000000 USD 225069.490000 N N N N/A N/A 000000000 1.000000 NC USD 93941.560000 0.0007231 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2025-06-21 0.000000 USD -486619.710000 USD 20100000.000000 USD 580561.270000 N N N N/A N/A 000000000 1.000000 NC USD 20470.840000 0.0001576 N/A DCR US N 2 Citibank International Limited N/A ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2025-06-21 0.000000 USD -106363.410000 USD 4380000.000000 USD 126834.250000 N N N ARROW ELECTRONICS INC 549300YNNLBXT8N8R512 042735BG4 2400000.000000 PA USD 2598170.900000 0.0199983 Long DBT CORP US N 2 2024-09-08 Fixed 3.25 N N N N N N N/A N/A 000000000 1.000000 NC -7027436.590000 -0.0540908 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ITRAXX EUROPE SERIES 31 N/A N/A Y Single Leg Swap 2029-06-21 0.000000 EUR -2997993.220000 EUR 394500000.000000 EUR -4029443.370000 N N N N/A N/A 000000000 -34100000.000000 NC -23424.440000 -0.0001803 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 MAIN34 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.430000 EUR 2021-02-17 XXXX -1147.260000 N N N N/A N/A 000000000 -56800000.000000 NC -38784.690000 -0.0002985 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 MAIN34 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.450000 EUR 2021-01-20 XXXX 11643.570000 N N N N/A N/A 000000000 -53000000.000000 NC -59340.390000 -0.0004567 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 0.750000 EUR 2021-03-17 XXXX -1111.560000 N N N N/A N/A 000000000 -28500000.000000 NC -37816.520000 -0.0002911 N/A DCR DE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 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 0.700000 EUR 2021-03-17 XXXX 1864.190000 N N N N/A N/A 000000000 -21500000.000000 NC -3704.230000 -0.0000285 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 0.800000 EUR 2021-01-20 XXXX 36339.330000 N N N N/A N/A 000000000 -30300000.000000 NC -16402.150000 -0.0001262 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 0.800000 EUR 2021-02-17 XXXX 15923.710000 N N N N/A N/A 000000000 -4000000.000000 NC -304.920000 -0.0000023 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 MAIN34 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.050000 EUR 2021-01-20 XXXX 7400.250000 N N N N/A N/A 000000000 -40400000.000000 NC -3079.730000 -0.0000237 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 1.050000 EUR 2021-01-20 XXXX 73746.670000 N N N N/A N/A 000000000 -99650000.000000 NC -14817.880000 -0.0001141 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 0.850000 EUR 2021-01-20 XXXX 148130.210000 N N N N/A N/A 000000000 -62100000.000000 NC -105469.060000 -0.0008118 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 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 0.750000 EUR 2021-04-21 XXXX 4275.100000 N N N N/A N/A 000000000 -16000000.000000 NC -23735.980000 -0.0001827 N/A DCR DE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 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 0.800000 EUR 2021-04-21 XXXX 2226.590000 N N N N/A N/A 000000000 -25200000.000000 NC -19791.120000 -0.0001523 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 0.700000 EUR 2021-02-17 XXXX 10806.700000 N N N N/A N/A 000000000 -26800000.000000 NC -13041.410000 -0.0001004 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 MAIN34 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.380000 EUR 2021-04-21 XXXX 3185.320000 N N N N/A N/A 000000000 -26800000.000000 NC -45516.430000 -0.0003503 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 0.750000 EUR 2021-04-21 XXXX -6247.750000 N N N N/A N/A 000000000 -28800000.000000 NC -4582.300000 -0.0000353 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 0.830000 EUR 2021-01-20 XXXX 46477.970000 N N N N/A N/A 000000000 -28800000.000000 NC -39538.530000 -0.0003043 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 MAIN34 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.480000 EUR 2021-01-20 XXXX -7200.360000 N N N N/A N/A 000000000 -30300000.000000 NC -20814.100000 -0.0001602 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 MAIN34 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.430000 EUR 2021-02-17 XXXX 736.470000 N N N N/A N/A 000000000 -32800000.000000 NC -4396.100000 -0.0000338 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 2021-01-20 XXXX 47885.310000 N N N N/A N/A 000000000 -14000000.000000 NC -18576.530000 -0.0001430 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 0.700000 EUR 2021-03-17 XXXX 1895.120000 N N N N/A N/A 000000000 -70100000.000000 NC -78486.070000 -0.0006041 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 0.750000 EUR 2021-03-17 XXXX -10169.270000 N N N N/A N/A 000000000 -29400000.000000 NC -29317.930000 -0.0002257 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 MAIN34 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.430000 EUR 2021-03-17 XXXX -9130.930000 N N N N/A N/A 000000000 -38000000.000000 NC -36496.600000 -0.0002809 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 0.800000 EUR 2021-03-17 XXXX 8831.720000 N N N N/A N/A 000000000 -29400000.000000 NC -24555.400000 -0.0001890 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 2021-03-17 XXXX 11990.030000 N N N ASSET BACK SEC CORP HM EQ LN TR 2005-HE2 N/A 04541GQD7 8165871.940000 PA USD 8190402.220000 0.0630422 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.243 N N N N N N N/A N/A 000000000 -53000000.000000 NC -30371.740000 -0.0002338 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 MAIN34 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.400000 EUR 2021-03-17 XXXX 4588.650000 N N N N/A N/A 000000000 -27000000.000000 NC -21204.780000 -0.0001632 N/A DCR DE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 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 0.700000 EUR 2021-02-17 XXXX 13963.350000 N N N N/A N/A 000000000 -70100000.000000 NC -40170.920000 -0.0003092 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 MAIN34 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.400000 EUR 2021-03-17 XXXX 15049.280000 N N N N/A N/A 000000000 -62100000.000000 NC -30219.090000 -0.0002326 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 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 0.380000 EUR 2021-04-21 XXXX -361.000000 N N N N/A N/A 000000000 -44200000.000000 NC -58648.770000 -0.0004514 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 0.700000 EUR 2021-03-17 XXXX 86.640000 N N N N/A N/A 000000000 -31200000.000000 NC -3414.390000 -0.0000263 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 MAIN34 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.000000 EUR 2021-01-20 XXXX 59807.980000 N N N N/A N/A 000000000 -29100000.000000 NC -3900.190000 -0.0000300 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 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 2021-01-20 XXXX 48505.180000 N N N N/A N/A 000000000 -34100000.000000 NC -18459.190000 -0.0001421 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 0.800000 EUR 2021-02-17 XXXX 22044.770000 N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAA7 5192346.290000 PA USD 4049556.560000 0.0311698 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.278 N N N N N N N/A N/A 000000000 -38000000.000000 NC -37893.920000 -0.0002917 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 MAIN34 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.430000 EUR 2021-03-17 XXXX -6164.100000 N N N N/A N/A 000000000 1.000000 NC USD -66047.830000 -0.0005084 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -155553.420000 USD 4500000.000000 USD 89505.590000 N N N N/A N/A 000000000 1.000000 NC USD -245697.930000 -0.0018912 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -597729.050000 USD 16740000.000000 USD 352031.120000 N N N N/A N/A 000000000 1.000000 NC USD -385425.790000 -0.0029667 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -908843.720000 USD 26260000.000000 USD 523417.930000 N N N N/A N/A 000000000 1.000000 NC USD -371335.590000 -0.0028582 N/A DCR US N 2 Citibank International Limited N/A JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -898075.280000 USD 25300000.000000 USD 526739.690000 N N N N/A N/A 000000000 1.000000 NC USD -456463.900000 -0.0035134 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -1092247.140000 USD 31100000.000000 USD 635783.240000 N N N N/A N/A 000000000 510.000000 NC -508581.180000 -0.0039146 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE N/A Long N/A JAPAN GOVT 2021-03-15 750367536.680000 JPY -508581.180000 N N N N/A N/A 000000000 1.000000 NC 2080.280000 0.0000160 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7328463.000000 USD 6000000.000000 EUR 2021-01-08 2080.280000 N N N N/A N/A 000000000 1.000000 NC 15117.670000 0.0001164 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 27396227.160000 USD 22436000.000000 EUR 2021-01-08 15117.670000 N N N N/A N/A 000000000 1.000000 NC 156269.980000 0.0012028 N/A DFE IL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2365102.340000 USD 8097000.000000 ILS 2021-02-11 156269.980000 N N N N/A N/A 000000000 1.000000 NC 274669.680000 0.0021142 N/A DFE IL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3481387.250000 USD 12062000.000000 ILS 2021-02-11 274669.680000 N N N N/A N/A 000000000 1.000000 NC -3406185.230000 -0.0262177 N/A DFE AU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 96763955.000000 AUD 71197302.130000 USD 2021-01-08 -3406185.230000 N N N N/A N/A 000000000 1.000000 NC 4360.610000 0.0000336 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1703000.000000 USD 8868372.500000 BRL 2021-01-05 4360.610000 N N N N/A N/A 000000000 1.000000 NC 10304.180000 0.0000793 N/A DFE CL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 96242.770000 USD 75712260.000000 CLP 2021-01-21 10304.180000 N N N N/A N/A 000000000 1.000000 NC 835537.880000 0.0064312 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 41959807.060000 USD 279610000.000000 CNY 2021-03-17 835537.880000 N N N N/A N/A 000000000 1.000000 NC 113689.260000 0.0008751 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 23250876.310000 USD 152656000.000000 CNY 2021-03-17 113689.260000 N N N N/A N/A 000000000 1.000000 NC -5310.880000 -0.0000409 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1983000.000000 USD 2151951600.000000 KRW 2021-03-17 -5310.880000 N N N N/A N/A 000000000 1.000000 NC 170764.050000 0.0013144 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11203000.000000 USD 12375954100.000000 KRW 2021-03-17 170764.050000 N N N N/A N/A 000000000 1.000000 NC 22526.000000 0.0001734 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 680015.630000 USD 52022556.000000 RUB 2021-01-22 22526.000000 N N N N/A N/A 000000000 1.000000 NC 11158.450000 0.0000859 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 336851.790000 USD 25769835.350000 RUB 2021-01-22 11158.450000 N N N N/A N/A 000000000 1.000000 NC -821.360000 -0.0000063 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 8868372.500000 BRL 1706539.250000 USD 2021-01-05 -821.360000 N N N N/A N/A 000000000 1.000000 NC -36554.070000 -0.0002814 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 259774000.000000 CNY 39722817.690000 USD 2021-03-17 -36554.070000 N N N N/A N/A 000000000 1.000000 NC -637.430000 -0.0000049 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 60000000.000000 TWD 2160994.060000 USD 2021-03-17 -637.430000 N N N N/A N/A 000000000 1.000000 NC -66911.440000 -0.0005150 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 291166505.000000 TWD 10423000.000000 USD 2021-03-17 -66911.440000 N N N N/A N/A 000000000 1.000000 NC 26916.270000 0.0002072 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 102008610.000000 TWD 3702000.000000 USD 2021-03-17 26916.270000 N N N ASSET BACKED SEC CORP HOME EQ 2003-HE2 N/A 04541GDS8 794736.860000 PA USD 795865.310000 0.0061258 Long ABS-MBS CORP US N 2 2033-04-15 Floating 1.50863 N N N N N N N/A N/A 000000000 1.000000 NC 765.890000 0.0000059 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 40354.000000 USD 153592.490000 PLN 2021-01-22 765.890000 N N N N/A N/A 000000000 1.000000 NC 10598.220000 0.0000816 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2197018.790000 USD 2810000.000000 CAD 2021-01-08 10598.220000 N N N N/A N/A 000000000 1.000000 NC 5468.590000 0.0000421 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1197329.150000 USD 1531000.000000 CAD 2021-01-08 5468.590000 N N N N/A N/A 000000000 1.000000 NC 2401.430000 0.0000185 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1898820.340000 USD 2420000.000000 CAD 2021-01-08 2401.430000 N N N N/A N/A 000000000 1.000000 NC -32836.960000 -0.0002527 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 805455.000000 USD 630000.000000 EUR 2021-06-28 -32836.960000 N N N N/A N/A 000000000 1.000000 NC 25193.010000 0.0001939 N/A DFE GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1563897.690000 USD 1162000.000000 GBP 2021-01-08 25193.010000 N N N N/A N/A 000000000 1.000000 NC 101153.800000 0.0007786 N/A DFE GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2763859.130000 USD 2095000.000000 GBP 2021-01-08 101153.800000 N N N N/A N/A 000000000 1.000000 NC 19048.270000 0.0001466 N/A DFE GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2716047.600000 USD 2000000.000000 GBP 2021-01-08 19048.270000 N N N N/A N/A 000000000 1.000000 NC 308307.130000 0.0023731 N/A DFE NO N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 9499616.420000 USD 84095000.000000 NOK 2021-01-08 308307.130000 N N N N/A N/A 000000000 1.000000 NC -58384.400000 -0.0004494 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 13233000.000000 CAD 10337841.890000 USD 2021-01-08 -58384.400000 N N N N/A N/A 000000000 1.000000 NC -1551881.710000 -0.0119450 N/A DFE CH N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 60788000.000000 CHF 67118829.190000 USD 2021-01-08 -1551881.710000 N N N N/A N/A 000000000 1.000000 NC -203125.220000 -0.0015635 N/A DFE CH N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 27168000.000000 CHF 30487897.250000 USD 2021-01-08 -203125.220000 N N N N/A N/A 000000000 1.000000 NC -1089983.010000 -0.0083897 N/A DFE NZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 62934000.000000 NZD 44191751.330000 USD 2021-01-08 -1089983.010000 N N N N/A N/A 000000000 1.000000 NC -319633.480000 -0.0024602 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ROLLS-ROYCE PLC ROLLS-ROYCE PLC Y Single Leg Swap 2024-06-21 11467.060000 EUR 0.000000 EUR 4800000.000000 EUR -331100.540000 N N N N/A N/A 000000000 1.000000 NC -203161.700000 -0.0015638 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ROLLS-ROYCE PLC ROLLS-ROYCE PLC Y Single Leg Swap 2024-12-21 0.000000 EUR -13592.340000 EUR 2500000.000000 EUR -189569.360000 N N N AT&T INC 549300Z40J86GGSTL398 ACI1K11M9 14700000.000000 PA 18110901.390000 0.1394011 Long DBT CORP US N 2 2025-03-02 Floating 2.875 N N N N N N N/A N/A 000000000 1.000000 NC 39815.700000 0.0003065 N/A DFE GB N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 2256297.290000 USD 1679000.000000 GBP 2021-01-08 39815.700000 N N N N/A N/A 000000000 1.000000 NC USD 74580.920000 0.0005741 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 RYDER SYSTEM INC RYDER SYSTEM INC Y Single Leg Swap 2022-06-21 113121.420000 USD 0.000000 USD 6400000.000000 USD -38540.500000 N N N AT&T INC 549300Z40J86GGSTL398 00206RKG6 8100000.000000 PA USD 8271408.470000 0.0636657 Long DBT CORP US N 2 2028-02-01 Fixed 1.65 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKH4 8300000.000000 PA USD 8431039.160000 0.0648944 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 170879.330000 0.0013153 N/A DCR NL N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 SHELL INTERNATIONAL FINANCE BV SHELL INTERNATIONAL FIN Y Single Leg Swap 2026-12-22 0.000000 EUR -144650.060000 EUR 4900000.000000 EUR 315529.390000 N N N N/A N/A 000000000 1.000000 NC USD -325004.230000 -0.0025016 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 SOUTH KOREA GOVT REPUBLIC OF KOREA Y Single Leg Swap 2023-06-21 0.000000 USD -363219.750000 USD 14700000.000000 USD 38215.520000 N N N N/A N/A 000000000 1.000000 NC USD -1050183.750000 -0.0080834 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 SOUTH KOREA GOVT REPUBLIC OF KOREA Y Single Leg Swap 2023-06-21 0.000000 USD -1188120.300000 USD 47500000.000000 USD 137936.550000 N N N N/A N/A 000000000 1.000000 NC USD -601368.380000 -0.0046288 N/A DCR US N 2 HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 SOUTH KOREA GOVT REPUBLIC OF KOREA Y Single Leg Swap 2023-06-21 0.000000 USD -678499.290000 USD 27200000.000000 USD 77130.910000 N N N AT&T INC 549300Z40J86GGSTL398 00206RKD3 5400000.000000 PA USD 5478808.730000 0.0421708 Long DBT CORP US N 2 2043-02-01 Fixed 3.1 N N N N N N N/A N/A 000000000 1.000000 NC USD -289629.620000 -0.0022293 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 SOUTH KOREA GOVT REPUBLIC OF KOREA Y Single Leg Swap 2023-06-21 0.000000 USD -313751.670000 USD 13100000.000000 USD 24122.050000 N N N N/A N/A 000000000 1.000000 NC 204627.990000 0.0015750 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 6634002.500000 USD 8870000.000000 AUD 2021-01-08 204627.990000 N N N N/A N/A 000000000 1.000000 NC 28631.380000 0.0002204 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1369163.100000 USD 1813000.000000 AUD 2021-01-08 28631.380000 N N N N/A N/A 000000000 1.000000 NC 159236.270000 0.0012257 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 5254886.010000 USD 3959000.000000 GBP 2021-01-08 159236.270000 N N N N/A N/A 000000000 1.000000 NC 8950.930000 0.0000689 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1292954.710000 USD 952000.000000 GBP 2021-01-08 8950.930000 N N N N/A N/A 000000000 1.000000 NC -1939131.880000 -0.0149257 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 56501723.000000 AUD 41622807.870000 USD 2021-01-08 -1939131.880000 N N N N/A N/A 000000000 1.000000 NC -1751743.440000 -0.0134833 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 56823061.900000 GBP 75956517.620000 USD 2021-01-08 -1751743.440000 N N N N/A N/A 000000000 1.000000 NC -110097.430000 -0.0008474 N/A DFE IL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 5450109.000000 ILS 1587043.980000 USD 2021-02-11 -110097.430000 N N N N/A N/A 000000000 1.000000 NC -1159180.010000 -0.0089223 N/A DFE MY N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 280809883.700000 MYR 68979939.460000 USD 2021-03-24 -1159180.010000 N N N N/A N/A 000000000 1.000000 NC -10119.520000 -0.0000779 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 591484000.000000 TWD 21299387.830000 USD 2021-03-17 -10119.520000 N N N N/A N/A 000000000 1.000000 NC -105427.200000 -0.0008115 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 570192300.000000 TWD 20437000.000000 USD 2021-03-17 -105427.200000 N N N N/A N/A 000000000 1.000000 NC -69640.360000 -0.0005360 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 294822880.000000 TWD 10552000.000000 USD 2021-03-17 -69640.360000 N N N AT&T INC 549300Z40J86GGSTL398 00206RJX1 4000000.000000 PA USD 4268405.080000 0.0328543 Long DBT CORP US N 2 2027-06-01 Fixed 2.3 N N N N N N N/A N/A 000000000 1.000000 NC -16735063.990000 -0.1288112 N/A DFE GB N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 511407557.090000 GBP 682639285.550000 USD 2021-01-08 -16735063.990000 N N N N/A N/A 000000000 1.000000 NC -4748822.310000 -0.0365521 N/A DFE KR N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 230830034343.000000 KRW 207388870.330000 USD 2021-03-17 -4748822.310000 N N N AT&T INC 549300Z40J86GGSTL398 00206RJZ6 2000000.000000 PA USD 2159412.880000 0.0166212 Long DBT CORP US N 2 2041-06-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 17751.500000 0.0001366 N/A DFE PE N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 17225862.000000 PEN 4777000.000000 USD 2021-01-25 17751.500000 N N N N/A N/A 000000000 1.000000 NC 187.120000 0.0000014 N/A DFE TW N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 11504600.000000 TWD 410000.000000 USD 2021-01-13 187.120000 N N N AT&T INC 549300Z40J86GGSTL398 00206RKA9 5900000.000000 PA USD 6178145.350000 0.0475537 Long DBT CORP US N 2 2051-06-01 Fixed 3.65 N N N N N N N/A N/A 000000000 -352000000.000000 NC USD -4611.200000 -0.0000355 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.88000 09/17/21-3Y CME N/A N/A 2024-09-17 0.000000 USD 0.000000 USD N/A USD N/A 1.880000 USD 2021-09-15 XXXX 1742515.240000 N N N N/A N/A 000000000 42300000.000000 NC USD 432128.340000 0.0033261 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Purchased BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.17500 09/17/21-30Y CME N/A N/A 2051-09-17 0.000000 USD 0.000000 USD N/A USD N/A 2.170000 USD 2021-09-15 XXXX -1315045.570000 N N N N/A N/A 000000000 -234000000.000000 NC USD -7207.200000 -0.0000555 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.02000 12/23/21-3Y LCH N/A N/A 2024-12-23 0.000000 USD 0.000000 USD N/A USD N/A 2.020000 USD 2021-12-21 XXXX 1068292.800000 N N N N/A N/A 000000000 28200000.000000 NC USD 325695.900000 0.0025069 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.30000 12/23/21-30Y LCH N/A N/A 2051-12-23 0.000000 USD 0.000000 USD N/A USD N/A 2.300000 USD 2021-12-21 XXXX -779744.100000 N N N N/A N/A 000000000 18800000.000000 NC USD 217130.600000 0.0016713 N/A DIR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Purchased Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.30000 12/23/21-30Y LCH N/A N/A 2051-12-23 0.000000 USD 0.000000 USD N/A USD N/A 2.300000 USD 2021-12-21 XXXX -534869.400000 N N N N/A N/A 000000000 -154900000.000000 NC USD -4770.920000 -0.0000367 N/A DIR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Written Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.02000 12/23/21-3Y LCH N/A N/A 2024-12-23 0.000000 USD 0.000000 USD N/A USD N/A 2.020000 USD 2021-12-21 XXXX 701872.580000 N N N N/A N/A 000000000 -40600000.000000 NC USD -656453.280000 -0.0050528 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.46000 02/02/21-30Y CME N/A N/A 2051-02-02 0.000000 USD 0.000000 USD N/A USD N/A 1.460000 USD 2021-01-29 XXXX -188538.280000 N N N N/A N/A 000000000 -40600000.000000 NC USD -72377.620000 -0.0005571 N/A DIR 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 DIR US IRS USD R 1.10000 02/02/21-30Y CME N/A N/A 2051-02-02 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2021-01-29 XXXX 395537.380000 N N N N/A N/A 000000000 -24900000.000000 NC USD -103979.910000 -0.0008003 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.55000 01/21/21-30Y CME N/A N/A 2051-01-21 0.000000 USD 0.000000 USD N/A USD N/A 1.550000 USD 2021-01-19 XXXX 130080.090000 N N N N/A N/A 000000000 -24900000.000000 NC USD -44623.290000 -0.0003435 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 1.21000 01/21/21-30Y CME N/A N/A 2051-01-21 0.000000 USD 0.000000 USD N/A USD N/A 1.210000 USD 2021-01-19 XXXX 189436.710000 N N N N/A N/A 000000000 -21400000.000000 NC -1653951.390000 -0.0127306 N/A DIR 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 DIR N/A IRS EUR R 0.45100 05/27/25-25Y LCH 2050-05-27 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.450000 EUR 2025-05-23 XXXX -33857.360000 N N N N/A N/A 000000000 -17900000.000000 NC -134605.620000 -0.0010361 N/A DIR DE N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R -0.15000 02/19/21-30Y LCH 2051-02-19 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.150000 EUR 2021-02-17 XXXX 468199.740000 N N N N/A N/A 000000000 -17800000.000000 NC -147777.200000 -0.0011375 N/A DIR DE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R -0.15000 02/24/21-30Y LCH 2051-02-24 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.150000 EUR 2021-02-22 XXXX 648346.980000 N N N N/A N/A 000000000 -10700000.000000 NC -88832.360000 -0.0006837 N/A DIR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R -0.15000 02/24/21-30Y LCH 2051-02-24 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.150000 EUR 2021-02-22 XXXX 373879.660000 N N N AT&T INC 549300Z40J86GGSTL398 ACI1674M9 18600000.000000 PA 24778958.790000 0.1907257 Long DBT CORP US N 2 2026-09-05 Fixed 1.8 N N N N N N AT&T INC 549300Z40J86GGSTL398 ACI0VNB57 300000.000000 PA 465005.220000 0.0035792 Long DBT CORP US N 2 2036-09-04 Fixed 3.15 N N N N N N N/A N/A 000000000 -308600000.000000 NC USD -6449.740000 -0.0000496 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.44800 08/25/21-3Y LCH N/A N/A 2024-08-25 0.000000 USD 0.000000 USD N/A USD N/A 1.450000 USD 2021-08-23 XXXX 2742214.230000 N N N N/A N/A 000000000 37100000.000000 NC USD 969122.490000 0.0074594 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.75200 08/25/21-30Y LCH N/A N/A 2051-08-25 0.000000 USD 0.000000 USD N/A USD N/A 1.750000 USD 2021-08-23 XXXX -1780182.770000 N N N N/A N/A 000000000 -340200000.000000 NC USD -8334.900000 -0.0000642 N/A DIR 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 DIR US IRS USD R 1.39900 08/31/21-3Y LCH N/A N/A 2024-08-31 0.000000 USD 0.000000 USD N/A USD N/A 1.400000 USD 2021-08-26 XXXX 3013295.190000 N N N N/A N/A 000000000 40900000.000000 NC USD 1135641.670000 0.0087411 N/A DIR US N 2 CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 Put Purchased CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.73250 08/31/21-30Y LCH N/A N/A 2051-08-31 0.000000 USD 0.000000 USD N/A USD N/A 1.730000 USD 2021-08-26 XXXX -1887401.810000 N N N N/A N/A 000000000 9600000.000000 NC USD 717506.880000 0.0055227 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.36500 10/26/21-30Y CME N/A N/A 2051-10-26 0.000000 USD 0.000000 USD N/A USD N/A 1.370000 USD 2021-10-22 XXXX 32706.880000 N N N N/A N/A 000000000 9600000.000000 NC USD 502489.920000 0.0038677 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.36500 10/26/21-30Y CME N/A N/A 2051-10-26 0.000000 USD 0.000000 USD N/A USD N/A 1.370000 USD 2021-10-22 XXXX -182310.080000 N N N N/A N/A 000000000 8500000.000000 NC USD 630474.750000 0.0048528 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.37000 10/27/21-30Y CME N/A N/A 2051-10-27 0.000000 USD 0.000000 USD N/A USD N/A 1.370000 USD 2021-10-25 XXXX 21308.080000 N N N N/A N/A 000000000 8500000.000000 NC USD 450670.850000 0.0034689 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.37000 10/27/21-30Y CME N/A N/A 2051-10-27 0.000000 USD 0.000000 USD N/A USD N/A 1.370000 USD 2021-10-25 XXXX -158495.820000 N N N N/A N/A 000000000 73800000.000000 NC USD 879216.300000 0.0067674 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.30000 10/15/21-10Y CME N/A N/A 2031-10-15 0.000000 USD 0.000000 USD N/A USD N/A 1.300000 USD 2021-10-13 XXXX 104316.300000 N N N N/A N/A 000000000 4000000.000000 NC USD 337862.000000 0.0026006 N/A DIR US N 2 BNP Paribas S.A. N/A Put Purchased BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.30600 11/02/21-30Y CME N/A N/A 2051-11-02 0.000000 USD 0.000000 USD N/A USD N/A 1.310000 USD 2021-10-29 XXXX 44528.670000 N N N N/A N/A 000000000 4000000.000000 NC USD 187010.400000 0.0014394 N/A DIR US N 2 BNP Paribas S.A. N/A Call Purchased BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.30600 11/02/21-30Y CME N/A N/A 2051-11-02 0.000000 USD 0.000000 USD N/A USD N/A 1.310000 USD 2021-10-29 XXXX -106322.930000 N N N N/A N/A 000000000 114500000.000000 NC USD 246564.300000 0.0018978 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.10000 02/02/21-10Y CME N/A N/A 2031-02-02 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2021-01-29 XXXX -635085.700000 N N N N/A N/A 000000000 1.000000 NC USD -4904.680000 -0.0000378 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-03-07 0.000000 USD 0.000000 USD 91200000.000000 USD -4904.680000 N N N N/A N/A 000000000 1.000000 NC USD -194746.720000 -0.0014990 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-04-26 0.000000 USD 0.000000 USD 470800000.000000 USD -194746.720000 N N N N/A N/A 000000000 1.000000 NC 1757973.690000 0.0135313 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 -76244080.000000 USD 101200000.000000 AUD 2031-01-06 1272201.150000 N N N N/A N/A 000000000 1.000000 NC 1709377.180000 0.0131572 N/A DFE AU N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -23204320.000000 USD 32300000.000000 AUD 2030-10-15 1536579.400000 N N N N/A N/A 000000000 1.000000 NC 7671158.590000 0.0590455 N/A DFE AU N 2 Citibank International Limited N/A -60513000.000000 USD 87700000.000000 AUD 2029-07-31 7657988.100000 N N N N/A N/A 000000000 1.000000 NC 7558067.800000 0.0581751 N/A DFE AU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 -59547000.000000 USD 86300000.000000 AUD 2029-08-01 7877181.720000 N N N N/A N/A 000000000 1.000000 NC 1116906.680000 0.0085969 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2050-11-15 421048.930000 GBP 0.000000 GBP 11400000.000000 GBP 695857.750000 N N N N/A N/A 000000000 1.000000 NC 522975.230000 0.0040254 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2050-11-15 0.000000 GBP 0.000000 GBP 9900000.000000 GBP 522975.230000 N N N N/A N/A 000000000 1.000000 NC -155296.380000 -0.0011953 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2050-11-15 0.000000 GBP 0.000000 GBP 5000000.000000 GBP -155296.380000 N N N N/A N/A 000000000 1.000000 NC -1208484.660000 -0.0093018 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2040-11-15 0.000000 GBP -476801.490000 GBP 27610000.000000 GBP -731683.170000 N N N N/A N/A 000000000 1.000000 NC -671367.590000 -0.0051676 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-02-15 0.000000 GBP 0.000000 GBP 27300000.000000 GBP -671367.590000 N N N N/A N/A 000000000 1.000000 NC -2334733.410000 -0.0179706 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-02-15 0.000000 GBP 0.000000 GBP 90500000.000000 GBP -2334733.410000 N N N N/A N/A 000000000 1.000000 NC -1751847.340000 -0.0134841 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-02-15 0.000000 GBP 0.000000 GBP 67600000.000000 GBP -1751847.340000 N N N N/A N/A 000000000 1.000000 NC -1888289.810000 -0.0145343 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-02-15 0.000000 GBP 0.000000 GBP 72000000.000000 GBP -1888289.810000 N N N N/A N/A 000000000 1.000000 NC -176949.040000 -0.0013620 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2040-11-15 0.000000 GBP -2163.300000 GBP 9900000.000000 GBP -174785.740000 N N N N/A N/A 000000000 1.000000 NC -246383.120000 -0.0018964 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2040-11-15 0.000000 GBP 0.000000 GBP 13970000.000000 GBP -246383.120000 N N N N/A N/A 000000000 1.000000 NC -276890.050000 -0.0021312 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-08-15 0.000000 GBP -48652.080000 GBP 35300000.000000 GBP -228237.970000 N N N N/A N/A 000000000 1.000000 NC 178147.930000 0.0013712 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2040-11-15 0.000000 GBP 0.000000 GBP 12230000.000000 GBP 178147.930000 N N N N/A N/A 000000000 1.000000 NC -81082.590000 -0.0006241 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-11-15 0.000000 GBP -51992.860000 GBP 15600000.000000 GBP -29089.730000 N N N N/A N/A 000000000 1.000000 NC 512855.140000 0.0039475 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-01-15 0.000000 GBP 0.000000 GBP 17500000.000000 GBP 512855.140000 N N N N/A N/A 000000000 1.000000 NC 45645.560000 0.0003513 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-11-15 123477.780000 GBP 0.000000 GBP 16210000.000000 GBP -77832.220000 N N N N/A N/A 000000000 1.000000 NC 697525.990000 0.0053689 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 21000000.000000 GBP 697525.990000 N N N N/A N/A 000000000 1.000000 NC -83661.610000 -0.0006440 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-11-15 0.000000 GBP 0.000000 GBP 13970000.000000 GBP -83661.610000 N N N N/A N/A 000000000 1.000000 NC 2357925.470000 0.0181491 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-02-15 37191.800000 GBP 0.000000 GBP 65900000.000000 GBP 2320733.670000 N N N N/A N/A 000000000 1.000000 NC 4236121.070000 0.0326058 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 116600000.000000 GBP 4236121.070000 N N N AURIUM CLO III DAC 3A N/A ACI1FVVB0 7500000.000000 PA 9129901.050000 0.0702736 Long ABS-CBDO CORP IE N 2 2030-04-16 Floating 0.67 N N N N N N N/A N/A 000000000 1.000000 NC 171883.230000 0.0013230 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-11-15 0.000000 GBP 0.000000 GBP 15600000.000000 GBP 171883.230000 N N N N/A N/A 000000000 1.000000 NC 541919.080000 0.0041712 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 0.000000 GBP 35300000.000000 GBP 541919.080000 N N N N/A N/A 000000000 1.000000 NC -129387.840000 -0.0009959 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-11-15 0.000000 GBP 0.000000 GBP 7230000.000000 GBP -129387.840000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 ACI0QBJL6 61100000.000000 PA 58043657.510000 0.4467668 Long DBT NUSS AU N 2 2047-03-21 Fixed 3 N N N N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 BMZ8B6II2 39200000.000000 PA 28757154.040000 0.2213462 Long DBT NUSS AU N 2 2051-06-21 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC -2050089.970000 -0.0157797 N/A DIR AU N 2 London Clearing house N/A AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2030-06-17 0.000000 AUD -1857283.650000 AUD 87000000.000000 AUD -192806.320000 N N N N/A N/A 000000000 1.000000 NC 484181.130000 0.0037268 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2022-03-03 0.000000 CAD 0.000000 CAD 51800000.000000 CAD 484181.130000 N N N N/A N/A 000000000 1.000000 NC 