NPORT-P false 0000810893 XXXXXXXX S000069547 C000221900 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (866) 746-2606 PIMCO All Asset: Multi-RAE PLUS Fund S000069547 549300106MVSE68XN136 2021-03-31 2021-03-31 N 3668108331.050000 449797135.470000 3218311195.580000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 25330320.276100 0.000000 0.000000 53011852.760000 JPY AUD ILS EUR CNY GBP CAD ARS USD BRL N N/A N/A 000000000 1.000000 NC 80192.670000 0.0024918 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14842526.000000 SEK 1780334.730000 USD 2021-05-17 80192.670000 N N N ASSET BACKED FUNDING CERTS 2005-OPT1 N/A 04542BQA3 31823.630000 PA USD 31841.060000 0.0009894 Long ABS-MBS CORP US N 2 2035-07-25 Floating 0.79863 N N N N N N ASSET BACKED SEC CORP HM EQ 2005-HE6 N/A 04541GTN2 83018.040000 PA USD 83330.810000 0.0025893 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.06863 N N N N N N N/A N/A 000000000 1.000000 NC USD 1961632.300000 0.0609522 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2022-02-23 0.000000 USD 0.000000 USD 95477005.320000 USD 1961632.300000 N N N N/A N/A 000000000 1.000000 NC USD -359511.310000 -0.0111708 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2021-08-25 0.000000 USD 0.000000 USD 124864772.450000 USD -359511.310000 N N N N/A N/A 000000000 1.000000 NC USD -676446.030000 -0.0210187 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2021-07-07 0.000000 USD 0.000000 USD 233672161.830000 USD -676446.030000 N N N N/A N/A 000000000 1.000000 NC USD -543920.120000 -0.0169008 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2021-09-15 0.000000 USD 0.000000 USD 187352925.970000 USD -543920.120000 N N N N/A N/A 000000000 1.000000 NC USD -37057.450000 -0.0011515 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2022-02-23 0.000000 USD 0.000000 USD 48533535.810000 USD -37057.450000 N N N N/A N/A 000000000 1.000000 NC USD 2769844.750000 0.0860652 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2022-02-23 0.000000 USD 0.000000 USD 98437136.200000 USD 2769844.750000 N N N N/A N/A 000000000 1.000000 NC USD -302090.440000 -0.0093866 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2022-02-09 0.000000 USD 0.000000 USD 63041121.360000 USD -302090.440000 N N N N/A N/A 000000000 1.000000 NC USD -461510.840000 -0.0143402 N/A DE US N 2 HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2022-02-23 0.000000 USD 0.000000 USD 59729767.590000 USD -461510.840000 N N N N/A N/A 000000000 1.000000 NC USD 10035562.350000 0.3118270 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2022-02-09 0.000000 USD 0.000000 USD 357022565.400000 USD 10035562.350000 N N N N/A N/A 000000000 1.000000 NC USD -1690535.560000 -0.0525287 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2021-09-15 0.000000 USD 0.000000 USD 250728480.960000 USD -1690535.560000 N N N N/A N/A 000000000 1.000000 NC USD -997111.180000 -0.0309824 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 306880207.270000 USD -997111.180000 N N N ASSET BACKED SEC HOME EQTY LN 2004-HE3 N/A 04541GJT0 740895.920000 PA USD 725704.070000 0.0225492 Long ABS-MBS CORP US N 2 2034-06-25 Floating 0.91863 N N N N N N N/A N/A 000000000 1.000000 NC USD 28361076.220000 0.8812410 N/A DE US N 2 Wells Fargo Trust Company, National Association N/A N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2021-10-06 0.000000 USD 0.000000 USD 397986779.000000 USD 28361076.220000 N N N N/A N/A 000000000 1.000000 NC USD 10352570.160000 0.3216771 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2021-04-14 0.000000 USD 0.000000 USD 145310067.000000 USD 10352570.160000 N N N N/A N/A 000000000 1.000000 NC USD 3556910.480000 0.1105210 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2021-04-14 0.000000 USD 0.000000 USD 49936956.000000 USD 3556910.480000 N N N N/A N/A 000000000 1.000000 NC USD 11313755.610000 0.3515432 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2022-02-16 0.000000 USD 0.000000 USD 176343480.890000 USD 11313755.610000 N N N N/A N/A 000000000 1.000000 NC USD 3078527.490000 0.0956566 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL) Y 2021-10-06 0.000000 USD 0.000000 USD 70206666.810000 USD 3078527.490000 N N N N/A N/A 000000000 1.000000 NC USD 1706309.700000 0.0530188 N/A DE US N 2 UBS Asset Management Holding Ltd 549300MOMNGW0OI5CD23 N/A ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL) Y 2021-08-25 0.000000 USD 0.000000 USD 49149686.560000 USD 1706309.700000 N N N N/A N/A 000000000 1.000000 NC USD -4598925.540000 -0.1428987 N/A DE US N 2 HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 N/A ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL) Y 2021-09-15 0.000000 USD 0.000000 USD 59389267.140000 USD -4598925.540000 N N N N/A N/A 000000000 1.000000 NC USD 7020184.320000 0.2181326 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL) Y 2021-04-14 0.000000 USD 0.000000 USD 159975624.280000 USD 7020184.320000 N N N N/A N/A 000000000 201.000000 NC 242557.800000 0.0075368 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2021-06-08 40372871.700000 EUR 242557.800000 N N N N/A N/A 000000000 1.000000 NC 23694.100000 0.0007362 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2532763.590000 USD 52299000.000000 MXN 2021-04-14 23694.100000 N N N N/A N/A 000000000 1.000000 NC 3144.030000 0.0000977 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 809434.110000 USD 61563459.000000 RUB 2021-04-22 3144.030000 N N N N/A N/A 000000000 1.000000 NC -5173.420000 -0.0001607 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 795946.580000 USD 59911446.000000 RUB 2021-04-22 -5173.420000 N N N N/A N/A 000000000 1.000000 NC -8884.930000 -0.0002761 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 843943.850000 USD 63266673.000000 RUB 2021-04-22 -8884.930000 N N N N/A N/A 000000000 1.000000 NC -1107.660000 -0.0000344 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 55682.780000 USD 4148434.000000 RUB 2021-05-21 -1107.660000 N N N N/A N/A 000000000 1.000000 NC 697.590000 0.0000217 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1310935.180000 USD 1765000.000000 SGD 2021-06-16 697.590000 N N N AT&T INC 549300Z40J86GGSTL398 00206RKH4 386000.000000 PA USD 367662.700000 0.0114241 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 400050.770000 0.0124305 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10768273.810000 USD 166383000.000000 ZAR 2021-06-15 400050.770000 N N N N/A N/A 000000000 1.000000 NC -8879.290000 -0.0002759 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2249753.350000 USD 33384000.000000 ZAR 2021-06-15 -8879.290000 N N N N/A N/A 000000000 1.000000 NC 45556.030000 0.0014155 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 13604080.000000 ILS 4140516.190000 USD 2022-03-02 45556.030000 N N N N/A N/A 000000000 1.000000 NC 355614.580000 0.0110497 N/A DCR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 HOCHTIEF AG HOCHTIEF AG Y Single Leg Swap 2025-12-21 370213.570000 EUR 0.000000 EUR 1600000.000000 EUR -14598.990000 N N N N/A N/A 000000000 1.000000 NC -42613.470000 -0.0013241 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1767909.230000 USD 2271000.000000 AUD 2021-05-17 -42613.470000 N N N N/A N/A 000000000 1.000000 NC -32769.270000 -0.0010182 N/A DFE CO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1173000.000000 USD 4178530980.000000 COP 2021-05-18 -32769.270000 N N N N/A N/A 000000000 1.000000 NC 4212.770000 0.0001309 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 411655.360000 USD 8526000.000000 MXN 2021-05-04 4212.770000 N N N N/A N/A 000000000 1.000000 NC 167152.300000 0.0051938 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 14292704.500000 USD 300567000.000000 MXN 2021-09-03 167152.300000 N N N N/A N/A 000000000 1.000000 NC 3668.970000 0.0001140 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 404987.530000 USD 8526000.000000 MXN 2021-10-05 3668.970000 N N N N/A N/A 000000000 1.000000 NC -27933.300000 -0.0008679 N/A DFE RU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1936920.150000 USD 145108344.000000 RUB 2021-05-21 -27933.300000 N N N N/A N/A 000000000 1.000000 NC -1046.780000 -0.0000325 N/A DFE RU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 57163.860000 USD 4265643.000000 RUB 2021-05-21 -1046.780000 N N N N/A N/A 000000000 1.000000 NC -15172.140000 -0.0004714 N/A DFE RU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 599643.770000 USD 44613694.000000 RUB 2021-06-22 -15172.140000 N N N N/A N/A 000000000 1.000000 NC 77736.640000 0.0024154 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 43586629.880000 USD 58757000.000000 SGD 2021-06-16 77736.640000 N N N N/A N/A 000000000 1.000000 NC 1709.190000 0.0000531 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1947533.170000 USD 2623000.000000 SGD 2021-06-16 1709.190000 N N N N/A N/A 000000000 1.000000 NC 83565.710000 0.0025966 N/A DFE ZA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1679048.470000 USD 26259000.000000 ZAR 2021-06-15 83565.710000 N N N N/A N/A 000000000 1.000000 NC 8089.650000 0.0002514 N/A DFE ZA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 931813.930000 USD 14445000.000000 ZAR 2022-02-18 8089.650000 N N N N/A N/A 000000000 1.000000 NC 2922613.630000 0.0908120 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 83832000.000000 EUR 101316354.010000 USD 2021-05-17 2922613.630000 N N N N/A N/A 000000000 1.000000 NC 286732.930000 0.0089094 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6744000.000000 EUR 8202175.540000 USD 2021-05-17 286732.930000 N N N N/A N/A 000000000 1.000000 NC 168605.900000 0.0052390 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 8187000.000000 EUR 9777699.710000 USD 2021-05-17 168605.900000 N N N N/A N/A 000000000 1.000000 NC 4579.080000 0.0001423 N/A DFE HK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 28612000.000000 HKD 3685633.920000 USD 2021-06-16 4579.080000 N N N N/A N/A 000000000 1.000000 NC 38768.050000 0.0012046 N/A DFE IL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 9286640.000000 ILS 2832415.290000 USD 2022-01-31 38768.050000 N N N N/A N/A 000000000 1.000000 NC -3585.730000 -0.0001114 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 8526000.000000 MXN 412282.400000 USD 2021-05-04 -3585.730000 N N N N/A N/A 000000000 1.000000 NC 10495.550000 0.0003261 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 34979494.000000 TWD 1249000.000000 USD 2021-06-16 10495.550000 N N N N/A N/A 000000000 1.000000 NC 1330874.050000 0.0413532 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE CROSSOVER SERIES 34 Y Single Leg Swap 2025-12-21 1266241.060000 EUR 0.000000 EUR 9175938.000000 EUR 64632.990000 N N N N/A N/A 000000000 1.000000 NC 2111602.540000 0.0656121 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE CROSSOVER SERIES 35 Y Single Leg Swap 2026-06-21 1955235.240000 EUR 0.000000 EUR 15000000.000000 EUR 156367.300000 N N N N/A N/A 000000000 -2300000.000000 NC -945.450000 -0.0000294 N/A DCR US 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 0.800000 EUR 2021-06-16 XXXX 1468.460000 N N N N/A N/A 000000000 -4100000.000000 NC -983.680000 -0.0000306 N/A DCR US 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 2021-05-19 XXXX 3187.470000 N N N N/A N/A 000000000 -8000000.000000 NC -1919.380000 -0.0000596 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 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 2021-05-19 XXXX 6234.340000 N N N N/A N/A 000000000 -5000000.000000 NC -1797.510000 -0.0000559 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 0.850000 EUR 2021-06-16 XXXX 3355.500000 N N N N/A N/A 000000000 -1900000.000000 NC -311.840000 -0.0000097 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 0.900000 EUR 2021-05-19 XXXX 1993.900000 N N N N/A N/A 000000000 -2300000.000000 NC -826.860000 -0.0000257 N/A DCR US 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 2021-06-16 XXXX 1640.060000 N N N N/A N/A 000000000 -8600000.000000 NC -3535.170000 -0.0001098 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 0.800000 EUR 2021-06-16 XXXX 5641.670000 N N N N/A N/A 000000000 -4300000.000000 NC -890.920000 -0.0000277 N/A DCR US 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 2021-05-19 XXXX 3519.020000 N N N N/A N/A 000000000 -1700000.000000 NC -486.550000 -0.0000151 N/A DCR US 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 0.700000 EUR 2021-05-19 XXXX 1369.720000 N N N N/A N/A 000000000 -1700000.000000 NC -475.440000 -0.0000148 N/A DCR US 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 2021-05-19 XXXX 246.440000 N N N N/A N/A 000000000 -1500000.000000 NC -121.290000 -0.0000038 N/A DCR US 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 0.750000 EUR 2021-04-21 XXXX 1962.250000 N N N N/A N/A 000000000 -9400000.000000 NC -760.060000 -0.0000236 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 14306.350000 N N N N/A N/A 000000000 -12800000.000000 NC -939.660000 -0.0000292 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 16586.660000 N N N N/A N/A 000000000 -2300000.000000 NC -20.750000 -0.0000006 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 1371.840000 N N N N/A N/A 000000000 -2300000.000000 NC -185.980000 -0.0000058 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 3184.090000 N N N N/A N/A 000000000 -4500000.000000 NC -1287.940000 -0.0000400 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 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 2021-05-19 XXXX 3260.620000 N N N N/A N/A 000000000 -11400000.000000 NC -3262.780000 -0.0001014 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 0.700000 EUR 2021-05-19 XXXX 9498.660000 N N N N/A N/A 000000000 -4500000.000000 NC -1258.490000 -0.0000391 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 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 2021-05-19 XXXX 801.510000 N N N N/A N/A 000000000 -4500000.000000 NC -1849.810000 -0.0000575 N/A DCR US 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 2021-06-16 XXXX 3023.860000 N N N N/A N/A 000000000 -3900000.000000 NC -808.050000 -0.0000251 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 0.800000 EUR 2021-05-19 XXXX 4023.790000 N N N N/A N/A 000000000 -5200000.000000 NC -420.460000 -0.0000131 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 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 6292.570000 N N N N/A N/A 000000000 -2400000.000000 NC -176.190000 -0.0000055 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 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 2722.410000 N N N N/A N/A 000000000 -8300000.000000 NC -6902.640000 -0.0002145 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 2021-07-21 XXXX 3999.870000 N N N N/A N/A 000000000 -8300000.000000 NC -5131.450000 -0.0001594 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 0.400000 EUR 2021-07-21 XXXX -512.190000 N N N N/A N/A 000000000 -4800000.000000 NC -3991.890000 -0.0001240 N/A DCR US 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 2021-07-21 XXXX 2351.360000 N N N N/A N/A 000000000 -2300000.000000 NC -476.540000 -0.0000148 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 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 2021-05-19 XXXX 2021.020000 N N N N/A N/A 000000000 -1800000.000000 NC -295.440000 -0.0000092 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 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 2021-05-19 XXXX 1888.950000 N N N N/A N/A 000000000 -6200000.000000 NC -55.910000 -0.0000017 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 2937.030000 N N N N/A N/A 000000000 -4200000.000000 NC -1007.680000 -0.0000313 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 2021-05-19 XXXX 3488.690000 N N N N/A N/A 000000000 -1600000.000000 NC -117.460000 -0.0000036 N/A DCR US 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 0.800000 EUR 2021-04-21 XXXX 1815.100000 N N N N/A N/A 000000000 1.000000 NC 16097319.660000 0.5001791 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 34 Y Single Leg Swap 2025-12-21 15042722.570000 EUR 0.000000 EUR 513000000.000000 EUR 1054597.090000 N N N N/A N/A 000000000 1.000000 NC -7104.850000 -0.0002208 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1562721.610000 USD 9867386.000000 DKK 2021-04-09 -7104.850000 N N N N/A N/A 000000000 1.000000 NC -34057.980000 -0.0010583 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3348637.860000 USD 2404000.000000 GBP 2021-05-17 -34057.980000 N N N N/A N/A 000000000 1.000000 NC -323179.730000 -0.0100419 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7011927.950000 USD 740300000.000000 JPY 2021-05-17 -323179.730000 N N N N/A N/A 000000000 1.000000 NC 150929.010000 0.0046897 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 18359686.240000 USD 386196000.000000 MXN 2021-10-05 150929.010000 N N N N/A N/A 000000000 1.000000 NC 7158.920000 0.0002224 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 9867386.000000 DKK 1565101.150000 USD 2021-07-01 7158.920000 N N N N/A N/A 000000000 1.000000 NC 261554.980000 0.0081271 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 12537000.000000 EUR 14976250.120000 USD 2021-05-17 261554.980000 N N N N/A N/A 000000000 1.000000 NC 6085.870000 0.0001891 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 403000.000000 GBP 561733.000000 USD 2021-05-17 6085.870000 N N N N/A N/A 000000000 1.000000 NC -145041.360000 -0.0045068 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 386196000.000000 MXN 18732828.870000 USD 2021-04-14 -145041.360000 N N N N/A N/A 000000000 1.000000 NC 22035.040000 0.0006847 N/A DFE SE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7070000.000000 SEK 831870.530000 USD 2021-05-17 22035.040000 N N N AVERY POINT V CLO LTD 2014-5A N/A 05363XAN7 218211.420000 PA USD 218237.280000 0.0067811 Long ABS-CBDO CORP KY N 2 2026-07-17 Floating 1.20338 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05367AAJ2 48000.000000 PA USD 48700.850000 0.0015132 Long DBT CORP US N 2 2022-01-20 Fixed 2.875 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAF8 12000.000000 PA USD 12767.960000 0.0003967 Long DBT CORP US N 2 2024-01-30 Fixed 4.375 N N N N N N N/A N/A 000000000 1.000000 NC 34667.960000 0.0010772 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 17126582.200000 CNY 2628792.360000 USD 2021-06-16 34667.960000 N N N N/A N/A 000000000 1.000000 NC 31231.150000 0.0009704 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 103646505.000000 TWD 3701000.000000 USD 2021-06-16 31231.150000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAD3 1200000.000000 PA USD 1280190.860000 0.0397783 Long DBT CORP US N 2 2025-08-01 Fixed 4.125 N N N N N N N/A N/A 000000000 1.000000 NC -10698.170000 -0.0003324 N/A DFE KR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2464744800.000000 KRW 2175000.000000 USD 2021-06-16 -10698.170000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAH4 1060000.000000 PA USD 1186209.300000 0.0368581 Long DBT CORP US N 2 2024-12-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 33619.810000 0.0010446 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1373000.000000 AUD 1076698.220000 USD 2021-05-17 33619.810000 N N N N/A N/A 000000000 1.000000 NC 31176.690000 0.0009687 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2040000.000000 AUD 1580980.010000 USD 2021-05-17 31176.690000 N N N N/A N/A 000000000 1.000000 NC -23617.340000 -0.0007338 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2719000.000000 CAD 2140131.800000 USD 2021-05-17 -23617.340000 N N N N/A N/A 000000000 1.000000 NC 36302.660000 0.0011280 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6819000.000000 CAD 5462784.970000 USD 2021-05-17 36302.660000 N N N N/A N/A 000000000 1.000000 NC 14849.520000 0.0004614 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2630718.000000 DKK 429588.440000 USD 2021-04-09 14849.520000 N N N N/A N/A 000000000 1.000000 NC 103012.620000 0.0032008 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5970000.000000 EUR 7110010.310000 USD 2021-05-17 103012.620000 N N N N/A N/A 000000000 1.000000 NC 9093.160000 0.0002825 N/A DFE GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 835000.000000 GBP 1160371.950000 USD 2021-05-17 9093.160000 N N N N/A N/A 000000000 1.000000 NC 7854.080000 0.0002440 N/A DFE GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2029000.000000 GBP 2805392.590000 USD 2021-05-17 7854.080000 N N N N/A N/A 000000000 1.000000 NC 11015.340000 0.0003423 N/A DFE IL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2110200.000000 ILS 645814.840000 USD 2022-01-31 11015.340000 N N N N/A N/A 000000000 1.000000 NC 83921.290000 0.0026076 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 592100000.000000 JPY 5433654.940000 USD 2021-05-17 83921.290000 N N N N/A N/A 000000000 1.000000 NC 4706.730000 0.0001462 N/A DFE NO N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3553870.000000 NOK 420213.310000 USD 2021-05-14 4706.730000 N N N N/A N/A 000000000 1.000000 NC USD 606543.900000 0.0188467 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2021-08-25 0.000000 USD 0.000000 USD 26466802.400000 USD 606543.900000 N N N N/A N/A 000000000 1.000000 NC USD -115343.440000 -0.0035840 N/A DE US N 2 Citibank International Limited N/A MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2021-09-15 0.000000 USD 0.000000 USD 41742594.220000 USD -115343.440000 N N N N/A N/A 000000000 1.000000 NC USD -143549.120000 -0.0044604 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2021-07-07 0.000000 USD 0.000000 USD 52011401.570000 USD -143549.120000 N N N N/A N/A 000000000 1.000000 NC USD -101279.270000 -0.0031470 N/A DE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2022-02-23 0.000000 USD 0.000000 USD 24539581.900000 USD -101279.270000 N N N N/A N/A 000000000 1.000000 NC USD -181322.300000 -0.0056341 N/A DE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2021-06-09 0.000000 USD 0.000000 USD 65918423.680000 USD -181322.300000 N N N AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD) 635400CPI3EOIFF6OC33 70014LAA8 12000.000000 PA USD 12601.750000 0.0003916 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 -17435.250000 -0.0005418 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ROLLS-ROYCE PLC ROLLS-ROYCE PLC Y Single Leg Swap 2025-12-21 0.000000 EUR -19478.160000 EUR 200000.000000 EUR 2042.910000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAA9 7000.000000 PA USD 7431.300000 0.0002309 Long DBT CORP KY N 2 2023-01-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -13376979.980000 -0.4156522 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 S&P 500 INDEX N/A N/A Y 2021-10-06 0.000000 USD 0.000000 USD 307361884.900000 USD -13376979.980000 N N N N/A N/A 000000000 1.000000 NC USD -7420711.070000 -0.2305778 N/A DE US N 2 Citibank International Limited N/A S&P 500 INDEX N/A N/A Y 2021-04-14 0.000000 USD 0.000000 USD 170603131.380000 USD -7420711.070000 N N N N/A N/A 000000000 1.000000 NC USD -294389.790000 -0.0091473 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 225614997.470000 USD -294389.790000 N N N N/A N/A 000000000 1.000000 NC USD -6776552.900000 -0.2105624 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 S&P 500 INDEX N/A N/A Y 2022-02-16 0.000000 USD 0.000000 USD 156033000.430000 USD -6776552.900000 N N N N/A N/A 000000000 1.000000 NC USD -5000978.770000 -0.1553914 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 S&P 500 INDEX N/A N/A Y 2022-02-23 0.000000 USD 0.000000 USD 670971805.030000 USD -5000978.770000 N N N N/A N/A 000000000 1.000000 NC USD -4205603.390000 -0.1306773 N/A DE US N 2 Citibank International Limited N/A S&P 500 INDEX N/A N/A Y 2021-04-14 0.000000 USD 0.000000 USD 96947409.800000 USD -4205603.390000 N N N N/A N/A 000000000 1.000000 NC -92149.350000 -0.0028633 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3174289.370000 USD 2626000.000000 EUR 2021-05-17 -92149.350000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAB7 1743000.000000 PA USD 1859552.600000 0.0577804 Long DBT CORP KY N 2 2023-10-01 Fixed 5.125 N N N N N N N/A N/A 000000000 1.000000 NC 77999.450000 0.0024236 N/A DFE CH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1256000.000000 CHF 1408364.790000 USD 2021-05-17 77999.450000 N N N N/A N/A 000000000 1.000000 NC 182862.840000 0.0056820 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 391200000.000000 JPY 3717427.610000 USD 2021-05-17 182862.840000 N N N N/A N/A 000000000 1.000000 NC 34716.330000 0.0010787 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 274100000.000000 JPY 2511260.820000 USD 2021-05-17 34716.330000 N N N N/A N/A 000000000 1.000000 NC -152443.700000 -0.0047368 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 14376613.400000 USD 209265984600.000000 IDR 2021-06-16 -152443.700000 N N N N/A N/A 000000000 1.000000 NC 4689.390000 0.0001457 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 604203.450000 USD 45063004.000000 INR 2021-06-16 4689.390000 N N N AVON FINANCE NO 2 PLC 2A N/A ACI1RJQB0 5087143.650000 PA 7028297.950000 0.2183847 Long ABS-MBS CORP GB N 2 2048-09-20 Floating 0.94852 N N N N N N N/A N/A 000000000 1.000000 NC 1215592.650000 0.0377711 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1242657635.000000 TWD 45213856.610000 USD 2021-06-16 1215592.650000 N N N N/A N/A 000000000 241600000.000000 NC USD 2600775.680000 0.0808118 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.85000 03/20/24-2Y LCH N/A N/A 2026-03-20 0.000000 USD 0.000000 USD N/A USD N/A 0.020000 USD 2024-03-18 XXXX 281415.680000 N N N N/A N/A 000000000 -483200000.000000 NC USD -2761971.200000 -0.0858205 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.80000 03/20/24-2Y LCH N/A N/A 2026-03-20 0.000000 USD 0.000000 USD N/A USD N/A 0.030000 USD 2024-03-18 XXXX -442611.200000 N N N BAIDU INC 254900AL64IANZYI1E02 056752AQ1 289000.000000 PA USD 304451.660000 0.0094600 Long DBT CORP KY N 2 2025-04-07 Fixed 3.075 N N N N N N N/A N/A 000000000 1.000000 NC 235664.810000 0.0073226 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 800000.000000 GBP 235664.810000 N N N N/A N/A 000000000 1.000000 NC 359835.670000 0.0111809 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 1400000.000000 GBP 359835.670000 N N N N/A N/A 000000000 1.000000 NC 131073.580000 0.0040727 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 700000.000000 GBP 131073.580000 N N N N/A N/A 000000000 1.000000 NC -288898.900000 -0.0089767 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 1900000.000000 GBP -288898.900000 N N N N/A N/A 000000000 1.000000 NC -180839.450000 -0.0056191 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 -305.920000 GBP 1400000.000000 GBP -180533.530000 N N N N/A N/A 000000000 1.000000 NC -245027.010000 -0.0076135 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 1900000.000000 GBP -245027.010000 N N N N/A N/A 000000000 1.000000 NC 1711185.890000 0.0531703 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-08-15 585442.850000 GBP 0.000000 GBP 148700000.000000 GBP 1125743.040000 N N N N/A N/A 000000000 1.000000 NC -170863.630000 -0.0053091 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 1700000.000000 GBP -170863.630000 N N N N/A N/A 000000000 1.000000 NC 56892.340000 0.0017678 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 1100000.000000 GBP 56892.340000 N N N N/A N/A 000000000 1.000000 NC 82381.740000 0.0025598 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 1900000.000000 GBP 82381.740000 N N N N/A N/A 000000000 1.000000 NC -5695418.150000 -0.1769692 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 -390311.230000 GBP 170800000.000000 GBP -5305106.920000 N N N N/A N/A 000000000 1.000000 NC 32050.700000 0.0009959 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-11-15 0.000000 GBP 0.000000 GBP 1000000.000000 GBP 32050.700000 N N N N/A N/A 000000000 1.000000 NC 149693.830000 0.0046513 N/A DIR AU N 2 London Clearing house N/A AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2031-06-16 163751.160000 AUD 0.000000 AUD 20600000.000000 AUD -14057.330000 N N N N/A N/A 000000000 1.000000 NC -99871.910000 -0.0031032 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 25600000.000000 CAD -99871.910000 N N N N/A N/A 000000000 1.000000 NC -198527.970000 -0.0061687 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 51200000.000000 CAD -198527.970000 N N N N/A N/A 000000000 1.000000 NC 3319468.490000 0.1031432 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2024-12-18 5160257.510000 CAD 0.000000 CAD 173200000.000000 CAD -1840789.020000 N N N BANC OF AMERICA FUNDING CORP 2004-A N/A 06051GAX7 1665.960000 PA USD 1694.410000 0.0000526 Long ABS-MBS CORP US N 2 2034-09-20 Floating 2.80889 N N N N N N N/A N/A 000000000 1.000000 NC -16858.520000 -0.0005238 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 24800000.000000 CNY -16858.520000 N N N N/A N/A 000000000 1.000000 NC -22640.450000 -0.0007035 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 34200000.000000 CNY -22640.450000 N N N N/A N/A 000000000 1.000000 NC -20209.520000 -0.0006280 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 34200000.000000 CNY -20209.520000 N N N N/A N/A 000000000 1.000000 NC -18994.080000 -0.0005902 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 34200000.000000 CNY -18994.080000 N N N N/A N/A 000000000 1.000000 NC -3192.000000 -0.0000992 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 34200000.000000 CNY -3192.000000 N N N N/A N/A 000000000 1.000000 NC 13160.970000 0.0004089 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 68900000.000000 CNY 13160.970000 N N N BANC OF AMERICA FUNDING CORP 2004-D N/A 05946XMY6 131.320000 PA USD 132.160000 0.0000041 Long ABS-MBS CORP US N 2 2034-06-25 Floating 3.16756 N N N N N N BANC OF AMERICA FUNDING CORP 2005-A N/A 05946XQX4 10758.560000 PA USD 11782.680000 0.0003661 Long ABS-MBS CORP US N 2 2035-02-20 Floating 3.11315 N N N N N N N/A N/A 000000000 1.000000 NC -1647527.130000 -0.0511923 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2031-06-16 0.000000 EUR -1819891.550000 EUR 41100000.000000 EUR 172364.420000 N N N N/A N/A 000000000 1.000000 NC 2500442.150000 0.0776942 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2051-06-16 2715592.560000 EUR 0.000000 EUR 15300000.000000 EUR -215150.410000 N N N BANC OF AMERICA FUNDING CORP 2006-6 N/A 05950RBJ7 12628.140000 PA USD 12789.820000 0.0003974 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 Y N N N N N N/A N/A 000000000 1.000000 NC -1667814.390000 -0.0518227 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2051-03-17 0.000000 JPY -1993221.420000 JPY 3260000000.000000 JPY 325407.030000 N N N N/A N/A 000000000 1.000000 NC -273882.880000 -0.0085101 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 -342550.340000 JPY 1230000000.000000 JPY 68667.460000 N N N BANC OF AMERICA FUNDING CORP 2006-H N/A 05950PAK9 601078.560000 PA USD 575430.780000 0.0178799 Long ABS-MBS CORP US N 2 2046-09-20 Floating 2.96646 Y N N N N N BANC OF AMERICA FUNDING CORP 2006-H N/A 05950PAU7 7961.270000 PA USD 6694.030000 0.0002080 Long ABS-MBS CORP US N 2 2036-10-20 Floating 0.49088 N N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 518.770000 PA USD 499.140000 0.0000155 Long ABS-MBS CORP US N 2 2047-01-20 Floating 3.37563 Y N N N N N N/A N/A 000000000 1.000000 NC USD -5131224.870000 -0.1594384 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-16 0.000000 USD -4639075.950000 USD 74300000.000000 USD -492148.920000 N N N N/A N/A 000000000 1.000000 NC USD 1406738.450000 0.0437105 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-12-16 0.000000 USD -209300.250000 USD 20800000.000000 USD 1616038.700000 N N N N/A N/A 000000000 1.000000 NC USD 191500.310000 0.0059503 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-12-16 1096730.370000 USD 0.000000 USD 48700000.000000 USD -905230.060000 N N N N/A N/A 000000000 1.000000 NC USD 5385568.720000 0.1673415 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-06-16 5054068.210000 USD 0.000000 USD 23800000.000000 USD 331500.510000 N N N BANC OF AMERICA FUNDING CORP 2007-A N/A 05952DAR9 664062.810000 PA USD 676465.510000 0.0210193 Long ABS-MBS CORP US N 2 2047-02-20 Floating 0.57088 N N N N N N BANC OF AMERICA FUNDING CORP 2007-B N/A 05952EAA4 5088.110000 PA USD 5008.220000 0.0001556 Long ABS-MBS CORP US N 2 2047-04-20 Floating 0.53088 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-D N/A 05952GAT8 13096.640000 PA USD 12548.170000 0.0003899 Long ABS-MBS CORP US N 2 2037-06-20 Floating 2.97552 Y N N N N N N/A N/A 000000000 1.000000 NC -2843536.580000 -0.0883549 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2031-06-16 0.000000 GBP -3159209.960000 GBP 37500000.000000 GBP 315673.380000 N N N N/A N/A 000000000 1.000000 NC 6516206.670000 0.2024729 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2051-06-16 7163533.590000 GBP 0.000000 GBP 39000000.000000 GBP -647326.920000 N N N N/A N/A 000000000 1.000000 NC -1120982.330000 -0.0348314 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL -1186422.700000 BRL 1243000000.000000 BRL 65440.370000 N N N N/A N/A 000000000 1.000000 NC 15321.700000 0.0004761 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 2398000.000000 CAD 1923622.710000 USD 2021-05-17 15321.700000 N N N N/A N/A 000000000 1.000000 