NPORT-P false 0000810893 XXXXXXXX S000023716 C000126843 C000069768 C000126844 C000069770 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO RAE PLUS EMG Fund S000023716 E5LPIUVQZNA4IY7QBQ29 2022-03-31 2021-06-30 N 1113170436.660000 207012917.940000 906157518.720000 0.000000 0.000000 16363608.100000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 14167579.970000 USD AUD BRL CAD ARS EUR GBP ILS JPY CNY N N/A N/A 000000000 1.000000 NC 6751.500000 0.0007451 N/A DFE RU N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 39054592.500000 RUB 539000.000000 USD 2021-07-22 6751.500000 N N N N/A N/A 000000000 1.000000 NC USD 10856012.970000 1.1980271 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2021-10-06 0.000000 USD 0.000000 USD 20899530.400000 USD 10856012.970000 N N N N/A N/A 000000000 1.000000 NC USD 15376178.290000 1.6968549 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2022-03-02 0.000000 USD 0.000000 USD 120281396.840000 USD 15376178.290000 N N N N/A N/A 000000000 1.000000 NC USD 21319999.880000 2.3527918 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2022-03-09 0.000000 USD 0.000000 USD 189044180.000000 USD 21319999.880000 N N N N/A N/A 000000000 1.000000 NC USD -312410.400000 -0.0344764 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2022-06-22 0.000000 USD 0.000000 USD 98827322.640000 USD -312410.400000 N N N N/A N/A 000000000 1.000000 NC USD 33996627.160000 3.7517348 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2021-09-22 0.000000 USD 0.000000 USD 66998806.420000 USD 33996627.160000 N N N N/A N/A 000000000 1.000000 NC USD 202929.280000 0.0223945 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 170135912.300000 USD 202929.280000 N N N N/A N/A 000000000 1.000000 NC USD 13411710.400000 1.4800639 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2021-11-18 0.000000 USD 0.000000 USD 26686483.350000 USD 13411710.400000 N N N N/A N/A 000000000 1.000000 NC USD 39594130.290000 4.3694534 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2021-10-06 0.000000 USD 0.000000 USD 75199175.240000 USD 39594130.290000 N N N N/A N/A 000000000 -18.000000 NC -23701.960000 -0.0026157 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2021-09-08 -3684101.940000 EUR -23701.960000 N N N N/A N/A 000000000 -75.000000 NC -14032.760000 -0.0015486 N/A DIR DE N 1 Eurex N/A Call Written Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 09/08/21 2021-09-09 N/A EUR N/A 173.000000 EUR 2021-07-23 XXXX -14032.760000 N N N N/A N/A 000000000 -75.000000 NC 9646.670000 0.0010646 N/A DIR DE N 1 Eurex N/A Put Written Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 09/08/21 2021-09-09 N/A EUR N/A 171.000000 EUR 2021-07-23 XXXX 9646.670000 N N N N/A N/A 000000000 -2600000.000000 NC USD -4454.840000 -0.0004916 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.5% AUG 30YR JMBO N/A 102.300000 USD 2021-08-12 XXXX 4279.540000 N N N N/A N/A 000000000 -2100000.000000 NC USD -3426.780000 -0.0003782 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.5% AUG 30YR JMBO N/A 102.230000 USD 2021-08-12 XXXX 3299.780000 N N N N/A N/A 000000000 1.000000 NC 720637.460000 0.0795267 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8112397.870000 EUR 52642161.000000 BRL 2021-07-02 720637.460000 N N N N/A N/A 000000000 1.000000 NC -113814.430000 -0.0125601 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8880106.780000 EUR 52642161.000000 BRL 2021-08-03 -113814.430000 N N N N/A N/A 000000000 1.000000 NC 224495.250000 0.0247744 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 14278701.790000 USD 72136001.450000 BRL 2021-07-02 224495.250000 N N N N/A N/A 000000000 1.000000 NC -441934.000000 -0.0487701 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 16391433.840000 USD 19771000.000000 CAD 2021-07-02 -441934.000000 N N N N/A N/A 000000000 1.000000 NC -73984.110000 -0.0081646 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 52642161.000000 BRL 8914090.420000 EUR 2021-07-02 -73984.110000 N N N N/A N/A 000000000 1.000000 NC -121.110000 -0.0000134 N/A DFE HK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 169639.060000 USD 1316000.000000 HKD 2021-09-15 -121.110000 N N N N/A N/A 000000000 1.000000 NC 8928.890000 0.0009854 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 172509.540000 USD 13313337.800000 RUB 2021-07-22 8928.890000 N N N N/A N/A 000000000 1.000000 NC 5247.410000 0.0005791 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 311749.660000 USD 23358467.000000 RUB 2021-08-20 5247.410000 N N N N/A N/A 000000000 1.000000 NC -2845.890000 -0.0003141 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 244246.880000 USD 17869263.000000 RUB 2021-09-20 -2845.890000 N N N N/A N/A 000000000 1.000000 NC -3244.060000 -0.0003580 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 369635.060000 USD 27121418.000000 RUB 2021-09-20 -3244.060000 N N N N/A N/A 000000000 1.000000 NC -32034.950000 -0.0035353 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 814399.000000 USD 11277897.520000 ZAR 2021-09-15 -32034.950000 N N N N/A N/A 000000000 1.000000 NC -80103.460000 -0.0088399 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1672143.000000 USD 22949493.820000 ZAR 2021-09-15 -80103.460000 N N N N/A N/A 000000000 1.000000 NC 59976.190000 0.0066187 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 52642161.000000 BRL 8914090.420000 EUR 2021-07-02 59976.190000 N N N N/A N/A 000000000 1.000000 NC -221229.640000 -0.0244140 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 72136001.450000 BRL 14232780.510000 USD 2021-08-03 -221229.640000 N N N N/A N/A 000000000 1.000000 NC 243977.510000 0.0269244 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8112397.870000 EUR 52642161.000000 BRL 2021-07-02 243977.510000 N N N N/A N/A 000000000 1.000000 NC 125268.690000 0.0138242 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8880106.780000 EUR 52642161.000000 BRL 2021-08-03 125268.690000 N N N N/A N/A 000000000 1.000000 NC 162935.660000 0.0179809 N/A DFE GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5355000.000000 GBP 7570507.010000 USD 2021-07-02 162935.660000 N N N N/A N/A 000000000 1.000000 NC 175917.800000 0.0194136 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 382456604.000000 TWD 13959798.660000 USD 2021-09-15 175917.800000 N N N N/A N/A 000000000 1.000000 NC 151742.290000 0.0167457 N/A DCR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 HOCHTIEF AG HOCHTIEF AG Y Single Leg Swap 2025-12-21 161968.440000 EUR 0.000000 EUR 700000.000000 EUR -10226.150000 N N N N/A N/A 000000000 1.000000 NC -4541.660000 -0.0005012 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 8110679.500000 USD 5860000.000000 GBP 2021-07-02 -4541.660000 N N N N/A N/A 000000000 1.000000 NC -2175.320000 -0.0002401 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 151385.680000 USD 168657273.000000 KRW 2021-09-15 -2175.320000 N N N N/A N/A 000000000 1.000000 NC 20584.100000 0.0022716 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1221196.750000 USD 24784432.310000 MXN 2021-07-12 20584.100000 N N N N/A N/A 000000000 1.000000 NC 4923.260000 0.0005433 N/A DFE RU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 252039.470000 USD 18934735.000000 RUB 2021-08-20 4923.260000 N N N N/A N/A 000000000 1.000000 NC 5997.770000 0.0006619 N/A DFE RU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 249120.830000 USD 18798847.000000 RUB 2021-08-20 5997.770000 N N N N/A N/A 000000000 1.000000 NC -2672.070000 -0.0002949 N/A DFE RU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 253357.300000 USD 18556512.000000 RUB 2021-09-20 -2672.070000 N N N N/A N/A 000000000 1.000000 NC 4413.120000 0.0004870 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5860000.000000 GBP 8111324.100000 USD 2021-08-03 4413.120000 N N N N/A N/A 000000000 1.000000 NC 1358.050000 0.0001499 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1370000.000000 SGD 1019833.910000 USD 2021-12-15 1358.050000 N N N N/A N/A 000000000 1.000000 NC 1655410.770000 0.1826847 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE CROSSOVER SERIES 35 Y Single Leg Swap 2026-06-21 1514997.360000 EUR 0.000000 EUR 11100000.000000 EUR 140413.410000 N N N N/A N/A 000000000 -2500000.000000 NC -116.540000 -0.0000129 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 3167.430000 N N N N/A N/A 000000000 -2500000.000000 NC -1615.760000 -0.0001783 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 -224.510000 N N N N/A N/A 000000000 -1300000.000000 NC -60.590000 -0.0000067 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 1657.370000 N N N N/A N/A 000000000 -2400000.000000 NC -550.860000 -0.0000608 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 MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.750000 EUR 2021-08-18 XXXX 2193.210000 N N N N/A N/A 000000000 -1300000.000000 NC -97.730000 -0.0000108 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 MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.750000 EUR 2021-07-21 XXXX 1232.080000 N N N N/A N/A 000000000 -4100000.000000 NC -1122.680000 -0.0001239 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 MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.700000 EUR 2021-08-18 XXXX 4523.240000 N N N N/A N/A 000000000 -1300000.000000 NC -783.210000 -0.0000864 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2021-10-20 XXXX 809.460000 N N N N/A N/A 000000000 -1300000.000000 NC -258.100000 -0.0000285 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 MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2021-08-18 XXXX 1156.310000 N N N N/A N/A 000000000 -1900000.000000 NC -333.980000 -0.0000369 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2021-08-18 XXXX 1720.330000 N N N N/A N/A 000000000 -1900000.000000 NC -377.230000 -0.0000416 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2021-08-18 XXXX 1758.980000 N N N N/A N/A 000000000 -1300000.000000 NC -228.510000 -0.0000252 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 MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2021-08-18 XXXX 1195.110000 N N N N/A N/A 000000000 -1400000.000000 NC -105.250000 -0.0000116 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 MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.750000 EUR 