344117.970000 0.0026487 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2022-03-03 0.000000 CAD 0.000000 CAD 36700000.000000 CAD 344117.970000 N N N N/A N/A 000000000 1.000000 NC 694380.010000 0.0053447 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2025-03-03 0.000000 CAD 0.000000 CAD 34800000.000000 CAD 694380.010000 N N N N/A N/A 000000000 1.000000 NC 496812.780000 0.0038240 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2025-03-03 0.000000 CAD 0.000000 CAD 24300000.000000 CAD 496812.780000 N N N N/A N/A 000000000 1.000000 NC 5708751.090000 0.0439407 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2030-06-17 0.000000 CAD -2384982.410000 CAD 233500000.000000 CAD 8093733.500000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 ACI1RRGQ0 270600000.000000 PA 209200268.960000 1.6102317 Long DBT NUSS AU N 2 2026-09-21 Fixed 0.5 N N N N N N N/A N/A 000000000 1.000000 NC 375137.720000 0.0028875 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2022-06-17 136242.330000 CAD 0.000000 CAD 31000000.000000 CAD 238895.390000 N N N N/A N/A 000000000 1.000000 NC 1778202.050000 0.0136870 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2025-06-17 0.000000 CAD -543581.650000 CAD 67500000.000000 CAD 2321783.700000 N N N N/A N/A 000000000 1.000000 NC 2781027.420000 0.0214058 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2029-10-02 12527.610000 CAD 0.000000 CAD 65800000.000000 CAD 2768499.810000 N N N N/A N/A 000000000 1.000000 NC 11869091.650000 0.0913574 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2029-12-18 2519013.610000 CAD 0.000000 CAD 223400000.000000 CAD 9350078.040000 N N N N/A N/A 000000000 1.000000 NC 38034476.230000 0.2927545 N/A DIR CA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2029-06-19 10767616.510000 CAD 0.000000 CAD 415200000.000000 CAD 27266859.720000 N N N N/A N/A 000000000 1.000000 NC 19438281.090000 0.1496180 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 1519025.070000 CAD 0.000000 CAD 95400000.000000 CAD 17919256.020000 N N N N/A N/A 000000000 1.000000 NC 1886696.630000 0.0145221 N/A DIR CH N 2 London Clearing house N/A CHF-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2025-09-16 358612.180000 CHF 0.000000 CHF 369000000.000000 CHF 1528084.450000 N N N N/A N/A 000000000 1.000000 NC 1541172.440000 0.0118625 N/A DIR CH N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CHF-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2026-03-16 0.000000 CHF -169001.130000 CHF 39600000.000000 CHF 1710173.570000 N N N AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA) 95980020140005848404 B081RMII3 3500000.000000 PA 5789553.800000 0.0445627 Long DBT NUSS ES N 2 2035-04-26 Fixed 4.22 N N N N N N AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA) 95980020140005848404 B5BMDRII6 17700000.000000 PA 22386115.570000 0.1723078 Long DBT NUSS ES N 2 2021-09-15 Fixed 4.9 N N N N N N N/A N/A 000000000 1.000000 NC 855260.940000 0.0065830 N/A DIR CZ N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2029-01-30 0.000000 CZK 0.000000 CZK 264500000.000000 CZK 855260.940000 N N N N/A N/A 000000000 1.000000 NC 279281.670000 0.0021497 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2032-11-17 0.000000 EUR 0.000000 EUR 39500000.000000 EUR 279281.670000 N N N N/A N/A 000000000 1.000000 NC -3372.140000 -0.0000260 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2031-03-17 0.000000 EUR -11578.630000 EUR 3800000.000000 EUR 8206.490000 N N N N/A N/A 000000000 1.000000 NC -2379040.150000 -0.0183117 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2031-06-16 0.000000 EUR -1441063.950000 EUR 761000000.000000 EUR -937976.200000 N N N N/A N/A 000000000 1.000000 NC -144889.500000 -0.0011152 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2023-06-16 0.000000 EUR -636444.660000 EUR 599300000.000000 EUR 491555.160000 N N N N/A N/A 000000000 1.000000 NC -5201851.240000 -0.0400391 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2026-06-16 0.000000 EUR -2665580.950000 EUR 1240800000.000000 EUR -2536270.290000 N N N N/A N/A 000000000 1.000000 NC -732356.670000 -0.0056370 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2051-03-17 1594137.390000 EUR 0.000000 EUR 96900000.000000 EUR -2326494.060000 N N N N/A N/A 000000000 1.000000 NC -376385.840000 -0.0028971 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2051-06-16 0.000000 EUR -490636.760000 EUR 56400000.000000 EUR 114250.920000 N N N N/A N/A 000000000 1.000000 NC 11997.180000 0.0000923 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2050-05-27 0.000000 EUR 0.000000 EUR 5950000.000000 EUR 11997.180000 N N N N/A N/A 000000000 1.000000 NC -344412.400000 -0.0026510 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2052-11-18 0.000000 EUR 0.000000 EUR 13400000.000000 EUR -344412.400000 N N N N/A N/A 000000000 1.000000 NC -2146227.670000 -0.0165197 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2035-12-17 0.000000 EUR -1929075.760000 EUR 21600000.000000 EUR -217151.910000 N N N N/A N/A 000000000 1.000000 NC 17846.480000 0.0001374 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2025-12-19 0.000000 EUR -6689.790000 EUR 300000.000000 EUR 24536.270000 N N N N/A N/A 000000000 1.000000 NC 82111.580000 0.0006320 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2040-12-17 69938.940000 EUR 0.000000 EUR 600000.000000 EUR 12172.640000 N N N N/A N/A 000000000 1.000000 NC 7772800.320000 0.0598279 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2029-06-19 2682805.390000 EUR 0.000000 EUR 80900000.000000 EUR 5089994.930000 N N N N/A N/A 000000000 1.000000 NC 374393.160000 0.0028817 N/A DIR HU N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 BUBOR HKK 6M N/A N/A Y 2024-03-20 0.000000 HUF -141798.360000 HUF 3731000000.000000 HUF 516191.520000 N N N N/A N/A 000000000 1.000000 NC -3388123.140000 -0.0260787 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2039-06-20 216893.370000 JPY 0.000000 JPY 12100000000.000000 JPY -3605016.510000 N N N N/A N/A 000000000 1.000000 NC 5932231.860000 0.0456609 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2049-06-21 0.000000 JPY -506550.930000 JPY 18400000000.000000 JPY 6438782.790000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05367AAD5 1300000.000000 PA USD 1318050.030000 0.0101451 Long DBT CORP US N 2 2021-04-06 Fixed 6.75 N N N N N N N/A N/A 000000000 1.000000 NC 663006.710000 0.0051032 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2025-07-07 110836.570000 MXN 0.000000 MXN 1363000000.000000 MXN 552170.140000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAG6 14500000.000000 PA USD 14411981.230000 0.1109302 Long DBT CORP US N 2 2021-06-01 Floating 1.17538 N N N N N N N/A N/A 000000000 1.000000 NC 11930.950000 0.0000918 N/A DIR NZ N 2 London Clearing house N/A NZ$ Bank Bill 3M FRA N/A N/A Y 2025-12-16 0.000000 NZD -32194.730000 NZD 10350000.000000 NZD 44125.680000 N N N N/A N/A 000000000 1.000000 NC 1208807.040000 0.0093043 N/A DIR PL N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2029-01-30 0.000000 PLN 0.000000 PLN 33100000.000000 PLN 1208807.040000 N N N N/A N/A 000000000 1.000000 NC 299527.370000 0.0023055 N/A DIR SE N 2 London Clearing house N/A N/A SEK-STIBOR-Bloomberg 3M Y 2024-06-19 312425.820000 SEK 0.000000 SEK 135100000.000000 SEK -12898.450000 N N N N/A N/A 000000000 1.000000 NC 1313906.860000 0.0101132 N/A DIR SE N 2 London Clearing house N/A N/A SEK-STIBOR-Bloomberg 3M Y 2029-06-19 635227.610000 SEK 0.000000 SEK 171800000.000000 SEK 678679.250000 N N N N/A N/A 000000000 1.000000 NC USD 4828537.200000 0.0371656 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-01-15 1349420.020000 USD 0.000000 USD 697000000.000000 USD 3479117.180000 N N N N/A N/A 000000000 1.000000 NC USD -5759400.950000 -0.0443306 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-01-18 0.000000 USD -2932059.800000 USD 319750000.000000 USD -2827341.150000 N N N N/A N/A 000000000 1.000000 NC USD 45260271.030000 0.3483720 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-01-15 14786289.190000 USD 0.000000 USD 1196700000.000000 USD 30473981.840000 N N N N/A N/A 000000000 1.000000 NC USD 1069758.950000 0.0082340 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-06-16 1118345.670000 USD 0.000000 USD 45555000.000000 USD -48586.720000 N N N N/A N/A 000000000 1.000000 NC USD -8983902.530000 -0.0691498 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-12-16 0.000000 USD -8412413.220000 USD 805400000.000000 USD -571489.310000 N N N N/A N/A 000000000 1.000000 NC USD 14607529.710000 0.1124354 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-01-17 2247682.000000 USD 0.000000 USD 92100000.000000 USD 12359847.710000 N N N N/A N/A 000000000 1.000000 NC USD -1988303.110000 -0.0153041 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-12-16 0.000000 USD -5144627.860000 USD 268400000.000000 USD 3156324.750000 N N N N/A N/A 000000000 1.000000 NC USD -2607713.600000 -0.0200718 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-12-16 0.000000 USD -3265621.630000 USD 314900000.000000 USD 657908.030000 N N N N/A N/A 000000000 1.000000 NC USD -3715423.110000 -0.0285979 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-12-16 0.000000 USD -4131432.750000 USD 129700000.000000 USD 416009.640000 N N N N/A N/A 000000000 1.000000 NC USD 7971282.320000 0.0613556 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-12-16 7553248.090000 USD 0.000000 USD 275700000.000000 USD 418034.230000 N N N N/A N/A 000000000 1.000000 NC USD -4031017.460000 -0.0310271 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-08-30 0.000000 USD 0.000000 USD 143950000.000000 USD -4031017.460000 N N N N/A N/A 000000000 1.000000 NC USD 889058.610000 0.0068432 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2041-06-10 844698.050000 USD 0.000000 USD 49100000.000000 USD 44360.560000 N N N N/A N/A 000000000 1.000000 NC USD 235936.200000 0.0018160 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-12-16 0.000000 USD -531315.550000 USD 5700000.000000 USD 767251.750000 N N N N/A N/A 000000000 1.000000 NC USD 2383303.340000 0.0183445 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-12-16 328610.000000 USD 0.000000 USD 61400000.000000 USD 2054693.340000 N N N N/A N/A 000000000 1.000000 NC USD -3835148.490000 -0.0295195 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-08-27 0.000000 USD 0.000000 USD 130050000.000000 USD -3835148.490000 N N N N/A N/A 000000000 1.000000 NC USD -5036611.680000 -0.0387672 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-08-21 0.000000 USD 0.000000 USD 150800000.000000 USD -5036611.680000 N N N N/A N/A 000000000 1.000000 NC USD 493725.900000 0.0038002 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-12-02 0.000000 USD -670970.000000 USD 22900000.000000 USD 1164695.900000 N N N N/A N/A 000000000 1.000000 NC USD -3068305.600000 -0.0236170 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-09-17 0.000000 USD 0.000000 USD 99200000.000000 USD -3068305.600000 N N N N/A N/A 000000000 1.000000 NC USD -3119232.460000 -0.0240090 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2021-12-20 854501.570000 USD 0.000000 USD 235200000.000000 USD -3973734.030000 N N N N/A N/A 000000000 1.000000 NC USD -3691775.440000 -0.0284159 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-02-28 0.000000 USD -409543.750000 USD 177100000.000000 USD -3282231.690000 N N N N/A N/A 000000000 1.000000 NC USD -2887138.860000 -0.0222225 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2021-12-20 0.000000 USD -1718417.820000 USD 123400000.000000 USD -1168721.040000 N N N N/A N/A 000000000 1.000000 NC USD -3395632.000000 -0.0261365 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-18 0.000000 USD -2111571.420000 USD 39000000.000000 USD -1284060.580000 N N N N/A N/A 000000000 1.000000 NC USD -57028.730000 -0.0004390 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-10-04 0.000000 USD 0.000000 USD 229600000.000000 USD -57028.730000 N N N N/A N/A 000000000 1.000000 NC USD -87175.740000 -0.0006710 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-09-27 0.000000 USD 0.000000 USD 269400000.000000 USD -87175.740000 N N N N/A N/A 000000000 1.000000 NC USD -19851.810000 -0.0001528 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-06-12 0.000000 USD 0.000000 USD 71100000.000000 USD -19851.810000 N N N N/A N/A 000000000 1.000000 NC USD -50701.770000 -0.0003903 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-04-27 0.000000 USD 0.000000 USD 285300000.000000 USD -50701.770000 N N N N/A N/A 000000000 1.000000 NC USD -41977.720000 -0.0003231 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-06-12 0.000000 USD 0.000000 USD 85800000.000000 USD -41977.720000 N N N N/A N/A 000000000 1.000000 NC USD -175781.660000 -0.0013530 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-06-19 28057.500000 USD 0.000000 USD 374100000.000000 USD -203839.160000 N N N N/A N/A 000000000 1.000000 NC USD -7201.570000 -0.0000554 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-09-06 43336.900000 USD 0.000000 USD 302200000.000000 USD -50538.470000 N N N N/A N/A 000000000 1.000000 NC USD -1363513.650000 -0.0104951 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-03-18 0.000000 USD -23004.380000 USD 3162300000.000000 USD -1340509.270000 N N N CHARLES SCHWAB CORP/THE 549300VSGCJ7E698NM85 808513BD6 4900000.000000 NS USD 5469625.000000 0.0421002 Long EP CORP US N 2 N N N N/A N/A 000000000 1.000000 NC 961596.140000 0.0074015 N/A DIR ZA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2023-06-20 56782.890000 ZAR 0.000000 ZAR 166500000.000000 ZAR 904813.250000 N N N N/A N/A 000000000 1.000000 NC 1288614.770000 0.0099186 N/A DIR ZA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2027-03-15 184305.240000 ZAR 0.000000 ZAR 106900000.000000 ZAR 1104309.530000 N N N N/A N/A 000000000 1.000000 NC 316276.480000 0.0024344 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2023-06-16 265090.560000 GBP 0.000000 GBP 150750000.000000 GBP 51185.920000 N N N N/A N/A 000000000 1.000000 NC -83971.590000 -0.0006463 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2026-06-16 116370.180000 GBP 0.000000 GBP 207100000.000000 GBP -200341.770000 N N N N/A N/A 000000000 1.000000 NC 263838.960000 0.0020308 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2031-03-17 352672.810000 GBP 0.000000 GBP 22300000.000000 GBP -88833.850000 N N N N/A N/A 000000000 1.000000 NC -607503.100000 -0.0046760 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2051-03-17 0.000000 GBP -874790.940000 GBP 27900000.000000 GBP 267287.840000 N N N N/A N/A 000000000 1.000000 NC 847245.180000 0.0065213 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2031-06-16 67320.740000 GBP 0.000000 GBP 82400000.000000 GBP 779924.440000 N N N N/A N/A 000000000 1.000000 NC 953438.970000 0.0073387 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2051-06-16 999946.060000 GBP 0.000000 GBP 12550000.000000 GBP -46507.090000 N N N N/A N/A 000000000 1.000000 NC 443048.950000 0.0034102 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2025-09-16 2626.160000 GBP 0.000000 GBP 12700000.000000 GBP 440422.790000 N N N N/A N/A 000000000 1.000000 NC -9512.580000 -0.0000732 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL -2403.920000 BRL 379000000.000000 BRL -7108.660000 N N N N/A N/A 000000000 1.000000 NC -18141.100000 -0.0001396 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL 0.000000 BRL 257800000.000000 BRL -18141.100000 N N N N/A N/A 000000000 1.000000 NC -52451.530000 -0.0004037 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL 0.000000 BRL 649000000.000000 BRL -52451.530000 N N N N/A N/A 000000000 1.000000 NC -6173.720000 -0.0000475 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL 0.000000 BRL 63500000.000000 BRL -6173.720000 N N N N/A N/A 000000000 1.000000 NC -18236.520000 -0.0001404 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL -0.090000 BRL 264600000.000000 BRL -18236.430000 N N N N/A N/A 000000000 1.000000 NC -29230.490000 -0.0002250 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL 0.000000 BRL 380000000.000000 BRL -29230.490000 N N N N/A N/A 000000000 1.000000 NC -10736.300000 -0.0000826 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL 0.000000 BRL 89000000.000000 BRL -10736.300000 N N N N/A N/A 000000000 1.000000 NC -18369.920000 -0.0001414 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL 0.000000 BRL 143800000.000000 BRL -18369.920000 N N N N/A N/A 000000000 1.000000 NC 6375809.390000 0.0490751 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL -55816.850000 BRL 5210700000.000000 BRL 6431626.240000 N N N N/A N/A 000000000 1.000000 NC -487342.850000 -0.0037511 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL -479854.100000 BRL 312500000.000000 BRL -7488.750000 N N N N/A N/A 000000000 1.000000 NC 153346.440000 0.0011803 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 TESCO PLC TESCO PLC UNSUB EMTN Y Single Leg Swap 2022-06-21 0.000000 EUR -510542.200000 EUR 10675000.000000 EUR 663888.640000 N N N N/A N/A 000000000 1.000000 NC 111457.970000 0.0008579 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 TESCO PLC TESCO PLC UNSUB EMTN Y Single Leg Swap 2025-06-21 0.000000 EUR -188317.680000 EUR 5700000.000000 EUR 299775.650000 N N N N/A N/A 000000000 1.000000 NC 126306.620000 0.0009722 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 145028706.440000 USD 184766572.000000 CAD 2021-01-05 126306.620000 N N N N/A N/A 000000000 1.000000 NC 757761.330000 0.0058326 N/A DFE CL N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 14793000.000000 USD 11050371000.000000 CLP 2021-01-15 757761.330000 N N N N/A N/A 000000000 1.000000 NC -2535360.770000 -0.0195149 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 184766572.000000 CAD 142619652.290000 USD 2021-01-05 -2535360.770000 N N N N/A N/A 000000000 1.000000 NC -128771.180000 -0.0009912 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 184766572.000000 CAD 145042561.760000 USD 2021-02-02 -128771.180000 N N N AVON FINANCE NO 2 PLC 2A N/A ACI1RJQB0 23443310.550000 PA 32024968.760000 0.2464988 Long ABS-MBS CORP GB N 2 2048-09-20 Floating 0.9536 N N N N N N N/A N/A 000000000 1.000000 NC -19323360.330000 -0.1487335 N/A DFE N/A N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 803258288.460000 EUR 961977194.250000 USD 2021-01-05 -19323360.330000 N N N N/A N/A 000000000 1.000000 NC 1522964.680000 0.0117224 N/A DFE N/A N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 803354161.460000 EUR 983605385.740000 USD 2021-02-02 1522964.680000 N N N N/A N/A 000000000 1.000000 NC -4672604.180000 -0.0359654 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 47030576310.000000 JPY 450826194.400000 USD 2021-01-08 -4672604.180000 N N N N/A N/A 000000000 1.000000 NC 392.730000 0.0000030 N/A DFE CZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 16167.000000 USD 355609.330000 CZK 2021-02-18 392.730000 N N N N/A N/A 000000000 1.000000 NC -98.900000 -0.0000008 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 486697.500000 USD 9701000.000000 MXN 2021-01-21 -98.900000 N N N N/A N/A 000000000 1.000000 NC 21053.480000 0.0001621 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 672114.930000 USD 51328478.000000 RUB 2021-01-22 21053.480000 N N N N/A N/A 000000000 1.000000 NC 7089.210000 0.0000546 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 229035.760000 USD 17544254.000000 RUB 2021-02-16 7089.210000 N N N N/A N/A 000000000 1.000000 NC 4245.710000 0.0000327 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 235331.990000 USD 17800794.000000 RUB 2021-02-16 4245.710000 N N N N/A N/A 000000000 1.000000 NC 11647.770000 0.0000897 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 1587075.110000 USD 118829075.000000 RUB 2021-02-19 11647.770000 N N N N/A N/A 000000000 1.000000 NC -14744.720000 -0.0001135 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 2726891.650000 USD 201587101.000000 RUB 2021-02-19 -14744.720000 N N N N/A N/A 000000000 1.000000 NC -4157806.320000 -0.0320030 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 114030370.000000 AUD 83757815.430000 USD 2021-01-08 -4157806.320000 N N N N/A N/A 000000000 1.000000 NC -2639111.860000 -0.0203135 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 76111530.000000 AUD 56041680.650000 USD 2021-01-08 -2639111.860000 N N N N/A N/A 000000000 1.000000 NC -4286639.160000 -0.0329946 N/A DFE DK N 2 UBS AG BFM8T61CT2L1QCEMIK50 1036304358.000000 DKK 165922905.330000 USD 2021-02-01 -4286639.160000 N N N N/A N/A 000000000 1.000000 NC -1231516.800000 -0.0094791 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 59002000.000000 ILS 17166715.160000 USD 2021-04-30 -1231516.800000 N N N N/A N/A 000000000 1.000000 NC -562871.760000 -0.0043325 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 27641000.000000 ILS 8056251.820000 USD 2021-04-30 -562871.760000 N N N N/A N/A 000000000 1.000000 NC 10560.970000 0.0000813 N/A DFE PE N 2 UBS AG BFM8T61CT2L1QCEMIK50 10248252.000000 PEN 2842000.000000 USD 2021-01-25 10560.970000 N N N N/A N/A 000000000 -15000000.000000 NC USD -0.150000 0.0000000 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% JAN 30YR N/A 101.670000 USD 2021-01-07 XXXX 50390.480000 N N N N/A N/A 000000000 -7600000.000000 NC USD -10476.600000 -0.0000806 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAR 30YR N/A 104.140000 USD 2021-03-04 XXXX 210.900000 N N N N/A N/A 000000000 -17300000.000000 NC USD -39080.700000 -0.0003008 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% FEB 30YR N/A 102.270000 USD 2021-02-04 XXXX 2817.740000 N N N N/A N/A 000000000 -7600000.000000 NC USD -7366.680000 -0.0000567 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAR 30YR N/A 102.130000 USD 2021-03-04 XXXX 16383.320000 N N N N/A N/A 000000000 -5400000.000000 NC USD -5314.680000 -0.0000409 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAR 30YR N/A 102.140000 USD 2021-03-04 XXXX 9029.070000 N N N N/A N/A 000000000 -19400000.000000 NC USD -19093.480000 -0.0001470 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAR 30YR N/A 102.140000 USD 2021-03-04 XXXX 41531.520000 N N N N/A N/A 000000000 -9200000.000000 NC USD -0.090000 0.0000000 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% JAN 30YR N/A 101.560000 USD 2021-01-07 XXXX 31265.540000 N N N N/A N/A 000000000 -7600000.000000 NC USD -7479.920000 -0.0000576 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAR 30YR N/A 102.140000 USD 2021-03-04 XXXX 16270.080000 N N N BABSON EURO CLO 2015-1A BV N/A ACI0Y8ZQ5 5237881.580000 PA 6351931.670000 0.0488913 Long ABS-CBDO CORP NL N 2 2029-10-25 Floating 0.309 N N N N N N N/A N/A 000000000 -11700000.000000 NC USD -58054.230000 -0.0004468 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 1.5% FEB 30YR N/A 99.690000 USD 2021-02-04 XXXX 11871.550000 N N N N/A N/A 000000000 -11700000.000000 NC USD -25749.360000 -0.0001982 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% FEB 30YR N/A 102.190000 USD 2021-02-04 XXXX 3500.640000 N N N N/A N/A 000000000 -5400000.000000 NC USD -7443.900000 -0.0000573 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAR 30YR N/A 104.140000 USD 2021-03-04 XXXX -1537.650000 N N N N/A N/A 000000000 568.000000 NC 1141179.310000 0.0087838 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A UNITED KINGDOM GOVT 2021-03-29 105279400.930000 GBP 1141179.310000 N N N N/A N/A 000000000 -67000000.000000 NC USD -533655.000000 -0.0041076 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Put Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2021-01-07 N/A 6.550000 USD 2021-01-07 XXXX -204350.000000 N N N N/A N/A 000000000 -67000000.000000 NC USD -1273.000000 -0.0000098 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2021-01-07 N/A 6.750000 USD 2021-01-07 XXXX 328032.000000 N N N N/A N/A 000000000 -3090.000000 NC USD -347834.150000 -0.0026773 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-03-22 -426661406.250000 USD -347834.150000 N N N N/A N/A 000000000 124.000000 NC USD 124.000000 0.0000010 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 03/31/21 2021-04-01 N/A USD N/A 118.000000 USD 2021-02-19 XXXX -1004.400000 N N N N/A N/A 000000000 554.000000 NC USD 133444.190000 0.0010271 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2021-03-31 69894890.900000 USD 133444.190000 N N N N/A N/A 000000000 -109.000000 NC USD 241686.790000 0.0018603 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-03-22 -18877437.500000 USD 241686.790000 N N N N/A N/A 000000000 -399.000000 NC USD 1654632.250000 0.0127358 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-03-22 -85211437.500000 USD 1654632.250000 N N N BANC OF AMERICA ALT LOAN TRUST 2006-3 N/A 05948K4Q9 2860806.180000 PA USD 2957981.760000 0.0227678 Long ABS-MBS CORP US N 2 2036-04-25 Fixed 6.5 Y N N N N N BANC OF AMERICA FUNDING CORP 2004-B N/A 05946XJN4 260661.330000 PA USD 254847.280000 0.0019616 Long ABS-MBS CORP US N 2 2034-11-20 Floating 2.89514 N N N N N N BANC OF AMERICA FUNDING CORP 2005-8 N/A 05946XZ48 151695.360000 PA USD 140825.300000 0.0010839 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.5 N N N N N N BANC OF AMERICA FUNDING CORP 2006-A N/A 058927AA2 855686.720000 PA USD 839313.750000 0.0064603 Long ABS-MBS CORP US N 2 2036-02-20 Floating 2.82609 N N N N N N BANC OF AMERICA FUNDING CORP 2006-B N/A 058928AF9 61437.760000 PA USD 58691.520000 0.0004518 Long ABS-MBS CORP US N 2 2036-03-20 Floating 3.99651 N N N N N N BANC OF AMERICA FUNDING CORP 2006-I N/A 05951VAH2 44117.640000 PA USD 37581.880000 0.0002893 Long ABS-MBS CORP US N 2 2046-10-20 Floating 3.11183 Y N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 97849.280000 PA USD 92883.970000 0.0007149 Long ABS-MBS CORP US N 2 2047-01-20 Floating 3.50027 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-2 N/A 05951GBL5 203055.340000 PA USD 185275.040000 0.0014261 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N BANCA CARIGE SPA F1T87K3OQ2OV1UORLH26 ACI19YQJ0 6000000.000000 PA 7330025.980000 0.0564198 Long DBT CORP IT N 2 2021-02-25 Floating 0.877 N N N N N N BANCA CARIGE SPA F1T87K3OQ2OV1UORLH26 ACI1FC9D3 32500000.000000 PA 39928597.180000 0.3073337 Long DBT CORP IT N 2 2022-05-25 Floating 0.977 N N N N N N BANCA CARIGE SPA F1T87K3OQ2OV1UORLH26 ACI1BW9L5 34500000.000000 PA 42387670.690000 0.3262614 Long DBT CORP IT N 2 2021-10-25 Floating 1.189 N N N N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI1FY8R5 19935000.000000 PA 25719928.460000 0.1979684 Long DBT CORP IT N 2 2027-10-08 Fixed 0.875 N N N N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI1J7WJ1 8000000.000000 PA 10064911.160000 0.0774704 Long DBT CORP IT N 2 2025-04-28 Fixed 2.625 N N N N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI1D4042 600000.000000 PA 762593.180000 0.0058697 Long DBT CORP IT N 2 2022-07-10 Fixed 4 N N N N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 BJSF9FII4 1500000.000000 PA 1937290.560000 0.0149115 Long DBT CORP IT N 2 2024-09-24 Fixed 3.625 N N N N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 ACI0LW0M3 17600000.000000 PA 22003843.310000 0.1693654 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 ACI19RJW4 600000.000000 PA 788330.800000 0.0060678 Long DBT CORP ES N 2 2024-03-29 Floating 6 N N N N Y BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) EUR XXXX N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 BF2PHRII3 2200000.000000 PA 2818316.200000 0.0216928 Long DBT CORP ES N 2 2023-09-24 Floating 5.875 N N N N Y BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) EUR XXXX N N N BANCO DE SABADELL SA SI5RG2M0WQQLZCXKRM20 ACI1R1PF1 1900000.000000 PA 2403516.890000 0.0185001 Long DBT CORP ES N 2 2027-03-11 Floating 1.125 N N N N N N BANCO DE SABADELL SA SI5RG2M0WQQLZCXKRM20 ACI1BQC67 700000.000000 PA 886839.410000 0.0068261 Long DBT CORP ES N 2 2024-05-10 Fixed 1.75 N N N N N N BANCO DE SABADELL SA SI5RG2M0WQQLZCXKRM20 ACI1D6RV8 1700000.000000 PA 2126351.480000 0.0163667 Long DBT CORP ES N 2 2025-07-22 Fixed 0.875 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BQQ3S0II9 4000000.000000 PA 5012239.710000 0.0385796 Long DBT CORP ES N 2 2021-09-11 Floating 6.25 N N N N Y BANCO SANTANDER SA EUR XXXX N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BF1ZBSII6 1200000.000000 PA 1553022.670000 0.0119537 Long DBT CORP ES N 2 2022-04-25 Floating 6.75 N N N N Y BANCO SANTANDER SA EUR XXXX N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BF8PC7II6 400000.000000 PA 511473.620000 0.0039369 Long DBT CORP ES N 2 2023-09-29 Floating 5.25 N N N N Y BANCO SANTANDER SA EUR XXXX N N N BANK OF AMERICA MTG SEC 2005-3 N/A 05949A6J4 123366.150000 PA USD 114004.300000 0.0008775 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.22697 Y N N N N N BANK OF AMERICA MTGE SEC 2005-H N/A 05949CFW1 22900.160000 PA USD 21929.850000 0.0001688 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.99769 Y N N N N N BANK OF AMERICA MTGE SECURITIES 2005-C N/A 05949AZ37 100811.080000 PA USD 92547.980000 0.0007123 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.85125 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 42839000.000000 PA USD 47670052.990000 0.3669203 Long DBT CORP GB N 2 2022-11-21 Fixed 7.625 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBA2 1400000.000000 PA USD 1508500.000000 0.0116110 Long DBT CORP GB N 2 2023-09-15 Floating 7.75 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBG9 4700000.000000 PA USD 5242888.160000 0.0403549 Long DBT CORP GB N 2 2024-06-15 Floating 8 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBN4 19200000.000000 PA USD 20736515.330000 0.1596107 Long DBT CORP GB N 2 2025-12-15 Floating 6.125 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI0PG9W3 11885000.000000 PA USD 12494106.250000 0.0961682 Long DBT CORP GB N 2 2022-03-15 Floating 7.875 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI0SSSH6 900000.000000 PA 1308441.860000 0.0100712 Long DBT CORP GB N 2 2023-03-15 Floating 7.25 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI1FNQ32 1600000.000000 PA 2369605.380000 0.0182390 Long DBT CORP GB N 2 2025-12-15 Floating 6.375 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI1CH093 5100000.000000 PA 7796448.870000 0.0600099 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 06738EAS4 1500000.000000 PA USD 1546483.530000 0.0119034 Long DBT CORP GB N 2 2023-01-10 Fixed 3.684 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAN5 1650000.000000 PA USD 1903537.270000 0.0146517 Long DBT CORP GB N 2 2026-01-12 Fixed 4.375 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI0ZVTR8 900000.000000 PA 1452817.530000 0.0111825 Long DBT CORP GB N 2 2033-01-17 Fixed 3.25 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAV7 3200000.000000 PA USD 4369710.020000 0.0336340 Long DBT CORP GB N 2 2047-01-10 Fixed 4.95 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBE4 21700000.000000 PA USD 22656579.620000 0.1743896 Long DBT CORP GB N 2 2023-02-15 Floating 4.61 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBF1 19300000.000000 PA USD 19441589.430000 0.1496435 Long DBT CORP GB N 2 2023-02-15 Floating 1.651 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBB0 800000.000000 PA USD 866090.600000 0.0066664 Long DBT CORP GB N 2 2024-05-16 Floating 4.338 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBC8 5200000.000000 PA USD 5271319.460000 0.0405738 Long DBT CORP GB N 2 2024-05-16 Floating 1.601 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 5400000.000000 PA USD 6479272.030000 0.0498715 Long DBT CORP GB N 2 2029-05-16 Floating 4.972 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI0P3738 2600000.000000 PA 3965663.010000 0.0305240 Long DBT CORP GB N 2 2027-02-12 Fixed 3.25 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI1LBVD3 7800000.000000 PA 10521464.510000 0.0809846 Long DBT CORP GB N 2 2025-04-02 Floating 3.375 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAW5 15800000.000000 PA USD 18271131.850000 0.1406344 Long DBT CORP GB N 2 2028-05-09 Fixed 4.836 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBK0 12800000.000000 PA USD 15358293.380000 0.1182140 Long DBT CORP GB N 2 2030-06-20 Floating 5.088 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAC7 5300000.000000 PA USD 5311260.380000 0.0408812 Long DBT CORP US N 2 2021-06-25 Floating 0.881 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAU7 400000.000000 PA USD 405026.580000 0.0031175 Long DBT CORP US N 2 2021-07-15 Fixed 2.75 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAE3 2700000.000000 PA USD 2943766.770000 0.0226584 Long DBT CORP US N 2 2023-12-15 Fixed 3.875 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAG8 8300000.000000 PA USD 8389831.480000 0.0645772 Long DBT CORP US N 2 2023-12-15 Floating 1.2265 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 10300000.000000 PA USD 11786720.130000 0.0907234 Long DBT CORP US N 2 2025-12-15 Fixed 4.25 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAL7 8700000.000000 PA USD 10235363.300000 0.0787824 Long DBT CORP US N 2 2028-12-15 Fixed 4.375 N N N N N N BCAP LLC TRUST 2011-RR4 N/A 05533XAA0 1147543.430000 PA USD 864476.940000 0.0066540 Long ABS-MBS CORP US N 2 2037-04-26 Fixed 5.25 N N N N N N BCAP LLC TRUST 2011-RR4 N/A 05533XAC6 548221.280000 PA USD 360866.440000 0.0027776 Long ABS-MBS CORP US N 2 2036-02-26 Floating 5.25 N N N N N N BCAP LLC TRUST 2011-RR5 N/A 05534AAG6 11889.720000 PA USD 11887.830000 0.0000915 Long ABS-MBS CORP US N 2 2036-02-26 Floating 3.03396 N N N N N N BCAP LLC TRUST 2011-RR5 N/A 05534AAJ0 