NC -135085.090000 -0.0041974 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 2626342.480000 USD 2352000.000000 CHF 2021-05-17 -135085.090000 N N N N/A N/A 000000000 1.000000 NC -703.990000 -0.0000219 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 16322116.520000 USD 333897000.000000 MXN 2021-04-14 -703.990000 N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 ACI0LW0M3 1000000.000000 PA 1176019.930000 0.0365415 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 N/A N/A 000000000 1.000000 NC 4649.460000 0.0001445 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 842620.960000 USD 64191855.000000 RUB 2021-04-22 4649.460000 N N N N/A N/A 000000000 1.000000 NC -1008.340000 -0.0000313 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 57207.760000 USD 4271902.000000 RUB 2021-05-21 -1008.340000 N N N N/A N/A 000000000 1.000000 NC -12966.320000 -0.0004029 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 609736.090000 USD 45552431.000000 RUB 2021-06-22 -12966.320000 N N N N/A N/A 000000000 1.000000 NC -11903.150000 -0.0003699 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 608702.630000 USD 45554699.000000 RUB 2021-06-22 -11903.150000 N N N N/A N/A 000000000 1.000000 NC -12450.830000 -0.0003869 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 685257.890000 USD 51142269.000000 RUB 2021-05-21 -12450.830000 N N N N/A N/A 000000000 1.000000 NC 191401.630000 0.0059473 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 11846000.000000 AUD 9190896.790000 USD 2021-05-17 191401.630000 N N N N/A N/A 000000000 1.000000 NC 36808.610000 0.0011437 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 1842000.000000 CHF 1987869.890000 USD 2021-05-17 36808.610000 N N N N/A N/A 000000000 1.000000 NC 22044.170000 0.0006850 N/A DFE DK N 2 UBS AG BFM8T61CT2L1QCEMIK50 3566615.000000 DKK 584329.470000 USD 2021-04-09 22044.170000 N N N N/A N/A 000000000 1.000000 NC 278156.880000 0.0086429 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 15848000.000000 EUR 18878977.540000 USD 2021-05-17 278156.880000 N N N N/A N/A 000000000 1.000000 NC 73376.970000 0.0022800 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 6922000.000000 EUR 8197738.440000 USD 2021-05-17 73376.970000 N N N N/A N/A 000000000 1.000000 NC 2731.760000 0.0000849 N/A DFE HK N 2 UBS AG BFM8T61CT2L1QCEMIK50 20425000.000000 HKD 2630494.420000 USD 2021-06-16 2731.760000 N N N N/A N/A 000000000 1.000000 NC 1927071.940000 0.0598784 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 4828800000.000000 JPY 45556178.220000 USD 2021-05-17 1927071.940000 N N N N/A N/A 000000000 -1100000.000000 NC USD -27162.960000 -0.0008440 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 102.250000 USD 2021-04-07 XXXX -22350.460000 N N N N/A N/A 000000000 -2800000.000000 NC USD -9781.240000 -0.0003039 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 100.390000 USD 2021-05-06 XXXX 4656.260000 N N N N/A N/A 000000000 -4300000.000000 NC USD -3804.640000 -0.0001182 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 101.450000 USD 2021-05-06 XXXX 11312.550000 N N N N/A N/A 000000000 -4700000.000000 NC USD -5476.910000 -0.0001702 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 98.950000 USD 2021-04-07 XXXX 12148.090000 N N N N/A N/A 000000000 -4300000.000000 NC USD -16506.840000 -0.0005129 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 101.550000 USD 2021-05-06 XXXX 5329.100000 N N N N/A N/A 000000000 -2700000.000000 NC USD -19811.250000 -0.0006156 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 99.550000 USD 2021-05-06 XXXX -2514.370000 N N N N/A N/A 000000000 -4700000.000000 NC USD -31273.800000 -0.0009717 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% JUN 30YR N/A 101.590000 USD 2021-06-07 XXXX -2449.580000 N N N N/A N/A 000000000 -10500000.000000 NC USD -67960.200000 -0.0021117 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUN 30YR N/A 100.050000 USD 2021-06-07 XXXX -10128.170000 N N N N/A N/A 000000000 -4000000.000000 NC USD -40364.400000 -0.0012542 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUN 30YR N/A 99.380000 USD 2021-06-07 XXXX -9739.400000 N N N N/A N/A 000000000 -6000000.000000 NC USD -82825.800000 -0.0025736 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 1.5% APR 30YR N/A 98.020000 USD 2021-04-07 XXXX -66888.300000 N N N N/A N/A 000000000 -3000000.000000 NC USD -6.000000 -0.0000002 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 101.860000 USD 2021-04-07 XXXX 6556.500000 N N N N/A N/A 000000000 -9200000.000000 NC USD -46263.120000 -0.0014375 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 98.690000 USD 2021-05-06 XXXX -10325.620000 N N N N/A N/A 000000000 -3000000.000000 NC USD -8078.100000 -0.0002510 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 99.610000 USD 2021-04-07 XXXX 2234.400000 N N N N/A N/A 000000000 -1100000.000000 NC USD -4085.950000 -0.0001270 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% JUN 30YR N/A 103.890000 USD 2021-06-07 XXXX 425.770000 N N N N/A N/A 000000000 -4700000.000000 NC USD -742.130000 -0.0000231 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 100.950000 USD 2021-04-07 XXXX 11742.250000 N N N N/A N/A 000000000 -1700000.000000 NC USD -5304.000000 -0.0001648 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 104.180000 USD 2021-05-06 XXXX -323.530000 N N N N/A N/A 000000000 -1200000.000000 NC USD -4072.920000 -0.0001266 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% JUN 30YR N/A 103.760000 USD 2021-06-07 XXXX 989.580000 N N N N/A N/A 000000000 -4000000.000000 NC USD -25956.000000 -0.0008065 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% JUN 30YR N/A 101.510000 USD 2021-06-07 XXXX -3768.500000 N N N N/A N/A 000000000 -2000000.000000 NC USD -16.800000 -0.0000005 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 101.610000 USD 2021-04-07 XXXX 4358.200000 N N N N/A N/A 000000000 -2400000.000000 NC USD -9053.520000 -0.0002813 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% JUN 30YR N/A 103.910000 USD 2021-06-07 XXXX 321.480000 N N N N/A N/A 000000000 -2600000.000000 NC USD -53646.320000 -0.0016669 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 101.840000 USD 2021-04-07 XXXX -45521.320000 N N N N/A N/A 000000000 -2900000.000000 NC USD -15006.340000 -0.0004663 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 102.120000 USD 2021-05-06 XXXX -1979.000000 N N N N/A N/A 000000000 -4000000.000000 NC USD -19702.000000 -0.0006122 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUN 30YR N/A 100.380000 USD 2021-06-07 XXXX 5298.000000 N N N N/A N/A 000000000 -7400000.000000 NC USD -43031.740000 -0.0013371 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% JUN 30YR N/A 101.170000 USD 2021-06-07 XXXX 905.760000 N N N N/A N/A 000000000 -3000000.000000 NC USD -7.200000 -0.0000002 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 101.830000 USD 2021-04-07 XXXX 6555.300000 N N N N/A N/A 000000000 -3000000.000000 NC USD -10725.600000 -0.0003333 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 99.830000 USD 2021-04-07 XXXX -413.100000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BQQ3S0II9 500000.000000 PA 599176.410000 0.0186177 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 N/A N/A 000000000 -3100000.000000 NC USD -17300.170000 -0.0005376 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 102.250000 USD 2021-05-06 XXXX -3979.860000 N N N N/A N/A 000000000 -1500000.000000 NC USD -33291.450000 -0.0010344 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 102.000000 USD 2021-04-07 XXXX -29717.230000 N N N N/A N/A 000000000 -23704000.000000 NC USD -524616.930000 -0.0163010 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 -91592.260000 N N N N/A N/A 000000000 -23704000.000000 NC USD -274729.360000 -0.0085364 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 252921.680000 N N N N/A N/A 000000000 -17867000.000000 NC USD -398344.770000 -0.0123774 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 -45024.840000 N N N N/A N/A 000000000 -17867000.000000 NC USD -182118.330000 -0.0056588 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 171201.600000 N N N N/A N/A 000000000 24692000.000000 NC USD 295341.010000 0.0091769 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Purchased None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2022-01-25 N/A 28.490000 USD 2022-01-25 XXXX 145411.190000 N N N N/A N/A 000000000 -49384000.000000 NC USD -299810.260000 -0.0093158 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 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 2022-01-25 N/A 29.500000 USD 2022-01-25 XXXX -149880.440000 N N N N/A N/A 000000000 695.000000 NC USD -528838.850000 -0.0164322 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2021-06-21 91001562.500000 USD -528838.850000 N N N N/A N/A 000000000 -239.000000 NC USD 376851.380000 0.0117096 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-06-30 -29492226.680000 USD 376851.380000 N N N N/A N/A 000000000 295.000000 NC USD -1839565.430000 -0.0571593 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2021-06-21 45605156.250000 USD -1839565.430000 N N N N/A N/A 000000000 -731.000000 NC USD 6232754.090000 0.1936654 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-06-21 -132470906.250000 USD 6232754.090000 N N N N/A N/A 000000000 1.000000 NC 595051.550000 0.0184896 N/A DCR NL N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 VOLKSWAGEN INTERNATIONAL FINANCE NV VOLKSWAGEN INTL FIN NV CO GTD Y Single Leg Swap 2025-12-21 298311.530000 EUR 0.000000 EUR 24300000.000000 EUR 296740.020000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHQ5 143000.000000 PA USD 158875.470000 0.0049366 Long DBT CORP US N 2 2030-02-07 Floating 3.974 N N N N N N BANK OF AMERICA MTG SEC 2005-3 N/A 05949A6C9 7851.220000 PA USD 7440.590000 0.0002312 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.29852 Y N N N N N BANK OF AMERICA MTGE SEC 2003-D N/A 05948XBS9 9746.730000 PA USD 10116.420000 0.0003143 Long ABS-MBS CORP US N 2 2033-05-25 Floating 4.40268 N N N N N N BANK OF AMERICA MTGE SEC 2003-D N/A 05948XBV2 389.170000 PA USD 404.800000 0.0000126 Long ABS-MBS CORP US N 2 2033-05-25 Floating 4.40268 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-A N/A 05948XT27 9093.740000 PA USD 9320.440000 0.0002896 Long ABS-MBS CORP US N 2 2034-02-25 Fixed 2.52738 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-E N/A 05949AHA1 7355.970000 PA USD 7513.480000 0.0002335 Long ABS-MBS CORP US N 2 2034-06-25 Floating 3.58411 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-L N/A 05949AZE3 11385.700000 PA USD 11340.370000 0.0003524 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.64859 N N N N N N BANK OF IRELAND GROUP PLC 635400C8EK6DRI12LJ39 ACI1MF377 300000.000000 PA 410122.860000 0.0127434 Long DBT CORP IE N 2 2025-05-19 Floating 7.5 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 282000.000000 PA USD 309570.430000 0.0096190 Long DBT CORP GB N 2 2022-11-21 Fixed 7.625 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06739FFU0 3893000.000000 PA USD 3959998.180000 0.1230458 Long DBT CORP GB N 2 2021-06-12 Fixed 10.179 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI0G5LH6 600000.000000 PA 890160.940000 0.0276593 Long DBT CORP GB N 2 2022-09-15 Floating 7.875 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI0PG9W3 1600000.000000 PA USD 1685000.000000 0.0523567 Long DBT CORP GB N 2 2022-03-15 Floating 7.875 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI0SSSH6 300000.000000 PA 447183.110000 0.0138950 Long DBT CORP GB N 2 2023-03-15 Floating 7.25 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI1CH093 1448000.000000 PA 2252764.730000 0.0699983 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 06738EBC8 924000.000000 PA USD 937493.090000 0.0291300 Long DBT CORP GB N 2 2024-05-16 Floating 1.57375 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAZ8 86000.000000 PA USD 91663.190000 0.0028482 Long DBT CORP US N 2 2024-08-15 Fixed 3.222 N N N N N N BAT INTERNATIONAL FINANCE PLC 21380041YBGOQDFAC823 05530QAK6 152000.000000 PA USD 166465.570000 0.0051725 Long DBT CORP GB N 2 2025-06-15 Fixed 3.95 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND IVA TRUST 2019-SBR1 N/A 07333YAA6 46724.070000 PA USD 46984.510000 0.0014599 Long ABS-MBS CORP US N 2 2034-06-28 Fixed 3.4748 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-2 N/A 07384MTD4 49613.090000 PA USD 51366.720000 0.0015961 Long ABS-MBS CORP US N 2 2033-01-25 Floating 2.55919 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-5 N/A 07384MWN8 19785.450000 PA USD 19994.700000 0.0006213 Long ABS-MBS CORP US N 2 2033-08-25 Floating 2.94517 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-6 N/A 07384MXB3 3555.590000 PA USD 3636.700000 0.0001130 Long ABS-MBS CORP US N 2 2033-08-25 Floating 2.76641 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 281.940000 PA USD 280.290000 0.0000087 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.13583 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-1 N/A 07387AGZ2 6506.820000 PA USD 6752.890000 0.0002098 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.37 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZQ8 2.810000 PA USD 2.770000 0.0000001 Long ABS-MBS CORP US N 2 2034-01-25 Floating 2.375 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4E9 481.800000 PA USD 492.540000 0.0000153 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.75648 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AGE9 79045.870000 PA USD 78577.440000 0.0024416 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.05558 Y N N N N N BEAR STEARNS ALT-A TRUST 2003-3 N/A 07386HCE9 248.850000 PA USD 253.610000 0.0000079 Long ABS-MBS CORP US N 2 2033-10-25 Floating 3.544 N N N N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HYW5 7953.930000 PA USD 9882.020000 0.0003071 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.60863 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSP7 6858.020000 PA USD 6874.700000 0.0002136 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.54863 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSY8 1688.490000 PA USD 1724.710000 0.0000536 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.76153 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSZ5 23819.760000 PA USD 24421.270000 0.0007588 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.76153 N N N N N N BEAR STEARNS ALT-A TRUST 2005-5 N/A 07386HUJ8 80187.450000 PA USD 66710.110000 0.0020728 Long ABS-MBS CORP US N 2 2035-07-25 Variable 2.66647 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-8 N/A 07386HWZ0 75469.910000 PA USD 72234.700000 0.0022445 Long ABS-MBS CORP US N 2 2035-10-25 Variable 2.54757 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HXZ9 78360.640000 PA USD 75730.020000 0.0023531 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.24292 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AE5 475992.480000 PA USD 453715.650000 0.0140979 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.42863 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-7 N/A 073875AA4 5108.680000 PA USD 4865.250000 0.0001512 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.44863 Y N N N N N BEAR STEARNS ALT-A TRUST 2007-1 N/A 07386XAA4 47744.470000 PA USD 44345.800000 0.0013779 Long ABS-MBS CORP US N 2 2047-01-25 Floating 0.42863 Y N N N N N BEAR STEARNS ARM 2003-1 N/A 07384MTM4 2388.020000 PA USD 2509.920000 0.0000780 Long ABS-MBS CORP US N 2 2033-04-25 Floating 2.21468 N N N N N N BEAR STEARNS ARM TR 2004-3 N/A 07384MR87 7272.270000 PA USD 7114.000000 0.0002210 Long ABS-MBS CORP US N 2 2034-07-25 Floating 3.48762 N N N N N N BEAR STEARNS ARM TR 2004-8 N/A 07384M2E1 1810.500000 PA USD 1816.410000 0.0000564 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.12053 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSH6 284.510000 PA USD 294.360000 0.0000091 Long ABS-MBS CORP US N 2 2033-02-25 Floating 2.51897 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE11 N/A 073879PA0 5355754.600000 PA USD 5361476.690000 0.1665929 Long ABS-MBS CORP US N 2 2034-12-25 Floating 1.98363 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3 N/A 073888AN9 39387.150000 PA USD 39682.530000 0.0012330 Long ABS-MBS CORP US N 2 2036-07-25 Floating 3.08613 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD4 N/A 07389NAA3 7320.250000 PA USD 7330.580000 0.0002278 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.23106 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE5 N/A 073859AC4 281841.230000 PA USD 280340.060000 0.0087108 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.34863 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6 N/A 07387YAE3 552578.370000 PA USD 526148.990000 0.0163486 Long ABS-MBS CORP US N 2 2037-08-25 Floating 1.15863 N N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE7 N/A 07388HAP4 295675.340000 PA USD 284513.630000 0.0088405 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.26863 N N N N N N BEAR STEARNS ASSETBACKED SEC 2006-3 N/A 07388GAD3 141025.150000 PA USD 139714.670000 0.0043412 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.55863 N N N N N N BERKSHIRE HATHAWAY ENERGY COMPANY 549300JD0S5IZJE9LY15 084659AV3 266000.000000 PA USD 295205.950000 0.0091727 Long DBT CORP US N 2 2030-07-15 Fixed 3.7 N N N N N N BERKSHIRE HATHAWAY ENERGY COMPANY 549300JD0S5IZJE9LY15 084659AX9 18000.000000 PA USD 20694.050000 0.0006430 Long DBT CORP US N 2 2050-10-15 Fixed 4.25 N N N N N N BLACKROCK EUROPEAN CLO VII DAC 7A N/A ACI1W2WD0 4500000.000000 PA 5274355.280000 0.1638858 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.62 N N N N N N BLUEMOUNTAIN FUJI EUR CLO II DAC 17-2A N/A ACI1VBS38 6440000.000000 PA 7559581.520000 0.2348928 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 0.65 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2N3 3500000.000000 PA USD 3425332.020000 0.1064326 Long DBT CORP FR N 2 2027-01-13 Floating 1.323 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DA0 800000.000000 PA USD 824042.420000 0.0256048 Long DBT CORP US N 2 2026-02-01 Fixed 2.75 N N N N N N BPCRE HOLDER LLC 2021-FL1 N/A 05601GAA4 3200000.000000 PA USD 3210018.720000 0.0997423 Long ABS-MBS CORP KY N 2 2037-02-15 Floating 0.956 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 105756CB4 995000.000000 PA USD 906017.150000 0.0281519 Long DBT NUSS BR N 2 2050-01-14 Fixed 4.75 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBH3 1500000.000000 PA USD 1416934.500000 0.0440273 Long DBT CORP US N 2 2031-02-15 Fixed 2.45 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBJ9 800000.000000 PA USD 767274.100000 0.0238409 Long DBT CORP US N 2 2041-02-15 Fixed 3.5 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBG5 300000.000000 PA USD 287369.650000 0.0089292 Long DBT CORP US N 2 2051-02-15 Fixed 3.75 N N N N N N CAIRN CLO IV BV 14-4A N/A ACI1W1H64 4400000.000000 PA 5159880.060000 0.1603288 Long ABS-CBDO CORP NL N 2 2031-04-30 Floating 0.6 N N N N N N CAIRN CLO VII BV 16-7A N/A ACI1G9KT1 746000.000000 PA 874134.340000 0.0271613 Long ABS-CBDO CORP NL N 2 2030-01-31 Floating 0.67 N N N N N N CALIFORNIA STATE PUBLIC WORKS BOARD N/A 130685C81 35000.000000 PA USD 50159.800000 0.0015586 Long DBT MUN US N 2 2035-03-01 Fixed 7.804 N N N N N N CANADIAN PACIFIC RAILWAY COMPANY 54930036474DURYNB481 13645RAP9 43000.000000 PA USD 44322.710000 0.0013772 Long DBT CORP CA N 2 2022-01-15 Fixed 4.5 N N N N N N CARRINGTON MTGE LOAN TRUST 2005-NC5 N/A 144531DP2 1564000.000000 PA USD 1530519.300000 0.0475566 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.85863 Y N N N N N CARRINGTON MTGE LOAN TRUST 2007-FRE1 N/A 144527AC2 458833.270000 PA USD 443316.680000 0.0137748 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.36863 N N N N N N CATAMARAN CLO LTD 2016-1A N/A 14900AAJ8 8200000.000000 PA USD 8207959.000000 0.2550393 Long ABS-CBDO CORP KY N 2 2029-01-18 Floating 1.31338 N N N N N N CBAM 2018-5 LTD 8A N/A 12478CAA9 2097000.000000 PA USD 2098147.060000 0.0651940 Long ABS-CBDO CORP KY N 2 2029-10-20 Floating 1.344 N N N N N N CBAM LTD 2017-2A N/A 12481KAA6 991000.000000 PA USD 991396.250000 0.0308049 Long ABS-CBDO CORP KY N 2 2029-10-17 Floating 1.46338 N N N N N N CBAM LTD 2017-3A N/A 12481HAC9 517000.000000 PA USD 517346.670000 0.0160751 Long ABS-CBDO CORP KY N 2 2029-10-17 Floating 1.45338 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAT8 55000.000000 PA USD 59598.000000 0.0018518 Long DBT CORP US N 2 2029-12-15 Fixed 4.625 N N N N N N CENTEX HOME EQUITY 2004-B N/A 152314JV3 264202.530000 PA USD 260774.320000 0.0081028 Long ABS-MBS CORP US N 2 2034-03-25 Floating 0.75363 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BP8 1032000.000000 PA USD 1060684.350000 0.0329578 Long DBT CORP US N 2 2024-02-01 Floating 1.855 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175AY0 789000.000000 PA USD 894946.260000 0.0278079 Long DBT CORP US N 2 2025-07-23 Fixed 4.908 N N N N N N CHASE FUNDING MTGE LN ASSET BK 2002-3 N/A 161546DB9 11207.210000 PA USD 10791.530000 0.0003353 Long ABS-MBS CORP US N 2 2032-08-25 Floating 0.74863 N N N N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPB9 15829.380000 PA USD 15459.990000 0.0004804 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.85014 Y N N N N N CHASE MORGAGE FINANCE CORP 2005-A2 N/A 16162WPX1 8212.340000 PA USD 7906.880000 0.0002457 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.07531 Y N N N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAN2 168634.130000 PA USD 154243.260000 0.0047927 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.21426 Y N N N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 3454487.130000 PA USD 3189848.540000 0.0991156 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.40863 N N N N N N CHENIERE CORPUS CHRISTI HOLDINGS LLC 549300I7CIEWU1BBLQ53 16412XAJ4 900000.000000 PA USD 950228.510000 0.0295257 Long DBT CORP US N 2 2029-11-15 Fixed 3.7 N N N N N N CHEVY CHASE MORTGAGE FUND CORP 2005-2A N/A 16678RDL8 129426.160000 PA USD 123822.680000 0.0038474 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.33863 N N N N N N CHL MORTGAGE PASS-THROUGH TRUST 2006-12 N/A 125432AE4 329628.770000 PA USD 252632.330000 0.0078498 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 N N N N N N CHL MORTGAGE PASS-THROUGH TRUST 2007-19 N/A 12544PAA0 392730.200000 PA USD 251307.820000 0.0078087 Long ABS-MBS CORP US N 2 2037-12-25 Fixed 6.5 N N N N N N CIFC FUNDING LTD 2015-5A N/A 12547UAL2 1270379.770000 PA USD 1268046.250000 0.0394010 Long ABS-CBDO CORP KY N 2 2027-10-25 Floating 1.07775 N N N N N N CIM TRUST 2017-6 N/A 12553GAA8 742946.780000 PA USD 744049.680000 0.0231193 Long ABS-MBS CORP US N 2 2057-06-25 Variable 3.015 N N N N N N CIT GROUP INC N8O96ZZJQRFYQUJY7K79 125581GQ5 50000.000000 PA USD 52697.000000 0.0016374 Long DBT CORP US N 2 2022-08-15 Fixed 5 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAA0 115973.030000 PA USD 116693.220000 0.0036259 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.45863 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2012-GC8 N/A 17318UAK0 144623.600000 PA USD 2601.240000 0.0000808 Long ABS-MBS CORP US N 2 2045-09-10 Variable 1.74039 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MA6 1380000.000000 PA USD 1398158.770000 0.0434439 Long DBT CORP US N 2 2024-06-01 Floating 1.2135 N N N N N N CITIGROUP MORTGAGE LOAN TR 2006-WF2 N/A 17309BAL1 452277.400000 PA USD 320006.660000 0.0099433 Long ABS-MBS CORP US N 2 2036-05-25 Variable 7.25 Y N N N N N CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3 N/A 17309QAF1 453069.130000 PA USD 450688.890000 0.0140039 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.55863 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2019-B N/A 17327VAA9 414414.780000 PA USD 418569.700000 0.0130059 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 614465.820000 PA USD 618730.830000 0.0192253 Long ABS-MBS CORP US N 2 2059-09-25 Variable 3.228 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2019-E N/A 17328DAA8 140904.830000 PA USD 141738.560000 0.0044041 Long ABS-MBS CORP US N 2 2070-11-25 Fixed 3.228 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3 N/A 17307GWU8 930000.000000 PA USD 916448.130000 0.0284761 Long ABS-MBS CORP US N 2 2035-09-25 Floating 1.00863 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR1 N/A 17307G2Z0 18471.530000 PA USD 19296.960000 0.0005996 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.48 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR1 N/A 17307G3C0 43673.680000 PA USD 43660.570000 0.0013566 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.52 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR9 N/A 17310RAC3 13371.990000 PA USD 13503.720000 0.0004196 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.58863 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-FX1 N/A 17309YAC1 123206.180000 PA USD 91663.660000 0.0028482 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.40863 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-NC2 N/A 17309TAC2 46974.340000 PA USD 39803.750000 0.0012368 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.42863 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-WFH2 N/A 17309MAF0 3291000.000000 PA USD 3214528.020000 0.0998824 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.52863 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 212919.780000 PA USD 210792.480000 0.0065498 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.31274 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL2 N/A 17312TAA1 646402.500000 PA USD 513715.070000 0.0159623 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.29863 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL2 N/A 17312TAJ2 265046.800000 PA USD 213850.890000 0.0066448 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.30863 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAB9 358522.310000 PA USD 189538.200000 0.0058894 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.25863 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAB1 450266.840000 PA USD 381850.590000 0.0118649 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.28863 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AR1 N/A 17310UAB8 168543.930000 PA USD 156591.050000 0.0048656 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.42863 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 12944.090000 PA USD 13112.410000 0.0004074 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.53 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-3 N/A 17307GTK4 6179.200000 PA USD 5293.280000 0.0001645 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.05591 Y N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXQ6 15884.240000 PA USD 16601.710000 0.0005159 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.29 N N N N N N CITIMORTGAGE ALTERNATIVE LN TR 2007-A6 N/A 18976GAG1 79114.000000 PA USD 79248.000000 0.0024624 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 Y N N N N N CITIMORTGAGE ALTERNATIVE LOAN TR 2006-A7 N/A 12566TAM9 61702.910000 PA USD 61702.950000 0.0019172 Long ABS-MBS CORP US N 2 2036-12-25 Fixed 6 Y N N N N N CITIMORTGAGE ALTERNATIVE LOAN TRUST 2007-A4 N/A 12566VAJ1 198525.810000 PA USD 165008.680000 0.0051272 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.70863 N N N N N N CITY OF BUENOS AIRES 5299007MC8RF52X0ON96 ACI0SB547 2911000.000000 PA 21268.830000 0.0006609 Long DBT MUN AR N 2 2022-01-23 Floating 38.045 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486D22 48000.000000 PA USD 53247.400000 0.0016545 Long DBT MUN US N 2 2042-01-01 Fixed 7.75 N N N N N N CITY OF CHICAGO IL WATERWORKS REVENUE N/A 167736YV3 110000.000000 PA USD 132009.330000 0.0041018 Long DBT MUN US N 2 2029-11-01 Fixed 6.642 N N N N N N CMLTI 2005-HE4 N/A 17307GP69 3613.900000 PA USD 3749.040000 0.0001165 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.72363 N N N N N N COMM MORTGAGE TRUST 2016-787S N/A 12635WAA5 1034000.000000 PA USD 1117012.620000 0.0347080 Long ABS-MBS CORP US N 2 2036-02-10 Fixed 3.545 N N N N N N CONSOLIDATED EDISON COMPANY OF NEW YORK INC VZFZPMWDHTQCFKYOBP05 209111FX6 266000.000000 PA USD 284930.220000 0.0088534 Long DBT CORP US N 2 2030-04-01 Fixed 3.35 N N N N N N CONSOLIDATED EDISON COMPANY OF NEW YORK INC VZFZPMWDHTQCFKYOBP05 209111FY4 18000.000000 PA USD 19577.290000 0.0006083 Long DBT CORP US N 2 2050-04-01 Fixed 3.95 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 BD2YKYII0 800000.000000 PA 952889.120000 0.0296084 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 244248.850000 PA USD 237937.070000 0.0073932 Long ABS-MBS CORP US N 2 2025-06-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-31 N/A 12667GZB2 308463.370000 PA USD 297506.570000 0.0092442 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.70863 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1 N/A 12668AFH3 75409.560000 PA USD 59230.210000 0.0018404 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACP8 68574.190000 PA USD 65288.660000 0.0020287 Long ABS-MBS CORP US N 2 2035-11-20 Floating 0.71088 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2 N/A 12668AKQ7 5707.050000 PA USD 4572.460000 0.0001421 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668AHE8 271390.900000 PA USD 242370.260000 0.0075310 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.74863 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-61 N/A 12668AVL6 7422.930000 PA USD 7022.290000 0.0002182 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.62863 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB N/A 12668AZ65 303223.040000 PA USD 286140.820000 0.0088910 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDC4 115691.690000 PA USD 116367.540000 0.0036158 Long ABS-MBS CORP US N 2 2036-01-25 Floating 1.73903 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 8529.140000 PA USD 7134.130000 0.0002217 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.66863 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J3 N/A 12667GDA8 36977.130000 PA USD 29743.290000 0.0009242 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.65863 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J5 N/A 12667GHG1 141889.000000 PA USD 135508.010000 0.0042105 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 39073.020000 PA USD 26498.330000 0.0008234 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB N/A 02147QAC6 52674.270000 PA USD 42550.930000 0.0013222 Long ABS-MBS CORP US N 2 2036-08-25 Floating 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12 N/A 23243AAD8 20269.420000 PA USD 16767.520000 0.0005210 Long ABS-MBS CORP US N 2 2046-09-20 Floating 0.32088 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA18 N/A 23244GAD4 2455586.600000 PA USD 2380985.630000 0.0739825 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.34863 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB N/A 02152AAB5 14012.400000 PA USD 10346.540000 0.0003215 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.50863 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-24 N/A 02151GAK3 82524.250000 PA USD 44053.460000 0.0013688 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 7 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB N/A 02149HAJ9 103065.730000 PA USD 82186.640000 0.0025537 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 5.75 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4 N/A 02150QAA4 11847.720000 PA USD 10526.510000 0.0003271 Long ABS-MBS CORP US N 2 2037-06-25 Variable 2.82606 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA4 N/A 02150DAA3 269768.510000 PA USD 256387.560000 0.0079665 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.27863 N N N N N N COUNTRYWIDE ALTERNATIVE LN TRUST 2005-69 N/A 12668AN27 8497.000000 PA USD 8223.800000 0.0002555 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.25903 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GL84 29586.070000 PA USD 28909.900000 0.0008983 Long ABS-MBS CORP US N 2 2035-08-25 Floating 1.65903 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 81165.400000 PA USD 78624.320000 0.0024430 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.48863 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9 N/A 02146YAC0 10887.200000 PA USD 8698.030000 0.0002703 Long ABS-MBS CORP US N 2 2046-07-20 Floating 0.32088 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1 N/A 126694A32 17939.750000 PA USD 15359.820000 0.0004773 Long ABS-MBS CORP US N 2 2046-03-20 Floating 0.53088 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA2 N/A 126694S41 4506.540000 PA USD 3864.840000 0.0001201 Long ABS-MBS CORP US N 2 2046-05-20 Floating 0.57088 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA3 N/A 12668BB44 92173.550000 PA USD 81849.130000 0.0025432 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.50863 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OC8 N/A 232434AD2 42594.640000 PA USD 55365.990000 0.0017203 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.44863 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1 N/A 02150JAV4 117576.120000 PA USD 72661.960000 0.0022578 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB N/A 12667GTQ6 246.660000 PA USD 