2021-07-21 XXXX 1343.640000 N N N N/A N/A 000000000 -1300000.000000 NC -97.730000 -0.0000108 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 MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.750000 EUR 2021-07-21 XXXX 1271.190000 N N N N/A N/A 000000000 -1100000.000000 NC -428.340000 -0.0000473 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 MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2021-09-15 XXXX 1063.290000 N N N N/A N/A 000000000 -1000000.000000 NC -84.190000 -0.0000093 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 MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.700000 EUR 2021-07-21 XXXX 1023.600000 N N N N/A N/A 000000000 -2400000.000000 NC -2256.800000 -0.0002491 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2021-11-17 XXXX 428.400000 N N N N/A N/A 000000000 -1800000.000000 NC -1225.250000 -0.0001352 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 MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2021-10-20 XXXX 527.300000 N N N N/A N/A 000000000 -1500000.000000 NC -584.100000 -0.0000645 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2021-09-15 XXXX 1376.380000 N N N N/A N/A 000000000 -3300000.000000 NC -1988.150000 -0.0002194 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 MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2021-10-20 XXXX 1590.190000 N N N N/A N/A 000000000 1.000000 NC 197040.870000 0.0217447 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4611504.640000 USD 97003000.000000 MXN 2021-10-05 197040.870000 N N N N/A N/A 000000000 1.000000 NC 176.420000 0.0000195 N/A DFE TR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1408000.000000 TRY 159535.170000 USD 2021-07-30 176.420000 N N N N/A N/A 000000000 1.000000 NC -14201.410000 -0.0015672 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1031348.900000 USD 113000000.000000 JPY 2021-07-02 -14201.410000 N N N N/A N/A 000000000 1.000000 NC 13784.430000 0.0015212 N/A DFE RU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 312815.860000 USD 23964823.000000 RUB 2021-07-22 13784.430000 N N N N/A N/A 000000000 1.000000 NC 5724.880000 0.0006318 N/A DFE RU N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 97664.220000 USD 7586342.000000 RUB 2021-07-22 5724.880000 N N N N/A N/A 000000000 1.000000 NC 6547.810000 0.0007226 N/A DFE RU N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 278028.960000 USD 20969522.000000 RUB 2021-08-20 6547.810000 N N N N/A N/A 000000000 1.000000 NC -9354.160000 -0.0010323 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1292832.700000 USD 1591000.000000 CAD 2021-07-02 -9354.160000 N N N N/A N/A 000000000 1.000000 NC -221697.870000 -0.0244657 N/A DFE SG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 13964540.160000 USD 18486146.550000 SGD 2021-12-15 -221697.870000 N N N N/A N/A 000000000 1.000000 NC -1700.260000 -0.0001876 N/A DFE MX N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 10297000.000000 MXN 514087.560000 USD 2021-07-14 -1700.260000 N N N N/A N/A 000000000 1.000000 NC -88459.890000 -0.0097621 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 4455513.280000 USD 64172757760.000000 IDR 2021-09-15 -88459.890000 N N N N/A N/A 000000000 1.000000 NC -2070.460000 -0.0002285 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 203685.990000 USD 15295799.200000 INR 2021-12-15 -2070.460000 N N N N/A N/A 000000000 1.000000 NC -3002.720000 -0.0003314 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1203000.000000 USD 33295912.000000 TWD 2021-09-15 -3002.720000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAD3 500000.000000 PA USD 540709.030000 0.0596705 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 -907765.270000 -0.1001774 N/A DFE BR N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 72136001.430000 BRL 13595431.770000 USD 2021-07-02 -907765.270000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAH4 500000.000000 PA USD 565615.720000 0.0624191 Long DBT CORP US N 2 2024-12-15 Fixed 5.5 N N N N N N N/A N/A 000000000 -900000.000000 NC USD -16.380000 -0.0000018 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.76000 07/09/21-10Y CME N/A N/A 2031-07-09 0.000000 USD 0.000000 USD N/A USD N/A 0.020000 USD 2021-07-07 XXXX 6868.620000 N N N N/A N/A 000000000 173200000.000000 NC 373776.900000 0.0412486 N/A DIR DE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R -0.35000 11/03/21-2Y LCH 2023-11-03 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.350000 EUR 2021-11-01 XXXX -33206.040000 N N N N/A N/A 000000000 -32900000.000000 NC -46009.780000 -0.0050775 N/A DIR DE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R -0.16400 11/03/21-10Y LCH 2031-11-03 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.160000 EUR 2021-11-01 XXXX 372876.160000 N N N N/A N/A 000000000 71500000.000000 NC USD 477441.250000 0.0526885 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 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 -208958.750000 N N N N/A N/A 000000000 -143000000.000000 NC USD -437208.200000 -0.0482486 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 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 249091.410000 N N N N/A N/A 000000000 1.000000 NC 35395.210000 0.0039061 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2026-04-15 40185.780000 EUR 0.000000 EUR 4000000.000000 EUR -4790.570000 N N N N/A N/A 000000000 1.000000 NC -4020.510000 -0.0004437 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2026-05-15 0.000000 EUR -7398.060000 EUR 10300000.000000 EUR 3377.550000 N N N N/A N/A 000000000 1.000000 NC 131300.910000 0.0144899 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2050-11-15 28073.440000 GBP 0.000000 GBP 400000.000000 GBP 103227.470000 N N N N/A N/A 000000000 1.000000 NC 231182.630000 0.0255124 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2050-11-15 21797.400000 GBP 0.000000 GBP 800000.000000 GBP 209385.230000 N N N N/A N/A 000000000 1.000000 NC 86403.190000 0.0095351 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 -21011.710000 GBP 400000.000000 GBP 107414.900000 N N N N/A N/A 000000000 1.000000 NC -161673.700000 -0.0178417 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 -43743.160000 GBP 1000000.000000 GBP -117930.540000 N N N N/A N/A 000000000 1.000000 NC -110429.550000 -0.0121866 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 -14936.050000 GBP 800000.000000 GBP -95493.500000 N N N N/A N/A 000000000 1.000000 NC -151602.620000 -0.0167303 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 -20284.620000 GBP 1100000.000000 GBP -131318.000000 N N N N/A N/A 000000000 1.000000 NC 9620.030000 0.0010616 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-08-15 0.000000 GBP -2444.560000 GBP 400000.000000 GBP 12064.590000 N N N N/A N/A 000000000 1.000000 NC -108427.180000 -0.0119656 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2040-11-15 12738.990000 GBP 0.000000 GBP 1000000.000000 GBP -121166.170000 N N N N/A N/A 000000000 1.000000 NC 34243.130000 0.0037789 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-11-15 6409.420000 GBP 0.000000 GBP 600000.000000 GBP 27833.710000 N N N N/A N/A 000000000 1.000000 NC -192976.740000 -0.0212962 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-02-15 193226.240000 GBP 0.000000 GBP 9300000.000000 GBP -386202.980000 N N N N/A N/A 000000000 1.000000 NC 53454.190000 0.0058990 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-11-15 2187.550000 GBP 0.000000 GBP 1100000.000000 GBP 51266.640000 N N N N/A N/A 000000000 1.000000 NC -15257.650000 -0.0016838 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-08-15 2941.880000 GBP 0.000000 GBP 400000.000000 GBP -18199.530000 N N N N/A N/A 000000000 1.000000 NC -58696.030000 -0.0064775 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-01-15 649901.220000 GBP 0.000000 GBP 16900000.000000 GBP -708597.250000 N N N N/A N/A 000000000 1.000000 NC 41229.570000 0.0045499 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-09-15 103546.300000 GBP 0.000000 GBP 1500000.000000 GBP -62316.730000 N N N N/A N/A 000000000 1.000000 NC 22278.090000 0.0024585 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 -5861.220000 GBP 600000.000000 GBP 28139.310000 N N N N/A N/A 000000000 1.000000 NC 375872.470000 0.0414798 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 697773.150000 GBP 0.000000 GBP 7700000.000000 GBP -321900.680000 N N N N/A N/A 000000000 1.000000 NC 188267.630000 0.0207765 N/A DIR AU N 2 London Clearing house N/A AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2031-06-16 49155.300000 AUD 0.000000 AUD 6200000.000000 AUD 139112.330000 N N N N/A N/A 000000000 1.000000 NC -83790.500000 -0.0092468 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2023-12-21 9133.080000 CAD 0.000000 CAD 12800000.000000 CAD -92923.580000 N N N N/A N/A 000000000 1.000000 NC -167067.300000 -0.0184369 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2023-12-21 18837.130000 CAD 0.000000 CAD 25600000.000000 CAD -185904.430000 N N N N/A N/A 000000000 1.000000 NC 861716.490000 0.0950957 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2050-03-18 522804.730000 CAD 0.000000 CAD 5800000.000000 CAD 338911.760000 N N N N/A N/A 000000000 1.000000 NC 1024342.290000 0.1130424 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2024-12-18 2052616.000000 CAD 0.000000 CAD 71800000.000000 CAD -1028273.710000 N N N N/A N/A 000000000 1.000000 NC 519785.580000 0.0573615 N/A DIR CA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 896571.480000 CAD 0.000000 CAD 5800000.000000 CAD -376785.900000 N N N N/A N/A 000000000 1.000000 NC 1631051.270000 0.1799964 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 2805389.510000 CAD 0.000000 CAD 18200000.000000 CAD -1174338.240000 N N N N/A N/A 000000000 1.000000 NC -6788.440000 -0.0007491 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 -6914.160000 CNY 12400000.000000 CNY 125.720000 N N N N/A N/A 000000000 1.000000 NC -9065.760000 -0.0010005 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 -9223.740000 CNY 17100000.000000 CNY 157.980000 N N N N/A N/A 000000000 1.000000 NC -7882.670000 -0.0008699 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 -7979.300000 CNY 17100000.000000 CNY 96.630000 N N N N/A N/A 000000000 1.000000 NC -7291.150000 -0.0008046 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 -7357.070000 CNY 17100000.000000 CNY 65.920000 N N N N/A N/A 000000000 1.000000 NC 399.090000 0.0000440 N/A DIR CN N 2 London Clearing house N/A CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2026-03-17 731.820000 CNY 0.000000 CNY 17100000.000000 CNY -332.730000 N N N N/A N/A 000000000 1.000000 NC 10263.290000 0.0011326 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 11419.210000 CNY 0.000000 CNY 34200000.000000 CNY -1155.920000 N N N N/A N/A 000000000 1.000000 NC -272608.030000 -0.0300840 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2031-09-15 0.000000 EUR -258391.680000 EUR 18600000.000000 EUR -14216.350000 N N N N/A N/A 000000000 1.000000 NC -55945.350000 -0.0061739 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2051-09-15 0.000000 EUR -103699.010000 EUR 6700000.000000 EUR 47753.660000 N N N N/A N/A 000000000 1.000000 NC -386104.550000 -0.0426090 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 -592170.870000 JPY 975000000.000000 JPY 206066.320000 N N N N/A N/A 000000000 1.000000 NC USD -2538954.600000 -0.2801891 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-07-22 1113290.590000 USD 0.000000 USD 473200000.000000 USD -3652245.190000 N N N N/A N/A 000000000 1.000000 NC USD -1747909.200000 -0.1928924 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 -2137616.180000 USD 36000000.000000 USD 389706.980000 N N N N/A N/A 000000000 1.000000 NC USD -2968551.400000 -0.3275977 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-03-16 0.000000 USD -329682.990000 USD 178100000.000000 USD -2638868.410000 N N N N/A N/A 000000000 1.000000 NC USD 2596101.200000 0.2864956 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-12-16 3465604.880000 USD 0.000000 USD 325500000.000000 USD -869503.680000 N N N N/A N/A 000000000 1.000000 NC USD -1869476.470000 -0.2063081 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2045-11-15 0.000000 USD 0.000000 USD 9600000.000000 USD -1869476.470000 N N N N/A N/A 000000000 1.000000 NC USD 1869456.190000 0.2063059 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2045-11-15 169737.570000 USD 0.000000 USD 9600000.000000 USD 1699718.620000 N N N N/A N/A 000000000 1.000000 NC USD 195103.120000 0.0215308 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-12-16 774612.420000 USD 0.000000 USD 33200000.000000 USD -579509.300000 N N N N/A N/A 000000000 1.000000 NC USD 2952720.510000 0.3258507 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-03-17 830914.320000 USD 0.000000 USD 93800000.000000 USD 2121806.190000 N N N N/A N/A 000000000 1.000000 NC USD 1509593.890000 0.1665929 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-06-16 2349814.520000 USD 0.000000 USD 11500000.000000 USD -840220.630000 N N N N/A N/A 000000000 1.000000 NC USD -1171124.200000 -0.1292407 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 1605293.130000 USD 0.000000 USD 103200000.000000 USD -2776417.330000 N N N N/A N/A 000000000 1.000000 NC USD -7617774.490000 -0.8406678 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-17 0.000000 USD -14227454.020000 USD 405300000.000000 USD 6609679.530000 N N N N/A N/A 000000000 1.000000 NC USD 2476784.520000 0.2733283 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-06-17 8798157.150000 USD 0.000000 USD 273400000.000000 USD -6321372.630000 N N N N/A N/A 000000000 1.000000 NC USD 1554350.700000 0.1715321 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-07-21 0.000000 USD -720305.070000 USD 101500000.000000 USD 2274655.770000 N N N N/A N/A 000000000 1.000000 NC USD -2367228.430000 -0.2612381 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-01-07 0.000000 USD -4097531.650000 USD 80200000.000000 USD 1730303.220000 N N N BANC OF AMERICA FUNDING CORP 2005-A N/A 05946XQX4 37350.960000 PA USD 40851.660000 0.0045082 Long ABS-MBS CORP US N 2 2035-02-20 Floating 3.18825 N N N N N N N/A N/A 000000000 1.000000 NC USD 4635269.280000 0.5115302 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-12-15 5180805.080000 USD 0.000000 USD 116100000.000000 USD -545535.800000 N N N N/A N/A 000000000 1.000000 NC USD -6645637.710000 -0.7333866 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 0.000000 USD -8913777.070000 USD 77000000.000000 USD 2268139.360000 N N N N/A N/A 000000000 1.000000 NC USD -2894682.000000 -0.3194458 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-15 0.000000 USD -4033645.560000 USD 82000000.000000 USD 1138963.560000 N N N N/A N/A 000000000 1.000000 NC USD -11313083.310000 -1.2484676 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-05-30 0.000000 USD -14084497.800000 USD 131100000.000000 USD 2771414.490000 N N N N/A N/A 000000000 1.000000 NC 56463.430000 0.0062311 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2031-09-15 0.000000 GBP -7364.330000 GBP 17600000.000000 GBP 63827.760000 N N N N/A N/A 000000000 1.000000 NC 383522.210000 0.0423240 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2051-09-15 458644.510000 GBP 0.000000 GBP 13800000.000000 GBP -75122.300000 N N N N/A N/A 000000000 1.000000 NC -518809.120000 -0.0572537 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 -353671.930000 BRL 370800000.000000 BRL -165137.190000 N N N N/A N/A 000000000 1.000000 NC -50711.180000 -0.0055963 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2023-01-03 0.000000 BRL 0.000000 BRL 68500000.000000 BRL -50711.180000 N N N N/A N/A 000000000 1.000000 NC 351743.680000 0.0388171 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 16759434.000000 CAD 13871777.560000 USD 2021-07-02 351743.680000 N N N N/A N/A 000000000 1.000000 NC -13914.900000 -0.0015356 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 520703.440000 USD 427000.000000 EUR 2021-08-17 -13914.900000 N N N N/A N/A 000000000 1.000000 NC 15095.190000 0.0016658 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 336929.400000 USD 25830372.000000 RUB 2021-07-22 15095.190000 N N N N/A N/A 000000000 1.000000 NC 8499.670000 0.0009380 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 188382.990000 USD 14446583.000000 RUB 2021-07-22 8499.670000 N N N N/A N/A 000000000 1.000000 NC -2251.710000 -0.0002485 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 249918.340000 USD 18333066.000000 RUB 2021-09-20 -2251.710000 N N N N/A N/A 000000000 -1000000.000000 NC USD -3617.500000 -0.0003992 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% SEP 30YR N/A 99.020000 USD 2021-09-07 XXXX 2632.500000 N N N BANC OF AMERICA FUNDING CORP 2007-A N/A 05952DAR9 2156748.870000 PA USD 2197900.930000 0.2425518 Long ABS-MBS CORP US N 2 2047-02-20 Floating 0.55338 N N N N N N N/A N/A 000000000 -600000.000000 NC USD -41.640000 -0.0000046 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% JUL 30YR N/A 104.050000 USD 2021-07-07 XXXX 989.610000 N N N N/A N/A 000000000 -500000.000000 NC USD -794.350000 -0.0000877 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUL 30YR N/A 101.230000 USD 2021-07-07 XXXX 1764.240000 N N N N/A N/A 000000000 -1000000.000000 NC USD -5455.000000 -0.0006020 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% SEP 30YR N/A 101.020000 USD 2021-09-07 XXXX -1080.000000 N N N N/A N/A 000000000 -2200000.000000 NC USD -1978.020000 -0.0002183 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUL 30YR N/A 101.420000 USD 2021-07-07 XXXX 7646.980000 N N N N/A N/A 000000000 1200000.000000 NC USD 161.640000 0.0000178 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.0% JUL 30YR N/A 99.660000 USD 2021-07-07 XXXX -6588.360000 N N N N/A N/A 000000000 -600000.000000 NC USD -19.620000 -0.0000022 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% JUL 30YR N/A 102.050000 USD 2021-07-07 XXXX 2042.880000 N N N N/A N/A 000000000 -700000.000000 NC USD -1646.820000 -0.0001817 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% SEP 30YR N/A 103.980000 USD 2021-09-07 XXXX 485.990000 N N N N/A N/A 000000000 -700000.000000 NC USD -1110.900000 -0.0001226 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% SEP 30YR N/A 103.700000 USD 2021-09-07 XXXX 1021.910000 N N N N/A N/A 000000000 1100000.000000 NC USD 4086.170000 0.0004509 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.5% AUG 30YR N/A 103.230000 USD 2021-08-05 XXXX -2187.270000 N N N N/A N/A 000000000 -2200000.000000 NC USD -3042.820000 -0.0003358 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% AUG 30YR N/A 102.230000 USD 2021-08-05 XXXX 3832.180000 N N N N/A N/A 000000000 -500000.000000 NC USD -1398.950000 -0.0001544 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% AUG 30YR N/A 101.370000 USD 2021-08-05 XXXX 261.210000 N N N N/A N/A 000000000 -17.000000 NC -21529.360000 -0.0023759 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2021-09-28 -3012412.350000 GBP -21529.360000 N N N N/A N/A 000000000 -11592000.000000 NC USD -60220.440000 -0.0066457 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 151542.220000 N N N N/A N/A 000000000 -11592000.000000 NC USD -62585.210000 -0.0069067 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 195452.710000 N N N N/A N/A 000000000 -8738000.000000 NC USD -44834.680000 -0.0049478 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 127959.270000 N N N N/A N/A 000000000 -8738000.000000 NC USD -37258.830000 -0.0041117 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 135535.120000 N N N N/A N/A 000000000 -10165000.000000 NC USD -42581.190000 -0.0046991 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2021-12-16 N/A 6.400000 USD 2021-12-16 XXXX 60898.510000 N N N N/A N/A 000000000 -10165000.000000 NC USD -12950.210000 -0.0014291 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Call Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2021-12-16 N/A 7.000000 USD 2021-12-16 XXXX 90529.490000 N N N N/A N/A 000000000 11179000.000000 NC USD 56889.930000 0.0062782 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 -10988.960000 N N N N/A N/A 000000000 -22358000.000000 NC USD -49522.970000 -0.0054652 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 18355.920000 N N N N/A N/A 000000000 -65.000000 NC USD -44537.730000 -0.0049150 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-09-21 -8606914.030000 USD -44537.730000 N N N N/A N/A 000000000 -2082.000000 NC USD 