NPORT-P false 0000810893 XXXXXXXX S000021058 C000066772 C000059899 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO RAE Fundamental Advantage PLUS Fund S000021058 7QYFIQP34NJNMEYP7U11 2021-03-31 2020-12-31 N 2010251955.060000 641754054.060000 1368497901.000000 0.000000 0.000000 27031730.550000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 4853000.000000 0.000000 0.000000 6637303.430000 USD CAD CNY EUR GBP JPY ARS N N/A N/A 000000000 1.000000 NC 112122.990000 0.0081931 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 45269666.000000 BRL 7208086.430000 EUR 2021-01-05 112122.990000 N N N N/A N/A 000000000 1.000000 NC 216131.160000 0.0157933 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 51690786.300000 BRL 10164546.800000 USD 2021-02-02 216131.160000 N N N N/A N/A 000000000 1.000000 NC -4595.890000 -0.0003358 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 51690786.300000 BRL 9946848.250000 USD 2021-01-05 -4595.890000 N N N N/A N/A 000000000 1.000000 NC -76282.760000 -0.0055742 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 47798654.760000 CNY 7239478.190000 USD 2021-03-17 -76282.760000 N N N N/A N/A 000000000 1.000000 NC -103003.510000 -0.0075268 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7066098.400000 EUR 45269666.000000 BRL 2021-01-05 -103003.510000 N N N N/A N/A 000000000 1.000000 NC 100168.290000 0.0073196 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7200404.960000 EUR 45269666.000000 BRL 2021-02-02 100168.290000 N N N N/A N/A 000000000 1.000000 NC -108381.560000 -0.0079197 N/A DFE JP N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4588667822.000000 JPY 44347037.760000 USD 2021-02-02 -108381.560000 N N N N/A N/A 000000000 1.000000 NC 182.270000 0.0000133 N/A DFE BR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 394481.110000 USD 2050000.000000 BRL 2021-01-05 182.270000 N N N N/A N/A 000000000 1.000000 NC 94153.990000 0.0068801 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7126269.280000 USD 47264981.000000 CNY 2021-03-17 94153.990000 N N N N/A N/A 000000000 1.000000 NC 5453.650000 0.0003985 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1854060.830000 USD 1522000.000000 EUR 2021-01-08 5453.650000 N N N N/A N/A 000000000 1.000000 NC 13723.110000 0.0010028 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3537925.110000 USD 2907000.000000 EUR 2021-01-08 13723.110000 N N N N/A N/A 000000000 1.000000 NC 383.540000 0.0000280 N/A DFE ZA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5806.000000 USD 91185.870000 ZAR 2021-01-22 383.540000 N N N N/A N/A 000000000 1.000000 NC -78622.370000 -0.0057452 N/A DFE BR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2050000.000000 BRL 316041.010000 USD 2021-01-05 -78622.370000 N N N N/A N/A 000000000 1.000000 NC -1851064.560000 -0.1352625 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 61433000.000000 GBP 82161507.840000 USD 2021-01-08 -1851064.560000 N N N N/A N/A 000000000 1.000000 NC -9971.470000 -0.0007286 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 300000.000000 GBP 400292.910000 USD 2021-01-08 -9971.470000 N N N N/A N/A 000000000 1.000000 NC -16072.070000 -0.0011744 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 332000.000000 GBP 437953.850000 USD 2021-01-08 -16072.070000 N N N N/A N/A 000000000 1.000000 NC -36099.260000 -0.0026379 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 403027369.000000 JPY 3867286.510000 USD 2021-01-08 -36099.260000 N N N N/A N/A 000000000 1.000000 NC -70.050000 -0.0000051 N/A DFE RU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 840877.500000 RUB 11247.170000 USD 2021-02-16 -70.050000 N N N N/A N/A 000000000 1.000000 NC 973582.920000 0.0711424 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE CROSSOVER SERIES 34 Y Single Leg Swap 2025-12-21 956813.600000 EUR 0.000000 EUR 6600000.000000 EUR 16769.320000 N N N N/A N/A 000000000 -1700000.000000 NC -0.020000 0.0000000 N/A DCR DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.500000 EUR 2021-01-20 XXXX 1324.210000 N N N N/A N/A 000000000 -2300000.000000 NC -1579.950000 -0.0001155 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 -77.380000 N N N N/A N/A 000000000 -3000000.000000 NC -3358.890000 -0.0002454 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 -63.020000 N N N N/A N/A 000000000 -1600000.000000 NC -2123.030000 -0.0001551 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 104.660000 N N N N/A N/A 000000000 -1100000.000000 NC -189.510000 -0.0000138 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 1859.230000 N N N N/A N/A 000000000 -1700000.000000 NC -920.260000 -0.0000672 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 893.400000 N N N N/A N/A 000000000 -800000.000000 NC -60.980000 -0.0000045 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 1480.050000 N N N N/A N/A 000000000 -1600000.000000 NC -121.970000 -0.0000089 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 2905.150000 N N N N/A N/A 000000000 -4000000.000000 NC -6793.500000 -0.0004964 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 267.020000 N N N N/A N/A 000000000 -1000000.000000 NC -1483.500000 -0.0001084 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 139.160000 N N N N/A N/A 000000000 -1600000.000000 NC -1256.580000 -0.0000918 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 686.140000 N N N N/A N/A 000000000 -1600000.000000 NC -778.590000 -0.0000569 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 190.170000 N N N N/A N/A 000000000 -1600000.000000 NC -2717.400000 -0.0001986 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 -373.000000 N N N N/A N/A 000000000 -1700000.000000 NC -1167.790000 -0.0000853 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 41.320000 N N N N/A N/A 000000000 -2000000.000000 NC -268.050000 -0.0000196 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 2919.840000 N N N N/A N/A 000000000 -1000000.000000 NC -1326.900000 -0.0000970 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 135.360000 N N N N/A N/A 000000000 -4800000.000000 NC -5374.220000 -0.0003927 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 -680.530000 N N N N/A N/A 000000000 -1700000.000000 NC -1695.260000 -0.0001239 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 -527.980000 N N N N/A N/A 000000000 -1600000.000000 NC -1536.700000 -0.0001123 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 371.860000 N N N N/A N/A 000000000 -1700000.000000 NC -1419.880000 -0.0001038 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 693.290000 N N N N/A N/A 000000000 -3000000.000000 NC -1719.150000 -0.0001256 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 260.150000 N N N N/A N/A 000000000 -1800000.000000 NC -1413.660000 -0.0001033 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 930.880000 N N N N/A N/A 000000000 -4800000.000000 NC -2750.640000 -0.0002010 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 1028.720000 N N N N/A N/A 000000000 -4000000.000000 NC -1946.480000 -0.0001422 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 -16.350000 N N N N/A N/A 000000000 -2600000.000000 NC -3449.930000 -0.0002521 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 5.090000 N N N N/A N/A 000000000 -1600000.000000 NC -175.100000 -0.0000128 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 3067.070000 N N N N/A N/A 000000000 -1500000.000000 NC -201.050000 -0.0000147 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 2500.260000 N N N N/A N/A 000000000 -2300000.000000 NC -1245.040000 -0.0000910 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 1486.900000 N N N N/A N/A 000000000 -1600000.000000 NC -1595.540000 -0.0001166 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 -259.550000 N N N ASSET BACKED SEC HOME EQTY LN 2004-HE3 N/A 04541GJT0 1103279.230000 PA USD 1077577.460000 0.0787416 Long ABS-MBS CORP US N 2 2034-06-25 Floating 0.958 N N N N N N N/A N/A 000000000 1.000000 NC USD -27901606.680000 -2.0388491 N/A DE US N 2 Citibank International Limited N/A S&P 500 INDEX N/A N/A Y 2021-05-26 0.000000 USD 0.000000 USD 76026377.800000 USD -27901606.680000 N N N N/A N/A 000000000 1.000000 NC USD -29704424.620000 -2.1705861 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 S&P 500 INDEX N/A N/A Y 2021-09-15 0.000000 USD 0.000000 USD 253535755.330000 USD -29704424.620000 N N N N/A N/A 000000000 1.000000 NC USD -10188013.570000 -0.7444669 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 S&P 500 INDEX N/A N/A Y 2021-08-11 0.000000 USD 0.000000 USD 598735676.480000 USD -10188013.570000 N N N N/A N/A 000000000 1.000000 NC USD -21540818.530000 -1.5740483 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 S&P 500 INDEX N/A N/A Y 2021-08-11 0.000000 USD 0.000000 USD 115003787.080000 USD -21540818.530000 N N N N/A N/A 000000000 1.000000 NC USD -22107535.170000 -1.6154599 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 S&P 500 INDEX N/A N/A Y 2021-03-11 0.000000 USD 0.000000 USD 163866990.400000 USD -22107535.170000 N N N N/A N/A 000000000 1.000000 NC USD -1282715.160000 -0.0937316 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 S&P 500 INDEX N/A N/A Y 2021-09-15 0.000000 USD 0.000000 USD 75672488.000000 USD -1282715.160000 N N N N/A N/A 000000000 1.000000 NC 33321.300000 0.0024349 N/A DFE SG N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 3142602.730000 USD 4197000.000000 SGD 2021-03-17 33321.300000 N N N AT&T INC 549300Z40J86GGSTL398 00206RKH4 549000.000000 PA USD 557667.530000 0.0407503 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 15266.400000 0.0011156 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1223732.030000 USD 906000.000000 GBP 2021-01-08 15266.400000 N N N N/A N/A 000000000 1.000000 NC 15565.460000 0.0011374 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1107191.400000 USD 821000.000000 GBP 2021-01-08 15565.460000 N N N N/A N/A 000000000 1.000000 NC -493585.580000 -0.0360677 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 20518000.000000 EUR 24572230.820000 USD 2021-01-05 -493585.580000 N N N N/A N/A 000000000 1.000000 NC 38897.150000 0.0028423 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 20518000.000000 EUR 25121691.370000 USD 2021-02-02 38897.150000 N N N N/A N/A 000000000 1.000000 NC -11382.640000 -0.0008318 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 283000.000000 GBP 375633.430000 USD 2021-01-08 -11382.640000 N N N N/A N/A 000000000 1.000000 NC -59893.950000 -0.0043766 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2840000000.000000 JPY 27471974.720000 USD 2021-03-29 -59893.950000 N N N N/A N/A 000000000 8600000.000000 NC 779462.690000 0.0569575 N/A DIR DE N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.20000 03/17/21-30Y LCH 2051-03-17 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.200000 EUR 2021-03-15 XXXX 776561.710000 N N N N/A N/A 000000000 -17200000.000000 NC -302309.330000 -0.0220906 N/A DIR DE N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R -0.10000 03/17/21-30Y LCH 2051-03-17 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.100000 EUR 2021-03-15 XXXX -302309.330000 N N N N/A N/A 000000000 291100000.000000 NC USD 6438200.480000 0.4704575 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.03600 07/21/21-3Y LCH N/A N/A 2024-07-21 0.000000 USD 0.000000 USD N/A USD N/A 1.040000 USD 2021-07-19 XXXX 5368407.980000 N N N N/A N/A 000000000 -93200000.000000 NC USD -4553108.920000 -0.3327085 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.45300 07/21/21-10Y LCH N/A N/A 2031-07-21 0.000000 USD 0.000000 USD N/A USD N/A 1.450000 USD 2021-07-19 XXXX -3511162.040000 N N N N/A N/A 000000000 320700000.000000 NC USD 6967945.110000 0.5091674 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.01700 07/06/21-3Y LCH N/A N/A 2024-07-06 0.000000 USD 0.000000 USD N/A USD N/A 1.020000 USD 2021-07-02 XXXX 5743229.530000 N N N N/A N/A 000000000 -109300000.000000 NC USD -5710684.540000 -0.4172958 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 1.49100 07/06/21-10Y LCH N/A N/A 2031-07-06 0.000000 USD 0.000000 USD N/A USD N/A 1.490000 USD 2021-07-02 XXXX -4406342.130000 N N N N/A N/A 000000000 159200000.000000 NC USD 12562806.320000 0.9179997 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.05000 03/15/21-5Y CME N/A N/A 2026-03-15 0.000000 USD 0.000000 USD N/A USD N/A 2.050000 USD 2021-03-11 XXXX 11289206.320000 N N N N/A N/A 000000000 -84000000.000000 NC USD -11164776.000000 -0.8158417 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.32250 03/15/21-10Y CME N/A N/A 2031-03-15 0.000000 USD 0.000000 USD N/A USD N/A 2.320000 USD 2021-03-11 XXXX -9892048.730000 N N N N/A N/A 000000000 161700000.000000 NC USD 10739758.260000 0.7847844 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.80000 03/16/21-5Y CME N/A N/A 2026-03-16 0.000000 USD 0.000000 USD N/A USD N/A 1.800000 USD 2021-03-12 XXXX 9791139.340000 N N N N/A N/A 000000000 -85400000.000000 NC USD -9445291.240000 -0.6901941 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.09400 03/16/21-10Y CME N/A N/A 2031-03-16 0.000000 USD 0.000000 USD N/A USD N/A 2.090000 USD 2021-03-12 XXXX -8496226.600000 N N N N/A N/A 000000000 426400000.000000 NC 1824284.500000 0.1333056 N/A DIR DE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R -0.35000 11/03/21-2Y LCH 2023-11-03 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.350000 EUR 2021-11-01 XXXX 786152.040000 N N N N/A N/A 000000000 -85300000.000000 NC -1610650.820000 -0.1176948 N/A DIR DE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R -0.16400 11/03/21-10Y LCH 2031-11-03 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.160000 EUR 2021-11-01 XXXX -524603.070000 N N N N/A N/A 000000000 1.000000 NC -251443.380000 -0.0183737 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2033-03-15 0.000000 EUR -298900.350000 EUR 1800000.000000 EUR 47456.970000 N N N N/A N/A 000000000 1.000000 NC 