232.740000 0.0000072 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-45 N/A 12667G6K4 5916.810000 PA USD 4789.830000 0.0001488 Long ABS-MBS CORP US N 2 2035-10-20 Floating 2.30903 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58 N/A 12668AWH4 57490.650000 PA USD 55551.580000 0.0017261 Long ABS-MBS CORP US N 2 2035-12-20 Floating 0.43088 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB N/A 02146TAG2 753160.830000 PA USD 619219.390000 0.0192405 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 128135.020000 PA USD 122634.810000 0.0038105 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.50863 Y N N N N N COUNTRYWIDE ASSET BACKED CERT 2007-QH2 N/A 12668JAA4 305371.050000 PA USD 280386.930000 0.0087122 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.34863 Y N N N N N COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3 N/A 23246LAA7 50831.730000 PA USD 48203.140000 0.0014978 Long ABS-MBS CORP US N 2 2047-11-25 Floating 0.28863 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-20 N/A 12667HAA9 84985.630000 PA USD 83075.670000 0.0025813 Long ABS-MBS CORP US N 2 2047-04-25 Floating 0.24863 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-21 N/A 12667LAD4 29196.500000 PA USD 29135.720000 0.0009053 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.25863 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-22 N/A 12666BAA3 120397.740000 PA USD 113622.770000 0.0035305 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.24863 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-BC5 N/A 12666SAA6 26813.690000 PA USD 27529.830000 0.0008554 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.38863 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-10 N/A 126673JV5 106986.300000 PA USD 107265.880000 0.0033330 Long ABS-MBS CORP US N 2 2034-12-25 Floating 1.23363 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-9 N/A 126673GR7 24675.430000 PA USD 24714.770000 0.0007679 Long ABS-MBS CORP US N 2 2034-12-25 Floating 1.20363 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-11 N/A 126670DD7 3109000.000000 PA USD 3058836.910000 0.0950448 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.06863 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-10 N/A 12666PAE4 1909852.500000 PA USD 1608637.630000 0.0499839 Long ABS-MBS CORP US N 2 2046-09-25 Variable 6.367 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-16 N/A 23242FAA4 615120.350000 PA USD 565523.130000 0.0175720 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.24863 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-17 N/A 12666VAC5 780004.530000 PA USD 768619.190000 0.0238827 Long ABS-MBS CORP US N 2 2047-03-25 Floating 0.25863 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-18 N/A 23243WAA6 207402.370000 PA USD 200473.490000 0.0062292 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.24863 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-18 N/A 23243WAC2 23496.610000 PA USD 23411.650000 0.0007275 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.26863 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAD3 82208.490000 PA USD 81758.930000 0.0025404 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.25863 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-5 N/A 126670YE2 163123.710000 PA USD 162495.600000 0.0050491 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.50863 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-5 N/A 126670YH5 16375.680000 PA USD 16356.630000 0.0005082 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.68863 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-6 N/A 126670ZM3 54162.300000 PA USD 54181.560000 0.0016835 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.66863 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-1 N/A 23245CAA8 408478.180000 PA USD 386405.490000 0.0120065 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.24863 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-1 N/A 23245CAD2 167186.320000 PA USD 163202.520000 0.0050711 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.24863 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-10 N/A 23246BAK7 217000.000000 PA USD 207321.580000 0.0064419 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.35863 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-11 N/A 23247LAC2 37661.190000 PA USD 37468.090000 0.0011642 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.29863 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AA9 328746.890000 PA USD 322939.280000 0.0100344 Long ABS-MBS CORP US N 2 2047-08-25 Floating 0.84863 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAD2 250880.660000 PA USD 246624.390000 0.0076632 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.32863 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAA8 80347.150000 PA USD 75073.560000 0.0023327 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.30863 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAD2 19528.170000 PA USD 19479.500000 0.0006053 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.28863 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICAT 2007-3 N/A 12668UAG6 142637.360000 PA USD 133443.230000 0.0041464 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.31863 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-8 N/A 1266735Z1 145000.000000 PA USD 144664.380000 0.0044950 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.14363 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-9 N/A 1266736E7 29695.280000 PA USD 29724.590000 0.0009236 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.88863 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-13 N/A 126670HJ0 781106.030000 PA USD 781462.840000 0.0242818 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.76863 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KK3 358269.340000 PA USD 343877.050000 0.0106850 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.64863 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-2 N/A 126670UW6 60563.830000 PA USD 60053.250000 0.0018660 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.70863 N N N N N N COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2006-19 N/A 12543XAG1 201034.690000 PA USD 151020.780000 0.0046925 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 Y N N N N N COUNTRYWIDE HOME LOANS 2004-12 N/A 12669FN66 7017.110000 PA USD 6974.790000 0.0002167 Long ABS-MBS CORP US N 2 2034-08-25 Floating 3.11495 N N N N N N COUNTRYWIDE HOME LOANS 2004-15 N/A 12669FL50 36332.490000 PA USD 37159.380000 0.0011546 Long ABS-MBS CORP US N 2 2034-10-20 Floating 2.91213 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 15982.580000 PA USD 16176.320000 0.0005026 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.76895 N N N N N N COUNTRYWIDE HOME LOANS 2004-29 N/A 12669GJB8 10211.700000 PA USD 9419.840000 0.0002927 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.76863 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 553.130000 PA USD 560.660000 0.0000174 Long ABS-MBS CORP US N 2 2035-02-20 Floating 2.67452 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 999.710000 PA USD 991.650000 0.0000308 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.74863 N N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A 12669GTQ4 1217044.940000 PA USD 1135294.570000 0.0352761 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.68863 N N N N N N COUNTRYWIDE HOME LOANS 2005-9 N/A 12669GYY1 53079.550000 PA USD 45609.610000 0.0014172 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.70863 N N N N N N COUNTRYWIDE HOME LOANS 2005-9 N/A 12669GZQ7 20231.370000 PA USD 18119.520000 0.0005630 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.56863 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670LE6 3169.840000 PA USD 3191.350000 0.0000992 Long ABS-MBS CORP US N 2 2036-02-20 Floating 2.10925 Y N N N N N COUNTRYWIDE HOME LOANS 2005-R2 N/A 12669GN64 67862.460000 PA USD 65076.400000 0.0020221 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.44863 Y N N N N N COUNTRYWIDE HOME LOANS 2006-20 N/A 12544AAW5 207816.570000 PA USD 155667.450000 0.0048369 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N COUNTRYWIDE HOME LOANS 2007-5 N/A 12544VCN7 4929.670000 PA USD 3851.760000 0.0001197 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 5.75 Y N N N N N COUNTRYWIDE PARTNERSHIP TRUST 2004-EC1 N/A 126673ML3 1036703.900000 PA USD 1023170.770000 0.0317922 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.00863 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB3 N/A 12489WQX5 1261303.590000 PA USD 1221521.820000 0.0379554 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.62863 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225436AA2 1200000.000000 PA USD 1280533.200000 0.0397890 Long DBT CORP CH N 2 2024-12-18 Floating 6.25 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AJ7 600000.000000 PA USD 635916.000000 0.0197593 Long DBT CORP CH N 2 2023-07-17 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AR9 300000.000000 PA USD 303750.000000 0.0094382 Long DBT CORP CH N 2 2027-02-11 Floating 5.25 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AL2 206000.000000 PA USD 219562.010000 0.0068223 Long DBT CORP CH N 2 2026-08-21 Floating 6.375 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 H9200RAA9 300000.000000 PA USD 325661.700000 0.0101190 Long DBT CORP CH N 2 2023-12-11 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 ACI0S3RH2 600000.000000 PA USD 625206.000000 0.0194265 Long DBT CORP CH N 2 2022-07-29 Floating 7.125 N N N N Y CREDIT SUISSE GROUP AG CHF XXXX N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-2 N/A 126384BX3 18122.800000 PA USD 14765.290000 0.0004588 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 5.75 Y N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-6 N/A 12639PAA6 290161.610000 PA USD 246325.820000 0.0076539 Long ABS-MBS CORP US N 2 2037-10-25 Variable 6.4205 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2009-3R N/A 22943YUN7 34005.390000 PA USD 24765.250000 0.0007695 Long ABS-MBS CORP US N 2 2037-01-27 Floating 0.40863 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2015-12R N/A 12651DAG3 1288000.010000 PA USD 1208191.670000 0.0375412 Long ABS-MBS CORP US N 2 2037-11-30 Floating 0.61763 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP10 N/A 12597FAC4 99673.500000 PA USD 100363.320000 0.0031185 Long ABS-MBS CORP US N 2 2059-12-26 Fixed 3.04777 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL4 N/A 22946AAC2 249613.960000 PA USD 249921.980000 0.0077656 Long ABS-MBS CORP US N 2 2058-08-26 Fixed 3.48182 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL8 N/A 12596YAC4 153812.170000 PA USD 155096.020000 0.0048192 Long ABS-MBS CORP US N 2 2058-10-25 Fixed 3.322 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL9 N/A 12654WAC7 1101219.220000 PA USD 1111758.110000 0.0345448 Long ABS-MBS CORP US N 2 2059-10-27 Fixed 3.00677 N N N N N N CREDIT SUISSE MORTGAGE TRUST 2010-16 N/A 12644WAT3 506027.760000 PA USD 430278.540000 0.0133697 Long ABS-MBS CORP US N 2 2050-06-25 Variable 3.77443 N N N N N N CREDIT SUISSE MRTG CAPITAL CERT 2006-7 N/A 22942KAJ9 15997.120000 PA USD 15100.540000 0.0004692 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 5.75 Y N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VAL5 351000.000000 PA USD 393827.440000 0.0122371 Long DBT CORP US N 2 2029-02-15 Fixed 4.3 N N N N N N CROWN POINT CLO LTD 2018-5A N/A 22845LAA4 256046.000000 PA USD 256105.670000 0.0079578 Long ABS-CBDO CORP KY N 2 2028-07-17 Floating 1.16338 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR15 N/A 22541QCT7 663.830000 PA USD 669.190000 0.0000208 Long ABS-MBS CORP US N 2 2033-06-25 Floating 3.21399 N N N N N N CSAB MORTGAGE BACKED TR 2006-4 N/A 12628LAJ9 1512186.070000 PA USD 518624.480000 0.0161148 Long ABS-MBS CORP US N 2 2036-12-25 Variable 6.1837 Y N N N N N CSFB MORTGAGE SECURITIES CORP 2005 8 N/A 225458W87 300815.160000 PA USD 291936.480000 0.0090711 Long ABS-MBS CORP US N 2 2035-09-25 Fixed 5.25 N N N N N N CVC CORDATUS LOAN FUND V LTD 5A N/A ACI1G4C04 637000.000000 PA 747405.870000 0.0232235 Long ABS-CBDO CORP IE N 2 2030-07-21 Floating 0.65 N N N N N N CVC CORDATUS LOAN FUND VII DAC 7A N/A ACI1W2TC6 3200000.000000 PA 3790166.440000 0.1177688 Long ABS-CBDO CORP IE N 2 2031-09-15 Floating 0.63 N N N N N N CVC CORDATUS LOAN FUND XI DAC 21-1 N/A ACI1W60L8 8400000.000000 PA 9949186.910000 0.3091431 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.65 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650DH0 18000.000000 PA USD 19782.370000 0.0006147 Long DBT CORP US N 2 2027-04-01 Fixed 3.625 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650DJ6 86000.000000 PA USD 93919.900000 0.0029183 Long DBT CORP US N 2 2030-04-01 Fixed 3.75 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650DK3 18000.000000 PA USD 19930.030000 0.0006193 Long DBT CORP US N 2 2040-04-01 Fixed 4.125 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650DL1 196000.000000 PA USD 220388.880000 0.0068480 Long DBT CORP US N 2 2050-04-01 Fixed 4.25 N N N N N N CVS PASS-THROUGH TRUST N/A 126650BQ2 38017.420000 PA USD 45841.360000 0.0014244 Long DBT CORP US N 2 2030-01-10 Fixed 6.943 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAH7 2100000.000000 PA USD 2097375.000000 0.0651700 Long DBT CORP US N 2 2024-02-15 Fixed 1.625 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAF1 900000.000000 PA USD 908033.400000 0.0282146 Long DBT CORP US N 2 2025-03-20 Fixed 2.625 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAG9 900000.000000 PA USD 896110.200000 0.0278441 Long DBT CORP US N 2 2028-03-20 Fixed 3.375 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAA2 500000.000000 PA USD 504375.000000 0.0156720 Long DBT CORP US N 2 2022-08-01 Fixed 4.5 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAD6 22000.000000 PA USD 22440.000000 0.0006973 Long DBT CORP US N 2 2021-11-15 Fixed 5.25 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 24703DBB6 822000.000000 PA USD 959007.430000 0.0297985 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 22000.000000 PA USD 24970.670000 0.0007759 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 65000.000000 PA USD 76086.330000 0.0023642 Long DBT CORP US N 2 2029-10-01 Fixed 5.3 N N N N N N DELTA AIR LINES INC / SKYMILES IP LTD N/A 830867AA5 182000.000000 PA USD 194381.520000 0.0060399 Long DBT CORP US N 2 2025-10-20 Fixed 4.5 N N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2005-1 N/A 251510CV3 117029.320000 PA USD 114441.830000 0.0035560 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.60863 N N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2005-1 N/A 251510DG5 53945.370000 PA USD 52752.650000 0.0016391 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.60863 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR1 N/A 251510LD3 191938.790000 PA USD 193932.800000 0.0060259 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.43863 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR6 N/A 25150RAF2 671384.480000 PA USD 655092.260000 0.0203552 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.48863 Y N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-AR1 N/A 25151RAF1 127555.890000 PA USD 139722.340000 0.0043415 Long ABS-MBS CORP US N 2 2047-01-25 Floating 0.26863 N N N N N N DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3 N/A 25151KAC3 243564.580000 PA USD 229932.320000 0.0071445 Long ABS-MBS CORP US N 2 2047-10-25 Floating 0.85863 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI1J0CL3 3600000.000000 PA 4404596.510000 0.1368605 Long DBT CORP DE N 2 2027-01-20 Fixed 1.625 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI0ZWMV4 300000.000000 PA 368942.450000 0.0114639 Long DBT CORP DE N 2 2028-01-17 Fixed 1.75 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI1QTHL7 1900000.000000 PA 2295925.340000 0.0713394 Long DBT CORP DE N 2 2026-09-03 Floating 1.375 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI1SQBN3 1700000.000000 PA 2067295.040000 0.0642354 Long DBT CORP DE N 2 2030-11-19 Floating 1.75 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BS7 2766000.000000 PA USD 2786914.140000 0.0865955 Long DBT CORP DE N 2 2023-02-27 Floating 1.41975 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CD9 4283000.000000 PA USD 4427889.560000 0.1375843 Long DBT CORP DE N 2 2031-09-18 Floating 3.547 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BX6 3591000.000000 PA USD 3658171.160000 0.1136674 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 1993000.000000 PA USD 2159824.880000 0.0671105 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CE7 4400000.000000 PA USD 4413980.210000 0.1371521 Long DBT CORP DE Y 2 2026-11-24 Floating 2.129 N N N N N N DORIC NIMROD AIR FINANCE ALPHA LTD 2012-1 CLASS A PASS THROUGH TRUST N/A 258258AA0 56138.920000 PA USD 55964.620000 0.0017389 Long DBT CORP GG N 2 2024-11-30 Fixed 5.125 N N N N N N DRYDEN XXVII-R EURO CLO BV 2017-27A N/A ACI1W43B2 15500000.000000 PA 18176850.200000 0.5647947 Long ABS-CBDO CORP NL N 2 2033-04-15 Floating 0.66 N N N N N N DSLA MORTGAGE LOAN TRUST 2004-AR1 N/A 23332UAC8 37420.000000 PA USD 36776.540000 0.0011427 Long ABS-MBS CORP US N 2 2044-09-19 Floating 0.93025 N N N N N N DSLA MORTGAGE LOAN TRUST 2004-AR3 N/A 23332UBF0 437.840000 PA USD 430.920000 0.0000134 Long ABS-MBS CORP US N 2 2044-07-19 Floating 2.6855 N N N N N N DSLA MORTGAGE LOAN TRUST 2005-AR4 N/A 23332UEM2 4773.970000 PA USD 4657.140000 0.0001447 Long ABS-MBS CORP US N 2 2045-08-19 Floating 0.63025 N N N N N N DSLA MORTGAGE LOAN TRUST 2006-AR2 N/A 23332QAA1 176135.190000 PA USD 157206.450000 0.0048847 Long ABS-MBS CORP US N 2 2036-10-19 Floating 0.30025 Y N N N N N DTE ELECTRIC CO (AKA: DETROIT EDISON COMPANY) 9N0FWODEJVKHC2DYLO03 23338VAM8 311000.000000 PA USD 319278.880000 0.0099207 Long DBT CORP US N 2 2031-03-01 Fixed 2.625 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2019-1A N/A 26829XAB7 405326.340000 PA USD 411551.990000 0.0127878 Long ABS-O CORP US N 2 2069-07-25 Floating 1.10863 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AN7 54000.000000 PA USD 63075.460000 0.0019599 Long DBT CORP US N 2 2027-06-15 Fixed 5.75 N N N N N N EGCLO 2018-1A N/A 29915RAA1 1040942.900000 PA USD 1041514.670000 0.0323621 Long ABS-CBDO CORP KY N 2 2028-05-28 Floating 1.1105 N N N N N N ELLINGTON LOAN ACQUISITION TRUST 2007-1 N/A 288542AA1 1269718.630000 PA USD 1272247.400000 0.0395315 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.20863 N N N N N N EMC MORTGAGE LOAN TRUST 2002-B N/A 268668BD1 4992.790000 PA USD 4986.770000 0.0001549 Long ABS-MBS CORP US N 2 2041-02-25 Floating 1.40863 N N N N N N ENCORE CREDIT RECEIVABLES TRUST 2005-2 N/A 126673J37 70474.830000 PA USD 70422.100000 0.0021882 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.84363 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAL7 107000.000000 PA USD 113015.860000 0.0035117 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 22000.000000 PA USD 23115.960000 0.0007183 Long DBT CORP US N 2 2022-10-01 Fixed 5 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HHA1 978000.000000 NS USD 978525.740000 0.0304049 Long EP CORP US N 2 N N N EQUIFAX INC 5493004MCF8JDC86VS77 294429AP0 44000.000000 PA USD 44103.910000 0.0013704 Long DBT CORP US N 2 2021-08-15 Floating 1.06375 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBL9 222000.000000 PA USD 212412.210000 0.0066001 Long DBT CORP US N 2 2028-03-15 Fixed 1.55 N N N N N N EQUINOR ASA OW6OFBNCKXC4US5C7523 29446MAF9 18000.000000 PA USD 19055.050000 0.0005921 Long DBT CORP NO N 2 2030-04-06 Fixed 3.125 N N N N N N EQUINOR ASA OW6OFBNCKXC4US5C7523 29446MAH5 18000.000000 PA USD 19184.220000 0.0005961 Long DBT CORP NO N 2 2050-04-06 Fixed 3.7 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 892000.000000 PA USD 999675.120000 0.0310621 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 48128BAG6 63000.000000 NS USD 63787.500000 0.0019820 Long EP CORP US N 2 N N N EURO-GALAXY III CLO BV 13-3A N/A ACI1W6FF5 3150000.000000 PA 3694005.040000 0.1147809 Long ABS-CBDO CORP NL N 2 2034-04-24 Floating 0.62 N N N N N N EUROHOME UK MORTGAGES 2007-1 A N/A B1VBS4II2 23997.150000 PA 32393.900000 0.0010065 Long ABS-MBS CORP GB N 2 2044-06-15 Floating 0.23025 N N N N N N EUROPEAN LOAN CONDUIT 36A N/A ACI1G9KP9 108887.140000 PA 128140.130000 0.0039816 Long ABS-MBS CORP IE N 2 2030-02-17 Floating 1 N N N N N N EXELON CORPORATION 3SOUA6IRML7435B56G12 30161NAX9 18000.000000 PA USD 20072.000000 0.0006237 Long DBT CORP US N 2 2030-04-15 Fixed 4.05 N N N N N N EXPEDIA GROUP INC N/A 30212PBF1 700000.000000 PA USD 691000.450000 0.0214709 Long DBT CORP US N 2 2031-03-15 Fixed 2.95 N N N N N N EXPEDIA GROUP INC N/A 30212PAS4 923000.000000 PA USD 1068198.450000 0.0331913 Long DBT CORP US N 2 2025-05-01 Fixed 6.25 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 797000.000000 PA 1014552.860000 0.0315244 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FAIRSTONE FINANCIAL INC 549300CWWT866A22GS52 30575FAA6 482000.000000 PA USD 507555.640000 0.0157709 Long DBT CORP CA N 2 2024-07-15 Fixed 7.875 N N N N N N FANNIE MAE 1994-77 N/A 31359HA87 193.850000 PA USD 195.840000 0.0000061 Long ABS-MBS USGSE US N 2 2024-04-25 Floating 1.60863 N N N N N N FANNIE MAE 2003-66 N/A 31393C4W0 22551.340000 PA USD 4518.070000 0.0001404 Long ABS-MBS USGSE US N 2 2033-07-25 Floating 7.54137 N N N N N N FANNIE MAE 2004-11 N/A 31393T7H3 44.640000 PA USD 44.490000 0.0000014 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 0.22863 N N N N N N FANNIE MAE 2005-79 N/A 31394FHD0 23274.490000 PA USD 23475.640000 0.0007294 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 0.51863 N N N N N N FANNIE MAE 2006-115 N/A 31396LT26 5907.590000 PA USD 9022.430000 0.0002803 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 26.1255 N N N N N N FANNIE MAE 2006-15 N/A 31395BVE0 1433.330000 PA USD 1428.130000 0.0000444 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 0.24763 N N N N N N FANNIE MAE 2006-16 N/A 31394V6K1 98568.160000 PA USD 16486.470000 0.0005123 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 6.59137 N N N N N N FANNIE MAE 2007-15 N/A 31396PWK3 95293.600000 PA USD 17177.630000 0.0005337 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 6.27137 N N N N N N FANNIE MAE 2007-4 N/A 31396PMQ1 40974.630000 PA USD 8874.350000 0.0002757 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 7.09137 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 8596.010000 PA USD 8647.150000 0.0002687 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.45863 N N N N N N FANNIE MAE 2007-65 N/A 31396WLX2 14869.280000 PA USD 15003.640000 0.0004662 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.48863 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 112018.240000 PA USD 111918.270000 0.0034775 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 0.82863 N N N N N N FANNIE MAE 2009-87 N/A 31398FR45 38370.420000 PA USD 6642.680000 0.0002064 Long ABS-MBS USGSE US N 2 2039-11-25 Floating 6.04137 N N N N N N FANNIE MAE 2010-111 N/A 31398NWE0 8872.700000 PA USD 9003.450000 0.0002798 Long ABS-MBS USGSE US N 2 2040-10-25 Floating 0.62863 N N N N N N FANNIE MAE 2010-151 N/A 31397QW61 6896.110000 PA USD 7030.640000 0.0002185 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 0.70863 N N N N N N FANNIE MAE 2010-2 N/A 31398G7B9 230512.100000 PA USD 39194.230000 0.0012179 Long ABS-MBS USGSE US N 2 2037-05-25 Floating 6.29137 N N N N N N FANNIE MAE REMICS 2007-22 N/A 31396PT92 72855.870000 PA USD 13343.760000 0.0004146 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 5.94137 N N N N N N FANNIE MAE REMICS 2007-25 N/A 31396VCB2 1822.990000 PA USD 1836.640000 0.0000571 Long ABS-MBS USGSE US N 2 2037-04-25 Floating 0.43863 N N N N N N FANNIE MAE REMICS 2007-32 N/A 31396VDT2 425050.680000 PA USD 84302.980000 0.0026195 Long ABS-MBS USGSE US N 2 2037-04-25 Floating 6.68137 N N N N N N FANNIE MAE REMICS 2007-32 N/A 31396VDR6 186421.530000 PA USD 35639.990000 0.0011074 Long ABS-MBS USGSE US N 2 2037-04-25 Floating 5.99137 N N N N N N FANNIE MAE REMICS 2007-70 N/A 31396WRQ1 2990.620000 PA USD 3007.730000 0.0000935 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.45863 N N N N N N FANNIE MAE REMICS 2010-99 N/A 31398T5D9 452000.000000 PA USD 536752.620000 0.0166781 Long ABS-MBS USGSE US N 2 2040-09-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2011-17 N/A 31397QZU5 220433.250000 PA USD 37392.800000 0.0011619 Long ABS-MBS USGSE US N 2 2041-03-25 Floating 5.74137 N N N N N N FANNIE MAE REMICS 2011-40 N/A 31397SWJ9 953.000000 PA USD 1041.010000 0.0000323 Long ABS-MBS USGSE US N 2 2040-11-25 Floating 9.90642 N N N N N N FANNIE MAE REMICS 2011-60 N/A 31397U3F4 136600.530000 PA USD 124087.120000 0.0038557 Long ABS-MBS USGSE US N 2 2039-08-25 None 0 N N N N N N FANNIE MAE-1993-202 N/A 31359FDB1 195.460000 PA USD 195.900000 0.0000061 Long ABS-MBS USGSE US N 2 2023-11-25 Floating 1.625 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 31647.510000 PA USD 31978.900000 0.0009937 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 0.50863 N N N N N N FANNIE MAE-ACES 2020-M33 N/A 3136BBAR3 804000.000000 PA USD 117287.560000 0.0036444 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.25082 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 4636.970000 PA USD 4667.440000 0.0001450 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 0.46763 N N N N N N FHLMC PASS THRU POOLS N/A 3128NHK36 391.610000 PA USD 409.750000 0.0000127 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 2.011 N N N N N N FHLMC PASS THRU POOLS N/A 3128JREM4 451.790000 PA USD 470.980000 0.0000146 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 2.572 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRGY6 830.590000 PA USD 879.100000 0.0000273 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 2.789 N N N N N N FHLMC PASS THRU POOLS N/A 31297F2U6 3304.340000 PA USD 3691.880000 0.0001147 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 31297SRD9 316.630000 PA USD 368.820000 0.0000115 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 31297VLN6 727.590000 PA USD 807.360000 0.0000251 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128K8EE2 2962.370000 PA USD 3450.870000 0.0001072 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128K8Q25 267.700000 PA USD 311.850000 0.0000097 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128K9RM8 2140.770000 PA USD 2462.700000 0.0000765 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128K95C4 6021.090000 PA USD 7006.170000 0.0002177 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128KGF86 724.210000 PA USD 813.510000 0.0000253 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128KKPP8 989.180000 PA USD 1096.830000 0.0000341 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128KKZG7 5894.970000 PA USD 6767.790000 0.0002103 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128L1PU8 967.120000 PA USD 1143.080000 0.0000355 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128L5HY0 5365.370000 PA USD 6271.060000 0.0001949 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128L7L96 7865.250000 PA USD 9162.730000 0.0002847 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128L9KD4 6726.850000 PA USD 7836.690000 0.0002435 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LAFY1 775.870000 PA USD 912.940000 0.0000284 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LBC55 2822.720000 PA USD 3240.850000 0.0001007 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 312929MQ2 943.210000 PA USD 1093.530000 0.0000340 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3129296L1 3627.370000 PA USD 4205.550000 0.0001307 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 31292JH78 226.570000 PA USD 257.280000 0.0000080 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 31335HXT5 8324.570000 PA USD 9204.810000 0.0002860 Long ABS-MBS USGSE US N 2 2023-07-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7H71 24452.230000 PA USD 27220.060000 0.0008458 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7JU8 2472.030000 PA USD 2762.490000 0.0000858 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7MZ3 3744.010000 PA USD 4184.860000 0.0001300 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7NZ2 3361.750000 PA USD 3821.400000 0.0001187 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128E2VX1 143.610000 PA USD 158.800000 0.0000049 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LXAV2 953.730000 PA USD 1117.360000 0.0000347 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4AK9 899.500000 PA USD 999.240000 0.0000310 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4QW6 5751.420000 PA USD 6695.900000 0.0002081 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4WK5 4352.540000 PA USD 5070.470000 0.0001576 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4W90 1831.600000 PA USD 2132.270000 0.0000663 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5BY5 3596.320000 PA USD 4189.530000 0.0001302 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6B98 97.290000 PA USD 114.450000 0.0000036 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6JE9 1436.180000 PA USD 1673.140000 0.0000520 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6JM1 2308.650000 PA USD 2689.570000 0.0000836 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6QV3 2540.890000 PA USD 2942.850000 0.0000914 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6SU3 2294.360000 PA USD 2699.190000 0.0000839 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6WG9 1984.550000 PA USD 2334.650000 0.0000725 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7C95 1573.580000 PA USD 1851.220000 0.0000575 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7EX0 3932.250000 PA USD 4580.880000 0.0001423 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7E44 4689.020000 PA USD 5457.500000 0.0001696 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7HT6 2987.610000 PA USD 3477.910000 0.0001081 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7KV7 457.280000 PA USD 532.350000 0.0000165 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7KW5 323.620000 PA USD 380.740000 0.0000118 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7V60 46985.630000 PA USD 53125.840000 0.0016507 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 3128M75R3 2346.940000 PA USD 2761.040000 0.0000858 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJCJ7 3209.010000 PA USD 3737.970000 0.0001161 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 184384.720000 PA USD 199314.800000 0.0061931 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128CULV6 1053.000000 PA USD 1183.930000 0.0000368 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128CUM29 1451.530000 PA USD 1632.190000 0.0000507 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132WPND5 148968.150000 PA USD 160944.020000 0.0050009 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XT6P8 20162.990000 PA USD 21775.390000 0.0006766 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWE64 832552.770000 PA USD 896956.580000 0.0278704 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132VP5V6 359250.250000 PA USD 386927.510000 0.0120227 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132LAY63 360434.410000 PA USD 386734.990000 0.0120167 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-61 N/A 31395A3J2 3621.950000 PA USD 3655.740000 0.0001136 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 1.65903 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-62 N/A 31395HHV5 802.040000 PA USD 814.320000 0.0000253 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 1.45903 N N N N N N FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-1 N/A 31659TEY7 139779.830000 PA USD 112784.880000 0.0035045 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.48863 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF12 N/A 32027GAD8 50678.030000 PA USD 50466.330000 0.0015681 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.24863 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF12 N/A 32027GAE6 9244000.000000 PA USD 8568140.650000 0.2662310 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.41863 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2005-FF10 N/A 32027NWP2 512632.240000 PA USD 493563.600000 0.0153361 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.82863 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF15 N/A 32028GAE5 283025.740000 PA USD 278027.190000 0.0086389 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.26863 N N N N N N FIRST HORIZON ALT MTGE SEC 2005-AA1 N/A 32051GGD1 1248.800000 PA USD 983.950000 0.0000306 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.85948 Y N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2005-AA10 N/A 32051GA88 41625.650000 PA USD 38405.760000 0.0011934 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.29717 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA3 N/A 320516AA5 492622.230000 PA USD 456685.930000 0.0141902 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.58206 Y N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR4 N/A 32051GTX3 112497.360000 PA USD 