328769.160000 PA USD 304504.750000 0.0023438 Long ABS-MBS CORP US N 2 2047-01-26 Floating 1.623 N N N N N N BDS 2020-FL6 LTD N/A 05492XAA9 10700000.000000 PA USD 10752835.530000 0.0827655 Long ABS-MBS CORP KY N 2 2035-09-15 Floating 1.45863 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAC9 37603.570000 PA USD 33511.130000 0.0002579 Long ABS-MBS CORP US N 2 2046-12-26 Floating 2.72785 Y N N N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MB68 8579.980000 PA USD 8568.200000 0.0000660 Long ABS-MBS CORP US N 2 2034-02-25 Floating 3.02155 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MN32 97495.660000 PA USD 94063.080000 0.0007240 Long ABS-MBS CORP US N 2 2034-05-25 Floating 3.47333 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MN57 103174.040000 PA USD 93348.150000 0.0007185 Long ABS-MBS CORP US N 2 2034-05-25 Floating 3.1151 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 2052.340000 PA USD 2014.520000 0.0000155 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.13201 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7 N/A 07384MYW6 45365.340000 PA USD 45880.500000 0.0003531 Long ABS-MBS CORP US N 2 2033-10-25 Floating 2.72518 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M3X8 229072.170000 PA USD 237050.750000 0.0018246 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.87786 N N N N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HZJ3 161027.540000 PA USD 165411.100000 0.0012732 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 2.7292 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 2213703.950000 PA USD 1746185.610000 0.0134405 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.15185 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HYE5 54352.460000 PA USD 48113.020000 0.0003703 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.00151 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AN5 172049.020000 PA USD 127965.740000 0.0009850 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.08387 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-5 N/A 073873AK7 1140092.380000 PA USD 733470.340000 0.0056456 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.47808 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AM3 302968.780000 PA USD 212019.520000 0.0016319 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.49106 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-R1 N/A 073866BN4 834342.780000 PA USD 710239.970000 0.0054668 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.13342 Y N N N N N BEAR STEARNS ARM TR 2004-3 N/A 07384MR20 37633.700000 PA USD 38380.760000 0.0002954 Long ABS-MBS CORP US N 2 2034-07-25 Floating 3.27095 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE2 N/A 07389YAU5 9991073.780000 PA USD 10042225.080000 0.0772958 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.368 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7 N/A 07387VAA7 19796.240000 PA USD 19793.040000 0.0001523 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.148 N N N N N N BEAR STEARNS ASSETBACKED SEC 2001-3 N/A 07384YBM7 32010.650000 PA USD 31506.880000 0.0002425 Long ABS-MBS CORP US N 2 2032-10-27 Floating 0.948 N N N N N N BEAR STEARNS ASSETBK SECU INC 2002- N/A 07384YEM4 8473.810000 PA USD 8430.600000 0.0000649 Long ABS-MBS CORP US N 2 2032-10-25 Floating 0.808 N N N N N N BG ENERGY CAPITAL PLC S2M8QDKEE05NZN8JD460 05541VAE6 1000000.000000 PA USD 1026927.800000 0.0079043 Long DBT CORP GB N 2 2021-10-15 Fixed 4 N N N N N N BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SA RL 213800Y3B5GQFBGVHP79 ACI13P7K3 7000000.000000 PA 8688965.450000 0.0668797 Long DBT CORP LU N 2 2022-07-06 Fixed 1.4 N N N N N N BMW FINANCE N V 5299006ZHG3IXU0PNJ56 05600LAA4 19300000.000000 PA USD 19914666.790000 0.1532848 Long DBT CORP NL N 2 2022-08-12 Fixed 2.25 N N N N N N BNG BANK NV 529900GGYMNGRQTDOO93 ACI0524X9 11010000.000000 PA 9301707.000000 0.0715960 Long DBT CORP NL N 2 2023-03-06 Fixed 4.75 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05565AAQ6 500000.000000 PA USD 506562.500000 0.0038991 Long DBT CORP FR N 2 2021-03-30 Floating 7.625 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05565ACA9 1200000.000000 PA USD 1254372.000000 0.0096550 Long DBT CORP FR N 2 2022-03-14 Floating 6.75 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2M5 45940000.000000 PA USD 46965258.600000 0.3614955 Long DBT CORP FR N 2 2028-09-30 Floating 1.904 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 BJCZ6RII4 8500000.000000 PA 13110491.290000 0.1009125 Long DBT CORP FR N 2 2026-01-23 Fixed 3.375 N N N N N N BNPP AM EURO CLO 2017 BV 17-1A N/A ACI1G3M70 1900000.000000 PA 2311455.530000 0.0177915 Long ABS-CBDO CORP NL N 2 2031-10-15 Floating 0.65 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 09681LAG5 2000000.000000 PA USD 1998900.000000 0.0153857 Long DBT CORP SG N 2 2021-05-02 Floating 1.26438 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 09681LAD2 1900000.000000 PA USD 1941040.000000 0.0149403 Long DBT CORP SG N 2 2022-09-18 Fixed 2.75 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 09681LAE0 4100000.000000 PA USD 4385244.500000 0.0337536 Long DBT CORP SG N 2 2027-09-18 Fixed 3.5 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023CZ6 13100000.000000 PA USD 13497102.920000 0.1038883 Long DBT CORP US N 2 2024-02-01 Fixed 1.95 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DA0 10300000.000000 PA USD 10836103.570000 0.0834064 Long DBT CORP US N 2 2026-02-01 Fixed 2.75 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DB8 20800000.000000 PA USD 22310220.190000 0.1717236 Long DBT CORP US N 2 2028-02-01 Fixed 3.25 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023CL7 9800000.000000 PA USD 9890885.400000 0.0761310 Long DBT CORP US N 2 2021-08-01 Fixed 2.3 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 09702EBS9 7800000.000000 PA USD 7719566.400000 0.0594181 Long LON CORP US N 2 2022-02-07 Floating 1.4686 N N N N N N BOSTON SCIENTIFIC CORPORATION Y6ZDD9FP4P8JSSJMW954 101137AV9 3800000.000000 PA USD 4119981.510000 0.0317118 Long DBT CORP US N 2 2024-03-01 Fixed 3.45 N N N N N N BOSTON SCIENTIFIC CORPORATION Y6ZDD9FP4P8JSSJMW954 101137AW7 2400000.000000 PA USD 2724892.800000 0.0209737 Long DBT CORP US N 2 2026-03-01 Fixed 3.75 N N N N N N BOWMAN PARK CLO LTD 2014-1A N/A 10302VBA2 1546407.300000 PA USD 1548245.270000 0.0119170 Long ABS-CBDO CORP KY N 2 2025-11-23 Floating 1.39263 N N N N N N BRITISH TELECOMMUNICATIONS PLC 549300OWFMSO9NYV4H90 111021AE1 7950000.000000 PA USD 13191405.820000 0.1015353 Long DBT CORP GB N 2 2030-12-15 Variable 9.625 N N N N N N BRIXMOR OPERATING PARTNERSHIP LP 549300CJHBL7JBUA6503 11120VAG8 11400000.000000 PA USD 11389724.380000 0.0876676 Long DBT CORP US N 2 2022-02-01 Floating 1.26438 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAN1 3648000.000000 PA USD 4051810.980000 0.0311871 Long DBT CORP US N 2 2026-09-15 Fixed 3.459 N N N N N N BROOKSIDE MILL CLO LTD 2013-1A N/A 114521AL1 5208052.630000 PA USD 5176950.920000 0.0398474 Long ABS-CBDO CORP KY N 2 2028-01-17 Floating 1.03775 N N N N N N BUSINESS MORTGAGE FINANCE 7 PLC X N/A ACI085MJ0 2906663.770000 PA 3939791.610000 0.0303249 Long ABS-MBS CORP GB N 2 2041-02-15 Floating 2.04775 N N N N N N CAIRN CLO VII BV 16-7A N/A ACI1G9KT1 4050000.000000 PA 4942090.410000 0.0380397 Long ABS-CBDO CORP NL N 2 2030-01-31 Floating 0.67 N N N N N N CALIFORNIA STATE N/A 13063DAF5 12500000.000000 PA USD 12498125.000000 0.0961991 Long DBT MUN US N 2 2047-04-01 Floating 0.924 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BD0 6200000.000000 PA USD 6236519.920000 0.0480030 Long DBT CORP US N 2 2021-03-15 Fixed 3.3 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BE8 1972000.000000 PA USD 2106130.470000 0.0162111 Long DBT CORP US N 2 2023-03-15 Fixed 3.65 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -78620000.000000 PA -84747697.400000 -0.6523100 Short DBT NUSS CA N 2 2048-12-01 Fixed 2.75 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087ZH0 10706040.000000 PA 12114084.600000 0.0932431 Long DBT NUSS CA N 2 2044-12-01 Fixed 1.5 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2016-2 DAC 16-2A N/A ACI1C3JN3 16850000.000000 PA 20570568.890000 0.1583334 Long ABS-CBDO CORP IE N 2 2030-01-18 Floating 0.87 N N N N N N CASTLE PARK CLO DAC CASPK-1A N/A ACI0SRCZ5 1660386.670000 PA 2030329.480000 0.0156276 Long ABS-CBDO CORP IE N 2 2028-01-15 Floating 0.492 N N N N N N CENT CLO LTD 2015-24A N/A 15137KAE9 21692374.930000 PA USD 21679730.880000 0.1668707 Long ABS-CBDO CORP KY N 2 2026-10-15 Floating 1.30688 N N N N N N CENTERPOINT ENERGY RESOURCES CORP 2JADVB0458J06WCD4N56 15189WAK6 3100000.000000 PA USD 3308154.370000 0.0254631 Long DBT CORP US N 2 2023-04-01 Fixed 3.55 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0KH2X1 2300000.000000 PA USD 2305174.630000 0.0177431 Long DBT CORP JP N 2 2021-02-16 Fixed 2.241 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0MR1X8 100000.000000 PA USD 100846.970000 0.0007762 Long DBT CORP JP N 2 2021-05-28 Fixed 2.362 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0PN1Y2 17325000.000000 PA USD 17516671.500000 0.1348273 Long DBT CORP JP N 2 2021-09-14 Fixed 2.091 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC 549300TPZNMN50BJ3745 16117LBX6 13188183.450000 PA USD 13137817.780000 0.1011229 Long LON CORP US N 2 2027-02-01 Floating 1.9 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BP8 4100000.000000 PA USD 4206329.890000 0.0323765 Long DBT CORP US N 2 2024-02-01 Floating 1.86438 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BJ2 19100000.000000 PA USD 21439535.130000 0.1650219 Long DBT CORP US N 2 2028-02-15 Fixed 3.75 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BB9 12050000.000000 PA USD 12706719.220000 0.0978047 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 161175BS2 5200000.000000 PA USD 6346940.130000 0.0488529 Long DBT CORP US N 2 2049-07-01 Fixed 5.125 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AA6 196272.170000 PA USD 197308.370000 0.0015187 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.19522 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A2 N/A 16163LAQ5 652655.900000 PA USD 594691.700000 0.0045774 Long ABS-MBS CORP US N 2 2037-07-25 Variable 3.27634 Y N N N N N CHEVY CHASE MORTGAGE FUND CORP 2005-2A N/A 16678RDL8 654301.280000 PA USD 610127.700000 0.0046962 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.378 N N N N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 168863DP0 9700000.000000 PA USD 10403250.000000 0.0800747 Long DBT NUSS CL N 2 2031-01-31 Fixed 2.45 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI1JVM00 209800000.000000 PA 32110019.930000 0.2471535 Long DBT CORP CN N 2 2027-01-14 Fixed 3.43 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI18DPJ8 90400000.000000 PA 13706630.380000 0.1055011 Long DBT CORP CN N 2 2029-01-08 Fixed 3.48 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 BZ82X0II5 63000000.000000 PA 9584080.240000 0.0737695 Long DBT CORP CN N 2 2036-01-25 Fixed 3.8 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI19HN43 2506000000.000000 PA 390307932.740000 3.0042322 Long DBT CORP CN N 2 2026-02-26 Fixed 3.68 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI112JW7 530900000.000000 PA 88489919.730000 0.6811142 Long DBT CORP CN N 2 2028-02-09 Fixed 4.88 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI0NHCM1 333600000.000000 PA 50753345.840000 0.3906527 Long DBT CORP CN N 2 2026-04-05 Fixed 3.18 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 BDG28WII3 851200000.000000 PA 134389950.590000 1.0344105 Long DBT CORP CN N 2 2027-04-10 Fixed 4.04 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI1NLP95 395800000.000000 PA 59746368.890000 0.4598727 Long DBT CORP CN N 2 2025-06-22 Fixed 2.89 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 BMZC7ZII4 195300000.000000 PA 29832274.790000 0.2296215 Long DBT CORP CN N 2 2027-07-10 Fixed 3.39 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI140DZ7 181100000.000000 PA 28624137.970000 0.2203223 Long DBT CORP CN N 2 2028-07-06 Fixed 4.04 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 BD0F7YII8 811100000.000000 PA 121974843.470000 0.9388504 Long DBT CORP CN N 2 2026-08-25 Fixed 3.05 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 BK5TNXII1 404900000.000000 PA 62280543.130000 0.4793785 Long DBT CORP CN N 2 2026-08-13 Fixed 3.5 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI0XJLS3 1581200000.000000 PA 252949770.510000 1.9469752 Long DBT CORP CN N 2 2027-08-24 Fixed 4.24 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 BYQC6DII8 7300000.000000 PA 1139811.560000 0.0087732 Long DBT CORP CN N 2 2025-09-10 Fixed 3.74 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI1FYJJ1 74500000.000000 PA 11249401.460000 0.0865876 Long DBT CORP CN N 2 2029-09-20 Fixed 3.45 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI16C869 54900000.000000 PA 8725592.250000 0.0671616 Long DBT CORP CN N 2 2025-10-26 Fixed 4.15 N N N N N N CHINA GOVT 300300CHN201808MOF68 ACI0LQCL5 65000000.000000 PA 9896834.920000 0.0761768 Long DBT NUSS CN N 2 2026-01-28 Fixed 2.85 N N N N N N CHINA GOVT 300300CHN201808MOF68 ACI0T2RL4 26000000.000000 PA 4055605.420000 0.0312163 Long DBT NUSS CN N 2 2027-02-09 Fixed 3.4 N N N N N N CHINA GOVT 300300CHN201808MOF68 BD040RII5 43900000.000000 PA 6730426.150000 0.0518046 Long DBT NUSS CN N 2 2023-06-16 Fixed 2.95 N N N N N N CHINA GOVT 300300CHN201808MOF68 ACI1MYJT1 167600000.000000 PA 25171322.170000 0.1937457 Long DBT NUSS CN N 2 2027-06-04 Fixed 2.85 N N N N N N CHINA GOVT 300300CHN201808MOF68 BD1F1VII9 654000000.000000 PA 98683949.860000 0.7595785 Long DBT NUSS CN N 2 2026-08-04 Fixed 2.74 N N N N N N CHINA GOVT 300300CHN201808MOF68 BGKF9LII5 131900000.000000 PA 20428371.200000 0.1572389 Long DBT NUSS CN N 2 2023-10-18 Fixed 3.29 N N N N N N CHINA GOVT 300300CHN201808MOF68 BZ3FL5II3 294700000.000000 PA 44303248.050000 0.3410057 Long DBT NUSS CN N 2 2026-11-03 Fixed 2.7 N N N N N N CHINA GOVT 300300CHN201808MOF68 ACI0Z7CD0 166200000.000000 PA 26663497.670000 0.2052311 Long DBT NUSS CN N 2 2027-11-02 Fixed 3.82 N N N N N N CHINA GOVT 300300CHN201808MOF68 ACI16YPH8 44000000.000000 PA 6817401.090000 0.0524741 Long DBT NUSS CN N 2 2025-12-06 Fixed 3.22 N N N N N N CIFC FUNDING LTD 2015-5A N/A 12547UAL2 18027775.940000 PA USD 17963115.720000 0.1382636 Long ABS-CBDO CORP KY N 2 2027-10-25 Floating 1.07475 N N N N N N CIFI HOLDINGS (GROUP) CO LTD 549300WGKSV867C0JF48 ACI18JR53 7200000.000000 PA USD 7546171.750000 0.0580835 Long DBT CORP KY N 2 2023-02-28 Fixed 7.625 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FAY4 4250000.000000 PA USD 4290896.010000 0.0330274 Long DBT CORP US N 2 2022-05-20 Floating 2.844 N N N N N N CITICORP MORTGAGE SECURITIES 2007-3 N/A 17312FAA1 59545.410000 PA USD 59916.770000 0.0004612 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 Y N N N N N CITIGROUP MORTGAGE LOAN TRUST 2007-FS1 N/A 17313EAA3 1439244.800000 PA USD 1521641.280000 0.0117122 Long ABS-MBS CORP US N 2 2037-10-25 Variable 5.75 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2006-HE2 N/A 17309LAG0 16899000.000000 PA USD 16081929.970000 0.1237839 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.448 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3 N/A 17312EAA4 2478698.440000 PA USD 2309423.910000 0.0177758 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.408 N N N N N N CITIGROUP MTGE LN TR INC 2007-AMC4 N/A 17313BAD3 534707.350000 PA USD 534925.460000 0.0041174 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.318 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR7 N/A 172987AD1 568256.930000 PA USD 554179.050000 0.0042656 Long ABS-MBS CORP US N 2 2046-07-25 Floating 2.89454 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 519518.110000 PA USD 505630.460000 0.0038919 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.36093 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-6 N/A 17312VAH1 380132.370000 PA USD 330028.380000 0.0025403 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.74885 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL3 N/A 17312GAA9 267957.370000 PA USD 226135.330000 0.0017406 Long ABS-MBS CORP US N 2 2045-07-25 Floating 0.208 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 3083604.590000 PA USD 2153909.220000 0.0165788 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.308 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAB9 6493500.080000 PA USD 3383928.480000 0.0260464 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.298 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAB1 5996910.400000 PA USD 5043363.270000 0.0388192 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.328 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-WFH3 N/A 17313CAD1 3726000.000000 PA USD 3612345.450000 0.0278045 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.408 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 27939.000000 PA USD 28150.310000 0.0002167 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.57 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-3 N/A 17307GTJ7 18167.990000 PA USD 18367.600000 0.0001414 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.12501 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-7 N/A 17307GA57 1386081.980000 PA USD 1291529.430000 0.0099410 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.67414 Y N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 1674856E6 325000.000000 PA USD 327431.000000 0.0025203 Long DBT MUN US N 2 2022-01-01 Fixed 5.63 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486ZZ5 1580000.000000 PA USD 1715232.200000 0.0132023 Long DBT MUN US N 2 2029-01-01 Fixed 7.045 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 ACI1JXW05 10300000.000000 PA 12788740.420000 0.0984360 Long DBT CORP US N 2 2027-05-20 Fixed 0.25 N N N N N N COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2013-CR7 N/A 12625FAQ9 13000000.000000 PA USD 163410.000000 0.0012578 Long ABS-MBS CORP US N 2 2046-03-10 Variable 0.609828 N N N N N N COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2013-LC6 N/A 20048EAZ4 4292501.980000 PA USD 85901.550000 0.0006612 Long ABS-MBS CORP US N 2 2046-01-10 Variable 1.32392 N N N N N N FARM CREDIT BANK OF TEXAS V1EBJIOLRNYDHDF63Z33 30767EAD1 10000000.000000 NS USD 10900000.000000 0.0838982 Long EP USGSE US N 2 N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 BD2YKYII0 6600000.000000 PA 8299133.240000 0.0638791 Long DBT CORP NL N 2 2021-06-29 Floating 6.625 N N N N N N COUNTRY GARDEN HOLDINGS COMPANY LIMITED 549300MGHLPT1EFHGF84 ACI17Q545 1700000.000000 PA USD 1770550.000000 0.0136281 Long DBT CORP KY N 2 2022-04-25 Fixed 7.125 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-37T1 N/A 12667G2X0 1193166.270000 PA USD 785392.750000 0.0060452 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.598 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668AGT6 206443.730000 PA USD 193130.320000 0.0014865 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.64943 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668ALV5 213317.320000 PA USD 195330.020000 0.0015035 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.10943 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 228314.830000 PA USD 205203.750000 0.0015795 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.428 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J1 N/A 12667FU29 11287.720000 PA USD 11555.710000 0.0000889 Long ABS-MBS CORP US N 2 2032-08-25 Fixed 6.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12 N/A 23243AAB2 2857961.340000 PA USD 2554504.720000 0.0196622 Long ABS-MBS CORP US N 2 2046-09-20 Floating 0.34163 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OC11 N/A 23244JAC0 27940.440000 PA USD 33764.710000 0.0002599 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.318 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1 N/A 02150GAN8 396733.400000 PA USD 127449.530000 0.0009810 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.498 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB N/A 02152AAY5 387477.750000 PA USD 302078.200000 0.0023251 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6.25 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA3 N/A 02150TAA8 791571.740000 PA USD 724570.420000 0.0055771 Long ABS-MBS CORP US N 2 2047-04-25 Floating 0.288 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GL84 236924.090000 PA USD 227931.850000 0.0017544 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.00943 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13 N/A 02149DAN9 101411.950000 PA USD 99174.750000 0.0007634 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.67388 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 500870.200000 PA USD 476491.040000 0.0036676 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.528 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9 N/A 02146YAC0 435587.410000 PA USD 343869.300000 0.0026468 Long ABS-MBS CORP US N 2 2046-07-20 Floating 0.36163 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11 N/A 02151WAA0 5147346.500000 PA USD 4519164.330000 0.0347844 Long ABS-MBS CORP US N 2 2047-11-25 Floating 1.98943 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11 N/A 02151WAT9 2215228.190000 PA USD 1931237.930000 0.0148649 Long ABS-MBS CORP US N 2 2047-11-25 Floating 1.85943 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11 N/A 12668AJK2 4343567.420000 PA USD 3398299.860000 0.0261570 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1 N/A 126694A32 61301.590000 PA USD 51598.380000 0.0003972 Long ABS-MBS CORP US N 2 2046-03-20 Floating 0.57163 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA2 N/A 126694R75 516146.270000 PA USD 432378.260000 0.0033281 Long ABS-MBS CORP US N 2 2046-05-20 Floating 0.57163 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6 N/A 12668BD91 38584.870000 PA USD 35204.160000 0.0002710 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.568 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB N/A 12667GKC6 112761.580000 PA USD 105953.880000 0.0008155 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 5.25 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-34CB N/A 12667GW41 164607.590000 PA USD 109849.850000 0.0008455 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.548 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-21 N/A 12667LAA0 3783067.000000 PA USD 3629145.730000 0.0279338 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.288 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-22 N/A 12666BAA3 6329245.760000 PA USD 5876557.850000 0.0452323 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.288 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-25 N/A 12667TAD7 272620.110000 PA USD 272547.780000 0.0020978 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.318 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-10 N/A 126673JW3 10070500.950000 PA USD 9937155.430000 0.0764871 Long ABS-MBS CORP US N 2 2034-12-25 Floating 1.723 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-4 N/A 126673N99 9132.100000 PA USD 9307.150000 0.0000716 Long ABS-MBS CORP US N 2 2035-10-25 Variable 4.74 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-4 N/A 126673R38 12200000.000000 PA USD 12028328.920000 0.0925830 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.153 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAA4 1283766.300000 PA USD 1214464.230000 0.0093478 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.408 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-4 N/A 126670WU8 5686127.560000 PA USD 5688256.450000 0.0437830 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.438 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-SD4 N/A 232433AA0 294992.530000 PA USD 208694.090000 0.0016063 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.488 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-2 N/A 12668NAA5 4948237.850000 PA USD 4553988.480000 0.0350524 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.288 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-4 N/A 12668WAF4 916605.060000 PA USD 888693.060000 0.0068403 Long ABS-MBS CORP US N 2 2035-08-25 Variable 5.683 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAA8 6771504.100000 PA USD 6211528.470000 0.0478106 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.348 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-9 N/A 1266736F4 23739000.000000 PA USD 23876242.280000 0.1837774 Long ABS-MBS CORP US N 2 2036-01-25 Floating 1.123 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-ABC1 N/A 23242NAB5 2767460.200000 PA USD 2767542.950000 0.0213020 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.468 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KJ6 1371562.160000 PA USD 1290681.000000 0.0099345 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.628 N N N N N N COUNTRYWIDE HOME LOANS 2004-12 N/A 12669FN58 18162.450000 PA USD 17857.900000 0.0001375 Long ABS-MBS CORP US N 2 2034-08-25 Floating 3.08975 Y N N N N N COUNTRYWIDE HOME LOANS 2004-12 N/A 12669FN82 42285.080000 PA USD 44771.730000 0.0003446 Long ABS-MBS CORP US N 2 2034-08-25 Floating 3.05933 Y N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 373754.620000 PA USD 372941.110000 0.0028706 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.74872 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GJY8 8546.910000 PA USD 8409.700000 0.0000647 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.808 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPN5 310924.860000 PA USD 276214.390000 0.0021260 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.788 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 36930.570000 PA USD 35840.900000 0.0002759 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.788 N N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A 12669GTQ4 11257.620000 PA USD 10294.100000 0.0000792 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.728 N N N N N N COUNTRYWIDE HOME LOANS 2005-7 N/A 12669GNL1 401988.140000 PA USD 389948.390000 0.0030015 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.688 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JV1 379724.600000 PA USD 360294.240000 0.0027732 Long ABS-MBS CORP US N 2 2036-02-20 Floating 2.2065 Y N N N N N COUNTRYWIDE HOME LOANS 2006-HYB2 N/A 126694D21 4536057.160000 PA USD 4263829.770000 0.0328190 Long ABS-MBS CORP US N 2 2036-04-20 Floating 3.26377 N N N N N N COUNTRYWIDE HOME LOANS 2006-HYB3 N/A 1266943Y2 281187.870000 PA USD 270827.950000 0.0020846 Long ABS-MBS CORP US N 2 2036-05-20 Floating 3.5917 Y N N N N N COUNTRYWIDE HOME LOANS 2006-HYB5 N/A 170256AD3 116249.880000 PA USD 109859.300000 0.0008456 Long ABS-MBS CORP US N 2 2036-09-20 Floating 3.0651 Y N N N N N COUNTRYWIDE HOME LOANS 2007-13 N/A 17025JAB9 1363784.750000 PA USD 1050355.650000 0.0080847 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6 N N N N N N COUNTRYWIDE HOME LOANS 2007-HYB1 N/A 22239EAG1 175511.610000 PA USD 163586.280000 0.0012591 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.21978 Y N N N N N COUNTRYWIDE HOME LOANS 2007-HYB2 N/A 125438AB7 181416.780000 PA USD 168783.170000 0.0012991 Long ABS-MBS CORP US N 2 2047-02-25 Floating 3.08094 Y N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB3 N/A 12489WQX5 6998103.690000 PA USD 6706757.240000 0.0516225 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.668 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A 12465MAA2 4077.900000 PA USD 2467.000000 0.0000190 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.208 N N N N N N CREDIT SUISSE AG/ ZURICH BRANCH ANGGYXNX0JLX3X63JN86 22546DAA4 1700000.000000 PA USD 1918691.400000 0.0147683 Long DBT CORP CH N 2 2023-08-08 Fixed 6.5 N N N N N N CREDIT SUISSE AG/ ZURICH BRANCH ANGGYXNX0JLX3X63JN86 ACI06K5Q2 12914000.000000 PA USD 14575282.790000 0.1121871 Long DBT CORP CH N 2 2023-08-08 Fixed 6.5 N N N N N N CREDIT SUISSE AG/GUERNSEY BRANCH ANGGYXNX0JLX3X63JN86 ACI09D6B7 4500000.000000 PA 5546335.970000 0.0426906 Long DBT CORP CH N 2 2021-09-17 Fixed 0.75 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225436AA2 1600000.000000 PA USD 1754900.800000 0.0135076 Long DBT CORP CH N 2 2024-12-18 Floating 6.25 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AJ7 2200000.000000 PA USD 2403500.000000 0.0184999 Long DBT CORP CH N 2 2023-07-17 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AK4 1400000.000000 PA USD 1576300.100000 0.0121329 Long DBT CORP CH N 2 2025-09-12 Floating 7.25 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AL2 1200000.000000 PA USD 1337502.000000 0.0102949 Long DBT CORP CH N 2 2026-08-21 Floating 6.375 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225433AT8 16800000.000000 PA USD 18102900.310000 0.1393395 Long DBT CORP CH N 2 2023-06-09 Fixed 3.8 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AC2 900000.000000 PA USD 1040799.920000 0.0080111 Long DBT CORP CH N 2 2028-01-09 Fixed 4.282 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AF5 5300000.000000 PA USD 6007768.470000 0.0462423 Long DBT CORP CH N 2 2029-01-12 Floating 3.869 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AP3 6250000.000000 PA USD 7356207.940000 0.0566213 Long DBT CORP CH N 2 2031-04-01 Floating 4.194 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AD0 800000.000000 PA USD 836992.710000 0.0064424 Long DBT CORP CH N 2 2023-12-14 Floating 2.997 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AE8 16100000.000000 PA USD 16300632.730000 0.1254673 Long DBT CORP CH N 2 2023-12-14 Floating 1.4195 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-6 N/A 12639PAA6 1865869.100000 PA USD 1623208.530000 0.0124940 Long ABS-MBS CORP US N 2 2037-10-25 Variable 6.4205 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38144GAB7 1100000.000000 NS USD 1167837.000000 0.0089889 Long EP CORP US N 2 N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 32594.950000 PA USD 31535.670000 0.0002427 Long ABS-MBS CORP US N 2 2032-01-25 Floating 0.768 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR18 N/A 22541QFC1 7764.490000 PA USD 7830.090000 0.0000603 Long ABS-MBS CORP US N 2 2033-07-25 Floating 2.78499 N N N N N N CVC CORDATUS LOAN FUND IV LTD 4A N/A ACI18JLV2 20880000.000000 PA 25507770.070000 0.1963354 Long ABS-CBDO CORP IE N 2 2030-04-22 Floating 0.97 N N N N N N CVC CORDATUS LOAN FUND V LTD 5A N/A ACI1G4C04 7700000.000000 PA 9362504.650000 0.0720640 Long ABS-CBDO CORP IE N 2 2030-07-21 Floating 0.65 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650DC1 1009000.000000 PA USD 1014550.950000 0.0078091 Long DBT CORP US N 2 2021-03-09 Fixed 3.35 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650CV0 830000.000000 PA USD 888762.920000 0.0068409 Long DBT CORP US N 2 2023-03-09 Fixed 3.7 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650DH0 1900000.000000 PA USD 2164305.980000 0.0166588 Long DBT CORP US N 2 2027-04-01 Fixed 3.625 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650BZ2 1000000.000000 PA USD 1039869.210000 0.0080040 Long DBT CORP US N 2 2022-12-01 Fixed 2.75 N N N N N N CYRUSONE LP / CYRUSONE FINANCE CORP N/A ACI1J42G7 4300000.000000 PA 5323784.210000 0.0409776 Long DBT CORP US N 2 2027-01-22 Fixed 1.45 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851CS1 800000.000000 PA USD 819325.860000 0.0063064 Long DBT CORP US N 2 2022-01-06 Fixed 2.85 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DV3 18000000.000000 PA USD 18138449.700000 0.1396131 Long DBT CORP US N 2 2022-02-15 Floating 1.121 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851BE3 500000.000000 PA USD 502277.610000 0.0038661 Long DBT CORP US N 2 2021-03-10 Fixed 2.875 N N N N N N DANONE SA 969500KMUQ2B6CBAF162 23636TAC4 2000000.000000 PA USD 2024942.380000 0.0155861 Long DBT CORP FR N 2 2021-11-02 Fixed 2.077 N N N N N N DANONE SA 969500KMUQ2B6CBAF162 23636TAD2 1300000.000000 PA USD 1369249.130000 0.0105392 Long DBT CORP FR N 2 2023-11-02 Fixed 2.589 N N N N N N DBS BANK LTD ATUEL7OJR5057F2PV266 23304RAB1 7600000.000000 PA USD 7807519.140000 0.0600951 Long DBT CORP SG N 2 2021-11-27 Fixed 3.3 N N N N N N DBUBS MORTGAGE TRUST 2011-LC1A N/A 233050AD5 1575691.560000 PA USD 15.760000 0.0000001 Long ABS-MBS CORP US N 2 2046-11-10 Variable 0.562883 N N N N N N DBUBS MORTGAGE TRUST 2011-LC1A N/A 233050AE3 16941753.000000 PA USD 169.420000 0.0000013 Long ABS-MBS CORP US N 2 2046-11-10 Variable 0.24972 N N N N N N DELTA AIR LINES 2007-1 CLASS A PASS THROUGH TRUST N/A 247367BH7 3921716.360000 PA USD 4021767.190000 0.0309559 Long DBT CORP US N 2 2024-02-10 Fixed 6.821 N N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2007-OA3 N/A 25150WAA2 408690.260000 PA USD 378714.750000 0.0029150 Long ABS-MBS CORP US N 2 2047-07-25 Floating 0.288 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-OA4 N/A 25151XAE1 8737512.190000 PA USD 7900823.750000 0.0608133 Long ABS-MBS CORP US N 2 2047-08-25 Floating 0.338 N N N N N N DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3 N/A 25151KAC3 4025182.170000 PA USD 3702096.900000 0.0284953 Long ABS-MBS CORP US N 2 2047-10-25 Floating 0.898 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI1J0CL3 18400000.000000 PA 23507713.130000 0.1809408 Long DBT CORP DE N 2 2027-01-20 Fixed 1.625 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI0ZWMV4 5200000.000000 PA 6700492.200000 0.0515742 Long DBT CORP DE N 2 2028-01-17 Fixed 1.75 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI183TV9 