436226.720000 0.0318763 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2048-03-15 516854.670000 EUR 0.000000 EUR 1300000.000000 EUR -80627.950000 N N N N/A N/A 000000000 1.000000 NC 48987.140000 0.0035796 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 500000.000000 GBP 48987.140000 N N N N/A N/A 000000000 1.000000 NC 47543.210000 0.0034741 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 900000.000000 GBP 47543.210000 N N N N/A N/A 000000000 1.000000 NC -15529.640000 -0.0011348 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 500000.000000 GBP -15529.640000 N N N N/A N/A 000000000 1.000000 NC -52523.790000 -0.0038381 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 1200000.000000 GBP -52523.790000 N N N N/A N/A 000000000 1.000000 NC -16086.280000 -0.0011755 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 -196.670000 GBP 900000.000000 GBP -15889.610000 N N N N/A N/A 000000000 1.000000 NC -22927.570000 -0.0016754 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 1300000.000000 GBP -22927.570000 N N N N/A N/A 000000000 1.000000 NC -257280.270000 -0.0188002 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-08-15 68782.790000 GBP 0.000000 GBP 32800000.000000 GBP -326063.060000 N N N N/A N/A 000000000 1.000000 NC 17479.760000 0.0012773 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 1200000.000000 GBP 17479.760000 N N N N/A N/A 000000000 1.000000 NC 1971.120000 0.0001440 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 700000.000000 GBP 1971.120000 N N N N/A N/A 000000000 1.000000 NC 866536.690000 0.0633203 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-02-15 414111.000000 GBP 0.000000 GBP 29500000.000000 GBP 452425.690000 N N N N/A N/A 000000000 1.000000 NC -7785.260000 -0.0005689 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 1300000.000000 GBP -7785.260000 N N N N/A N/A 000000000 1.000000 NC 503539.540000 0.0367951 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 -24964.350000 GBP 32800000.000000 GBP 528503.890000 N N N N/A N/A 000000000 1.000000 NC 518713.770000 0.0379039 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-09-15 393942.000000 GBP 0.000000 GBP 6900000.000000 GBP 124771.770000 N N N N/A N/A 000000000 1.000000 NC -12527.170000 -0.0009154 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 700000.000000 GBP -12527.170000 N N N N/A N/A 000000000 1.000000 NC 334360.670000 0.0244327 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 266857.720000 GBP 0.000000 GBP 3500000.000000 GBP 67502.950000 N N N N/A N/A 000000000 1.000000 NC 1199978.660000 0.0876858 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 958602.880000 GBP 0.000000 GBP 12500000.000000 GBP 241375.780000 N N N N/A N/A 000000000 1.000000 NC 321724.690000 0.0235093 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 257753.170000 GBP 0.000000 GBP 3300000.000000 GBP 63971.520000 N N N N/A N/A 000000000 1.000000 NC USD 366524.130000 0.0267830 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2024-06-19 0.000000 USD -114522.420000 USD 31700000.000000 USD 481046.550000 N N N N/A N/A 000000000 1.000000 NC 16586.630000 0.0012120 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2023-12-21 0.000000 CAD 0.000000 CAD 17100000.000000 CAD 16586.630000 N N N N/A N/A 000000000 1.000000 NC 33978.850000 0.0024829 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2023-12-21 0.000000 CAD 0.000000 CAD 34200000.000000 CAD 33978.850000 N N N N/A N/A 000000000 1.000000 NC 3459602.820000 0.2528029 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2024-12-18 3467245.180000 CAD 0.000000 CAD 110500000.000000 CAD -7642.360000 N N N N/A N/A 000000000 1.000000 NC 705021.120000 0.0515179 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2049-12-20 838166.430000 CAD 0.000000 CAD 6700000.000000 CAD -133145.310000 N N N N/A N/A 000000000 1.000000 NC 611266.730000 0.0446670 N/A DIR CA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 661364.600000 CAD 0.000000 CAD 3000000.000000 CAD -50097.870000 N N N N/A N/A 000000000 1.000000 NC 2220935.720000 0.1622900 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 2402440.240000 CAD 0.000000 CAD 10900000.000000 CAD -181504.520000 N N N AUTONATION INC N/A 05329WAL6 235000.000000 PA USD 235134.590000 0.0171819 Long DBT CORP US N 2 2021-01-15 Fixed 3.35 N N N N N N N/A N/A 000000000 1.000000 NC 3689.720000 0.0002696 N/A DIR CN N 2 London Clearing house N/A CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2026-03-17 0.000000 CNY 0.000000 CNY 22600000.000000 CNY 3689.720000 N N N N/A N/A 000000000 1.000000 NC 4500.100000 0.0003288 N/A DIR CN N 2 London Clearing house N/A CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2026-03-17 0.000000 CNY 0.000000 CNY 22600000.000000 CNY 4500.100000 N N N N/A N/A 000000000 1.000000 NC 15033.610000 0.0010985 N/A DIR CN N 2 London Clearing house N/A CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2026-03-17 0.000000 CNY 0.000000 CNY 22600000.000000 CNY 15033.610000 N N N N/A N/A 000000000 1.000000 NC 43031.850000 0.0031445 N/A DIR CN N 2 London Clearing house N/A CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2026-03-17 0.000000 CNY 0.000000 CNY 45200000.000000 CNY 43031.850000 N N N AVERY POINT V CLO LTD 2014-5A N/A 05363XAN7 494252.490000 PA USD 493598.060000 0.0360686 Long ABS-CBDO CORP KY N 2 2026-07-17 Floating 1.19775 N N N N N N N/A N/A 000000000 1.000000 NC -1247069.300000 -0.0911269 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2028-06-19 0.000000 JPY -1269902.840000 JPY 4400000000.000000 JPY 22833.540000 N N N N/A N/A 000000000 1.000000 NC USD 610790.790000 0.0446322 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-06-17 632279.660000 USD 0.000000 USD 50200000.000000 USD -21488.870000 N N N N/A N/A 000000000 1.000000 NC USD 684646.200000 0.0500290 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-12-16 674980.190000 USD 0.000000 USD 23900000.000000 USD 9666.010000 N N N N/A N/A 000000000 1.000000 NC USD 5291778.590000 0.3866852 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 6677282.560000 USD 0.000000 USD 155800000.000000 USD -1385503.970000 N N N N/A N/A 000000000 1.000000 NC USD 5028436.480000 0.3674420 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 6335331.360000 USD 0.000000 USD 144600000.000000 USD -1306894.880000 N N N N/A N/A 000000000 1.000000 NC USD -15601259.350000 -1.1400280 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-17 0.000000 USD -15787430.780000 USD 395400000.000000 USD 186171.430000 N N N N/A N/A 000000000 1.000000 NC USD -11423857.240000 -0.8347735 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-17 0.000000 USD -11598758.650000 USD 288100000.000000 USD 174901.410000 N N N N/A N/A 000000000 1.000000 NC USD 9644232.400000 0.7047313 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-06-17 10391375.880000 USD 0.000000 USD 229200000.000000 USD -747143.480000 N N N N/A N/A 000000000 1.000000 NC USD -367179.090000 -0.0268308 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 -371410.650000 USD 7800000.000000 USD 4231.560000 N N N N/A N/A 000000000 1.000000 NC USD -1181703.430000 -0.0863504 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-24 0.000000 USD -1685474.250000 USD 12700000.000000 USD 503770.820000 N N N N/A N/A 000000000 1.000000 NC USD -99553.850000 -0.0072747 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-02-07 0.000000 USD -132106.370000 USD 800000.000000 USD 32552.520000 N N N N/A N/A 000000000 1.000000 NC USD -456109.130000 -0.0333292 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-18 0.000000 USD -571929.760000 USD 2900000.000000 USD 115820.630000 N N N N/A N/A 000000000 1.000000 NC USD -1261917.050000 -0.0922118 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-13 0.000000 USD -1492004.170000 USD 5700000.000000 USD 230087.120000 N N N N/A N/A 000000000 1.000000 NC USD -400241.250000 -0.0292468 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-12-16 0.000000 USD -414959.150000 USD 9700000.000000 USD 14717.900000 N N N N/A N/A 000000000 1.000000 NC USD -438060.710000 -0.0320103 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2048-05-26 0.000000 USD -515930.560000 USD 1700000.000000 USD 77869.850000 N N N N/A N/A 000000000 1.000000 NC USD 1833446.200000 0.1339751 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-12-15 1786623.330000 USD 0.000000 USD 41000000.000000 USD 46822.870000 N N N AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD) 635400CPI3EOIFF6OC33 70014LAA8 12000.000000 PA USD 12598.380000 0.0009206 Long DBT CORP KY N 2 2022-08-15 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC USD -5656955.800000 -0.4133697 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 0.000000 USD -5930263.750000 USD 44000000.000000 USD 273307.950000 N N N N/A N/A 000000000 1.000000 NC USD -1627517.950000 -0.1189273 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-15 0.000000 USD -1704784.500000 USD 28900000.000000 USD 77266.550000 N N N N/A N/A 000000000 1.000000 NC USD -1593.260000 -0.0001164 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A US Federal Funds Effective Rate (continuous series) Y 2030-10-21 0.000000 USD -377.260000 USD 99496.000000 USD -1216.000000 N N N N/A N/A 000000000 1.000000 NC USD 1593.300000 0.0001164 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A US Federal Funds Effective Rate (continuous series) Y 2030-10-21 215.400000 USD 0.000000 USD 99496.000000 USD 1377.900000 N N N N/A N/A 000000000 1.000000 NC USD -1492.270000 -0.0001090 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-10-21 0.000000 USD -262.740000 USD 99496.000000 USD -1229.530000 N N N N/A N/A 000000000 1.000000 NC USD 1492.260000 0.0001090 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-10-21 431.810000 USD 0.000000 USD 99496.000000 USD 1060.450000 N N N N/A N/A 000000000 1.000000 NC 21234.190000 0.0015516 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 24381682.890000 USD 31062264.000000 CAD 2021-01-05 21234.190000 N N N N/A N/A 000000000 1.000000 NC -426235.350000 -0.0311462 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 31062264.000000 CAD 23976681.730000 USD 2021-01-05 -426235.350000 N N N N/A N/A 000000000 1.000000 NC -21648.530000 -0.0015819 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 31062264.000000 CAD 24384012.190000 USD 2021-02-02 -21648.530000 N N N N/A N/A 000000000 1.000000 NC -171854.340000 -0.0125579 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1729743873.000000 JPY 16580997.060000 USD 2021-01-08 -171854.340000 N N N AVON FINANCE NO 2 PLC 2A N/A ACI1RJQB0 8928885.790000 PA 12197393.710000 0.8912979 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 -133.810000 -0.0000098 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 331156.000000 RUB 4323.160000 USD 2021-02-16 -133.810000 N N N N/A N/A 000000000 -1000000.000000 NC USD -0.010000 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 3359.370000 N N N N/A N/A 000000000 -700000.000000 NC USD -964.950000 -0.0000705 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 19.430000 N N N N/A N/A 000000000 -1300000.000000 NC USD -2936.700000 -0.0002146 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 211.740000 N N N N/A N/A 000000000 -1300000.000000 NC USD -1260.090000 -0.0000921 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 2802.410000 N N N N/A N/A 000000000 -700000.000000 NC USD -688.940000 -0.0000503 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 1170.440000 N N N N/A N/A 000000000 -1800000.000000 NC USD -1771.560000 -0.0001295 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 3853.440000 N N N N/A N/A 000000000 -700000.000000 NC USD -0.010000 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 2378.900000 N N N N/A N/A 000000000 -700000.000000 NC USD -688.940000 -0.0000503 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 1498.560000 N N N N/A N/A 000000000 -1000000.000000 NC USD -4961.900000 -0.0003626 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 1014.660000 N N N N/A N/A 000000000 -1300000.000000 NC USD -2861.040000 -0.0002091 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 388.960000 N N N N/A N/A 000000000 -700000.000000 NC USD -964.950000 -0.0000705 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 -199.320000 N N N N/A N/A 000000000 -14.000000 NC -29403.100000 -0.0021486 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2021-03-29 -2594914.810000 GBP -29403.100000 N N N N/A N/A 000000000 -15841000.000000 NC USD -368192.360000 -0.0269049 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 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 2021-12-16 N/A 23.100000 USD 2021-12-16 XXXX -78808.970000 N N N N/A N/A 000000000 -15841000.000000 NC USD -291125.900000 -0.0212734 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 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 2021-12-16 N/A 19.120000 USD 2021-12-16 XXXX 61494.760000 N N N N/A N/A 000000000 -11941000.000000 NC USD -280123.920000 -0.0204694 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 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 2021-12-09 N/A 23.000000 USD 2021-12-09 XXXX -43990.640000 N N N N/A N/A 000000000 -11941000.000000 NC USD -197922.080000 -0.0144627 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 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 2021-12-09 N/A 19.000000 USD 2021-12-09 XXXX 38211.200000 N N N N/A N/A 000000000 -13891000.000000 NC USD -129019.610000 -0.0094278 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 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 2021-12-16 N/A 6.400000 USD 2021-12-16 XXXX 12390.770000 N N N N/A N/A 000000000 -13891000.000000 NC USD -147161.250000 -0.0107535 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 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 2021-12-16 N/A 7.000000 USD 2021-12-16 XXXX -5750.870000 N N N N/A