113415.410000 0.0035241 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.97783 Y N N N N N FNMA PASS THRU POOLS N/A 31368HML4 1871.570000 PA USD 2191.920000 0.0000681 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31368HMQ3 3052.590000 PA USD 3575.110000 0.0001111 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371J3J1 1.580000 PA USD 1.590000 0.0000000 Long ABS-MBS USGSE US N 2 2021-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371KVF5 481.790000 PA USD 560.000000 0.0000174 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371LA82 1408.950000 PA USD 1557.470000 0.0000484 Long ABS-MBS USGSE US N 2 2023-08-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371LF20 18367.430000 PA USD 20303.570000 0.0006309 Long ABS-MBS USGSE US N 2 2023-11-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371LHE2 1943.370000 PA USD 2148.220000 0.0000667 Long ABS-MBS USGSE US N 2 2023-12-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371LHT9 333.010000 PA USD 361.600000 0.0000112 Long ABS-MBS USGSE US N 2 2023-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31371LKF5 5547.820000 PA USD 6024.150000 0.0001872 Long ABS-MBS USGSE US N 2 2023-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31371L4M8 1580.840000 PA USD 1763.010000 0.0000548 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MGA9 124.360000 PA USD 138.740000 0.0000043 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MHL4 577.490000 PA USD 639.090000 0.0000199 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371MKF3 3080.110000 PA USD 3436.620000 0.0001068 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MLW5 7930.640000 PA USD 8848.950000 0.0002750 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MPJ0 3596.940000 PA USD 3978.210000 0.0001236 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371MQC4 153.370000 PA USD 179.490000 0.0000056 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MQE0 3103.660000 PA USD 3463.450000 0.0001076 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MRS8 108.300000 PA USD 129.450000 0.0000040 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371MR90 26103.610000 PA USD 28873.000000 0.0008971 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371MZM2 924.460000 PA USD 1038.900000 0.0000323 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371M3W5 19082.670000 PA USD 22384.490000 0.0006955 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371M5N3 2349.730000 PA USD 2810.470000 0.0000873 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371M7J0 28.040000 PA USD 32.920000 0.0000010 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371M7L5 1556.960000 PA USD 1722.620000 0.0000535 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371M7M3 10059.450000 PA USD 11296.050000 0.0003510 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371NAA3 760.570000 PA USD 854.810000 0.0000266 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371NDS1 15632.790000 PA USD 17302.740000 0.0005376 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371NDU6 1029.940000 PA USD 1157.620000 0.0000360 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371NJ63 13953.900000 PA USD 15685.180000 0.0004874 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371NLG8 1791.040000 PA USD 2002.900000 0.0000622 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371NLH6 1237.700000 PA USD 1391.270000 0.0000432 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371NMK8 3217.970000 PA USD 3617.310000 0.0001124 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371NQJ7 805.050000 PA USD 891.530000 0.0000277 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371NSN6 1643.920000 PA USD 1838.580000 0.0000571 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371NSV8 11412.810000 PA USD 12636.910000 0.0003927 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371NTU9 302.920000 PA USD 335.410000 0.0000104 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371NU37 1230.570000 PA USD 1338.960000 0.0000416 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31371NU52 702.570000 PA USD 785.780000 0.0000244 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371N2D6 4789.830000 PA USD 5385.030000 0.0001673 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371N7L3 2373.880000 PA USD 2655.190000 0.0000825 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371PCL2 543.190000 PA USD 606.290000 0.0000188 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31374CPF7 4287.610000 PA USD 4747.240000 0.0001475 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31376KHQ2 135.470000 PA USD 158.560000 0.0000049 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31376KQZ2 331.090000 PA USD 366.270000 0.0000114 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31376KSS6 1532.940000 PA USD 1695.610000 0.0000527 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31381AL25 645.620000 PA USD 725.110000 0.0000225 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31385XNR4 1135.350000 PA USD 1320.970000 0.0000410 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31388JK53 9.940000 PA USD 9.960000 0.0000003 Long ABS-MBS USGSE US N 2 2031-09-01 Floating 2.44 N N N N N N FNMA PASS THRU POOLS N/A 31388USF8 2056.440000 PA USD 2308.660000 0.0000717 Long ABS-MBS USGSE US N 2 2021-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31390NF56 231.050000 PA USD 230.460000 0.0000072 Long ABS-MBS USGSE US N 2 2032-07-01 Floating 2.53 N N N N N N FNMA PASS THRU POOLS N/A 31390WZK1 71.800000 PA USD 80.940000 0.0000025 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31400BNW2 290.260000 PA USD 326.590000 0.0000101 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31400JR50 3667.150000 PA USD 4270.590000 0.0001327 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31400RKV2 17048.030000 PA USD 19814.770000 0.0006157 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31401XVM6 368.560000 PA USD 420.810000 0.0000131 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402C7G1 1009.320000 PA USD 1044.830000 0.0000325 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 2.01 N N N N N N FNMA PASS THRU POOLS N/A 31402DF70 33.650000 PA USD 40.220000 0.0000012 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31402DP79 17.740000 PA USD 20.760000 0.0000006 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402KET7 2436.960000 PA USD 2693.840000 0.0000837 Long ABS-MBS USGSE US N 2 2023-10-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31402QYY1 1660.700000 PA USD 1944.410000 0.0000604 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402RN62 285.660000 PA USD 287.650000 0.0000089 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 2.202 N N N N N N FNMA PASS THRU POOLS N/A 31402RRR2 1588.950000 PA USD 1900.320000 0.0000590 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31402RTS8 447.200000 PA USD 450.600000 0.0000140 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 1.664 N N N N N N FNMA PASS THRU POOLS N/A 31402RT58 421.750000 PA USD 493.830000 0.0000153 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402X4D5 134.200000 PA USD 149.850000 0.0000047 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403CQ79 4975.710000 PA USD 5633.710000 0.0001751 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403C5S6 312.030000 PA USD 373.180000 0.0000116 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31403C6S5 1894.730000 PA USD 2264.310000 0.0000704 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31403DDX4 3614.720000 PA USD 4232.980000 0.0001315 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DGZ6 3354.640000 PA USD 3926.860000 0.0001220 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DSK6 3902.670000 PA USD 4667.720000 0.0001450 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31403LUQ2 2615.800000 PA USD 3054.620000 0.0000949 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403MUU1 3415.340000 PA USD 3873.630000 0.0001204 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403NVY0 481.650000 PA USD 483.800000 0.0000150 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 2.242 N N N N N N FNMA PASS THRU POOLS N/A 31403QP53 1269.340000 PA USD 1419.340000 0.0000441 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403QZD5 718.140000 PA USD 793.840000 0.0000247 Long ABS-MBS USGSE US N 2 2023-07-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31403VDD8 100.770000 PA USD 101.170000 0.0000031 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 2.112 N N N N N N FNMA PASS THRU POOLS N/A 31403YNJ8 2180.910000 PA USD 2540.750000 0.0000789 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404BND0 17641.200000 PA USD 20633.960000 0.0006411 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404H2N8 528.770000 PA USD 617.560000 0.0000192 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404MZ92 53.760000 PA USD 62.870000 0.0000020 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404RUM7 18282.860000 PA USD 19026.810000 0.0005912 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 1.8 N N N N N N FNMA PASS THRU POOLS N/A 31404U4Y3 137.210000 PA USD 157.820000 0.0000049 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404V6A1 1212.340000 PA USD 1217.970000 0.0000378 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 2.721 N N N N N N FNMA PASS THRU POOLS N/A 31405PAH3 24.690000 PA USD 24.960000 0.0000008 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 1.816 N N N N N N FNMA PASS THRU POOLS N/A 31406DAN6 21414.780000 PA USD 21468.840000 0.0006671 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 31406J3J0 418.970000 PA USD 418.190000 0.0000130 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 2.05 N N N N N N FNMA PASS THRU POOLS N/A 31406L2T4 15.890000 PA USD 15.800000 0.0000005 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 2.3 N N N N N N FNMA PASS THRU POOLS N/A 31406L3C0 1168.740000 PA USD 1182.110000 0.0000367 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 2.326 N N N N N N FNMA PASS THRU POOLS N/A 31406TGE5 6186.910000 PA USD 7393.960000 0.0002297 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31406TQU8 937.500000 PA USD 1082.730000 0.0000336 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31406XXM9 1804.370000 PA USD 2112.640000 0.0000656 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407ADE8 151.990000 PA USD 177.900000 0.0000055 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407BXK0 79.100000 PA USD 79.400000 0.0000025 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 2.18 N N N N N N FNMA PASS THRU POOLS N/A 31407EH89 75.000000 PA USD 87.750000 0.0000027 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407EYE7 2926.430000 PA USD 2955.570000 0.0000918 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 2.157 N N N N N N FNMA PASS THRU POOLS N/A 31407FD64 2279.170000 PA USD 2629.380000 0.0000817 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407FYD6 406.880000 PA USD 430.770000 0.0000134 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 2.661 N N N N N N FNMA PASS THRU POOLS N/A 31407HRF5 2731.600000 PA USD 3263.950000 0.0001014 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407JDY5 76.950000 PA USD 91.930000 0.0000029 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407MWT8 331.320000 PA USD 332.020000 0.0000103 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 2.986 N N N N N N FNMA PASS THRU POOLS N/A 31407NQC0 186.800000 PA USD 207.880000 0.0000065 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31407PFB9 3440.440000 PA USD 3969.740000 0.0001233 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407PL97 1100.280000 PA USD 1105.820000 0.0000344 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 2.158 N N N N N N FNMA PASS THRU POOLS N/A 31407RVX9 114.440000 PA USD 127.430000 0.0000040 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31407T7L8 153.080000 PA USD 171.170000 0.0000053 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407UMR5 1277.560000 PA USD 1364.740000 0.0000424 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 2.607 N N N N N N FNMA PASS THRU POOLS N/A 31407W4J9 182.400000 PA USD 204.300000 0.0000063 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407YHH5 106.550000 PA USD 112.290000 0.0000035 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.023 N N N N N N FNMA PASS THRU POOLS N/A 31407YNU9 328.110000 PA USD 381.150000 0.0000118 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31408CA89 2079.500000 PA USD 2397.150000 0.0000745 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31408DFG4 2246.730000 PA USD 2549.480000 0.0000792 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31408DKS2 84.220000 PA USD 98.610000 0.0000031 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31408GB71 2841.650000 PA USD 2864.170000 0.0000890 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 2.223 N N N N N N FNMA PASS THRU POOLS N/A 31409ADU0 228.710000 PA USD 266.330000 0.0000083 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409AF53 55.650000 PA USD 66.540000 0.0000021 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409AYV5 460.840000 PA USD 514.680000 0.0000160 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409GPE0 630.350000 PA USD 709.240000 0.0000220 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 2816.430000 PA USD 3168.620000 0.0000985 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409JUL2 113.250000 PA USD 132.740000 0.0000041 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409T6S2 940.080000 PA USD 1079.650000 0.0000335 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409VPY3 34.100000 PA USD 38.370000 0.0000012 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409WLC3 2002.850000 PA USD 2342.890000 0.0000728 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409XPU7 1220.890000 PA USD 1430.040000 0.0000444 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410B4N1 456.080000 PA USD 457.760000 0.0000142 Long ABS-MBS USGSE US N 2 2036-08-01 Floating 2.185 N N N N N N FNMA PASS THRU POOLS N/A 31410CB84 15.550000 PA USD 17.700000 0.0000005 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410FVW2 81736.520000 PA USD 95761.050000 0.0029755 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410FYY5 2395.750000 PA USD 2649.270000 0.0000823 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31410F3J2 3002.330000 PA USD 3505.320000 0.0001089 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GHP1 26578.900000 PA USD 31203.740000 0.0009696 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GNK5 73.530000 PA USD 81.760000 0.0000025 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GNL3 6639.950000 PA USD 7776.520000 0.0002416 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GPA5 1093.430000 PA USD 1280.520000 0.0000398 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GPD9 19424.030000 PA USD 22822.120000 0.0007091 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GRN5 3112.750000 PA USD 3645.560000 0.0001133 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410G2H5 2146.180000 PA USD 2524.370000 0.0000784 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KAA2 947.350000 PA USD 1109.500000 0.0000345 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KHH0 382.470000 PA USD 449.490000 0.0000140 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KNH3 12458.570000 PA USD 14653.730000 0.0004553 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KXK5 18254.890000 PA USD 21471.430000 0.0006672 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KXL3 921.980000 PA USD 1083.800000 0.0000337 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410LKA9 615.110000 PA USD 693.110000 0.0000215 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31410NVD7 74.740000 PA USD 84.090000 0.0000026 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 1727.960000 PA USD 2064.050000 0.0000641 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 47.030000 PA USD 53.670000 0.0000017 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410RNM7 19.700000 PA USD 23.560000 0.0000007 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410SS65 1626.320000 PA USD 1900.920000 0.0000591 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410UB43 2138.840000 PA USD 2548.940000 0.0000792 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 7165.230000 PA USD 8066.040000 0.0002506 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410VVE7 64.720000 PA USD 65.360000 0.0000020 Long ABS-MBS USGSE US N 2 2021-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410VVX5 330.950000 PA USD 395.250000 0.0000123 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410V6F2 311.710000 PA USD 362.090000 0.0000113 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410WML9 3862.670000 PA USD 4586.420000 0.0001425 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410XBB1 102.790000 PA USD 115.650000 0.0000036 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 10938.350000 PA USD 12299.660000 0.0003822 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 1355.480000 PA USD 1536.710000 0.0000477 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411APZ2 76.750000 PA USD 89.990000 0.0000028 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411BX99 104.860000 PA USD 118.100000 0.0000037 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411CDR9 17315.120000 PA USD 20303.020000 0.0006309 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411DAE9 429.010000 PA USD 494.820000 0.0000154 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411DY78 26.600000 PA USD 31.020000 0.0000010 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411ECZ8 9.070000 PA USD 10.530000 0.0000003 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411EMM6 37360.220000 PA USD 42347.440000 0.0013158 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 5802.810000 PA USD 6665.120000 0.0002071 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 21857.610000 PA USD 26142.660000 0.0008123 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 13071.220000 PA USD 15623.000000 0.0004854 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 8590.040000 PA USD 9715.350000 0.0003019 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 13695.810000 PA USD 15388.270000 0.0004781 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411K3D3 7.370000 PA USD 7.420000 0.0000002 Long ABS-MBS USGSE US N 2 2022-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411S2B1 41.730000 PA USD 47.530000 0.0000015 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411WA31 3496.210000 PA USD 4153.250000 0.0001291 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 7803.290000 PA USD 9283.320000 0.0002885 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 6738.740000 PA USD 7595.200000 0.0002360 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412AWT7 1553.460000 PA USD 1751.050000 0.0000544 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412BFS6 19119.380000 PA USD 22407.860000 0.0006963 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412BFT4 771.140000 PA USD 904.280000 0.0000281 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412DLU0 6770.770000 PA USD 7933.140000 0.0002465 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412DLW6 21963.870000 PA USD 26213.760000 0.0008145 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412LM72 2675.700000 PA USD 3120.090000 0.0000969 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412LQE3 588.530000 PA USD 656.980000 0.0000204 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412MTG3 15777.610000 PA USD 18442.210000 0.0005730 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412NBF2 225.950000 PA USD 267.030000 0.0000083 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412NX35 12578.380000 PA USD 14010.760000 0.0004353 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31412N6C5 644.660000 PA USD 677.880000 0.0000211 Long ABS-MBS USGSE US N 2 2024-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31412PWN7 9719.150000 PA USD 10872.630000 0.0003378 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412QPU7 155.370000 PA USD 185.570000 0.0000058 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412QZY8 2786.930000 PA USD 2968.140000 0.0000922 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31412RBR7 381.090000 PA USD 436.830000 0.0000136 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412SD28 667.630000 PA USD 783.940000 0.0000244 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31413FYX4 85.560000 PA USD 96.830000 0.0000030 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413HWP9 584.300000 PA USD 691.240000 0.0000215 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413NGG4 830.150000 PA USD 971.800000 0.0000302 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31413VKF3 743.690000 PA USD 842.010000 0.0000262 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414AGW6 76.140000 PA USD 85.020000 0.0000026 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414CJM1 5889.430000 PA USD 6845.250000 0.0002127 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414FFS5 28.840000 PA USD 32.730000 0.0000010 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414FS51 1397.310000 PA USD 1527.810000 0.0000475 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31414G3K3 3938.760000 PA USD 4696.550000 0.0001459 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414HJX6 2049.420000 PA USD 2398.200000 0.0000745 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414LB98 19339.160000 PA USD 22730.650000 0.0007063 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414L2H0 1870.250000 PA USD 2162.800000 0.0000672 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414M6W1 907.160000 PA USD 1033.960000 0.0000321 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 10393.660000 PA USD 12098.440000 0.0003759 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414NEZ3 5497.110000 PA USD 6452.580000 0.0002005 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414PU64 7919.340000 PA USD 9266.910000 0.0002879 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414QVY0 73.400000 PA USD 86.100000 0.0000027 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415BDJ5 812.000000 PA USD 882.840000 0.0000274 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31415LVW4 17.650000 PA USD 18.530000 0.0000006 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31415QCN4 1020.410000 PA USD 1147.520000 0.0000357 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415QFJ0 61.280000 PA USD 68.940000 0.0000021 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415TFV7 110.720000 PA USD 131.160000 0.0000041 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415TF54 1636.080000 PA USD 1922.650000 0.0000597 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415VK61 323.600000 PA USD 379.760000 0.0000118 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415XKP5 3828.120000 PA USD 4408.260000 0.0001370 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415YMN6 218.040000 PA USD 239.760000 0.0000074 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BN61 36.620000 PA USD 42.870000 0.0000013 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BS82 1356.550000 PA USD 1529.410000 0.0000475 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BUC0 40.670000 PA USD 47.970000 0.0000015 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416B2P2 555.430000 PA USD 653.300000 0.0000203 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416CD29 4986.860000 PA USD 5964.750000 0.0001853 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416CKF2 8682.370000 PA USD 10367.490000 0.0003221 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416H4W2 5987.290000 PA USD 6754.730000 0.0002099 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416JAW1 5983.000000 PA USD 7012.290000 0.0002179 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416JMP3 112.060000 PA USD 121.930000 0.0000038 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416VGE8 6400.670000 PA USD 7494.110000 0.0002329 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416VGN8 457.450000 PA USD 526.590000 0.0000164 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416VKF0 12620.620000 PA USD 15088.540000 0.0004688 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416WHF2 56446.520000 PA USD 62271.450000 0.0019349 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416YE87 15844.480000 PA USD 18024.920000 0.0005601 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416YNX2 8992.490000 PA USD 9785.560000 0.0003041 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417MBT9 1838.990000 PA USD 2002.550000 0.0000622 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417S3V0 2183.620000 PA USD 2566.220000 0.0000797 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31417UC52 562.450000 PA USD 634.350000 0.0000197 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417VAP8 2870.360000 PA USD 3206.130000 0.0000996 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418MGG1 37.070000 PA USD 43.050000 0.0000013 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418MG63 22.920000 PA USD 27.410000 0.0000009 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31418MJM5 539.080000 PA USD 595.910000 0.0000185 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31418MQP0 34994.100000 PA USD 39594.320000 0.0012303 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 31418PCG8 494.440000 PA USD 557.700000 0.0000173 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418PS22 1737.580000 PA USD 1959.060000 0.0000609 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418RB75 2697.290000 PA USD 3043.130000 0.0000946 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418U2M5 1538.990000 PA USD 1633.390000 0.0000508 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418XNQ7 865.120000 PA USD 976.000000 0.0000303 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418YC20 458.990000 PA USD 511.420000 0.0000159 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419AHX8 10956.760000 PA USD 13105.310000 0.0004072 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31419AK89 843.500000 PA USD 886.890000 0.0000276 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419AR66 581.450000 PA USD 653.330000 0.0000203 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419A3K1 35670.730000 PA USD 42434.530000 0.0013185 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31419BMQ5 104657.120000 PA USD 119695.970000 0.0037192 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419CSC8 707.820000 PA USD 798.500000 0.0000248 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419DG54 1053.980000 PA USD 1177.200000 0.0000366 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31419FVG8 3228.530000 PA USD 3486.900000 0.0001083 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A1CC3 22617.170000 PA USD 25050.880000 0.0007784 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A36Z5 530331.590000 PA USD 596095.560000 0.0185220 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A37H4 21242.240000 PA USD 23966.180000 0.0007447 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A5VU3 1028.170000 PA USD 1159.790000 0.0000360 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A5WG3 2349.050000 PA USD 2587.370000 0.0000804 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A5W65 2948.460000 PA USD 3231.050000 0.0001004 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A8BH8 186.430000 PA USD 203.500000 0.0000063 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AAS93 906.570000 PA USD 1009.990000 0.0000314 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ABDP1 733.710000 PA USD 827.620000 0.0000257 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ADYY5 4573.540000 PA USD 5033.820000 0.0001564 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AE2F9 4005.990000 PA USD 4361.960000 0.0001355 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AFVY3 22375.210000 PA USD 25235.320000 0.0007841 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AHGU4 738.380000 PA USD 822.780000 0.0000256 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AHS80 4393.520000 PA USD 4930.220000 0.0001532 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AKTT6 11522.180000 PA USD 12270.890000 0.0003813 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138ANJA2 41572.140000 PA USD 46314.290000 0.0014391 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ANY56 647.360000 PA USD 730.510000 0.0000227 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138APAF5 2548.610000 PA USD 2774.230000 0.0000862 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138E2GN9 144.390000 PA USD 157.200000 0.0000049 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EDMB4 643.680000 PA USD 728.960000 0.0000227 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EGSJ4 17983.530000 PA USD 21134.930000 0.0006567 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EGSP0 2403.090000 PA USD 2813.310000 0.0000874 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EG4G6 568.860000 PA USD 641.690000 0.0000199 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EG6F6 37451.290000 PA USD 40752.030000 0.0012663 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EHPD8 5449.780000 PA USD 6074.530000 0.0001887 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EHXA5 2488.830000 PA USD 2853.930000 0.0000887 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EKHM0 21544.140000 PA USD 23424.460000 0.0007278 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 3138EKRF4 4089.660000 PA USD 4860.660000 0.0001510 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EKSM8 20082.090000 PA USD 23613.280000 0.0007337 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EKWM3 31179.560000 PA USD 37186.160000 0.0011555 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EKW35 166047.820000 PA USD 197055.010000 0.0061229 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EK2N4 12151.180000 PA USD 14504.390000 0.0004507 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138ELCT8 64933.460000 PA USD 77377.000000 0.0024043 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 127806.570000 PA USD 129912.030000 0.0040367 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 3138LT4L9 1042.940000 PA USD 1139.970000 0.0000354 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138X0BT4 27330.360000 PA USD 29889.090000 0.0009287 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 3138XQQC8 9091.710000 PA USD 9918.670000 0.0003082 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GNDH3 14142.660000 PA USD 14939.070000 0.0004642 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 57602.260000 PA USD 61163.490000 0.0019005 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 573926.470000 PA USD 608626.160000 0.0189114 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 12938.530000 PA USD 13710.050000 0.0004260 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 318045.370000 PA USD 337589.300000 0.0104896 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 10516.070000 PA USD 11122.260000 0.0003456 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 206146.100000 PA USD 218563.910000 0.0067913 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 81117.110000 PA USD 86071.990000 0.0026744 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 15890.540000 PA USD 16835.120000 0.0005231 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 9310.190000 PA USD 9889.000000 0.0003073 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 338733.070000 PA USD 359213.120000 0.0111615 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 78942.290000 PA USD 83677.100000 0.0026000 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 3265.810000 PA USD 3457.570000 0.0001074 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 113090.520000 PA USD 119866.980000 0.0037245 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 9936.110000 PA USD 10539.510000 0.0003275 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 53233.220000 PA USD 56425.880000 0.0017533 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 64751.160000 PA USD 68618.740000 0.0021321 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 50949.690000 PA USD 54055.470000 0.0016796 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 2801.240000 PA USD 2989.050000 0.0000929 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 65455.770000 PA USD 69289.070000 0.0021530 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 62957.680000 PA USD 66780.210000 0.0020750 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 47000.320000 PA USD 49754.510000 0.0015460 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 7714.980000 PA USD 8169.160000 0.0002538 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 5098.330000 PA USD 5393.870000 0.0001676 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 82509.780000 PA USD 87427.000000 0.0027165 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 21270.950000 PA USD 22565.470000 0.0007012 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 94836808.270000 PA USD 935090929.510000 29.0553297 