23500000.000000 PA 31526801.780000 0.2426644 Long DBT CORP DE N 2 2026-02-12 Fixed 2.625 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI1J0BM2 2900000.000000 PA 4183920.240000 0.0322040 Long DBT CORP DE N 2 2024-12-16 Fixed 2.625 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BP3 2000000.000000 PA USD 2002242.200000 0.0154114 Long DBT CORP DE N 2 2021-01-22 Fixed 3.15 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BQ1 19900000.000000 PA USD 19902493.670000 0.1531911 Long DBT CORP DE N 2 2021-01-22 Floating 1.03075 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 25160PAC1 9200000.000000 PA USD 9224959.230000 0.0710053 Long DBT CORP DE N 2 2021-02-04 Fixed 4.25 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 25160PAD9 6500000.000000 PA USD 6503616.280000 0.0500589 Long DBT CORP DE N 2 2021-02-04 Floating 1.51013 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CC1 12000000.000000 PA USD 12352105.800000 0.0950752 Long DBT CORP DE N 2 2024-09-18 Floating 2.222 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CD9 200000.000000 PA USD 217336.790000 0.0016729 Long DBT CORP DE N 2 2031-09-18 Floating 3.547 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BX6 60000000.000000 PA USD 61539211.200000 0.4736724 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 251526CB3 32100000.000000 PA USD 35105874.500000 0.2702128 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CE7 10600000.000000 PA USD 10846022.710000 0.0834827 Long DBT CORP DE Y 2 2026-11-24 Floating 2.129 N N N N N N DEVELOPMENT BANK OF JAPAN INC (DBJ) 5493001HGBABMWFZUI25 BYM793II2 1600000.000000 PA USD 1621076.240000 0.0124776 Long DBT CORP JP N 2 2021-10-19 Fixed 2 N N N N N N DEXIA CREDIT LOCAL SA F4G136OIPBYND1F41110 25214BAW4 6800000.000000 PA USD 7326505.640000 0.0563927 Long DBT NUSS FR N 2 2023-09-26 Fixed 3.25 N N N N N N DEXIA CREDIT LOCAL SA F4G136OIPBYND1F41110 ACI1MPQM7 7100000.000000 PA 9801091.720000 0.0754398 Long DBT NUSS FR N 2 2023-07-22 Fixed 0.5 N N N N N N DNB BOLIGKREDITT AS 5967007LIEEXZX659K67 25600WAG5 6500000.000000 PA USD 6960495.300000 0.0535755 Long DBT CORP NO N 2 2023-06-28 Fixed 3.25 N N N N N N DRIVER AUSTRALIA-5 N/A BD6SPWII8 3378203.280000 PA 2602315.120000 0.0200302 Long ABS-O CORP AU N 2 2026-07-21 Floating 0.94 N N N N N N DRYDEN 36 SENIOR LOAN FUND 2014-36A N/A 26249KAZ4 15000000.000000 PA USD 14981165.700000 0.1153113 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 1.17382 N N N N N N DRYDEN EURO CLO 16-46A N/A ACI1C3DT6 9500000.000000 PA 11609502.870000 0.0893593 Long ABS-CBDO CORP NL N 2 2030-01-15 Floating 0.88 N N N N N N DSLA MORTGAGE LOAN TRUST 2005-AR3 N/A 23332UDX9 8018.260000 PA USD 368.050000 0.0000028 Long ABS-MBS CORP US N 2 2045-07-19 Floating 0.47163 Y N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CBD6 17600000.000000 PA USD 17697688.450000 0.1362206 Long DBT CORP US N 2 2022-03-11 Floating 0.87063 N N N N N N DURHAM MORTGAGES A PLC 18-AX N/A ACI16JVP6 17048431.230000 PA 23298064.790000 0.1793271 Long ABS-MBS CORP GB N 2 2053-03-31 Floating 0.601 N N N N N N DURHAM MORTGAGES B PLC 18-BX N/A ACI192FB9 2435648.870000 PA 3324390.030000 0.0255881 Long ABS-MBS CORP GB N 2 2054-03-31 Floating 0.651 N N N N N N EGCLO 2018-1A N/A 29915RAA1 4734085.100000 PA USD 4713660.410000 0.0362814 Long ABS-CBDO CORP KY N 2 2028-05-28 Floating 1.14438 N N N N N N EL PASO NATURAL GAS CO. N/A 283695AZ7 1800000.000000 PA USD 1947458.500000 0.0149897 Long DBT CORP US N 2 2022-01-15 Fixed 8.625 N N N N N N ENABLE MIDSTREAM PARTNERS LP 549300TLGDBYE711G509 292480AH3 900000.000000 PA USD 920593.870000 0.0070859 Long DBT CORP US N 2 2024-05-15 Variable 3.9 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NBB0 34800000.000000 PA USD 34823650.080000 0.2680405 Long DBT CORP CA N 2 2022-02-18 Floating 0.72038 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAL2 26100000.000000 PA USD 27821791.680000 0.2141466 Long DBT CORP NL N 2 2024-09-10 Fixed 2.65 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAJ7 1200000.000000 PA USD 1397824.570000 0.0107592 Long DBT CORP NL N 2 2025-09-14 Fixed 4.625 N N N N N N ENERGY TRANSFER OPERATING LP (AKA: ENERGY TRANSFER PARTNERS LP) 5493008K8W3OKZE54J59 29273RAN9 4700000.000000 PA USD 4735623.980000 0.0364505 Long DBT CORP US N 2 2021-06-01 Fixed 4.65 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AC9 1000000.000000 PA USD 1076167.810000 0.0082834 Long DBT CORP US N 2 2023-04-20 Fixed 3.9 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 6100000.000000 PA USD 7213379.500000 0.0555220 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N ERSTE GROUP BANK AG PQOH26KWDF7CG10L6792 BDB50MII1 800000.000000 PA 1040357.210000 0.0080077 Long DBT CORP AT N 2 2021-10-15 Floating 8.875 N N N N N N EURO-GALAXY III CLO BV 13-3A N/A ACI1F5K45 3000000.000000 PA 3664284.660000 0.0282043 Long ABS-CBDO CORP NL N 2 2031-01-17 Floating 0.75 N N N N N N EUROMASTER PLC 2007-1V N/A ACI018DY8 119761.200000 PA 157647.950000 0.0012134 Long ABS-MBS CORP GB N 2 2040-06-15 Floating 0.24263 N N N N N N EUROPEAN BANK FOR RECONSTRUCTION & DEVELOPMENT (EBRD) 549300HTGDOVDU6OGK19 B6Y87LII0 1700000.000000 PA 1313424.230000 0.0101095 Long DBT CORP N/A N 2 2023-09-01 Fixed 0.5 N N N N N N EUROPEAN BANK FOR RECONSTRUCTION & DEVELOPMENT (EBRD) 549300HTGDOVDU6OGK19 ACI05NYG7 500000.000000 PA 385233.510000 0.0029652 Long DBT CORP N/A N 2 2023-12-21 Fixed 0.5 N N N N N N EUROPEAN INVESTMENT BANK (EIB) 5493006YXS1U5GIHE750 B764JTII8 13600000.000000 PA 10517399.810000 0.0809533 Long DBT CORP N/A N 2 2023-06-21 Fixed 0.5 N N N N N N EUROPEAN INVESTMENT BANK (EIB) 5493006YXS1U5GIHE750 B42XTXII5 20700000.000000 PA 16005174.040000 0.1231931 Long DBT CORP N/A N 2 2023-08-10 Fixed 0.5 N N N N N N EUROPEAN LOAN CONDUIT 36A N/A ACI1G9KP9 2697204.500000 PA 3285181.010000 0.0252863 Long ABS-MBS CORP IE N 2 2030-02-17 Floating 1 N N N N N N EUROPEAN UNION (EU) 529900FZRK8FGMPEOM08 ACI1T3617 22800000.000000 PA 28633913.250000 0.2203976 Long DBT NUSS N/A N 2 2035-07-04 Fixed 0 N N N N N N EUROSAIL PLC 2006-1X N/A B15CVSII2 452792.410000 PA 619017.260000 0.0047646 Long ABS-MBS CORP GB N 2 2044-06-10 Floating 0.19838 N N N N N N EUROSAIL PLC 2006-2X N/A ACI01IBW2 7714000.000000 PA 9178940.490000 0.0706511 Long ABS-MBS CORP GB N 2 2044-12-15 Floating 0 N N N N N N EUROSAIL PLC 2006-4X N/A B1KNN1II9 1133849.080000 PA 1380641.490000 0.0106269 Long ABS-MBS CORP GB N 2 2044-12-10 Floating 0 N N N N N N EUROSAIL PLC 2007-1X N/A B1SJSZII0 115645.810000 PA 140364.170000 0.0010804 Long ABS-MBS CORP GB N 2 2045-03-13 Floating 0 N N N N N N EUROSAIL PLC 2007-1X N/A B1SW63II6 19274.300000 PA 26074.150000 0.0002007 Long ABS-MBS CORP GB N 2 2045-03-13 Floating 0.20063 N N N N N N EUROSAIL PLC 2007-3X N/A B23DWGII5 629842.800000 PA 859501.780000 0.0066157 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 0.99063 N N N N N N EUROSAIL PLC 2007-6NCX N/A B29Q4HII9 1339835.560000 PA 1774494.950000 0.0136584 Long ABS-MBS CORP GB N 2 2045-09-13 Floating 0.74063 N N N N N N EXELON CORPORATION 3SOUA6IRML7435B56G12 30161NAV3 500000.000000 PA USD 637583.310000 0.0049075 Long DBT CORP US N 2 2046-04-15 Fixed 4.45 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 9200000.000000 PA 12529483.670000 0.0964405 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FANNIE MAE 2003-34 N/A 31393CEY5 137081.110000 PA USD 159185.550000 0.0012253 Long ABS-MBS USGSE US N 2 2043-04-25 Fixed 6 N N N N N N FANNIE MAE 2004-11 N/A 31393T7H3 15636.030000 PA USD 15582.980000 0.0001199 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 0.268 N N N N N N FANNIE MAE 2006-48 N/A 31395NLE5 333631.710000 PA USD 335910.280000 0.0025855 Long ABS-MBS USGSE US N 2 2036-06-25 Floating 0.548 N N N N N N FANNIE MAE 2010-115 N/A 31398NNS9 165852.590000 PA USD 167634.710000 0.0012903 Long ABS-MBS USGSE US N 2 2040-10-25 Floating 0.648 N N N N N N FANNIE MAE-ACES 2013-M5 N/A 3136ADZZ5 3979079.470000 PA USD 36527.950000 0.0002812 Long ABS-MBS USGSE US N 2 2022-01-25 Variable 2.30612 N N N N N N FANNIEMAE GRANTOR TRUST 2004-T3 N/A 31393YU52 120560.780000 PA USD 142013.690000 0.0010931 Long ABS-MBS USGSE US N 2 2044-02-25 Fixed 6 N N N N N N FANNIEMAE WHOLE LOAN 2004-W12 N/A 31394A6Y7 395218.970000 PA USD 459004.030000 0.0035330 Long ABS-MBS USGSE US N 2 2044-07-25 Fixed 6 N N N N N N FCE BANK PLC TU5V87TL5Q0UV1EW4H93 ACI0KHKC7 3900000.000000 PA 4770390.870000 0.0367181 Long DBT CORP GB N 2 2021-02-11 Fixed 1.66 N N N N N N FCE BANK PLC TU5V87TL5Q0UV1EW4H93 ACI08P472 2400000.000000 PA 2941122.570000 0.0226381 Long DBT CORP GB N 2 2021-06-24 Fixed 1.875 N N N N N N FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K016 N/A 3137AJMG6 24167429.790000 PA USD 124397.010000 0.0009575 Long ABS-MBS USGSE US N 2 2021-10-25 Fixed 1.48097 N N N N N N FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K024 N/A 3137AXHQ9 21362518.250000 PA USD 250073.910000 0.0019248 Long ABS-MBS USGSE US N 2 2022-09-25 Variable 0.795827 N N N N N N FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K026 N/A 3137B1BT8 30391058.090000 PA USD 423961.340000 0.0032633 Long ABS-MBS USGSE US N 2 2022-11-25 Variable 0.957481 N N N N N N FHLMC PASS THRU POOLS N/A 3128JMN94 24333.910000 PA USD 25550.270000 0.0001967 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 2.365 N N N N N N FHLMC PASS THRU POOLS N/A 31354N5L6 9988.360000 PA USD 10042.140000 0.0000773 Long ABS-MBS USGSE US N 2 2022-06-01 Floating 3.391 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ4H0 2854424.700000 PA USD 3014446.660000 0.0232024 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 31288LFQ9 427595.320000 PA USD 482832.310000 0.0037164 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3133A0CV4 803465.940000 PA USD 859489.100000 0.0066156 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133A0Z72 1717910.680000 PA USD 1835792.060000 0.0141302 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYRW1 531989.700000 PA USD 561663.270000 0.0043232 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYR92 7887995.900000 PA USD 8353481.290000 0.0642974 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DV5S0 5230137.540000 PA USD 5522329.840000 0.0425058 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DV6W0 1023154.500000 PA USD 1081769.500000 0.0083265 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 31329KYG3 151392.170000 PA USD 161917.820000 0.0012463 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31329QDG3 295125.900000 PA USD 314687.780000 0.0024222 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31329Q2L4 457316.200000 PA USD 490680.280000 0.0037768 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131XFNV8 127579.430000 PA USD 136833.650000 0.0010532 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131XXFM8 1930751.090000 PA USD 2072739.320000 0.0159540 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131Y3GJ9 345351.960000 PA USD 365284.900000 0.0028116 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.5 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 80680.240000 PA USD 81350.180000 0.0006262 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 2.08333 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-62 N/A 31395HHV5 1102973.730000 PA USD 1124871.180000 0.0086582 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 1.80943 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 ACI0VZZX3 3700000.000000 PA 5162977.470000 0.0397399 Long DBT CORP US N 2 2022-06-30 Fixed 1.7 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 ACI1C02W7 8200000.000000 PA 10029972.450000 0.0772015 Long DBT CORP US N 2 2021-05-21 Fixed 0.125 N N N N N N FIGUEROA CLO LTD 2014-1A N/A 31683YAJ3 3582104.400000 PA USD 3587470.280000 0.0276131 Long ABS-CBDO CORP KY N 2 2027-01-15 Floating 1.13688 N N N N N N FINSBURY SQUARE 19-3 N/A ACI1G06J8 6382223.380000 PA 8749372.540000 0.0673446 Long ABS-MBS CORP GB N 2 2069-12-16 Floating 1.0638 N N N N N N FINSBURY SQUARE 2020-1 PLC 20-1A N/A ACI1JHW34 13218054.520000 PA 18046610.850000 0.1389062 Long ABS-MBS CORP GB N 2 2070-03-16 Floating 0.853796 N N N N N N FINSBURY SQUARE 2020-2A N/A ACI1N87B9 9761682.860000 PA 13446159.780000 0.1034962 Long ABS-MBS CORP GB N 2 2070-06-16 Floating 1.35541 N N N N N N FIRST FRANKLIN MTG LN ASSET 2003-FF5 N/A 32027NFD8 884288.800000 PA USD 883900.860000 0.0068035 Long ABS-MBS CORP US N 2 2034-03-25 Floating 1.048 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR3 N/A 32051GQL2 81866.100000 PA USD 70010.170000 0.0005389 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.19683 Y N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR4 N/A 32051GTZ8 57023.100000 PA USD 59148.330000 0.0004553 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.82869 N N N N N N FLAGSHIP CLO LTD 2014-8A N/A 338422AQ1 1574126.690000 PA USD 1568903.250000 0.0120760 Long ABS-CBDO CORP KY N 2 2026-01-16 Floating 1.08013 N N N N N N FNMA PASS THRU POOLS N/A 31368HWG4 5625.450000 PA USD 5656.310000 0.0000435 Long ABS-MBS USGSE US N 2 2023-08-01 Floating 2.677 N N N N N N FNMA PASS THRU POOLS N/A 31368PXX8 10199.790000 PA USD 10179.250000 0.0000784 Long ABS-MBS USGSE US N 2 2023-01-01 Floating 3.7 N N N N N N FNMA PASS THRU POOLS N/A 31387UEQ0 6698.340000 PA USD 6703.580000 0.0000516 Long ABS-MBS USGSE US N 2 2030-12-01 Floating 2.633 N N N N N N FNMA PASS THRU POOLS N/A 31389EZQ1 5826.860000 PA USD 5836.400000 0.0000449 Long ABS-MBS USGSE US N 2 2032-04-01 Floating 3.71 N N N N N N FNMA PASS THRU POOLS N/A 31402LPB2 27668.970000 PA USD 27934.460000 0.0002150 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 1.821 N N N N N N FNMA PASS THRU POOLS N/A 31404NEV4 81531.550000 PA USD 81429.170000 0.0006268 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 2.625 N N N N N N FNMA PASS THRU POOLS N/A 31405U6G9 68674.540000 PA USD 71083.570000 0.0005471 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 1.802 N N N N N N FNMA PASS THRU POOLS N/A 31407UMR5 445378.150000 PA USD 469924.770000 0.0036170 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 2.631 N N N N N N FNMA PASS THRU POOLS N/A 31410B4N1 12951.870000 PA USD 13060.460000 0.0001005 Long ABS-MBS USGSE US N 2 2036-08-01 Floating 3.81 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 ACI07BWB4 19280.000000 NS 4669974.200000 0.0359452 Long EP CORP GB N 2 N N N FNMA PASS THRU POOLS N/A 31417BK55 2965.600000 PA USD 3183.430000 0.0000245 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WFXD3 22055.770000 PA USD 24040.940000 0.0001850 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138YGW81 565617.270000 PA USD 605483.640000 0.0046605 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FXLQ3 35930536.400000 PA USD 39737101.140000 0.3058597 Long ABS-MBS USGSE US N 2 2059-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FXQR6 18408731.740000 PA USD 19975448.270000 0.1537527 Long ABS-MBS USGSE US N 2 2060-03-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140GUMA2 4127886.060000 PA USD 4379153.950000 0.0337067 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GVZY4 4423275.640000 PA USD 4686318.510000 0.0360710 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 3140GYJX8 3444490.710000 PA USD 3649682.330000 0.0280919 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 3140H4B45 8660615.290000 PA USD 9173799.620000 0.0706115 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5LJ8 14896.980000 PA USD 15799.970000 0.0001216 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 3140HAQZ6 51126.420000 PA USD 54126.410000 0.0004166 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 3140HAR44 382555.950000 PA USD 404564.310000 0.0031140 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 3140HAU57 7942565.820000 PA USD 8718125.600000 0.0671041 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HEAR3 17799.470000 PA USD 19005.180000 0.0001463 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HJJY8 399851.050000 PA USD 422738.660000 0.0032539 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HJMY4 526193.760000 PA USD 577540.070000 0.0044454 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HJSM4 4118.620000 PA USD 4372.070000 0.0000337 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 3140HN5H1 292211.450000 PA USD 309220.130000 0.0023801 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HPAD9 224711.560000 PA USD 239581.140000 0.0018441 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GP6 268920.900000 PA USD 288547.960000 0.0022210 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JACX4 368997.360000 PA USD 389625.550000 0.0029990 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JQTA1 452303.390000 PA USD 477887.960000 0.0036783 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JVCE0 132945.200000 PA USD 142139.600000 0.0010941 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JVCM2 251346.730000 PA USD 265474.310000 0.0020434 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140K6C78 264893.530000 PA USD 283399.880000 0.0021814 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8Q73 859679.260000 PA USD 910687.030000 0.0070096 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 3140Q8V51 20220371.890000 PA USD 21440145.810000 0.1650266 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 3140QBT81 143908.810000 PA USD 153748.430000 0.0011834 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140QBZL5 29176926.630000 PA USD 31678993.970000 0.2438358 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140QDYC2 27984541.430000 PA USD 30179501.660000 0.2322941 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140X47J9 5804071.300000 PA USD 6219592.310000 0.0478727 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140X5MN0 492043.540000 PA USD 521142.410000 0.0040113 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140X7B99 56865752.060000 PA USD 60541222.750000 0.4659908 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140X7CA5 303820709.220000 PA USD 323457908.590000 2.4896821 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140X7CB3 17430452.490000 PA USD 18585620.340000 0.1430550 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140X7KS7 7960917.030000 PA USD 8475464.290000 0.0652363 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140X7MW6 26979300.810000 PA USD 28843999.740000 0.2220146 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140X7WM7 15822418.450000 PA USD 16695701.870000 0.1285082 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140X8ML8 16534142.990000 PA USD 17581916.760000 0.1353295 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CPF5 224388.040000 PA USD 240881.280000 0.0018541 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CS47 673096.560000 PA USD 713864.900000 0.0054947 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 13601.670000 PA USD 14435.860000 0.0001111 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 22330465.940000 PA USD 23666533.670000 0.1821633 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CV27 595975.810000 PA USD 631634.320000 0.0048617 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CWS9 382289.740000 PA USD 404348.680000 0.0031123 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CXM1 13843483.030000 PA USD 14625798.610000 0.1125760 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 6887636.490000 PA USD 7291811.130000 0.0561257 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 31418CYM0 250789.960000 PA USD 267961.810000 0.0020625 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CZG2 17640816.600000 PA USD 18637767.590000 0.1434564 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CZ80 72000.160000 PA USD 76069.250000 0.0005855 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418C3C6 10366021.470000 PA USD 10965338.180000 0.0844011 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418C7C2 346309.710000 PA USD 369884.490000 0.0028470 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418DFP2 40182.720000 PA USD 43313.350000 0.0003334 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418DNJ7 3373375.470000 PA USD 3566428.380000 0.0274511 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418DQB1 328718.280000 PA USD 347252.510000 0.0026728 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 3.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397XQ1 1000000.000000 PA USD 1002375.000000 0.0077154 Long DBT CORP US N 2 2021-01-15 Fixed 3.2 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 62927268.490000 PA USD 630845866.620000 4.8556725 Long STIV RF US N 1 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A29 1400000.000000 PA USD 1427048.000000 0.0109841 Long DBT CORP US N 2 2023-01-09 Fixed 3.087 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YG2 400000.000000 PA USD 410500.000000 0.0031597 Long DBT CORP US N 2 2024-01-09 Fixed 3.81 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397VR1 3300000.000000 PA USD 3314437.500000 0.0255115 Long DBT CORP US N 2 2021-02-01 Fixed 5.75 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 U3R63CAB5 200000.000000 PA 244522.060000 0.0018821 Long DBT CORP US N 2 2023-02-17 Fixed 1.514 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZB2 2800000.000000 PA USD 2891000.000000 0.0222523 Long DBT CORP US N 2 2023-02-15 Fixed 4.14 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397XW8 8800000.000000 PA USD 8833000.000000 0.0679883 Long DBT CORP US N 2 2021-03-18 Fixed 3.336 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YL1 1800000.000000 PA USD 1820250.000000 0.0140106 Long DBT CORP US N 2 2022-03-28 Fixed 3.339 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YJ6 1400000.000000 PA USD 1376301.850000 0.0105935 Long DBT CORP US N 2 2022-03-28 Floating 1.521 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540UAC3 500000.000000 PA 634423.050000 0.0048832 Long DBT CORP US N 2 2024-03-06 Fixed 3.021 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZQ9 1600000.000000 PA USD 1728000.000000 0.0133006 Long DBT CORP US N 2 2024-03-18 Fixed 5.584 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI1989Q0 4800000.000000 PA 6984507.040000 0.0537603 Long DBT CORP US N 2 2025-03-06 Fixed 4.535 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YZ0 400000.000000 PA USD 401250.000000 0.0030885 Long DBT CORP US N 2 2021-04-05 Fixed 3.47 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YY3 5500000.000000 PA USD 5476582.930000 0.0421537 Long DBT CORP US N 2 2021-04-05 Floating 1.04838 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI12NHY8 2400000.000000 PA 2921199.900000 0.0224847 Long DBT CORP US N 2 2021-05-14 Floating 0.000001 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI1TC740 1400000.000000 PA 1916894.240000 0.0147545 Long DBT CORP US N 2 2024-06-14 Fixed 2.748 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397WW9 2900000.000000 PA USD 2981272.500000 0.0229471 Long DBT CORP US N 2 2024-09-08 Fixed 3.664 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZG1 2600000.000000 PA USD 2569306.900000 0.0197762 Long DBT CORP US N 2 2021-10-12 Floating 1.10413 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI12NHW2 500000.000000 PA 584864.980000 0.0045018 Long DBT CORP US N 2 2023-11-15 Floating 0.217 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 BL4KJTII3 1600000.000000 PA 1991387.370000 0.0153279 Long DBT CORP US N 2 2025-11-25 Fixed 2.33 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B28 13800000.000000 PA USD 14149278.000000 0.1089082 Long DBT CORP US N 2 2025-11-13 Fixed 3.375 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B36 8900000.000000 PA USD 9373302.000000 0.0721471 Long DBT CORP US N 2 2030-11-13 Fixed 4 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI0Z5583 300000.000000 PA 363207.560000 0.0027956 Long DBT CORP US N 2 2021-12-01 Floating 0.000001 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI10JHM5 2600000.000000 PA 3072155.540000 0.0236466 Long DBT CORP US N 2 2022-12-07 Floating 0.000001 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI0Z5575 900000.000000 PA 1019497.540000 0.0078472 Long DBT CORP US N 2 2024-12-01 Floating 0.172 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI18M3K9 27400000.000000 PA 44639434.360000 0.3435934 Long DBT NUSS FR N 2 2050-05-25 Fixed 1.5 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1JFLL0 49950000.000000 PA 68052973.750000 0.5238093 Long DBT NUSS FR N 2 2052-05-25 Fixed 0.75 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI05M6Y1 38900000.000000 PA 82181943.030000 0.6325612 Long DBT NUSS FR N 2 2045-05-25 Fixed 3.25 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI0V7KW3 128800000.000000 PA 229466650.750000 1.7662237 Long DBT NUSS FR N 2 2048-05-25 Fixed 2 N N N N N N FREDDIE MAC 3397 N/A 31397PLU2 185888.310000 PA USD 188721.490000 0.0014526 Long ABS-MBS USGSE US N 2 2037-12-15 Floating 0.75863 N N N N N N FREDDIE MAC REMICS 3740 N/A 3137GAPP6 1595347.270000 PA USD 1606745.070000 0.0123672 Long ABS-MBS USGSE US N 2 2040-10-15 Floating 0.63863 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPPH6 5068580.050000 PA USD 5066779.690000 0.0389994 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 0.49913 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPS83 5068580.050000 PA USD 306944.590000 0.0023626 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 2.6633 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 7598180.860000 PA USD 74925661.450000 0.5767090 Long STIV RF US N 1 N N N FREDDIE MAC-1619 N/A 3133T12W1 3769.400000 PA USD 3976.560000 0.0000306 Long ABS-MBS USGSE US N 2 2023-11-15 Fixed 6.5 N N N N N N FREMONT HOME LOAN TRUST 2006-2 N/A 35729PPY0 7522000.000000 PA USD 6845856.450000 0.0526931 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.688 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAD4 7518193.220000 PA USD 4047745.610000 0.0311558 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.298 N N N N N N FRONTIER FINANCE PLC 213800XVLIFOCEEVIS52 ACI0T8JS5 19350000.000000 PA 27285404.940000 0.2100180 Long DBT CORP GB N 2 2022-03-23 Fixed 8 N N N N N N FUTURE LAND (NEW METRO GLOBAL LIMITED) 549300HJRNTCANEH0D47 ACI1H9HH0 2300000.000000 PA USD 2369000.000000 0.0182344 Long DBT CORP VG N 2 2021-12-16 Fixed 7.5 N N N N N N GATX CORPORATION 549300IHYHCQP2PIR591 361448AL7 1100000.000000 PA USD 1119699.550000 0.0086184 Long DBT CORP US N 2 2021-06-01 Fixed 4.85 N N N N N N GATX CORPORATION 549300IHYHCQP2PIR591 361448BB8 2600000.000000 PA USD 2606305.050000 0.0200609 Long DBT CORP US N 2 2021-11-05 Floating 0.969 N N N N N N AT&T MOBILITY II LLC N/A 04651L206 3952199.000000 NS USD 106131265.090000 0.8169011 Long EP CORP US Y 3 N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 370334CF9 500000.000000 PA USD 565467.840000 0.0043525 Long DBT CORP US N 2 2025-04-17 Fixed 4 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCH7 100000.000000 PA USD 100063.720000 0.0007702 Long DBT CORP US N 2 2021-04-09 Floating 1.0795 N N N N N N GNMA PASS THRU POOLS N/A 36202J3R7 1930.410000 PA USD 1942.890000 0.0000150 Long ABS-MBS USGSE US N 2 2022-07-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36202J5G9 1148.360000 PA USD 1160.310000 0.0000089 Long ABS-MBS USGSE US N 2 2022-09-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KDD4 2509.300000 PA USD 2547.330000 0.0000196 Long ABS-MBS USGSE US N 2 2023-05-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36202KD93 2785.930000 PA USD 2835.250000 0.0000218 Long ABS-MBS USGSE US N 2 2023-07-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KEV3 1801.970000 PA USD 1821.020000 0.0000140 Long ABS-MBS USGSE US N 2 2023-07-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KFJ9 863.390000 PA USD 871.270000 0.0000067 Long ABS-MBS USGSE US N 2 2023-08-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KFV2 2974.800000 PA USD 3030.200000 0.0000233 Long ABS-MBS USGSE US N 2 2023-09-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KF67 6441.890000 PA USD 6515.470000 0.0000502 Long ABS-MBS USGSE US N 2 2023-09-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KGU3 13205.000000 PA USD 13279.960000 0.0001022 Long ABS-MBS USGSE US N 2 2023-10-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A 36202KKL8 9006.800000 PA USD 9222.680000 0.0000710 Long ABS-MBS USGSE US N 2 2024-04-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36202KPM1 1112.040000 PA USD 1138.940000 0.0000088 Long ABS-MBS USGSE US N 2 2024-10-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A 36202KSG1 768.550000 PA USD 779.470000 0.0000060 Long ABS-MBS USGSE US N 2 2025-04-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36202KTG0 23158.240000 PA USD 23939.520000 0.0001843 Long ABS-MBS USGSE US N 2 2025-07-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KUY9 6165.660000 PA USD 6377.240000 0.0000491 Long ABS-MBS USGSE US N 2 2025-09-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KW76 1704.180000 PA USD 1712.220000 0.0000132 Long ABS-MBS USGSE US N 2 2025-12-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A 36202KZ65 11913.300000 PA USD 12216.300000 0.0000940 Long ABS-MBS USGSE US N 2 2026-05-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36202K2A2 1390.240000 PA USD 1394.210000 0.0000107 Long ABS-MBS USGSE US N 2 2021-11-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A 36202K6G5 2932.980000 PA USD 2981.040000 0.0000229 Long ABS-MBS USGSE US N 2 2026-09-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36202K6H3 168.430000 PA USD 170.350000 0.0000013 Long ABS-MBS USGSE US N 2 2022-05-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CB70 7580.540000 PA USD 7715.430000 0.0000594 Long ABS-MBS USGSE US N 2 2027-04-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CDP8 10589.110000 PA USD 10679.430000 0.0000822 Long ABS-MBS USGSE US N 2 2027-08-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36225CF50 1816.130000 PA USD 1846.160000 0.0000142 Long ABS-MBS USGSE US N 2 2028-04-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CGH3 3299.360000 PA USD 3343.400000 0.0000257 Long ABS-MBS USGSE US N 2 2028-05-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CNK8 34405.820000 PA USD 35865.230000 0.0002761 Long ABS-MBS USGSE US N 2 2030-04-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CNP7 3044.220000 PA USD 3163.390000 0.0000243 Long ABS-MBS USGSE US N 2 2030-04-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CNZ5 30240.540000 PA USD 31545.300000 0.0002428 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CN36 24646.690000 PA USD 25900.340000 0.0001994 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CQZ2 2992.780000 PA USD 3010.380000 0.0000232 Long ABS-MBS USGSE US N 2 2030-11-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A 21H020634 254000000.000000 PA USD 264754982.300000 2.0378408 Long ABS-MBS USGSE US N 2 2051-03-18 Fixed 2 N N N N N N GOLDENTREE LOAN MANAGEMENT US CLO 6 LTD 2019-6A N/A 38137WAC9 24600000.000000 PA USD 24608668.550000 0.1894149 Long ABS-CBDO CORP KY N 2 2033-01-20 Floating 1.55838 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GGS7 10600000.000000 PA USD 11205657.820000 0.0862509 Long DBT CORP US N 2 2022-01-24 Fixed 5.75 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWZ3 8400000.000000 PA USD 9967590.610000 0.0767214 Long DBT CORP US N 2 2029-05-01 Floating 4.223 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 ACI0FNC70 8200000.000000 PA 10570458.300000 0.0813617 Long DBT CORP US N 2 2023-07-27 Fixed 2 N N N N N N GOODMAN US FINANCE THREE LLC N/A 38239JAA9 9400000.000000 PA USD 10257112.210000 0.0789498 Long DBT CORP US N 2 2028-03-15 Fixed 3.7 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121 N/A 38380TV37 1244644.710000 PA USD 1272722.900000 0.0097963 Long ABS-MBS USGSE US N 2 2046-07-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-133 N/A 38380HCH3 659111.440000 PA USD 674076.300000 0.0051884 Long ABS-MBS USGSE US N 2 2047-05-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MTGE ASSOC 2004-68 N/A 38374HVU1 4418216.180000 PA USD 5054994.240000 0.0389087 Long ABS-MBS USGSE US N 2 2034-08-20 Fixed 6 N N N N N N GREAT HALL MORTGAGES PLC 2006-1 N/A 991XUKII4 491310.300000 PA 661676.280000 0.0050930 Long ABS-MBS CORP GB N 2 2038-06-18 Floating 0.187 N N N N N N GREAT HALL MORTGAGES PLC 2006-1 N/A B1L2FGII0 12597.690000 PA 15274.240000 0.0001176 Long ABS-MBS CORP GB N 2 2038-06-18 Floating 0 N N N N N N GREAT HALL MORTGAGES PLC 2007-1 N/A B1S70QII6 905839.210000 PA 1098647.240000 0.0084564 Long ABS-MBS CORP GB N 2 2039-03-18 Floating 0 N N N N N N GREAT HALL MORTGAGES PLC 2007-2A N/A 39052PAA7 844752.060000 PA USD 823580.040000 0.0063392 Long ABS-MBS CORP GB N 2 2039-06-18 Floating 0.36638 N N N N N N GREAT HALL MORTGAGES PLC 2007-2X N/A 997DXGII8 22466.810000 PA 30040.150000 0.0002312 Long ABS-MBS CORP GB N 2 2039-06-18 Floating 0.177 N N N N N N GREENPOINT MORTGAGE FUND TRUST 2006-OH1 N/A 39539GAA0 403989.400000 PA USD 379312.520000 0.0029196 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.328 N N N N N N GREENPOINT MRGT PASS THRU CER 2003-1 N/A 395387AA1 8704.830000 PA USD 8673.170000 0.0000668 Long ABS-MBS CORP US N 2 2033-10-25 Floating 3.18145 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR5 N/A 39538WEA2 99190.440000 PA USD 87199.800000 0.0006712 Long ABS-MBS CORP US N 2 2045-11-25 Floating 0.688 N N N N N N GREENPOINT MTGE FUNDING TR 2006-AR3 N/A 39538WHF8 374681.140000 PA USD 361576.930000 0.0027831 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.568 N N