639848.560000 0.0706112 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-09-30 -458715021.880000 USD 639848.560000 N N N N/A N/A 000000000 -372.000000 NC USD -86038.760000 -0.0094949 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 09/30/21 2021-10-01 N/A USD N/A 123.500000 USD 2021-07-23 XXXX 7361.760000 N N N N/A N/A 000000000 -2528.000000 NC USD 1060812.340000 0.1170671 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-09-30 -311901874.370000 USD 1060812.340000 N N N N/A N/A 000000000 -107.000000 NC USD -521776.940000 -0.0575813 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-09-21 -17178515.630000 USD -521776.940000 N N N N/A N/A 000000000 -313.000000 NC USD -2885928.860000 -0.3184798 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-09-21 -60257390.630000 USD -2885928.860000 N N N BANK OF AMERICA MTG SEC 2005-3 N/A 05949A6C9 22515.610000 PA USD 21253.280000 0.0023454 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.47389 Y N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 760000.000000 PA USD 829195.860000 0.0915068 Long DBT CORP GB N 2 2022-11-21 Fixed 7.625 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI1CH093 2645000.000000 PA 4189358.550000 0.4623212 Long DBT CORP GB N 2 2025-06-15 Floating 7.125 N N N N Y BARCLAYS PLC GBP XXXX N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAZ8 156000.000000 PA USD 165781.080000 0.0182950 Long DBT CORP US N 2 2024-08-15 Fixed 3.222 N N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AE5 1485630.080000 PA USD 1409260.370000 0.1555205 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.4115 Y N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE7 N/A 07388HAP4 674468.910000 PA USD 652281.380000 0.0719832 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.4115 N N N N N N BLUEMOUNTAIN FUJI EUR CLO II DAC 17-2A N/A ACI1VBS38 2900000.000000 PA 3447610.190000 0.3804648 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 0.65 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DA0 600000.000000 PA USD 627161.970000 0.0692111 Long DBT CORP US N 2 2026-02-01 Fixed 2.75 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 105756CB4 1788000.000000 PA USD 1739831.280000 0.1920010 Long DBT NUSS BR N 2 2050-01-14 Fixed 4.75 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBH3 700000.000000 PA USD 688427.630000 0.0759722 Long DBT CORP US N 2 2031-02-15 Fixed 2.45 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBJ9 400000.000000 PA USD 409719.330000 0.0452150 Long DBT CORP US N 2 2041-02-15 Fixed 3.5 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBG5 200000.000000 PA USD 209111.030000 0.0230767 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 1500000.000000 PA 1774297.500000 0.1958045 Long ABS-CBDO CORP NL N 2 2031-04-30 Floating 0.6 N N N N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 750000.000000 PA 889312.600000 0.0981411 Long ABS-CBDO CORP NL N 2 2031-10-15 Floating 0.78 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -16900000.000000 PA -16363608.100000 -1.8058238 Short DBT NUSS CA N 2 2048-12-01 Fixed 2.75 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A N/A ACI1YDTG1 1400000.000000 PA 1660050.180000 0.1831966 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 0.7 N N N N N N CARRINGTON MTGE LOAN TRUST 2005-NC5 N/A 144531DP2 5477000.000000 PA USD 5388947.370000 0.5947032 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.8415 Y N N N N N CHENIERE CORPUS CHRISTI HOLDINGS LLC 549300I7CIEWU1BBLQ53 16412XAJ4 600000.000000 PA USD 655966.510000 0.0723899 Long DBT CORP US N 2 2029-11-15 Fixed 3.7 N N N N N N CHL MORTGAGE PASS-THROUGH TRUST 2006-12 N/A 125432AE4 1077081.020000 PA USD 817527.110000 0.0902191 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 1328021.150000 PA USD 838953.190000 0.0925836 Long ABS-MBS CORP US N 2 2037-12-25 Fixed 6.5 N N N N N N CITIGROUP MORTGAGE LOAN TR 2006-WF2 N/A 17309BAL1 1247333.830000 PA USD 884376.280000 0.0975963 Long ABS-MBS CORP US N 2 2036-05-25 Variable 7.25 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR1 N/A 17307G3C0 142320.360000 PA USD 142238.440000 0.0156969 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-WFH2 N/A 17309MAF0 10113000.000000 PA USD 9908275.460000 1.0934385 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.5115 N N N N N N CITY OF BUENOS AIRES 5299007MC8RF52X0ON96 ACI0SB547 6480000.000000 PA 40893.000000 0.0045128 Long DBT MUN AR N 2 2022-01-23 Floating 39.0916 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486D22 80000.000000 PA USD 91350.320000 0.0100811 Long DBT MUN US N 2 2042-01-01 Fixed 7.75 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA18 N/A 23244GAD4 4904129.860000 PA USD 4755024.210000 0.5247459 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.3315 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA4 N/A 02150DAA3 514927.910000 PA USD 489781.560000 0.0540504 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.2615 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA3 N/A 12668BB44 287657.300000 PA USD 256586.540000 0.0283159 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.4915 N N N N N N COUNTRYWIDE ASSET BACKED CERT 2007-QH2 N/A 12668JAA4 1061642.250000 PA USD 974531.320000 0.1075455 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.3315 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-11 N/A 126670DD7 10891000.000000 PA USD 10731654.870000 1.1843035 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.0515 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-10 N/A 12666PAE4 6706368.890000 PA USD 5851494.630000 0.6457481 Long ABS-MBS CORP US N 2 2046-09-25 Variable 6.367 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-5 N/A 126670YH5 44684.500000 PA USD 44656.060000 0.0049281 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.6715 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670LE6 9992.480000 PA USD 10036.250000 0.0011076 Long ABS-MBS CORP US N 2 2036-02-20 Floating 2.10925 Y N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AJ7 600000.000000 PA USD 654000.000000 0.0721729 Long DBT CORP CH N 2 2023-07-17 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AL2 500000.000000 PA USD 557732.500000 0.0615492 Long DBT CORP CH N 2 2026-08-21 Floating 6.375 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 ACI0S3RH2 200000.000000 PA USD 208848.000000 0.0230476 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 2007-6 N/A 12639PAA6 971004.780000 PA USD 834158.360000 0.0920545 Long ABS-MBS CORP US N 2 2037-10-25 Variable 6.4205 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2015-12R N/A 12651DAG3 4511999.990000 PA USD 4277571.810000 0.4720561 Long ABS-MBS CORP US N 2 2037-11-30 Floating 0.59163 N N N N N N CVC CORDATUS LOAN FUND VII DAC 7A N/A ACI1W2TC6 1200000.000000 PA 1417723.730000 0.1564544 Long ABS-CBDO CORP IE N 2 2031-09-15 Floating 0.63 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAH7 1300000.000000 PA USD 1321125.000000 0.1457942 Long DBT CORP US N 2 2024-02-15 Fixed 1.625 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-AR1 N/A 25151RAF1 355688.050000 PA USD 402509.620000 0.0444194 Long ABS-MBS CORP US N 2 2047-01-25 Floating 0.2515 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BS7 5912000.000000 PA USD 5974869.630000 0.6593632 Long DBT CORP DE N 2 2023-02-27 Floating 1.3685 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CD9 1867000.000000 PA USD 1989499.340000 0.2195534 Long DBT CORP DE N 2 2031-09-18 Floating 3.547 N N N N N N DSLA MORTGAGE LOAN TRUST 2004-AR1 N/A 23332UAC8 113630.730000 PA USD 111808.990000 0.0123388 Long ABS-MBS CORP US N 2 2044-09-19 Floating 0.91338 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HHA1 1591000.000000 NS USD 1596966.250000 0.1762349 Long EP CORP US N 2 N N N EXPEDIA GROUP INC N/A 30212PAS4 396000.000000 PA USD 460960.430000 0.0508698 Long DBT CORP US N 2 2025-05-01 Fixed 6.25 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 1478000.000000 PA 1928286.780000 0.2127982 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FAIRSTONE FINANCIAL INC 549300CWWT866A22GS52 30575FAA6 1002000.000000 PA USD 1048071.960000 0.1156611 Long DBT CORP CA N 2 2024-07-15 Fixed 7.875 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 18267.810000 PA USD 18390.870000 0.0020295 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.4415 N N N N N N FANNIE MAE 2007-65 N/A 31396WLX2 32632.170000 PA USD 32967.200000 0.0036381 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.4715 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 220035.780000 PA USD 224435.700000 0.0247678 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 0.8115 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 63592.370000 PA USD 64331.660000 0.0070994 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 0.4915 N N N N N N FANNIE MAE-ACES 2020-M33 N/A 3136BBAR3 2351000.000000 PA USD 332737.850000 0.0367196 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.35817 N N N N N N FHLMC PASS THRU POOLS N/A 31335HXT5 24723.360000 PA USD 27055.550000 0.0029857 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 82537.820000 PA USD 90969.640000 0.0100391 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 8223.840000 PA USD 9020.860000 0.0009955 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 12637.310000 PA USD 13988.240000 0.0015437 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 96393.120000 PA USD 103473.000000 0.0114189 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132WPND5 442579.350000 PA USD 474850.900000 0.0524027 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 41237.650000 PA USD 44200.000000 0.0048777 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132VP5V6 1026488.800000 PA USD 1097133.890000 0.1210754 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 6445.280000 PA USD 6867.870000 0.0007579 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR4 N/A 32051GTX3 365141.470000 PA USD 367704.840000 0.0405785 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.94167 Y N N N N N FNMA PASS THRU POOLS N/A 31371LA82 4142.760000 PA USD 4532.070000 0.0005001 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 53365.080000 PA USD 58380.040000 0.0064426 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 