N/A 000000000 -1261.000000 NC USD -93486.880000 -0.0068313 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-03-22 -174116515.630000 USD -93486.880000 N N N N/A N/A 000000000 -655.000000 NC USD -137109.840000 -0.0100190 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-03-31 -144739648.110000 USD -137109.840000 N N N N/A N/A 000000000 -911.000000 NC USD -292994.630000 -0.0214099 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-03-31 -114935461.390000 USD -292994.630000 N N N N/A N/A 000000000 -1018.000000 NC USD 1444411.700000 0.1055472 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-03-22 -176304875.000000 USD 1444411.700000 N N N N/A N/A 000000000 124.000000 NC USD -224780.490000 -0.0164253 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2021-03-22 26481750.000000 USD -224780.490000 N N N BANC OF AMERICA FUNDING CORP 2006-H N/A 05950PAK9 949131.330000 PA USD 895296.790000 0.0654219 Long ABS-MBS CORP US N 2 2046-09-20 Floating 3.22167 Y N N N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 ACI0LW0M3 1000000.000000 PA 1250218.370000 0.0913570 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 SANTANDER SA 5493006QMFDDMYWIAM13 BQQ3S0II9 1300000.000000 PA 1628977.910000 0.1190340 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 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06739FFU0 9073000.000000 PA USD 9437147.940000 0.6895990 Long DBT CORP GB N 2 2021-06-12 Fixed 10.179 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBG9 200000.000000 PA USD 223101.620000 0.0163027 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 ACI0PG9W3 200000.000000 PA USD 210250.000000 0.0153636 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 ACI1CH093 882000.000000 PA 1348327.040000 0.0985261 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 06738EAU9 200000.000000 PA USD 229798.790000 0.0167920 Long DBT CORP GB N 2 2028-01-10 Fixed 4.337 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBC8 1038000.000000 PA USD 1052236.460000 0.0768899 Long DBT CORP GB N 2 2024-05-16 Floating 1.601 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 200000.000000 PA USD 239973.040000 0.0175355 Long DBT CORP GB N 2 2029-05-16 Floating 4.972 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAP0 200000.000000 PA USD 233394.000000 0.0170548 Long DBT CORP GB N 2 2026-05-12 Fixed 5.2 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBK0 200000.000000 PA USD 239973.330000 0.0175355 Long DBT CORP GB N 2 2030-06-20 Floating 5.088 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAZ8 31000.000000 PA USD 33577.270000 0.0024536 Long DBT CORP US N 2 2024-08-15 Fixed 3.222 N N N N N N BAT INTERNATIONAL FINANCE PLC 21380041YBGOQDFAC823 05530QAK6 93000.000000 PA USD 104668.940000 0.0076485 Long DBT CORP GB N 2 2025-06-15 Fixed 3.95 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-5 N/A 07384MWN8 28544.670000 PA USD 28509.230000 0.0020832 Long ABS-MBS CORP US N 2 2033-08-25 Floating 2.92868 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSZ5 36213.210000 PA USD 36539.320000 0.0026700 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.36936 N N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AE5 127470.550000 PA USD 118774.880000 0.0086792 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.468 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3 N/A 073888AN9 58967.180000 PA USD 59263.360000 0.0043305 Long ABS-MBS CORP US N 2 2036-07-25 Floating 3.2078 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6 N/A 07387YAE3 815098.280000 PA USD 746213.180000 0.0545279 Long ABS-MBS CORP US N 2 2037-08-25 Floating 1.198 N N N N N N BNPP AM EURO CLO 2017 BV 17-1A N/A ACI1G3M70 360000.000000 PA 437959.990000 0.0320030 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 ACI17QHQ3 200000.000000 PA USD 213032.190000 0.0155669 Long DBT CORP SG N 2 2024-01-25 Fixed 4 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DA0 700000.000000 PA USD 736434.220000 0.0538133 Long DBT CORP US N 2 2026-02-01 Fixed 2.75 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 105756CB4 572000.000000 PA USD 613541.500000 0.0448332 Long DBT NUSS BR N 2 2050-01-14 Fixed 4.75 N N N N N N CAIRN CLO VII BV 16-7A N/A ACI1G9KT1 1070000.000000 PA 1305688.090000 0.0954103 Long ABS-CBDO CORP NL N 2 2030-01-31 Floating 0.67 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -18400000.000000 PA -19834108.780000 -1.4493342 Short DBT NUSS CA N 2 2048-12-01 Fixed 2.75 N N N N N N CANADIAN PACIFIC RAILWAY COMPANY 54930036474DURYNB481 13645RAP9 64000.000000 PA USD 66666.580000 0.0048715 Long DBT CORP CA N 2 2022-01-15 Fixed 4.5 N N N N N N CBAM 2018-5 LTD 8A N/A 12478CAA9 4080000.000000 PA USD 4069272.010000 0.2973532 Long ABS-CBDO CORP KY N 2 2029-10-20 Floating 1.33838 N N N N N N CBAM LTD 2017-2A N/A 12481KAA6 3609000.000000 PA USD 3607245.480000 0.2635916 Long ABS-CBDO CORP KY N 2 2029-10-17 Floating 1.45775 N N N N N N CBAM LTD 2017-3A N/A 12481HAC9 1883000.000000 PA USD 1882110.830000 0.1375311 Long ABS-CBDO CORP KY N 2 2029-10-17 Floating 1.44775 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAP6 535000.000000 PA USD 549701.800000 0.0401683 Long DBT CORP US N 2 2025-01-15 Fixed 4.75 N N N N N N CENTEX HOME EQUITY 2004-B N/A 152314JV3 119663.090000 PA USD 117905.560000 0.0086157 Long ABS-MBS CORP US N 2 2034-03-25 Floating 0.793 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BP8 1101000.000000 PA USD 1129553.470000 0.0825397 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 161175AY0 315000.000000 PA USD 366199.510000 0.0267592 Long DBT CORP US N 2 2025-07-23 Fixed 4.908 N N N N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAN2 230977.990000 PA USD 208686.860000 0.0152493 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.21326 Y N N N N N CHENIERE CORPUS CHRISTI HOLDINGS LLC 549300I7CIEWU1BBLQ53 16412XAJ4 700000.000000 PA USD 780323.700000 0.0570205 Long DBT CORP US N 2 2029-11-15 Fixed 3.7 N N N N N N CHICAGO TRANSIT AUTHORITY SALES & TRANSFER TAX RECEIPTS REVENUE N/A 167725AF7 250000.000000 PA USD 361827.500000 0.0264398 Long DBT MUN US N 2 2040-12-01 Fixed 6.899 N N N N N N CHICAGO TRANSIT AUTHORITY SALES TAX RECEIPTS FUND N/A 16772PAQ9 375000.000000 PA USD 522712.500000 0.0381961 Long DBT MUN US N 2 2040-12-01 Fixed 6.2 N N N N N N CIFC FUNDING LTD 2015-5A N/A 12547UAL2 3895758.400000 PA USD 3881785.480000 0.2836530 Long ABS-CBDO CORP KY N 2 2027-10-25 Floating 1.07475 N N N N N N CIM TRUST 2017-6 N/A 12553GAA8 2876995.380000 PA USD 2884931.570000 0.2108101 Long ABS-MBS CORP US N 2 2057-06-25 Variable 3.015 N N N N N N CIT GROUP INC N8O96ZZJQRFYQUJY7K79 125581GV4 257000.000000 PA USD 257899.500000 0.0188454 Long DBT CORP US N 2 2021-03-09 Fixed 4.125 N N N N N N CIT GROUP INC N8O96ZZJQRFYQUJY7K79 125581GQ5 182000.000000 PA USD 193182.080000 0.0141164 Long DBT CORP US N 2 2022-08-15 Fixed 5 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2020-WSS N/A 17328TAA3 8811221.880000 PA USD 8887927.090000 0.6494659 Long ABS-MBS CORP US N 2 2039-02-15 Floating 2.10863 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LZ2 1006000.000000 PA USD 1094280.310000 0.0799621 Long DBT CORP US N 2 2024-06-01 Floating 4.044 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MA6 2878000.000000 PA USD 2911479.230000 0.2127500 Long DBT CORP US N 2 2024-06-01 Floating 1.24838 N N N N N N CITIGROUP MORTGAGE LOAN TR 2006-WF2 N/A 17309BAL1 127252.370000 PA USD 91260.360000 0.0066687 Long ABS-MBS CORP US N 2 2036-05-25 Variable 6.75 Y N N N N N CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3 N/A 17309QAF1 710553.130000 PA USD 705902.060000 0.0515823 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.598 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2019-B N/A 17327VAA9 614852.570000 PA USD 628922.980000 0.0459572 Long ABS-MBS CORP US N 2 2066-04-25 Fixed 3.258 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2019-C N/A 17328GAA1 909891.540000 PA USD 918387.740000 0.0671092 Long ABS-MBS CORP US N 2 2059-09-25 Variable 3.228 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3 N/A 17307GWU8 1070000.000000 PA USD 1036322.710000 0.0757270 Long ABS-MBS CORP US N 2 2035-09-25 Floating 1.048 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR9 N/A 17310RAC3 33377.000000 PA USD 33725.140000 0.0024644 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.628 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-NC2 N/A 17309TAC2 3906143.520000 PA USD 3406132.540000 0.2488957 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.468 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 19264.550000 PA USD 18749.570000 0.0013701 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-AHL2 N/A 17312TAA1 952661.270000 PA USD 746906.920000 0.0545786 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.338 N N N N N N CITIMORTGAGE ALTERNATIVE LOAN TRUST 2007-A4 N/A 12566VAJ1 297839.640000 PA USD 240556.770000 0.0175782 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.748 N N N N N N COMM MORTGAGE TRUST 2016-787S N/A 12635WAA5 3766000.000000 PA USD 4184961.100000 0.3058069 Long ABS-MBS CORP US N 2 2036-02-10 Fixed 3.545 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 BD2YKYII0 1000000.000000 PA 1257444.430000 0.0918850 Long DBT CORP NL N 2 2021-06-29 Floating 6.625 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-11CB N/A 12667GJJ3 363036.930000 PA USD 361107.640000 0.0263872 Long ABS-MBS CORP US N 2 2025-06-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1 N/A 12668AFH3 120663.330000 PA USD 98154.430000 0.0071724 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB N/A 12668AZ65 454954.520000 PA USD 436387.960000 0.0318881 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J5 N/A 12667GHG1 531632.690000 PA USD 515439.320000 0.0376646 Long ABS-MBS CORP US N 2 2035-05-25 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-13T1 N/A 12668BZM8 58482.300000 PA USD 40813.500000 0.0029824 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA18 N/A 23244GAD4 1365360.450000 PA USD 1291637.270000 0.0943836 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.268 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-24 N/A 02151GAK3 120503.570000 PA USD 66902.530000 0.0048888 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 7 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA4 N/A 02150DAA3 440721.310000 PA USD 410149.970000 0.0299708 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.318 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OC8 N/A 232434AD2 137903.210000 PA USD 154092.080000 0.0112599 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.488 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB N/A 02146TAG2 891307.490000 PA USD 749091.980000 0.0547383 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N COUNTRYWIDE ASSET BACKED CERT 2007-QH1 N/A 12669HAA7 377624.260000 PA USD 360519.160000 0.0263442 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.348 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-17 N/A 12666VAC5 980588.980000 PA USD 964488.400000 0.0704779 Long ABS-MBS CORP US N 2 2047-03-25 Floating 0.298 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-18 N/A 23243WAA6 303965.720000 PA USD 292174.560000 0.0213500 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.288 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-18 N/A 23243WAC2 20420.720000 PA USD 20328.260000 0.0014854 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.308 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-1 N/A 23245CAA8 600964.680000 PA USD 549903.480000 0.0401830 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.288 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AA9 493773.370000 PA USD 484478.880000 0.0354022 Long ABS-MBS CORP US N 2 2047-08-25 Floating 0.888 N N N N N N COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2006-19 N/A 12543XAG1 299304.160000 PA USD 230715.560000 0.0168590 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 Y N N N N N COUNTRYWIDE HOME LOANS 2005-R2 N/A 12669GN64 102387.420000 PA USD 96617.010000 0.0070601 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.488 Y N N N N N COUNTRYWIDE HOME LOANS 2006-20 N/A 12544AAW5 308757.660000 PA USD 238243.090000 0.0174091 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N COUNTRYWIDE PARTNERSHIP TRUST 2004-EC1 N/A 126673ML3 3774264.450000 PA USD 3685620.190000 0.2693187 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.048 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB3 N/A 12489WQX5 1777133.120000 PA USD 1703147.160000 0.1244538 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.668 N N N N N N CREDIT SUISSE AG/ ZURICH BRANCH ANGGYXNX0JLX3X63JN86 22546DAA4 800000.000000 PA USD 902913.600000 0.0659784 Long DBT CORP CH N 2 2023-08-08 Fixed 6.