N N N N GS MORTGAGE SECURITIES CORP II 2012-GCJ9 N/A 36192PAQ9 17744499.430000 PA USD 477036.020000 0.0036718 Long ABS-MBS CORP US N 2 2045-11-10 Variable 1.93216 N N N N N N GS MORTGAGE SECURITIES CORP II 2013-GC10 N/A 36192CAG0 10533075.520000 PA USD 288784.280000 0.0022228 Long ABS-MBS CORP US N 2 2046-02-10 Variable 1.48891 N N N N N N GSAA HOME EQUITY TRUST 2006-5 N/A 362334GS7 7532504.840000 PA USD 3565368.800000 0.0274429 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.508 N N N N N N GSAA HOME EQUITY TRUST 2006-7 N/A 362334NB6 1063574.240000 PA USD 636803.910000 0.0049015 Long ABS-MBS CORP US N 2 2046-03-25 Fixed 5.99494 Y N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAA6 9809956.670000 PA USD 6294861.820000 0.0484521 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.278 N N N N N N GSR MORTGAGE LOAN TRUST 2003-1 N/A 36229RJJ9 69110.270000 PA USD 68811.540000 0.0005296 Long ABS-MBS CORP US N 2 2033-03-25 Floating 2.93 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR1 N/A 36242DUL5 158623.010000 PA USD 153092.190000 0.0011784 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.63556 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR2 N/A 36242DH71 17319.280000 PA USD 16913.450000 0.0001302 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.67751 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR3 N/A 36242D4W0 91969.970000 PA USD 88482.490000 0.0006811 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.46314 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 145206.280000 PA USD 149933.350000 0.0011540 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.20084 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 219487.280000 PA USD 219033.360000 0.0016859 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.87009 N N N N N N GSR MORTGAGE LOAN TRUST 2007-OA1 N/A 3622NAAA8 3590895.770000 PA USD 2393565.440000 0.0184235 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.378 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-4 N/A 41161PMX8 86082.510000 PA USD 72676.490000 0.0005594 Long ABS-MBS CORP US N 2 2035-07-19 Floating 3.44386 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-1 N/A 41161PA86 91763.650000 PA USD 87191.930000 0.0006711 Long ABS-MBS CORP US N 2 2036-03-19 Floating 0.6295 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-5 N/A 41161MAC4 941120.260000 PA USD 541167.960000 0.0041654 Long ABS-MBS CORP US N 2 2046-07-19 Floating 0.51163 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2007-5 N/A 41165AAB8 693744.830000 PA USD 657848.040000 0.0050635 Long ABS-MBS CORP US N 2 2037-09-19 Floating 0.34163 N N N N N N HARLEY-DAVIDSON FINANCIAL SERVICES INC RLUFFFFW4GRYU77BTS24 41283LAT2 7900000.000000 PA USD 7901650.310000 0.0608197 Long DBT CORP US N 2 2021-03-02 Floating 1.16763 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 35048401.690000 PA 48005642.810000 0.3695034 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.10438 N N N N N N HAWKSMOOR MORTGAGES 19-1X N/A ACI1DHG20 9808479.020000 PA 13434630.900000 0.1034075 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.10438 N N N N N N HAYFIN EMERALD CLO IV DAC 4A N/A ACI1PFD57 8150000.000000 PA 9999755.340000 0.0769689 Long ABS-CBDO CORP IE N 2 2033-02-15 Floating 1.45 N N N N N N HEWLETT PACKARD ENTERPRISE COMPANY 549300BX44RGX6ANDV88 42824CBC2 2600000.000000 PA USD 2655232.270000 0.0204375 Long DBT CORP US N 2 2021-10-05 Fixed 3.5 N N N N N N HEWLETT PACKARD ENTERPRISE COMPANY 549300BX44RGX6ANDV88 42824CBB4 3900000.000000 PA USD 3900580.630000 0.0300231 Long DBT CORP US N 2 2021-10-05 Floating 0.95838 N N N N N N HILTON WORLDWIDE FINANCE LLC 549300406TN7EY0NPH20 43289DAH6 285714.120000 PA USD 282984.410000 0.0021782 Long LON CORP US N 2 2026-06-22 Floating 1.898 N N N N N N HOME EQUITY PASS-THRU CERTS 2002-1 N/A 22541NAD1 1796.170000 PA USD 1643.870000 0.0000127 Long ABS-MBS CORP US N 2 2032-11-25 Floating 0.748 N N N N N N HOMEBANC MORTGAGE TRUST 2006-1 N/A 43739ECR6 783359.180000 PA USD 734859.380000 0.0056563 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.30957 Y N N N N N HOMEBANC MORTGAGE TRUST 2006-1 N/A 43739ECT2 33032.900000 PA USD 33011.970000 0.0002541 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.1432 Y N N N N N HSBC BANK CANADA DMB80L5QKUQ124HSYW98 40427HTH6 14600000.000000 PA USD 14924952.200000 0.1148786 Long DBT CORP CA N 2 2022-09-10 Fixed 1.65 N N N N N N HSBC BANK CANADA DMB80L5QKUQ124HSYW98 40427HTF0 22600000.000000 PA USD 23199760.380000 0.1785705 Long DBT CORP CA N 2 2021-11-28 Fixed 3.3 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BL2 1600000.000000 PA USD 1746000.000000 0.0134391 Long DBT CORP GB N 2 2027-05-22 Floating 6 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 BFM4XMII1 5700000.000000 PA 8593872.780000 0.0661477 Long DBT CORP GB N 2 2026-09-28 Floating 5.875 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 BYXL2ZII5 8800000.000000 PA 12025801.250000 0.0925636 Long DBT CORP GB N 2 2029-07-04 Floating 4.75 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BZ1 1700000.000000 PA USD 1857017.370000 0.0142936 Long DBT CORP GB N 2 2025-03-11 Floating 3.803 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CF4 3200000.000000 PA USD 4006688.930000 0.0308398 Long DBT CORP ZA N 2 2030-03-31 Fixed 4.95 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CC1 5000000.000000 PA USD 5783342.700000 0.0445149 Long DBT CORP GB N 2 2030-05-22 Floating 3.973 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BT5 7400000.000000 PA USD 8756471.650000 0.0673993 Long DBT CORP GB N 2 2029-06-19 Floating 4.583 N N N N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 BJBQCWII7 2626225.000000 NS 4262263.730000 0.0328070 Long EP CORP NL N 2 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BW8 9500000.000000 PA USD 9661179.570000 0.0743629 Long DBT CORP GB N 2 2026-09-12 Floating 1.5995 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 11000000.000000 PA USD 12547364.280000 0.0965781 Long DBT CORP GB N 2 2026-09-12 Floating 4.292 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 918MUEII2 3600000.000000 PA 6676447.010000 0.0513892 Long DBT CORP GB N 2 2028-09-11 Fixed 6.75 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT2 N/A 40430HEC8 4500000.000000 PA USD 4392382.950000 0.0338085 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.763 N N N N N N HSI ASSET SECUR CORP TRUST 2007-HE2 N/A 40430RAD8 7970997.110000 PA USD 5438621.690000 0.0418615 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.408 N N N N N N IMPAC CMB TR 2004-6 N/A 45254NKD8 170523.570000 PA USD 170726.490000 0.0013141 Long ABS-MBS CORP US N 2 2034-10-25 Floating 0.928 N N N N N N IMPAC CMB TR 2004-8 N/A 45254NKQ9 580492.830000 PA USD 559247.720000 0.0043046 Long ABS-MBS CORP US N 2 2034-10-25 Floating 0.868 Y N N N N N IMPAC CMB TRUST 2003-9F N/A 45254NFL6 15555.040000 PA USD 15080.920000 0.0001161 Long ABS-MBS CORP US N 2 2033-07-25 Floating 1.148 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 453140AE5 1400000.000000 PA USD 1460366.350000 0.0112406 Long DBT CORP GB N 2 2022-07-21 Fixed 3.75 N N N N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI0MZGW6 8400000.000000 PA 10894751.110000 0.0838578 Long DBT NUSS ID N 2 2023-06-14 Fixed 2.625 N N N N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI08T8D7 6200000.000000 PA 7701249.530000 0.0592772 Long DBT NUSS ID N 2 2021-07-08 Fixed 2.875 N N N N N N INDYMAC IMSC MTGE LN TRUST 2007-HOA1 N/A 45670LAA5 2152290.030000 PA USD 1690453.140000 0.0130116 Long ABS-MBS CORP US N 2 2047-07-25 Floating 0.328 Y N N N N N INDYMAC INDA MORTGAGE LOAN TR 2005-AR1 N/A 45660LZK8 109577.740000 PA USD 105069.840000 0.0008087 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.24993 Y N N N N N INDYMAC INDA MTGE LOAN TRUST 2006-AR1 N/A 45662BAD1 441208.950000 PA USD 416512.940000 0.0032059 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.11125 N N N N N N INDYMAC INDB MTGE LOAN TRUST 2005-1 N/A 45660LYW3 165253.940000 PA USD 117588.210000 0.0009051 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.748 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR15 N/A 45660LVM8 5239798.630000 PA USD 5042950.400000 0.0388160 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.17245 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 2383045.670000 PA USD 2187601.130000 0.0168381 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.338 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR3 N/A 45660L5N5 5058998.580000 PA USD 4732658.260000 0.0364277 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.11446 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2007-AR7 N/A 45670CAA5 345030.740000 PA USD 189917.580000 0.0014618 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.448 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR11 N/A 45660N6S9 46323.400000 PA USD 47081.650000 0.0003624 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.89958 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2007-FLX1 N/A 45668WAC1 721347.920000 PA USD 564950.390000 0.0043485 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.398 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2007-FLX3 N/A 45670AAA9 450240.590000 PA USD 439569.890000 0.0033834 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.388 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-E N/A 43709XAE1 4757712.960000 PA USD 3784117.420000 0.0291267 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.318 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAD8 9736506.630000 PA USD 7478996.310000 0.0575664 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.388 N N N N N N ING BANK NV/AMSTERDAM BRANCH 3TK20IVIUJ8J3ZU0QE75 44986L2A6 25000000.000000 PA USD 26109175.000000 0.2009645 Long DBT CORP NL N 2 2022-12-05 Fixed 2.625 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AR4 400000.000000 PA USD 435086.000000 0.0033489 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 INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 ACI0K0SG7 3300000.000000 PA 4048578.920000 0.0311622 Long DBT CORP IT N 2 2021-01-19 Floating 7 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 ACI0RSP49 3400000.000000 PA 4989524.350000 0.0384048 Long DBT CORP IT N 2 2027-01-11 Floating 7.75 N N N N N N IOWA TOBACCO SETTLEMENT AUTHORITY N/A 888805AP3 605000.000000 PA USD 613966.100000 0.0047257 Long DBT MUN US N 2 2023-06-01 Fixed 6.5 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI0RRBN4 111200000.000000 PA 38528709.020000 0.2965586 Long DBT NUSS IL N 2 2027-03-31 Fixed 2 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI0MWRW1 269700000.000000 PA 84797147.930000 0.6526906 Long DBT NUSS IL N 2 2021-04-30 Fixed 1 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513YJJ8 6600000.000000 PA USD 8525576.400000 0.0656221 Long DBT NUSS IL N 2 2048-01-17 Fixed 4.125 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513JXN6 1600000.000000 PA USD 1775040.000000 0.0136626 Long DBT NUSS IL N 2 2050-01-15 Fixed 3.375 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513JB42 600000.000000 PA USD 722734.800000 0.0055629 Long DBT NUSS IL N 2 2050-07-03 Fixed 3.875 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1M29S4 24100000.000000 PA USD 28692255.000000 0.2208466 Long DBT NUSS IL N 2 2060-05-13 Fixed 3.8 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI1R7VH7 12400000.000000 PA 16759298.830000 0.1289977 Long DBT NUSS IT N 2 2041-03-01 Fixed 1.8 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI1LYDJ0 46300000.000000 PA 61558225.760000 0.4738187 Long DBT NUSS IT N 2 2025-07-01 Fixed 1.85 N N N N N N ITALY GOVT 815600DE60799F5A9309 BN4NT2II1 41700000.000000 PA 54213802.890000 0.4172881 Long DBT NUSS IT N 2 2051-09-01 Fixed 1.7 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI19Z2M6 27800000.000000 PA 36315070.740000 0.2795201 Long DBT NUSS IT N 2 2024-07-01 Fixed 1.75 N N N N N N ITALY GOVT 815600DE60799F5A9309 551287II8 5900000.000000 PA 10621287.940000 0.0817529 Long DBT NUSS IT N 2 2028-08-04 Fixed 6 N N N N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849LTM3 17000000.000000 PA USD 17582746.400000 0.1353358 Long DBT CORP US N 2 2022-09-15 Fixed 2.375 N N N N N N JAPAN BANK FOR INTERNATIONAL COOPERATION 549300TJ3QFYVCTSCJ29 471048CD8 4900000.000000 PA USD 5134817.460000 0.0395231 Long DBT NUSS JP N 2 2024-10-17 Fixed 1.75 N N N N N N JAPAN FINANCE ORGANIZATION FOR MUNICIPALITIES (JFM) 5493007YYYNZ4NMEOD64 471068AP1 4700000.000000 PA USD 5054395.230000 0.0389041 Long DBT NUSS JP N 2 2024-03-12 Fixed 3 N N N N N N JAPAN FINANCE ORGANIZATION FOR MUNICIPALITIES (JFM) 5493007YYYNZ4NMEOD64 471068AK2 1800000.000000 PA USD 1851718.340000 0.0142528 Long DBT NUSS JP N 2 2022-04-20 Fixed 2.625 N N N N N N JAPAN FINANCE ORGANIZATION FOR MUNICIPALITIES (JFM) 5493007YYYNZ4NMEOD64 471068AN6 12600000.000000 PA USD 13581535.590000 0.1045382 Long DBT NUSS JP N 2 2023-09-27 Fixed 3.375 N N N N N N JAPAN FINANCE ORGANIZATION FOR MUNICIPALITIES (JFM) 5493007YYYNZ4NMEOD64 471068AS5 43400000.000000 PA USD 43347486.000000 0.3336492 Long DBT NUSS JP N 2 2025-09-02 Fixed 0.625 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1B1D95 11016000000.000000 PA 108049724.660000 0.8316676 Long DBT NUSS JP N 2 2029-03-20 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1LHMV0 8570000000.000000 PA 83839175.830000 0.6453170 Long DBT NUSS JP N 2 2030-03-20 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI02G163 37870000000.000000 PA 434931934.530000 3.3477068 Long DBT NUSS JP N 2 2032-09-20 Fixed 1.7 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI09FT43 13120000000.000000 PA 147902571.300000 1.1384182 Long DBT NUSS JP N 2 2034-09-20 Fixed 1.4 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1B32J1 7786000000.000000 PA 73320585.930000 0.5643546 Long DBT NUSS JP N 2 2049-03-20 Fixed 0.5 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI0PP6W6 10110000000.000000 PA 97027801.080000 0.7468310 Long DBT NUSS JP N 2 2046-09-20 Fixed 0.5 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 BJB9V0II4 17000000000.000000 PA 168783303.470000 1.2991390 Long DBT NUSS JP N 2 2048-12-20 Fixed 0.7 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 10160196000.000000 PA 98694267.470000 0.7596579 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1T7QP3 7980000000.000000 PA 77299618.030000 0.5949815 Long DBT NUSS JP N 2 2021-03-15 None 0 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A6 N/A 466285AK9 6321.570000 PA USD 4087.660000 0.0000315 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.5 Y N N N N N JP MORGAN ALTERNATIVE LOAN TR 2005-A2 N/A 46627MBS5 5092867.670000 PA USD 4302709.760000 0.0331183 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.75533 Y N N N N N JP MORGAN ALTERNATIVE LOAN TRUST 2006-A5 N/A 466284AD8 11750915.860000 PA USD 11397022.930000 0.0877238 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.628 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAE6 11100000.000000 PA USD 11463046.150000 0.0882320 Long DBT CORP US N 2 2023-04-25 Floating 2.776 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2010-C2 N/A 46635GAE0 121258.130000 PA USD 121143.830000 0.0009325 Long ABS-MBS CORP US N 2 2043-11-15 Fixed 4.0698 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2013-C10 N/A 46639JAG5 49184638.950000 PA USD 794154.850000 0.0061127 Long ABS-MBS CORP US N 2 2047-12-15 Variable 0.96367 N N N N N N JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2 N/A 46628TAA9 3672506.930000 PA USD 3138236.870000 0.0241553 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.283 N N N N N N JP MORGAN MORTGAGE TRUST 2003-A2 N/A 466247AZ6 41606.070000 PA USD 42310.680000 0.0003257 Long ABS-MBS CORP US N 2 2033-11-25 Floating 2.22965 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A1 N/A 466247F57 280496.390000 PA USD 231474.260000 0.0017817 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.98213 Y N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GBB0 77979.090000 PA USD 77503.120000 0.0005965 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.20694 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A6 N/A 466247TZ6 65377.780000 PA USD 61805.330000 0.0004757 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.91964 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-WMC3 N/A 46629KAD1 56621.630000 PA USD 45576.720000 0.0003508 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.258 N N N N N N JP MORGAN MTGE TRUST 2005-A7 N/A 466247WT6 7703.400000 PA USD 7551.780000 0.0000581 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.99865 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C19 N/A 46641WAX5 29310847.330000 PA USD 490050.990000 0.0037720 Long ABS-MBS CORP US N 2 2047-04-15 Variable 0.741314 N N N N N N JUPITER PLC 1A N/A 942BBG901 52500000.000000 PA 71169086.760000 0.5477943 Long ABS-MBS CORP GB N 3 2060-06-01 Floating 0 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BWK1VJII1 1.200000 PA 0.210000 0.0000000 Long DBT CORP DK N 2 2037-10-01 Fixed 1.5 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI09QH00 1.270000 PA 0.220000 0.0000000 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BKLH46II9 607518341.620000 PA 100814300.340000 0.7759760 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI1CPNN9 432855014.330000 PA 72131845.130000 0.5552047 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BH3VW6II4 24765031.350000 PA 4179536.020000 0.0321702 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAM4 1800000.000000 PA USD 1953348.390000 0.0150351 Long DBT CORP US N 2 2024-12-15 Fixed 3.45 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAA9 1600000.000000 PA USD 1604750.380000 0.0123519 Long DBT CORP US N 2 2021-02-15 Fixed 5 N N N N N N KOREA HYDRO & NUCLEAR POWER CO LTD 9884008CRY5MLCN8OQ43 50064YAN3 3700000.000000 PA USD 3999598.990000 0.0307852 Long DBT CORP KR N 2 2023-07-25 Fixed 3.75 N N N N N N KUWAIT GOVT 549300FSC1YD0D9XX589 M6417JAA6 62300000.000000 PA USD 70944125.000000 0.5460628 Long DBT NUSS KW N 2 2027-03-20 Fixed 3.5 N N N N N N LANDMARK MORTGAGE SEC PLC 1 N/A B190L3II0 12610.680000 PA 17136.020000 0.0001319 Long ABS-MBS CORP GB N 2 2038-06-17 Floating 0.25725 N N N N N N LANDWIRTSCHAFTLICHE RENTENBANK 529900Z3J0N6S0F7CT25 ACI09B035 15000000.000000 PA 12493943.500000 0.0961669 Long DBT NUSS DE N 2 2024-04-23 Fixed 5.375 N N N N N N LITHUANIA GOVT 529900F7Y171QF1RSU09 X5048HDW6 6000000.000000 PA USD 6070458.000000 0.0467248 Long DBT NUSS LT N 2 2021-03-09 Fixed 6.125 N N N N N N LLOYDS BANK CORPORATE MARKETS PLC 213800MBWEIJDM5CU638 ACI1D3YZ8 3800000.000000 PA 5376070.990000 0.0413801 Long DBT CORP GB N 2 2024-07-11 Fixed 1.75 N N N N N N LLOYDS BANK PLC H7FNTJ4851HG0EXQ1Z70 ACI0JZJY3 600000.000000 PA 733220.940000 0.0056437 Long DBT CORP GB N 2 2021-01-18 Fixed 0.375 N N N N N N LLOYDS BANK PLC H7FNTJ4851HG0EXQ1Z70 ACI01SSR3 10900000.000000 PA 19004365.340000 0.1462782 Long DBT CORP GB N 2 2027-03-30 Fixed 4.875 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AU3 3948000.000000 PA USD 4550070.000000 0.0350223 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 ACI1GWB29 1900000.000000 PA 2724591.490000 0.0209714 Long DBT CORP GB N 2 2024-12-27 Floating 5.125 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI0808F5 2900000.000000 PA 4371250.480000 0.0336459 Long DBT CORP GB N 2 2023-06-27 Floating 7.625 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI0808H1 3500000.000000 PA 5934383.890000 0.0456774 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 53944YAC7 9447000.000000 PA USD 9692326.970000 0.0746026 Long DBT CORP GB N 2 2022-01-11 Fixed 3 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AR0 1800000.000000 PA USD 2142750.890000 0.0164929 Long DBT CORP GB N 2 2028-03-22 Fixed 4.375 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AS8 1060000.000000 PA USD 1159072.270000 0.0089215 Long DBT CORP GB N 2 2023-08-16 Fixed 4.05 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI1L9H77 15400000.000000 PA 21413913.860000 0.1648247 Long DBT CORP GB N 2 2026-04-01 Floating 3.5 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI0Y68T3 100000.000000 PA 143632.900000 0.0011056 Long DBT CORP GB N 2 2024-10-16 Fixed 2.25 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAB9 23700000.000000 PA USD 27307330.790000 0.2101868 Long DBT CORP GB N 2 2026-03-24 Fixed 4.65 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAA1 800000.000000 PA USD 895828.780000 0.0068953 Long DBT CORP GB N 2 2024-11-04 Fixed 4.5 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AM1 9700000.000000 PA USD 11106426.770000 0.0854871 Long DBT CORP GB N 2 2025-12-10 Fixed 4.582 N N N N N N LOGICOR FINANCING SARL 254900IS16Q1A2TQFN22 ACI1D58V1 1300000.000000 PA 1689938.860000 0.0130076 Long DBT CORP LU N 2 2027-07-15 Fixed 1.625 N N N N N N LONG BEACH MORTGAGE LOAN TR 2005-3 N/A 542514NT7 2189120.060000 PA USD 2128253.110000 0.0163813 Long ABS-MBS CORP US N 2 2045-08-25 Floating 0.668 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 12369.070000 PA USD 11920.390000 0.0000918 Long ABS-MBS CORP US N 2 2034-10-25 Floating 0.708 N N N N N N LOOMIS SAYLES CLO II LTD 2015-2A N/A 54347LAN2 10136580.740000 PA USD 10104224.370000 0.0777730 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 1.13688 N N N N N N LUDGATE FUNDING PLC 2007-1 N/A B1Z520II7 163182.000000 PA 192919.730000 0.0014849 Long ABS-MBS CORP GB N 2 2061-01-01 Floating 0 N N N N N N LUMEN TECHNOLOGIES (CENTURYLINK INC) 8M3THTGWLTYZVE6BBY25 15669GAH7 7639499.990000 PA USD 7561515.970000 0.0582016 Long LON CORP US N 2 2027-03-15 Floating 2.3967 N N N N N N LUMINENT MORTGAGE TRUST 2006-7 N/A 55028BAG2 1527305.400000 PA USD 1442353.310000 0.0111019 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.318 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 B1YBKVII7 46900000.000000 PA 12450412.940000 0.0958319 Long DBT NUSS MY N 2 2027-05-31 Fixed 3.502 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI17M353 48900000.000000 PA 13173692.090000 0.1013990 Long DBT NUSS MY N 2 2026-07-15 Fixed 3.906 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI0C1S66 14600000.000000 PA 3930206.320000 0.0302511 Long DBT NUSS MY N 2 2025-09-15 Fixed 3.955 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI17H4J3 34100000.000000 PA 9382753.220000 0.0722198 Long DBT NUSS MY N 2 2029-07-09 Fixed 4.13 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI1LDCL2 26200000.000000 PA 6882666.200000 0.0529764 Long DBT NUSS MY N 2 2027-09-30 Fixed 3.422 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI1BBG09 44100000.000000 PA 11589083.130000 0.0892021 Long DBT NUSS MY N 2 2024-10-15 Fixed 3.655 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI12HLK6 45600000.000000 PA 12687043.760000 0.0976532 Long DBT NUSS MY N 2 2028-10-31 Fixed 4.369 N N N N N N MAN GLG EURO CLO II DAC 2A N/A ACI1DJHC3 8800000.000000 PA 10715527.470000 0.0824783 Long ABS-CBDO CORP IE N 2 2030-01-15 Floating 0.87 N N N N N N MANHATTAN WEST 2020-1MW N/A 563136AA8 23200000.000000 PA USD 24452623.680000 0.1882139 Long ABS-MBS CORP US N 2 2039-09-10 Fixed 2.13 N N N N N N MANSARD MORTGAGES PLC 2007-2X N/A B29VVWII5 6063942.440000 PA 8191031.980000 0.0630470 Long ABS-MBS CORP GB N 2 2049-12-15 Floating 0.69263 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1 N/A 576433G42 1099277.210000 PA USD 999221.880000 0.0076911 Long ABS-MBS CORP US N 2 2046-04-25 Floating 0.358 N N N N N N MASTR ALT LN TR 2006-2 N/A 5764342E3 1206724.620000 PA USD 1206993.240000 0.0092903 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 6 Y N N N N N MASTR ALT LN TR 2006-2 N/A 5764342H6 373741.310000 PA USD 20815.970000 0.0001602 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.548 Y N N N N N MASTR ASSET BACKED SEC TR 2006-FRE2 N/A 57643GAD9 832467.140000 PA USD 667139.830000 0.0051350 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.448 N N N N N N MASTR ASSET BACKED SEC TR 2006-WMC3 N/A 55291KAC1 7471863.430000 PA USD 3539757.190000 0.0272458 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.248 N N N N N N MASTR ASSET BACKED SEC TRUST 2005-HE2 N/A 57643LKN5 10803000.000000 PA USD 10526678.710000 0.0810247 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.883 N N N N N N MASTR ASSET BACKED SECUR TR 2006-WMC4 N/A 57645MAE2 13023847.000000 PA USD 5836389.580000 0.0449232 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.298 N N N N N N MASTR ASSET BACKED SECUR TR 2006-WMC4 N/A 57645MAF9 3875388.620000 PA USD 1769035.850000 0.0136164 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.368 N N N N N N MASTR ASSET SECURIZATION TR 2007-3 N/A 57645NAS9 845576.840000 PA USD 1402694.440000 0.0107967 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.748 Y N N N N N MEDTRONIC GLOBAL HOLDINGS SCA 549300JXMTTP8GKYIX14 ACI1CX8R0 9700000.000000 PA 11906708.080000 0.0916469 Long DBT CORP LU N 2 2022-12-02 Fixed 0 N N N N N N MEIJI YASUDA LIFE INSURANCE COMPANY 549300SLU4LP6YMRLK07 585270AC5 3400000.000000 PA USD 4131630.220000 0.0318015 Long DBT CORP JP N 2 2048-04-26 Floating 5.1 N N N N N N MELLON RES FUND CORP 1999-TBC3 N/A 585525DF2 9320.050000 PA USD 9273.800000 0.0000714 Long ABS-MBS CORP US N 2 2029-10-20 Floating 2.61 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC2 N/A 585525ED6 15152.160000 PA USD 15041.830000 0.0001158 Long ABS-MBS CORP US N 2 2030-06-15 Floating 0.63863 N N N N N N MERLIN PROPERTIES SOCIMI SA 959800L8KD863DP30X04 BZBXG0II2 5200000.000000 PA 6633999.680000 0.0510624 Long DBT CORP ES N 2 2023-04-25 Fixed 2.225 N N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE2 N/A 59024LAB7 49832.000000 PA USD 20422.090000 0.0001572 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.268 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-FM1 N/A 59020UC29 536432.160000 PA USD 529930.280000 0.0040789 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.868 N N N N N N MERRILL LYNCH MORTGAGE INVESTO-2006-RM4 N/A 59023QAB7 37666.220000 PA USD 21965.700000 0.0001691 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.308 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A2 N/A 589929M70 47549.260000 PA USD 46068.130000 0.0003546 Long ABS-MBS CORP US N 2 2033-02-25 Floating 2.22533 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 375298.080000 PA USD 370567.490000 0.0028523 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.568 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A5 N/A 59020UYU3 126550.160000 PA USD 127353.870000 0.0009803 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.51216 N N N N N N MESA TRUST ASSET BK CERT 2001-5 N/A 68400XAA8 59704.090000 PA USD 59469.580000 0.0004577 Long ABS-MBS CORP US N 2 2031-12-25 Floating 0.948 N N N N N N METROPOLIS OF TOKYO JAPAN 353800FABE4GGB1BMO18 59173LAA8 7000000.000000 PA USD 7043291.850000 0.0542128 Long DBT NUSS JP N 2 2021-05-17 Fixed 2 N N N N N N METROPOLIS OF TOKYO JAPAN 353800FABE4GGB1BMO18 889124AK9 6300000.000000 PA USD 6483834.000000 0.0499066 Long DBT NUSS JP N 2 2022-06-08 Fixed 2.5 N N N N N N METROPOLIS OF TOKYO JAPAN 353800FABE4GGB1BMO18 59173LAD2 45200000.000000 PA USD 45304902.420000 0.3487156 Long DBT NUSS JP N 2 2025-07-16 Fixed 0.75 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 12150000.000000 NS USD 13758855.980000 0.1059030 Long EP CORP US N 2 N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BAL4 6100000.000000 PA USD 7615850.000000 0.0586198 Long DBT NUSS MX N 2 2051-04-27 Fixed 5 N N N N N N MFA 2020-NQM2 TRUST N/A 552751AA7 40466112.480000 PA USD 40534119.830000 0.3119944 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.381 N N N N N N MFA 2020-NQM2 TRUST N/A 552751AC3 16724106.630000 PA USD 16833418.740000 0.1295682 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.947 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BP7 1500000.000000 PA USD 1768620.210000 0.0136132 Long DBT CORP US N 2 2027-02-15 Fixed 4.185 N N N N N N MIDOCEAN CREDIT CLO VI 2016-6A N/A 59802XAJ2 6400000.000000 PA USD 6397320.700000 0.0492407 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 1.46838 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822BL7 7200000.000000 PA USD 7447186.440000 0.0573216 Long DBT CORP JP N 2 2022-07-18 Fixed 2.623 N N N N N N MITSUBISHI UFJ LEASE & FINANCE COMPANY LIMITED 353800MZ3QX9RLMH7B09 60682LAD4 3400000.000000 PA USD 3497886.880000 0.0269235 Long DBT CORP JP N 2 2022-02-28 Fixed 3.406 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YAH2 300000.000000 PA USD 309006.310000 0.0023784 Long DBT CORP JP N 2 2022-02-28 Fixed 2.953 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YBC2 18500000.000000 PA USD 18538721.060000 0.1426941 Long DBT CORP JP N 2 2024-05-25 Floating 0.8365 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YAN9 16600000.000000 PA USD 16789409.490000 0.1292295 Long DBT CORP JP N 2 2022-09-11 Floating 1.10063 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YAS8 9600000.000000 PA USD 10445525.660000 0.0804001 Long DBT CORP JP N 2 2024-09-11 Floating 3.922 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YAU3 11800000.000000 PA USD 11964149.560000 0.0920890 Long DBT CORP JP N 2 2024-09-11 Floating 1.22063 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL78 578956.020000 PA USD 561806.240000 0.0043243 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.648 N N N N N N MONARCH GROVE CLO 2018-1A N/A 60909GAA8 11503046.670000 PA USD 11422393.060000 0.0879191 Long ABS-CBDO CORP KY N 2 2028-01-25 Floating 1.09475 N N N N N N MONDELEZ INTERNATIONAL HOLDINGS NETHERLANDS BV 549300CW356R8I7N8D33 60920LAC8 7400000.000000 PA USD 7492030.170000 0.0576668 Long DBT CORP NL N 2 2021-10-28 Fixed 2 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468M4 35400000.000000 PA 27861126.560000 0.2144494 Long DBT CORP US Y 2 2023-02-03 Floating 0.79 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468H5 31000000.000000 PA USD 31083192.530000 0.2392499 Long DBT CORP US N 2 2022-06-10 Floating 0.91561 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE4 N/A 61748BAD6 4713457.710000 PA USD 3181294.080000 0.0244867 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.628 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAA0 906929.800000 PA USD 849364.520000 0.0065376 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.278 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A 617526AE8 11248382.800000 PA USD 8332146.200000 0.0641332 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.298 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC3 N/A 61755AAA4 38719980.460000 PA USD 26470647.470000 0.2037467 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.348 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC3 N/A 61755AAC0 3838672.290000 PA USD 3243339.130000 0.0249642 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.288 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C5 N/A 61761AAA6 28899498.030000 PA USD 451063.370000 0.0034719 Long ABS-MBS CORP US N 2 2045-08-15 Variable 1.4141 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C7 N/A 61690KAF9 41795832.170000 PA USD 917397.620000 0.0070613 Long ABS-MBS CORP US N 2 2046-02-15 Variable 1.32916 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C9 N/A 61762DAX9 46597671.100000 PA USD 880556.190000 0.0067777 Long ABS-MBS CORP US N 2 2046-05-15 Variable 1.03862 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAB1 12255450.290000 PA USD 8251801.800000 0.0635148 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.318 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAC9 9022815.630000 PA USD 6120192.080000 0.0471076 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.378 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAD7 1298246.850000 PA USD 893545.530000 0.0068777 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.498 N N N N N N MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS N/A 61752JAE0 1535281.350000 PA USD 626362.090000 0.0048212 Long ABS-MBS CORP US N 2 2046-09-25 Variable 5.9188 Y N N N N N MORGAN STANLEY STRUCTURED TRUST 2007-1 N/A 61755FAD7 8800000.000000 PA USD 8056434.320000 0.0620110 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.448 N N N N N N MOUNTAIN VIEW CLO LTD 2014-1A N/A 62431XAU0 1441601.490000 PA USD 1440715.250000 0.0110893 Long ABS-CBDO CORP KY N 2 2026-10-15 Floating 1.03688 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBK5 600000.000000 PA USD 630411.880000 0.0048523 Long DBT CORP US N 2 2022-12-01 Fixed 3.5 N N N N N N MPT OPERATING PARTNERSHIP LP/MPT FINANCE CORP N/A ACI1H1MY4 11100000.000000 PA 15462048.430000 0.1190127 Long DBT CORP US N 2 2023-12-05 Fixed 2.55 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAA5 16700000.000000 PA USD 17789069.960000 0.1369239 Long DBT CORP GB N 2 2024-03-08 Floating 3.766 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAE7 12000000.000000 PA USD 13989224.640000 0.1076762 Long DBT CORP GB N 2 2030-07-18 Floating 3.96 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63859WAE9 7275000.000000 PA USD 8127778.340000 0.0625602 Long DBT CORP GB N 2 2026-09-14 Fixed 4 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BB6 4600000.000000 PA USD 4784598.000000 0.0368274 Long DBT CORP GB N 2 2021-08-15 Floating 8.625 N N N N Y NATWEST GROUP PLC GBP XXXX N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780099CK1 3100000.000000 PA USD 3618382.000000 0.0278510 Long DBT CORP GB N 2 2025-08-10 Floating 8 N N N N Y NATWEST GROUP PLC GBP XXXX N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BQ3 15400000.000000 PA USD 16907198.000000 0.1301361 Long DBT CORP GB N 2 2025-12-29 Floating 6 N N N N Y NATWEST GROUP PLC GBP XXXX N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 78009PEH0 5732000.000000 PA USD 7048913.700000 0.0542561 Long DBT CORP GB N 2 2030-01-27 Floating 5.076 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BK6 10350000.000000 PA USD 11453619.360000 0.0881594 Long DBT CORP GB N 2 2025-03-22 Floating 4.269 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BA8 1000000.000000 PA USD 1182191.790000 0.0090994 Long DBT CORP GB N 2 2026-04-05 Fixed 4.8 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BE0 4500000.000000 PA USD 4672927.620000 0.0359679 Long DBT CORP GB N 2 2023-05-15 Floating 3.498 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BF7 2400000.000000 PA USD 2427132.580000 0.0186818 Long DBT CORP GB N 2 2023-05-15 Floating 1.691 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 300000.000000 PA USD 360828.960000 0.0027773 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 21300000.000000 PA USD 21695089.010000 0.1669889 Long DBT CORP GB N 2 2024-06-25 Floating 1.801 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 16700000.000000 PA USD 18245020.540000 0.1404334 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BD2 1900000.000000 PA USD 2062490.870000 0.0158752 Long DBT CORP GB N 2 2023-09-12 Fixed 3.875 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 ACI0STF96 800000.000000 PA 1001617.220000 0.0077095 Long DBT CORP GB N 2 2023-03-08 Floating 2 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 ACI14S007 4200000.000000 PA 5424086.050000 0.0417496 Long DBT CORP GB N 2 2025-03-04 Floating 2 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 ACI11H7L1 1100000.000000 PA 1635618.610000 0.0125895 Long DBT CORP GB N 2 2026-09-19 Floating 2.875 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BM2 3700000.000000 PA USD 3938875.400000 0.0303178 Long DBT CORP GB N 2 2029-11-01 Floating 3.754 N N N N N N NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 ACI115315 5000000.000000 PA 6161092.890000 0.0474224 Long DBT CORP GB N 2 2022-03-02 Fixed 0.625 N N N N N N NEUBERGER BERMAN CLO XIX LTD 2015-19A N/A 64130CAN2 6765096.090000 PA USD 6740266.160000 0.0518804 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.03688 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2003-4 N/A 64352VDK4 7744706.230000 PA USD 7701235.970000 0.0592770 Long ABS-MBS CORP US N 2 2033-10-25 Floating 1.273 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 31042961.310000 PA USD 32682408.390000 0.2515592 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 28388774.630000 PA USD 29881252.000000 0.2299985 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N NEW SOUTH WALES TREASURY CORPORATION TC7LRO17HPNPLTAV0H77 ACI1DKMP5 22110000.000000 PA 18254316.590000 0.1405050 Long DBT NUSS AU N 2 2031-03-20 Fixed 2 N N N N N N A10 BRIDGE ASSET FINANCING 2020-C LLC N/A 66981EAA1 27190841.250000 PA USD 27220679.120000 0.2095198 Long ABS-MBS CORP US N 2 2040-08-15 Fixed 2.021 N N N N N N AA BOND CO LIMITED 2138002EPF6QVRZBMC58 BYP2QHII0 200000.000000 PA 269674.440000 0.0020757 Long DBT CORP JE N 2 2043-07-31 Fixed 2.75 N N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI1P2F88 10000000.000000 PA 7109149.950000 0.0547197 Long DBT NUSS NZ N 2 2041-05-15 Fixed 1.75 N N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI1FN6F7 19000000.000000 PA 14361345.410000 0.1105405 Long DBT NUSS NZ N 2 2031-05-15 Fixed 1.5 N N N N N N NEWGATE FUNDING PLC 2006-2 N/A ACI00QQA7 3469531.860000 PA 3937398.690000 0.0303065 Long ABS-MBS CORP GB N 2 2050-12-01 Floating 0 N N N N N N NEWGATE FUNDING PLC 2006-3X N/A B1H0JWII0 57924.800000 PA 76371.320000 0.0005878 Long ABS-MBS CORP GB N 2 2050-12-01 Floating 0.2135 N N N N N N NEWGATE FUNDING PLC 2007-2X N/A B1YXNZII7 2998157.000000 PA 3642406.460000 0.0280359 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 0.24263 N N N N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQDII7 6511210.840000 PA 7796921.330000 0.0600135 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 0.057 N N N N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQFII2 2974445.100000 PA 3908971.790000 0.0300877 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 1.04263 N N N N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQGII0 1676505.420000 PA 2238468.920000 0.0172297 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 1.29263 N N N N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQHII8 1352020.500000 PA 1611125.350000 0.0124010 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 0.707 N N N N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQJII4 2217313.620000 PA 2610948.860000 0.0200967 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 0.957 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AN9 2200000.000000 PA USD 2206033.920000 0.0169800 Long DBT CORP US N 2 2021-03-08 Fixed 2.55 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BF5 400000.000000 PA USD 401791.560000 0.0030926 Long DBT CORP US N 2 2021-03-15 Fixed 3.15 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AZ2 1100000.000000 PA USD 1126290.130000 0.0086691 Long DBT CORP US N 2 2022-07-13 Fixed 2.65 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BJ7 1200000.000000 PA USD 1221204.610000 0.0093997 Long DBT CORP US N 2 2021-09-21 Fixed 3.65 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BL2 1900000.000000 PA USD 2028752.630000 0.0156155 Long DBT CORP US N 2 2023-09-21 Fixed 3.875 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AA9 7600000.000000 PA USD 7951124.940000 0.0612005 Long DBT CORP JP N 2 2023-09-15 Fixed 3.043 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AB7 12600000.000000 PA USD 13519431.450000 0.1040602 Long DBT CORP JP N 2 2025-09-17 Fixed 3.522 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 11100000.000000 PA USD 12269426.960000 0.0944388 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 11800000.000000 PA USD 13316775.190000 0.1025003 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-WF1 N/A 65536RAF3 5923000.000000 PA USD 5799993.510000 0.0446430 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.583 N N N N N N NOMURA RESECURITIZATION TRUST 2016-2R N/A 65541FAE5 12850426.000000 PA USD 11689130.430000 0.0899722 Long ABS-MBS CORP US N 2 2037-12-26 Variable 0.322023 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BKDSHHII6 539059938.270000 PA 89520368.420000 0.6890456 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI15FS46 1.450000 PA 0.250000 0.0000000 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BH3VWJII6 70049706.040000 PA 11817524.760000 0.0909605 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YDM8 700000.000000 PA 893795.240000 0.0068796 Long DBT CORP US N 2 2023-11-15 Fixed 1.5 N N N N N N NORTHERN TERRITORY TREASURY CORPORATION 254900V4FQ2K6E3VJ628 ACI1K8177 8800000.000000 PA 7097149.140000 0.0546273 Long DBT MUN AU N 2 2031-04-21 Fixed 2 N N N N N N NOVASTAR HOME EQUITY LOAN 2007-1 N/A 669971AA1 20095089.510000 PA USD 14885978.110000 0.1145786 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.278 N N N N N N NTT FINANCE CORPORATION 3538007PR116187GD960 ACI0NPCG6 2400000.000000 PA USD 2417952.000000 0.0186112 Long DBT CORP JP N 2 2021-07-21 Fixed 1.9 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BQ13RXII5 1.560000 PA 0.270000 0.0000000 Long DBT CORP DK N 2 2036-10-01 Fixed 2.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BW0DGYII1 1.300000 PA 0.220000 0.0000000 Long DBT CORP DK N 2 2037-10-01 Fixed 1.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI09WV27 1.480000 PA 0.260000 0.0000000 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1CY5Z3 1013064306.480000 PA 167904550.500000 1.2923751 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BK9CXBII1 414814305.170000 PA 69074439.070000 0.5316716 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI19Y843 272664726.090000 PA 46008032.700000 0.3541276 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BDDX39II4 1.080000 PA 0.180000 0.0000000 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N OCTAGON INVESTMENT PARTNERS LTD 2015-1A N/A 67590WCE2 5874506.030000 PA USD 5863855.320000 0.0451346 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.08688 N N N N N N ABU DHABI GOVT 213800FER4348CINTA77 29135LAH3 17200000.000000 PA USD 19457500.000000 0.1497660 Long DBT NUSS AE N 2 2030-04-16 Fixed 3.125 N N N N N N ABU DHABI GOVT 213800FER4348CINTA77 29135LAJ9 16300000.000000 PA USD 19918600.000000 0.1533151 Long DBT NUSS AE N 2 2050-04-16 Fixed 3.875 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680AU7 2400000.000000 PA USD 2749085.980000 0.0211599 Long DBT CORP US N 2 2028-07-15 Fixed 4.55 N N N N N N OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5 N/A 68383NCU5 922473.700000 PA USD 905433.490000 0.0069692 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.708 N N N N N N OPTION ONE MORTGAGE LOAN TR 2005-1 N/A 68389FGK4 6359805.110000 PA USD 6279110.630000 0.0483308 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.928 N N N N N N ABU DHABI GOVT 213800FER4348CINTA77 29135LAA8 12900000.000000 PA USD 14487087.000000 0.1115083 Long DBT NUSS AE N 2 2027-10-11 Fixed 3.125 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2006-3 N/A 68389BAC7 15432806.820000 PA USD 9919249.850000 0.0763493 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.288 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-5 N/A 68403HAA0 2478196.880000 PA USD 1817426.570000 0.0139889 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.368 N N N N N N ORIX CORPORATION 35380016EMHNBOVYE123 686330AK7 2500000.000000 PA USD 2735518.500000 0.0210555 Long DBT CORP JP N 2 2024-12-04 Fixed 3.25 N N N N N N OVERSEA-CHINESE BANKING CORP 5493007O3QFXCPOGWK22 ACI12PFS8 11500000.000000 PA USD 11509629.530000 0.0885906 Long DBT CORP SG N 2 2021-05-17 Floating 0.672 N N N N N N OZLM XIII LTD 2015-13A N/A 67110AAQ6 21644338.240000 PA USD 21617282.820000 0.1663900 Long ABS-CBDO CORP KY N 2 2027-07-30 Floating 1.29438 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JP3 1400000.000000 PA USD 1492957.540000 0.0114914 Long DBT CORP US N 2 2026-01-01 Fixed 3.15 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HH3 1207000.000000 PA USD 1359053.020000 0.0104607 Long DBT CORP US N 2 2044-02-15 Fixed 4.75 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HP5 700000.000000 PA USD 740928.850000 0.0057030 Long DBT CORP US N 2 2026-03-01 Fixed 2.95 N N N N N N ACCREDITED MORTGAGE LOAN TRUST 2003-1 N/A 004375AK7 97187.570000 PA USD 97352.090000 0.0007493 Long ABS-MBS CORP US N 2 2033-06-25 Variable 4.33 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HL4 600000.000000 PA USD 640385.690000 0.0049291 Long DBT CORP US N 2 2045-03-15 Fixed 4.3 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HN0 500000.000000 PA USD 537866.930000 0.0041400 Long DBT CORP US N 2 2046-03-15 Fixed 4.25 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HD2 1100000.000000 PA USD 1208864.150000 0.0093047 Long DBT CORP US N 2 2043-06-15 Fixed 4.6 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JM0 500000.000000 PA USD 570110.570000 0.0043882 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JQ1 300000.000000 PA USD 335310.510000 0.0025809 Long DBT CORP US N 2 2040-07-01 Fixed 4.5 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JN8 100000.000000 PA USD 119264.860000 0.0009180 Long DBT CORP US N 2 2050-07-01 Fixed 4.95 N N N N N N ACCUNIA EUROPEAN CLO I BV 1A N/A ACI19ZJ97 6200000.000000 PA 7578592.820000 0.0583331 Long ABS-CBDO CORP NL N 2 2030-07-15 Floating 0.95 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JF5 200000.000000 PA USD 203253.690000 0.0015645 Long DBT CORP US N 2 2027-08-01 Fixed 2.1 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JJ7 500000.000000 PA USD 498060.740000 0.0038336 Long DBT CORP US N 2 2050-08-01 Fixed 3.5 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HR1 800000.000000 PA USD 832832.900000 0.0064104 Long DBT CORP US N 2 2046-12-01 Fixed 4 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HY6 900000.000000 PA USD 933725.980000 0.0071870 Long DBT CORP US N 2 2047-12-01 Fixed 3.95 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 69431EBR3 6649026.960000 PA USD 6740451.080000 0.0518818 Long LON CORP US N 2 2022-01-03 Floating 2.4375 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 69431EBQ5 8228011.170000 PA USD 8181728.610000 0.0629754 Long LON CORP US N 3 2021-06-30 Floating 2.1875 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2020-2 DAC 20-2A N/A ACI1SDQ48 6600000.000000 PA 8059039.390000 0.0620311 Long ABS-CBDO CORP IE N 2 2030-02-15 Floating 0.87 N N N N N N PALMER SQUARE LOAN FUNDING 2020-3 LTD N/A 69701KAA0 11411677.000000 PA USD 11442838.070000 0.0880765 Long ABS-CBDO CORP KY N 2 2028-07-20 Floating 1.91838 N N N N N N PANAMA GOVT 549300SHS4T08CL0LP14 698299BB9 600000.000000 PA USD 765000.000000 0.0058883 Long DBT NUSS PA N 2 2053-04-29 Fixed 4.3 N N N N N N PANAMA GOVT 549300SHS4T08CL0LP14 698299BM5 1400000.000000 PA USD 1809500.000000 0.0139279 Long DBT NUSS PA N 2 2056-04-01 Fixed 4.5 N N N N N N PANASONIC CORPORATION 254900GE1G59KGWPHX32 69832AAA4 5300000.000000 PA USD 5449597.690000 0.0419460 Long DBT CORP JP N 2 2022-07-19 Fixed 2.536 N N N N N N PECO ENERGY COMPANY YH65D4JBECK76IFEJ279 693304AU1 1100000.000000 PA USD 1110036.400000 0.0085440 Long DBT CORP US N 2 2021-09-15 Fixed 1.7 N N N N N N PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP N/A 709599AS3 1100000.000000 PA USD 1129290.670000 0.0086922 Long DBT CORP US N 2 2022-02-01 Fixed 3.375 N N N N N N PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP N/A 709599AV6 700000.000000 PA USD 703238.520000 0.0054129 Long DBT CORP US N 2 2021-04-01 Fixed 3.3 N N N N N N PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP N/A 709599BF0 5000000.000000 PA USD 5450423.550000 0.0419524 Long DBT CORP US N 2 2024-07-01 Fixed 3.45 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638DB5 32500000.000000 PA 9344198.900000 0.0719231 Long DBT NUSS PE N 2 2040-08-12 Fixed 5.35 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638CY6 45200000.000000 PA 16831755.800000 0.1295554 Long DBT NUSS PE N 2 2026-08-12 Fixed 8.2 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638DR0 3300000.000000 PA USD 3300000.000000 0.0254004 Long DBT NUSS PE N 2 2121-07-28 Fixed 3.23 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638DQ2 4700000.000000 PA USD 4751700.000000 0.0365742 Long DBT NUSS PE N 2 2060-12-01 Fixed 2.78 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BX9 3630000.000000 PA 1251447.510000 0.0096325 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BV3 164700000.000000 PA 57834723.480000 0.4451586 Long DBT NUSS PE N 2 2028-08-12 Fixed 6.35 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BD3 600000.000000 PA 215520.990000 0.0016589 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638CZ3 18300000.000000 PA 5586403.590000 0.0429990 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.4 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638CE0 10800000.000000 PA 3723493.920000 0.0286600 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AE9 81700000.000000 PA 28166187.850000 0.2167975 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AC3 121300000.000000 PA 42594729.560000 0.3278551 Long DBT NUSS PE N 2 2028-08-12 Fixed 6.35 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NBE8 34435000.000000 PA USD 38524156.250000 0.2965236 Long DBT CORP NL N 2 2030-01-15 Fixed 5.093 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NAK5 900000.000000 PA USD 1163250.000000 0.0089536 Long DBT CORP NL N 2 2044-03-17 Fixed 7.25 N N N N N N ACE SECURITIES CORP 2007-WM1 N/A 004424AB3 4500982.090000 PA USD 2437804.370000 0.0187640 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.218 N N N N N N ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-HE1 N/A 004421WR0 15105726.970000 PA USD 12910166.960000 0.0993706 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.733 Y N N N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 716743AP4 4300000.000000 PA USD 4951254.010000 0.0381102 Long DBT CORP MY N 2 2030-04-21 Fixed 3.5 N N N N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 716743AR0 3300000.000000 PA USD 4425382.600000 0.0340625 Long DBT CORP MY N 2 2050-04-21 Fixed 4.55 N N N N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 716743AS8 4200000.000000 PA USD 6090735.210000 0.0468809 Long DBT CORP MY N 2 2060-04-21 Fixed 4.8 N N N N N N PROVINCE OF ONTARIO CANADA C7PVKCRGLG18EBQGZV36 68323ADP6 4000000.000000 PA USD 4394444.960000 0.0338244 Long DBT NUSS CA N 2 2026-04-27 Fixed 2.5 N N N N N N PROVINCE OF ONTARIO CANADA C7PVKCRGLG18EBQGZV36 68323AEE0 46300000.000000 PA 40156040.200000 0.3090843 Long DBT NUSS CA N 2 2027-06-02 Fixed 2.6 N N N N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 74814ZEP4 19200000.000000 PA 16130497.400000 0.1241578 Long DBT NUSS CA N 2 2023-09-01 Fixed 3 N N N N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 74814ZDK6 8100000.000000 PA 9446837.440000 0.0727131 Long DBT NUSS CA N 2 2038-12-01 Fixed 5 N N N N N N PSA TREASURY PTE LTD 254900X7FR3V7789SL36 ACI0LV3H3 3700000.000000 PA USD 3971724.340000 0.0305707 Long DBT CORP SG N 2 2026-04-12 Fixed 2.5 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 74727PBD2 9500000.000000 PA USD 11198837.500000 0.0861984 Long DBT NUSS QA N 2 2030-04-16 Fixed 3.75 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 74727PBE0 600000.000000 PA USD 783540.000000 0.0060310 Long DBT NUSS QA N 2 2050-04-16 Fixed 4.4 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-5 N/A 007036LJ3 97071.380000 PA USD 91978.700000 0.0007080 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.31113 Y N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI19CQH2 7100000.000000 PA USD 7699950.000000 0.0592671 Long DBT NUSS QA N 2 2024-03-14 Fixed 3.375 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI19CPF7 35300000.000000 PA USD 41918750.000000 0.3226521 Long DBT NUSS QA N 2 2029-03-14 Fixed 4 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI122SK2 66950000.000000 PA USD 72034852.500000 0.5544582 Long DBT NUSS QA N 2 2023-04-23 Fixed 3.875 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 M8489SAF4 27950000.000000 PA USD 30072802.500000 0.2314728 Long DBT NUSS QA N 2 2023-04-23 Fixed 3.875 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 M8489SAH0 33600000.000000 PA USD 40769400.000000 0.3138054 Long DBT NUSS QA N 2 2028-04-23 Fixed 4.5 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 ACI1JX5N5 16300000.000000 PA USD 16362066.330000 0.1259402 Long DBT CORP KY N 2 2022-02-12 Floating 1.31164 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 BD93CFII1 43500000.000000 PA USD 43642958.400000 0.3359234 Long DBT CORP KY N 2 2021-05-31 Floating 1.57438 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 ACI1BFTD8 1000000.000000 PA USD 1003778.000000 0.0077262 Long DBT CORP KY N 2 2022-05-02 Floating 1.21438 N N N N N N QUEENSLAND TREASURY CORPORATION 98INKCEEHOU5YJS0HQ88 ACI1G3SL3 26150000.000000 PA 21119246.880000 0.1625566 Long DBT CORP AU N 2 2031-08-21 Fixed 1.75 N N N N N N RAAC SERIES 2006-RP2 N/A 74919MAB2 6536463.050000 PA USD 6217164.670000 0.0478540 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.648 N N N N N N REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A N/A 75585RQL2 2347366.960000 PA 1898381.620000 0.0146120 Long ABS-MBS CORP CA N 2 2053-08-12 Fixed 3.072 N N N N N N REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A N/A 75585RQM0 6200000.000000 PA 5268952.780000 0.0405556 Long ABS-MBS CORP CA N 2 2053-08-12 Fixed 3.65 N N N N N N REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A N/A 75585RRT4 10905869.550000 PA 8760080.380000 0.0674271 Long ABS-MBS CORP CA N 2 2055-02-12 Fixed 2.381 N N N N N N REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A N/A 75585RRU1 16700000.000000 PA 13474403.330000 0.1037136 Long ABS-MBS CORP CA N 2 2055-02-12 Fixed 2.867 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI0B2V53 1.360000 PA 0.240000 0.0000000 Long DBT CORP DK N 2 2047-04-01 Fixed 2.5 N N N N N N RECKITT BENCKISER TREASURY SERVICES PLC 213800LAXWIUOOBZ3908 75625QAC3 200000.000000 PA USD 205707.370000 0.0015833 Long DBT CORP GB N 2 2022-06-24 Fixed 2.375 N N N N N N RECKITT BENCKISER TREASURY SERVICES PLC 213800LAXWIUOOBZ3908 75625QAF6 7700000.000000 PA USD 7736994.570000 0.0595523 Long DBT CORP GB N 2 2022-06-24 Floating 0.79813 N N N N N N RELX CAPITAL INC (AKA: REED ELSEVIER CAPITAL INC) 2R15C3RTKJN1RCBOV146 74949LAB8 600000.000000 PA USD 638304.880000 0.0049131 Long DBT CORP US N 2 2023-03-16 Fixed 3.5 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAJ5 26740411.880000 PA USD 14767355.020000 0.1136655 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.731 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-4 N/A 75970HAF7 14480638.840000 PA USD 7222176.630000 0.0555897 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.294 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-2 N/A 75970QAE0 16476581.920000 PA USD 6442714.250000 0.0495901 Long ABS-MBS CORP US N 2 2037-06-25 Variable 5.675 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA5 N/A 75115BAA7 14500772.910000 PA USD 8348783.750000 0.0642613 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.508 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO3 N/A 761118WP9 44444.070000 PA USD 18630.810000 0.0001434 Long ABS-MBS CORP US N 2 2046-04-25 Floating 0.568 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO5 N/A 75114HAK3 240440.060000 PA USD 207136.370000 0.0015943 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.688 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS6 N/A 74922EAA7 577623.570000 PA USD 563679.910000 0.0043387 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 4559574.110000 PA USD 4280976.840000 0.0329510 Long ABS-MBS CORP US N 2 2037-10-25 Variable 1.64115 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QO9 N/A 75114PAC3 447363.380000 PA USD 402107.610000 0.0030951 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.348 Y N N N N N RESIDENTIAL ACCREDIT LOANS INC 2007-QO2 N/A 75116AAA8 1439850.390000 PA USD 766058.150000 0.0058964 Long ABS-MBS CORP US N 2 2047-02-25 Floating 0.298 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2007-QS3 N/A 75116BAC2 10268827.750000 PA USD 9953396.060000 0.0766121 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6.25 N N N N N N RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1 N/A 76112BR36 2397340.430000 PA USD 2202480.040000 0.0169527 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.588 N N N N N N RESIDENTIAL ASSET MORTGAGE PROD 2006-RS2 N/A 76112B2D1 2169325.840000 PA USD 2131265.890000 0.0164045 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.748 N N N N N N RESIDENTIAL ASSET MTGE PROD INC 2002-RS3 N/A 760985LY5 40584.880000 PA USD 38621.050000 0.0002973 Long ABS-MBS CORP US N 2 2032-06-25 Floating 0.708 N N N N N N RESIDENTIAL ASSET SEC CORP 2004-KS8 N/A 76110WD52 774887.900000 PA USD 764754.770000 0.0058864 Long ABS-MBS CORP US N 2 2034-09-25 Floating 0.988 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A11 N/A 76113TAD2 163238.500000 PA USD 163358.840000 0.0012574 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.25 Y N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A8 N/A 761119AJ5 577986.600000 PA USD 292355.970000 0.0022503 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.5 Y N N N N N RESIDENTIAL ASSET SEC TRUST 2006-R1 N/A 76113MAB1 104953.670000 PA USD 27759.070000 0.0002137 Long ABS-MBS CORP US N 2 2046-01-25 Floating 0.548 Y N N N N N RESIDENTIAL ASSET SECUR TRUST 2005-A15 N/A 45660L4E6 4965631.380000 PA USD 4779118.790000 0.0367853 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.75 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2003-S9 N/A 76111JZ72 21609.640000 PA USD 22755.300000 0.0001751 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6.5 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2005-SA4 N/A 76111XYD9 176625.560000 PA USD 134238.570000 0.0010332 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.33803 Y N N N N N RESIDENTIAL MORTGAGE SECURITIES 31 PLC 31 N/A ACI16FGD8 11142818.240000 PA 15267919.690000 0.1175184 Long ABS-MBS CORP GB N 2 2065-09-20 Floating 1.234 N N N N N N RESIMAC BASTILLE TRUST SERIES 2018-1NC N/A 76118VAA8 774250.530000 PA USD 772981.680000 0.0059497 Long ABS-MBS CORP AU N 2 2059-12-05 Floating 0.99388 N N N N N N RESIMAC BASTILLE TRUST SERIES 2019-1NC N/A 76119UAA9 10126349.690000 PA USD 10133498.890000 0.0779984 Long ABS-MBS CORP AU N 2 2057-09-05 Floating 1.07388 N N N N N N RESIMAC PREMIER SERIES 2020-1A N/A 76120GAA7 5003454.050000 PA USD 5007041.330000 0.0385396 Long ABS-MBS CORP AU N 2 2052-02-07 Floating 1.20275 N N N N N N RESLOC UK PLC 2007-1X N/A B1XCHCII2 564836.700000 PA 737669.260000 0.0056779 Long ABS-MBS CORP GB N 2 2043-12-15 Floating 0.20263 N N N N N N RESLOC UK PLC 2007-1X N/A B1XCHGII3 972269.600000 PA 1249013.720000 0.0096138 Long ABS-MBS CORP GB N 2 2043-12-15 Floating 0.26263 N N N N N N RIPON MORTGAGES PLC 1A N/A ACI0TMV43 39917959.490000 PA 54562212.410000 0.4199698 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.851 N N N N N N RIPON MORTGAGES PLC 1X N/A ACI0TMVB7 716309.230000 PA 979093.540000 0.0075362 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.851 N N N N N N RIPON MORTGAGES PLC 1X N/A ACI0WLGW6 8856186.770000 PA 12103038.230000 0.0931581 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.851 N N N N N N RMAC SECURITIES PLC 2006-NS3X N/A 99WKUBII8 103412.220000 PA 119149.160000 0.0009171 Long ABS-MBS CORP GB N 2 2044-06-12 Floating 0 N N N N N N RMAC SECURITIES PLC 2006-NS4X N/A 991ZHMII0 4890269.430000 PA 6463932.780000 0.0497534 Long ABS-MBS CORP GB N 2 2044-06-12 Floating 0.21063 N N N N N N RMAC SECURITIES PLC 2007-NS1X N/A B1ZPGKII4 1753892.170000 PA 2291041.120000 0.0176343 Long ABS-MBS CORP GB N 2 2044-06-12 Floating 0.19063 N N N N N N RMAC SECURITIES PLC 2007-NS1X N/A B231LDII0 244729.130000 PA USD 229515.540000 0.0017666 Long ABS-MBS CORP GB N 2 2044-06-12 Floating 0.3695 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1T3QY3 9900000.000000 PA 12329736.710000 0.0949030 Long DBT NUSS RO N 2 2029-12-02 Fixed 1.375 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1T3QG2 7700000.000000 PA 10045556.790000 0.0773215 Long DBT NUSS RO N 2 2040-12-02 Fixed 2.625 N N N N N N RUSSIAN GOVT 5493004EHVGF71PDBU58 ACI1BL160 1627600000.000000 PA 24848466.440000 0.1912607 Long DBT NUSS RU N 2 2030-04-10 Fixed 7.65 N N N N N N RYDER SYSTEM INC ZXJ6Y2OSPZXIVGRILD15 78355HKM0 10000000.000000 PA USD 10333147.800000 0.0795351 Long DBT CORP US N 2 2022-06-01 Fixed 2.875 N N N N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AH9 1400000.000000 PA USD 1473804.460000 0.0113440 Long DBT CORP US N 2 2022-03-15 Fixed 6.25 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAB1 4200000.000000 PA USD 4470858.000000 0.0344126 Long DBT CORP KY N 2 2023-08-08 Fixed 4.6 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAF2 4100000.000000 PA USD 4608953.500000 0.0354755 Long DBT CORP KY N 2 2025-08-08 Fixed 5.125 N N N N N N AFRICAN DEVELOPMENT BANK 549300LNCLMO3ITVCU07 ACI01RWZ2 200000.000000 PA 163586.990000 0.0012591 Long DBT CORP N/A N 2 2022-03-23 Fixed 5.25 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 9200000.000000 PA USD 10798224.000000 0.0831148 Long DBT CORP KY N 2 2028-08-08 Fixed 5.4 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 ACI0CTJV0 1200000.000000 PA 1719097.830000 0.0132320 Long DBT CORP GB N 2 2022-06-24 Floating 7.375 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAF2 4200000.000000 PA USD 4328259.050000 0.0333150 Long DBT CORP GB N 2 2023-01-10 Fixed 3.571 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAH8 5000000.000000 PA USD 5266759.050000 0.0405387 Long DBT CORP GB N 2 2024-01-05 Floating 3.373 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAE5 200000.000000 PA USD 202876.590000 0.0015616 Long DBT CORP GB N 2 2021-08-05 Fixed 2.875 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAJ4 900000.000000 PA USD 1001695.190000 0.0077101 Long DBT CORP GB N 2 2024-11-15 Floating 4.796 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAG0 6600000.000000 PA USD 7445743.070000 0.0573105 Long DBT CORP GB N 2 2028-11-03 Floating 3.823 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAA3 5750000.000000 PA USD 6489173.430000 0.0499477 Long DBT CORP GB N 2 2025-09-15 Fixed 4.75 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 ACI1JX7D5 36600000.000000 PA 50595579.420000 0.3894383 Long DBT CORP GB N 2 2027-02-12 Floating 0.6049 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 99WFXHII3 5200000.000000 PA 6434344.490000 0.0495257 Long DBT CORP GB N 2 2021-04-12 Fixed 4.25 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAA1 2404000.000000 PA USD 2655655.720000 0.0204408 Long DBT CORP GB N 2 2023-11-07 Fixed 5 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 48266XAA3 3400000.000000 PA USD 3506227.190000 0.0269877 Long DBT NUSS KY N 2 2022-04-20 Fixed 2.894 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 G5321UAD9 1500000.000000 PA USD 1546864.940000 0.0119063 Long DBT NUSS KY N 2 2022-04-20 Fixed 2.894 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TAG4 11100000.000000 PA USD 12416182.500000 0.0955684 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI0Y0CZ7 3400000.000000 PA USD 3564424.000000 0.0274357 Long DBT NUSS SA N 2 2023-03-04 Fixed 2.875 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAH2 37200000.000000 PA USD 41610990.000000 0.3202832 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI0QG399 71200000.000000 PA USD 72345038.400000 0.5568457 Long DBT NUSS SA N 2 2021-10-26 Fixed 2.375 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAB5 20200000.000000 PA USD 20524856.400000 0.1579815 Long DBT NUSS SA N 2 2021-10-26 Fixed 2.375 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI1LTBF1 5500000.000000 PA USD 5935737.500000 0.0456879 Long DBT NUSS SA N 2 2025-10-22 Fixed 2.9 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI0QG3C2 7000000.000000 PA USD 7766850.000000 0.0597821 Long DBT NUSS SA N 2 2026-10-26 Fixed 3.25 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAD1 6000000.000000 PA USD 6657300.000000 0.0512418 Long DBT NUSS SA N 2 2026-10-26 Fixed 3.25 N N N N N N AIB GROUP PLC (AKA: ALLIED IRISH BANKS) 635400AKJBGNS5WNQL34 00135TAB0 300000.000000 PA USD 328264.020000 0.0025267 Long DBT CORP IE N 2 2025-04-10 Floating 4.263 N N N N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 80414L2A2 9900000.000000 PA USD 10174362.760000 0.0783129 Long DBT CORP SA N 2 2022-04-16 Fixed 2.75 N N N N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 80414L2G9 2100000.000000 PA USD 2127744.950000 0.0163774 Long DBT CORP SA N 2 2023-11-24 Fixed 1.25 N N N N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 80414L2H7 1400000.000000 PA USD 1435290.210000 0.0110475 Long DBT CORP SA N 2 2025-11-24 Fixed 1.625 N N N N N N AIB GROUP PLC (AKA: ALLIED IRISH BANKS) 635400AKJBGNS5WNQL34 00135TAA2 3200000.000000 PA USD 3522652.960000 0.0271141 Long DBT CORP IE N 2 2023-10-12 Fixed 4.75 N N N N N N SAXON ASSET SECURITIES TRUST 2007-4 N/A 80557CAB8 5242479.450000 PA USD 4992321.440000 0.0384263 Long ABS-MBS CORP US N 2 2037-12-25 Floating 1.898 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAE8 2900000.000000 PA USD 3082511.500000 0.0237263 Long DBT CORP DE N 2 2027-05-15 Fixed 6 N N Y N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 ACI1C5ZK6 9000000.000000 PA 11241311.320000 0.0865253 Long DBT CORP DE N 2 2025-05-15 Fixed 3.625 N N Y N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 ACI1C6196 1400000.000000 PA 1781185.370000 0.0137099 Long DBT CORP DE N 2 2027-05-15 Fixed 3.875 N N Y N N N SEC ASSET BACKED REC LLC 2006-FR4 N/A 81377GAB5 668564.200000 PA USD 298424.600000 0.0022970 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.318 Y N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR5 N/A 81379EAA0 267696.080000 PA USD 221840.250000 0.0017075 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.278 Y N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BB4 6400000.000000 PA USD 6404236.030000 0.0492939 Long DBT CORP US N 2 2021-03-15 Floating 0.6665 N N N N N N SEQUOIA MORTGAGE TRUST 2005-4 N/A 81744FJG3 41717.560000 PA USD 42964.130000 0.0003307 Long ABS-MBS CORP US N 2 2035-04-20 Floating 2.78873 N N N N N N SEQUOIA MORTGAGE TRUST 2006-1 N/A 81743QAA2 1912367.490000 PA USD 1450662.690000 0.0111659 Long ABS-MBS CORP US N 2 2046-09-20 Floating 3.04689 Y N N N N N SEVEN & I HOLDINGS CO LTD 52990037G8JRM3TWGY86 81783HAA3 2200000.000000 PA USD 2243510.370000 0.0172685 Long DBT CORP JP N 2 2021-09-17 Fixed 3.35 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00912XAS3 2400000.000000 PA USD 2425781.590000 0.0186714 Long DBT CORP US N 2 2021-06-01 Fixed 3.375 N N N N N N AIRBUS SE (AKA: AIRBUS GROUP SE) MINO79WLOO247M1IL051 ACI1MT930 300000.000000 PA 438095.330000 0.0033721 Long DBT CORP NL N 2 2040-06-09 Fixed 2.375 N N N N N N SHRIRAM TRANSPORT FINANCE COMPANY LIMITED 335800TM2YO24B76XL26 Y7758EEC1 11400000.000000 PA USD 11660098.410000 0.0897487 Long DBT CORP IN N 2 2022-10-24 Fixed 5.95 N N N N N N SILVERSTONE