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140HN5H1 51989.490000 PA USD 55007.630000 0.0017092 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 3140JANZ7 105291.900000 PA USD 111450.190000 0.0034630 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 3140JGR64 458324.490000 PA USD 485357.010000 0.0150811 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 84649.140000 PA USD 89801.900000 0.0027903 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 31417YAY3 8992.100000 PA USD 9786.980000 0.0003041 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417YDA2 2439.360000 PA USD 2654.790000 0.0000825 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417YJN8 1295.220000 PA USD 1447.310000 0.0000450 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31417YJ24 4840.440000 PA USD 5407.240000 0.0001680 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31417YM95 5654.420000 PA USD 6209.150000 0.0001929 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CKG8 14320.640000 PA USD 15215.190000 0.0004728 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 86984.930000 PA USD 92298.130000 0.0028679 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 83641.370000 PA USD 88473.530000 0.0027491 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 282998.020000 PA USD 300221.260000 0.0093285 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 83790.510000 PA USD 88857.620000 0.0027610 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 74062.330000 PA USD 78370.740000 0.0024352 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 68672.410000 PA USD 72773.420000 0.0022612 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 76220.950000 PA USD 80744.170000 0.0025089 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 1396010.140000 PA USD 1475282.870000 0.0458403 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 345397A29 637000.000000 PA USD 648532.890000 0.0201513 Long DBT CORP US N 2 2023-01-09 Fixed 3.087 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YY3 640000.000000 PA USD 640000.000000 0.0198862 Long DBT CORP US N 2 2021-04-05 Floating 1.04838 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YP2 244000.000000 PA USD 241799.090000 0.0075132 Long DBT CORP US N 2 2022-08-03 Floating 1.2755 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540XAB9 216000.000000 PA USD 221533.920000 0.0068835 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI10JHM5 711000.000000 PA 818743.980000 0.0254402 Long DBT CORP US N 2 2022-12-07 Floating 0.000001 N N N N N N FREDDIE MAC 2764 N/A 31394TYD1 78475.970000 PA USD 89986.780000 0.0027961 Long ABS-MBS USGSE US N 2 2034-03-15 Fixed 5.5 N N N N N N FREDDIE MAC 3181 N/A 31396URJ1 117205.500000 PA USD 21410.400000 0.0006653 Long ABS-MBS USGSE US N 2 2036-07-15 Floating 6.364 N N N N N N FREDDIE MAC 3218 N/A 31397BJY8 74245.160000 PA USD 13002.380000 0.0004040 Long ABS-MBS USGSE US N 2 2036-09-15 Floating 6.464 N N N N N N FREDDIE MAC 3311 N/A 31397H6P8 2821.050000 PA USD 2818.570000 0.0000876 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 0.406 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 115089.540000 PA USD 118003.050000 0.0036666 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 0.806 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 62519.850000 PA USD 63807.670000 0.0019826 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 0.826 N N N N N N FREDDIE MAC 3368 N/A 31397KL82 68167.780000 PA USD 69431.040000 0.0021574 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 0.826 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 18760.180000 PA USD 18681.090000 0.0005805 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 0.816 N N N N N N FREDDIE MAC REMICS 3844 N/A 3137A8VQ8 327000.000000 PA USD 383366.100000 0.0119120 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 5 N N N N N N FREDDIE MAC REMICS 3848 N/A 3137A9D52 107000.000000 PA USD 122412.000000 0.0038036 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 5 N N N N N N FREDDIE MAC REMICS 3922 N/A 3137AFHT2 133692.350000 PA USD 192428.510000 0.0059792 Long ABS-MBS USGSE US N 2 2041-09-15 Floating 14.2046 N N N N N N FREDDIE MAC REMICS 3951 N/A 3137AHVF2 37651.780000 PA USD 46259.680000 0.0014374 Long ABS-MBS USGSE US N 2 2040-02-15 Floating 10.648 N N N N N N FREDDIE MAC REMICS 4079 N/A 3137ARVQ6 1572441.670000 PA USD 1640295.040000 0.0509676 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4273 N/A 3137B66E6 35297.200000 PA USD 35553.970000 0.0011047 Long ABS-MBS USGSE US N 2 2043-11-15 Floating 0.506 N N N N N N FREDDIE MAC-3136 N/A 31396NH41 25200.210000 PA USD 3500.580000 0.0001088 Long ABS-MBS USGSE US N 2 2036-04-15 Floating 6.594 N N N N N N FREDDIE MAC-3289 N/A 31397FNM0 42061.260000 PA USD 42423.800000 0.0013182 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 0.486 N N N N N N FREDDIE MAC-3891 N/A 3137ADTZ0 48821.040000 PA USD 49501.120000 0.0015381 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 0.656 N N N N N N FREMONT HOME LOAN TRUST 2004-3 N/A 35729PFM7 498494.330000 PA USD 497984.470000 0.0154735 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.15863 N N N N N N FREMONT HOME LOAN TRUST 2005-A N/A 35729PHN3 277383.360000 PA USD 275665.000000 0.0085655 Long ABS-MBS CORP US N 2 2035-01-25 Floating 0.84363 N N N N N N FREMONT HOME LOAN TRUST 2005-C N/A 35729PKS8 15897.010000 PA USD 15831.580000 0.0004919 Long ABS-MBS CORP US N 2 2035-07-25 Floating 0.84363 N N N N N N FREMONT HOME LOAN TRUST 2006-B N/A 35729QAD0 1048128.940000 PA USD 453890.250000 0.0141034 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.26863 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAA0 598846.120000 PA USD 550196.700000 0.0170958 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.24363 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAD4 842122.130000 PA USD 469427.170000 0.0145861 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.25863 N N N N N N FREMONT HOME LOAN TRUST 2006-D N/A 35729VAA5 272823.500000 PA USD 191171.000000 0.0059401 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.24863 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAA3 725690.100000 PA USD 482836.820000 0.0150028 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.24863 N N N N N N FWD SECURITIZATION TRUST 2020-INV1 N/A 302985AA4 168111.790000 PA USD 171418.940000 0.0053264 Long ABS-MBS CORP US N 2 2050-01-25 Variable 2.24 N N N N N N GALAXY XV CLO LTD 2013-15A N/A 36318WAE0 280000.000000 PA USD 279930.780000 0.0086981 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.44125 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCE4 6000.000000 PA USD 6053.110000 0.0001881 Long DBT CORP US N 2 2023-01-05 Floating 1.18425 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XBX3 28000.000000 PA USD 28303.980000 0.0008795 Long DBT CORP US N 2 2022-06-30 Floating 1.509 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCN4 67000.000000 PA USD 67312.200000 0.0020915 Long DBT CORP US N 2 2021-11-06 Floating 1.29263 N N N N N N GEORGIA POWER COMPANY D981X4Z4RWS7PDMJUZ03 373334KL4 18000.000000 PA USD 18398.730000 0.0005717 Long DBT CORP US N 2 2029-09-15 Fixed 2.65 N N N N N N GLG EURO CLO III DAC A N/A ACI1VVSK6 1300000.000000 PA 1524238.260000 0.0473614 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 0.68 N N N N N N GLS AUTO RECEIVABLES TRUST 2019-3A N/A 36258AAA8 316187.330000 PA USD 318487.970000 0.0098961 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 597730.980000 PA USD 603410.980000 0.0187493 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 538885.470000 PA USD 543463.730000 0.0168866 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 36202KP33 256.830000 PA USD 262.090000 0.0000081 Long ABS-MBS USGSE US N 2 2024-11-20 Floating 2.125 N N N N N N GNMA PASS THRU POOLS N/A 36179QUQ2 273815.660000 PA USD 284660.920000 0.0088450 Long ABS-MBS USGSE US N 2 2044-11-20 Floating 2.125 N N N N N N SL GREEN REALTY CORP 549300VQZPJU97H3GT17 78440X507 26950.000000 NS USD 695849.000000 0.0216216 Long EP CORP US N 1 N N N GNMA PASS THRU POOLS N/A 36210B4E2 4889.340000 PA USD 5654.260000 0.0001757 Long ABS-MBS USGSE US N 2 2039-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36212TA53 1235.720000 PA USD 1396.280000 0.0000434 Long ABS-MBS USGSE US N 2 2035-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36200JJZ4 4192.820000 PA USD 4838.080000 0.0001503 Long ABS-MBS USGSE US N 2 2035-12-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36200MTF0 8245.200000 PA USD 9590.650000 0.0002980 Long ABS-MBS USGSE US N 2 2033-08-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36291CE76 627.580000 PA USD 708.450000 0.0000220 Long ABS-MBS USGSE US N 2 2035-12-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36291TUF3 3204.400000 PA USD 3618.050000 0.0001124 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295GBG6 1189.150000 PA USD 1337.030000 0.0000415 Long ABS-MBS USGSE US N 2 2037-07-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36295GBH4 1403.640000 PA USD 1580.160000 0.0000491 Long ABS-MBS USGSE US N 2 2037-08-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36295KGC1 98.600000 PA USD 111.240000 0.0000035 Long ABS-MBS USGSE US N 2 2038-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295LGE5 2124.610000 PA USD 2396.760000 0.0000745 Long ABS-MBS USGSE US N 2 2038-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295L3X7 1228.910000 PA USD 1402.190000 0.0000436 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295L4B4 49.760000 PA USD 56.180000 0.0000017 Long ABS-MBS USGSE US N 2 2038-07-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295NCQ8 113.500000 PA USD 131.610000 0.0000041 Long ABS-MBS USGSE US N 2 2038-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295NCS4 27508.940000 PA USD 31695.830000 0.0009849 Long ABS-MBS USGSE US N 2 2038-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295P6T4 282.580000 PA USD 323.560000 0.0000101 Long ABS-MBS USGSE US N 2 2038-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QN55 409.040000 PA USD 461.920000 0.0000144 Long ABS-MBS USGSE US N 2 2038-09-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295WJ73 3117.030000 PA USD 3621.950000 0.0001125 Long ABS-MBS USGSE US N 2 2038-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296BGC0 48.930000 PA USD 56.110000 0.0000017 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296B2K7 175.530000 PA USD 198.170000 0.0000062 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296DK23 4169.190000 PA USD 4803.670000 0.0001493 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296DP28 6474.280000 PA USD 7549.280000 0.0002346 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296DZF8 1542.380000 PA USD 1741.310000 0.0000541 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296GRH6 23603.870000 PA USD 26639.650000 0.0008278 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296GTL5 178.410000 PA USD 201.350000 0.0000063 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296JEM3 14605.780000 PA USD 16829.200000 0.0005229 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296JJY2 997.420000 PA USD 1159.510000 0.0000360 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296P6L0 1815.350000 PA USD 2104.980000 0.0000654 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QDB2 6270.430000 PA USD 7072.630000 0.0002198 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QH51 16324.150000 PA USD 19018.830000 0.0005910 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QK32 81104.670000 PA USD 94284.250000 0.0029296 Long ABS-MBS USGSE US N 2 2039-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QL31 4346.190000 PA USD 5065.500000 0.0001574 Long ABS-MBS USGSE US N 2 2039-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QPK9 5054.190000 PA USD 5892.760000 0.0001831 Long ABS-MBS USGSE US N 2 2039-01-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QRU5 308.240000 PA USD 355.720000 0.0000111 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QZD4 2311.510000 PA USD 2685.480000 0.0000834 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QZF9 249219.290000 PA USD 290484.330000 0.0090260 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296Q6V6 4518.410000 PA USD 5261.170000 0.0001635 Long ABS-MBS USGSE US N 2 2039-08-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296UE30 3215.230000 PA USD 3703.590000 0.0001151 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296UNU0 35378.030000 PA USD 41219.170000 0.0012808 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296XUD4 5383.090000 PA USD 6275.590000 0.0001950 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296XU77 41881.200000 PA USD 48794.520000 0.0015162 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296X3G7 3674.270000 PA USD 4146.800000 0.0001289 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296YP30 10785.570000 PA USD 12166.850000 0.0003781 Long ABS-MBS USGSE US N 2 2039-08-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36297AKJ1 10870.990000 PA USD 12674.100000 0.0003938 Long ABS-MBS USGSE US N 2 2039-01-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36297BXM8 19638.200000 PA USD 22880.150000 0.0007109 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36297GKW9 352.820000 PA USD 409.120000 0.0000127 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36297HN87 1035.540000 PA USD 1169.360000 0.0000363 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36297KH87 4603.380000 PA USD 5367.180000 0.0001668 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620A2J56 11892.680000 PA USD 13862.360000 0.0004307 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 BJBQCWII7 369850.000000 NS 563100.540000 0.0174968 Long EP CORP NL N 2 N N N GNMA PASS THRU POOLS N/A 3620A6DC8 5905.510000 PA USD 6858.780000 0.0002131 Long ABS-MBS USGSE US N 2 2039-07-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620AAT81 1667.650000 PA USD 1937.990000 0.0000602 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620AC3Y8 4716.660000 PA USD 5495.370000 0.0001708 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620AC6N9 5375.800000 PA USD 6263.290000 0.0001946 Long ABS-MBS USGSE US N 2 2039-10-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620AVQ47 3789.960000 PA USD 4406.500000 0.0001369 Long ABS-MBS USGSE US N 2 2040-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620C0WE4 1535.650000 PA USD 1733.880000 0.0000539 Long ABS-MBS USGSE US N 2 2039-11-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620C3VR0 37322.930000 PA USD 42124.430000 0.0013089 Long ABS-MBS USGSE US N 2 2040-08-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620C4RW2 11661.710000 PA USD 13164.640000 0.0004091 Long ABS-MBS USGSE US N 2 2040-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176AB99 1039.100000 PA USD 1173.150000 0.0000365 Long ABS-MBS USGSE US N 2 2041-11-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176ARN1 8667.280000 PA USD 9892.950000 0.0003074 Long ABS-MBS USGSE US N 2 2041-10-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176ARS0 10480.330000 PA USD 11827.100000 0.0003675 Long ABS-MBS USGSE US N 2 2041-11-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176DEZ2 2714.630000 PA USD 3148.000000 0.0000978 Long ABS-MBS USGSE US N 2 2041-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176PB39 1758.770000 PA USD 1985.770000 0.0000617 Long ABS-MBS USGSE US N 2 2042-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176R7B2 3383.230000 PA USD 3847.140000 0.0001195 Long ABS-MBS USGSE US N 2 2042-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176R7H9 5617.030000 PA USD 6342.780000 0.0001971 Long ABS-MBS USGSE US N 2 2042-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241KUL0 9127.990000 PA USD 10600.910000 0.0003294 Long ABS-MBS USGSE US N 2 2038-08-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241KW53 30623.240000 PA USD 35332.550000 0.0010979 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241KZ35 391732.170000 PA USD 456395.340000 0.0141812 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241LJB3 3898.220000 PA USD 4520.180000 0.0001405 Long ABS-MBS USGSE US N 2 2040-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241LJY3 9856.260000 PA USD 11483.010000 0.0003568 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241LVF0 7127.940000 PA USD 8304.650000 0.0002580 Long ABS-MBS USGSE US N 2 2040-12-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36183XMV9 29215.060000 PA USD 31442.420000 0.0009770 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183XQ86 37861.910000 PA USD 40747.330000 0.0012661 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184BZ67 18912.480000 PA USD 20713.020000 0.0006436 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N GOLDENTREE LOAN MANAGEMENT EUR CLO 4 DAC 4A N/A ACI1N8273 1448000.000000 PA 1704388.360000 0.0529591 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 348000.000000 PA USD 348051.720000 0.0108147 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 1.174 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWZ3 143000.000000 PA USD 160518.810000 0.0049877 Long DBT CORP US N 2 2029-05-01 Floating 4.223 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19 N/A 38380VEU1 389073.570000 PA USD 386559.770000 0.0120113 Long ABS-MBS USGSE US N 2 2047-08-20 Floating 0.46513 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H09 N/A 38380LFE8 709026.330000 PA USD 715574.900000 0.0222345 Long ABS-MBS USGSE US N 2 2068-04-20 Floating 1.3355 N N N N N N GREENPOINT MORTGAGE FUND TRUST 2006-OH1 N/A 39539GAA0 179466.900000 PA USD 173282.080000 0.0053843 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.28863 N N N N N N GSAA HOME EQUITY TRUST 2005-10 N/A 362341JL4 142000.000000 PA USD 140623.510000 0.0043695 Long ABS-MBS CORP US N 2 2035-06-25 Floating 1.17363 Y N N N N N GSAA HOME EQUITY TRUST 2006-10 N/A 362375AD9 276744.390000 PA USD 111991.340000 0.0034798 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.29548 Y N N N N N GSAA HOME EQUITY TRUST 2006-4 N/A 362334FF6 204325.190000 PA USD 87052.050000 0.0027049 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.95692 N N N N N N GSAA HOME EQUITY TRUST 2006-5 N/A 362334GR9 164134.230000 PA USD 77440.780000 0.0024063 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.24863 N N N N N N GSAA HOME EQUITY TRUST 2006-7 N/A 362334NB6 1602872.940000 PA USD 932911.320000 0.0289876 Long ABS-MBS CORP US N 2 2046-03-25 Fixed 5.99494 Y N N N N N GSAA HOME EQUITY TRUST 2006-9 N/A 362382AE3 67218.450000 PA USD 21998.120000 0.0006835 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.34863 N N N N N N GSAA HOME EQUITY TRUST 2007-4 N/A 3622EBAB4 1575238.990000 PA USD 668497.720000 0.0207717 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.30863 N N N N N N GSAA HOME EQUITY TRUST 2007-5 N/A 3622ECAA4 207805.690000 PA USD 94736.390000 0.0029437 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.20863 Y N N N N N GSAA HOME EQUITY TRUST 2007-5 N/A 3622ECAF3 354934.920000 PA USD 213752.490000 0.0066418 Long ABS-MBS CORP US N 2 2047-04-25 Floating 0.42863 N N N N N N GSAMP TRUST 2005-HE3 N/A 362341BT5 197000.000000 PA USD 197968.610000 0.0061513 Long ABS-MBS CORP US N 2 2035-06-25 Floating 1.90863 N N N N N N GSAMP TRUST 2006-HE2 N/A 362334LJ1 279180.190000 PA USD 277534.650000 0.0086236 Long ABS-MBS CORP US N 2 2046-03-25 Floating 0.58863 N N N N N N GSAMP TRUST 2006-HE3 N/A 36244KAE5 360000.000000 PA USD 347279.650000 0.0107907 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.60863 N N N N N N GSAMP TRUST 2006-HE8 N/A 3622M8AE6 285000.000000 PA USD 252020.800000 0.0078308 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.33863 N N N N N N GSAMP TRUST 2006-S1 N/A 3623413A5 1365.620000 PA USD 230.140000 0.0000072 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.28863 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAD3 333340.800000 PA USD 207967.690000 0.0064620 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.27863 N N N N N N GSAMP TRUST 2007-FM2 N/A 3622MHAC0 1304491.260000 PA USD 955600.120000 0.0296926 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.19863 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAA6 2382501.010000 PA USD 1602361.780000 0.0497889 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.23863 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAB4 167731.810000 PA USD 109876.730000 0.0034141 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.15863 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAC2 122690.060000 PA USD 80922.280000 0.0025144 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.20863 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAD0 606727.530000 PA USD 402677.600000 0.0125121 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.25863 N N N N N N GSMSC PASS-THROUGH TRUST 2009-4R N/A 36190GAE8 102056.790000 PA USD 64111.190000 0.0019921 Long ABS-MBS CORP US N 2 2036-12-26 Floating 0.56763 N N N N N N GSPA MONETIZATION TRUST N/A 36298GAA7 229020.180000 PA USD 248284.340000 0.0077147 Long DBT CORP US N 2 2029-10-09 Fixed 6.422 N N N N N N GSR MORTGAGE LOAN TRUST 2004-12 N/A 36242DLF8 6441.650000 PA USD 6497.340000 0.0002019 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.62695 N N N N N N GSR MORTGAGE LOAN TRUST 2004-4 N/A 36228FD45 7299.090000 PA USD 6518.590000 0.0002025 Long ABS-MBS CORP US N 2 2032-04-25 Floating 1.92 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR4 N/A 362341FR5 4558.840000 PA USD 4734.920000 0.0001471 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.25915 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RT8 10446.850000 PA USD 10567.370000 0.0003284 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.84079 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341SF7 26973.070000 PA USD 27118.850000 0.0008426 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.97806 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341WZ8 11955.310000 PA USD 12068.030000 0.0003750 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.21114 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 25654.540000 PA USD 25778.390000 0.0008010 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.87319 N N N N N N GSR MORTGAGE LOAN TRUST 2006-1F N/A 3623417Z6 289247.160000 PA USD 178148.080000 0.0055355 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 6 Y N N N N N GSR MORTGAGE LOAN TRUST 2007-1F N/A 3622MPAN8 38449.960000 PA USD 44565.000000 0.0013847 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 5.5 Y N N N N N GSR MORTGAGE LOAN TRUST 2007-4F N/A 362669BJ1 73002.280000 PA USD 63144.860000 0.0019620 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 Y N N N N N GSR MTGE LOAN TRUST 2003-2F N/A 36228FNB8 86.470000 PA USD 90.210000 0.0000028 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6 N N N N N N GSRPM MORTGAGE LOAN TRUST 2006-1 N/A 362334NW0 911000.000000 PA USD 914494.780000 0.0284154 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.00863 N N N N N N HALCYON LOAN ADVISORS FUNDING 2014-3 LTD N/A 40538FAQ6 22354.230000 PA USD 22383.990000 0.0006955 Long ABS-CBDO CORP KY N 2 2025-10-22 Floating 1.32238 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 275262.690000 PA USD 265646.440000 0.0082542 Long ABS-MBS CORP US N 2 2035-05-19 Floating 0.55025 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-3 N/A 41161PMG5 78227.830000 PA USD 78155.990000 0.0024285 Long ABS-MBS CORP US N 2 2035-06-19 Floating 0.59025 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-9 N/A 41161PSK0 139657.040000 PA USD 137213.140000 0.0042635 Long ABS-MBS CORP US N 2 2035-06-20 Floating 0.79088 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-11 N/A 41162GAA0 11537.990000 PA USD 10854.100000 0.0003373 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.45025 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 308986.170000 PA USD 289066.760000 0.0089819 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.31525 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAD1 168420.210000 PA USD 165171.170000 0.0051322 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.35025 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-3 N/A 41161QAD3 69934.460000 PA USD 45506.700000 0.0014140 Long ABS-MBS CORP US N 2 2036-06-19 Floating 3.32138 Y N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-12 N/A 41161PVF7 368608.820000 PA USD 268345.120000 0.0083381 Long ABS-MBS CORP US N 2 2035-10-19 Floating 2.25903 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A 41161PYZ0 603837.610000 PA USD 437763.070000 0.0136023 Long ABS-MBS CORP US N 2 2036-01-19 Floating 0.61025 Y N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2007-4 N/A 41164YAB7 234262.890000 PA USD 226125.910000 0.0070262 Long ABS-MBS CORP US N 2 2047-07-19 Floating 0.33025 N N N N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 2500000.000000 PA 2930531.600000 0.0910581 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.64 N N N N N N HARVEST CLO XX DAC 20A N/A ACI1WC7B0 7200000.000000 PA 8443440.090000 0.2623562 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 0.96 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 1026064.680000 PA 1419895.120000 0.0441193 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.09892 N N N N N N HEALTHCARE REALTY TRUST INCORPORATED 549300CB86LH2IOKHH22 421946AL8 241000.000000 PA USD 235176.520000 0.0073075 Long DBT CORP US N 2 2030-03-15 Fixed 2.4 N N N N N N HERA COMMERCIAL MORTGAGE 2021-FL1 N/A 42704RAA9 5700000.000000 PA USD 5704872.360000 0.1772629 Long ABS-CBDO CORP KY N 2 2038-02-18 Floating 1.17 N N N N N N HOME EQUITY LOAN TRUST 2007-FRE1 N/A 43710XAE8 314000.000000 PA USD 264190.400000 0.0082090 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.44863 N N N N N N HOMEBANC MORTGAGE TRUST 2005-1 N/A 43739EAQ0 222433.910000 PA USD 204369.850000 0.0063502 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.72863 N N N N N N HOMEWARD OPPORTUNITIES FUND I TRUST 2020-2 N/A 43789XAA2 924171.610000 PA USD 931347.990000 0.0289390 Long ABS-MBS CORP US N 2 2065-05-25 Variable 1.657 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CP2 1500000.000000 PA USD 1496250.000000 0.0464918 Long DBT CORP GB N 2 2026-03-09 Floating 4 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N TRUIST FINANCIAL CORPORATION 549300DRQQI75D2JP341 89832QAE9 302000.000000 NS USD 328047.500000 0.0101932 Long EP CORP US N 2 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CF4 200000.000000 PA USD 233688.980000 0.0072612 Long DBT CORP ZA N 2 2030-03-31 Fixed 4.95 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 BJ0297II1 505000.000000 PA 748598.490000 0.0232606 Long DBT CORP GB N 2 2030-05-29 Floating 3 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CK3 431000.000000 PA USD 415129.760000 0.0128990 Long DBT CORP GB N 2 2031-08-18 Floating 2.357 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAD0 904689.340000 PA USD 361695.340000 0.0112387 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.32863 N N N N N N HSI ASSET SEC CORP TRUST 2006-WMC1 N/A 40430MAC1 133191.700000 PA USD 78484.950000 0.0024387 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.30863 N N N N N N HSI ASSET SECUR CORP TRUST 2007-WF1 N/A 40431RAA3 73301.480000 PA USD 72340.300000 0.0022478 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.26863 N N N N N N HSI ASSET SECURI CORP TRUS 2005-I1 N/A 40430HCV8 933226.180000 PA USD 914817.450000 0.0284254 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.58863 N N N N N N HSI ASSET SECURI CORP TRUS 2007-NC1 N/A 40430TAC6 1031683.210000 PA USD 845467.590000 0.0262705 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.28863 N N N N N N HUNTSMAN INTERNATIONAL LLC 3YTEJFW18LGIUQ2N5J61 44701QBD3 65000.000000 PA USD 68587.000000 0.0021311 Long DBT CORP US N 2 2022-11-15 Fixed 5.125 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 452152BM2 65000.000000 PA USD 77878.130000 0.0024198 Long DBT MUN US N 2 2035-02-01 Fixed 6.63 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 452152FA4 130000.000000 PA USD 156991.290000 0.0048781 Long DBT MUN US N 2 2035-04-01 Fixed 6.725 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 452152GS4 100000.000000 PA USD 124248.960000 0.0038607 Long DBT MUN US N 2 2035-07-01 Fixed 7.35 N N N N N N IMPAC CMB TR 2004-10 N/A 45254NLJ4 315509.560000 PA USD 321877.620000 0.0100014 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.74863 N N N N N N IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1 N/A 45254TRR7 25243.330000 PA USD 22147.950000 0.0006882 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.36468 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAA1 330000.000000 PA USD 349012.040000 0.0108446 Long DBT CORP GB N 2 2024-07-26 Fixed 3.125 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAB9 1527000.000000 PA USD 1633967.590000 0.0507710 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 345000.000000 PA USD 368118.590000 0.0114383 Long DBT CORP GB N 2 2029-07-26 Fixed 3.875 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-16IP N/A 45660LUD9 4579.160000 PA USD 4130.250000 0.0001283 Long ABS-MBS CORP US N 2 2045-07-25 Floating 0.74863 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR11 N/A 45661KAD2 164684.080000 PA USD 162514.610000 0.0050497 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.5213 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 76593.640000 PA USD 71858.010000 0.0022328 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.29863 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR4 N/A 45661EAV6 18145.670000 PA USD 17670.920000 0.0005491 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.52863 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2007-AR7 N/A 45670CAA5 5509.320000 PA USD 3034.880000 0.0000943 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.40863 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR10 N/A 45660N2Y0 147.370000 PA USD 143.060000 0.0000044 Long ABS-MBS CORP US N 2 2034-05-25 Floating 0.88863 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR10 N/A 45660LKW8 40942.110000 PA USD 37949.720000 0.0011792 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.62863 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR12 N/A 45660LMG1 212564.060000 PA USD 207179.770000 0.0064375 Long ABS-MBS CORP US N 2 2035-07-25 Floating 0.58863 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR5 N/A 45660LGV5 268141.190000 PA USD 211097.420000 0.0065593 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.23219 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR14 N/A 45668GAD4 660716.750000 PA USD 627353.860000 0.0194933 Long ABS-MBS CORP US N 2 2046-11-25 Floating 0.30863 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR39 N/A 45660KAA9 93642.800000 PA USD 92821.660000 0.0028842 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.28863 Y N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAA4 273120.220000 PA USD 236206.710000 0.0073395 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.32863 N N N N N N INEOS FINANCE PLC 2138002D68XDR4LZCG32 ACI0YJHL2 1945000.000000 PA 2260752.040000 0.0702465 Long DBT CORP GB N 2 2025-11-15 Fixed 2.125 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 ACI0QYRD5 200000.000000 PA USD 208584.800000 0.0064812 Long DBT CORP NL N 2 2022-04-16 Floating 6.875 N N N N Y ING GROEP NV EUR XXXX N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AR4 500000.000000 PA USD 545792.500000 0.0169590 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 INTERNATIONAL LEASE FINANCE CORPORATION N/A 459745GN9 34000.000000 PA USD 36367.260000 0.0011300 Long DBT CORP US N 2 2022-08-15 Fixed 5.875 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 ACI0RSP49 1650000.000000 PA 2375437.860000 0.0738101 Long DBT CORP IT N 2 2027-01-11 Floating 7.75 N N N N N N INVESCO EURO CLO I DAC 1A N/A ACI1VT7W8 1000000.000000 PA 1171401.240000 0.0363980 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 0.65 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 977UCSII1 20000000.000000 PA 6310909.040000 0.1960938 Long DBT NUSS IL N 2 2022-01-31 Fixed 5.5 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1VWZN0 47900000.000000 PA 14328018.900000 0.4452030 Long DBT NUSS IL N 2 2021-11-30 Floating 0.05 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1VNWB9 9600000.000000 PA 2872591.310000 0.0892577 Long DBT MUN IL N 2 2022-02-02 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1W7SY8 62600000.000000 PA 18733561.660000 0.5820929 Long DBT MUN IL N 2 2022-03-02 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1MV3W7 2800000.000000 PA 837671.620000 0.0260283 Long DBT MUN IL N 2 2021-06-02 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1WD5H7 24000000.000000 PA 7178965.630000 0.2230662 Long DBT MUN IL N 2 2021-10-06 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1VRHK7 41200000.000000 PA 12328820.550000 0.3830835 Long DBT NUSS IL N 2 2021-11-30 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513YJJ8 422000.000000 PA USD 486751.680000 0.0151244 Long DBT NUSS IL N 2 2048-01-17 Fixed 4.125 N N N N N N IXIS REAL ESTATE CAPITAL TRUST 2006-HE1 N/A 45071KDD3 211948.730000 PA USD 137599.740000 0.0042755 