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AL2 574000.000000 PA USD 639771.790000 0.0467499 Long DBT CORP CH N 2 2026-08-21 Floating 6.375 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225433AC5 500000.000000 PA USD 555656.250000 0.0406034 Long DBT CORP CH N 2 2025-03-26 Fixed 3.75 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL9 N/A 12654WAC7 1304299.110000 PA USD 1319123.120000 0.0963920 Long ABS-MBS CORP US N 2 2059-10-27 Fixed 3.03649 N N N N N N CREDIT SUISSE MORTGAGE TRUST 2010-16 N/A 12644WAT3 725063.770000 PA USD 568980.380000 0.0415770 Long ABS-MBS CORP US N 2 2050-06-25 Variable 3.41934 N N N N N N CROWN POINT CLO LTD 2018-5A N/A 22845LAA4 1054958.070000 PA USD 1053644.340000 0.0769928 Long ABS-CBDO CORP KY N 2 2028-07-17 Floating 1.15775 N N N N N N CROWN POINT CLO LTD 2018-6A N/A 22847DAL6 681753.860000 PA USD 679845.020000 0.0496782 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.38838 N N N N N N CSAB MORTGAGE BACKED TR 2006-4 N/A 12628LAJ9 2216347.000000 PA USD 785224.260000 0.0573786 Long ABS-MBS CORP US N 2 2036-12-25 Variable 6.1837 Y N N N N N CVC CORDATUS LOAN FUND V LTD 5A N/A ACI1G4C04 912000.000000 PA 1108909.640000 0.0810312 Long ABS-CBDO CORP IE N 2 2030-07-21 Floating 0.65 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAD6 78000.000000 PA USD 79755.000000 0.0058279 Long DBT CORP US N 2 2021-11-15 Fixed 5.25 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DP6 150000.000000 PA USD 150669.000000 0.0110098 Long DBT CORP US N 2 2021-11-05 Floating 0.89475 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 24703DBB6 78000.000000 PA USD 93754.850000 0.0068509 Long DBT CORP US N 2 2025-07-15 Fixed 5.85 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 24703DAZ4 78000.000000 PA USD 92151.920000 0.0067338 Long DBT CORP US N 2 2026-10-01 Fixed 4.9 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 24703DBA8 235000.000000 PA USD 288000.810000 0.0210450 Long DBT CORP US N 2 2029-10-01 Fixed 5.3 N N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2005-1 N/A 251510DG5 68227.230000 PA USD 65753.240000 0.0048048 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.648 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR6 N/A 25150RAF2 1004504.760000 PA USD 921977.860000 0.0673715 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.528 Y N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BS7 881000.000000 PA USD 879138.910000 0.0642412 Long DBT CORP DE N 2 2023-02-27 Floating 1.463 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BX6 7630000.000000 PA USD 7825736.360000 0.5718486 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 3081000.000000 PA USD 3369507.770000 0.2462194 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N DISCOVER BANK/GREENWOOD BRANCH X05BVSK68TQ7YTOSNR22 25466AAP6 400000.000000 PA USD 478921.940000 0.0349962 Long DBT CORP US N 2 2028-09-13 Fixed 4.65 N N N N N N DSLA MORTGAGE LOAN TRUST 2006-AR2 N/A 23332QAA1 229315.780000 PA USD 199787.540000 0.0145990 Long ABS-MBS CORP US N 2 2036-10-19 Floating 0.34163 Y N N N N N ECMC GROUP STUDENT LOAN TRUST 2019-1A N/A 26829XAB7 590562.280000 PA USD 592496.430000 0.0432954 Long ABS-O CORP US N 2 2069-07-25 Floating 1.148 N N N N N N EGCLO 2018-1A N/A 29915RAA1 4612351.590000 PA USD 4592452.110000 0.3355834 Long ABS-CBDO CORP KY N 2 2028-05-28 Floating 1.14438 N N N N N N ELLINGTON LOAN ACQUISITION TRUST 2007-1 N/A 288542AA1 711236.340000 PA USD 711933.350000 0.0520230 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.248 N N N N N N ENCORE CREDIT RECEIVABLES TRUST 2005-2 N/A 126673J37 109781.020000 PA USD 109590.760000 0.0080081 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.883 N N N N N N ENERGY TRANSFER OPERATING LP (AKA: ENERGY TRANSFER PARTNERS LP) 5493008K8W3OKZE54J59 29278NAL7 235000.000000 PA USD 249943.510000 0.0182641 Long DBT CORP US N 2 2023-03-15 Fixed 4.25 N N N N N N ENERGY TRANSFER PARTNERS LP / REGENCY ENERGY FINANCE CORP N/A 75886AAQ1 78000.000000 PA USD 82810.630000 0.0060512 Long DBT CORP US N 2 2022-10-01 Fixed 5 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 1915000.000000 PA USD 2264528.160000 0.1654755 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N EURO-GALAXY III CLO BV 13-3A N/A ACI1F5K45 720000.000000 PA 879428.320000 0.0642623 Long ABS-CBDO CORP NL N 2 2031-01-17 Floating 0.75 N N N N N N EURO-GALAXY V CLO BV 16-5A N/A ACI1DMHB8 800000.000000 PA 977626.820000 0.0714379 Long ABS-CBDO CORP NL N 2 2030-11-10 Floating 0.82 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 441000.000000 PA 600598.070000 0.0438874 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FAIRSTONE FINANCIAL INC 549300CWWT866A22GS52 30575FAA6 220000.000000 PA USD 233864.400000 0.0170891 Long DBT CORP CA N 2 2024-07-15 Fixed 7.875 N N N N N N FANNIE MAE REMICS 2010-99 N/A 31398T5D9 649000.000000 PA USD 817263.830000 0.0597198 Long ABS-MBS USGSE US N 2 2040-09-25 Fixed 4.5 N N N N N N FANNIE MAE-ACES 2020-M33 N/A 3136BBAR3 401000.000000 PA USD 59335.090000 0.0043358 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.35816 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION (FANNIE MAE) B1V7KEBTPIMZEU4LTD58 3135G05X7 26831000.000000 PA USD 26831603.700000 1.9606609 Long DBT USGSE US N 2 2025-08-25 Fixed 0.375 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HHA1 300000.000000 NS USD 297939.000000 0.0217712 Long EP CORP US N 2 N N N FHLMC PASS THRU POOLS N/A 3128M7V60 74432.490000 PA USD 84740.670000 0.0061922 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWE64 1012162.100000 PA USD 1084085.820000 0.0792172 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132LAY63 388940.460000 PA USD 414963.330000 0.0303225 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF12 N/A 32027GAE6 153000.000000 PA USD 132467.170000 0.0096797 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.458 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2005-FF10 N/A 32027NWP2 754231.000000 PA USD 719104.800000 0.0525470 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.868 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF15 N/A 32028GAE5 440854.010000 PA USD 430349.960000 0.0314469 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.308 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA3 N/A 320516AA5 746059.500000 PA USD 681212.310000 0.0497781 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.5532 Y N N N N N FNMA PASS THRU POOLS N/A 31403DSK6 5989.050000 PA USD 7177.360000 0.0005245 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31404RUM7 28435.600000 PA USD 29564.600000 0.0021604 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 1.874 N N N N N N FNMA PASS THRU POOLS N/A 31406DAN6 31236.200000 PA USD 31283.240000 0.0022860 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 2.323 N N N N N N FNMA PASS THRU POOLS N/A 31409GPE0 912.580000 PA USD 1025.890000 0.0000750 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409GY91 4067.150000 PA USD 4573.180000 0.0003342 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410NVD7 107.840000 PA USD 121.210000 0.0000089 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410PZE6 2698.810000 PA USD 3226.340000 0.0002358 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410RJC4 81.890000 PA USD 95.190000 0.0000070 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410UB43 3093.260000 PA USD 3664.720000 0.0002678 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410VAS9 16065.200000 PA USD 18189.000000 0.0013291 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410VVX5 534.530000 PA USD 637.200000 0.0000466 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410XBB1 147.610000 PA USD 165.910000 0.0000121 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411AFF7 15865.800000 PA USD 17835.110000 0.0013033 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411AGT6 1956.760000 PA USD 2218.630000 0.0001621 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411EMM6 54491.730000 PA USD 61704.400000 0.0045089 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411E3U9 8377.120000 PA USD 9598.120000 0.0007014 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411GP71 31852.110000 PA USD 38185.420000 0.0027903 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411G3F7 20390.690000 PA USD 24252.940000 0.0017722 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411HND8 12425.760000 PA USD 14039.380000 0.0010259 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411KW66 19631.650000 PA USD 22055.870000 0.0016117 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411WA31 5105.400000 PA USD 6090.320000 0.0004450 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411W4N4 11960.480000 PA USD 14162.530000 0.0010349 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411XMC6 9722.630000 PA USD 10949.190000 0.0008001 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414M6W1 1850.880000 PA USD 2170.290000 0.0001586 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414NBW3 15017.170000 PA USD 17425.650000 0.0012733 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31418MQP0 55414.380000 PA USD 63068.040000 0.0046086 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31419AHX8 16379.200000 PA USD 19508.400000 0.0014255 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EKHM0 33757.490000 PA USD 37083.160000 0.0027098 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EKWM3 47962.160000 PA USD 56789.190000 0.0041497 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138ELCT8 85316.760000 PA USD 100982.310000 0.0073791 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138L0MH1 62301.590000 PA USD 63542.420000 0.0046432 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 2.31 N N N N N N FNMA PASS THRU POOLS N/A 3138X0BT4 41056.510000 PA USD 45576.530000 0.0033304 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GNDH3 20442.700000 PA USD 21600.400000 0.0015784 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GRAN4 126326.190000 PA USD 134755.840000 0.0098470 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GSRX2 984190.150000 PA USD 1043267.420000 0.0762345 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GTX70 17446.010000 PA USD 18506.340000 0.0013523 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GUMA2 549452.750000 PA USD 582898.400000 0.0425940 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 3140GYGZ6 18338.270000 PA USD 19431.900000 0.0014199 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 3140GYJX8 358331.400000 PA USD 379677.550000 0.0277441 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 3140H1FD7 168045.380000 PA USD 178207.960000 0.0130222 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 3140H1FV7 26815.120000 PA USD 28443.480000 0.0020784 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 3140H3ZT6 16186.280000 PA USD 17187.930000 0.0012560 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H37E0 602040.960000 PA USD 639151.200000 0.0467046 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 3140H4B45 137954.790000 PA USD 146129.290000 0.0106781 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 3140H5K91 9511.200000 PA USD 10086.180000 0.0007370 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 3140H5LJ8 289447.960000 PA USD 306993.020000 0.0224328 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 3140H5LQ2 17398.940000 PA USD 18452.370000 0.0013484 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 3140H5LT6 122524.360000 PA USD 129909.660000 0.0094929 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5MJ7 122366.190000 PA USD 129616.890000 0.0094715 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 3140H5MP3 118026.100000 PA USD 125125.880000 0.0091433 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 3140H5MU2 4590.410000 PA USD 4890.440000 0.0003574 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5M32 105068.260000 PA USD 111225.080000 0.0081275 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5NN7 117153.480000 PA USD 124162.940000 0.0090729 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5N64 98769.120000 PA USD 104507.430000 0.0076367 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 3140H6CT4 13109.550000 PA USD 13872.610000 0.0010137 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 3140HAQL7 12798.300000 PA USD 13538.790000 0.0009893 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 3140HBJZ2 144244.660000 PA USD 152709.010000 0.0111589 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 3140HE7E6 35113.800000 PA USD 37281.350000 0.0027243 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 3140HN5H1 92017.390000 PA USD 97373.420000 0.0071154 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 3140JGR64 893871.910000 PA USD 945550.580000 0.0690940 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9HE6 140098.090000 PA USD 148549.530000 0.0108549 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 31418CKG8 24955.590000 PA USD 26514.940000 0.0019375 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CS47 151069.770000 PA USD 160219.820000 0.0117077 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 146010.220000 PA USD 154964.990000 0.0113237 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 502814.310000 PA USD 532898.500000 0.0389404 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 146499.820000 PA USD 155265.220000 0.0113457 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 133926.030000 PA USD 141653.850000 0.0103510 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 120612.120000 PA USD 127428.090000 0.0093115 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 133547.230000 PA USD 141383.940000 0.0103313 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CZG2 2489526.890000 PA USD 2630219.710000 0.1921976 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZL0 1098000.000000 PA USD 1097903.560000 0.0802269 Long DBT CORP US N 2 2021-01-07 Floating 2.77025 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A29 912000.000000 PA USD 929619.840000 0.0679299 Long DBT CORP US N 2 2023-01-09 Fixed 3.087 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YJ6 558000.000000 PA USD 548554.590000 0.0400844 Long DBT CORP US N 2 2022-03-28 Floating 1.521 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YY3 1182000.000000 PA USD 1176967.460000 0.0860043 Long DBT CORP US N 2 2021-04-05 Floating 1.04838 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540XAB9 626000.000000 PA USD 639693.750000 0.0467442 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FREDDIE MAC REMICS 4079 N/A 3137ARVQ6 2245151.460000 PA USD 2375368.900000 0.1735749 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 3.5 N N N N N N FREMONT HOME LOAN TRUST 2005-A N/A 35729PHN3 410482.630000 PA USD 407296.010000 0.0297623 Long ABS-MBS CORP US N 2 2035-01-25 Floating 0.883 N N N N N N FREMONT HOME LOAN TRUST 2005-C N/A 35729PKS8 51548.150000 PA USD 51309.020000 0.0037493 Long ABS-MBS CORP US N 2 