5761.450000 PA USD 6302.880000 0.0006956 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 1001.410000 PA USD 1075.110000 0.0001186 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 16246.700000 PA USD 17442.420000 0.0019249 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 31371MGA9 366.750000 PA USD 408.370000 0.0000451 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 1859.250000 PA USD 2037.300000 0.0002248 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371MLW5 24370.020000 PA USD 27139.200000 0.0029950 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 11824.230000 PA USD 12946.240000 0.0014287 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371MQE0 9699.380000 PA USD 10802.440000 0.0011921 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 31371MR90 81903.220000 PA USD 89684.470000 0.0098972 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371M7L5 4720.380000 PA USD 5170.810000 0.0005706 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371NDS1 48748.100000 PA USD 53413.220000 0.0058945 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371NJ63 44131.380000 PA USD 49488.210000 0.0054613 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371NMK8 10561.770000 PA USD 11844.090000 0.0013071 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 2756.620000 PA USD 3021.990000 0.0003335 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371NSV8 36757.200000 PA USD 40290.990000 0.0044464 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 963.120000 PA USD 1055.730000 0.0001165 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 3914.760000 PA USD 4212.250000 0.0004648 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 31371N2D6 15877.340000 PA USD 17807.750000 0.0019652 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 8053.710000 PA USD 8987.080000 0.0009918 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 31374CPF7 5946.730000 PA USD 6514.750000 0.0007189 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31376KQZ2 1048.990000 PA USD 1148.710000 0.0001268 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 5020.200000 PA USD 5497.170000 0.0006066 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31388USF8 4460.490000 PA USD 4997.700000 0.0005515 Long ABS-MBS USGSE US N 2 2021-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31402KET7 7715.330000 PA USD 8440.370000 0.0009314 Long ABS-MBS USGSE US N 2 2023-10-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31403QZD5 2242.990000 PA USD 2453.770000 0.0002708 Long ABS-MBS USGSE US N 2 2023-07-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31404BND0 60760.240000 PA USD 70305.870000 0.0077587 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 31407FD64 5630.380000 PA USD 6519.630000 0.0007195 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 31410FYY5 6471.530000 PA USD 7085.950000 0.0007820 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31412NX35 42791.210000 PA USD 47189.510000 0.0052076 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31416WHF2 179068.030000 PA USD 194525.640000 0.0214671 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 31418MJM5 1651.500000 PA USD 1807.350000 0.0001995 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138EG6F6 119081.220000 PA USD 128141.570000 0.0141412 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 3138L0MH1 299532.930000 PA USD 303320.590000 0.0334733 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 2.31 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 4900000.000000 PA USD 49107800.000000 5.4193448 Long STIV RF US N 1 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 19022517.960000 PA USD 187581049.560000 20.7007110 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 31417YAY3 29188.840000 PA USD 31417.670000 0.0034671 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 7705.200000 PA USD 8292.440000 0.0009151 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 4203.690000 PA USD 4651.640000 0.0005133 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31417YM95 18262.140000 PA USD 19833.090000 0.0021887 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 4.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZC0 200000.000000 PA USD 199314.010000 0.0219955 Long DBT CORP US N 2 2023-02-15 Floating 1.39088 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YP2 856000.000000 PA USD 852955.420000 0.0941288 Long DBT CORP US N 2 2022-08-03 Floating 1.25563 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI10JHM5 2489000.000000 PA 2937874.000000 0.3242123 Long DBT CORP US N 2 2022-12-07 Floating 0.000001 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 185167.390000 PA USD 189898.790000 0.0209565 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 0.77288 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 98597.380000 PA USD 100636.410000 0.0111058 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 0.79288 N N N N N N FREDDIE MAC 3368 N/A 31397KL82 110219.630000 PA USD 112274.650000 0.0123902 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 0.79288 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 29560.310000 PA USD 30134.460000 0.0033255 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 0.78288 N N N N N N FREDDIE MAC-3891 N/A 3137ADTZ0 160798.840000 PA USD 163355.280000 0.0180272 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 0.62288 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAA0 1730611.060000 PA USD 1592687.070000 0.1757627 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.2265 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAA3 2500715.490000 PA USD 1671901.850000 0.1845045 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.2315 N N N N N N GLG EURO CLO III DAC A N/A ACI1VVSK6 600000.000000 PA 712617.070000 0.0786416 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 0.68 N N N N N N GNMA PASS THRU POOLS N/A 21H050672 10000000.000000 PA USD 10775000.000000 1.1890869 Long ABS-MBS USGSE US N 2 2051-07-21 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36200MTF0 26964.410000 PA USD 31175.700000 0.0034404 Long ABS-MBS USGSE US N 2 2033-08-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295P6T4 973.280000 PA USD 1112.050000 0.0001227 Long ABS-MBS USGSE US N 2 2038-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295WJ73 10739.430000 PA USD 12410.100000 0.0013695 Long ABS-MBS USGSE US N 2 2038-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296DK23 9915.780000 PA USD 11371.560000 0.0012549 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296GRH6 81936.730000 PA USD 92524.380000 0.0102106 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 46255.970000 PA USD 53356.860000 0.0058883 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QH51 46339.330000 PA USD 53180.750000 0.0058688 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 229381.280000 PA USD 265830.100000 0.0293360 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 16935.650000 PA USD 19624.770000 0.0021657 Long ABS-MBS USGSE US N 2 2039-01-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QZF9 793715.170000 PA USD 903512.940000 0.0997082 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296UE30 6227.510000 PA USD 7203.400000 0.0007949 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 55456.540000 PA USD 64050.300000 0.0070683 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296XU77 30975.380000 PA USD 35593.980000 0.0039280 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296YP30 37402.820000 PA USD 42218.090000 0.0046590 Long ABS-MBS USGSE US N 2 2039-08-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36297HN87 3589.200000 PA USD 4053.740000 0.0004474 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 39268.960000 PA USD 45478.080000 0.0050188 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620AC3Y8 15672.790000 PA USD 18160.600000 0.0020041 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 16966.200000 PA USD 19595.810000 0.0021625 Long ABS-MBS USGSE US N 2 2039-10-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620C0WE4 5238.620000 PA USD 5916.530000 0.0006529 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 130521.800000 PA USD 147342.740000 0.0162602 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 40535.660000 PA USD 45768.050000 0.0050508 Long ABS-MBS USGSE US N 2 2040-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176ARS0 36337.790000 PA USD 41018.510000 0.0045266 Long ABS-MBS USGSE US N 2 2041-11-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241KUL0 27627.950000 PA USD 31867.920000 0.0035168 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 89799.250000 PA USD 103008.350000 0.0113676 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 1039966.770000 PA USD 1201127.610000 0.1325517 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 12558.050000 PA USD 14504.020000 0.0016006 Long ABS-MBS USGSE US N 2 2040-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241LVF0 22841.510000 PA USD 26381.510000 0.0029114 Long ABS-MBS USGSE US N 2 2040-12-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36184BZ67 57107.610000 PA USD 62345.700000 0.0068802 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 BJBQCWII7 449450.000000 NS 718791.280000 0.0793230 Long EP CORP NL N 2 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19 N/A 38380VEU1 890086.730000 PA USD 884684.530000 0.0976303 Long ABS-MBS USGSE US N 2 2047-08-20 Floating 0.43588 N N N N N N GSAA HOME EQUITY TRUST 2006-7 N/A 362334NB6 5448827.150000 PA USD 3154017.630000 0.3480651 Long ABS-MBS CORP US N 2 2046-03-25 Fixed 5.99494 Y N N N N N GSAA HOME EQUITY TRUST 2007-4 N/A 3622EBAB4 5399511.050000 PA USD 2228489.440000 0.2459274 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.2915 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAA6 4991502.030000 PA USD 3289795.660000 0.3630490 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.2215 N N N N N N GSPA MONETIZATION TRUST N/A 36298GAA7 710601.160000 PA USD 771726.740000 0.0851647 Long DBT CORP US N 2 2029-10-09 Fixed 6.422 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RT8 33085.800000 PA USD 33477.410000 0.0036944 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.79338 N N N N N N GSRPM MORTGAGE LOAN TRUST 2006-1 N/A 362334NW0 3189000.000000 PA USD 3204568.060000 0.3536436 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.9915 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-9 N/A 41161PSK0 462601.960000 PA USD 454770.160000 0.0501867 Long ABS-MBS CORP US N 2 2035-06-20 Floating 0.77338 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A 41161PYZ0 2037277.950000 PA USD 1497569.810000 0.1652659 Long ABS-MBS CORP US N 2 2036-01-19 Floating 0.59338 Y N N N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 1100000.000000 PA 1303379.510000 0.1438359 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.64 N N N N N N HOMEBANC MORTGAGE TRUST 2005-1 N/A 43739EAQ0 743051.890000 PA USD 684505.200000 0.0755393 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.7115 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BL2 200000.000000 PA USD 222500.000000 0.0245542 Long DBT CORP GB N 2 2027-05-22 Floating 6 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BP3 400000.000000 PA USD 459502.000000 0.0507088 Long DBT CORP GB N 2 2028-03-23 Floating 6.5 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N IMPAC CMB TR 2004-10 N/A 45254NLJ4 537427.550000 PA USD 527723.600000 0.0582375 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.7315 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR10 N/A 45660LKW8 130932.110000 PA USD 120353.240000 0.0132817 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.6115 N N N N N N INEOS FINANCE PLC 2138002D68XDR4LZCG32 ACI0YJHL2 3890000.000000 PA 4624228.570000 0.5103118 Long DBT CORP GB N 2 2025-11-15 Fixed 2.125 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 ACI0RSP49 700000.000000 PA 1018302.170000 0.1123758 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 500000.000000 PA 590619.540000 0.0651785 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 0.65 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 BJGTFKII9 3900000.000000 PA 1214028.500000 0.1339754 Long DBT NUSS IL N 2 2022-07-31 Fixed 0.75 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1VWZN0 7300000.000000 PA 2239160.770000 0.2471050 Long DBT NUSS IL N 2 2021-11-30 Floating 0.000001 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1VNWB9 4400000.000000 PA 1349563.670000 0.1489326 Long DBT MUN IL N 2 2022-02-02 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1WZJ67 32700000.000000 PA 10029210.310000 1.1067844 Long DBT MUN IL N 2 2022-04-06 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1VRHK7 14400000.000000 PA 4417416.380000 0.4874888 Long DBT NUSS IL N 2 2021-11-30 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513YJJ8 778000.000000 PA USD 938066.500000 0.1035214 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 734011.760000 PA USD 474868.910000 0.0524047 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.4915 Y N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 12247.020000 PA USD 8363.670000 0.0009230 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 Y N N N N N JP MORGAN MORTGAGE TRUST-2005-A6 N/A 466247UG6 103954.110000 PA USD 98093.770000 0.0108252 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.21414 Y N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAL0 78000.000000 PA USD 95915.220000 0.0105848 Long DBT CORP US N 2 2035-07-15 Fixed 5 N N N N N N LEHMAN MORTGAGE TRUST 2006-7 N/A 52520QAB0 1268643.600000 PA USD 746126.850000 0.0823396 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.7415 Y N N N N N LEHMAN XS TRUST 2006 GP4 N/A 525161AN5 2161773.660000 PA USD 2157832.530000 0.2381300 Long ABS-MBS CORP US N 2 2046-08-25 Floating 0.3165 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AU3 1945000.000000 PA USD 2280512.500000 0.2516684 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 332000.000000 PA 503755.160000 0.0555924 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 LONG BEACH MORTGAGE LOAN TRUST 2006-11 N/A 542512AA6 1631919.810000 PA USD 1277047.590000 0.1409300 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.2515 N N N N N N MASTR SPECIALIZED LOAN TRUST 2005-3 N/A 576436CP2 2861838.790000 PA USD 2860209.260000 0.3156415 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.8415 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 126280.140000 PA USD 117569.700000 0.0129745 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.15907 Y N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A 617526AB4 1607142.030000 PA USD 1173548.610000 0.1295082 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.1715 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAC0 3680020.700000 PA USD 2018276.440000 0.2227291 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.2715 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-3AR N/A 61745M4P5 309126.680000 PA USD 299138.670000 0.0330118 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.79292 Y N N N N N MORGAN STANLEY MTGE LN TR 2006-7 N/A 61749JAT3 3253382.670000 PA USD 1364669.430000 0.1505996 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.315 Y N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBQ2 800000.000000 PA USD 808162.500000 0.0891857 Long DBT CORP US N 2 2030-08-15 Fixed 2.65 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2005-1 N/A 64352VKC4 1046851.890000 PA USD 1030114.720000 0.1136794 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.8715 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AZ2 933000.000000 PA USD 948603.040000 0.1046841 Long DBT CORP US N 2 2022-07-13 Fixed 2.65 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BD0 389000.000000 PA USD 397194.250000 0.0438328 Long DBT CORP US N 2 2022-09-28 Fixed 2.6 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BE8 311000.000000 PA USD 311421.310000 0.0343672 Long DBT CORP US N 2 2022-09-28 Floating 0.836 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AA9 700000.000000 PA USD 730396.490000 0.0806037 Long DBT CORP JP N 2 2023-09-15 Fixed 3.043 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AB7 933000.000000 PA USD 996939.260000 0.1100183 Long DBT CORP JP N 2 2025-09-17 Fixed 3.522 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 1789000.000000 PA USD 1968099.780000 0.2171918 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 800000.000000 PA USD 904025.510000 0.0997647 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-1 N/A 68400DAE4 1907823.090000 PA USD 1334003.710000 0.1472154 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.2315 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-4 N/A 68403FAA4 1351781.560000 PA USD 1085089.790000 0.1197463 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.3115 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-5 N/A 68403HAA0 1788418.830000 PA USD 1328663.380000 0.1466261 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.3115 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-CP1 N/A 68402YAA4 2083706.870000 PA USD 1949523.650000 0.2151418 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.2315 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JW8 400000.000000 PA USD 402412.770000 0.0444087 Long DBT CORP US N 2 2028-06-15 Fixed 3 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JM0 700000.000000 PA USD 749353.350000 0.0826957 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 3700000.000000 PA USD 3707790.460000 0.4091773 Long DBT CORP US N 2 2021-11-15 Floating 1.53088 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAF2 2100000.000000 PA USD 2229146.910000 0.2459999 Long DBT CORP IE N 2 2023-07-03 Fixed 4.125 N N N N N N PASADENA PUBLIC FINANCING AUTHORITY N/A 702274AW1 2255000.000000 PA USD 3615997.130000 0.3990473 Long DBT MUN US N 2 2043-03-01 Fixed 7.148 N N N N N N PERRIGO FINANCE UNLIMITED CO (AKA: PERRIGO FINANCE PLC) 549300E86RB6YCTMRM83 71429MAC9 700000.000000 PA USD 715822.250000 0.0789953 Long DBT CORP IE N 2 2030-06-15 Fixed 3.15 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NBE8 907000.000000 PA USD 991133.320000 0.1093776 Long DBT CORP NL N 2 2030-01-15 Fixed 5.093 N N N N N N PRIME MORTGAGE TRUST 2006-1 N/A 74161BAH8 275286.560000 PA USD 271001.040000 0.0299066 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 8899000.000000 PA 51879.180000 0.0057252 Long DBT NUSS AR N 2 2022-05-31 Floating 37.913 N N N N N N PUBLIC POWER GENERATION AGENCY N/A 744434CW9 70000.000000 PA USD 100759.630000 0.0111194 Long DBT MUN US N 2 2041-01-01 Fixed 7.242 N N N N N N AKER BP ASA 549300NFTY73920OYK69 00973RAG8 300000.000000 PA USD 316272.700000 0.0349026 Long DBT CORP NO N 2 2026-01-15 Fixed 2.875 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAF3 4832649.750000 PA USD 2549158.470000 0.2813152 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.586 N N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QA13 N/A 761118PE2 1653644.060000 PA USD 1544312.390000 0.1704243 Long ABS-MBS CORP US N 2 2035-12-25 Variable 3.98268 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QS10 N/A 761118CX4 1973059.910000 PA USD 1419645.210000 0.1566665 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.5915 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA8 N/A 74922QAB8 1499943.320000 PA USD 1462643.030000 0.1614116 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.4515 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QA10 N/A 761118GE2 128025.310000 PA USD 110964.390000 0.0122456 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.30088 Y N N N N N RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2004-RS10 N/A 76112BED8 4594057.330000 PA USD 4442223.280000 0.4902264 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.3415 N N N N N N RESIDENTIAL ASSET SEC TRUST 2007-A1 N/A 761136AA8 2979973.390000 PA USD 1677579.000000 0.1851311 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 6057098.000000 PA USD 5891085.660000 0.6501172 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.7515 N N N N N N RESIMAC BASTILLE TRUST SERIES 2018-1NC N/A 76118VAA8 510525.290000 PA USD 511152.320000 0.0564088 Long ABS-MBS CORP AU N 2 2059-12-05 Floating 0.9525 N N N N N N RIO OIL FINANCE TRUST SERIES 2018-1 N/A 76716XAC6 1269120.000000 PA USD 1469640.960000 0.1621838 Long DBT CORP US N 2 2028-04-06 Fixed 8.2 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 80413TAW9 2000000.000000 PA USD 2001430.000000 0.2208700 Long DBT NUSS SA N 2 2061-02-02 Fixed 3.45 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 ACI1C5ZK6 4123000.000000 PA 4972618.200000 0.5487587 Long DBT CORP DE N 2 2025-05-15 Fixed 3.625 N N Y N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 1158612.470000 PA USD 672721.100000 0.0742389 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.5715 N N N N N N SEQUOIA MORTGAGE TRUST 2004-6 N/A 81744FCH8 682716.280000 PA USD 686273.160000 0.0757344 Long ABS-MBS CORP US N 2 2034-07-20 Floating 0.65338 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20L N/A 83162CSE4 7418.240000 PA USD 8323.170000 0.0009185 Long ABS-O CORP US N 2 2028-12-01 Fixed 6.22 N N N N N N SOUND POINT CLO XIV LTD 2016-3A N/A 83609NAN0 3249093.080000 PA USD 3253150.870000 0.3590050 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 1.16288 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAA0 3084145.740000 PA USD 2554946.420000 0.2819539 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.2915 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAD3 3885596.170000 PA USD 3338116.450000 0.3683815 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.3915 N N N N N N SOUNDVIEW HOME EQUITY LOAN TRUST 2007-OPT3 N/A 83612KAA9 3134478.570000 PA USD 2911744.720000 0.3213288 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.2615 N N N N N N SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3 N/A 84751XAC6 1235069.450000 PA USD 953015.400000 0.1051711 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.2415 N N N N N N SPRINT CORP (SPRINT COMMUNICATIONS INC) 549300JKU50UT08ZWD77 852061AS9 700000.000000 PA USD 742000.000000 0.0818842 Long DBT CORP US N 2 2022-11-15 Fixed 6 N N N N N N ST PAULS CLO 4A N/A BF2T19II2 400000.000000 PA 474972.280000 0.0524161 Long ABS-CBDO CORP IE N 2 2030-04-25 Floating 0.85 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BZ2 1900000.000000 PA USD 1884879.170000 0.2080079 Long DBT CORP GB N 2 2027-01-14 Floating 1.456 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-11 N/A 86364YAA2 1986885.750000 PA USD 1996577.380000 0.2203345 Long ABS-MBS CORP US N 2 2037-12-25 Floating 2.3915 Y N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACC7 300000.000000 PA USD 302625.000000 0.0333965 Long DBT CORP US N 2 2026-02-15 Fixed 2.25 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACD5 400000.000000 PA USD 413769.440000 0.0456620 Long DBT CORP US N 2 2029-04-15 Fixed 3.375 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACE3 500000.000000 PA USD 517900.000000 0.0571534 Long DBT CORP US N 2 2031-04-15 Fixed 3.5 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2007-3 N/A 026935AH9 559527.280000 PA USD 543219.130000 0.0599475 Long ABS-MBS CORP US N 2 2046-11-25 Variable 6.75 N N N N N N TAURUS 2021-1 UK DAC 21-UK1A N/A ACI1W1MF8 600000.000000 PA 832540.390000 0.0918759 Long ABS-MBS CORP IE N 2 2031-05-17 Floating 0.89916 N N N N N N TEXAS PUBLIC FINANCE AUTHORITY N/A 8827562Q1 935000.000000 PA USD 943779.280000 0.1041518 Long DBT MUN US N 2 2024-07-01 Fixed 8.25 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AD0 400000.000000 PA USD 409680.000000 0.0452107 Long DBT CORP CH N 2 2031-02-10 Floating 4.375 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 ACI0BSNR7 200000.000000 PA 244857.400000 0.0270215 Long DBT CORP CH N 2 2022-02-19 Floating 5.75 N N N N N N UMBS PASS THRU POOLS N/A 01F030488 500000.000000 PA USD 525358.330000 0.0579765 Long ABS-MBS USGSE US N 2 2036-08-17 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F040479 2000000.000000 PA USD 2125703.140000 0.2345843 Long ABS-MBS USGSE US N 2 2036-07-19 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F050676 2000000.000000 PA USD 2192187.500000 0.2419212 Long ABS-MBS USGSE US N 2 2051-07-14 Fixed 5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AJ8 4123000.000000 PA USD 4250742.130000 0.4690953 Long DBT CORP IT N 2 2022-01-14 Fixed 6.572 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796J91 2100000.000000 PA USD 2099900.250000 0.2317368 Long DBT UST US N 2 2021-08-10 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796K24 2400000.000000 PA USD 2399870.760000 0.2648404 Long DBT UST US N 2 2021-08-17 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796K32 8700000.000000 PA USD 8699478.000000 0.9600404 Long DBT UST US N 2 2021-08-24 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 1174362.010000 PA USD 1404857.140000 0.1550345 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 1030995.000000 PA USD 1424846.380000 0.1572405 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 1247147.000000 PA USD 1540686.980000 0.1700242 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 5872725.240000 PA USD 7688344.900000 0.8484557 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 1167184.100000 PA USD 1574514.570000 0.1737573 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SM1 1869210.000000 PA USD 2120110.210000 0.2339671 Long DBT UST US N 2 2050-02-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SV1 3178957.000000 PA USD 3489672.230000 0.3851066 Long DBT UST US N 2 2051-02-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286B1 273863500.000000 PA USD 300361932.500000 33.1467682 Long DBT UST US N 2 2029-02-15 Fixed 2.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QE1 6301000.000000 PA USD 9046857.660000 0.9983758 Long DBT UST US N 2 2040-02-15 Fixed 4.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 31349600.000000 PA USD 37542370.520000 4.1430292 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828RC6 300000.000000 PA USD 300777.400000 0.0331926 Long DBT UST US N 2 2021-08-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 622300.000000 PA USD 743210.950000 0.0820179 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810ST6 7900000.000000 PA USD 7099507.850000 0.7834739 Long DBT UST US N 2 2040-11-15 Fixed 1.375 N N N N N N VENTURE XXVII CLO LTD 2017-27A N/A 92331LBC3 2000000.000000 PA USD 1998502.360000 0.2205469 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 1.23825 N N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAP5 723674.300000 PA USD 725554.260000 0.0800693 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.14303 Y N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAE4 1307081.970000 PA USD 1276042.830000 0.1408191 Long ABS-MBS CORP US N 2 2037-06-25 Floating 2.70489 Y N N N N N WASHING MUTUAL MTGE P/T 2006-7 N/A 93935HAH0 2499730.940000 PA USD 1060739.830000 0.1170591 Long ABS-MBS CORP US N 2 2036-09-25 Variable 6.422 Y N N N N N WASHINGTON MUTUAL 2005-AR15 N/A 92922F5Y0 2687986.430000 PA USD 2668076.250000 0.2944385 Long ABS-MBS CORP US N 2 2045-11-25 Floating 1.2515 N N N N N N WASHINGTON MUTUAL 2005-AR17 N/A 92922F7Q5 399171.280000 PA USD 380663.620000 0.0420085 Long ABS-MBS CORP US N 2 2045-12-25 Floating 0.6715 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 2573529.240000 PA USD 2512578.800000 0.2772784 Long ABS-MBS CORP US N 2 2046-10-25 Floating 1.843 N N N N N N WASHINGTON MUTUAL 2006-AR15 N/A 93363QAC2 1791676.960000 PA USD 1762383.760000 0.1944898 Long ABS-MBS CORP US N 2 2046-11-25 Floating 1.843 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAJ2 124096.750000 PA USD 120025.320000 0.0132455 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.10317 Y N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AE0 226239.050000 PA USD 205273.790000 0.0226532 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.62062 Y N N N N N WASHINGTON MUTURAL ASSET-BACKED CERTIFICATES WMABS SERIES TRUST 2007-HE1 N/A 93935KAB6 2775288.440000 PA USD 1125632.850000 0.1242204 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.1515 N N N N N N WASHINGTON STATE CONVENTION CENTER PUBLIC FACILITIES DISTRICT N/A 93976AAH5 1865000.000000 PA USD 2444395.070000 0.2697539 Long DBT MUN US N 2 2040-07-01 Fixed 6.79 N N N N N N AQUEDUCT EUROPEAN CLO 1-2017 DAC N/A ACI1VHTC4 2600000.000000 PA 3087944.350000 0.3407735 Long ABS-CBDO CORP IE N 2 2030-07-20 Floating 0.64 N N N N N N WPC EUROBOND BV 5493005XDMOLBARL5M14 ACI15F7Y3 4278000.000000 PA 5509423.710000 0.6079985 Long DBT CORP NL N 2 2026-04-09 Fixed 2.25 N N N N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAM1 2222547.310000 PA USD 2020592.880000 0.2229847 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.3915 N N N N N N N/A N/A 000000000 1.000000 NC USD -47664.580000 -0.0052601 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -326157.400000 USD 1506046.680000 USD 278492.820000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1WK7Q9 14371000.000000 PA 82646.210000 0.0091205 Long DBT NUSS AR N 2 2021-07-30 None 0 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1TTRK5 67241766.540000 PA 397298.630000 0.0438443 Long DBT NUSS AR N 2 2021-09-13 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 4983.820000 0.0005500 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 243932.750000 USD 18341840.000000 RUB 2021-08-20 4983.820000 N N N N/A N/A 000000000 1.000000 NC -3406.920000 -0.0003760 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 241665.120000 USD 17636624.000000 RUB 2021-09-20 -3406.920000 N N N N/A N/A 000000000 1.000000 NC -3534.520000 -0.0003901 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 241394.100000 USD 17607117.000000 RUB 2021-09-20 -3534.520000 N N N N/A N/A 000000000 1.000000 NC 347401.210000 0.0383378 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 19605000.000000 CAD 16162986.880000 USD 2021-07-02 347401.210000 N N N N/A N/A 000000000 1.000000 NC 806616.170000 0.0890150 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 28941998.000000 EUR 35156669.820000 USD 2021-08-17 806616.170000 N N N N/A N/A 000000000 1.000000 NC 13964.420000 0.0015411 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1695000.000000 EUR 2025689.420000 USD 2021-08-17 13964.420000 N N N N/A N/A 000000000 1.000000 NC 2278.700000 0.0002515 N/A DFE MX N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 8908000.000000 MXN 448490.010000 USD 2021-07-14 2278.700000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1T4 1531000.000000 PA USD 520540.000000 0.0574448 Long DBT NUSS AR N 2 2030-07-09 Variable 0.125 N N N N N N N/A N/A 000000000 1.000000 NC -13446.660000 -0.0014839 N/A DFE N/A N 2 BNP Paribas S.A. N/A 487003.160000 USD 399000.000000 EUR 2021-08-17 -13446.660000 N N N N/A N/A 000000000 1.000000 NC 5632.850000 0.0006216 N/A DFE RU N 2 BNP Paribas S.A. N/A 339721.130000 USD 25340905.000000 RUB 2021-07-22 5632.850000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1M9 1103000.000000 PA USD 333668.530000 0.0368224 Long DBT NUSS AR N 2 2035-07-09 Variable 0.125 N N N N N N N/A N/A 000000000 1.000000 NC 17591.990000 0.0019414 N/A DFE GB N 2 BNP Paribas S.A. N/A 505000.000000 GBP 716158.480000 USD 2021-07-02 17591.990000 N N N N/A N/A 000000000 1.000000 NC 17909.590000 0.0019764 N/A DFE JP N 2 BNP Paribas S.A. N/A 126226542.000000 JPY 1154113.220000 USD 2021-07-02 17909.590000 N N N N/A N/A 000000000 1.000000 NC 111.200000 0.0000123 N/A DFE JP N 2 BNP Paribas S.A. N/A 13226542.000000 JPY 119198.650000 USD 2021-08-03 111.200000 N N N N/A N/A 000000000 1.000000 NC -31963.330000 -0.0035273 N/A DFE MX N 2 BNP Paribas S.A. N/A 10410000.000000 MXN 488090.770000 USD 2021-08-05 -31963.330000 N N N N/A N/A 000000000 1.000000 NC 995.460000 0.0001099 N/A DFE ZA N 2 BNP Paribas S.A. N/A 7167000.000000 ZAR 498180.610000 USD 2021-09-15 995.460000 N N N N/A N/A 000000000 1.000000 NC USD -41489.990000 -0.0045787 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.34 Y Single Leg Swap 2025-12-21 0.000000 USD -43970.000000 USD 1200000.000000 USD 2480.010000 N N N N/A N/A 000000000 1.000000 NC USD -25922.620000 -0.0028607 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.35 Y Single Leg Swap 2026-06-21 0.000000 USD -36090.000000 USD 1000000.000000 USD 10167.380000 N N N N/A N/A 000000000 -300000.000000 NC USD -62.270000 -0.0000069 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 1802.230000 N N N N/A N/A 000000000 -500000.000000 NC USD -1394.020000 -0.0001538 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 101.000000 USD 2021-10-20 XXXX 855.980000 N N N N/A N/A 000000000 -400000.000000 NC USD -1115.220000 -0.0001231 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 HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 101.000000 USD 2021-10-20 XXXX 684.780000 N N N N/A N/A 000000000 -300000.000000 NC USD -67.510000 -0.0000075 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 HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 98.000000 USD 2021-07-21 XXXX 652.490000 N N N N/A N/A 000000000 -700000.000000 NC USD -2987.220000 -0.0003297 N/A DCR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Put Written CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 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 104.000000 USD 2021-10-20 XXXX 1142.780000 N N N N/A N/A 000000000 1.000000 NC USD -38336.590000 -0.0042307 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.35 Y Single Leg Swap 2025-12-21 0.000000 USD -36699.810000 USD 1500000.000000 USD -1636.780000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HS2 150000.000000 PA USD 54150.000000 0.0059758 Long DBT NUSS AR N 2 2030-07-09 Variable 0.125 N N N N N N N/A N/A 000000000 -800000.000000 NC USD -550.300000 -0.0000607 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 IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.480000 USD 2021-08-18 XXXX 97.700000 N N N N/A N/A 000000000 -1400000.000000 NC USD -220.250000 -0.0000243 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 IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2021-08-18 XXXX 1291.750000 N N N N/A N/A 000000000 -1500000.000000 NC USD -235.980000 -0.0000260 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 0.800000 USD 2021-08-18 XXXX 1174.020000 N N N N/A N/A 000000000 -1600000.000000 NC USD -302.130000 -0.0000333 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 IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.750000 USD 2021-08-18 XXXX 1257.870000 N N N N/A N/A 000000000 -800000.000000 NC USD -125.860000 -0.0000139 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 0.800000 USD 2021-08-18 XXXX 650.140000 N N N N/A N/A 000000000 -1500000.000000 NC USD -510.680000 -0.0000564 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2021-09-15 XXXX 1349.320000 N N N N/A N/A 000000000 -2300000.000000 NC USD -1666.100000 -0.0001839 N/A DCR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Call Written Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.480000 USD 2021-08-18 XXXX 173.900000 N N N N/A N/A 000000000 -1100000.000000 NC USD -207.710000 -0.0000229 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 0.750000 USD 2021-08-18 XXXX 903.290000 N N N N/A N/A 000000000 -2200000.000000 NC USD -1247.510000 -0.0001377 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 2021-10-20 XXXX 1073.490000 N N N N/A N/A 000000000 -1700000.000000 NC USD -1115.730000 -0.0001231 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 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 0.800000 USD 2021-10-20 XXXX 958.270000 N N N N/A N/A 000000000 -2600000.000000 NC USD -648.410000 -0.0000716 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 0.900000 USD 2021-09-15 XXXX 2094.590000 N N N N/A N/A 000000000 -1500000.000000 NC USD -202.320000 -0.0000223 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 2021-08-18 XXXX 1297.680000 N N N N/A N/A 000000000 -2300000.000000 NC USD -783.040000 -0.0000864 N/A DCR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Written Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2021-09-15 XXXX 1976.960000 N N N N/A N/A 000000000 -1500000.000000 NC USD -87.410000 -0.0000096 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 0.750000 USD 2021-07-21 XXXX 1375.090000 N N N N/A N/A 000000000 -1500000.000000 NC USD -64.100000 -0.0000071 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 1870.900000 N N N N/A N/A 000000000 -800000.000000 NC USD -34.180000 -0.0000038 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 997.820000 N N N N/A N/A 000000000 -1600000.000000 NC USD -349.150000 -0.0000385 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 IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.950000 USD 2021-09-15 XXXX 1186.850000 N N N N/A N/A 000000000 -1500000.000000 NC USD -235.980000 -0.0000260 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 0.800000 USD 2021-08-18 XXXX 1271.520000 N N N N/A N/A 000000000 -5000000.000000 NC USD -1246.950000 -0.0001376 N/A DCR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Written Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX 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 2021-09-15 XXXX 3865.050000 N N N N/A N/A 000000000 -1500000.000000 NC USD -1086.590000 -0.0001199 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 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 0.480000 USD 2021-08-18 XXXX 38.410000 N N N N/A N/A 000000000 1.000000 NC USD -597603.020000 -0.0659491 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.36 Y Single Leg Swap 2026-06-21 0.000000 USD -596070.950000 USD 23200000.000000 USD -1532.070000 N N N N/A N/A 000000000 1.000000 NC -106577.720000 -0.0117615 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 13492697.440000 USD 16593434.000000 CAD 2021-07-02 -106577.720000 N N N N/A N/A 000000000 1.000000 NC 21196.770000 0.0023392 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3958880.610000 USD 80777000.000000 MXN 2021-11-17 21196.770000 N N N N/A N/A 000000000 1.000000 NC 32241.750000 0.0035581 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1201500.510000 USD 24784432.310000 MXN 2021-09-03 32241.750000 N N N N/A N/A 000000000 1.000000 NC 4529.460000 0.0004999 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 85984.900000 USD 6641637.000000 RUB 2021-07-22 4529.460000 N N N N/A N/A 000000000 1.000000 NC 4433.890000 0.0004893 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 222491.780000 USD 16721403.000000 RUB 2021-08-20 4433.890000 N N N N/A N/A 000000000 1.000000 NC -85554.820000 -0.0094415 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1829444.000000 USD 25141683.000000 ZAR 2021-09-16 -85554.820000 N N N N/A N/A 000000000 1.000000 NC -95693.450000 -0.0105604 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1829439.000000 USD 24995442.110000 ZAR 2021-09-16 -95693.450000 N N N N/A N/A 000000000 1.000000 NC -22597.800000 -0.0024938 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 455498.000000 USD 6240322.600000 ZAR 2021-09-15 -22597.800000 N N N N/A N/A 000000000 1.000000 NC -32533.640000 -0.0035903 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1021423.590000 USD 14255000.000000 ZAR 2021-09-15 -32533.640000 N N N N/A N/A 000000000 1.000000 NC 106652.170000 0.0117697 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16593434.000000 CAD 13492555.910000 USD 2021-08-03 106652.170000 N N N N/A N/A 000000000 1.000000 NC 5414.230000 0.0005975 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4401320.000000 ILS 1359859.110000 USD 2022-02-02 5414.230000 N N N N/A N/A 000000000 1.000000 NC 2713.410000 0.0002994 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9201472.000000 ILS 2831047.940000 USD 2021-11-30 2713.410000 N N N N/A N/A 000000000 1.000000 NC -678.830000 -0.0000749 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5201560.000000 ILS 1598168.800000 USD 2021-11-30 -678.830000 N N N N/A N/A 000000000 1.000000 NC -18733.680000 -0.0020674 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7302190.000000 ILS 2225802.420000 USD 2021-11-30 -18733.680000 N N N N/A N/A 000000000 1.000000 NC -24682.420000 -0.0027239 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3956160.000000 ILS 1196950.260000 USD 2022-08-01 -24682.420000 N N N N/A N/A 000000000 1.000000 NC -86079.830000 -0.0094994 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 32700000.000000 ILS 9989308.080000 USD 2022-04-06 -86079.830000 N N N N/A N/A 000000000 1.000000 NC -947.420000 -0.0001046 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 443000.000000 MXN 21183.600000 USD 2021-08-05 -947.420000 N N N N/A N/A 000000000 1.000000 NC -32689.780000 -0.0036075 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 24784432.310000 MXN 1209091.070000 USD 2021-07-12 -32689.780000 N N N 2021-08-12 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer XXXX