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.50863 Y N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A 46651QAA5 454828.250000 PA USD 451162.700000 0.0140186 Long ABS-MBS CORP US N 2 2031-12-15 Floating 1.556 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 798856659.000000 PA 7286929.110000 0.2264209 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1BXN03 413602560.000000 PA 3767154.500000 0.1170538 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A2 N/A 46628GAL3 79897.930000 PA USD 61218.740000 0.0019022 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.27979 Y N N N N N JP MORGAN ALTERNATIVE LN TRUST 2008-R4 N/A 466309AA9 67374.560000 PA USD 50642.970000 0.0015736 Long ABS-MBS CORP US N 2 2036-12-27 Fixed 6 Y N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBR6 862000.000000 PA USD 871982.940000 0.0270944 Long DBT CORP US N 2 2028-06-01 Floating 2.182 N N N N N N JP MORGAN MORTGAGE ACQI CORP 2006-CH1 N/A 46629TAK6 1874000.000000 PA USD 1808642.000000 0.0561985 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.50863 N N N N N N JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2 N/A 46628TAD3 69063.770000 PA USD 40938.790000 0.0012721 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.40863 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A3 N/A 466247PW7 3970.690000 PA USD 4155.600000 0.0001291 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.02027 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 56338.700000 PA USD 58541.860000 0.0018190 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.5086 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BAG5 40516.330000 PA USD 35778.190000 0.0011117 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.36868 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BBC3 6824.550000 PA USD 5909.270000 0.0001836 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.60199 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAC9 42329.440000 PA USD 43642.000000 0.0013561 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.86077 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAD7 82697.030000 PA USD 86277.200000 0.0026808 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.86077 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A2 N/A 46630PAE5 5844.190000 PA USD 5218.990000 0.0001622 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.11243 Y N N N N N JP MORGAN MORTGAGE TRUST 2008-R2 N/A 46632TAA3 95464.640000 PA USD 94096.040000 0.0029238 Long ABS-MBS CORP US N 2 2037-07-27 Floating 3.05149 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 330.490000 PA USD 336.360000 0.0000105 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.59438 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A6 N/A 466247UG6 33492.270000 PA USD 31713.070000 0.0009854 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.16257 Y N N N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 360382.750000 PA USD 354509.020000 0.0110154 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.31863 N N N N N N JP MORGAN MTGE ACQUIS CORP 2007-CH3 N/A 46630XAG3 1200000.000000 PA USD 1152215.160000 0.0358019 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.40863 N N N N N N JUBILEE CLO 2014-XI BV 14-11A N/A ACI1W2T93 6700000.000000 PA 7857090.090000 0.2441371 Long ABS-CBDO CORP NL N 2 2030-04-15 Floating 0.61 N N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2TB8 5700000.000000 PA 6684390.070000 0.2076987 Long ABS-CBDO CORP NL N 2 2031-04-15 Floating 0.65 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAL0 30000.000000 PA USD 34581.490000 0.0010745 Long DBT CORP US N 2 2035-07-15 Fixed 5 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAM8 38000.000000 PA USD 44043.770000 0.0013685 Long DBT CORP US N 2 2045-07-15 Fixed 5.2 N N N N N N LEGACY MORTGAGE ASSET TRUST 2019-GS3 N/A 52474WAA5 529336.260000 PA USD 534519.100000 0.0166087 Long ABS-MBS CORP US N 2 2059-04-25 Fixed 3.75 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS1 N/A 52474JAA4 4338193.760000 PA USD 4343082.470000 0.1349491 Long ABS-MBS CORP US N 2 2066-10-25 Fixed 1.892 N N N N N N LEHMAN MORTGAGE TRUST 2006-7 N/A 52520QAB0 561947.380000 PA USD 324172.610000 0.0100728 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.75863 Y N N N N N LEHMAN XS TRUST 2006 GP4 N/A 525161AN5 1029432.970000 PA USD 1013743.280000 0.0314992 Long ABS-MBS CORP US N 2 2046-08-25 Floating 0.33363 N N N N N N LEHMAN XS TRUST 2006-7 N/A 52522EAA7 95710.670000 PA USD 104734.060000 0.0032543 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.26863 N N N N N N LEHMAN XS TRUST 2007-15N N/A 52524VAG4 105731.380000 PA USD 101267.420000 0.0031466 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.35863 N N N N N N LEHMAN XS TRUST 2007-16N N/A 52525BAD4 73482.710000 PA USD 74351.280000 0.0023103 Long ABS-MBS CORP US N 2 2047-09-25 Floating 0.95863 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AU3 1515000.000000 PA USD 1734675.000000 0.0539002 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 358000.000000 PA 538882.360000 0.0167443 Long DBT CORP GB N 2 2023-06-27 Floating 7.625 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI0808H1 600000.000000 PA 1043511.350000 0.0324242 Long DBT CORP GB N 2 2029-06-27 Floating 7.875 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AT6 266000.000000 PA USD 303177.560000 0.0094204 Long DBT CORP GB N 2 2028-08-16 Fixed 4.55 N N N N N N LONDON WALL MORTGAGE CAPITAL PLC 17-FL1 N/A ACI0WP8J5 49669.190000 PA 68581.520000 0.0021310 Long ABS-MBS CORP GB N 2 2049-11-15 Floating 0.90213 N N N N N N LONG BEACH MORTGAGE LOAD TR 2005-WL3 N/A 542514PR9 10606.740000 PA USD 10538.230000 0.0003274 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.75363 N N N N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RH9 704193.280000 PA USD 690990.640000 0.0214706 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.54863 N N N N N N LONG BEACH MORTGAGE LOAN TR 2005-2 N/A 542514KV5 179510.590000 PA USD 180019.930000 0.0055936 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.08363 N N N N N N LONG BEACH MORTGAGE LOAN TR 2005-3 N/A 542514NT7 28108.440000 PA USD 27380.610000 0.0008508 Long ABS-MBS CORP US N 2 2045-08-25 Floating 0.62863 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-4 N/A 54251MAA2 61590.950000 PA USD 42390.700000 0.0013172 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.40863 N N N N N N LONG BEACH MORTGAGE LOAN TRUST 2006-11 N/A 542512AA6 476653.610000 PA USD 373507.100000 0.0116057 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.26863 N N N N N N LONG BEACH MORTGAGE LOAN TRUST 2006-11 N/A 542512AD0 309890.070000 PA USD 160795.670000 0.0049963 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.27863 N N N N N N LONG BEACH MORTGAGE LOAN TRUST 2006-3 N/A 542514UL6 365423.510000 PA USD 169581.870000 0.0052693 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.64863 N N N N N N LOS ANGELES COUNTY PUBLIC WORKS FINANCING AUTHORITY N/A 54473ENV2 30000.000000 PA USD 34118.240000 0.0010601 Long DBT MUN US N 2 2023-08-01 Fixed 6.466 N N N N N N LUMINENT MORTGAGE TRUST 2006-1 N/A 550279AM5 41422.530000 PA USD 37504.120000 0.0011653 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.82863 Y N N N N N LUMINENT MORTGAGE TRUST 2006-3 N/A 55027AAD2 3124852.950000 PA USD 2829173.740000 0.0879086 Long ABS-MBS CORP US N 2 2036-04-25 Variable 3.14314 N N N N N N 522 FUNDING CLO I LTD 2017-1A N/A 04625AAA2 1288000.000000 PA USD 1288551.750000 0.0400381 Long ABS-CBDO CORP KY N 2 2029-10-20 Floating 1.474 N N N N N N MAN GLG EURO CLO V DAC 5A N/A ACI1WBHS4 7000000.000000 PA 8290989.090000 0.2576192 Long ABS-CBDO CORP IE N 2 2031-12-15 Floating 0.69 N N N N N N MARATHON CLO IX LTD 2017-9A N/A 56577PAL3 9200000.000000 PA USD 9217032.880000 0.2863935 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 1.3415 N N N N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 15767.870000 PA USD 15815.460000 0.0004914 Long ABS-O CORP US N 2 2038-04-25 Floating 1.16775 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2003-4 N/A 576433EU6 58638.410000 PA USD 50191.760000 0.0015596 Long ABS-MBS CORP US N 2 2033-10-25 Floating 2.76577 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UF1 295568.830000 PA USD 298844.290000 0.0092857 Long ABS-MBS CORP US N 2 2034-11-21 Floating 3.17818 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UM6 9475.770000 PA USD 9580.780000 0.0002977 Long ABS-MBS CORP US N 2 2034-11-21 Floating 3.17818 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2005-6 N/A 576433C53 12445.590000 PA USD 12014.630000 0.0003733 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.73542 Y N N N N N MASTR ASSET BACKED SEC TR 2004-FRE1 N/A 57643LEA0 222000.000000 PA USD 223457.920000 0.0069433 Long ABS-MBS CORP US N 2 2034-07-25 Floating 2.80863 Y N N N N N MASTR ASSET BACKED SEC TR 2006-FRE1 N/A 57643LPP5 66032.010000 PA USD 65722.100000 0.0020421 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.68863 N N N N N N MASTR ASSET BACKED SEC TR 2006-FRE2 N/A 57643GAE7 52400.960000 PA USD 42566.270000 0.0013226 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.58863 N N N N N N MASTR ASSET BACKED SEC TR 2006-HE4 N/A 576449AB8 572661.910000 PA USD 269885.650000 0.0083859 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.32863 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC3 N/A 55275RAD4 324778.930000 PA USD 215815.730000 0.0067059 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.26863 N N N N N N MASTR ASSET BACKED SEC TR 2007-HE1 N/A 576457AC9 289269.950000 PA USD 281398.770000 0.0087437 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.31863 N N N N N N MASTR ASSET BACKED SEC TR 2007-WMC1 N/A 55275TAB4 1348728.670000 PA USD 530380.940000 0.0164801 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.15863 N N N N N N MASTR ASSET BACKED SECUR TR 2005-FRE1 N/A 57643LMA1 9757598.860000 PA USD 9612067.200000 0.2986680 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.85863 Y N N N N N MASTR ASSET SECURITIZATION TRUST 2006-2 N/A 55274QBB0 121910.670000 PA USD 105020.800000 0.0032632 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 Y N N N N N AAMES MORTGAGE INVESTMENT TRUST 2004-1 N/A 00252FAK7 103012.170000 PA USD 100514.090000 0.0031232 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.13363 Y N N N N N MASTR SPECIALIZED LOAN TRUST 2005-3 N/A 576436CP2 822000.000000 PA USD 820565.610000 0.0254968 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.85863 N N N N N N AAMES MORTGAGE INVESTMENT TRUST 2005-2 N/A 126673L42 982698.350000 PA USD 983675.350000 0.0305650 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.09863 Y N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 1909.900000 PA USD 1879.460000 0.0000584 Long ABS-MBS CORP US N 2 2030-12-15 Floating 0.546 N N N N N N MELLON RESIDENTIAL FUND CORP 2002-TBC2 N/A 585525FX1 30842.550000 PA USD 29455.880000 0.0009153 Long ABS-MBS CORP US N 2 2032-08-15 Floating 0.966 N N N N N N MERRILL LYNCH ALTERNATIVE NOTE ASSET 2007-F1 N/A 59023YAG9 43635.700000 PA USD 25653.010000 0.0007971 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 59024FAD6 145964.710000 PA USD 57564.930000 0.0017887 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.21863 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAE4 2272959.550000 PA USD 887432.280000 0.0275745 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.30863 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAF1 93309.440000 PA USD 37137.330000 0.0011539 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.40863 N N N N N N MERRILL LYNCH MORTGAGE INV 2006-MLN1 N/A 59023AAC0 439344.500000 PA USD 239755.830000 0.0074497 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.21863 N N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE2 N/A 59024LAD3 737893.980000 PA USD 313618.440000 0.0097448 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.36863 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 76981.110000 PA USD 72336.890000 0.0022477 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.19884 Y N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A2 N/A 589929M96 19198.240000 PA USD 19344.210000 0.0006011 Long ABS-MBS CORP US N 2 2033-02-25 Floating 1.70063 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A3 N/A 589929R26 7327.560000 PA USD 7526.720000 0.0002339 Long ABS-MBS CORP US N 2 2033-05-25 Floating 2.12271 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-HE4 N/A 59023EAE8 203991.350000 PA USD 69841.990000 0.0021701 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.60863 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAC6 2903840.250000 PA USD 1899202.120000 0.0590124 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.21863 N N N N N N MERRILL LYNCH MTGE INVESTORS 2006-A3 N/A 59023CAK8 58775.470000 PA USD 55462.520000 0.0017233 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.03545 N N N N N N MF1 2019-FL2 LTD N/A 55282LAA4 941980.390000 PA USD 946097.030000 0.0293973 Long ABS-MBS CORP KY N 2 2034-12-25 Floating 1.23863 N N N N N N MF1 2020-FL3 LTD N/A 59319WAA9 2133000.000000 PA USD 2163510.860000 0.0672250 Long ABS-MBS CORP US N 2 2035-07-15 Floating 2.156 N N N N N N MFA LLC 2018-NPL1 N/A 55282YAA6 2100000.000000 PA USD 2101290.240000 0.0652917 Long ABS-MBS CORP US N 2 2060-03-25 Fixed 2.3633 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BP7 36000.000000 PA USD 40014.940000 0.0012434 Long DBT CORP US N 2 2027-02-15 Fixed 4.185 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BN2 187000.000000 PA USD 220290.190000 0.0068449 Long DBT CORP US N 2 2029-02-06 Fixed 5.327 N N N N N N MIDDLESEX COUNTY IMPROVEMENT AUTHORITY 549300QDGS1CLXDHV188 596567BV8 425000.000000 PA USD 413922.040000 0.0128615 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 840000.000000 PA USD 840922.370000 0.0261293 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 1.474 N N N N N N MIDOCEAN CREDIT CLO VIII 2018-8A N/A 59801MAL2 10500000.000000 PA USD 10500000.000000 0.3262581 Long ABS-CBDO CORP KY N 2 2031-02-20 Floating 1.243 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2019-GS2 N/A 59981TAC9 103315.110000 PA USD 107013.770000 0.0033252 Long ABS-MBS CORP US N 2 2059-08-25 Fixed 2.75 N N N N N N MKS CLO LTD 2017-1A N/A 55317AAA7 6050000.000000 PA USD 6044920.420000 0.1878290 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 1.224 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-1 N/A 59020UVJ1 11842.500000 PA USD 11839.870000 0.0003679 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.05454 N N N N N N MONARCH GROVE CLO 2018-1A N/A 60909GAA8 342504.170000 PA USD 342381.890000 0.0106386 Long ABS-CBDO CORP KY N 2 2028-01-25 Floating 1.09775 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-HE1 N/A 61744CKP0 28665.010000 PA USD 26897.370000 0.0008358 Long ABS-MBS CORP US N 2 2034-12-25 Floating 0.81363 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-NC2 N/A 61744CPK6 165963.130000 PA USD 166083.850000 0.0051606 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.02363 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC6 N/A 61744CSY3 1073000.000000 PA USD 1070951.750000 0.0332768 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.03863 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE3 N/A 61749HAE0 261046.750000 PA USD 243404.190000 0.0075631 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.60863 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE5 N/A 61749NAD9 442156.450000 PA USD 283117.820000 0.0087971 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.24863 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAE5 701296.640000 PA USD 406581.360000 0.0126334 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.26863 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAA0 26573.920000 PA USD 25211.290000 0.0007834 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.23863 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A 617526AA6 523855.690000 PA USD 410032.590000 0.0127406 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.24363 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A 617526AB4 473323.900000 PA USD 347665.680000 0.0108027 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.18863 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAB6 328373.510000 PA USD 203644.900000 0.0063277 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.19863 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAC4 258722.230000 PA USD 161132.980000 0.0050068 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.23863 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAD2 236249.700000 PA USD 148383.170000 0.0046106 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.31863 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE4 N/A 61753VAA0 1130941.380000 PA USD 561916.250000 0.0174600 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.23863 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAA4 3071029.540000 PA USD 1647256.640000 0.0511839 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.32363 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAB2 664343.080000 PA USD 366916.420000 0.0114009 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.21863 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAC0 1065344.920000 PA USD 593387.530000 0.0184379 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.28863 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC2 N/A 61753NAA8 631425.210000 PA USD 560261.690000 0.0174086 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.23863 N N N N N N MORGAN STANLEY ABS CAPITAL I INC TRUST 2007-SEA1 N/A 61757MAA6 142960.240000 PA USD 135559.900000 0.0042121 Long ABS-MBS CORP US N 2 2047-02-25 Floating 2.00863 N N N N N N MORGAN STANLEY DEAN WITTER CAP I2002-AM3 N/A 61746WWR7 151628.060000 PA USD 151929.740000 0.0047208 Long ABS-MBS CORP US N 2 2033-02-25 Floating 1.08863 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-1 N/A 61751QAB1 1158559.000000 PA USD 712853.130000 0.0221499 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.20863 N N N N N N ACCREDITED MORTGAGE LOAN TRUST 2005-3 N/A 004375DV0 55736.040000 PA USD 55706.380000 0.0017309 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.57863 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAP6 4466.430000 PA USD 4709.720000 0.0001463 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.07704 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-3AR N/A 61745M4P5 100380.800000 PA USD 97961.050000 0.0030439 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.01353 Y N N N N N MORGAN STANLEY MORTGAGE TRUST-2006-16AX N/A 617487AC7 32421.660000 PA USD 13285.250000 0.0004128 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.27863 N N N N N N ACCREDITED MORTGAGE LOAN TRUST 2006-2 N/A 00437NAD4 332104.200000 PA USD 326700.960000 0.0101513 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.36863 N N N N N N MORGAN STANLEY MTGE LN TR 2006-7 N/A 61749JAT3 935196.000000 PA USD 374503.450000 0.0116366 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.315 Y N N N N N MORGAN STANLEY MTGE LN TR 2007-7AX N/A 61754HAD4 38606.810000 PA USD 16763.930000 0.0005209 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.46863 N N N N N N MORGAN STANLEY MTGE LN TRUST 2006-11 N/A 61749WAP2 68342.480000 PA USD 45784.970000 0.0014226 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 N N N N N N MORGAN STANLEY REREMIC TRUST 2011-R2 N/A 61760JAA8 70707.550000 PA USD 54862.760000 0.0017047 Long ABS-MBS CORP US N 2 2037-05-26 Floating 5.25 N N N N N N MORTGAGE EQUITY CONVER ASSET TR 2007-FF3 N/A 61911GAA2 133329.850000 PA USD 126865.330000 0.0039420 Long ABS-MBS CORP US N 2 2042-05-25 Floating 0.58 N N N N N N MORTGAGEIT TRUST 2005-5 N/A 61915RAU0 300110.450000 PA USD 301429.350000 0.0093661 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.62863 N N N N N N ACE SECURITIES CORP 2002-HE3 N/A 004421BH5 1699.180000 PA USD 1735.190000 0.0000539 Long ABS-MBS CORP US N 2 2032-10-25 Floating 1.90863 N N N N N N MOUNTAIN HAWK III CLO LTD 2014-3A N/A 62405CAN4 21720.000000 PA USD 21749.680000 0.0006758 Long ABS-CBDO CORP KY N 2 2025-04-18 Floating 1.42338 N N N N N N MOUNTAIN VIEW CLO XIV LTD 2019-1A N/A 62432MAA7 5500000.000000 PA USD 5507206.270000 0.1711210 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 1.73125 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBQ2 1100000.000000 PA USD 1079281.570000 0.0335356 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 366000.000000 PA USD 367466.060000 0.0114180 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 2.374 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAC1 462000.000000 PA USD 499079.080000 0.0155075 Long DBT CORP GB N 2 2024-08-01 Floating 4.363 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BB6 1145000.000000 PA USD 1174735.650000 0.0365016 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 258000.000000 PA USD 303077.760000 0.0094173 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 222000.000000 PA USD 257118.960000 0.0079893 Long DBT CORP GB N 2 2030-01-27 Floating 5.076 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BK6 378000.000000 PA USD 412522.480000 0.0128180 Long DBT CORP GB N 2 2025-03-22 Floating 4.269 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BF7 222000.000000 PA USD 224605.560000 0.0069790 Long DBT CORP GB N 2 2023-05-15 Floating 1.66375 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 1813000.000000 PA USD 2067963.620000 0.0642562 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 882000.000000 PA USD 901384.070000 0.0280080 Long DBT CORP GB N 2 2024-06-25 Floating 1.75063 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 388000.000000 PA USD 419099.260000 0.0130223 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N ACE SECURITIES CORP 2006-HE4 N/A 00442BAB7 660.430000 PA USD 364.800000 0.0000113 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.22863 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097AZ4 40000.000000 PA USD 45168.900000 0.0014035 Long DBT CORP GB N 2 2023-12-19 Fixed 6 N N N N N N ACE SECURITIES CORP 2006-NC1 N/A 004421UU5 1250000.000000 PA USD 1208832.000000 0.0375611 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.72363 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 78442FEL8 56000.000000 PA USD 58135.000000 0.0018064 Long DBT CORP US N 2 2022-01-25 Fixed 7.25 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAD0 57000.000000 PA USD 58097.250000 0.0018052 Long DBT CORP US N 2 2021-07-26 Fixed 6.625 N N N N N N ACE SECURITIES CORP 2007-HE2 N/A 00443PAD1 366960.630000 PA USD 261578.930000 0.0081278 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.34863 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2005-1 N/A 64352VKC4 298889.060000 PA USD 291852.490000 0.0090685 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.88863 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1 N/A 64829VAA4 675950.090000 PA USD 708049.070000 0.0220006 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 1652102.220000 PA USD 1724624.550000 0.0535879 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 2073791.030000 PA USD 2164778.610000 0.0672644 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-10 N/A 007036TD8 658105.080000 PA USD 591001.860000 0.0183637 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.14485 Y N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BT5 5300000.000000 PA USD 5265121.600000 0.1635989 Long DBT CORP US N 2 2028-03-09 Fixed 2.75 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AZ2 608000.000000 PA USD 621215.970000 0.0193025 Long DBT CORP US N 2 2022-07-13 Fixed 2.65 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AS8 156000.000000 PA USD 156724.960000 0.0048698 Long DBT CORP US N 2 2021-09-14 Fixed 1.9 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BJ7 107000.000000 PA USD 108421.690000 0.0033689 Long DBT CORP US N 2 2021-09-21 Fixed 3.65 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BD0 309000.000000 PA USD 316631.700000 0.0098384 Long DBT CORP US N 2 2022-09-28 Fixed 2.6 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BE8 111000.000000 PA USD 110977.430000 0.0034483 Long DBT CORP US N 2 2022-09-28 Floating 0.883 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AA9 570000.000000 PA USD 596692.970000 0.0185406 Long DBT CORP JP N 2 2023-09-15 Fixed 3.043 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AB7 1856000.000000 PA USD 1967314.440000 0.0611288 Long DBT CORP JP N 2 2025-09-17 Fixed 3.522 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 5781000.000000 PA USD 6292177.760000 0.1955118 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-5 N/A 007036LJ3 1717.140000 PA USD 1642.240000 0.0000510 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.20091 Y N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 900000.000000 PA USD 988218.300000 0.0307061 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 27875.520000 PA USD 18727.090000 0.0005819 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.476 Y N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAR0 345000.000000 PA USD 344553.230000 0.0107060 Long DBT CORP JP N 2 2025-07-16 Fixed 1.851 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAS8 409000.000000 PA USD 402259.720000 0.0124991 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 190965.140000 PA USD 73913.500000 0.0022967 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.032 Y N N N N N NOMURA HOME EQUITY LOAN INC 2006-AF1 N/A 65535AAD6 155078.620000 PA USD 45645.170000 0.0014183 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.43863 Y N N N N N NORTH CAROLINA STATE EDUCATION ASSISTANCE AUTHORITY 2012-1 N/A 658262GE4 258273.520000 PA USD 258211.820000 0.0080232 Long ABS-O MUN US N 2 2039-07-25 Floating 0.90863 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2006-3 N/A 00703QAG7 26249.300000 PA USD 26538.110000 0.0008246 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.50863 N N N N N N NOVASTAR HOME EQUITY LOAN 2005-1 N/A 66987XGJ8 89562.070000 PA USD 89188.920000 0.0027713 Long ABS-MBS CORP US N 2 2035-06-25 Floating 1.18863 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-3 N/A 66988WAD8 233299.580000 PA USD 183681.610000 0.0057074 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.42863 N N N N N N NOVASTAR HOME EQUITY LOAN 2007-2 N/A 66989EAA3 560685.090000 PA USD 550701.140000 0.0171115 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.30863 N N N N N N NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1 N/A 66988UAA8 531284.560000 PA USD 233189.880000 0.0072457 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.51863 N N N N N N OCP CLO LTD 2014-7A N/A 67107KAZ9 323000.000000 PA USD 323430.680000 0.0100497 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 1.344 N N N N N N OCTAGON INVESTMENT PARTNERS LTD 2015-1A N/A 67590WCE2 462660.720000 PA USD 462600.910000 0.0143740 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.09125 N N N N N N OHIO STATE UNIVERSITY JFC10ZULKO4X2E3HBY86 677632PA3 67000.000000 PA USD 86266.710000 0.0026805 Long DBT MUN US N 2 2111-06-01 Fixed 4.8 N N N N N N AEGIS ASSET BACKED SECURITIES TR 2005-4 N/A 00764MGH4 270000.000000 PA USD 264701.840000 0.0082249 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.81363 N N N N N N ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION) 5493008I795YYBFWFU90 85172FAL3 66000.000000 PA USD 70083.750000 0.0021777 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 57000.000000 PA USD 59850.000000 0.0018597 Long DBT CORP US N 2 2022-05-15 Fixed 6.125 N N N N N N OPTION ONE MORTGAGE LOAN TR 2005-1 N/A 68389FGK4 490054.850000 PA USD 488530.830000 0.0151797 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.88863 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2006-1 N/A 68389FKR4 1626000.000000 PA USD 1539303.960000 0.0478296 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.64863 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-1 N/A 68400DAE4 4349429.380000 PA USD 3070740.200000 0.0954146 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.24863 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-2 N/A 68401TAA6 217151.070000 PA USD 166674.560000 0.0051789 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.24863 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-4 N/A 68403FAA4 709187.660000 PA USD 571345.550000 0.0177530 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.32863 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-5 N/A 68403HAA0 524436.480000 PA USD 387632.190000 0.0120446 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.32863 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-CP1 N/A 68402YAA4 625017.470000 PA USD 583548.370000 0.0181321 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.24863 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XCA1 3700000.000000 PA USD 3820889.730000 0.1187234 Long DBT CORP US Y 2 2051-03-25 Fixed 3.95 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XBW4 18000.000000 PA USD 18114.200000 0.0005628 Long DBT CORP US N 2 2040-04-01 Fixed 3.6 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XBY0 1138000.000000 PA USD 1118862.640000 0.0347655 Long DBT CORP US N 2 2060-04-01 Fixed 3.85 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAF2 804000.000000 PA USD 853292.420000 0.0265137 Long DBT CORP IE N 2 2023-07-03 Fixed 4.125 N N N N N N OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5 N/A 69121PBU6 35715.780000 PA USD 36222.980000 0.0011255 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.00863 N N N N N N OZLM FUNDING LTD 2012-1A N/A 67107UBC7 7500000.000000 PA USD 7500000.000000 0.2330415 Long ABS-CBDO CORP KY N 2 2029-07-22 Floating 1.08846 N N N N N N OZLME BV 1A N/A ACI1DQDD9 346000.000000 PA 405328.160000 0.0125944 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 582000.000000 PA USD 549590.230000 0.0170770 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 868309.800000 0.0269803 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JR9 4600000.000000 PA USD 4609217.110000 0.1432185 Long DBT CORP US N 2 2021-11-15 Floating 1.57263 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2020-1 DAC 20-1A N/A ACI1QLXG7 366000.000000 PA 430633.640000 0.0133807 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 825956.580000 PA USD 826369.820000 0.0256771 Long ABS-CBDO CORP KY N 2 2027-10-24 Floating 1.11775 N N N N N N PARK PLACE SECURITIES INC 2004-MHQ1 N/A 70069FCY1 34253.620000 PA USD 34721.050000 0.0010789 Long ABS-MBS CORP US N 2 2034-12-25 Floating 1.90863 N N N N N N PARK PLACE SECURITIES INC 2004-MHQ1 N/A 70069FCZ8 3089698.260000 PA USD 3157069.750000 0.0980971 Long ABS-MBS CORP US N 2 2034-12-25 Floating 1.98363 N N N N N N PARK PLACE SECURITIES INC 2004-WCW2 N/A 70069FAZ0 51000.000000 PA USD 50991.090000 0.0015844 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.15863 N N N N N N PARK PLACE SECURITIES INC 2004-WHQ2 N/A 70069FEM5 7591932.140000 PA USD 7538540.360000 0.2342390 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.83363 N N N N N N PASADENA PUBLIC FINANCING AUTHORITY N/A 702274AW1 645000.000000 PA USD 941638.470000 0.0292588 Long DBT MUN US N 2 2043-03-01 Fixed 7.148 N N N N N N PENNSYLVANIA ECONOMIC DEVELOPMENT FINANCING AUTHORITY N/A 70869PFT9 5000.000000 PA USD 6862.840000 0.0002132 Long DBT MUN US N 2 2039-06-15 Fixed 6.532 N N N N N N PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP N/A 709599BB9 67000.000000 PA USD 72052.720000 0.0022388 Long DBT CORP US N 2 2024-02-01 Fixed 3.9 N N N N N N PERRIGO FINANCE UNLIMITED CO (AKA: PERRIGO FINANCE PLC) 549300E86RB6YCTMRM83 71429MAC9 900000.000000 PA USD 884770.460000 0.0274918 Long DBT CORP IE N 2 2030-06-15 Fixed 3.15 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NBE8 740000.000000 PA USD 770047.700000 0.0239271 Long DBT CORP NL N 2 2030-01-15 Fixed 5.093 N N N N N N PHH ALTERNATIVE MORTGAGE TRUST 2007-1 N/A 69337BAA2 218286.000000 PA USD 173267.280000 0.0053838 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.26863 N N N N N N POPULAR ABS MORTGAGE PASS-THROUGH TRUST 2006-C N/A 73316MAE7 451000.000000 PA USD 437378.270000 0.0135903 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.43863 N N N N N N AKER BP ASA 549300NFTY73920OYK69 00973RAG8 450000.000000 PA USD 465238.270000 0.0144560 Long DBT CORP NO N 2 2026-01-15 Fixed 2.875 N N N N N N PRECISE MORTGAGE FUNDING 2019-1B PLC 19-1B N/A ACI1RRM26 2900000.000000 PA 4014666.190000 0.1247445 Long ABS-MBS CORP GB N 2 2055-12-12 Floating 1.24865 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL1 LLC N/A 000000000 2300000.000000 PA USD 2299236.080000 0.0714423 Long ABS-MBS CORP US N 3 2060-09-27 Fixed 2.2395 N N N N N N PRIME MORTGAGE TRUST 2006-1 N/A 74161BAH8 214490.290000 PA USD 211232.850000 0.0065635 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 Y N N N N N PROVINCE OF BUENOS AIRES ARGENTINA 549300L6AYROPOTQ4L07 ACI0VF965 3158000.000000 PA 21215.560000 0.0006592 Long DBT NUSS AR N 2 2022-05-31 Floating 37.9324 N N N N N N PUBLIC POWER GENERATION AGENCY N/A 744434CW9 20000.000000 PA USD 28208.740000 0.0008765 Long DBT MUN US N 2 2041-01-01 