2035-07-25 Floating 0.883 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAD4 1224772.620000 PA USD 659409.500000 0.0481849 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.298 N N N N N N FREMONT HOME LOAN TRUST 2006-D N/A 35729VAA5 400705.580000 PA USD 276058.500000 0.0201724 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.288 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 49714295.620000 PA USD 490232669.060000 35.8226833 Long STIV RF US N 1 N N N GALAXY XV CLO LTD 2013-15A N/A 36318WAE0 1020000.000000 PA USD 1020027.210000 0.0745363 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.43688 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XBX3 104000.000000 PA USD 104726.510000 0.0076527 Long DBT CORP US N 2 2022-06-30 Floating 1.55013 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 ACI11L997 200000.000000 PA 244067.610000 0.0178347 Long DBT CORP US N 2 2022-03-26 Floating 0.009 N N N N N N GLS AUTO RECEIVABLES TRUST 2019-3A N/A 36258AAA8 455343.500000 PA USD 459805.410000 0.0335993 Long ABS-O CORP US N 2 2023-07-17 Fixed 2.58 N N N N N N GLS AUTO RECEIVABLES TRUST 2019-4A N/A 36258HAA3 800263.370000 PA USD 810251.060000 0.0592073 Long ABS-O CORP US N 2 2023-11-15 Fixed 2.47 N N N N N N GLS AUTO RECEIVABLES TRUST 2020-1A N/A 36258XAA8 975416.900000 PA USD 986130.780000 0.0720594 Long ABS-O CORP US N 2 2024-02-15 Fixed 2.17 N N N N N N GNMA PASS THRU POOLS N/A 36179QUQ2 379574.560000 PA USD 393093.450000 0.0287244 Long ABS-MBS USGSE US N 2 2044-11-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A 21H050615 4800000.000000 PA USD 5240640.190000 0.3829484 Long ABS-MBS USGSE US N 2 2051-01-21 Fixed 5 N N N N N N GOLDENTREE LOAN MANAGEMENT EUR CLO 4 DAC 4A N/A ACI1N8273 2040000.000000 PA 2499603.370000 0.1826531 Long ABS-CBDO CORP IE N 2 2031-07-20 Floating 1.55 N N N N N N GOLDENTTREE LOAN MANAGEMENT US CLO 1 LTD 2017-1A N/A 38136FAU7 1266000.000000 PA USD 1266005.470000 0.0925106 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 1.16838 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19 N/A 38380VEU1 171556.310000 PA USD 170443.560000 0.0124548 Long ABS-MBS USGSE US N 2 2047-08-20 Floating 0.50475 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H09 N/A 38380LFE8 863963.050000 PA USD 874735.110000 0.0639194 Long ABS-MBS USGSE US N 2 2068-04-20 Floating 1.3355 N N N N N N GSAA HOME EQUITY TRUST 2006-10 N/A 362375AD9 408408.290000 PA USD 167093.880000 0.0122100 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.29548 Y N N N N N GSAA HOME EQUITY TRUST 2006-5 N/A 362334GR9 240180.130000 PA USD 111830.200000 0.0081717 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.288 N N N N N N GSAA HOME EQUITY TRUST 2007-5 N/A 3622ECAF3 535573.030000 PA USD 323963.250000 0.0236729 Long ABS-MBS CORP US N 2 2047-04-25 Floating 0.468 N N N N N N GSAMP TRUST 2006-HE8 N/A 3622M8AE6 410000.000000 PA USD 352178.520000 0.0257347 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.378 N N N N N N GSAMP TRUST 2007-FM2 N/A 3622MHAC0 1904752.320000 PA USD 1395364.790000 0.1019632 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.238 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAA6 980995.670000 PA USD 629486.180000 0.0459983 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.278 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAC2 179306.340000 PA USD 115375.530000 0.0084308 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.248 N N N N N N GSPA MONETIZATION TRUST N/A 36298GAA7 33030.720000 PA USD 36757.510000 0.0026860 Long DBT CORP US N 2 2029-10-09 Fixed 6.422 N N N N N N HALCYON LOAN ADVISORS FUNDING 2014-3 LTD N/A 40538FAQ6 136807.870000 PA USD 136833.580000 0.0099988 Long ABS-CBDO CORP KY N 2 2025-10-22 Floating 1.31575 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 367821.560000 PA USD 330949.030000 0.0241834 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.35663 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 2473258.740000 PA 3387611.700000 0.2475423 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.10438 N N N N N N HEALTHCARE REALTY TRUST INCORPORATED 549300CB86LH2IOKHH22 421946AL8 346000.000000 PA USD 361525.300000 0.0264177 Long DBT CORP US N 2 2030-03-15 Fixed 2.4 N N N N N N HOMEWARD OPPORTUNITIES FUND I TRUST 2020-2 N/A 43789XAA2 3626246.060000 PA USD 3670960.210000 0.2682474 Long ABS-MBS CORP US N 2 2065-05-25 Variable 1.657 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BR9 200000.000000 PA USD 201405.990000 0.0147173 Long DBT CORP GB N 2 2024-05-18 Floating 1.22038 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 BJ0297II1 723000.000000 PA 1128864.190000 0.0824893 Long DBT CORP GB N 2 2030-05-29 Floating 3 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CK3 1569000.000000 PA USD 1623051.700000 0.1186010 Long DBT CORP GB N 2 2031-08-18 Floating 2.357 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 472000.000000 PA USD 538395.990000 0.0393421 Long DBT CORP GB N 2 2026-09-12 Floating 4.292 N N N N N N HSI ASSET SECURI CORP TRUS 2005-I1 N/A 40430HCV8 3604024.310000 PA USD 3560849.180000 0.2602013 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.628 N N N N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 BJBQCWII7 56050.000000 NS 90967.030000 0.0066472 Long EP CORP NL N 2 N N N HUNTSMAN INTERNATIONAL LLC 3YTEJFW18LGIUQ2N5J61 44701QBD3 235000.000000 PA USD 251309.680000 0.0183639 Long DBT CORP US N 2 2022-11-15 Fixed 5.125 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 452152BM2 85000.000000 PA USD 97442.300000 0.0071204 Long DBT MUN US N 2 2035-02-01 Fixed 6.63 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 452152FA4 185000.000000 PA USD 213761.950000 0.0156202 Long DBT MUN US N 2 2035-04-01 Fixed 6.725 N N N N N N IMPAC CMB TR 2004-10 N/A 45254NLJ4 238894.490000 PA USD 238337.820000 0.0174160 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.788 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAB9 2190000.000000 PA USD 2427049.450000 0.1773513 Long DBT CORP GB N 2 2026-07-26 Fixed 3.5 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAC7 1255000.000000 PA USD 1407137.650000 0.1028235 Long DBT CORP GB N 2 2029-07-26 Fixed 3.875 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR12 N/A 45660LMG1 319285.030000 PA USD 304902.100000 0.0222801 Long ABS-MBS CORP US N 2 2035-07-25 Floating 0.628 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR14 N/A 45668GAD4 996046.940000 PA USD 920905.260000 0.0672931 Long ABS-MBS CORP US N 2 2046-11-25 Floating 0.348 Y N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAA4 398368.380000 PA USD 341635.070000 0.0249642 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.368 N N N N N N INEOS FINANCE PLC 2138002D68XDR4LZCG32 ACI0YJHL2 912000.000000 PA 1104329.260000 0.0806965 Long DBT CORP GB N 2 2025-11-15 Fixed 2.125 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AR4 200000.000000 PA USD 217543.000000 0.0158965 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 787000.000000 PA 965524.730000 0.0705536 Long DBT CORP IT N 2 2021-01-19 Floating 7 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513YJJ8 200000.000000 PA USD 258350.800000 0.0188784 Long DBT NUSS IL N 2 2048-01-17 Fixed 4.125 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A 46651QAA5 692000.000000 PA USD 678375.770000 0.0495708 Long ABS-MBS CORP US N 2 2031-12-15 Floating 1.60863 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 2908632744.000000 PA 28253921.280000 2.0645937 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1BXN03 1505907674.000000 PA 14657277.730000 1.0710486 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1TM9S3 2840000000.000000 PA 27511239.940000 2.0103239 Long DBT NUSS JP N 2 2021-03-29 None 0 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBR6 3138000.000000 PA USD 3333521.530000 0.2435898 Long DBT CORP US N 2 2028-06-01 Floating 2.182 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAW6 817000.000000 PA USD 828353.330000 0.0605301 Long DBT CORP US N 2 2024-07-23 Floating 1.09913 N N N N N N JP MORGAN MORTGAGE ACQI CORP 2006-CH1 N/A 46629TAK6 6824000.000000 PA USD 6423470.100000 0.4693811 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.548 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 92527.880000 PA USD 94798.710000 0.0069272 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.58773 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 13735.410000 PA USD 9703.340000 0.0007091 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 Y N N N N N JP MORGAN MORTGAGE TRUST 2008-R2 N/A 46632TAA3 145610.310000 PA USD 145461.570000 0.0106293 Long ABS-MBS CORP US N 2 2037-07-27 Floating 3.22216 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 561699.410000 PA USD 550020.840000 0.0401916 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.358 N N N N N N JP MORGAN MTGE ACQUIS CORP 2007-CH3 N/A 46630XAG3 1353000.000000 PA USD 1268994.940000 0.0927290 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.448 N N N N N N TRUIST FINANCIAL CORPORATION 549300DRQQI75D2JP341 89832QAE9 1098000.000000 NS USD 1210555.980000 0.0884587 Long EP CORP US N 2 N N N LEGACY MORTGAGE ASSET TRUST 2019-GS3 N/A 52474WAA5 496369.220000 PA USD 501773.790000 0.0366660 Long ABS-MBS CORP US N 2 2059-04-25 Fixed 3.75 N N N N N N LEHMAN MORTGAGE TRUST 2006-7 N/A 52520QAB0 246846.030000 PA USD 142423.770000 0.0104073 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.798 Y N N N N N LEHMAN XS TRUST 2006 GP4 N/A 525161AN5 570499.410000 PA USD 540617.960000 0.0395045 Long ABS-MBS CORP US N 2 2046-08-25 Floating 0.373 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AU3 1992000.000000 PA USD 2295780.000000 0.1677591 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 ACI0808F5 1302000.000000 PA 1962540.730000 0.1434084 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 539439AT6 801000.000000 PA USD 966774.170000 0.0706449 Long DBT CORP GB N 2 2028-08-16 Fixed 4.55 N N N N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RH9 1069334.540000 PA USD 1044690.120000 0.0763385 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.588 N N N N N N LUMINENT MORTGAGE TRUST 2006-3 N/A 55027AAD2 5886301.290000 PA USD 5251062.250000 0.3837099 Long ABS-MBS CORP US N 2 2036-04-25 Variable 3.63559 N N N N N N MACKAY SHIELDS EURO CLO-2 DAC 2A N/A ACI1NGXC0 500000.000000 PA 615337.800000 0.0449645 Long ABS-CBDO CORP IE N 2 2033-08-15 Floating 1.55 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UF1 1130898.990000 PA USD 1158340.250000 0.0846432 Long ABS-MBS CORP US N 2 2034-11-21 Floating 3.17574 N N N N N N MASTR ASSET SECURITIZATION TRUST 2006-2 N/A 55274QBB0 194790.370000 PA USD 171821.590000 0.0125555 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 Y N N N N N MERRILL LYNCH ALTERNATIVE NOTE ASSET 2007-F1 N/A 59023YAG9 65446.090000 PA USD 40164.310000 0.0029349 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAE4 2664106.540000 PA USD 1046457.590000 0.0764676 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.348 N N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE2 N/A 59024LAD3 2729008.740000 PA USD 1170353.410000 0.0855210 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.408 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAC6 4013299.790000 PA USD 2584935.490000 0.1888885 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.258 N N N N N N MF1 2019-FL2 LTD N/A 55282LAA4 1573000.000000 PA USD 1564295.330000 0.1143075 Long ABS-MBS CORP KY N 2 2034-12-25 Floating 1.278 N N N N N N MF1 2020-FL3 LTD N/A 59319WAA9 7767000.000000 PA USD 7856089.820000 0.5740666 Long ABS-MBS CORP US N 2 2035-07-15 Floating 2.20863 N N N N N N MIDDLESEX COUNTY IMPROVEMENT AUTHORITY 549300QDGS1CLXDHV188 596567BV8 605000.000000 PA USD 586390.200000 0.0428492 Long DBT MUN US N 2 2022-10-01 None 0 N N N N N N MIDOCEAN CREDIT CLO VI 2016-6A N/A 59802XAJ2 3060000.000000 PA USD 3058718.960000 0.2235092 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 606822AZ7 346000.000000 PA USD 349935.110000 0.0255707 Long DBT CORP JP N 2 2023-07-26 Floating 1.07475 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-1 N/A 59020UVJ1 18161.210000 PA USD 17837.670000 0.0013034 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.48305 N N N N N N MLCC MORTGAGE INVESTORS INC 2006-1 N/A 59020U4S1 2949.640000 PA USD 3039.050000 0.0002221 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.43027 N N N N N N MONARCH GROVE CLO 2018-1A N/A 60909GAA8 579753.560000 PA USD 575688.620000 0.0420672 Long ABS-CBDO CORP KY N 2 2028-01-25 Floating 1.09475 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC6 N/A 61744CSY3 1211721.000000 PA USD 1197860.000000 0.0875310 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.078 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAA4 924267.270000 PA USD 481838.460000 0.0352093 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.363 N N N N N N MORGAN STANLEY MTGE LN TRUST 2006-11 N/A 61749WAP2 100337.380000 PA USD 68930.100000 0.0050369 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 N N N N N N MORTGAGEIT TRUST 2005-5 N/A 61915RAU0 481853.920000 PA USD 482358.320000 0.0352473 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.668 N N N N N N MOUNTAIN HAWK III CLO LTD 2014-3A N/A 62405CAN4 279881.270000 PA USD 280157.520000 0.0204719 Long ABS-CBDO CORP KY N 2 2025-04-18 Floating 1.41775 N N N N N N MOUNTAIN VIEW CLO LLC 2017-1A N/A 62432HAJ9 1118000.000000 PA USD 1111869.130000 0.0812474 Long ABS-CBDO CORP KY N 2 2029-10-16 Floating 1.32013 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBQ2 900000.000000 PA USD 944255.960000 0.0689994 Long DBT CORP US N 2 2030-08-15 Fixed 2.65 N N N N N N NASSAU LTD 2020-IA N/A 631715AA7 1334000.000000 PA USD 1339315.180000 0.0978675 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 2.38267 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAC1 500000.000000 PA USD 543691.300000 0.0397291 Long DBT CORP GB N 2 2024-08-01 Floating 4.363 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BB6 2524000.000000 PA USD 2625288.120000 0.1918372 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 440000.000000 PA USD 513576.800000 0.0375285 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 78009PEH0 200000.000000 PA USD 245949.540000 0.0179722 Long DBT CORP GB N 2 2030-01-27 Floating 5.076 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BK6 500000.000000 PA USD 553314.950000 0.0404323 Long DBT CORP GB N 2 2025-03-22 Floating 4.269 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 4426000.000000 PA USD 5323429.920000 0.3889980 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 2432000.000000 PA USD 2477110.630000 0.1810095 Long DBT CORP GB N 2 2024-06-25 Floating 1.801 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 1412000.000000 PA USD 1542632.870000 0.1127245 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 ACI11H7L1 158000.000000 PA 234934.310000 0.0171673 Long DBT CORP GB N 2 2026-09-19 Floating 2.875 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 78442FEL8 182000.000000 PA USD 190531.250000 0.0139227 Long DBT CORP US N 2 2022-01-25 Fixed 7.25 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 78442FEQ7 64000.000000 PA USD 67080.000000 0.0049017 Long DBT CORP US N 2 2023-01-25 Fixed 5.5 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAF5 351000.000000 PA USD 372319.740000 0.0272065 Long DBT CORP US N 2 2022-06-15 Fixed 6.5 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAD0 209000.000000 PA USD 213833.130000 0.0156254 Long DBT CORP US N 2 2021-07-26 Fixed 6.625 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1 N/A 64829VAA4 2693603.620000 PA USD 2857520.440000 0.2088071 Long ABS-MBS CORP US N 2 2057-12-25 Variable 3.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 1422518.120000 PA USD 1497644.430000 0.1094371 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 2493427.340000 PA USD 2624513.800000 0.1917806 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N 522 FUNDING CLO I LTD 2017-1A N/A 04625AAA2 1412000.000000 PA USD 1411318.270000 0.1031290 Long ABS-CBDO CORP KY N 2 2029-10-20 Floating 1.46838 N N N N N N AAMES MORTGAGE INVESTMENT TRUST 2005-2 N/A 126673L42 1035928.020000 PA USD 1035649.870000 0.0756779 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.138 Y N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AZ2 572000.000000 PA USD 585670.870000 0.0427966 Long DBT CORP US N 2 2022-07-13 Fixed 2.65 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AS8 449000.000000 PA USD 452227.620000 0.0330455 Long DBT CORP US N 2 2021-09-14 Fixed 1.9 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BJ7 390000.000000 PA USD 396891.500000 0.0290020 Long DBT CORP US N 2 2021-09-21 Fixed 3.65 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BD0 554000.000000 PA USD 568615.540000 0.0415503 Long DBT CORP US N 2 2022-09-28 Fixed 2.6 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BE8 78000.000000 PA USD 77344.720000 0.0056518 Long DBT CORP US N 2 2022-09-28 Floating 0.941 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AA9 785000.000000 PA USD 821267.510000 0.0600123 Long DBT CORP JP N 2 2023-09-15 Fixed 3.043 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AB7 1177000.000000 PA USD 1262886.570000 0.0922827 Long DBT CORP JP N 2 2025-09-17 Fixed 3.522 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 1741000.000000 PA USD 1924420.930000 0.1406229 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 500000.000000 PA USD 564270.140000 0.0412328 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AP2 N/A 65535VLL0 37084.830000 PA USD 25721.190000 0.0018795 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.476 Y N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAR0 1255000.000000 PA USD 1309841.930000 0.0957138 Long DBT CORP JP N 2 2025-07-16 Fixed 1.851 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAS8 1491000.000000 PA USD 1580243.760000 0.1154729 Long DBT CORP JP N 2 2030-07-16 Fixed 2.679 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-AF1 N/A 65535AAA2 275046.990000 PA USD 110389.500000 0.0080665 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.032 Y N N N N N NOVASTAR HOME EQUITY LOAN 2007-2 N/A 66989EAA3 835024.380000 PA USD 803603.580000 0.0587216 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.348 N N N N N N NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1 N/A 66988UAA8 774708.170000 PA USD 336635.340000 0.0245989 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.558 N N N N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 00080QAF2 100000.000000 PA USD 115312.550000 0.0084262 Long DBT CORP NL N 2 2025-07-28 Fixed 4.75 N N N N N N OCP CLO LTD 2014-7A N/A 67107KAZ9 1177000.000000 PA USD 1178037.750000 0.0860825 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 1.33838 N N N N N N OCTAGON INVESTMENT PARTNERS LTD 2015-1A N/A 67590WCE2 810424.570000 PA USD 808955.240000 0.0591126 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.08688 N N N N N N ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION) 5493008I795YYBFWFU90 85172FAL3 93000.000000 PA USD 100033.130000 0.0073097 Long DBT CORP US N 2 2023-03-15 Fixed 5.625 N N N N N N ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION) 5493008I795YYBFWFU90 85172FAK5 209000.000000 PA USD 222062.500000 0.0162267 Long DBT CORP US N 2 2022-05-15 Fixed 6.125 N N N N N N ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION) 5493008I795YYBFWFU90 85172FAD1 558000.000000 PA USD 587992.500000 0.0429663 Long DBT CORP US N 2 2021-10-01 Fixed 7.75 N N N N N N OPTION ONE MORTGAGE LOAN TR 2005-1 N/A 68389FGK4 747871.920000 PA USD 738382.770000 0.0539557 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.928 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2006-1 N/A 68389FKR4 2014000.000000 PA USD 1840921.470000 0.1345213 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.508 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-1 N/A 68400DAE4 2569529.370000 PA USD 1808762.640000 0.1321714 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.288 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-2 N/A 68401TAA6 319080.320000 PA USD 247626.850000 0.0180948 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.288 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XBY0 4080000.000000 PA USD 5017522.270000 0.3666445 Long DBT CORP US N 2 2060-04-01 Fixed 3.85 N N N N N N OZLME BV 1A N/A ACI1DQDD9 1042000.000000 PA 1272583.740000 0.0929913 Long ABS-CBDO CORP NL N 2 2030-01-18 Floating 0.82 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JG3 2118000.000000 PA USD 2123350.940000 0.1551592 Long DBT CORP US N 2 2031-02-01 Fixed 2.5 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JM0 800000.000000 PA USD 912176.910000 0.0666553 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N ACCREDITED MORTGAGE LOAN TRUST 2006-2 N/A 00437NAD4 530364.000000 PA USD 519376.660000 0.0379523 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.408 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JR9 4200000.000000 PA USD 4202844.200000 0.3071137 Long DBT CORP US N 2 2021-11-15 Floating 1.6 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2020-1 DAC 20-1A N/A ACI1QLXG7 1334000.000000 PA 1633122.980000 0.1193369 Long ABS-CBDO CORP IE N 2 2030-01-15 Floating 1.15 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2019-4A N/A 69689HAA3 1788929.840000 PA USD 1786592.620000 0.1305514 Long ABS-CBDO CORP KY N 2 2027-10-24 Floating 1.11475 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NBE8 424000.000000 PA USD 474350.000000 0.0346621 Long DBT CORP NL N 2 2030-01-15 Fixed 5.093 N N N N N N PRIME MORTGAGE TRUST 2006-1 N/A 74161BAH8 123165.140000 PA USD 121469.270000 0.0088761 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 Y N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-10 N/A 007036TD8 806784.120000 PA USD 712104.940000 0.0520355 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.17905 Y N N N N N RBSSP RESECURITIZATION TRUST 2009-9 N/A 74928QAY2 14798.350000 PA USD 14630.110000 0.0010691 Long ABS-MBS CORP US N 2 2037-04-26 Floating 0.643 N N N N N N RBSSP RESECURITIZATION TRUST 2011-3 N/A 74930NAC3 250884.470000 PA USD 251066.090000 0.0183461 Long ABS-MBS CORP US N 2 2037-02-26 Fixed 0.40013 N N N N N N READYCAP COMMERCIAL MORTGAGE TRUST 2020-FL4 N/A 75575JAA3 2667471.980000 PA USD 2687494.290000 0.1963828 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.298 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAF3 661988.120000 PA USD 356761.350000 0.0260696 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.586 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 262120.600000 PA USD 132195.310000 0.0096599 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.248 N N N N N N RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4 N/A 74923HAL5 136311.860000 PA USD 131846.870000 0.0096344 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO10 N/A 751153AA5 2576224.570000 PA USD 2400329.750000 0.1753989 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.308 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH7 N/A 75115LAA5 26020.740000 PA USD 23875.700000 0.0017447 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.398 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 490609.300000 PA USD 460632.290000 0.0336597 Long ABS-MBS CORP US N 2 2037-10-25 Variable 1.64115 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QS1 N/A 74922KAA3 51750.700000 PA USD 50730.750000 0.0037070 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 Y N N N N N RESIDENTIAL ASSET SEC CORP 2003-KS4 N/A 76110WRT5 98796.450000 PA USD 89933.150000 0.0065717 Long ABS-MBS CORP US N 2 2033-06-25 Floating 0.728 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS11 N/A 76110W7F7 1479000.000000 PA USD 1399043.780000 0.1022321 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.808 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2007-SA2 N/A 74958XAB0 279264.750000 PA USD 254114.590000 0.0185689 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.10809 N N N N N N RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A N/A ACI1PKR28 7121788.290000 PA 9799032.030000 0.7160429 Long ABS-MBS CORP GB N 2 2070-06-20 Floating 1.3043 N N N N N N RIO OIL FINANCE TRUST SERIES 2018-1 N/A 76716XAC6 470400.000000 PA USD 530380.700000 0.0387564 Long DBT CORP US N 2 2028-04-06 Fixed 8.2 N N N N N N RIPON MORTGAGES PLC 1A N/A ACI0TMV43 12974313.620000 PA 17734054.160000 1.2958773 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 3740436.530000 PA 5111753.790000 0.3735303 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.851 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00772BAP6 400000.000000 PA USD 421029.500000 0.0307658 Long DBT CORP IE N 2 2022-07-01 Fixed 4.625 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAF2 1961000.000000 PA USD 2204428.740000 0.1610838 Long DBT CORP KY N 2 2025-08-08 Fixed 5.125 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 2746000.000000 PA USD 3223035.120000 0.2355163 Long DBT CORP KY N 2 2028-08-08 Fixed 5.4 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAJ4 801000.000000 PA USD 891508.720000 0.0651451 Long DBT CORP GB N 2 2024-11-15 Floating 4.796 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAH2 2322000.000000 PA USD 2597331.150000 0.1897943 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI121KG1 981000.000000 PA USD 1288813.280000 0.0941772 Long DBT NUSS SA N 2 2049-04-17 Fixed 5 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAC3 400000.000000 PA USD 486488.800000 0.0355491 Long DBT NUSS SA N 2 2046-10-26 Fixed 4.5 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAE8 1238000.000000 PA USD 1315913.530000 0.0961575 Long DBT CORP DE N 2 2027-05-15 Fixed 6 N N Y N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 ACI1C5ZK6 628000.000000 PA 784393.730000 0.0573179 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 566000.000000 PA 720107.800000 0.0526203 Long DBT CORP DE N 2 2027-05-15 Fixed 3.875 N N Y N N N SEC ASSET BACKED REC LLC 2005-OP2 N/A 81375WGW0 1509000.000000 PA USD 1408331.890000 0.1029108 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.868 Y N N N N N SENECA PARK CLO LTD 2014-1 N/A 817176AL4 20585.910000 PA USD 20610.010000 0.0015060 Long ABS-CBDO CORP KY N 2 2026-07-17 Floating 1.33775 N N N N N N SEQUOIA MORTGAGE TRUST 2007-1 N/A 81744HAH6 157521.030000 PA USD 123012.990000 0.0089889 Long ABS-MBS CORP US N 2 2046-09-20 Floating 3.11628 Y N N N N N AIRCASTLE LIMITED 549300PNK8AKY3OIKP58 00928QAM3 1255000.000000 PA USD 1265051.450000 0.0924409 Long DBT CORP BM N 2 2021-03-15 Fixed 5.125 N N N N N N SL GREEN REALTY CORP 549300VQZPJU97H3GT17 75625AAD6 410000.000000 PA USD 431437.020000 0.0315263 Long DBT CORP US N 2 2022-12-01 Fixed 4.5 N N N N N N SLM STUDENT LOAN TRUST 2008-9 N/A 78445JAA5 197392.470000 PA USD 197450.860000 0.0144283 Long ABS-O CORP US N 2 2023-04-25 Floating 1.71475 N N N N N N AKER BP ASA 549300NFTY73920OYK69 00973RAG8 450000.000000 PA USD 459661.970000 0.0335888 Long DBT CORP NO N 2 2026-01-15 Fixed 2.875 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20C N/A 83162CRR6 16075.170000 PA USD 17557.180000 0.0012830 Long ABS-O CORP US N 2 2028-03-01 Fixed 5.49 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20H N/A 83162CRY1 128311.910000 PA USD 140975.880000 0.0103015 Long ABS-O CORP US N 2 2028-08-01 Fixed 6.02 N N N N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 78448TAA0 200000.000000 PA USD 202123.470000 0.0147697 Long DBT CORP IE N 2 2021-07-15 Fixed 2.65 N N N N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 78448TAB8 300000.000000 PA USD 308063.790000 0.0225111 Long DBT CORP IE N 2 2022-07-15 Fixed 3 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 ACI084Z26 180000.000000 PA 223223.400000 0.0163116 Long DBT CORP FR N 2 2021-04-07 Floating 6.75 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAB8 1509000.000000 PA USD 1560591.200000 0.1140368 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54 N N N N N N SOUND POINT CLO XIV LTD 2016-3A N/A 83609NAL4 4917000.000000 PA USD 4911618.880000 0.3589058 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 1.35913 N N N N N N SOUNDVIEW HOME EQUITY LOAN 2006-1 N/A 83611MKZ0 945000.000000 PA USD 890773.440000 0.0650913 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.613 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ1 N/A 83612JAC8 3276860.890000 PA USD 3251817.480000 0.2376195 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.308 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2 N/A 83613DAA4 474408.600000 PA USD 418695.710000 0.0305953 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.318 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAD3 639035.250000 PA USD 546799.840000 0.0399562 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.448 N N N N N N SOUTH CAROLINA STUDENT LOAN CORP 2008-1 N/A 83715AAH2 140306.450000 PA USD 141078.140000 0.0103090 Long ABS-O CORP US N 2 2024-09-03 Floating 1.22538 N N N N N N SP STATIC CLO 2020-1A N/A 78472HAA5 2863981.860000 PA USD 2865200.340000 0.2093683 Long ABS-CBDO CORP KY N 2 2028-07-22 Floating 1.61575 N N N N N N SPECIALTY UNDERWRITING & RESID 2006-AB1 N/A 84751PKW8 792479.990000 PA USD 779563.600000 0.0569649 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.748 N N N N N N SPRINT CORP (SPRINT COMMUNICATIONS INC) 549300JKU50UT08ZWD77 852061AM2 155000.000000 PA USD 168465.630000 0.0123103 Long DBT CORP US N 2 2021-11-15 Fixed 11.5 N N N N N N SPRINT CORP (SPRINT COMMUNICATIONS INC) 549300JKU50UT08ZWD77 852061AS9 602000.000000 PA USD 652417.500000 0.0476740 Long DBT CORP US N 2 2022-11-15 Fixed 6 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAE5 2081000.000000 PA USD 2167881.750000 0.1584132 Long DBT CORP US N 2 2021-09-15 Fixed 7.25 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAF2 189000.000000 PA USD 219060.450000 0.0160074 Long DBT CORP US N 2 2023-09-15 Fixed 7.875 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BR0 1133000.000000 PA USD 1137852.700000 0.0831461 Long DBT CORP GB N 2 2022-09-10 Floating 1.43 N N N N N N STANWICH MORTGAGE LOAN CO LLC 2019-NPB1 N/A 85502HAA4 378089.720000 PA USD 377037.690000 0.0275512 Long ABS-MBS CORP US N 2 2024-08-15 Fixed 3.375 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3 N/A 85573MAA7 1657674.400000 PA USD 1671094.770000 0.1221116 Long ABS-MBS CORP US N 2 2065-04-25 Fixed 1.486 N N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-2 N/A 863579V47 58065.910000 PA USD 52323.100000 0.0038234 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.65165 Y N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VV7 49167.250000 PA USD 38646.370000 0.0028240 Long ABS-MBS CORP US N 2 2035-08-25 Variable 2.92232 Y N N N N N STRUCTURED ASSET INVST LN TR 2005-1 N/A 86358EQK5 1753000.000000 PA USD 1744139.810000 0.1274492 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.928 N N N N N N STRUCTURED ASSET SECURITIES CORP 2005-11H N/A 86359DDZ7 667465.460000 PA USD 709968.460000 0.0518794 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 5.5 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MCA6 2040000.000000 PA USD 2091084.480000 0.1528014 Long DBT CORP JP N 2 2025-07-08 Fixed 1.474 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MCB4 3609000.000000 PA USD 3788898.400000 0.2768655 Long DBT CORP JP N 2 2030-07-08 Fixed 2.13 N N N N N N SYMPHONY CLO XIV LTD 2014-14A N/A 87159QBV9 1684961.530000 PA USD 1682509.070000 0.1229457 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 948996.580000 PA USD 945335.310000 0.0690783 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 1.11688 N N N N N N TAKEDA PHARMACEUTICAL COMPANY LIMITED 549300ZLMVP4X0OGR454 874060AZ9 1020000.000000 PA USD 1087206.830000 0.0794453 Long DBT CORP JP N 2 2050-07-09 Fixed 3.175 N N N N N N TAKEDA PHARMACEUTICAL COMPANY LIMITED 549300ZLMVP4X0OGR454 874060BD7 1020000.000000 PA USD 1131826.300000 0.0827057 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 727947.220000 PA USD 725545.690000 0.0530177 Long ABS-CBDO CORP KY N 2 2028-04-17 Floating 1.16775 N N N N N N TELOS CLO LTD 2014-6A N/A 87970UAS5 503128.710000 PA USD 503407.090000 0.0367854 Long ABS-CBDO CORP KY N 2 2027-01-17 Floating 1.48775 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2004-1 N/A 885220EW9 107214.980000 PA USD 107233.490000 0.0078359 Long ABS-MBS CORP US N 2 2044-03-25 Floating 2.42266 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2004-4 N/A 885220GF4 128509.520000 PA USD 129200.590000 0.0094411 Long ABS-MBS CORP US N 2 2044-12-25 Floating 1.98512 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-4 N/A 88522YAB5 2300.160000 PA USD 2359.240000 0.0001724 Long ABS-MBS CORP US N 2 2037-09-25 Floating 2.31568 N N N N N N TICP CLO I LTD 2015-1A N/A 87248BAQ7 2530194.540000 PA USD 2522705.950000 0.1843412 Long ABS-CBDO CORP KY N 2 2027-07-20 Floating 1.01838 N N N N N N TICP CLO III-2 LTD 2018-3R N/A 87249FAC8 2410131.690000 PA USD 2405614.380000 0.1757850 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.05838 N N N N N N TORO EUROPEAN CLO 3 DAC 3A N/A ACI1G5145 400000.000000 PA 487911.810000 0.0356531 Long ABS-CBDO CORP IE N 2 2030-04-15 Floating 0.65 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 19811975.580000 PA 27097446.700000 1.9800868 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 803560.500000 PA 1101681.410000 0.0805030 Long ABS-MBS CORP GB N 2 2054-02-20 Floating 1.2545 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 1029425.710000 PA 1413345.670000 0.1032772 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.07325 N N N N N N TOWD POINT MORTGAGE TRUST 2017-6 N/A 89175JAE0 1479000.000000 PA USD 1568140.370000 0.1145884 Long ABS-MBS CORP US N 2 2057-10-25 Variable 3.35782 N N N N N N TOWD POINT MORTGAGE TRUST 2018-1 N/A 89176EAA8 1488517.430000 PA USD 1548827.240000 0.1131772 Long ABS-MBS CORP US N 2 2058-01-25 Variable 3 N N N N N N TOWD POINT MORTGAGE TRUST 2019-MH1 N/A 89177WAA7 632936.460000 PA USD 649446.920000 0.0474569 Long ABS-O CORP US N 2 2058-11-25 Fixed 3 N N N N N N AMBAC ASSURANCE CORP 549300RYYRVPPB8NC636 023138AA8 19.170000 PA USD 26.600000 0.0000019 Long DBT CORP US N 2 2099-12-31 Fixed 5.1 N N N N N N AMBAC LSNI LLC N/A 02315QAA6 72.850000 PA USD 72.580000 0.0000053 Long DBT CORP KY N 2 2023-02-12 Floating 6 N N N N N N TRESTLES CLO LTD 2017-1A N/A 89531FAA5 4158000.000000 PA USD 4163302.950000 0.3042243 Long ABS-CBDO CORP KY N 2 2029-07-25 Floating 1.50475 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 ACI07SK20 1163000.000000 PA 1429823.730000 0.1044813 Long DBT CORP CH N 2 2026-02-12 Floating 4.75 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 6749000.000000 PA USD 7455957.750000 0.5448279 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UBS AG / STAMFORD BRANCH BFM8T61CT2L1QCEMIK50 90261AAB8 1336000.000000 PA USD 1479117.780000 0.1080833 Long DBT CORP CH N 2 2022-08-17 Fixed 7.625 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90351DAB3 200000.000000 PA USD 229212.580000 0.0167492 Long DBT CORP CH N 2 2025-09-24 Fixed 4.125 N N N N N N UMBS PASS THRU POOLS N/A 01F020620 -1818000.000000 PA USD -1885036.390000 -0.1377449 Short ABS-MBS USGSE US N 2 2051-02-12 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F022634 105700000.000000 PA USD 111059182.370000 8.1154076 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 01F042616 30500000.000000 PA USD 33057346.010000 2.4155935 Long ABS-MBS USGSE US N 2 2051-01-14 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F050619 -4800000.000000 PA USD -5312585.380000 -0.3882056 Short ABS-MBS USGSE US N 2 2051-01-14 Fixed 5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 ACI09B5F3 300000.000000 PA 374053.980000 0.0273332 Long DBT CORP IT N 2 2021-09-10 Floating 6.75 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AJ8 1000000.000000 PA USD 1053953.910000 0.0770154 Long DBT CORP IT N 2 2022-01-14 Fixed 6.572 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796C23 3300000.000000 PA USD 3299628.490000 0.2411132 Long DBT UST US N 2 2021-03-02 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127963T4 6624000.000000 PA USD 6623988.940000 0.4840335 Long DBT UST US N 2 2021-01-07 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127963W7 331000.000000 PA USD 330987.170000 0.0241862 Long DBT UST US N 2 2021-02-04 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828SA9 29332463.930000 PA USD 29858709.160000 2.1818601 Long DBT UST US N 2 2022-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828V49 1733586.570000 PA USD 1935154.890000 0.1414072 Long DBT UST US N 2 2027-01-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PS1 2734763.630000 PA USD 3400967.880000 0.2485183 Long DBT UST US N 2 2027-01-15 Fixed 2.375 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-4 N/A 02660LAA8 168010.250000 PA USD 107942.200000 0.0078876 Long ABS-MBS CORP US N 2 2046-10-25 Floating 0.338 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 710769.550000 PA USD 886886.520000 0.0648073 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 9292700.790000 PA USD 13394872.300000 0.9788011 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 1437436.000000 PA USD 1855707.270000 0.1356018 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 1638020.340000 PA USD 2236341.550000 0.1634158 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 7614341.240000 PA USD 10735020.140000 0.7844382 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SM1 1519155.000000 PA USD 1813188.120000 0.1324948 Long DBT UST US N 2 2050-02-15 Fixed 0.25 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2007-3 N/A 026935AH9 234228.780000 PA USD 218221.660000 0.0159461 Long ABS-MBS CORP US N 2 2046-11-25 Variable 6.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X39 16299361.470000 PA USD 16642367.680000 1.2161047 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828QV5 7099419.280000 PA USD 7191915.630000 0.5255336 Long DBT UST US N 2 2021-07-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XL9 2411910.700000 PA USD 2649727.800000 0.1936231 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZZ6 3585297.720000 PA USD 4023804.370000 0.2940307 Long DBT UST US N 2 2030-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828P46 3300000.000000 PA USD 3510117.200000 0.2564942 Long DBT UST US N 2 2026-02-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286B1 70116500.000000 PA USD 80461422.500000 5.8795430 Long DBT UST US N 2 2029-02-15 Fixed 2.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QE1 1292900.000000 PA USD 2013287.720000 0.1471166 Long DBT UST US N 2 2040-02-15 Fixed 4.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 8946900.000000 PA USD 11781250.010000 0.8608892 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XB1 30665100.000000 PA USD 33101537.870000 2.4188227 Long DBT UST US N 2 2025-05-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286T2 6905200.000000 PA USD 7800718.130000 0.5700205 Long DBT UST US N 2 2029-05-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282A7 4700000.000000 PA USD 4976859.380000 0.3636731 Long DBT UST US N 2 2026-08-15 Fixed 1.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 461300.000000 PA USD 605798.620000 0.0442674 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828T34 17200000.000000 PA USD 17330351.230000 1.2663776 Long DBT UST US N 2 2021-09-30 Fixed 1.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285C0 2155600.000000 PA USD 2425723.630000 0.1772545 Long DBT UST US N 2 2025-09-30 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SS8 22110000.000000 PA USD 21983904.020000 1.6064258 Long DBT UST US N 2 2050-11-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YY0 12706100.000000 PA USD 13460524.690000 0.9835985 Long DBT UST US N 2 2024-12-31 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285T3 9212000.000000 PA USD 10244391.700000 0.7485866 Long DBT UST US N 2 2025-12-31 Fixed 2.625 N N N N N N VENTURE CDO LTD 2016-25A N/A 92329VAQ5 4853000.000000 PA USD 4848578.820000 0.3542993 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 1.44838 N N N N N N VENTURE CDO LTD 2016-25A N/A 92329VAS1 4853000.000000 PA USD 4853223.000000 0.3546387 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 1.25638 N N N N N N VENTURE CDO LTD 2018-35A N/A 92331XAC8 1177000.000000 PA USD 1178486.770000 0.0861154 Long ABS-CBDO CORP KY N 2 2031-10-22 Floating 1.36575 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 ACI1R1MY3 1804000.000000 PA 2247726.720000 0.1642477 Long DBT CORP US N 2 2032-01-15 Fixed 1 N N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAC8 185332.130000 PA USD 161879.940000 0.0118290 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.17306 Y N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAE4 211771.970000 PA USD 202960.520000 0.0148309 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.16289 Y N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAW0 881000.000000 PA USD 1025279.040000 0.0749200 Long DBT CORP US N 2 2029-08-15 Fixed 3.8 N N N N N N WASHING MUTUAL MTGE P/T 2006-7 N/A 93935HAB3 551139.970000 PA USD 188638.730000 0.0137844 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.228 N N N N N N WASHINGTON MUTUAL 2004-AR14 N/A 939336V91 73615.870000 PA USD 75315.560000 0.0055035 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.89696 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X57 979693.770000 PA USD 972264.260000 0.0710461 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.928 N N N N N N