MASTER ISSUER PLC 19-1A N/A 82846GAV2 3744000.000000 PA USD 3750432.190000 0.0288674 Long ABS-MBS CORP GB N 2 2070-01-21 Floating 0.77863 N N N N N N SILVERSTONE MASTER ISSUER PLC 19-1A N/A ACI1BCW41 12936000.000000 PA 17864424.220000 0.1375039 Long ABS-MBS CORP GB N 2 2070-01-21 Floating 0.80625 N N N N N N SL GREEN OPERATING PARTNERSHIP LP 2K1OXW4LY7IS2U150Y32 78444FAF3 2200000.000000 PA USD 2272342.120000 0.0174904 Long DBT CORP US N 2 2022-10-15 Fixed 3.25 N N N N N N SLM STUDENT LOAN TRUST 2003-12X N/A 772149II3 2815076.110000 PA 3666115.190000 0.0282184 Long DBT CORP US N 2 2038-03-15 Floating 0.59263 N N N N N N SLOVENIA GOVT 485100000LWQHIX4XX88 831594AG1 6166000.000000 PA USD 7086836.610000 0.0545480 Long DBT NUSS SI N 2 2024-02-18 Fixed 5.25 N N N N N N SLOVENIA GOVT 485100000LWQHIX4XX88 ACI07T7X5 13651000.000000 PA USD 15689653.990000 0.1207646 Long DBT NUSS SI N 2 2024-02-18 Fixed 5.25 N N N N N N SMALL BUSINESS ADMIN PART CERT 2005-20D N/A 83162CPL1 8852.180000 PA USD 9357.440000 0.0000720 Long ABS-O CORP US N 2 2025-04-01 Fixed 5.11 N N N N N N SMURFIT KAPPA TREASURY UNLIMITED COMPANY 635400B3DOXSWFOWJT40 ACI1FB085 500000.000000 PA 640459.070000 0.0049297 Long DBT CORP IE N 2 2027-09-15 Fixed 1.5 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83368JKG4 1400000.000000 PA USD 1436750.000000 0.0110588 Long DBT CORP FR N 2 2021-09-13 Floating 7.375 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 ACI084Z26 800000.000000 PA 992103.990000 0.0076363 Long DBT CORP FR N 2 2021-04-07 Floating 6.75 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83368RAZ5 49200000.000000 PA USD 49649753.440000 0.3821582 Long DBT CORP FR N 2 2026-12-14 Floating 1.488 N N N N N N SOUND POINT CLO X LTD 2015-3A N/A 83609WAN0 4593494.480000 PA USD 4589141.320000 0.0353230 Long ABS-CBDO CORP KY N 2 2028-01-20 Floating 1.10838 N N N N N N SOUND POINT CLO XII LTD 2016-2A N/A 83610CAW1 21700000.000000 PA USD 21700000.000000 0.1670267 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.28863 N N N N N N SOUNDVIEW HOME EQUITY LN TR 2006-3 N/A 83612HAD0 10717000.000000 PA USD 10158052.720000 0.0781874 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.648 N N N N N N SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1 N/A 83611DAA6 38200.940000 PA USD 15684.970000 0.0001207 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.208 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-WF2 N/A 83612MAG2 8457000.000000 PA USD 8222380.830000 0.0632883 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.553 N N N N N N SOUTH AFRICA GOVT N/A 836205BA1 10800000.000000 PA USD 11495973.600000 0.0884855 Long DBT NUSS ZA N 2 2029-09-30 Fixed 4.85 N N N N N N SOUTH AUSTRALIAN GOVERNMENT FINANCING AUTHORITY 254900TDPILDN6AUAD69 BLLCYZII1 17100000.000000 PA 13626027.930000 0.1048807 Long DBT MUN AU N 2 2032-05-24 Fixed 1.75 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 B2QK2VII4 25830000000.000000 PA 30618852.520000 0.2356758 Long DBT NUSS KR N 2 2028-03-10 Fixed 5.5 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 BD6K2YII6 25325000000.000000 PA 24291141.320000 0.1869709 Long DBT NUSS KR N 2 2027-06-10 Fixed 2.125 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI12HKN1 80130000000.000000 PA 79441920.600000 0.6114710 Long DBT NUSS KR N 2 2028-06-10 Fixed 2.625 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI0Z91H9 25830000000.000000 PA 25158697.730000 0.1936486 Long DBT NUSS KR N 2 2027-12-10 Fixed 2.375 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 BGGL77II0 115240000000.000000 PA 112366744.200000 0.8648961 Long DBT NUSS KR N 2 2028-12-10 Fixed 2.375 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400FY4 12200000.000000 PA USD 13100746.740000 0.1008375 Long DBT CORP US N 2 2023-10-01 Fixed 3.5 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI17SZK2 75300000.000000 PA 103968554.820000 0.8002545 Long DBT NUSS ES N 2 2029-04-30 Fixed 1.45 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI1B8TR3 44050000.000000 PA 55333516.480000 0.4259066 Long DBT NUSS ES N 2 2024-07-30 Fixed 0.25 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BD35VZII7 80000000.000000 PA 109546757.560000 0.8431904 Long DBT NUSS ES N 2 2028-07-30 Fixed 1.4 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BJRJGGII7 37900000.000000 PA 56115889.680000 0.4319286 Long DBT NUSS ES N 2 2035-07-30 Fixed 1.85 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BMWWMLII7 105200000.000000 PA 143710806.960000 1.1061539 Long DBT NUSS ES N 2 2030-10-31 Fixed 1.25 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BLH919II7 42400000.000000 PA 53675099.950000 0.4131417 Long DBT NUSS ES N 2 2050-10-31 Fixed 1 N N N N N N SPAIN GOVT 9598007A56S18711AH60 566648II4 900000.000000 PA 1627361.720000 0.0125259 Long DBT NUSS ES N 2 2029-04-06 Fixed 5.25 N N N N N N SPAREBANKEN SOER BOLIGKREDITT AS 549300OQVF8I8FNWOB83 ACI0LDFH0 2000000.000000 PA 2447412.240000 0.0188379 Long DBT CORP NO N 2 2021-03-22 Fixed 0.25 N N N N N N SPIRIT AEROSYSTEMS INC ZD2NBKV6GCC3UMGBM518 85205TAH3 3200000.000000 PA USD 3159688.640000 0.0243204 Long DBT CORP US N 2 2021-06-15 Floating 1.0165 N N N N N N SPIRIT AEROSYSTEMS INC ZD2NBKV6GCC3UMGBM518 85205TAJ9 7000000.000000 PA USD 6873125.000000 0.0529030 Long DBT CORP US N 2 2023-06-15 Fixed 3.95 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAE5 100000.000000 PA USD 104175.000000 0.0008018 Long DBT CORP US N 2 2021-09-15 Fixed 7.25 N N N N N N SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC / SPRINT SPECTRUM CO III LLC N/A 85208NAD2 4300000.000000 PA USD 4670724.500000 0.0359510 Long DBT CORP US N 2 2029-09-20 Fixed 4.738 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BR0 38000000.000000 PA USD 38162755.900000 0.2937419 Long DBT CORP GB N 2 2022-09-10 Floating 1.43 N N N N N N STATE BANK OF INDIA/LONDON BRANCH 5493001JZ37UBBZF6L49 85628UAH9 2180000.000000 PA USD 2243779.480000 0.0172706 Long DBT CORP IN N 2 2022-01-24 Fixed 4 N N N N N N STATE OF RIO DE JANEIRO N/A 932RBYII0 6000000.000000 PA USD 5984771.340000 0.0460653 Long LON NUSS BR N 3 2021-01-04 Floating 6.0244 N N N N N N STRATTON MORTGAGE FUNDING 2019-1 PLC N/A ACI1CGVH3 7806187.260000 PA 10693104.060000 0.0823057 Long ABS-MBS CORP GB N 2 2051-05-25 Floating 1.25438 N N N N N N STRATTON MORTGAGE FUNDING PLC 18-1 N/A ACI12J4X3 4920672.910000 PA 6727247.660000 0.0517802 Long ABS-MBS CORP GB N 2 2044-03-12 Floating 0.84063 N N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-1 N/A 863579P93 209768.270000 PA USD 192317.020000 0.0014803 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.10403 Y N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-4 N/A 86360BAP3 127444.390000 PA USD 119276.200000 0.0009181 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.07582 Y N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-8 N/A 86361JAB6 569224.240000 PA USD 492303.600000 0.0037893 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.28057 Y N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGF2 70339.470000 PA USD 69218.480000 0.0005328 Long ABS-MBS CORP US N 2 2034-02-25 Floating 3.0797 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-4 N/A 86359BNU1 69841.410000 PA USD 70038.310000 0.0005391 Long ABS-MBS CORP US N 2 2034-04-25 Floating 2.72359 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VM7 319439.380000 PA USD 304162.160000 0.0023412 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.25946 N N N N N N STRUCTURED ARM LOAN TRUST 2004-12 N/A 863579AV0 3746.270000 PA USD 3743.760000 0.0000288 Long ABS-MBS CORP US N 2 2034-09-25 Floating 3.12327 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC7 N/A 86358ECT1 5780014.560000 PA USD 5633705.050000 0.0433631 Long ABS-MBS CORP US N 2 2033-07-25 Floating 1.098 N N N N N N STRUCTURED ASSET MORTGAGE INV 2005-AR4 N/A 86359LLZ0 4855.580000 PA USD 4615.790000 0.0000355 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.768 Y N N N N N STRUCTURED ASSET MTG INV INC 2004-AR3 N/A 86359LBY4 4714.060000 PA USD 4734.780000 0.0000364 Long ABS-MBS CORP US N 2 2034-07-19 Floating 0.73163 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR4 N/A 86360QAB1 41670.600000 PA USD 41238.110000 0.0003174 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.338 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBG4 200000.000000 PA USD 202072.090000 0.0015554 Long DBT CORP US N 2 2021-04-15 Fixed 4.25 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAE8 2097653.770000 PA USD 1984458.500000 0.0152745 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.588 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR7 N/A 86361HAP9 1321867.950000 PA USD 1161399.390000 0.0089394 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.448 Y N N N N N STRUCTURED ASSET MTG INV INC 2007-AR4 N/A 86364MAC4 2461648.060000 PA USD 2193543.320000 0.0168839 Long ABS-MBS CORP US N 2 2047-09-25 Floating 0.368 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 393664.010000 PA USD 337952.330000 0.0026012 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.568 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAB7 132.990000 PA USD 0.730000 0.0000000 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.668 Y N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAF8 12976.320000 PA USD 7153.340000 0.0000551 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.668 Y N N N N N STRUCTURED ASSET MTGE INVEST 2007-AR6 N/A 86364RAA7 1122146.260000 PA USD 1074747.140000 0.0082724 Long ABS-MBS CORP US N 2 2047-08-25 Floating 2.10943 Y N N N N N STRUCTURED ASSET SEC CORP 2006-RF1 N/A 86359DXP7 1043451.430000 PA USD 942251.980000 0.0072526 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.428 N N N N N N STRUCTURED ASSET SEC CORP 2006-RF4 N/A 863911AA1 7732355.070000 PA USD 6706467.180000 0.0516202 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.438 N N N N N N STRUCTURED ASSET SECURITIES CO-2007-BC3 N/A 86363WAC3 6701727.320000 PA USD 6549641.000000 0.0504131 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.378 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC1 N/A 86359YAD3 1840335.880000 PA USD 1762331.220000 0.0135648 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.308 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC5 N/A 86359SAE4 19167000.000000 PA USD 16799039.820000 0.1293036 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.368 N N N N N N SUDBURY MILL CLO LTD 2013-1A N/A 864662AM3 1992737.850000 PA USD 1993930.680000 0.0153474 Long ABS-CBDO CORP KY N 2 2026-01-17 Floating 1.36775 N N N N N N SUMITOMO MITSUI BANKING CORPORATION 5U0XI89JRFVHWIBS4F54 BF5J2CII3 4300000.000000 PA 5382006.320000 0.0414257 Long DBT CORP JP N 2 2023-11-06 Fixed 0.55 N N N N N N ALME LOAN FUNDING II DAC 2A N/A ACI1H56L1 5500000.000000 PA 6684617.080000 0.0514520 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 0.75 N N N N N N SUNAC CHINA HOLDINGS LIMITED 549300OLARYHDXP3WK18 ACI18F1D2 4600000.000000 PA USD 4722823.630000 0.0363520 Long DBT CORP KY N 2 2022-02-15 Fixed 7.875 N N N N N N SYMPHONY CLO XIV LTD 2014-14A N/A 87159QBV9 7302485.670000 PA USD 7291856.900000 0.0561260 Long ABS-CBDO CORP KY N 2 2026-07-14 Floating 1.17888 N N N N N N SYMPHONY CLO XVII LTD 2016-17A N/A 87165UAN1 4412834.120000 PA USD 4395809.230000 0.0338349 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 1.11688 N N N N N N TAKEDA PHARMACEUTICAL COMPANY LIMITED 549300ZLMVP4X0OGR454 874060BD7 13000000.000000 PA USD 14425237.190000 0.1110322 Long DBT CORP JP N 2 2060-07-09 Fixed 3.375 N N N N N N TELOS CLO LTD 2014-5A N/A 87974KAQ7 9471296.990000 PA USD 9440050.710000 0.0726608 Long ABS-CBDO CORP KY N 2 2028-04-17 Floating 1.16775 N N N N N N TENCENT HOLDINGS LIMITED 254900N4SLUMW4XUYY11 88032XAG9 1300000.000000 PA USD 1435031.000000 0.0110456 Long DBT CORP KY N 2 2028-01-19 Fixed 3.595 N N N N N N TESCO PROPERTY FINANCE 6 PLC 213800FORYFOB97FHO66 B9JST3II3 9898021.600000 PA 18339783.980000 0.1411628 Long DBT CORP GB N 2 2044-07-13 Fixed 5.4111 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2003-5 N/A 885220EB5 32807.940000 PA USD 32522.640000 0.0002503 Long ABS-MBS CORP US N 2 2043-10-25 Floating 2.18275 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-1 N/A 88522EAC7 536822.690000 PA USD 494001.200000 0.0038024 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.63863 Y N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAC5 319716.490000 PA USD 313653.640000 0.0024142 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.58863 Y N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAE1 847589.530000 PA USD 758247.490000 0.0058363 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.58863 Y N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAG6 15084.910000 PA USD 14439.090000 0.0001111 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.58863 Y N N N N N THORNBURG MORTGAGE SECURITIES TRUST 2007-2 N/A 88522WAA1 483477.020000 PA USD 457210.830000 0.0035192 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.398 Y N N N N N THORNBURG MORTGAGE SECURITIES TRUST 2007-2 N/A 88522WAB9 6771501.640000 PA USD 6438597.010000 0.0495584 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.58863 N N N N N N THORNBURG MORTGAGE SECURITIES TRUST 2007-2 N/A 88522WAD5 2169652.580000 PA USD 1986526.310000 0.0152905 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.53863 N N N N N N TICP CLO II LTD 2018-IIA N/A 87249TAC8 20382660.280000 PA USD 20272991.380000 0.1560429 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.05838 N N N N N N TICP CLO III-2 LTD 2018-3R N/A 87249FAC8 17852827.390000 PA USD 17819365.840000 0.1371571 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.05838 N N N N N N TIKEHAU CLO II BV 2A N/A ACI1CK6K5 10700000.000000 PA 13066982.770000 0.1005776 Long ABS-CBDO CORP NL N 2 2029-12-07 Floating 0.88 N N N N N N TORO EUROPEAN CLO 2 DAC 2A N/A ACI157J36 23700000.000000 PA 28948035.830000 0.2228154 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 0.9 N N N N N N TOWD POINT MORTGAGE 20-FUNDING 2020 - AUBURN 14 PLC 20-A14X N/A ACI1NPPB1 16497225.000000 PA 22550944.340000 0.1735765 Long ABS-MBS CORP GB N 2 2045-05-20 Floating 0.9545 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 46030023.000000 PA 62956674.360000 0.4845827 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 0.95212 N N N N N N TOWD POINT MORTGAGE FUNDING 19-V2A N/A ACI1GVL46 4553508.120000 PA 6242859.440000 0.0480518 Long ABS-MBS CORP GB N 2 2054-02-20 Floating 1.2545 N N N N N N TOWD POINT MORTGAGE FUNDING 2018 - AUBURN 12 PLC 18-A12X N/A BF2GGBII9 8205177.090000 PA 11188302.330000 0.0861173 Long ABS-MBS CORP GB N 2 2045-02-20 Floating 0.851 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 23554655.990000 PA 32339265.410000 0.2489180 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.07325 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 99877312.680000 PA USD 105575213.490000 0.8126211 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 12582742.480000 PA USD 12684429.910000 0.0976331 Long ABS-MBS CORP US N 2 2058-05-25 Floating 1.148 N N N N N N AMBAC ASSURANCE CORP 549300RYYRVPPB8NC636 023138AA8 638.170000 PA USD 885.460000 0.0000068 Long DBT CORP US N 2 2099-12-31 Fixed 5.1 N N N N N N TOWD POINT MORTGAGE TRUST 2020-1 N/A 89178WAU2 27748570.630000 PA USD 28752086.590000 0.2213072 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.71 N N N N N N TOWD POINT MORTGAGE TRUST 2020-2 N/A 89176UAN4 29617755.210000 PA USD 30177228.680000 0.2322766 Long ABS-MBS CORP US N 2 2060-04-25 Variable 1.636 N N N N N N TOWER BRIDGE FUNDING NO 3 N/A ACI14WK48 2084736.350000 PA 2857431.370000 0.0219939 Long ABS-MBS CORP GB N 2 2061-12-20 Floating 1.234 N N N N N N TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2019-1A N/A 89231XAA9 24400000.000000 PA USD 26084673.600000 0.2007759 Long ABS-O CORP US N 2 2031-11-25 Fixed 2.56 N N N N N N TOYOTA INDUSTRIES CORPORATION 35380000WKGEAHEMW830 892330AD3 5000000.000000 PA USD 5147285.800000 0.0396191 Long DBT CORP JP N 2 2022-03-12 Fixed 3.11 N N N N N N TOYOTA MOTOR FINANCE (NETHERLANDS) BV 724500OPA8GZSQUNSR96 ACI1CWN95 9500000.000000 PA USD 9571525.600000 0.0736728 Long DBT CORP NL N 2 2021-04-26 Fixed 2.764 N N N N N N TOYOTA TSUSHO CORPORATION 549300CEE2ENIUJNXB84 ACI14XK12 400000.000000 PA USD 429774.380000 0.0033080 Long DBT CORP JP N 2 2023-09-13 Fixed 3.625 N N N N N N TRALEE CLO V LTD 2018-5A N/A 89300JAA6 20600000.000000 PA USD 20600319.090000 0.1585623 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.32838 N N N N N N AMBAC LSNI LLC N/A 02315QAA6 767204.020000 PA USD 764327.000000 0.0058831 Long DBT CORP KY N 2 2023-02-12 Floating 6 N N N N N N TREASURY CORPORATION OF VICTORIA 549300ZJM7BQW1P9UV75 ACI06FV19 23500000.000000 PA 23649737.340000 0.1820340 Long DBT MUN AU N 2 2032-12-20 Fixed 4.25 N N N N N N TRINITY SQUARE 2015-1 PLC 15-1X N/A ACI0JG421 5890242.200000 PA 8063292.040000 0.0620638 Long ABS-MBS CORP GB N 2 2051-07-15 Floating 1.19575 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 14100000.000000 PA USD 15576975.000000 0.1198973 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UBS AG / STAMFORD BRANCH BFM8T61CT2L1QCEMIK50 90261AAB8 8347000.000000 PA USD 9241164.780000 0.0711300 Long DBT CORP CH N 2 2022-08-17 Fixed 7.625 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 BD1FLTII2 2700000.000000 PA USD 2784375.000000 0.0214316 Long DBT CORP CH N 2 2021-08-10 Floating 7.125 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 BYY97DII5 2000000.000000 PA USD 2023790.000000 0.0155773 Long DBT CORP CH N 2 2021-03-22 Floating 6.875 N N N N N N UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C4 N/A 90270RAC8 49384047.000000 PA USD 1086750.280000 0.0083648 Long ABS-MBS CORP US N 2 2045-12-10 Variable 1.60259 N N N N N N UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 2011-C1 N/A 90268TAE4 11602820.380000 PA USD 85161.220000 0.0006555 Long ABS-MBS CORP US N 2 2045-01-10 Variable 2.13385 N N N N N N UMBS PASS THRU POOLS N/A 01F032419 4200000.000000 PA USD 4453711.420000 0.0342806 Long ABS-MBS USGSE US N 2 2036-01-16 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F020620 398700000.000000 PA USD 413401544.190000 3.1819856 Long ABS-MBS USGSE US N 2 2051-02-12 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F020638 1175900000.000000 PA USD 1217284636.360000 9.3695398 Long ABS-MBS USGSE US N 2 2051-03-11 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F022618 261500000.000000 PA USD 275637003.800000 2.1216007 Long ABS-MBS USGSE US N 2 2051-01-14 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022618 -355900000.000000 PA USD -375140381.080000 -2.8874863 Short ABS-MBS USGSE US N 2 2051-01-14 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022626 130450000.000000 PA USD 137262785.170000 1.0565229 Long ABS-MBS USGSE US N 2 2051-02-12 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022626 -142500000.000000 PA USD -149942099.550000 -1.1541167 Short ABS-MBS USGSE US N 2 2051-02-12 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022634 280000000.000000 PA USD 294196509.600000 2.2644547 Long ABS-MBS USGSE US N 2 2051-03-11 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030611 -725200000.000000 PA USD -759756113.590000 -5.8479052 Short ABS-MBS USGSE US N 2 2051-01-14 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F030629 -185400000.000000 PA USD -194408207.780000 -1.4963759 Short ABS-MBS USGSE US N 2 2051-02-12 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F032617 338400000.000000 PA USD 357690167.140000 2.7531706 Long ABS-MBS USGSE US N 2 2051-01-14 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F032625 76000000.000000 PA USD 80442150.600000 0.6191698 Long ABS-MBS USGSE US N 2 2051-02-12 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040610 988276072.000000 PA USD 1055446212.020000 8.1238562 Long ABS-MBS USGSE US N 2 2051-01-14 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F040628 355000000.000000 PA USD 379655229.250000 2.9222375 Long ABS-MBS USGSE US N 2 2051-02-12 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F042616 121200000.000000 PA USD 131362306.090000 1.0111065 Long ABS-MBS USGSE US N 2 2051-01-14 Fixed 4.5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 BYXSS8II2 3100000.000000 PA 4163459.840000 0.0320465 Long DBT CORP IT N 2 2022-06-03 Floating 9.25 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 ACI19LDR4 4400000.000000 PA 6254787.340000 0.0481436 Long DBT CORP IT N 2 2026-06-03 Floating 7.5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 22190000.000000 PA USD 26346009.480000 0.2027874 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 ACI1P53L5 4550000.000000 PA 5909110.760000 0.0454829 Long DBT CORP IT N 2 2027-07-22 Floating 2.2 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BMBL1FII0 19000000.000000 PA 25183245.680000 0.1938375 Long DBT NUSS GB N 2 2050-10-22 Fixed 0.625 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI14WP35 28000000.000000 PA 48173399.980000 0.3707946 Long DBT NUSS GB N 2 2049-01-22 Fixed 1.75 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B64605II9 40600000.000000 PA 93049409.100000 0.7162089 Long DBT NUSS GB N 2 2040-12-07 Fixed 4.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796C80 13402000.000000 PA USD 13400334.810000 0.1031435 Long DBT UST US N 2 2021-03-16 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912833LP3 11000000.000000 PA USD 10945576.400000 0.0842490 Long DBT UST US N 2 2023-11-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127963T4 10800000.000000 PA USD 10799981.970000 0.0831283 Long DBT UST US N 2 2021-01-07 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127963U1 2889000.000000 PA USD 2888971.930000 0.0222367 Long DBT UST US N 2 2021-01-14 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796A58 3074000.000000 PA USD 3074000.430000 0.0236608 Long DBT UST US N 2 2021-01-05 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796A74 107000.000000 PA USD 106998.660000 0.0008236 Long DBT UST US N 2 2021-01-19 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796A82 1204000.000000 PA USD 1203972.400000 0.0092671 Long DBT UST US N 2 2021-01-26 None 0 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816CD9 9700000.000000 PA USD 10001087.610000 0.0769792 Long DBT CORP US N 2 2022-05-20 Fixed 2.75 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816CE7 12700000.000000 PA USD 12782861.910000 0.0983907 Long DBT CORP US N 2 2022-05-20 Floating 0.84375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127963W7 1624000.000000 PA USD 1623937.070000 0.0124996 Long DBT UST US N 2 2021-02-04 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127964C0 13022000.000000 PA USD 13021312.700000 0.1002261 Long DBT UST US N 2 2021-02-11 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127964D8 721000.000000 PA USD 720950.430000 0.0055492 Long DBT UST US N 2 2021-02-18 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796XE4 411000.000000 PA USD 410965.860000 0.0031632 Long DBT UST US N 2 2021-02-25 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828SA9 7362624.000000 PA USD 7494714.700000 0.0576874 Long DBT UST US N 2 2022-01-15 Fixed 0.125 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-1 N/A 02660WAC0 217159.720000 PA USD 189087.200000 0.0014554 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.528 Y N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PS1 5422788.000000 PA USD 6743810.550000 0.0519077 Long DBT UST US N 2 2027-01-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 138704526.000000 PA USD 157333283.140000 1.2110072 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PZ5 30500662.500000 PA USD 40082090.290000 0.3085151 Long DBT UST US N 2 2029-01-15 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 1050434.000000 PA USD 1356093.770000 0.0104380 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 35583493.000000 PA USD 49594904.000000 0.3817360 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SM1 7190667.000000 PA USD 8582423.760000 0.0660596 Long DBT UST US N 2 2050-02-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X39 46466210.000000 PA USD 47444051.890000 0.3651808 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284H0 4612344.000000 PA USD 4857146.190000 0.0373859 Long DBT UST US N 2 2023-04-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FH6 11879025.000000 PA USD 17122945.630000 0.1317967 Long DBT UST US N 2 2029-04-15 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZZ6 10764830.000000 PA USD 12081442.990000 0.0929919 Long DBT UST US N 2 2030-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FG8 900000.000000 PA USD 1219640.630000 0.0093877 Long DBT UST US N 2 2029-02-15 Fixed 5.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284M9 179700000.000000 PA USD 199660037.330000 1.5367997 Long DBT UST US N 2 2025-04-30 Fixed 2.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZQ6 76650000.000000 PA USD 74901421.880000 0.5765224 Long DBT UST US N 2 2030-05-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284T4 5500000.000000 PA USD 5561693.060000 0.0428088 Long DBT UST US N 2 2021-06-15 Fixed 2.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828K74 17000000.000000 PA USD 18312851.520000 0.1409555 Long DBT UST US N 2 2025-08-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YB0 73300000.000000 PA USD 78379461.300000 0.6032932 Long DBT UST US N 2 2029-08-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828M56 5600000.000000 PA USD 6115593.740000 0.0470722 Long DBT UST US N 2 2025-11-15 Fixed 2.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828U24 9600000.000000 PA USD 10448625.020000 0.0804239 Long DBT UST US N 2 2026-11-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YS3 36550000.000000 PA USD 39483994.230000 0.3039115 Long DBT UST US N 2 2029-11-15 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YS3 -39550000.000000 PA USD -42724814.550000 -0.3288564 Short DBT UST US N 2 2029-11-15 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810ST6 50800000.000000 PA USD 50153093.500000 0.3860325 Long DBT UST US N 2 2040-11-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SS8 17500000.000000 PA USD 17400195.400000 0.1339307 Long DBT UST US N 2 2050-11-15 Fixed 1.625 N N N N N N UROPA SECURITIES PLC 2008-1 N/A ACI07PFK2 2956949.390000 PA 3888578.840000 0.0299307 Long ABS-MBS CORP GB N 2 2059-06-10 Floating 0.23838 N N N N N N UROPA SECURITIES PLC 2008-1 N/A G92958AY6 635316.110000 PA 804486.460000 0.0061922 Long ABS-MBS CORP GB N 2 2059-06-10 Floating 0.78838 N N N N N N UROPA SECURITIES PLC 2008-1 N/A G92958AV2 762765.540000 PA 976204.940000 0.0075139 Long ABS-MBS CORP GB N 2 2059-06-10 Floating 0.38838 N N N N N N UROPA SECURITIES PLC 2008-1 N/A G92958AU4 596695.070000 PA 732342.940000 0.0056369 Long ABS-MBS CORP GB N 2 2059-06-10 Floating 0.58838 N N N N N N AMERICAN MUNICIPAL POWER INC EARKGGZJJEMVD66XQ486 02765UEJ9 100000.000000 PA USD 162694.000000 0.0012523 Long DBT MUN US N 2 2041-02-15 Fixed 7.834 N N N N N N VENTURE CLO LTD 2013-4A N/A 92328GBA3 21800000.000000 PA USD 21738128.110000 0.1673202 Long ABS-CBDO CORP KY N 2 2029-08-28 Floating 1.25438 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 4150008.850000 PA USD 4129112.810000 0.0317821 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 1.11688 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VFM1 1074000.000000 PA USD 1081197.700000 0.0083221 Long DBT CORP US N 2 2056-10-30 Fixed 2.987 N N N N N N VOLKSWAGEN BANK GMBH 529900GJD3OQLRZCKW37 ACI17W013 5900000.000000 PA 7595129.650000 0.0584603 Long DBT CORP DE N 2 2024-01-31 Fixed 1.875 N N N N N N VOLKSWAGEN BANK GMBH 529900GJD3OQLRZCKW37 ACI0ZCCR8 3700000.000000 PA 4525814.200000 0.0348356 Long DBT CORP DE N 2 2021-06-15 Floating 0.000001 N N N N N N VOLKSWAGEN BANK GMBH 529900GJD3OQLRZCKW37 ACI17VZN9 4400000.000000 PA 6008084.390000 0.0462447 Long DBT CORP DE N 2 2026-07-31 Fixed 2.5 N N N N N N VOLKSWAGEN BANK GMBH 529900GJD3OQLRZCKW37 ACI134XC9 3200000.000000 PA 3933412.250000 0.0302758 Long DBT CORP DE N 2 2021-09-08 Fixed 0.625 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668BE1 3200000.000000 PA USD 3520117.760000 0.0270946 Long DBT CORP US N 2 2025-05-13 Fixed 3.35 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668BF8 1000000.000000 PA USD 1155309.140000 0.0088925 Long DBT CORP US N 2 2030-05-13 Fixed 3.75 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AP7 15500000.000000 PA USD 15977665.670000 0.1229814 Long DBT CORP US N 2 2021-11-12 Fixed 4 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AQ5 17900000.000000 PA USD 18031679.020000 0.1387913 Long DBT CORP US N 2 2021-11-12 Floating 1.15363 N N N N N N VOLKSWAGEN LEASING GESELLSCHAFT MIT BESCHRAENKTER HAFTUNG 5299004GLEUX88BSNB74 ACI0W22X1 2700000.000000 PA 3302997.200000 0.0254234 Long DBT CORP DE N 2 2021-07-06 Floating 0.000001 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAQ3 900000.000000 PA USD 953858.750000 0.0073419 Long DBT CORP US N 2 2023-06-15 Fixed 3 N N N N N N WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687FV3 4700000.000000 PA USD 4928157.130000 0.0379324 Long DBT CORP US N 2 2026-01-13 Fixed 1.75 N N N N N N WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687FX9 5000000.000000 PA USD 5483186.900000 0.0422045 Long DBT CORP US N 2 2031-01-13 Fixed 2.65 N N N N N N WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687FZ4 4200000.000000 PA USD 5098133.750000 0.0392408 Long DBT CORP US N 2 2051-01-13 Fixed 3.6 N N N N N N WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687FY7 2800000.000000 PA USD 3291500.830000 0.0253350 Long DBT CORP US N 2 2040-05-13 Fixed 3.5 N N N N N N WAMU ASSET-BACKED CERTIFICATES 2007-HE3 N/A 93364EAE4 5679663.800000 PA USD 5075992.780000 0.0390703 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.438 N N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAA8 4077673.960000 PA USD 3707912.520000 0.0285401 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.50821 Y N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KL0 49283657.370000 PA 67371131.170000 0.5185611 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 1.00301 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KJ5 6230000.000000 PA 8501762.490000 0.0654388 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 1.70301 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KH9 3115000.000000 PA 4246631.270000 0.0326867 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 2.20301 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JX6 1780000.000000 PA 2416599.970000 0.0186008 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 2.70301 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JP3 1780000.000000 PA 2387963.640000 0.0183804 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 3.20301 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0Q6 485.000000 PA 906881.650000 0.0069803 Long ABS-MBS CORP GB N 2 2049-12-21 Variable 0 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0R4 485.000000 PA 1352119.870000 0.0104074 Long ABS-MBS CORP GB N 2 2049-12-21 Fixed 0 N N N N N N WASHINGTON MUTUAL 2002 AR2 N/A 929227LE4 130566.540000 PA USD 131184.110000 0.0010097 Long ABS-MBS CORP US N 2 2034-02-27 Floating 1.753 N N N N N N WASHINGTON MUTUAL 2003-AR5 N/A 929227R65 24183.180000 PA USD 24208.410000 0.0001863 Long ABS-MBS CORP US N 2 2033-06-25 Floating 3.74557 N N N N N N WASHINGTON MUTUAL 2004-AR13 N/A 92922FB72 424625.000000 PA USD 423525.820000 0.0032599 Long ABS-MBS CORP US N 2 2034-11-25 Floating 0.888 N N N N N N WASHINGTON MUTUAL 2005-AR12 N/A 92922F3J5 207919.900000 PA USD 210297.710000 0.0016187 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.91686 N N N N N N WASHINGTON MUTUAL 2005-AR15 N/A 92922F5U8 2435299.680000 PA USD 2382939.520000 0.0183417 Long ABS-MBS CORP US N 2 2045-11-25 Floating 0.708 N N N N N N WASHINGTON MUTUAL 2005-AR16 N/A 92922F6Y9 205702.190000 PA USD 203930.350000 0.0015697 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.74786 N N N N N N WASHINGTON MUTUAL 2005-AR2 N/A 92922FD21 185623.480000 PA USD 181656.450000 0.0013982 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.768 N N N N N N WASHINGTON MUTUAL 2005-AR4 N/A 92922FG77 202825.970000 PA USD 205139.870000 0.0015790 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.56604 N N N N N N WASHINGTON MUTUAL 2006-AR10 N/A 93363EAF2 1870159.390000 PA USD 1755429.970000 0.0135117 Long ABS-MBS CORP US N 2 2036-09-25 Variable 3.04578 N N N N N N WASHINGTON MUTUAL 2006-AR10 N/A 93363EAK1 1020310.040000 PA USD 963587.330000 0.0074168 Long ABS-MBS CORP US N 2 2046-08-25 Floating 3.15749 Y N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 825249.440000 PA USD 789733.590000 0.0060786 Long ABS-MBS CORP US N 2 2046-10-25 Floating 2.003 N N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAB6 101202.270000 PA USD 95130.910000 0.0007322 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.55416 N N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 1296907.040000 PA USD 1284042.890000 0.0098834 Long ABS-MBS CORP US N 2 2046-02-25 Floating 1.60943 N N N N N N WASHINGTON MUTUAL 2006-AR5 N/A 93362YAB8 586803.240000 PA USD 574581.600000 0.0044226 Long ABS-MBS CORP US N 2 2046-06-25 Floating 1.58943 N N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR5 N/A 93935AAC6 372005.630000 PA USD 259839.460000 0.0020000 Long ABS-MBS CORP US N 2 2046-07-25 Floating 1.54943 Y N N N N N WASHINGTON MUTUAL MTGE P/T 2006-AR6 N/A 93935FAA9 3549089.110000 PA USD 2863655.660000 0.0220418 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.528 N N N N N N WASHINGTON MUTUAL MTGE P/T 2006-AR6 N/A 93935FAB7 1085.300000 PA USD 1465.080000 0.0000113 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.648 Y N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AD5 7348379.060000 PA USD 6354615.140000 0.0489120 Long ABS-MBS CORP US N 2 2047-04-25 Floating 1.37943 Y N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA5 N/A 93936RAB0 24032.620000 PA USD 2249.990000 0.0000173 Long ABS-MBS CORP US N 2 2047-05-25 Floating 1.44943 Y N N N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J5W3 13050000.000000 PA USD 13077389.990000 0.1006577 Long DBT CORP US N 2 2022-05-27 Floating 0.853 N N N N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J5X1 17950000.000000 PA USD 18133200.210000 0.1395727 Long DBT CORP US N 2 2022-05-27 Floating 2.897 N N N N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J6A0 7900000.000000 PA USD 7991243.890000 0.0615093 Long DBT CORP US N 2 2022-09-09 Floating 2.082 N N N N N N WELLS FARGO HOME EQUITY TRUST 2006-3 N/A 9497EBAD1 21575000.000000 PA USD 20190232.360000 0.1554059 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.378 N N N N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166BY9 9400000.000000 PA USD 11134583.600000 0.0857038 Long DBT CORP US N 2 2030-04-15 Fixed 4 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 2013-C11 N/A 92937EAS3 45609204.780000 PA USD 908790.770000 0.0069950 Long ABS-MBS CORP US N 2 2045-03-15 Variable 1.17286 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 2013-C12 N/A 92937FAJ0 66621953.240000 PA USD 1317022.740000 0.0101372 Long ABS-MBS CORP US N 2 2048-03-15 Variable 1.18694 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 2013-C12 N/A 92937FAL5 40000000.000000 PA USD 276500.000000 0.0021282 Long ABS-MBS CORP US N 2 2048-03-15 Variable 0.347483 N N N N N N WHITEHORSE X LTD 2015-10A N/A 96525WAN3 1505345.050000 PA USD 1505284.170000 0.0115863 Long ABS-CBDO CORP KY N 2 2027-04-17 Floating 1.14775 N N N N N N WIND RIVER CLO LTD 2012-1A N/A 87244ABL3 693193.030000 PA USD 694832.690000 0.0053482 Long ABS-CBDO CORP KY N 2 2026-01-15 Floating 1.11688 N N N N N N AMRESCO RES SEC 1999-1 N/A 03215PFN4 196987.970000 PA USD 186751.810000 0.0014374 Long ABS-MBS CORP US N 2 2029-06-25 Floating 1.088 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 ACI0BHXT6 4000000.000000 PA 5072740.710000 0.0390453 Long DBT CORP US N 2 2023-01-20 Fixed 2 N N N N N N ANCHORAGE CAPITAL CLO LTD 2020-16A N/A 03330WAA2 30350000.000000 PA USD 30351109.290000 0.2336150 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 1.60069 N N N N N N YORKSHIRE BUILDING SOCIETY WXD0EHQRPI7HKN3I5T57 ACI08LKM0 100000.000000 PA 123085.890000 0.0009474 Long DBT CORP GB N 2 2021-06-11 Fixed 1.25 N N N N N N YPF SA 5493003N7447U18U5U53 ACI1J9CS9 55060000.000000 PA 427293.740000 0.0032889 Long DBT CORP AR N 2 2021-03-04 Floating 33.1634 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAL6 18556000.000000 PA USD 19089087.900000 0.1469303 Long DBT CORP US N 2 2022-04-01 Fixed 3.15 N N N N N N N/A N/A 000000000 43274000.000000 PA USD 43274000.000000 0.3330835 Long RA US N 2 Repurchase N 0.0000001 2021-01-04 44190900.000000 USD 44139505.980000 USD UST N N N N/A N/A 000000000 -32586581.000000 PA -39786712.020000 -0.3062416 Short RA LU N 2 Reverse repurchase N -0.4600000 2021-02-17 22000000.000000 EUR 32083339.420000 EUR N N N N/A N/A 000000000 -5423638.000000 PA -6622811.900000 -0.0509763 Short RA LU N 2 Reverse repurchase N -0.8500000 2022-12-16 5400000.000000 EUR 5505104.140000 EUR N N N N/A N/A 000000000 -44840974.000000 PA -54742534.710000 -0.4213578 Short RA LU N 2 Reverse repurchase N -0.5400000 2021-02-17 44000000.000000 EUR 45242667.800000 EUR N N N N/A N/A 000000000 -12913043.000000 PA -15764636.590000 -0.1213417 Short RA LU N 2 Reverse repurchase N -0.5300000 2021-02-17 8800000.000000 EUR 12833335.770000 EUR N N N N/A N/A 000000000 -75088195.000000 PA -91671118.830000 -0.7056001 Short RA LU N 2 Reverse repurchase N -0.5200000 2021-02-17 60800000.000000 EUR 75756384.020000 EUR N N N N/A N/A 000000000 -126588595.000000 PA -154547131.220000 -1.1895620 Short RA LU N 2 Reverse repurchase N -0.5100000 2021-02-17 114700000.000000 EUR 128537028.360000 EUR N N N N/A N/A 000000000 -82021486.000000 PA -100138135.820000 -0.7707715 Short RA LU N 2 Reverse repurchase N -0.5000000 2021-02-17 72200000.000000 EUR 82734856.220000 EUR N N N N/A N/A 000000000 -3956750.000000 PA -4792909.310000 -0.0368914 Short RA LU N 2 Reverse repurchase N -1.3500000 2022-05-13 3500000.000000 EUR 4739126.100000 EUR CDS N N N N/A N/A 000000000 -60628890.000000 PA -74020410.060000 -0.5697412 Short RA LU N 2 Reverse repurchase N -0.5000000 2021-02-17 41000000.000000 EUR 59791678.010000 EUR N N N N/A N/A 000000000 -70329659.000000 PA -85859361.800000 -0.6608666 Short RA LU N 2 Reverse repurchase N -0.5300000 2021-02-17 46500000.000000 EUR 70124693.440000 EUR N N N N/A N/A 000000000 -38689129.000000 PA -47230214.020000 -0.3635348 Short RA LU N 2 Reverse repurchase N -0.5000000 2021-02-17 35000000.000000 EUR 39033080.800000 EUR N N N N/A N/A 000000000 -89779003.000000 PA -109604791.790000 -0.8436371 Short RA GB N 2 Reverse repurchase N -0.5200000 2021-02-17 80000000.000000 EUR 89671141.600000 EUR N N N N/A N/A 000000000 -8294584.000000 PA -10126665.810000 -0.0779458 Short RA GB N 2 Reverse repurchase N -0.5000000 2021-02-17 7300000.000000 EUR 8250553.080000 EUR N N N ANNINGTON FUNDING PLC 549300KK63W8VZIONZ83 ACI0W49K8 16122000.000000 PA 20687580.860000 0.1592340 Long DBT CORP GB N 2 2024-07-12 Fixed 1.65 N N N N N N N/A N/A 000000000 -55217803.020000 PA -75527564.090000 -0.5813419 Short RA GB N 2 Reverse repurchase N 0.1600000 2021-02-11 33600000.000000 GBP 56311782.580000 GBP N N N N/A N/A 000000000 -10148865.080000 PA USD -10148863.730000 -0.0781166 Short RA US N 2 Reverse repurchase N -0.2500000 2022-12-21 10000000.000000 USD 10443670.000000 USD CDS N N N N/A N/A 000000000 -329952417.570000 PA USD -329988987.300000 -2.5399523 Short RA US N 2 Reverse repurchase N 0.1900000 2021-01-14 319611099.290000 USD 340061242.540000 USD AMBS N N N N/A N/A 000000000 -82869250.000000 PA USD -82881183.740000 -0.6379433 Short RA US N 2 Reverse repurchase N 0.1600000 2021-01-07 77600000.000000 USD 82841648.570000 USD UST N N N N/A N/A 000000000 -9487125.000000 PA USD -9489591.650000 -0.0730422 Short RA US N 2 Reverse repurchase N 0.1800000 2021-01-11 8100000.000000 USD 9190203.710000 USD UST N N N N/A N/A 000000000 -35433750.000000 PA USD -35434990.180000 -0.2727460 Short RA US N 2 Reverse repurchase N 0.0700000 2021-01-15 33000000.000000 USD 35307422.040000 USD UST N N N N/A N/A 000000000 -39985590.000000 PA USD -39989017.490000 -0.3077988 Short RA US N 2 Reverse repurchase N 0.1600000 2021-01-15 30032000.000000 USD 38631466.790000 USD UST N N N N/A N/A 000000000 -9597753.750000 PA USD -9599838.600000 -0.0738907 Short RA US N 2 Reverse repurchase N 0.1700000 2021-01-19 8177000.000000 USD 9277567.370000 USD UST N N N N/A N/A 000000000 -32677875.000000 PA USD -32687596.670000 -0.2515991 Short RA US N 2 Reverse repurchase N 0.1700000 2021-01-04 27900000.000000 USD 31655146.090000 USD UST N N N N/A N/A 000000000 -10753818.750000 PA USD -10756614.750000 -0.0827945 Short RA US N 2 Reverse repurchase N 0.1800000 2021-01-13 7167000.000000 USD 10029416.350000 USD UST N N N N/A N/A 000000000 -67138500.000000 PA USD -67158156.670000 -0.5169218 Short RA US N 2 Reverse repurchase N 0.1700000 2021-02-03 57200000.000000 USD 64898722.460000 USD UST N N N N/A N/A 000000000 -7760375.000000 PA USD -7763595.550000 -0.0597570 Short RA US N 2 Reverse repurchase N 0.1800000 2021-01-13 4900000.000000 USD 6440980.660000 USD UST N N N N/A N/A 000000000 -52502275.000000 PA USD -52506431.430000 -0.4041463 Short RA US N 2 Reverse repurchase N 0.1500000 2021-02-11 53214000.000000 USD 52498721.540000 USD UST N N N N/A N/A 000000000 -8071875.000000 PA USD -8072633.080000 -0.0621357 Short RA US N 2 Reverse repurchase N 0.1610000 2021-01-19 7500000.000000 USD 8024414.100000 USD UST N N N N/A N/A 000000000 1.000000 NC -51.780000 -0.0000004 N/A DFE N/A N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 95873.000000 EUR 117071.480000 USD 2021-01-05 -51.780000 N N N N/A N/A 000000000 2126.000000 NC 331841.080000 0.0025542 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Long N/A AUSTRALIA GOVT 2021-03-15 241315942.310000 AUD 331841.080000 N N N N/A N/A 000000000 -751.000000 NC -46093.000000 -0.0003548 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Short N/A AUSTRALIA GOVT 2021-03-15 -67994721.000000 AUD -46093.000000 N N N N/A N/A 000000000 1.000000 NC 45698.040000 0.0003517 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 16114000.000000 USD 17583596800.000000 KRW 2021-03-17 45698.040000 N N N N/A N/A 000000000 1.000000 NC 1296999.140000 0.0099831 N/A DFE NO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 41977642.550000 USD 371045000.000000 NOK 2021-01-08 1296999.140000 N N N N/A N/A 000000000 1.000000 NC 12541.890000 0.0000965 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 311221.000000 USD 1209330.740000 PLN 2021-01-22 12541.890000 N N N N/A N/A 000000000 1.000000 NC 9926.670000 0.0000764 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 323679.000000 USD 1246095.850000 PLN 2021-01-22 9926.670000 N N N N/A N/A 000000000 1.000000 NC -4172631.020000 -0.0321171 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 128009457.000000 AUD 94520646.940000 USD 2021-01-08 -4172631.020000 N N N N/A N/A 000000000 1.000000 NC -111.950000 -0.0000009 N/A DFE HK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7436737.450000 HKD 959331.460000 USD 2021-03-17 -111.950000 N N N N/A N/A 000000000 1.000000 NC -2049305.470000 -0.0157737 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 23825285133.000000 JPY 228702465.090000 USD 2021-01-08 -2049305.470000 N N N N/A N/A 000000000 1.000000 NC -1497670.950000 -0.0115277 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 25290962343.000000 JPY 243449422.330000 USD 2021-01-08 -1497670.950000 N N N N/A N/A 000000000 1.000000 NC -355533.560000 -0.0027366 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7980000000.000000 JPY 76990612.550000 USD 2021-03-15 -355533.560000 N N N ARBOUR CLO IV DAC 4A N/A ACI1C2187 8800000.000000 PA 10753759.010000 0.0827726 Long ABS-CBDO CORP IE N 2 2030-01-15 Floating 0.87 N N N N N N N/A N/A 000000000 1.000000 NC -12502.870000 -0.0000962 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 362771000.000000 TWD 12910000.000000 USD 2021-01-13 -12502.870000 N N N N/A N/A 000000000 1.000000 NC 67247.660000 0.0005176 N/A DCR GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 BARCLAYS BANK PLC BARCLAYS BANK PLC GOV GTD Y Single Leg Swap 2021-12-21 48220.610000 EUR 0.000000 EUR 6900000.000000 EUR 19027.050000 N N N N/A N/A 000000000 1.000000 NC 187049.850000 0.0014397 N/A DFE BR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 13237610.400000 USD 69752940.500000 BRL 2021-02-02 187049.850000 N N N N/A N/A 000000000 1.000000 NC 9189.970000 0.0000707 N/A DFE BR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 19093804.610000 USD 99224774.430000 BRL 2021-01-05 9189.970000 N N N N/A N/A 000000000 1.000000 NC 39395.020000 0.0003032 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2158254.510000 USD 1607000.000000 GBP 2021-01-08 39395.020000 N N N N/A N/A 000000000 1.000000 NC 647.670000 0.0000050 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1049224.000000 USD 108400000.000000 JPY 2021-01-08 647.670000 N N N N/A N/A 000000000 1.000000 NC 290.660000 0.0000022 N/A DFE KR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 19000.000000 USD 20990440.000000 KRW 2021-03-17 290.660000 N N N N/A N/A 000000000 1.000000 NC 832876.150000 0.0064107 N/A DFE RU N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 20265222.310000 USD 1562294624.050000 RUB 2021-01-22 832876.150000 N N N N/A N/A 000000000 1.000000 NC -120548.010000 -0.0009279 N/A DFE BR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 29471833.930000 BRL 5553441.040000 USD 2021-01-05 -120548.010000 N N N N/A N/A 000000000 1.000000 NC -185614.510000 -0.0014287 N/A DFE BR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 69752940.500000 BRL 13243391.020000 USD 2021-01-05 -185614.510000 N N N N/A N/A 000000000 1.000000 NC -289296.990000 -0.0022267 N/A DFE DK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 82472725.000000 DKK 13256573.820000 USD 2021-02-01 -289296.990000 N N N N/A N/A 000000000 1.000000 NC -6.470000 0.0000000 N/A DFE BR N 2 BNP Paribas S.A. N/A 48000.000000 USD 249288.000000 BRL 2021-01-05 -6.470000 N N N N/A N/A 000000000 1.000000 NC 167914.810000 0.0012925 N/A DFE CH N 2 BNP Paribas S.A. N/A 47619615.830000 USD 42302000.000000 CHF 2021-01-08 167914.810000 N N N N/A N/A 000000000 1.000000 NC 189538.000000 0.0014589 N/A DFE CL N 2 BNP Paribas S.A. N/A 3778000.000000 USD 2819332500.000000 CLP 2021-01-15 189538.000000 N N N N/A N/A 000000000 1.000000 NC 535414.070000 0.0041211 N/A DFE CN N 2 BNP Paribas S.A. N/A 24557280.820000 USD 163947000.000000 CNY 2021-03-17 535414.070000 N N N N/A N/A 000000000 1.000000 NC 2721.850000 0.0000210 N/A DFE CN N 2 BNP Paribas S.A. N/A 457000.000000 USD 3009345.000000 CNY 2021-03-17 2721.850000 N N N N/A N/A 000000000 1.000000 NC 45014.970000 0.0003465 N/A DFE GB N 2 BNP Paribas S.A. N/A 2609395.580000 USD 1941000.000000 GBP 2021-01-08 45014.970000 N N N N/A N/A 000000000 1.000000 NC 585484.570000 0.0045065 N/A DFE GB N 2 BNP Paribas S.A. N/A 44182564.690000 USD 32736000.000000 GBP 2021-01-08 585484.570000 N N N N/A N/A 000000000 1.000000 NC 25870.490000 0.0001991 N/A DFE ID N 2 BNP Paribas S.A. N/A 1297531.150000 USD 18511357932.000000 IDR 2021-03-17 25870.490000 N N N N/A N/A 000000000 1.000000 NC 192934.090000 0.0014850 N/A DFE JP N 2 BNP Paribas S.A. N/A 64010980.100000 USD 6629100000.000000 JPY 2021-01-08 192934.090000 N N N N/A N/A 000000000 1.000000 NC 29694.090000 0.0002286 N/A DFE KR N 2 BNP Paribas S.A. N/A 7908000.000000 USD 8637117600.000000 KRW 2021-03-17 29694.090000 N N N N/A N/A 000000000 1.000000 NC -1421.810000 -0.0000109 N/A DFE KR N 2 BNP Paribas S.A. N/A 570000.000000 USD 618678000.000000 KRW 2021-03-17 -1421.810000 N N N N/A N/A 000000000 1.000000 NC 8109.660000 0.0000624 N/A DFE PL N 2 BNP Paribas S.A. N/A 214935.000000 USD 833124.410000 PLN 2021-01-22 8109.660000 N N N N/A N/A 000000000 1.000000 NC 174298.300000 0.0013416 N/A DFE RU N 2 BNP Paribas S.A. N/A 4045321.390000 USD 312458925.000000 RUB 2021-01-22 174298.300000 N N N N/A N/A 000000000 1.000000 NC 402395.270000 0.0030973 N/A DFE SE N 2 BNP Paribas S.A. N/A 15347862.110000 USD 129580000.000000 SEK 2021-01-08 402395.270000 N N N N/A N/A 000000000 1.000000 NC 16675.110000 0.0001283 N/A DFE SG N 2 BNP Paribas S.A. N/A 785750.810000 USD 1060410.000000 SGD 2021-03-17 16675.110000 N N N N/A N/A 000000000 1.000000 NC -23.090000 -0.0000002 N/A DFE BR N 2 BNP Paribas S.A. N/A 249288.000000 BRL 47970.440000 USD 2021-01-05 -23.090000 N N N N/A N/A 000000000 1.000000 NC -3854298.780000 -0.0296669 N/A DFE DK N 2 BNP Paribas S.A. N/A 828371541.000000 DKK 132202972.020000 USD 2021-02-01 -3854298.780000 N N N N/A N/A 000000000 1.000000 NC -418311.150000 -0.0032198 N/A DFE N/A N 2 BNP Paribas S.A. N/A 46238000.000000 EUR 56073298.850000 USD 2021-01-08 -418311.150000 N N N N/A N/A 000000000 1.000000 NC -125698.380000 -0.0009675 N/A DFE N/A N 2 BNP Paribas S.A. N/A 24572000.000000 EUR 29895319.850000 USD 2021-01-08 -125698.380000 N N N N/A N/A 000000000 1.000000 NC -1702.800000 -0.0000131 N/A DFE TW N 2 BNP Paribas S.A. N/A 599776000.000000 TWD 21606542.020000 USD 2021-03-17 -1702.800000 N N N N/A N/A 000000000 1.000000 NC -44948.060000 -0.0003460 N/A DFE TW N 2 BNP Paribas S.A. N/A 207147650.000000 TWD 7418000.000000 USD 2021-03-17 -44948.060000 N N N N/A N/A 000000000 1.000000 NC -87623.690000 -0.0006744 N/A DFE TW N 2 BNP Paribas S.A. N/A 334681200.000000 TWD 11970000.000000 USD 2021-03-17 -87623.690000 N N N N/A N/A 000000000 1.000000 NC 11094.750000 0.0000854 N/A DFE TW N 2 BNP Paribas S.A. N/A 203918250.000000 TWD 7275000.000000 USD 2021-01-13 11094.750000 N N N ARGENT SECURITIES INC 2004-W3 N/A 040104FW6 298007.950000 PA USD 290267.070000 0.0022342 Long ABS-MBS CORP US N 2 2034-02-25 Floating 0.968 N N N N N N N/A N/A 000000000 -2322.000000 NC -535146.440000 -0.0041191 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL N/A Short N/A CANADA GOVT 2021-03-22 -271985387.700000 CAD -535146.440000 N N N N/A N/A 000000000 1.000000 NC USD -174324.800000 -0.0013418 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 -81328.000000 USD 1840000.000000 USD -92996.800000 N N N N/A N/A 000000000 -5900000.000000 NC USD -3964.390000 -0.0000305 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 HY35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 98.250000 USD 2021-01-20 XXXX 38810.610000 N N N N/A N/A 000000000 1.000000 NC USD -17526972.470000 -0.1349065 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.35 Y Single Leg Swap 2025-12-21 0.000000 USD -8663570.000000 USD 184100000.000000 USD -8863402.470000 N N N N/A N/A 000000000 1.000000 NC USD -57233.400000 -0.0004405 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.33 Y Single Leg Swap 2029-12-21 74634.380000 USD 0.000000 USD 31300000.000000 USD -131867.780000 N N N N/A N/A 000000000 -35700000.000000 NC USD -6284.990000 -0.0000484 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 93735.010000 N N N N/A N/A 000000000 1.000000 NC USD 66376.660000 0.0005109 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.34 Y Single Leg Swap 2030-06-21 416946.560000 USD 0.000000 USD 131800000.000000 USD -350569.900000 N N N N/A N/A 000000000 1.000000 NC USD 51900.930000 0.0003995 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.34 Y Single Leg Swap 2025-06-21 24762.260000 USD 0.000000 USD 3100000.000000 USD 27138.670000 N N N N/A N/A 000000000 -53500000.000000 NC USD -5181.480000 -0.0000399 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 106028.520000 N N N N/A N/A 000000000 -25300000.000000 NC USD -3279.890000 -0.0000252 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 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 2021-01-20 XXXX 39730.110000 N N N N/A N/A 000000000 -11900000.000000 NC USD -1839.500000 -0.0000142 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 2021-01-20 XXXX 11845.500000 N N N N/A N/A 000000000 -13600000.000000 NC USD -1512.730000 -0.0000116 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 IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 1.000000 USD 2021-01-20 XXXX 23239.270000 N N N N/A N/A 000000000 -16400000.000000 NC USD -1824.170000 -0.0000140 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 IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 1.000000 USD 2021-01-20 XXXX 19577.830000 N N N N/A N/A 000000000 -10200000.000000 NC USD -987.870000 -0.0000076 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 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 14618.130000 N N N N/A N/A 000000000 -10400000.000000 NC USD -2564.220000 -0.0000197 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 2021-02-17 XXXX 22707.780000 N N N N/A N/A 000000000 -12100000.000000 NC USD -4151.510000 -0.0000320 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 2021-02-17 XXXX 11820.490000 N N N N/A N/A 000000000 -14800000.000000 NC USD -5077.880000 -0.0000391 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 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 2021-02-17 XXXX 12978.120000 N N N N/A N/A 000000000 -22000000.000000 NC USD -8287.180000 -0.0000638 N/A DCR US N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.430000 USD 2021-03-17 XXXX 2162.820000 N N N N/A N/A 000000000 -22000000.000000 NC USD -17493.080000 -0.0001346 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 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 2021-03-17 XXXX 5056.920000 N N N N/A N/A 000000000 -25700000.000000 NC USD -12324.950000 -0.0000949 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 0.450000 USD 2021-02-17 XXXX 1488.800000 N N N N/A N/A 000000000 -25700000.000000 NC USD -12976.960000 -0.0000999 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 0.750000 USD 2021-02-17 XXXX 12723.040000 N N N N/A N/A 000000000 -23900000.000000 NC USD -19003.850000 -0.0001463 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 0.800000 USD 2021-03-17 XXXX 13261.150000 N N N N/A N/A 000000000 -27400000.000000 NC USD -21786.840000 -0.0001677 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 0.800000 USD 2021-03-17 XXXX 20409.160000 N N N N/A N/A 000000000 -21900000.000000 NC USD -15272.400000 -0.0001176 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 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 0.850000 USD 2021-03-17 XXXX 12102.600000 N N N N/A N/A 000000000 -10100000.000000 NC USD -8632.270000 -0.0000664 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 IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.780000 USD 2021-03-17 XXXX 4497.730000 N N N N/A N/A 000000000 -6500000.000000 NC USD -5494.320000 -0.0000423 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 IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 1.000000 USD 2021-04-21 XXXX 2045.680000 N N N N/A N/A 000000000 -5400000.000000 NC USD -4564.510000 -0.0000351 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 IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 1.000000 USD 2021-04-21 XXXX 1645.490000 N N N N/A N/A 000000000 -15800000.000000 NC USD -1893.310000 -0.0000146 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 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 2021-01-20 XXXX 22201.690000 N N N N/A N/A 000000000 -4900000.000000 NC USD -3896.190000 -0.0000300 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 2021-03-17 XXXX 2351.310000 N N N N/A N/A 000000000 1.000000 NC USD -4851551.430000 -0.0373428 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.35 Y Single Leg Swap 2030-12-21 0.000000 USD -2525557.230000 USD 546700000.000000 USD -2325994.200000 N N N N/A N/A 000000000 1.000000 NC USD 141874.010000 0.0010920 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.35 Y Single Leg Swap 2025-12-21 126055.590000 USD 0.000000 USD 5700000.000000 USD 15818.420000 N N N N/A N/A 000000000 1.000000 NC USD -672923.310000 -0.0051795 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 CHINA GOVT CHINA (PEOPLES REP OF) GLOBAL Y Single Leg Swap 2023-06-21 0.000000 USD -566476.000000 USD 29700000.000000 USD -106447.310000 N N N N/A N/A 000000000 1.000000 NC USD -267356.740000 -0.0020579 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CHINA GOVT CHINA (PEOPLES REP OF) GLOBAL Y Single Leg Swap 2023-06-21 0.000000 USD -227822.440000 USD 11800000.000000 USD -39534.300000 N N N N/A N/A 000000000 1.000000 NC -9610.470000 -0.0000740 N/A DFE CH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 48063744.520000 USD 42538000.000000 CHF 2021-01-08 -9610.470000 N N N N/A N/A 000000000 1.000000 NC 459616.380000 0.0035377 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9123000.000000 USD 6809407200.000000 CLP 2021-01-15 459616.380000 N N N N/A N/A 000000000 1.000000 NC 107356.460000 0.0008263 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2125000.000000 USD 1586312500.000000 CLP 2021-01-15 107356.460000 N N N N/A N/A 000000000 1.000000 NC 239873.550000 0.0018463 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15075597.950000 USD 100066000.000000 CNY 2021-03-17 239873.550000 N N N N/A N/A 000000000 1.000000 NC 75541.870000 0.0005815 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10041829.610000 USD 8281000.000000 EUR 2021-01-08 75541.870000 N N N N/A N/A 000000000 1.000000 NC 337638.910000 0.0025988 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11602847.600000 USD 102380000.000000 NOK 2021-01-08 337638.910000 N N N N/A N/A 000000000 1.000000 NC 101.810000 0.0000008 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10071.580000 USD 38000.000000 PLN 2021-01-22 101.810000 N N N N/A N/A 000000000 1.000000 NC 49452.890000 0.0003806 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1264077.440000 USD 97265703.000000 RUB 2021-01-22 49452.890000 N N N N/A N/A 000000000 1.000000 NC -14057.370000 -0.0001082 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1534287.060000 USD 112994872.000000 RUB 2021-02-19 -14057.370000 N N N N/A N/A 000000000 1.000000 NC 558578.200000 0.0042994 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15259746.350000 USD 130140000.000000 SEK 2021-01-08 558578.200000 N N N N/A N/A 000000000 1.000000 NC 15077.110000 0.0001160 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 212382.990000 USD 3351000.000000 ZAR 2021-01-22 15077.110000 N N N N/A N/A 000000000 1.000000 NC 990265.600000 0.0076222 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16014260.470000 USD 250515000.000000 ZAR 2021-01-22 990265.600000 N N N N/A N/A 000000000 1.000000 NC -11036629.800000 -0.0849498 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3327056187.350000 CNY 498181628.440000 USD 2021-03-17 -11036629.800000 N N N N/A N/A 000000000 1.000000 NC -3483534.680000 -0.0268131 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 869176936.000000 DKK 139275886.540000 USD 2021-02-01 -3483534.680000 N N N N/A N/A 000000000 1.000000 NC -594203.350000 -0.0045736 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 27615000.000000 EUR 33144622.080000 USD 2021-01-08 -594203.350000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1TTRK5 350440154.690000 PA 2476344.520000 0.0190606 Long DBT NUSS AR N 2 2021-09-13 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -2022343.290000 -0.0155661 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 121200002.000000 ILS 35770710.340000 USD 2021-04-30 -2022343.290000 N N N N/A N/A 000000000 1.000000 NC -489362.910000 -0.0037667 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 123687000.000000 ILS 38026257.480000 USD 2021-02-11 -489362.910000 N N N N/A N/A 000000000 1.000000 NC -502568.930000 -0.0038683 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5931599201.000000 JPY 56945936.310000 USD 2021-01-08 -502568.930000 N N N N/A N/A 000000000 1.000000 NC -218947.600000 -0.0016853 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 258117000.000000 MXN 12635265.780000 USD 2021-03-25 -218947.600000 N N N N/A N/A 000000000 1.000000 NC 222895.520000 0.0017156 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 76320188.000000 PEN 21309559.680000 USD 2021-03-15 222895.520000 N N N N/A N/A 000000000 1.000000 NC 45361.260000 0.0003491 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 26185530.460000 PEN 7280432.190000 USD 2021-01-29 45361.260000 N N N N/A N/A 000000000 1.000000 NC 149560.040000 0.0011512 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 100138011.500000 PEN 27806073.220000 USD 2021-05-10 149560.040000 N N N N/A N/A 000000000 1.000000 NC -284254.040000 -0.0021879 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 154455368.040000 PEN 42395522.630000 USD 2021-02-10 -284254.040000 N N N N/A N/A 000000000 1.000000 NC 34336.720000 0.0002643 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 28455466.500000 PEN 7897057.280000 USD 2021-02-24 34336.720000 N N N N/A N/A 000000000 1.000000 NC 886.650000 0.0000068 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3278450.000000 TWD 119000.000000 USD 2021-03-17 886.650000 N N N N/A N/A 000000000 1.000000 NC -2723.780000 -0.0000210 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 670874.140000 ZAR 42814.000000 USD 2021-01-22 -2723.780000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 136540000.000000 PA 910653.190000 0.0070094 Long DBT NUSS AR N 2 2022-04-03 Floating 33.8673 N N N N N N N/A N/A 000000000 1.000000 NC 61.230000 0.0000005 N/A DFE CZ N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 2362.000000 USD 52037.220000 CZK 2021-02-18 61.230000 N N N N/A N/A 000000000 1.000000 NC 213.280000 0.0000016 N/A DFE CZ N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 7807.000000 USD 172230.230000 CZK 2021-02-18 213.280000 N N N N/A N/A 000000000 1.000000 NC 302307.560000 0.0023269 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 118141793.450000 PEN 32940692.440000 USD 2021-03-29 302307.560000 N N N N/A N/A 000000000 866.000000 NC USD 243562.500000 0.0018747 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Call Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT EURO$ CME (RED) 06/13/22 2022-06-14 N/A USD N/A 99.750000 USD 2022-06-13 XXXX 47604.020000 N N N N/A N/A 000000000 396.000000 NC USD 103950.000000 0.0008001 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Call Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT EURO$ CME (RED) 03/14/22 2022-03-15 N/A USD N/A 99.750000 USD 2022-03-14 XXXX 19194.120000 N N N N/A N/A 000000000 -53942000.000000 NC -290808.980000 -0.0022384 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Written None N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2021-02-04 N/A 8.050000 EUR 2021-02-04 XXXX -2314.800000 N N N N/A N/A 000000000 -53942000.000000 NC -60362.790000 -0.0004646 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Put Written None N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2021-02-04 N/A 7.750000 EUR 2021-02-04 XXXX 228131.390000 N N N N/A N/A 000000000 21400000.000000 NC 1552449.980000 0.0119493 N/A DIR DE N 2 BNP Paribas S.A. N/A Put Purchased FRANCE GOVT FRANCE GOVT OAT BD N/A 97.000000 EUR 2025-05-23 XXXX -67644.050000 N N N N/A N/A 000000000 205.000000 NC 8553.140000 0.0000658 N/A DIR DE N 1 Eurex N/A Long N/A FRANCE GOVT 2021-03-08 42038567.490000 EUR 8553.140000 N N N N/A N/A 000000000 3137.000000 NC -3295.790000 -0.0000254 N/A DIR DE N 1 Eurex N/A Call Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EURO-SCHATZ 2YR EUX 03/08/21 2021-03-09 N/A EUR N/A 115.000000 EUR 2021-02-19 XXXX -3295.790000 N N N N/A N/A 000000000 39.000000 NC 6380.140000 0.0000491 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2021-03-08 6440563.670000 EUR 6380.140000 N N N N/A N/A 000000000 -1576.000000 NC -443962.130000 -0.0034172 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2021-03-08 -342013939.030000 EUR -443962.130000 N N N N/A N/A 000000000 502.000000 NC 355112.030000 0.0027333 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2021-03-08 138132561.250000 EUR 355112.030000 N N N N/A N/A 000000000 -3137.000000 NC 143248.830000 0.0011026 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2021-03-08 -430273313.660000 EUR 143248.830000 N N N N/A N/A 000000000 1641.000000 NC -1724.070000 -0.0000133 N/A DIR DE N 1 Eurex N/A Call Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 03/08/21 2021-03-09 N/A EUR N/A 193.000000 EUR 2021-02-19 XXXX -1724.070000 N N N N/A N/A 000000000 -9600000.000000 NC USD -45768.960000 -0.0003523 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.5% MAR 30YR JMBO N/A 104.000000 USD 2021-03-11 XXXX -28143.960000 N N N N/A N/A 000000000 -14600000.000000 NC USD -65700.000000 -0.0005057 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.5% MAR 30YR JMBO N/A 103.580000 USD 2021-03-11 XXXX -31481.250000 N N N N/A N/A 000000000 -16100000.000000 NC USD -951.510000 -0.0000073 N/A DIR US N 2 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 69485.990000 N N N N/A N/A 000000000 -16100000.000000 NC USD -1202.670000 -0.0000093 N/A DIR US N 2 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 61059.050000 N N N N/A N/A 000000000 -9700000.000000 NC USD -66601.170000 -0.0005126 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.0% MAR 30YR JMBO N/A 102.910000 USD 2021-03-11 XXXX -33257.420000 N N N N/A N/A 000000000 -21100000.000000 NC USD -19021.650000 -0.0001464 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.5% FEB 30YR JMBO N/A 103.770000 USD 2021-02-11 XXXX 15595.540000 N N N N/A N/A 000000000 -9550000.000000 NC USD -24621.140000 -0.0001895 N/A DIR US N 3 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.5% APR 30YR JMBO N/A 104.130000 USD 2021-04-14 XXXX -0.050000 N N N N/A N/A 000000000 1.000000 NC -124699.380000 -0.0009598 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5798688.430000 USD 29471833.930000 BRL 2021-01-05 -124699.380000 N N N N/A N/A 000000000 1.000000 NC 14609.910000 0.0001125 N/A DFE CL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 286000.000000 USD 213613400.000000 CLP 2021-01-15 14609.910000 N N N N/A N/A 000000000 1.000000 NC 72557.100000 0.0005585 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10942411.550000 USD 71968000.000000 CNY 2021-03-17 72557.100000 N N N N/A N/A 000000000 1.000000 NC 7281.550000 0.0000560 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1192000.000000 USD 7850512.000000 CNY 2021-03-17 7281.550000 N N N N/A N/A 000000000 1.000000 NC -66288.820000 -0.0005102 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 12043156.320000 USD 72920000.000000 DKK 2021-02-01 -66288.820000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HX1 126011.000000 PA USD 55287.330000 0.0004256 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 2645196.600000 0.0203603 N/A DFE JP N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1092317706.710000 USD 113055701883.000000 JPY 2021-01-08 2645196.600000 N N N 2021-02-01 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer XXXX