Fixed 7.242 N N N N N N RAAC SERIES 2006-SP3 N/A 74919QAD9 30670.740000 PA USD 31201.380000 0.0009695 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.61863 N N N N N N RBSSP RESECURITIZATION TRUST 2009-9 N/A 74928QAY2 7482.970000 PA USD 7441.510000 0.0002312 Long ABS-MBS CORP US N 2 2037-04-26 Floating 0.6145 N N N N N N RBSSP RESECURITIZATION TRUST 2011-3 N/A 74930NAC3 129649.490000 PA USD 130258.920000 0.0040474 Long ABS-MBS CORP US N 2 2037-02-26 Fixed 0.36763 N N N N N N READYCAP COMMERCIAL MORTGAGE TRUST 2020-FL4 N/A 75575JAA3 732479.880000 PA USD 737656.610000 0.0229206 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.25863 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAF3 2206367.040000 PA USD 1189813.650000 0.0369701 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.586 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-1 N/A 75970JAF3 368066.250000 PA USD 158660.990000 0.0049299 Long ABS-MBS CORP US N 2 2037-04-25 Variable 5.612 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 180546.310000 PA USD 92595.790000 0.0028772 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.20863 N N N N N N RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4 N/A 74923HAK7 71791.160000 PA USD 68895.460000 0.0021407 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4 N/A 74923HAL5 94190.040000 PA USD 90398.730000 0.0028089 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2004-QA4 N/A 76110HZE2 63539.620000 PA USD 66241.010000 0.0020583 Long ABS-MBS CORP US N 2 2034-09-25 Floating 3.20332 N N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QA13 N/A 761118PE2 491042.530000 PA USD 454043.410000 0.0141081 Long ABS-MBS CORP US N 2 2035-12-25 Variable 3.9902 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QS10 N/A 761118CX4 610795.850000 PA USD 440731.660000 0.0136945 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.60863 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA5 N/A 75115BAB5 252428.330000 PA USD 140800.000000 0.0043750 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.46863 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA6 N/A 74922MAA9 148000.330000 PA USD 152617.840000 0.0047422 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.48863 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 148590.960000 PA USD 139558.560000 0.0043364 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.47863 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA8 N/A 74922QAA0 247322.050000 PA USD 237426.870000 0.0073774 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.48863 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA8 N/A 74922QAB8 457483.680000 PA USD 439512.760000 0.0136566 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.46863 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO10 N/A 751153AA5 829182.880000 PA USD 799347.800000 0.0248375 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.42863 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS8 N/A 75115AAA9 18624.670000 PA USD 18190.320000 0.0005652 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAC7 496056.400000 PA USD 463995.480000 0.0144174 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.27863 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA2 N/A 74922PAC8 82050.270000 PA USD 78812.070000 0.0024489 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.25863 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 324828.030000 PA USD 312956.480000 0.0097242 Long ABS-MBS CORP US N 2 2037-10-25 Variable 1.27153 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QS1 N/A 74922KAA3 34685.300000 PA USD 33709.600000 0.0010474 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 Y N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QA10 N/A 761118GE2 39162.820000 PA USD 33929.710000 0.0010543 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.36114 Y N N N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QS12 N/A 751151AQ4 5761.290000 PA USD 5379.940000 0.0001672 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 5 Y N N N N N RESIDENTIAL ACCREDIT LOANS INC 2007-QH9 N/A 749241AA3 165197.510000 PA USD 157802.260000 0.0049033 Long ABS-MBS CORP US N 2 2037-11-25 Floating 1.56226 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2007-QO1 N/A 75115YAA7 76107.010000 PA USD 72839.490000 0.0022633 Long ABS-MBS CORP US N 2 2047-02-25 Floating 0.25863 N N N N N N RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1 N/A 76112BR36 21679.280000 PA USD 20223.010000 0.0006284 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.54863 N N N N N N RESIDENTIAL ASSET MORTGAGE PROD 2006-RS2 N/A 76112B2D1 293066.450000 PA USD 289249.930000 0.0089876 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.70863 N N N N N N RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2004-RS10 N/A 76112BED8 1336572.260000 PA USD 1288870.400000 0.0400480 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.35863 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC5 N/A 76112BH60 196000.000000 PA USD 194654.050000 0.0060483 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.79863 N N N N N N RESIDENTIAL ASSET SEC CORP 2003-KS4 N/A 76110WRT5 68005.530000 PA USD 63546.420000 0.0019745 Long ABS-MBS CORP US N 2 2033-06-25 Floating 0.68863 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-EMX7 N/A 74924TAC8 53552.720000 PA USD 52855.300000 0.0016423 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.40863 N N N N N N RESIDENTIAL ASSET SEC TRUST 2005-A10 N/A 45660LXN4 93465.830000 PA USD 67874.640000 0.0021090 Long ABS-MBS CORP US N 2 2035-09-25 Fixed 5.5 Y N N N N N RESIDENTIAL ASSET SEC TRUST 2007-A1 N/A 761136AA8 868430.330000 PA USD 500335.280000 0.0155465 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS11 N/A 76110W7F7 2760000.000000 PA USD 2678099.210000 0.0832144 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.76863 N N N N N N RESIDENTIAL ASSET SECURITIES 2006-KS6 N/A 75406WAE1 426000.000000 PA USD 414342.640000 0.0128745 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.37863 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2007-SA2 N/A 74958XAB0 185987.480000 PA USD 171102.530000 0.0053165 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.46659 N N N N N N RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A N/A ACI1PKR28 1892487.140000 PA 2634058.490000 0.0818460 Long ABS-MBS CORP GB N 2 2070-06-20 Floating 1.29852 N N N N N N RESIMAC BASTILLE TRUST SERIES 2018-1NC N/A 76118VAA8 165728.940000 PA USD 165845.530000 0.0051532 Long ABS-MBS CORP AU N 2 2059-12-05 Floating 0.96038 N N N N N N RIO OIL FINANCE TRUST SERIES 2018-1 N/A 76716XAC6 366660.000000 PA USD 418909.050000 0.0130164 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 3462492.310000 PA 4781228.870000 0.1485633 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.86013 N N N N N N RIPON MORTGAGES PLC 1X N/A ACI0TMVB7 117061.600000 PA 161646.070000 0.0050227 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.86013 N N N N N N RIPON MORTGAGES PLC 1X N/A ACI0WLGW6 998503.810000 PA 1378762.390000 0.0428412 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.86013 N N N N N N ROLLS-ROYCE PLC X57JK1U580XATGR67572 ACI1S5ZS2 100000.000000 PA 126724.900000 0.0039376 Long DBT CORP GB N 2 2026-02-16 Fixed 4.625 N N N N N N ROLLS-ROYCE PLC X57JK1U580XATGR67572 ACI12HZ39 400000.000000 PA 429194.130000 0.0133360 Long DBT CORP GB N 2 2028-05-09 Fixed 1.625 N N N N N N RR 10 LTD 2020-10A N/A 74988TAA5 2900000.000000 PA USD 2903075.860000 0.0902049 Long ABS-CBDO CORP KY N 2 2033-07-15 Floating 2.04125 N N N N N N SAN DIEGO GAS & ELECTRIC COMPANY KNIRVXKVNJJ4P8OTMS63 797440BY9 200000.000000 PA USD 197557.310000 0.0061385 Long DBT CORP US N 2 2050-04-15 Fixed 3.32 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAF2 539000.000000 PA USD 603876.740000 0.0187638 Long DBT CORP KY N 2 2025-08-08 Fixed 5.125 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 754000.000000 PA USD 863284.760000 0.0268242 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 562000.000000 PA USD 618807.220000 0.0192277 Long DBT CORP GB N 2 2024-11-15 Floating 4.796 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TAW9 4100000.000000 PA USD 3781860.500000 0.1175107 Long DBT NUSS SA N 2 2061-02-02 Fixed 3.45 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAH2 936000.000000 PA USD 1031831.420000 0.0320613 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI121KG1 269000.000000 PA USD 319192.980000 0.0099180 Long DBT NUSS SA N 2 2049-04-17 Fixed 5 N N N N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 80414L2L8 1200000.000000 PA USD 1087930.080000 0.0338044 Long DBT CORP SA N 2 2050-11-24 Fixed 3.25 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAE8 567000.000000 PA USD 596520.860000 0.0185352 Long DBT CORP DE N 2 2027-05-15 Fixed 6 N N Y N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAD0 288000.000000 PA USD 315665.280000 0.0098084 Long DBT CORP DE N 2 2029-05-15 Fixed 6.375 N N Y N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 ACI1C5ZK6 1481000.000000 PA 1770470.720000 0.0550124 Long DBT CORP DE N 2 2025-05-15 Fixed 3.625 N N Y N N N SCULPTOR CLO XXV 25A N/A 811244AC6 7000000.000000 PA USD 7000150.430000 0.2175101 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 1.49238 N N N N N N SEC ASSET BACKED REC LLC 2005-FR2 N/A 81375WEG7 74000.000000 PA USD 67531.410000 0.0020983 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.15863 N N N N N N SEC ASSET BACKED REC LLC 2005-OP2 N/A 81375WGW0 1317000.000000 PA USD 1220695.170000 0.0379297 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.82863 Y N N N N N SEC ASSET BACKED REC LLC 2006-FR1 N/A 81375WJT4 103990.510000 PA USD 103866.380000 0.0032274 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.68863 N N N N N N SEC ASSET BACKED REC LLC 2006-FR4 N/A 81377GAA7 2435424.440000 PA USD 1065260.250000 0.0331000 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.18863 Y N N N N N SEC ASSET BACKED REC LLC 2006-FR4 N/A 81377GAB5 19104.310000 PA USD 8484.750000 0.0002636 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.27863 Y N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4 N/A 81375WFJ0 460739.880000 PA USD 410679.890000 0.0127607 Long ABS-MBS CORP US N 2 2036-01-25 Floating 1.06863 Y N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 898234.010000 PA USD 519601.070000 0.0161451 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.58863 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005-FR5 N/A 81375WFU5 53806.870000 PA USD 44028.070000 0.0013680 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.76863 Y N N N N N SEQUOIA MORTGAGE TRUST 2004-3 N/A 81744FAZ0 16081.920000 PA USD 16081.940000 0.0004997 Long ABS-MBS CORP US N 2 2034-05-20 Floating 0.7575 N N N N N N SEQUOIA MORTGAGE TRUST 2004-6 N/A 81744FCH8 210072.870000 PA USD 211245.750000 0.0065639 Long ABS-MBS CORP US N 2 2034-07-20 Floating 0.67088 N N N N N N SEQUOIA MORTGAGE TRUST 2007-1 N/A 81744HAH6 100392.660000 PA USD 78653.900000 0.0024439 Long ABS-MBS CORP US N 2 2046-09-20 Floating 3.11234 Y N N N N N SG MORTGAGE SECURITIES TRUST 2006-OPT2 N/A 78420MAB5 156534.780000 PA USD 147368.290000 0.0045791 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.24863 N N N N N N AMBAC ASSURANCE CORPORATION 549300RYYRVPPB8NC636 023138AA8 13.280000 PA USD 18.260000 0.0000006 Long DBT CORP US N 2 2099-12-31 Fixed 5.1 N N N N N N SL GREEN REALTY CORP 549300VQZPJU97H3GT17 75625AAD6 416000.000000 PA USD 435701.870000 0.0135382 Long DBT CORP US N 2 2022-12-01 Fixed 4.5 N N N N N N SLM STUDENT LOAN TRUST 2003-5 N/A B010CSII5 6787.310000 PA 7968.430000 0.0002476 Long ABS-O CORP US N 2 2024-06-17 Floating 0 N N N N N N SLM STUDENT LOAN TRUST 2008-9 N/A 78445JAA5 133123.290000 PA USD 134283.270000 0.0041725 Long ABS-O CORP US N 2 2023-04-25 Floating 1.71775 N N N N N N AMBAC LSNI LLC N/A 02315QAA6 49.090000 PA USD 49.270000 0.0000015 Long DBT CORP KY N 2 2023-02-12 Floating 6 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20C N/A 83162CRR6 10070.450000 PA USD 11072.170000 0.0003440 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 81313.030000 PA USD 90416.880000 0.0028095 Long ABS-O CORP US N 2 2028-08-01 Fixed 6.02 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2009-20E N/A 83162CSN4 10055.540000 PA USD 10984.780000 0.0003413 Long ABS-O CORP US N 2 2029-05-01 Fixed 4.43 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAB8 1264000.000000 PA USD 1301987.500000 0.0404556 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54 N N N N N N SOUND POINT CLO XII LTD 2016-2A N/A 83610CAW1 19300000.000000 PA USD 19325878.980000 0.6004975 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.274 N N N N N N SOUND POINT CLO XIV LTD 2016-3A N/A 83609NAN0 7200000.000000 PA USD 7195514.180000 0.2235804 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 1.16096 N N N N N N SOUND POINT CLO XVI LTD 2017-2A N/A 83610KAJ2 6100000.000000 PA USD 6100000.000000 0.1895404 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 1.1555 N N N N N N SOUNDVIEW HOME EQUITY LOAN 2006-1 N/A 83611MKZ0 939000.000000 PA USD 903745.150000 0.0280813 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.57363 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ1 N/A 83612JAC8 760248.230000 PA USD 756409.050000 0.0235033 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.26863 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAA0 1024384.320000 PA USD 848910.560000 0.0263775 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.30863 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAB8 65920.000000 PA USD 53232.620000 0.0016541 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.18863 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2 N/A 83613DAA4 322806.630000 PA USD 300420.960000 0.0093347 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.27863 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAA9 382209.910000 PA USD 337246.850000 0.0104790 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.00863 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAD3 1594824.080000 PA USD 1369570.490000 0.0425556 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.40863 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1 N/A 83612NAD7 2389886.050000 PA USD 906920.410000 0.0281800 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.28863 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1 N/A 83612NAE5 137159.930000 PA USD 53043.000000 0.0016482 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.36863 N N N N N N SOUNDVIEW HOME EQUITY LOAN TRUST 2007-OPT3 N/A 83612KAA9 923194.780000 PA USD 857323.450000 0.0266389 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.27863 N N N N N N SOUTH CAROLINA STUDENT LOAN CORP 2008-1 N/A 83715AAH2 87631.650000 PA USD 88050.040000 0.0027359 Long ABS-O CORP US N 2 2024-09-03 Floating 1.1905 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GN7 566000.000000 PA USD 618633.990000 0.0192223 Long DBT CORP US N 2 2025-08-01 Fixed 3.7 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GJ6 150000.000000 PA USD 163658.060000 0.0050852 Long DBT CORP US N 2 2028-03-01 Fixed 3.65 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587DE4 123000.000000 PA USD 133103.640000 0.0041358 Long DBT CORP US N 2 2030-04-30 Fixed 3.7 N N N N N N SP STATIC CLO 2020-1A N/A 78472HAA5 725303.580000 PA USD 726754.190000 0.0225818 Long ABS-CBDO CORP KY N 2 2028-07-22 Floating 1.62238 N N N N N N SPECIALTY UNDERWRITING & RESID 2006-AB1 N/A 84751PKW8 536731.890000 PA USD 528492.300000 0.0164214 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.71763 N N N N N N SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3 N/A 84751XAC6 357211.100000 PA USD 298212.510000 0.0092661 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.25863 N N N N N N SPECIALTY UNDERWRT& RES FIN 2006-BC3 N/A 84751WAD6 44899.070000 PA USD 33131.130000 0.0010295 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.40863 N N N N N N SPRINT CORP (SPRINT COMMUNICATIONS INC) 549300JKU50UT08ZWD77 852061AM2 43000.000000 PA USD 45660.630000 0.0014188 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 512000.000000 PA USD 548480.000000 0.0170425 Long DBT CORP US N 2 2022-11-15 Fixed 6 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAH8 48000.000000 PA USD 55320.480000 0.0017189 Long DBT CORP US N 2 2024-06-15 Fixed 7.125 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAE5 872000.000000 PA USD 894977.200000 0.0278089 Long DBT CORP US N 2 2021-09-15 Fixed 7.25 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAF2 297000.000000 PA USD 339842.250000 0.0105596 Long DBT CORP US N 2 2023-09-15 Fixed 7.875 N N N N N N ST PAULS CLO 4A N/A BF2T19II2 900000.000000 PA 1056925.160000 0.0328410 Long ABS-CBDO CORP IE N 2 2030-04-25 Floating 0.85 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BZ2 3800000.000000 PA USD 3713496.000000 0.1153865 Long DBT CORP GB N 2 2027-01-14 Floating 1.456 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BR0 967000.000000 PA USD 971084.380000 0.0301737 Long DBT CORP GB N 2 2022-09-10 Floating 1.3825 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3 N/A 85573MAA7 416405.800000 PA USD 421400.050000 0.0130938 Long ABS-MBS CORP US N 2 2065-04-25 Fixed 1.486 N N N N N N STEELE CREEK CLO LTD 2015-1A N/A 85816BDC1 13500000.000000 PA USD 13499973.000000 0.4194738 Long ABS-CBDO CORP KY N 2 2029-05-21 Floating 1.0483 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 3262.310000 PA USD 3051.260000 0.0000948 Long ABS-MBS CORP US N 2 2035-01-25 Floating 1.65903 Y N N N N N STRUCTURED ADJ RATE MTG LN 2006-7 N/A 86361BAF4 44749.800000 PA USD 34985.490000 0.0010871 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.40863 Y N N N N N STRUCTURED ADJ RATE MTGE LOAN 2005-21 N/A 863579C30 98035.760000 PA USD 93786.760000 0.0029142 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.30282 Y N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-2 N/A 863579V47 38221.000000 PA USD 33929.620000 0.0010543 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.15703 Y N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGG0 837.060000 PA USD 852.520000 0.0000265 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.57824 N N N N N N STRUCTURED ADJUSTABLE RT MTG LN 2004-20 N/A 863579HD3 38900.720000 PA USD 39505.390000 0.0012275 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.96792 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VV7 32896.320000 PA USD 26079.180000 0.0008103 Long ABS-MBS CORP US N 2 2035-08-25 Variable 2.7419 Y N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-11 N/A 86364YAA2 575369.550000 PA USD 578859.400000 0.0179864 Long ABS-MBS CORP US N 2 2037-12-25 Floating 2.40863 Y N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YU6 1171.610000 PA USD 1180.480000 0.0000367 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.40863 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC8 N/A 86358EEC6 119923.510000 PA USD 126946.910000 0.0039445 Long ABS-MBS CORP US N 2 2033-08-25 Floating 3.25863 N N N N N N STRUCTURED ASSET INVEST LN TR 2006-BNC3 N/A 86361KAC1 42682.850000 PA USD 41853.310000 0.0013005 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.25863 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2003-BC9 N/A 86358EDG8 326900.770000 PA USD 325294.870000 0.0101076 Long ABS-MBS CORP US N 2 2033-08-25 Floating 1.05863 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2006-1 N/A 86358EA97 93951.770000 PA USD 90970.950000 0.0028267 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.72863 N N N N N N STRUCTURED ASSET INVST LN TR 2005-1 N/A 86358EQK5 1223000.000000 PA USD 1220823.790000 0.0379337 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.88863 N N N N N N STRUCTURED ASSET INVST LN TR 2005-5 N/A 86358ETJ5 284000.000000 PA USD 279400.620000 0.0086816 Long ABS-MBS CORP US N 2 2035-06-25 Floating 1.03863 N N N N N N STRUCTURED ASSET INVST LN TR 2006-4 N/A 86360WAB8 34021.840000 PA USD 27792.510000 0.0008636 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.23863 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR6 N/A 86359LEV7 2406.170000 PA USD 2431.620000 0.0000756 Long ABS-MBS CORP US N 2 2035-02-19 Floating 0.81025 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 5603.710000 PA USD 5384.550000 0.0001673 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.66863 Y N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRY7 23403.730000 PA USD 23142.640000 0.0007191 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.9791 Y N N N N N STRUCTURED ASSET MTG INV INC 2006-AR2 N/A 86359LSM2 104693.250000 PA USD 95463.740000 0.0029663 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.56863 Y N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAA6 28957.710000 PA USD 27477.430000 0.0008538 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.52863 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR7 N/A 86361HAB0 246908.500000 PA USD 230763.470000 0.0071703 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.22863 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-1 N/A 02660WAC0 14249.040000 PA USD 12766.820000 0.0003967 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.48863 Y N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAN1 12275.990000 PA USD 6512.310000 0.0002024 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.54863 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR6 N/A 86360UAC0 75740.210000 PA USD 61590.080000 0.0019137 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.48863 Y N N N N N STRUCTURED ASSET SEC CORP 2005-7XS N/A 86359B7K1 2962.690000 PA USD 2974.550000 0.0000924 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.61513 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-4 N/A 02660LAA8 44952.700000 PA USD 29307.980000 0.0009107 Long ABS-MBS CORP US N 2 2046-10-25 Floating 0.29863 N N N N N N STRUCTURED ASSET SEC CORP 2006-EQ1A N/A 86360RAA1 60497.580000 PA USD 59418.330000 0.0018463 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.24363 N N N N N N STRUCTURED ASSET SEC CORP 2007-WF1 N/A 86358BAT9 613932.640000 PA USD 587917.240000 0.0182679 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.31863 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-5 N/A 02660KAA0 2238402.450000 PA USD 1004171.290000 0.0312018 Long ABS-MBS CORP US N 2 2046-11-25 Floating 1.17903 N N N N N N STRUCTURED ASSET SECURITIES CORP 2005-11H N/A 86359DDZ7 417814.530000 PA USD 437146.810000 0.0135831 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 5.5 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC1 N/A 86359YAD3 11739.780000 PA USD 11346.670000 0.0003526 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.26863 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC5 N/A 86359SAD6 74314.600000 PA USD 73071.100000 0.0022705 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.27863 N N N N N N STRUCTURED ASSET SECURITIES CRP 2003-22A N/A 86359AYX5 186.070000 PA USD 182.580000 0.0000057 Long ABS-MBS CORP US N 2 2033-06-25 Floating 2.35339 N N N N N N SUDBURY MILL CLO LTD 2013-1A N/A 864662AM3 23658.430000 PA USD 23690.200000 0.0007361 Long ABS-CBDO CORP KY N 2 2026-01-17 Floating 1.37338 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2007-3 N/A 026935AH9 322605.490000 PA USD 310691.020000 0.0096539 Long ABS-MBS CORP US N 2 2046-11-25 Variable 6.75 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MCB4 991000.000000 PA USD 957832.830000 0.0297620 Long DBT CORP JP N 2 2030-07-08 Fixed 2.13 N N N N N N AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2 N/A 02660CAF7 36685.200000 PA USD 33997.860000 0.0010564 Long ABS-MBS CORP US N 2 2047-03-25 Variable 6 N N N N N N SUNTRUST ADJR MRTG LN TR 2007-S1 N/A 855541AA6 59777.190000 PA USD 53013.440000 0.0016472 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.20671 Y N N N N N SYMPHONY CLO XIV LTD 2014-14A N/A 87159QBV9 920741.650000 PA USD 921907.020000 0.0286457 Long ABS-CBDO CORP KY N 2 2026-07-14 Floating 1.18375 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABR5 700000.000000 PA USD 705908.000000 0.0219341 Long DBT CORP US N 2 2026-02-15 Fixed 2.25 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABT1 1800000.000000 PA USD 1741950.000000 0.0541262 Long DBT CORP US N 2 2031-02-15 Fixed 2.875 N N N N N N AMERICAN HOME MTGE INV TRUST 2004-4 N/A 02660TCS0 16580.710000 PA USD 16767.100000 0.0005210 Long ABS-MBS CORP US N 2 2045-02-25 Floating 2.20063 N N N N N N TAKEDA PHARMACEUTICAL COMPANY LIMITED 549300ZLMVP4X0OGR454 874060AZ9 658000.000000 PA USD 630218.180000 0.0195823 Long DBT CORP JP N 2 2050-07-09 Fixed 3.175 N N N N N N TAKEDA PHARMACEUTICAL COMPANY LIMITED 549300ZLMVP4X0OGR454 874060BD7 658000.000000 PA USD 633668.010000 0.0196895 Long DBT CORP JP N 2 2060-07-09 Fixed 3.375 N N N N N N AMERICAN HOME MTGE INV TRUST 2005-2 N/A 02660TFG3 757.920000 PA USD 760.680000 0.0000236 Long ABS-MBS CORP US N 2 2045-09-25 Floating 1.70063 N N N N N N TAURUS 2021-1 UK DAC 21-UK1A N/A ACI1W1MF8 1300000.000000 PA 1796899.170000 0.0558336 Long ABS-MBS CORP IE N 2 2031-05-17 Floating 0.89892 N N N N N N TCW CLO AMR LTD 2019-1A N/A 87241EAC9 2200000.000000 PA USD 2201436.340000 0.0684035 Long ABS-CBDO CORP KY N 2 2029-02-15 Floating 1.16775 N N N N N N TELOS CLO LTD 2014-5A N/A 87974KAQ7 207146.380000 PA USD 207144.120000 0.0064364 Long ABS-CBDO CORP KY N 2 2028-04-17 Floating 1.17338 N N N N N N TELOS CLO LTD 2014-6A N/A 87970UAS5 282370.660000 PA USD 282370.660000 0.0087739 Long ABS-CBDO CORP KY N 2 2027-01-17 Floating 1.49338 N N N N N N TEXAS PUBLIC FINANCE AUTHORITY N/A 8827562Q1 265000.000000 PA USD 266226.340000 0.0082722 Long DBT MUN US N 2 2024-07-01 Fixed 8.25 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2004-1 N/A 885220EW9 68033.030000 PA USD 68323.890000 0.0021230 Long ABS-MBS CORP US N 2 2044-03-25 Floating 1.47286 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2004-4 N/A 885220GF4 86239.500000 PA USD 86877.290000 0.0026995 Long ABS-MBS CORP US N 2 2044-12-25 Floating 2.16963 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAC5 145959.450000 PA USD 146243.080000 0.0045441 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.52938 Y N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAE1 93180.670000 PA USD 79567.340000 0.0024723 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.52938 Y N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAG6 12606.420000 PA USD 12062.970000 0.0003748 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.52938 Y N N N N N TICP CLO I LTD 2015-1A N/A 87248BAQ7 594935.560000 PA USD 595829.180000 0.0185137 Long ABS-CBDO CORP KY N 2 2027-07-20 Floating 1.024 N N N N N N TICP CLO III-2 LTD 2018-3R N/A 87249FAC8 603164.250000 PA USD 603626.330000 0.0187560 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.064 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 5826290.920000 PA 8054686.920000 0.2502768 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 0.94905 N N N N N N TOWD POINT MORTGAGE FUNDING 19-V2A N/A ACI1GVL46 229986.220000 PA 318457.260000 0.0098952 Long ABS-MBS CORP GB N 2 2054-02-20 Floating 1.24888 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 266787.490000 PA 370170.060000 0.0115020 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.05838 N N N N N N TOWD POINT MORTGAGE TRUST 2017-6 N/A 89175JAE0 1031000.000000 PA USD 1039941.660000 0.0323133 Long ABS-MBS CORP US N 2 2057-10-25 Variable 3.32052 N N N N N N TOWD POINT MORTGAGE TRUST 2018-1 N/A 89176EAA8 375523.900000 PA USD 387211.260000 0.0120315 Long ABS-MBS CORP US N 2 2058-01-25 Variable 3 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 1279775.830000 PA USD 1338918.880000 0.0416032 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 80419.130000 PA USD 81182.800000 0.0025225 Long ABS-MBS CORP US N 2 2058-05-25 Floating 1.10863 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY3 N/A 89177XAA5 112865.080000 PA USD 113971.800000 0.0035414 Long ABS-MBS CORP US N 2 2059-10-25 Floating 1.10863 N N N N N N TOWD POINT MORTGAGE TRUST 2019-MH1 N/A 89177WAA7 401972.480000 PA USD 411986.900000 0.0128013 Long ABS-O CORP US N 2 2058-11-25 Fixed 3 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 ACI1R1MY3 496000.000000 PA 583180.830000 0.0181207 Long DBT CORP US N 2 2032-01-15 Fixed 1 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAW0 836000.000000 PA USD 911477.980000 0.0283216 Long DBT CORP US N 2 2029-08-15 Fixed 3.8 N N N N N N TYMON PARK CLO DAC 1A N/A ACI1V5X84 1900000.000000 PA 2217446.590000 0.0689009 Long ABS-CBDO CORP IE N 2 2029-01-21 Floating 1.05 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 2855000.000000 PA USD 3149793.030000 0.0978710 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UBS AG / STAMFORD BRANCH BFM8T61CT2L1QCEMIK50 90261AAB8 1199000.000000 PA USD 1307333.260000 0.0406217 Long DBT CORP CH N 2 2022-08-17 Fixed 7.625 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AD0 1600000.000000 PA USD 1582400.000000 0.0491686 Long DBT CORP CH N 2 2031-02-10 Floating 4.375 N N N N N N AMERICAN WATER CAPITAL CORP 5IDHQUFVC8Q2KIBBFF06 03040WAU9 143000.000000 PA USD 155394.210000 0.0048284 Long DBT CORP US N 2 2029-06-01 Fixed 3.45 N N N N N N AMERIQUEST MORTGAGE SEC INC 2004-R10 N/A 03072SVS1 84426.310000 PA USD 83540.240000 0.0025958 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.23363 N N N N N N UMBS PASS THRU POOLS N/A 01F020653 50800000.000000 PA USD 50615453.760000 1.5727334 Long ABS-MBS USGSE US N 2 2051-05-13 Fixed 2 N N N N N N AMERIQUEST MTGE SEC INC 2004-R9 N/A 03072SUQ6 25838.520000 PA USD 25828.690000 0.0008026 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.12863 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AJ8 1177000.000000 PA USD 1227114.460000 0.0381291 Long DBT CORP IT N 2 2022-01-14 Fixed 6.572 N N N N N N AMERIQUEST MTGE SECURITIES INC 2005-R8 N/A 03072SM28 214000.000000 PA USD 213362.600000 0.0066296 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.87363 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796H85 3700000.000000 PA USD 3699921.080000 0.1149647 Long DBT UST US N 2 2021-07-06 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796J26 277100000.000000 PA USD 277088993.590000 8.6097638 Long DBT UST US N 2 2021-07-20 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796F20 50000000.000000 PA USD 49999639.000000 1.5535986 Long DBT UST US N 2 2021-04-27 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796A25 160500000.000000 PA USD 160497191.250000 4.9870004 Long DBT UST US N 2 2021-05-13 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796A33 11900000.000000 PA USD 11899861.130000 0.3697548 Long DBT UST US N 2 2021-05-27 None 0 N N N N N N AMMC CLO 16 LTD 2015-16A N/A 00176JAT3 6400000.000000 PA USD 6407052.990000 0.1990812 Long ABS-CBDO CORP KY N 2 2029-04-14 Floating 1.16663 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127964B2 170444000.000000 PA USD 170436338.540000 5.2958315 Long DBT UST US N 2 2021-08-12 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796D48 122600000.000000 PA USD 122591974.610000 3.8092020 Long DBT UST US N 2 2021-08-19 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796D55 217100000.000000 PA USD 217084486.030000 6.7452920 Long DBT UST US N 2 2021-08-26 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796F46 99200000.000000 PA USD 99189584.000000 3.0820383 Long DBT UST US N 2 2021-09-16 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 675961.920000 PA USD 765077.390000 0.0237726 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 5058676.170000 PA USD 6620075.570000 0.2057003 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 2110311.000000 PA USD 2446216.020000 0.0760093 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 3754677.750000 PA USD 4606724.970000 0.1431411 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 16659688.650000 PA USD 20766076.160000 0.6452476 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 12178428.690000 PA USD 15277328.030000 0.4747001 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SM1 24008516.000000 PA USD 25139014.360000 0.7811244 Long DBT UST US N 2 2050-02-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SV1 1808262.000000 PA USD 1820591.870000 0.0565698 Long DBT UST US N 2 2051-02-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBH3 2600000.000000 PA USD 2535812.500000 0.0787933 Long DBT UST US N 2 2026-01-31 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBQ3 4300000.000000 PA USD 4216351.580000 0.1310113 Long DBT UST US N 2 2026-02-28 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828P46 433200.000000 PA USD 448125.090000 0.0139242 Long DBT UST US N 2 2026-02-15 Fixed 1.625 N N N N N N ANGEL OAK MORTGAGE TRUST 2020-4 N/A 03464LAA4 159538.040000 PA USD 160263.510000 0.0049797 Long ABS-MBS CORP US N 2 2065-06-25 Variable 1.469 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286B1 107498000.000000 PA USD 116301498.190000 3.6137431 Long DBT UST US N 2 2029-02-15 Fixed 2.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QE1 3734300.000000 PA USD 5152167.030000 0.1600891 Long DBT UST US N 2 2040-02-15 Fixed 4.