WASHINGTON MUTUAL 2005-AR12 N/A 92922F3L0 32970.640000 PA USD 33347.710000 0.0024368 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.91686 N N N N N N WASHINGTON MUTUAL 2005-AR14 N/A 92922F4C9 301444.360000 PA USD 301325.020000 0.0220187 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.89909 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 26118.690000 PA USD 26030.980000 0.0019022 Long ABS-MBS CORP US N 2 2045-12-25 Floating 0.688 N N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 89458.190000 PA USD 88570.850000 0.0064721 Long ABS-MBS CORP US N 2 2046-02-25 Floating 1.60943 N N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR1 N/A 93934FJQ6 700739.380000 PA USD 589372.130000 0.0430671 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.648 Y N N N N N WASHINGTON MUTUAL MTGE P/T 2006-AR2 N/A 93934FMN9 91137.630000 PA USD 83588.000000 0.0061080 Long ABS-MBS CORP US N 2 2046-04-25 Floating 1.54943 Y N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AB9 1116762.510000 PA USD 996693.450000 0.0728312 Long ABS-MBS CORP US N 2 2047-02-25 Floating 1.35943 Y N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2S1 7296000.000000 PA USD 7771206.940000 0.5678640 Long DBT CORP US N 2 2028-06-02 Floating 2.393 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 U94974KM0 1500000.000000 PA 1871384.070000 0.1367473 Long DBT CORP US N 2 2030-03-25 Fixed 0.625 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 ACI1M15X9 1200000.000000 PA 1629085.050000 0.1190418 Long DBT CORP US N 2 2030-05-04 Floating 1.741 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR12 N/A 94984GAD9 9906.960000 PA USD 9569.490000 0.0006993 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.16978 Y N N N N N WIND RIVER CLO LTD 2015-2A N/A 88432GAL1 1173076.840000 PA USD 1170677.820000 0.0855447 Long ABS-CBDO CORP KY N 2 2027-10-15 Floating 1.10688 N N N N N N WOODSIDE FINANCE LIMITED 254900AIZKU6TGRRNZ98 980236AL7 78000.000000 PA USD 78309.580000 0.0057223 Long DBT CORP AU N 2 2021-05-10 Fixed 4.6 N N N N N N WPC EUROBOND BV 5493005XDMOLBARL5M14 ACI15F7Y3 881000.000000 PA 1182163.990000 0.0863841 Long DBT CORP NL N 2 2026-04-09 Fixed 2.25 N N N N N N YPF SA 5493003N7447U18U5U53 ACI1J9CS9 410000.000000 PA 3181.810000 0.0002325 Long DBT CORP AR N 2 2021-03-04 Floating 33.1634 N N N N N N ANGEL OAK MORTGAGE TRUST 2020-4 N/A 03464LAA4 657092.860000 PA USD 661198.840000 0.0483157 Long ABS-MBS CORP US N 2 2065-06-25 Variable 1.469 N N N N N N ZF NORTH AMERICA CAPITAL INC 529900JYGMS9CW9IQX78 98877DAB1 150000.000000 PA USD 154642.500000 0.0113002 Long DBT CORP US N 2 2022-04-29 Fixed 4.5 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAF9 314000.000000 PA USD 347105.080000 0.0253639 Long DBT CORP US N 2 2025-04-01 Fixed 3.55 N N N N N N N/A N/A 000000000 4613000.000000 PA USD 4613000.000000 0.3370849 Long RA US N 2 Repurchase N 0.0000001 2021-01-04 4710800.000000 USD 4705321.340000 USD UST N N N N/A N/A 000000000 44500000.000000 PA USD 44500000.000000 3.2517405 Long RA US N 2 Repurchase N 0.1100000 2021-01-04 45568000.000000 USD 45559826.180000 USD UST N N N N/A N/A 000000000 1.000000 NC USD -29618.640000 -0.0021643 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-26 0.000000 USD -129323.130000 USD 634980.330000 USD 99704.490000 N N N N/A N/A 000000000 1.000000 NC -21336.200000 -0.0015591 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 5988000.000000 CAD 4683009.230000 USD 2021-01-08 -21336.200000 N N N N/A N/A 000000000 1.000000 NC -75371.680000 -0.0055076 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 876273357.000000 JPY 8411478.630000 USD 2021-01-08 -75371.680000 N N N N/A N/A 000000000 1.000000 NC -80622.680000 -0.0058913 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1361464141.000000 JPY 13105379.470000 USD 2021-01-08 -80622.680000 N N N N/A N/A 000000000 1.000000 NC 8110.880000 0.0005927 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 86792475.000000 TWD 3135000.000000 USD 2021-03-17 8110.880000 N N N N/A N/A 000000000 1.000000 NC 4413.620000 0.0003225 N/A DFE BR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 9552367.140000 USD 49640786.300000 BRL 2021-01-05 4413.620000 N N N N/A N/A 000000000 1.000000 NC -202860.660000 -0.0148236 N/A DFE BR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 49640786.300000 BRL 9353920.100000 USD 2021-01-05 -202860.660000 N N N N/A N/A 000000000 1.000000 NC 9591.580000 0.0007009 N/A DFE N/A N 2 BNP Paribas S.A. N/A 2281203.190000 USD 1875000.000000 EUR 2021-01-08 9591.580000 N N N N/A N/A 000000000 1.000000 NC 23238.020000 0.0016981 N/A DFE GB N 2 BNP Paribas S.A. N/A 1347045.010000 USD 1002000.000000 GBP 2021-01-08 23238.020000 N N N N/A N/A 000000000 1.000000 NC 358030.470000 0.0261623 N/A DFE SG N 2 BNP Paribas S.A. N/A 16870808.790000 USD 22768000.000000 SGD 2021-03-17 358030.470000 N N N N/A N/A 000000000 1.000000 NC -27946.230000 -0.0020421 N/A DFE CA N 2 BNP Paribas S.A. N/A 24892000.000000 CAD 19527926.570000 USD 2021-01-08 -27946.230000 N N N N/A N/A 000000000 1.000000 NC -148134.360000 -0.0108246 N/A DFE TW N 2 BNP Paribas S.A. N/A 471493276.000000 TWD 16838444.200000 USD 2021-03-17 -148134.360000 N N N N/A N/A 000000000 1.000000 NC USD 226793.350000 0.0165724 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.HY.32 N/A N/A Y Single Leg Swap 2024-06-21 122855.890000 USD 0.000000 USD 2581000.000000 USD 103937.460000 N N N N/A N/A 000000000 1.000000 NC USD 104594.880000 0.0076430 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.34 Y Single Leg Swap 2025-06-21 50460.650000 USD 0.000000 USD 1104000.000000 USD 54134.230000 N N N N/A N/A 000000000 -400000.000000 NC USD -268.770000 -0.0000196 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 2631.230000 N N N N/A N/A 000000000 1.000000 NC USD 323692.050000 0.0236531 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.35 Y Single Leg Swap 2025-12-21 243530.540000 USD 0.000000 USD 3400000.000000 USD 80161.510000 N N N N/A N/A 000000000 -3800000.000000 NC USD -668.990000 -0.0000489 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 9976.010000 N N N N/A N/A 000000000 1.000000 NC USD -5022.670000 -0.0003670 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.34 Y Single Leg Swap 2025-06-21 0.000000 USD -1533.280000 USD 300000.000000 USD -3489.390000 N N N N/A N/A 000000000 -5400000.000000 NC USD -522.990000 -0.0000382 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 10857.010000 N N N N/A N/A 000000000 -2200000.000000 NC USD -285.210000 -0.0000208 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 3454.790000 N N N N/A N/A 000000000 -900000.000000 NC USD -100.110000 -0.0000073 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 1537.890000 N N N N/A N/A 000000000 -1100000.000000 NC USD -377.410000 -0.0000276 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 1074.590000 N N N ARGENT SECURITIES INC 2006-W1 N/A 040104RF0 1462889.750000 PA USD 1358320.780000 0.0992563 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.528 N N N N N N N/A N/A 000000000 -1300000.000000 NC USD -446.030000 -0.0000326 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 1139.970000 N N N N/A N/A 000000000 -2300000.000000 NC USD -866.390000 -0.0000633 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 226.110000 N N N N/A N/A 000000000 -2300000.000000 NC USD -1828.820000 -0.0001336 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 528.680000 N N N N/A N/A 000000000 -2300000.000000 NC USD -1103.010000 -0.0000806 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 133.240000 N N N N/A N/A 000000000 -2300000.000000 NC USD -1161.360000 -0.0000849 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 1138.640000 N N N N/A N/A 000000000 -2300000.000000 NC USD -1828.820000 -0.0001336 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 1276.180000 N N N N/A N/A 000000000 -2500000.000000 NC USD -1987.850000 -0.0001453 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 1862.150000 N N N N/A N/A 000000000 -2400000.000000 NC USD -1673.690000 -0.0001223 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 1326.310000 N N N N/A N/A 000000000 -1200000.000000 NC USD -1025.620000 -0.0000749 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 534.380000 N N N N/A N/A 000000000 -800000.000000 NC USD -676.220000 -0.0000494 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 251.780000 N N N N/A N/A 000000000 -600000.000000 NC USD -507.170000 -0.0000371 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 182.830000 N N N N/A N/A 000000000 -1400000.000000 NC USD -167.760000 -0.0000123 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 1967.240000 N N N N/A N/A 000000000 -600000.000000 NC USD -477.080000 -0.0000349 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 287.920000 N N N N/A N/A 000000000 1.000000 NC USD 7467.050000 0.0005456 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.35 Y Single Leg Swap 2025-12-21 5380.670000 USD 0.000000 USD 300000.000000 USD 2086.380000 N N N N/A N/A 000000000 1.000000 NC 525.490000 0.0000384 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8260.000000 USD 129430.100000 ZAR 2021-01-22 525.490000 N N N N/A N/A 000000000 1.000000 NC -11024.020000 -0.0008056 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 356000.000000 GBP 475823.050000 USD 2021-01-08 -11024.020000 N N N N/A N/A 000000000 1.000000 NC -18484.050000 -0.0013507 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 218159082.000000 JPY 2094422.220000 USD 2021-01-08 -18484.050000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1TTRK5 40125932.060000 PA 283545.220000 0.0207194 Long DBT NUSS AR N 2 2021-09-13 None 0 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1T4 149000.000000 PA USD 59787.740000 0.0043689 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 USD 9908308.730000 0.7240281 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2021-08-11 0.000000 USD 0.000000 USD 40100013.960000 USD 9908308.730000 N N N N/A N/A 000000000 1.000000 NC USD 35243632.120000 2.5753516 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2021-09-15 0.000000 USD 0.000000 USD 252544986.450000 USD 35243632.120000 N N N N/A N/A 000000000 1.000000 NC USD 3566892.120000 0.2606429 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2021-08-11 0.000000 USD 0.000000 USD 580679685.510000 USD 3566892.120000 N N N N/A N/A 000000000 1.000000 NC USD 14951752.990000 1.0925667 N/A DE US N 2 Citibank International Limited N/A N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2021-08-11 0.000000 USD 0.000000 USD 78979758.310000 USD 14951752.990000 N N N N/A N/A 000000000 1.000000 NC USD 192958.020000 0.0141000 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2021-09-15 0.000000 USD 0.000000 USD 31464236.520000 USD 192958.020000 N N N N/A N/A 000000000 1.000000 NC USD 32648804.170000 2.3857402 N/A DE US N 2 Citibank International Limited N/A N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2021-05-26 0.000000 USD 0.000000 USD 93290851.420000 USD 32648804.170000 N N N N/A N/A 000000000 1.000000 NC USD 28087.740000 0.0020525 N/A DE US N 2 UBS Asset Management Holding Ltd 549300MOMNGW0OI5CD23 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2021-03-11 0.000000 USD 0.000000 USD 4613902.470000 USD 28087.740000 N N N N/A N/A 000000000 1.000000 NC USD 3018808.730000 0.2205929 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2021-03-11 0.000000 USD 0.000000 USD 201904953.120000 USD 3018808.730000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1M9 97000.000000 PA USD 34920.970000 0.0025518 Long DBT NUSS AR N 2 2035-07-09 Variable 0.125 N N N N N N N/A N/A 000000000 -22.000000 NC 511.720000 0.0000374 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2021-03-08 -4774306.260000 EUR 511.720000 N N N N/A N/A 000000000 -1200000.000000 NC USD -5721.120000 -0.0004181 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 -3517.990000 N N N N/A N/A 000000000 -1000000.000000 NC USD -4500.000000 -0.0003288 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 -2156.250000 N N N N/A N/A 000000000 -1100000.000000 NC USD -65.010000 -0.0000048 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 4747.490000 N N N N/A N/A 000000000 -1000000.000000 NC USD -74.700000 -0.0000055 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 3792.490000 N N N N/A N/A 000000000 -1200000.000000 NC USD -8239.320000 -0.0006021 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 -4114.320000 N N N N/A N/A 000000000 -1300000.000000 NC USD -1171.950000 -0.0000856 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 960.860000 N N N N/A N/A 000000000 -1200000.000000 NC USD -3093.750000 -0.0002261 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 0.000000 N N N N/A N/A 000000000 1.000000 NC 185962.070000 0.0135888 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7066098.400000 EUR 45269666.000000 BRL 2021-01-05 185962.070000 N N N N/A N/A 000000000 1.000000 NC -189895.680000 -0.0138762 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7200404.960000 EUR 45269666.000000 BRL 2021-02-02 -189895.680000 N N N N/A N/A 000000000 1.000000 NC -218902.400000 -0.0159958 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10170346.540000 USD 51690786.300000 BRL 2021-01-05 -218902.400000 N N N N/A N/A 000000000 1.000000 NC 24797.830000 0.0018120 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 19817043.870000 USD 25256000.000000 CAD 2021-01-08 24797.830000 N N N N/A N/A 000000000 1.000000 NC -21621.870000 -0.0015800 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 45269666.000000 BRL 7208086.430000 EUR 2021-01-05 -21621.870000 N N N N/A N/A 000000000 1.000000 NC 107362.370000 0.0078453 N/A DFE JP N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 44334633.540000 USD 4588667822.000000 JPY 2021-01-08 107362.370000 N N N 2021-02-01 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer XXXX