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 17298200.000000 PA USD 19440541.590000 0.6040603 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284S6 193700.000000 PA USD 204425.380000 0.0063519 Long DBT UST US N 2 2023-05-31 Fixed 2.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XB1 2484900.000000 PA USD 2631033.470000 0.0817520 Long DBT UST US N 2 2025-05-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286T2 2075100.000000 PA USD 2205644.870000 0.0685342 Long DBT UST US N 2 2029-05-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SC3 124400.000000 PA USD 142710.130000 0.0044343 Long DBT UST US N 2 2048-05-15 Fixed 3.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282P4 1408200.000000 PA USD 1441424.720000 0.0447882 Long DBT UST US N 2 2022-07-31 Fixed 1.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XQ8 6254200.000000 PA USD 6412509.440000 0.1992508 Long DBT UST US N 2 2022-07-31 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828RC6 17800.000000 PA USD 17939.740000 0.0005574 Long DBT UST US N 2 2021-08-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828L24 8556400.000000 PA USD 8769307.280000 0.2724816 Long DBT UST US N 2 2022-08-31 Fixed 1.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282A7 1464000.000000 PA USD 1499570.630000 0.0465950 Long DBT UST US N 2 2026-08-15 Fixed 1.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282R0 790300.000000 PA USD 837826.050000 0.0260331 Long DBT UST US N 2 2027-08-15 Fixed 2.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 473400.000000 PA USD 531428.480000 0.0165127 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SJ8 145600.000000 PA USD 140848.090000 0.0043765 Long DBT UST US N 2 2049-08-15 Fixed 2.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828F21 85300000.000000 PA USD 86190606.210000 2.6781315 Long DBT UST US N 2 2021-09-30 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285C0 10043400.000000 PA USD 11028320.180000 0.3426741 Long DBT UST US N 2 2025-09-30 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YM6 2001800.000000 PA USD 2070729.160000 0.0643421 Long DBT UST US N 2 2024-10-31 Fixed 1.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285J5 7252700.000000 PA USD 7967345.950000 0.2475629 Long DBT UST US N 2 2025-10-31 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828M80 875800.000000 PA USD 902963.480000 0.0280571 Long DBT UST US N 2 2022-11-30 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828U24 1117800.000000 PA USD 1173100.540000 0.0364508 Long DBT UST US N 2 2026-11-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810ST6 4100000.000000 PA USD 3488843.750000 0.1084060 Long DBT UST US N 2 2040-11-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SS8 100000.000000 PA USD 83359.380000 0.0025902 Long DBT UST US N 2 2050-11-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828U81 5903200.000000 PA USD 5988505.900000 0.1860760 Long DBT UST US N 2 2021-12-31 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YW4 1896100.000000 PA USD 1944280.200000 0.0604131 Long DBT UST US N 2 2022-12-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YY0 621700.000000 PA USD 648692.950000 0.0201563 Long DBT UST US N 2 2024-12-31 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBC4 1000000.000000 PA USD 976757.810000 0.0303500 Long DBT UST US N 2 2025-12-31 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285T3 1777300.000000 PA USD 1923614.840000 0.0597709 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 92329VAS1 2264000.000000 PA USD 2265077.460000 0.0703809 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 1.244 N N N N N N VENTURE CDO LTD 2018-35A N/A 92331XAC8 323000.000000 PA USD 323225.600000 0.0100433 Long ABS-CBDO CORP KY N 2 2031-10-22 Floating 1.87238 N N N N N N VENTURE CLO LTD 2013-4A N/A 92328GBA3 400000.000000 PA USD 400919.020000 0.0124574 Long ABS-CBDO CORP KY N 2 2029-08-28 Floating 1.2205 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 114311.060000 PA USD 114453.920000 0.0035563 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 1.12125 N N N N N N VENTURE XXIV CLO LTD 2016-24A N/A 92330WBJ5 9350000.000000 PA USD 9350000.000000 0.2905250 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.124 N N N N N N VENTURE XXIX CLO LTD 2017-29A N/A 92331EAF3 11400000.000000 PA USD 11400000.000000 0.3542230 Long ABS-CBDO CORP KY N 2 2030-09-07 Floating 1.1655 N N N N N N VENTURE XXVI CLO LTD 2017-26A N/A 92331MAE8 9300000.000000 PA USD 9308362.750000 0.2892313 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 1.324 N N N N N N VENTURE XXVII CLO LTD 2017-27A N/A 92331LBC3 4400000.000000 PA USD 4394539.730000 0.1365480 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 1.23138 N N N N N N VERICREST OPPORTUNITY LOAN TRANSFEREE 2021-NPL7 N/A 91835NAA7 500000.000000 PA USD 499629.760000 0.0155246 Long ABS-MBS CORP US N 3 2051-04-25 Variable 2.1157 N N N N N N AP MOLLER - MAERSK A/S 549300D2K6PKKKXVNN73 00203QAB3 55000.000000 PA USD 59465.310000 0.0018477 Long DBT CORP DK N 2 2024-09-22 Fixed 3.75 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VGB4 2400000.000000 PA USD 2401034.690000 0.0746054 Long DBT CORP US N 2 2051-03-22 Fixed 3.55 N N N N N N WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP) 06BTX5UWZD0GQ5N5Y745 960386AN0 147000.000000 PA USD 159978.250000 0.0049709 Long DBT CORP US N 2 2024-03-15 Variable 4.4 N N N N N N WAMU ASSET-BACKED CERTIFICATES 2007-HE3 N/A 93364EAA2 148423.140000 PA USD 140036.910000 0.0043513 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.33363 N N N N N N WAMU ASSET-BACKED CERTIFICATES 2007-HE3 N/A 93364EAD6 526756.280000 PA USD 479999.290000 0.0149146 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.34863 N N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAK6 24695.690000 PA USD 24373.930000 0.0007574 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.18042 Y N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAP5 223328.080000 PA USD 223714.330000 0.0069513 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.42399 Y N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAC8 125531.460000 PA USD 111895.920000 0.0034769 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.17302 Y N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAE4 466676.470000 PA USD 455182.700000 0.0141435 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.17716 Y N N N N N WAMU MTGE P/T CERT 2007-OA5 N/A 93364BAA8 2280636.940000 PA USD 2177994.590000 0.0676751 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.00903 N N N N N N WASHING MUTUAL MTGE P/T 2006-7 N/A 93935HAB3 380716.600000 PA USD 133626.620000 0.0041521 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.18863 N N N N N N WASHING MUTUAL MTGE P/T 2006-7 N/A 93935HAH0 728531.040000 PA USD 307788.410000 0.0095637 Long ABS-MBS CORP US N 2 2036-09-25 Variable 6.422 Y N N N N N AQUEDUCT EUROPEAN CLO 1-2017 DAC N/A ACI1VHTC4 5900000.000000 PA 6918276.720000 0.2149661 Long ABS-CBDO CORP IE N 2 2030-07-20 Floating 0.64 N N N N N N WASHINGTON MUTUAL 2003-AR6 N/A 9292274D5 31276.770000 PA USD 32500.150000 0.0010099 Long ABS-MBS CORP US N 2 2033-06-25 Floating 3.0716 N N N N N N WASHINGTON MUTUAL 2004-AR14 N/A 939336V91 49798.020000 PA USD 50353.650000 0.0015646 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.85151 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X40 829.970000 PA USD 825.700000 0.0000257 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.74863 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X57 646813.970000 PA USD 635600.350000 0.0197495 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.88863 N N N N N N WASHINGTON MUTUAL 2005-AR12 N/A 92922F3L0 21590.540000 PA USD 21526.500000 0.0006689 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.90619 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 17011.010000 PA USD 17012.930000 0.0005286 Long ABS-MBS CORP US N 2 2045-10-25 Floating 0.68863 N N N N N N WASHINGTON MUTUAL 2005-AR14 N/A 92922F4C9 199108.780000 PA USD 199660.990000 0.0062039 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.89615 N N N N N N WASHINGTON MUTUAL 2005-AR15 N/A 92922F5U8 5669.650000 PA USD 5524.180000 0.0001716 Long ABS-MBS CORP US N 2 2045-11-25 Floating 0.66863 N N N N N N WASHINGTON MUTUAL 2005-AR15 N/A 92922F5Y0 820381.840000 PA USD 812553.920000 0.0252478 Long ABS-MBS CORP US N 2 2045-11-25 Floating 1.26863 N N N N N N WASHINGTON MUTUAL 2005-AR17 N/A 92922F7P7 168627.390000 PA USD 163123.710000 0.0050686 Long ABS-MBS CORP US N 2 2045-12-25 Floating 0.64863 N N N N N N WASHINGTON MUTUAL 2005-AR17 N/A 92922F7Q5 407387.030000 PA USD 388288.320000 0.0120650 Long ABS-MBS CORP US N 2 2045-12-25 Floating 0.68863 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 17579.610000 PA USD 17881.690000 0.0005556 Long ABS-MBS CORP US N 2 2045-12-25 Floating 0.64863 N N N N N N WASHINGTON MUTUAL 2005-AR2 N/A 92922FD21 841.980000 PA USD 839.240000 0.0000261 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.72863 N N N N N N WASHINGTON MUTUAL 2005-AR7 N/A 92922FQ50 25141.260000 PA USD 26284.440000 0.0008167 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.90749 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAA4 450487.120000 PA USD 424651.010000 0.0131948 Long ABS-MBS CORP US N 2 2046-10-25 Floating 1.13903 Y N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 849943.910000 PA USD 826808.610000 0.0256908 Long ABS-MBS CORP US N 2 2046-10-25 Floating 1.957 N N N N N N WASHINGTON MUTUAL 2006-AR15 N/A 93363QAC2 563326.150000 PA USD 554481.930000 0.0172290 Long ABS-MBS CORP US N 2 2046-11-25 Floating 1.957 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAJ2 37938.370000 PA USD 36670.690000 0.0011394 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.17295 Y N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAB6 19487.590000 PA USD 18680.830000 0.0005805 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.18916 N N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAD2 19293.490000 PA USD 18731.900000 0.0005820 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.96 N N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AE0 67375.690000 PA USD 60056.250000 0.0018661 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.64374 Y N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 234559.640000 PA USD 236284.690000 0.0073419 Long ABS-MBS CORP US N 2 2046-02-25 Floating 1.25903 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAB3 94169.290000 PA USD 92301.990000 0.0028680 Long ABS-MBS CORP US N 2 2046-08-25 Floating 1.957 N N N N N N WASHINGTON MUTUAL 2007-OA6 N/A 92927BAA0 41887.600000 PA USD 35169.070000 0.0010928 Long ABS-MBS CORP US N 2 2047-07-25 Floating 1.06903 N N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR1 N/A 93934FJQ6 467923.230000 PA USD 403693.330000 0.0125436 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.60863 Y N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1 N/A 939336PL1 151.220000 PA USD 150.900000 0.0000047 Long ABS-MBS CORP US N 2 2033-02-25 Floating 2.1 N N N N N N WASHINGTON MUTUAL MTGE P/T 2006-AR2 N/A 93934FMN9 60274.030000 PA USD 56667.380000 0.0017608 Long ABS-MBS CORP US N 2 2046-04-25 Floating 1.19903 Y N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AB9 942694.080000 PA USD 862970.540000 0.0268144 Long ABS-MBS CORP US N 2 2047-02-25 Floating 1.00903 Y N N N N N WASHINGTON MUTURAL ASSET-BACKED CERTIFICATES WMABS SERIES TRUST 2007-HE1 N/A 93935KAB6 806855.460000 PA USD 330627.580000 0.0102733 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.16863 N N N N N N WASHINGTON STATE CONVENTION CENTER PUBLIC FACILITIES DISTRICT N/A 93976AAH5 720000.000000 PA USD 914030.140000 0.0284009 Long DBT MUN US N 2 2040-07-01 Fixed 6.79 N N N N N N WELLFLEET CLO LTD 2017-1A N/A 94950GAL1 12100000.000000 PA USD 12098128.130000 0.3759154 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 1.07413 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746RW3 67000.000000 PA USD 71647.520000 0.0022262 Long DBT CORP US N 2 2026-04-22 Fixed 3 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2S1 5646000.000000 PA USD 5789857.880000 0.1799036 Long DBT CORP US N 2 2028-06-02 Floating 2.393 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 ACI1M15X9 3700000.000000 PA 4704029.280000 0.1461645 Long DBT CORP US N 2 2030-05-04 Floating 1.741 N N N N N N WELLS FARGO ALTERNATIVE LOAN 2007-PA4 N/A 94984UAE6 5238.310000 PA USD 4935.950000 0.0001534 Long ABS-MBS CORP US N 2 2037-07-25 Floating 3.07997 Y N N N N N WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3 N/A 94985GAH9 168489.950000 PA USD 168160.720000 0.0052251 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6.25 Y N N N N N WELLS FARGO HOME EQUITY TRUST 2005-2 N/A 94981PAJ9 74714.260000 PA USD 74809.630000 0.0023245 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.05363 N N N N N N WELLS FARGO HOME EQUITY TRUST 2005-4 N/A 9497EMAJ4 422000.000000 PA USD 414557.860000 0.0128812 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.85863 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR12 N/A 94984GAD9 6402.220000 PA USD 6540.750000 0.0002032 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.13806 Y N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR19 N/A 949789AA9 35382.030000 PA USD 35283.110000 0.0010963 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.81 Y N N N N N ARGENT SECURITIES INC 2003-W10 N/A 040104EN7 280254.630000 PA USD 278398.140000 0.0086504 Long ABS-MBS CORP US N 2 2034-01-25 Floating 1.18863 N N N N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166BY9 354000.000000 PA USD 391599.250000 0.0121678 Long DBT CORP US N 2 2030-04-15 Fixed 4 N N N N N N WIND RIVER CLO LTD 2015-2A N/A 88432GAL1 452384.490000 PA USD 453082.570000 0.0140783 Long ABS-CBDO CORP KY N 2 2027-10-15 Floating 1.11125 N N N N N N ARGENT SECURITIES INC 2005-W1 N/A 040104MX6 79786.270000 PA USD 74660.250000 0.0023199 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.58863 N N N N N N WMALT MTGE PASS-THRU CERT 2006-AR8 N/A 93935LAB4 118862.320000 PA USD 107548.080000 0.0033418 Long ABS-MBS CORP US N 2 2046-10-25 Floating 1.10903 Y N N N N N WMALT MTGE PASS-THRU CERT 2006-AR9 N/A 939346AA0 75198.460000 PA USD 68772.090000 0.0021369 Long ABS-MBS CORP US N 2 2046-11-25 Floating 1.08903 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936UAE9 55000.000000 PA USD 61831.000000 0.0019212 Long DBT CORP US N 2 2026-10-01 Fixed 4.25 N N N N N N WPC EUROBOND BV 5493005XDMOLBARL5M14 ACI15F7Y3 2208000.000000 PA 2821880.910000 0.0876820 Long DBT CORP NL N 2 2026-04-09 Fixed 2.25 N N N N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 98313RAH9 2200000.000000 PA USD 2303785.000000 0.0715837 Long DBT CORP KY N 2 2028-08-26 Fixed 5.625 N N N N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAM1 657827.820000 PA USD 605651.750000 0.0188189 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.25863 N N N N N N ARGENT SECURITIES INC 2006-M2 N/A 04013BAB8 77188.710000 PA USD 33944.140000 0.0010547 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.21863 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAF9 146000.000000 PA USD 158269.850000 0.0049178 Long DBT CORP US N 2 2025-04-01 Fixed 3.55 N N N N N N ARGENT SECURITIES INC 2006-W1 N/A 040104RF0 1004017.370000 PA USD 946635.270000 0.0294140 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.48863 N N N N N N N/A N/A 000000000 1.000000 NC USD 9265.760000 0.0002879 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-06-21 9123.280000 USD 0.000000 USD 600000.000000 USD 142.480000 N N N N/A N/A 000000000 1.000000 NC USD 17512.730000 0.0005442 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2025-12-21 12990.740000 USD 0.000000 USD 1000000.000000 USD 4521.990000 N N N N/A N/A 000000000 1.000000 NC -3577.360000 -0.0001112 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 457183.890000 USD 2877258.000000 DKK 2021-04-09 -3577.360000 N N N N/A N/A 000000000 1.000000 NC 8053.050000 0.0002502 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 781533.800000 USD 59821567.000000 RUB 2021-04-22 8053.050000 N N N N/A N/A 000000000 1.000000 NC -1083.750000 -0.0000337 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 52182.640000 USD 3884194.000000 RUB 2021-05-21 -1083.750000 N N N N/A N/A 000000000 1.000000 NC -574.420000 -0.0000178 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 51661.680000 USD 3883310.000000 RUB 2021-05-21 -574.420000 N N N N/A N/A 000000000 1.000000 NC -5712.320000 -0.0001775 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 528992.500000 USD 39942848.000000 RUB 2021-06-22 -5712.320000 N N N N/A N/A 000000000 1.000000 NC -1746.710000 -0.0000543 N/A DFE ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 8073128.840000 USD 120245500.000000 ZAR 2021-06-15 -1746.710000 N N N N/A N/A 000000000 1.000000 NC -551750.760000 -0.0171441 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 66557000.000000 CAD 52413549.580000 USD 2021-05-17 -551750.760000 N N N N/A N/A 000000000 1.000000 NC 666645.590000 0.0207141 N/A DFE CH N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 11118000.000000 CHF 12442920.980000 USD 2021-05-17 666645.590000 N N N N/A N/A 000000000 1.000000 NC 48058.970000 0.0014933 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 8248018.000000 DKK 1348378.530000 USD 2021-04-09 48058.970000 N N N N/A N/A 000000000 1.000000 NC 3584.970000 0.0001114 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2877258.000000 DKK 457869.590000 USD 2021-07-01 3584.970000 N N N N/A N/A 000000000 1.000000 NC 212927.920000 0.0066161 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 10813000.000000 EUR 12904161.750000 USD 2021-05-17 212927.920000 N N N N/A N/A 000000000 1.000000 NC 33657.850000 0.0010458 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2356000.000000 GBP 3282056.430000 USD 2021-05-17 33657.850000 N N N N/A N/A 000000000 1.000000 NC 7344.810000 0.0002282 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 433000.000000 GBP 604355.250000 USD 2021-05-17 7344.810000 N N N N/A N/A 000000000 1.000000 NC -14481.930000 -0.0004500 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1690000.000000 GBP 2315651.180000 USD 2021-05-17 -14481.930000 N N N N/A N/A 000000000 1.000000 NC 2524.730000 0.0000784 N/A DFE NO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2065000.000000 NOK 243957.620000 USD 2021-05-14 2524.730000 N N N N/A N/A 000000000 1.000000 NC 122794.030000 0.0038155 N/A DFE SE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 20857474.000000 SEK 2511920.300000 USD 2021-05-17 122794.030000 N N N N/A N/A 000000000 1.000000 NC -12544.440000 -0.0003898 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1866000.000000 CAD 1472397.050000 USD 2021-05-17 -12544.440000 N N N N/A N/A 000000000 1.000000 NC 4216.020000 0.0001310 N/A DFE DK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1480000.000000 DKK 237541.520000 USD 2021-04-09 4216.020000 N N N N/A N/A 000000000 1.000000 NC -8372.080000 -0.0002601 N/A DFE ID N 2 BNP Paribas S.A. N/A 1130000.000000 USD 16501390000.000000 IDR 2021-06-16 -8372.080000 N N N N/A N/A 000000000 1.000000 NC -1615.440000 -0.0000502 N/A DFE KR N 2 BNP Paribas S.A. N/A 534319.930000 USD 600714520.000000 KRW 2021-06-16 -1615.440000 N N N N/A N/A 000000000 1.000000 NC -19615.840000 -0.0006095 N/A DFE RU N 2 BNP Paribas S.A. N/A 694627.600000 USD 51141000.000000 RUB 2021-04-22 -19615.840000 N N N N/A N/A 000000000 1.000000 NC 264459.400000 0.0082173 N/A DFE N/A N 2 BNP Paribas S.A. N/A 12499000.000000 EUR 14934553.890000 USD 2021-05-17 264459.400000 N N N N/A N/A 000000000 1.000000 NC USD -285343.780000 -0.0088663 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.34 Y Single Leg Swap 2025-12-21 0.000000 USD -215940.000000 USD 5900000.000000 USD -69403.780000 N N N N/A N/A 000000000 1.000000 NC USD -306137.210000 -0.0095124 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.35 Y Single Leg Swap 2026-06-21 0.000000 USD -263700.000000 USD 7400000.000000 USD -42437.210000 N N N N/A N/A 000000000 -900000.000000 NC USD -1595.530000 -0.0000496 N/A DCR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX HY35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 103.000000 USD 2021-05-19 XXXX 2454.470000 N N N N/A N/A 000000000 -1200000.000000 NC USD -3572.000000 -0.0001110 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 HY35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 102.000000 USD 2021-06-16 XXXX 1588.000000 N N N N/A N/A 000000000 -900000.000000 NC USD -266.350000 -0.0000083 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 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 100.000000 USD 2021-04-21 XXXX 3783.650000 N N N N/A N/A 000000000 -1100000.000000 NC USD -2412.200000 -0.0000750 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 HY35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 100.000000 USD 2021-06-16 XXXX 1932.800000 N N N N/A N/A 000000000 -1000000.000000 NC USD -3900.410000 -0.0001212 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 100.000000 USD 2021-07-21 XXXX 2314.590000 N N N N/A N/A 000000000 1.000000 NC USD 202677.490000 0.0062976 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.35 Y Single Leg Swap 2025-12-21 187990.000000 USD 0.000000 USD 2200000.000000 USD 14687.490000 N N N N/A N/A 000000000 -1300000.000000 NC USD -3789.940000 -0.0001178 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 HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 100.000000 USD 2021-06-16 XXXX 760.060000 N N N N/A N/A 000000000 1.000000 NC USD 90631.040000 0.0028161 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.36 Y Single Leg Swap 2026-06-21 84870.000000 USD 0.000000 USD 1000000.000000 USD 5761.040000 N N N N/A N/A 000000000 -7700000.000000 NC USD -401.860000 -0.0000125 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 0.850000 USD 2021-04-21 XXXX 8231.890000 N N N N/A N/A 000000000 -3300000.000000 NC USD -195.430000 -0.0000061 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 2021-04-21 XXXX 4556.570000 N N N N/A N/A 000000000 -1500000.000000 NC USD -132.860000 -0.0000041 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 1.050000 USD 2021-05-19 XXXX 1179.640000 N N N N/A N/A 000000000 -6700000.000000 NC USD -850.360000 -0.0000264 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 2021-05-19 XXXX 6460.890000 N N N N/A N/A 000000000 -3900000.000000 NC USD -832.650000 -0.0000259 N/A DCR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX 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 2021-05-19 XXXX 2794.350000 N N N N/A N/A 000000000 -5200000.000000 NC USD -1890.620000 -0.0000587 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 2021-06-16 XXXX 3309.380000 N N N N/A N/A 000000000 -900000.000000 NC USD -33.420000 -0.0000010 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 1001.580000 N N N N/A N/A 000000000 -6800000.000000 NC USD -906.240000 -0.0000282 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 0.450000 USD 2021-04-21 XXXX 3256.260000 N N N N/A N/A 000000000 -3500000.000000 NC USD -145.010000 -0.0000045 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 0.950000 USD 2021-04-21 XXXX 2829.990000 N N N N/A N/A 000000000 -3300000.000000 NC USD -172.230000 -0.0000054 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 0.850000 USD 2021-04-21 XXXX 2550.270000 N N N N/A N/A 000000000 -3300000.000000 NC USD -439.790000 -0.0000137 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX 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 2021-04-21 XXXX 1210.210000 N N N N/A N/A 000000000 -800000.000000 NC USD -70.860000 -0.0000022 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 1.050000 USD 2021-05-19 XXXX 629.140000 N N N N/A N/A 000000000 -1600000.000000 NC USD -94.750000 -0.0000029 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 2021-04-21 XXXX 1585.250000 N N N N/A N/A 000000000 -3300000.000000 NC USD -418.840000 -0.0000130 N/A DCR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX 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 2021-05-19 XXXX 3169.910000 N N N N/A N/A 000000000 -3700000.000000 NC USD -219.110000 -0.0000068 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 2021-04-21 XXXX 3110.890000 N N N N/A N/A 000000000 -3600000.000000 NC USD -456.910000 -0.0000142 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 0.900000 USD 2021-05-19 XXXX 3233.090000 N N N N/A N/A 000000000 -4100000.000000 NC USD -716.070000 -0.0000222 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 0.800000 USD 2021-05-19 XXXX 2973.930000 N N N N/A N/A 000000000 -4600000.000000 NC USD -803.390000 -0.0000250 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 2021-05-19 XXXX 4256.610000 N N N N/A N/A 000000000 -4400000.000000 NC USD -768.460000 -0.0000239 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 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 2021-05-19 XXXX 3367.540000 N N N N/A N/A 000000000 -4800000.000000 NC USD -1236.240000 -0.0000384 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 2021-06-16 XXXX 5507.760000 N N N N/A N/A 000000000 -4500000.000000 NC USD -1158.980000 -0.0000360 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 2021-06-16 XXXX 3566.020000 N N N N/A N/A 000000000 -6000000.000000 NC USD -2181.480000 -0.0000678 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 0.800000 USD 2021-06-16 XXXX 3878.520000 N N N N/A N/A 000000000 -5200000.000000 NC USD -2699.790000 -0.0000839 N/A DCR US N 2 CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 Call Written CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.450000 USD 2021-06-16 XXXX -359.790000 N N N N/A N/A 000000000 -3200000.000000 NC USD -406.140000 -0.0000126 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG35 (V1 ONLY) 5Y SP Single Leg Swap 2025-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2021-05-19 XXXX 2953.860000 N N N N/A N/A 000000000 -3600000.000000 NC USD -400.500000 -0.0000124 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 0.950000 USD 2021-05-19 XXXX 3955.500000 N N N N/A N/A 000000000 -3700000.000000 NC USD -544.900000 -0.0000169 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 0.850000 USD 2021-05-19 XXXX 3895.100000 N N N N/A N/A 000000000 -3700000.000000 NC USD -493.100000 -0.0000153 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX 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 2021-04-21 XXXX 1171.900000 N N N N/A N/A 000000000 -7700000.000000 NC USD -1643.950000 -0.0000511 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 0.750000 USD 2021-05-19 XXXX 6224.050000 N N N N/A N/A 000000000 1.000000 NC USD 7591144.770000 0.2358735 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.35 Y Single Leg Swap 2025-12-21 7055002.460000 USD 0.000000 USD 313900000.000000 USD 536142.310000 N N N N/A N/A 000000000 -4800000.000000 NC USD -2378.930000 -0.0000739 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 IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.850000 USD 2021-06-16 XXXX 2085.070000 N N N N/A N/A 000000000 -4900000.000000 NC USD -3787.410000 -0.0001177 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 IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2021-07-21 XXXX 2533.590000 N N N N/A N/A 000000000 -2800000.000000 NC USD -2164.230000 -0.0000672 N/A DCR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2021-07-21 XXXX 1447.770000 N N N N/A N/A 000000000 -5600000.000000 NC USD -2775.420000 -0.0000862 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 IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.850000 USD 2021-06-16 XXXX 2992.580000 N N N N/A N/A 000000000 1.000000 NC USD 5287952.540000 0.1643083 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.36 Y Single Leg Swap 2026-06-21 4904561.920000 USD 0.000000 USD 223500000.000000 USD 383390.620000 N N N N/A N/A 000000000 1.000000 NC -12571.030000 -0.0003906 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1469156.800000 USD 9613000.000000 CNY 2021-06-16 -12571.030000 N N N N/A N/A 000000000 1.000000 NC -383803.620000 -0.0119256 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14259454.150000 USD 50849213500.000000 COP 2021-05-18 -383803.620000 N N N N/A N/A 000000000 1.000000 NC -6222.360000 -0.0001933 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1401568.940000 USD 8850781.000000 DKK 2021-04-09 -6222.360000 N N N N/A N/A 000000000 1.000000 NC -29038.890000 -0.0009023 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1912813.830000 USD 143191904.000000 RUB 2021-05-21 -29038.890000 N N N N/A N/A 000000000 1.000000 NC -11605.690000 -0.0003606 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 565149.780000 USD 42252943.000000 RUB 2021-06-22 -11605.690000 N N N N/A N/A 000000000 1.000000 NC -12897.920000 -0.0004008 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 552041.450000 USD 41153724.000000 RUB 2021-06-22 -12897.920000 N N N N/A N/A 000000000 1.000000 NC -31928.910000 -0.0009921 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1352815.590000 USD 100825481.560000 RUB 2021-06-22 -31928.910000 N N N N/A N/A 000000000 1.000000 NC -10985.050000 -0.0003413 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8082333.620000 USD 120245000.000000 ZAR 2021-06-15 -10985.050000 N N N N/A N/A 000000000 1.000000 NC -53490.270000 -0.0016621 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11158000.000000 CAD 8825918.680000 USD 2021-05-17 -53490.270000 N N N N/A N/A 000000000 1.000000 NC 34049.980000 0.0010580 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5670074.000000 DKK 927950.570000 USD 2021-04-09 34049.980000 N N N N/A N/A 000000000 1.000000 NC 6218.730000 0.0001932 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8850781.000000 DKK 1403651.190000 USD 2021-07-01 6218.730000 N N N N/A N/A 000000000 1.000000 NC 213412.540000 0.0066312 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6924000.000000 EUR 8340121.410000 USD 2021-05-17 213412.540000 N N N N/A N/A 000000000 1.000000 NC 435333.520000 0.0135268 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 39001000.000000 GBP 54209014.840000 USD 2021-05-17 435333.520000 N N N N/A N/A 000000000 1.000000 NC 23765.400000 0.0007384 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1100000.000000 GBP 1540420.090000 USD 2021-05-17 23765.400000 N N N N/A N/A 000000000 1.000000 NC 24746.760000 0.0007689 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 656000.000000 GBP 929224.460000 USD 2021-05-17 24746.760000 N N N N/A N/A 000000000 1.000000 NC 19159.890000 0.0005953 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1250000.000000 GBP 1742631.130000 USD 2021-05-17 19159.890000 N N N N/A N/A 000000000 1.000000 NC 78066.800000 0.0024257 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9602880.000000 ILS 2966965.330000 USD 2022-02-02 78066.800000 N N N N/A N/A 000000000 1.000000 NC 40021.060000 0.0012435 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4000800.000000 ILS 1242060.170000 USD 2021-11-30 40021.060000 N N N N/A N/A 000000000 1.000000 NC 210517.830000 0.0065413 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 24704940.000000 ILS 7633109.330000 USD 2021-11-30 210517.830000 N N N N/A N/A 000000000 1.000000 NC 131466.460000 0.0040850 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 19204800.000000 ILS 5901542.620000 USD 2021-11-30 131466.460000 N N N N/A N/A 000000000 1.000000 NC 187845.900000 0.0058368 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 26004160.000000 ILS 8000787.640000 USD 2021-11-30 187845.900000 N N N N/A N/A 000000000 1.000000 NC 103365.040000 0.0032118 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15204560.000000 ILS 4671570.340000 USD 2021-11-30 103365.040000 N N N N/A N/A 000000000 1.000000 NC 35839.590000 0.0011136 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9708300.000000 ILS 2956332.410000 USD 2022-01-31 35839.590000 N N N N/A N/A 000000000 1.000000 NC 74299.100000 0.0023086 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 17598240.000000 ILS 5371540.200000 USD 2022-03-02 74299.100000 N N N N/A N/A 000000000 1.000000 NC 12051.160000 0.0003745 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2800000.000000 ILS 850223.940000 USD 2021-06-02 12051.160000 N N N N/A N/A 000000000 1.000000 NC 49384.050000 0.0015345 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11202240.000000 ILS 3421367.050000 USD 2022-03-02 49384.050000 N N N N/A N/A 000000000 1.000000 NC 13675.170000 0.0004249 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 20208080.000000 ILS 6096503.450000 USD 2022-03-02 13675.170000 N N N N/A N/A 000000000 1.000000 NC 51964.620000 0.0016147 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 24007200.000000 ILS 7257096.220000 USD 2021-10-06 51964.620000 N N N N/A N/A 000000000 1.000000 NC 14466.500000 0.0004495 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 172996420.800000 INR 2352000.000000 USD 2021-06-16 14466.500000 N N N ASSET BACK SEC CORP HM EQ LN TR 2005-HE2 N/A 04541GQD7 30644.210000 PA USD 30868.870000 0.0009592 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.20363 N N N N N N 2021-05-05 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer