NPORT-P false 0000810893 XXXXXXXX S000069548 C000221901 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (866) 746-2606 PIMCO All Asset: Multi-Short PLUS Fund S000069548 549300NE2HMUK172AW26 2022-03-31 2021-12-31 N 79337128.780000 5925157.320000 73411971.460000 0.000000 0.000000 1510561.930000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 2229344.040000 USD EUR GBP BRL JPY ILS N N/A N/A 000000000 28.000000 NC USD -42217.840000 -0.0575081 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A EUOD 2022-12-19 6925625.000000 USD -42217.840000 N N N N/A N/A 000000000 -28.000000 NC USD 23367.400000 0.0318305 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A EUOD 2024-12-16 -6878725.000000 USD 23367.400000 N N N N/A N/A 000000000 1.000000 NC USD 4500.550000 0.0061305 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 FORD MOTOR COMPANY FORD MOTOR COMPANY SR UNSEC Y Single Leg Swap 2022-06-21 7515.380000 USD 0.000000 USD 200000.000000 USD -3014.830000 N N N N/A N/A 000000000 1.000000 NC USD 5178.760000 0.0070544 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-06-21 1837.580000 USD 0.000000 USD 300000.000000 USD 3341.180000 N N N N/A N/A 000000000 -7.000000 NC 20792.740000 0.0283234 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-03-08 -1365732.760000 EUR 20792.740000 N N N N/A N/A 000000000 1.000000 NC 2960.930000 0.0040333 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 325319.190000 USD 2089000.000000 CNY 2022-01-21 2960.930000 N N N N/A N/A 000000000 1.000000 NC 929.320000 0.0012659 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 166577.720000 USD 147000.000000 EUR 2022-02-17 929.320000 N N N N/A N/A 000000000 1.000000 NC 21242.340000 0.0289358 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 559159.740000 USD 1799884.000000 ILS 2022-06-08 21242.340000 N N N N/A N/A 000000000 1.000000 NC -656.190000 -0.0008938 N/A DFE GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 34000.000000 GBP 45358.130000 USD 2022-02-17 -656.190000 N N N N/A N/A 000000000 1.000000 NC -17416.890000 -0.0237249 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1000300.000000 ILS 304449.720000 USD 2022-03-02 -17416.890000 N N N N/A N/A 000000000 1.000000 NC -1091.690000 -0.0014871 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 11494000.000000 MXN 553016.230000 USD 2022-03-18 -1091.690000 N N N N/A N/A 000000000 1.000000 NC 2953.680000 0.0040234 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5590698.600000 RUB 77328.000000 USD 2022-01-24 2953.680000 N N N N/A N/A 000000000 1.000000 NC 18828.970000 0.0256484 N/A DCR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 HOCHTIEF AG HOCHTIEF AG Y Single Leg Swap 2025-12-21 23138.340000 EUR 0.000000 EUR 100000.000000 EUR -4309.370000 N N N N/A N/A 000000000 1.000000 NC 7478.060000 0.0101864 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 729070.000000 USD 4687000.000000 CNY 2022-01-21 7478.060000 N N N N/A N/A 000000000 1.000000 NC -14822.230000 -0.0201905 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1351944.520000 USD 153760300.000000 JPY 2022-02-17 -14822.230000 N N N N/A N/A 000000000 1.000000 NC -240.680000 -0.0003278 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 136411.630000 CNY 21196.000000 USD 2022-01-21 -240.680000 N N N N/A N/A 000000000 1.000000 NC -96.110000 -0.0001309 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 60364.550000 CNY 9390.000000 USD 2022-01-21 -96.110000 N N N N/A N/A 000000000 1.000000 NC -60.050000 -0.0000818 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 462000.000000 EUR 526390.650000 USD 2022-02-17 -60.050000 N N N N/A N/A 000000000 1.000000 NC -3882.100000 -0.0052881 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 34586679.000000 TWD 1244752.000000 USD 2022-01-14 -3882.100000 N N N N/A N/A 000000000 1.000000 NC -618.630000 -0.0008427 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 13819658.000000 TWD 498293.000000 USD 2022-01-14 -618.630000 N N N N/A N/A OP0016VG6 -400000.000000 NC -422.510000 -0.0005755 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 XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 4.000000 EUR 2022-02-16 XXXX 2680.560000 N N N N/A N/A OP0016FR0 -400000.000000 NC -125.580000 -0.0001711 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 XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 3.750000 EUR 2022-01-19 XXXX 2235.090000 N N N N/A N/A OP0017B19 -900000.000000 NC -771.960000 -0.0010515 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 XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 4.250000 EUR 2022-02-16 XXXX 4449.610000 N N N N/A N/A OP0017ZB1 -700000.000000 NC -160.470000 -0.0002186 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2022-02-16 XXXX 678.450000 N N N N/A N/A OP0017136 -300000.000000 NC -21.770000 -0.0000297 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 MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2022-01-19 XXXX 394.350000 N N N N/A N/A OP0017110 -200000.000000 NC -14.500000 -0.0000198 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 MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2022-01-19 XXXX 268.700000 N N N N/A N/A 000000000 1.000000 NC 501.590000 0.0006833 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 90173.690000 USD 67000.000000 GBP 2022-02-17 501.590000 N N N N/A N/A 000000000 1.000000 NC 11665.040000 0.0158898 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 156700000.000000 JPY 1374351.390000 USD 2022-02-17 11665.040000 N N N N/A N/A 000000000 1.000000 NC -63.170000 -0.0000860 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 43444.500000 CNY 6764.000000 USD 2022-01-21 -63.170000 N N N N/A N/A 000000000 1.000000 NC -4.440000 -0.0000060 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 43070.780000 CNY 6764.000000 USD 2022-01-21 -4.440000 N N N N/A N/A 000000000 1.000000 NC -61.840000 -0.0000842 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 43321.460000 CNY 6746.000000 USD 2022-01-21 -61.840000 N N N N/A N/A 000000000 1.000000 NC -62.040000 -0.0000845 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 43316.390000 CNY 6745.000000 USD 2022-01-21 -62.040000 N N N N/A N/A 000000000 1.000000 NC -71.220000 -0.0000970 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 72678.590000 CNY 11350.000000 USD 2022-01-21 -71.220000 N N N N/A N/A 000000000 1.000000 NC 1714.960000 0.0023361 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 68425.190000 USD 393355.900000 BRL 2022-02-02 1714.960000 N N N N/A N/A 000000000 1.000000 NC 132.880000 0.0001810 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 70487.570000 USD 393355.900000 BRL 2022-01-04 132.880000 N N N N/A N/A 000000000 1.000000 NC 2304.300000 0.0031389 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 906792.000000 USD 25181614.000000 TWD 2022-01-14 2304.300000 N N N N/A N/A 000000000 1.000000 NC -1731.500000 -0.0023586 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 393355.900000 BRL 68888.950000 USD 2022-01-04 -1731.500000 N N N N/A N/A 000000000 1.000000 NC -3300.430000 -0.0044958 N/A DFE IL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 211020.000000 ILS 64581.480000 USD 2022-01-31 -3300.430000 N N N N/A N/A 000000000 -85.000000 NC USD -425566.960000 -0.5796970 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short S&P 500 INDEX N/A N/A 2022-03-18 -20223625.000000 USD -425566.960000 N N N N/A N/A 000000000 1.000000 NC USD -384034.240000 -0.5231221 N/A DE US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 S&P 500 INDEX N/A N/A Y 2022-01-05 0.000000 USD 0.000000 USD 8669406.220000 USD -384034.240000 N N N N/A N/A 000000000 1.000000 NC 5.900000 0.0000080 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2002.000000 USD 55618.000000 TWD 2022-01-14 5.900000 N N N N/A N/A 000000000 1.000000 NC -173.530000 -0.0002364 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 108201.420000 CNY 16830.000000 USD 2022-01-21 -173.530000 N N N N/A N/A 000000000 1.000000 NC -15228.830000 -0.0207443 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 17934220.840000 CNY 2803080.450000 USD 2022-01-21 -15228.830000 N N N N/A N/A 000000000 5600000.000000 NC USD 42546.000000 0.0579551 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.85000 03/20/24-2Y LCH N/A N/A 2026-03-20 0.000000 USD 0.000000 USD N/A USD N/A 0.020000 USD 2024-03-18 XXXX -11214.000000 N N N N/A N/A 000000000 -10900000.000000 NC USD -33955.680000 -0.0462536 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.80000 03/20/24-2Y LCH N/A N/A 2026-03-20 0.000000 USD 0.000000 USD N/A USD N/A 0.030000 USD 2024-03-18 XXXX 18364.320000 N N N BANC OF AMERICA FUNDING CORP 2004-D N/A 05946XMY6 126.830000 PA USD 127.120000 0.0001732 Long ABS-MBS CORP US N 2 2034-06-25 Floating 2.21423 N N N N N N BANC OF AMERICA FUNDING CORP 2005-D N/A 06051GDM8 273.940000 PA USD 282.970000 0.0003855 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.78679 N N N N N N N/A N/A 000000000 1.000000 NC 44814.080000 0.0610446 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2050-11-15 0.000000 GBP 0.000000 GBP 100000.000000 GBP 44814.080000 N N N N/A N/A 000000000 1.000000 NC 37655.160000 0.0512929 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2050-11-15 0.000000 GBP 0.000000 GBP 100000.000000 GBP 37655.160000 N N N N/A N/A 000000000 1.000000 NC -29209.800000 -0.0397889 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 -21.850000 GBP 100000.000000 GBP -29187.950000 N N N N/A N/A 000000000 1.000000 NC -29188.680000 -0.0397601 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2040-11-15 0.000000 GBP 0.000000 GBP 100000.000000 GBP -29188.680000 N N N N/A N/A 000000000 1.000000 NC -52640.130000 -0.0717051 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2040-11-15 0.000000 GBP 0.000000 GBP 200000.000000 GBP -52640.130000 N N N N/A N/A 000000000 1.000000 NC 16827.660000 0.0229222 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-11-15 0.000000 GBP 0.000000 GBP 100000.000000 GBP 16827.660000 N N N N/A N/A 000000000 1.000000 NC -155519.890000 -0.2118454 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-08-15 0.000000 GBP -7067.870000 GBP 1000000.000000 GBP -148452.020000 N N N N/A N/A 000000000 1.000000 NC 15728.060000 0.0214244 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-11-15 0.000000 GBP 0.000000 GBP 100000.000000 GBP 15728.060000 N N N N/A N/A 000000000 1.000000 NC -15907.010000 -0.0216681 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2032-03-16 28014.970000 EUR 0.000000 EUR 1500000.000000 EUR -43921.980000 N N N N/A N/A 000000000 1.000000 NC -2042.300000 -0.0027820 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2052-03-18 0.000000 EUR -19918.730000 EUR 500000.000000 EUR 17876.430000 N N N N/A N/A 000000000 1.000000 NC 229.710000 0.0003129 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2022-03-17 0.000000 JPY 0.000000 JPY 77000000.000000 JPY 229.710000 N N N N/A N/A 000000000 1.000000 NC USD -636658.160000 -0.8672402 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 -628079.320000 USD 10800000.000000 USD -8578.840000 N N N N/A N/A 000000000 1.000000 NC USD 278396.500000 0.3792249 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-12-16 0.000000 USD -13156.520000 USD 6000000.000000 USD 291553.020000 N N N N/A N/A 000000000 1.000000 NC USD -180601.980000 -0.2460116 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-12-16 414554.520000 USD 0.000000 USD 16800000.000000 USD -595156.500000 N N N N/A N/A 000000000 1.000000 NC USD 406092.630000 0.5531695 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-06-16 703409.780000 USD 0.000000 USD 3500000.000000 USD -297317.150000 N N N N/A N/A 000000000 1.000000 NC -38326.530000 -0.0522075 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2032-03-16 0.000000 GBP -3369.690000 GBP 1400000.000000 GBP -34956.840000 N N N N/A N/A 000000000 1.000000 NC 26483.560000 0.0360753 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2052-03-18 0.000000 GBP -15801.020000 GBP 900000.000000 GBP 42284.580000 N N N N/A N/A 000000000 1.000000 NC 81.980000 0.0001117 N/A DIR JP N 2 London Clearing house N/A N/A BOJ Overnight Call Rate TONAR Y 2022-03-17 0.000000 JPY 0.000000 JPY 77000000.000000 JPY 81.980000 N N N N/A N/A 000000000 1.000000 NC -37875.740000 -0.0515934 N/A DIR JP N 2 London Clearing house N/A N/A BOJ Overnight Call Rate TONAR Y 2051-03-17 0.000000 JPY -47482.680000 JPY 77000000.000000 JPY 9606.940000 N N N N/A N/A 000000000 1.000000 NC USD -4232.660000 -0.0057656 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-06-15 0.000000 USD -3838.140000 USD 200000.000000 USD -394.520000 N N N N/A N/A 000000000 1.000000 NC USD -2784.320000 -0.0037927 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -1849.680000 USD 200000.000000 USD -934.640000 N N N N/A N/A 000000000 1.000000 NC USD 821.230000 0.0011187 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-12-15 1860.740000 USD 0.000000 USD 300000.000000 USD -1039.510000 N N N N/A N/A 000000000 1.000000 NC USD 3475.510000 0.0047343 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-12-15 4154.210000 USD 0.000000 USD 200000.000000 USD -678.700000 N N N N/A N/A 000000000 1.000000 NC -39569.890000 -0.0539011 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 -19725.990000 BRL 22700000.000000 BRL -19843.900000 N N N N/A N/A 000000000 1.000000 NC -23531.460000 -0.0320540 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 3300000.000000 BRL -23531.460000 N N N N/A N/A 000000000 1.000000 NC -43878.690000 -0.0597705 N/A DFE MX N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 43314000.000000 MXN 2044222.100000 USD 2022-03-18 -43878.690000 N N N N/A N/A 000000000 1.000000 NC 1156.040000 0.0015747 N/A DFE TW N 2 UBS AG BFM8T61CT2L1QCEMIK50 671000.000000 USD 18618461.000000 TWD 2022-01-14 1156.040000 N N N N/A N/A 000000000 -45.000000 NC USD -24320.380000 -0.0331286 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-03-22 -5865117.210000 USD -24320.380000 N N N N/A N/A 000000000 11.000000 NC USD -5251.600000 -0.0071536 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-03-31 2399503.900000 USD -5251.600000 N N N N/A N/A 000000000 -143.000000 NC USD 22710.690000 0.0309359 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-03-31 -17286800.820000 USD 22710.690000 N N N N/A N/A 000000000 25.000000 NC USD -7452.020000 -0.0101510 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-03-22 3998828.130000 USD -7452.020000 N N N N/A N/A 000000000 5.000000 NC USD 8703.490000 0.0118557 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-03-22 980546.880000 USD 8703.490000 N N N BANK OF AMERICA MTGE SEC 2003-D N/A 05948XBV2 511.010000 PA USD 540.080000 0.0007357 Long ABS-MBS CORP US N 2 2033-05-25 Floating 3.45023 N N N N N N BANK OF AMERICA MTGE SEC 2005-F N/A 05949CCA2 25636.110000 PA USD 25724.130000 0.0350408 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.68683 Y N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 498.320000 PA USD 505.500000 0.0006886 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.73424 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZQ8 2.720000 PA USD 2.700000 0.0000037 Long ABS-MBS CORP US N 2 2034-01-25 Floating 2.32125 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 62230.750000 PA USD 47046.980000 0.0640863 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.86783 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-8 N/A 07386HWZ0 133347.540000 PA USD 126839.710000 0.1727780 Long ABS-MBS CORP US N 2 2035-10-25 Variable 2.45857 Y N N N N N BEAR STEARNS ARM TR 2004-8 N/A 07384M2E1 3271.440000 PA USD 3290.780000 0.0044826 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.99994 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE5 N/A 073859AC4 753718.950000 PA USD 750541.500000 1.0223694 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.34188 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 105756CB4 420000.000000 PA USD 374224.200000 0.5097591 Long DBT NUSS BR N 2 2050-01-14 Fixed 4.75 N N N N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPB9 18518.850000 PA USD 17719.910000 0.0241376 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.77648 Y N N N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAN2 24972.270000 PA USD 23295.770000 0.0317329 Long ABS-MBS CORP US N 2 2036-09-25 Floating 2.7795 Y N N N N N CHASE MORTGAGE FINANCE CORP 2006-S4 N/A 16162YAE5 23563.370000 PA USD 15471.830000 0.0210754 Long ABS-MBS CORP US N 2 2036-12-25 Fixed 6 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 130720.750000 PA USD 87590.920000 0.1193142 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.26188 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAB1 1146634.810000 PA USD 1020211.100000 1.3897067 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.28188 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486D22 16000.000000 PA USD 18224.080000 0.0248244 Long DBT MUN US N 2 2042-01-01 Fixed 7.75 N N N N N N AMAZONCOM INC ZXTILKJKG63JELOEG630 023135106 300.000000 NS USD 1000302.000000 1.3625870 Long EC CORP US N 1 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 45209.370000 PA USD 39711.220000 0.0540937 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.66188 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 136604.760000 PA USD 134474.790000 0.1831783 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.48188 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB N/A 12667GTQ6 416.300000 PA USD 385.240000 0.0005248 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-20 N/A 12667HAA9 157984.510000 PA USD 154921.320000 0.2110300 Long ABS-MBS CORP US N 2 2047-04-25 Floating 0.24188 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-21 N/A 12667LAD4 5507.860000 PA USD 5511.370000 0.0075075 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.25188 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KK3 198879.290000 PA USD 196051.370000 0.2670564 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.64188 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 27425.020000 PA USD 27665.950000 0.0376859 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.67306 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 682.860000 PA USD 689.670000 0.0009395 Long ABS-MBS CORP US N 2 2035-02-20 Floating 2.50987 N N N N N N CVS PASS-THROUGH TRUST N/A 126650BQ2 74508.650000 PA USD 88323.150000 0.1203116 Long DBT CORP US N 2 2030-01-10 Fixed 6.943 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR1 N/A 251510LD3 325431.280000 PA USD 334101.360000 0.4551047 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.76188 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HHA1 132000.000000 NS USD 132660.930000 0.1807075 Long EP CORP US N 2 N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 150000.000000 PA 185530.580000 0.2527252 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FANNIE MAE 2005-79 N/A 31394FHD0 40511.870000 PA USD 40885.820000 0.0556937 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 0.51188 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 5525.850000 PA USD 5562.940000 0.0075777 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.45188 N N N N N N FANNIE MAE 2007-65 N/A 31396WLX2 8599.530000 PA USD 8686.830000 0.0118330 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.48188 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 75486.030000 PA USD 76979.840000 0.1048601 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 0.82188 N N N N N N FANNIE MAE 2010-151 N/A 31397QW61 14275.210000 PA USD 14561.680000 0.0198356 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 0.70188 N N N N N N FANNIE MAE REMICS 2011-35 N/A 31397SVH4 797476.030000 PA USD 833988.630000 1.1360390 Long ABS-MBS USGSE US N 2 2041-04-25 Fixed 4 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 19898.120000 PA USD 20126.450000 0.0274158 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 0.50188 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 3086.990000 PA USD 3106.470000 0.0042316 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 0.442 N N N N N N FHLMC PASS THRU POOLS N/A 3128JREM4 738.350000 PA USD 764.320000 0.0010411 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 2.145 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRGY6 1322.570000 PA USD 1390.880000 0.0018946 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 1.98 N N N N N N FHLMC PASS THRU POOLS N/A 31297F2U6 3512.310000 PA USD 3833.410000 0.0052218 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 31297SRD9 528.960000 PA USD 597.030000 0.0008133 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 31297VLN6 1383.730000 PA USD 1512.110000 0.0020598 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128K8EE2 5108.920000 PA USD 5787.810000 0.0078840 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128K8Q25 516.520000 PA USD 585.150000 0.0007971 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128K9RM8 4352.120000 PA USD 4869.140000 0.0066326 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128K95C4 10872.840000 PA USD 12416.760000 0.0169138 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128KGF86 1048.460000 PA USD 1145.100000 0.0015598 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128KKPP8 1690.460000 PA USD 1843.220000 0.0025108 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128KKZG7 11304.440000 PA USD 12814.300000 0.0174553 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128L1PU8 1328.390000 PA USD 1509.020000 0.0020556 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128L5HY0 9511.650000 PA USD 10836.110000 0.0147607 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128L7L96 15166.840000 PA USD 17187.160000 0.0234119 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128L9KD4 12761.880000 PA USD 14484.920000 0.0197310 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LAFY1 1221.180000 PA USD 1400.160000 0.0019073 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LBC55 5738.470000 PA USD 6514.150000 0.0088734 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 312929MQ2 1612.080000 PA USD 1830.190000 0.0024930 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3129296L1 6427.500000 PA USD 7297.220000 0.0099401 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 31292JH78 380.500000 PA USD 421.220000 0.0005738 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7NZ2 5525.370000 PA USD 6079.560000 0.0082814 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128E2VX1 121.040000 PA USD 131.680000 0.0001794 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LXAV2 1636.680000 PA USD 1865.800000 0.0025415 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4AK9 1579.970000 PA USD 1725.790000 0.0023508 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4QW6 9590.140000 PA USD 10853.070000 0.0147838 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4WK5 6927.880000 PA USD 7857.090000 0.0107027 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4W90 3099.440000 PA USD 3507.470000 0.0047778 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5BY5 6086.280000 PA USD 6902.160000 0.0094020 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6B98 166.850000 PA USD 191.210000 0.0002605 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6JE9 2539.230000 PA USD 2881.940000 0.0039257 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6JM1 3853.470000 PA USD 4374.450000 0.0059588 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6QV3 4497.510000 PA USD 5099.540000 0.0069465 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6SU3 3815.280000 PA USD 4372.420000 0.0059560 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6WG9 3300.920000 PA USD 3782.970000 0.0051531 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7C95 2588.840000 PA USD 2966.930000 0.0040415 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7EX0 6899.430000 PA USD 7822.970000 0.0106563 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7E44 7968.610000 PA USD 9035.780000 0.0123083 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7HT6 5025.160000 PA USD 5699.170000 0.0077633 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7KV7 778.710000 PA USD 881.250000 0.0012004 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7KW5 537.010000 PA USD 615.490000 0.0008384 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M75R3 3922.360000 PA USD 4495.190000 0.0061232 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJCJ7 5365.180000 PA USD 6078.600000 0.0082801 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128CULV6 1697.880000 PA USD 1869.340000 0.0025464 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128CUM29 2444.690000 PA USD 2691.820000 0.0036667 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWE64 15941.930000 PA USD 17055.200000 0.0232322 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132LAY63 6456.870000 PA USD 6870.280000 0.0093585 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF5 N/A 32027EAE1 18850.480000 PA USD 18543.730000 0.0252598 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.42188 N N N N N N FNMA PASS THRU POOLS N/A 31368HML4 3154.730000 PA USD 3599.730000 0.0049035 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31368HMQ3 5095.990000 PA USD 5813.510000 0.0079190 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371KVF5 854.270000 PA USD 966.520000 0.0013166 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371L4M8 2329.340000 PA USD 2550.760000 0.0034746 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MKF3 4605.230000 PA USD 5045.880000 0.0068734 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MQC4 265.770000 PA USD 302.980000 0.0004127 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MRS8 174.440000 PA USD 202.190000 0.0002754 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371MZM2 1358.250000 PA USD 1494.520000 0.0020358 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371M3W5 34103.030000 PA USD 38976.400000 0.0530927 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371M5N3 3674.800000 PA USD 4232.850000 0.0057659 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371M7J0 41.230000 PA USD 47.160000 0.0000642 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371M7M3 16959.970000 PA USD 18588.690000 0.0253211 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371NAA3 1125.790000 PA USD 1238.890000 0.0016876 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371NDU6 1661.030000 PA USD 1828.000000 0.0024901 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371NLG8 2793.140000 PA USD 3060.920000 0.0041695 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371NLH6 2103.690000 PA USD 2315.460000 0.0031541 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371NU52 1163.820000 PA USD 1277.850000 0.0017407 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371PCL2 758.770000 PA USD 830.530000 0.0011313 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31374CPF7 4079.040000 PA USD 4442.720000 0.0060518 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31376KHQ2 206.470000 PA USD 233.590000 0.0003182 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31381AL25 1112.760000 PA USD 1223.270000 0.0016663 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31385XNR4 1918.160000 PA USD 2167.580000 0.0029526 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31390WZK1 146.810000 PA USD 161.870000 0.0002205 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31400BNW2 358.680000 PA USD 393.460000 0.0005360 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31400JR50 6818.260000 PA USD 7708.830000 0.0105008 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31400RKV2 30785.120000 PA USD 34811.150000 0.0474189 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31401XVM6 475.680000 PA USD 524.150000 0.0007140 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402DF70 56.050000 PA USD 63.670000 0.0000867 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31402DP79 43.440000 PA USD 49.310000 0.0000672 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402QYY1 2755.910000 PA USD 3134.030000 0.0042691 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402RRR2 2825.000000 PA USD 3277.540000 0.0044646 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31402RTS8 907.340000 PA USD 913.880000 0.0012449 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 1.54 N N N N N N FNMA PASS THRU POOLS N/A 31402RT58 789.680000 PA USD 900.500000 0.0012266 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402X4D5 246.980000 PA USD 270.920000 0.0003690 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403CQ79 7990.580000 PA USD 8835.570000 0.0120356 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403C5S6 563.630000 PA USD 653.180000 0.0008897 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31403C6S5 3130.710000 PA USD 3623.970000 0.0049365 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31403DDX4 6066.500000 PA USD 6844.480000 0.0093234 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DGZ6 5634.520000 PA USD 6424.120000 0.0087508 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403LUQ2 4429.850000 PA USD 5008.300000 0.0068222 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403MUU1 6775.950000 PA USD 7515.420000 0.0102373 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403NVY0 890.780000 PA USD 892.600000 0.0012159 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 2.248 N N N N N N FNMA PASS THRU POOLS N/A 31403QP53 2390.520000 PA USD 2624.150000 0.0035746 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403VDD8 197.690000 PA USD 198.060000 0.0002698 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 2.071 N N N N N N FNMA PASS THRU POOLS N/A 31403YNJ8 3097.540000 PA USD 3468.710000 0.0047250 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404H2N8 1037.740000 PA USD 1175.960000 0.0016019 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404MZ92 84.100000 PA USD 94.920000 0.0001293 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404U4Y3 195.940000 PA USD 218.800000 0.0002980 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404V6A1 2332.860000 PA USD 2341.260000 0.0031892 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 2.344 N N N N N N FNMA PASS THRU POOLS N/A 31405PAH3 26.980000 PA USD 27.010000 0.0000368 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 1.465 N N N N N N FNMA PASS THRU POOLS N/A 31406L2T4 33.420000 PA USD 33.530000 0.0000457 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 2.3 N N N N N N FNMA PASS THRU POOLS N/A 31406TGE5 8516.220000 PA USD 9718.440000 0.0132382 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31406TQU8 1783.800000 PA USD 2006.110000 0.0027327 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31406XXM9 3217.670000 PA USD 3657.350000 0.0049820 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407ADE8 265.290000 PA USD 301.190000 0.0004103 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407BXK0 162.690000 PA USD 162.960000 0.0002220 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 1.805 N N N N N N FNMA PASS THRU POOLS N/A 31407EH89 127.220000 PA USD 145.020000 0.0001975 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407FD64 1074.490000 PA USD 1217.900000 0.0016590 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407FYD6 633.370000 PA USD 666.540000 0.0009079 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 2.09 N N N N N N FNMA PASS THRU POOLS N/A 31407HRF5 4840.590000 PA USD 5607.940000 0.0076390 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407JDY5 115.050000 PA USD 132.980000 0.0001811 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407MWT8 680.100000 PA USD 682.500000 0.0009297 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 2.22 N N N N N N FNMA PASS THRU POOLS N/A 31407NQC0 300.770000 PA USD 331.390000 0.0004514 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31407PFB9 5357.060000 PA USD 6059.860000 0.0082546 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 31407RVX9 220.740000 PA USD 242.940000 0.0003309 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31407T7L8 323.470000 PA USD 354.830000 0.0004833 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407W4J9 383.150000 PA USD 420.970000 0.0005734 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407YHH5 189.580000 PA USD 197.810000 0.0002695 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 1.886 N N N N N N FNMA PASS THRU POOLS N/A 31407YNU9 545.430000 PA USD 621.570000 0.0008467 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31408CA89 4130.440000 PA USD 4636.780000 0.0063161 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31408DFG4 3392.680000 PA USD 3739.650000 0.0050941 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31408DKS2 152.330000 PA USD 172.440000 0.0002349 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409ADU0 358.940000 PA USD 406.780000 0.0005541 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409AF53 110.970000 PA USD 128.650000 0.0001752 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409JUL2 189.530000 PA USD 216.260000 0.0002946 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409T6S2 1303.540000 PA USD 1443.450000 0.0019662 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409VPY3 65.830000 PA USD 72.490000 0.0000987 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409WLC3 3469.980000 PA USD 3954.330000 0.0053865 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409XPU7 2485.340000 PA USD 2835.000000 0.0038618 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410CB84 20.730000 PA USD 22.800000 0.0000311 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410FVW2 137389.830000 PA USD 153244.680000 0.2087462 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410FYY5 679.880000 PA USD 739.620000 0.0010075 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31410F3J2 4974.570000 PA USD 5633.190000 0.0076734 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GHP1 43523.810000 PA USD 49775.280000 0.0678027 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GNK5 118.460000 PA USD 130.490000 0.0001778 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GNL3 11619.730000 PA USD 13255.930000 0.0180569 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GPA5 1848.610000 PA USD 2103.830000 0.0028658 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GPD9 31605.100000 PA USD 35923.230000 0.0489337 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GRN5 5175.830000 PA USD 5904.680000 0.0080432 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410G2H5 3877.300000 PA USD 4442.830000 0.0060519 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KAA2 1642.900000 PA USD 1874.560000 0.0025535 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KHH0 636.130000 PA USD 728.310000 0.0009921 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KNH3 21305.830000 PA USD 24413.770000 0.0332558 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KXK5 30742.450000 PA USD 35228.180000 0.0479870 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KXL3 1550.140000 PA USD 1776.870000 0.0024204 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410LKA9 970.210000 PA USD 1068.860000 0.0014560 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31410RNM7 53.430000 PA USD 61.950000 0.0000844 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410SS65 2072.600000 PA USD 2292.380000 0.0031226 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410V6F2 569.550000 PA USD 648.940000 0.0008840 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410WML9 7866.870000 PA USD 9114.280000 0.0124153 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411APZ2 122.820000 PA USD 139.460000 0.0001900 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411BX99 168.510000 PA USD 185.490000 0.0002527 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411CDR9 30450.680000 PA USD 34768.680000 0.0473610 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411DAE9 667.390000 PA USD 738.940000 0.0010066 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411DY78 54.360000 PA USD 60.670000 0.0000826 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411ECZ8 19.610000 PA USD 22.390000 0.0000305 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411K3D3 2.740000 PA USD 2.740000 0.0000037 Long ABS-MBS USGSE US N 2 2022-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411S2B1 64.730000 PA USD 71.310000 0.0000971 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411W4N4 91.300000 PA USD 105.780000 0.0001441 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412AWT7 2737.500000 PA USD 3018.630000 0.0041119 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412BFS6 37990.110000 PA USD 43346.300000 0.0590453 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412BFT4 1366.720000 PA USD 1563.370000 0.0021296 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412DLU0 13013.090000 PA USD 14851.150000 0.0202299 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412DLW6 38950.680000 PA USD 45081.170000 0.0614085 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412LM72 4582.910000 PA USD 5246.270000 0.0071463 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412LQE3 1103.480000 PA USD 1209.010000 0.0016469 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412MTG3 30225.270000 PA USD 34576.540000 0.0470993 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412NBF2 369.460000 PA USD 425.100000 0.0005791 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412N6C5 810.730000 PA USD 842.700000 0.0011479 Long ABS-MBS USGSE US N 2 2024-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31412PWN7 9593.610000 PA USD 10530.330000 0.0143442 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412QPU7 315.440000 PA USD 365.470000 0.0004978 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412QZY8 4016.120000 PA USD 4219.090000 0.0057471 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31412RBR7 692.020000 PA USD 785.260000 0.0010697 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412SD28 1039.390000 PA USD 1191.160000 0.0016226 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31413FYX4 75.430000 PA USD 83.050000 0.0001131 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413HWP9 1075.760000 PA USD 1246.780000 0.0016983 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413NGG4 1644.910000 PA USD 1875.180000 0.0025543 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31413VKF3 1534.400000 PA USD 1698.570000 0.0023138 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414CJM1 8596.760000 PA USD 9822.890000 0.0133805 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414FFS5 68.730000 PA USD 76.220000 0.0001038 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414FS51 2822.470000 PA USD 3035.650000 0.0041351 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31414G3K3 7616.820000 PA USD 8830.260000 0.0120284 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414HJX6 4153.110000 PA USD 4765.310000 0.0064912 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414LB98 29377.080000 PA USD 33420.720000 0.0455249 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414L2H0 3711.380000 PA USD 4240.830000 0.0057768 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414NEZ3 11257.320000 PA USD 12944.270000 0.0176324 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414PU64 16137.410000 PA USD 18701.590000 0.0254749 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414QVY0 124.020000 PA USD 142.450000 0.0001940 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415BDJ5 1658.160000 PA USD 1775.210000 0.0024181 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31415LVW4 18.540000 PA USD 19.310000 0.0000263 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31415QFJ0 119.640000 PA USD 131.750000 0.0001795 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415TFV7 222.090000 PA USD 257.520000 0.0003508 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415TF54 2806.090000 PA USD 3215.040000 0.0043794 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415VK61 564.710000 PA USD 653.830000 0.0008906 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31415XKP5 5213.640000 PA USD 5754.230000 0.0078383 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415YMN6 257.340000 PA USD 276.860000 0.0003771 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BN61 59.000000 PA USD 67.010000 0.0000913 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BS82 2228.820000 PA USD 2463.790000 0.0033561 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BUC0 47.290000 PA USD 54.690000 0.0000745 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416B2P2 947.290000 PA USD 1085.950000 0.0014793 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416CD29 8973.220000 PA USD 10402.890000 0.0141706 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416CKF2 14599.490000 PA USD 16946.390000 0.0230840 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416H4W2 10872.170000 PA USD 12025.830000 0.0163813 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416JAW1 11191.350000 PA USD 12781.090000 0.0174101 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416JMP3 225.880000 PA USD 242.010000 0.0003297 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416VGE8 9963.000000 PA USD 11360.710000 0.0154753 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416VGN8 831.840000 PA USD 950.920000 0.0012953 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416VKF0 20027.340000 PA USD 23201.450000 0.0316045 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416YE87 32022.260000 PA USD 35787.130000 0.0487484 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416YNX2 18183.780000 PA USD 19478.830000 0.0265336 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417MBT9 3296.250000 PA USD 3532.800000 0.0048123 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417S3V0 3191.900000 PA USD 3546.840000 0.0048314 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31417UC52 752.370000 PA USD 832.090000 0.0011335 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417VAP8 5810.940000 PA USD 6372.330000 0.0086802 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418MGG1 89.780000 PA USD 101.570000 0.0001384 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418MG63 57.560000 PA USD 66.780000 0.0000910 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31418PCG8 898.230000 PA USD 993.450000 0.0013533 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418PS22 2635.230000 PA USD 2913.430000 0.0039686 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418RB75 4307.280000 PA USD 4765.780000 0.0064918 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418U2M5 2150.590000 PA USD 2252.120000 0.0030678 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418XNQ7 1574.440000 PA USD 1741.540000 0.0023723 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418YC20 581.940000 PA USD 636.250000 0.0008667 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419AK89 1117.140000 PA USD 1162.950000 0.0015841 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419AR66 830.930000 PA USD 915.950000 0.0012477 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419A3K1 61571.150000 PA USD 71374.790000 0.0972250 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31419CSC8 913.280000 PA USD 999.140000 0.0013610 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419DG54 1973.950000 PA USD 2165.250000 0.0029495 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A1CC3 16225.390000 PA USD 17388.910000 0.0236867 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A37H4 34093.450000 PA USD 37428.940000 0.0509848 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A5VU3 934.330000 PA USD 1011.550000 0.0013779 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A5WG3 4625.520000 PA USD 4992.160000 0.0068002 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A5W65 2897.160000 PA USD 3105.080000 0.0042297 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A8BH8 436.010000 PA USD 468.040000 0.0006376 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AAS93 1872.140000 PA USD 2070.310000 0.0028201 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ABDP1 1019.260000 PA USD 1127.860000 0.0015363 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ADYY5 7232.450000 PA USD 7784.300000 0.0106036 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AE2F9 8077.640000 PA USD 8660.380000 0.0117970 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AFVY3 36649.910000 PA USD 40539.100000 0.0552214 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AHGU4 1126.430000 PA USD 1246.100000 0.0016974 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AHS80 5917.170000 PA USD 6524.880000 0.0088880 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AKTT6 5369.290000 PA USD 5642.220000 0.0076857 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138ANJA2 77481.040000 PA USD 85253.540000 0.1161303 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ANY56 968.360000 PA USD 1071.550000 0.0014596 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138E2GN9 306.160000 PA USD 328.110000 0.0004469 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EDMB4 1255.880000 PA USD 1391.690000 0.0018957 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EGSJ4 29452.910000 PA USD 33727.100000 0.0459422 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EGSP0 4125.310000 PA USD 4688.610000 0.0063867 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EG4G6 867.230000 PA USD 959.470000 0.0013070 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EHPD8 7775.650000 PA USD 8571.570000 0.0116760 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EHXA5 4376.780000 PA USD 4851.140000 0.0066081 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EKRF4 7752.020000 PA USD 8849.650000 0.0120548 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EKSM8 31910.380000 PA USD 36546.570000 0.0497828 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EKW35 281166.780000 PA USD 324870.200000 0.4425303 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EK2N4 20638.720000 PA USD 23924.280000 0.0325891 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138ELCT8 14600.900000 PA USD 16925.410000 0.0230554 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138LT4L9 2279.910000 PA USD 2452.060000 0.0033401 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138XQQC8 18757.620000 PA USD 20140.570000 0.0274350 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 4.5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 82451.730000 PA USD 801265.880000 1.0914649 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 31417YJ24 9295.710000 PA USD 10193.310000 0.0138851 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 5.5 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 103595.470000 PA USD 106226.070000 0.1446986 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 0.80975 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 57509.120000 PA USD 58687.220000 0.0799423 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 0.82975 N N N N N N FREDDIE MAC 3368 N/A 31397KL82 63081.640000 PA USD 64248.500000 0.0875177 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 0.82975 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 17689.810000 PA USD 18030.580000 0.0245608 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 0.81975 N N N N N N FREDDIE MAC-3289 N/A 31397FNM0 72940.410000 PA USD 73641.610000 0.1003128 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 0.48975 N N N N N N FREMONT HOME LOAN TRUST 2006-B N/A 35729QAD0 2083574.440000 PA USD 907139.970000 1.2356840 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.26188 N N N N N N GNMA PASS THRU POOLS N/A 36210B4E2 8514.920000 PA USD 9811.500000 0.0133650 Long ABS-MBS USGSE US N 2 2039-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36212TA53 2458.290000 PA USD 2771.680000 0.0037755 Long ABS-MBS USGSE US N 2 2035-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36200JJZ4 5763.260000 PA USD 6645.670000 0.0090526 Long ABS-MBS USGSE US N 2 2035-12-15 Fixed 5 N N N N N N STICHTING AK RABOBANK CERTIFICATEN N/A BJBQCWII7 81275.000000 NS 127693.550000 0.1739410 Long EP CORP NL N 2 N N N GNMA PASS THRU POOLS N/A 36291CE76 1251.470000 PA USD 1409.620000 0.0019202 Long ABS-MBS USGSE US N 2 2035-12-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36291TUF3 6476.390000 PA USD 7296.040000 0.0099385 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295GBG6 2387.190000 PA USD 2628.940000 0.0035811 Long ABS-MBS USGSE US N 2 2037-07-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36295GBH4 1465.410000 PA USD 1612.870000 0.0021970 Long ABS-MBS USGSE US N 2 2037-08-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36295KGC1 191.700000 PA USD 215.840000 0.0002940 Long ABS-MBS USGSE US N 2 2038-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295LGE5 4319.060000 PA USD 4862.740000 0.0066239 Long ABS-MBS USGSE US N 2 2038-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295L3X7 1278.390000 PA USD 1439.690000 0.0019611 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295NCQ8 208.840000 PA USD 241.320000 0.0003287 Long ABS-MBS USGSE US N 2 2038-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295NCS4 45254.510000 PA USD 52206.970000 0.0711151 Long ABS-MBS USGSE US N 2 2038-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QN55 874.690000 PA USD 985.670000 0.0013427 Long ABS-MBS USGSE US N 2 2038-09-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296BGC0 44.340000 PA USD 49.930000 0.0000680 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296B2K7 143.300000 PA USD 161.320000 0.0002197 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296DP28 11212.950000 PA USD 12952.050000 0.0176430 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296DZF8 2332.340000 PA USD 2627.960000 0.0035797 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296GTL5 366.100000 PA USD 412.270000 0.0005616 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296JJY2 1857.730000 PA USD 2140.630000 0.0029159 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296P6L0 3696.140000 PA USD 4272.570000 0.0058200 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QDB2 12779.740000 PA USD 14390.620000 0.0196026 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QK32 23018.230000 PA USD 26546.050000 0.0361604 Long ABS-MBS USGSE US N 2 2039-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QL31 6855.050000 PA USD 7918.280000 0.0107861 Long ABS-MBS USGSE US N 2 2039-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QRU5 499.800000 PA USD 577.690000 0.0007869 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QZD4 4214.580000 PA USD 4871.070000 0.0066353 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296Q6V6 6171.730000 PA USD 7129.400000 0.0097115 Long ABS-MBS USGSE US N 2 2039-08-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296UE30 1726.500000 PA USD 1965.950000 0.0026780 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 26693.410000 PA USD 30794.640000 0.0419477 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296XUD4 8293.270000 PA USD 9579.730000 0.0130493 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296XU77 50083.470000 PA USD 57852.830000 0.0788057 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296X3G7 7496.810000 PA USD 8445.300000 0.0115040 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36297AKJ1 18366.780000 PA USD 21222.050000 0.0289082 Long ABS-MBS USGSE US N 2 2039-01-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36297BXM8 40068.580000 PA USD 46320.630000 0.0630968 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36297GKW9 737.110000 PA USD 852.220000 0.0011609 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36297KH87 8168.960000 PA USD 9473.690000 0.0129048 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620A6DC8 8058.080000 PA USD 9290.670000 0.0126555 Long ABS-MBS USGSE US N 2 2039-07-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620AAT81 2712.340000 PA USD 3127.690000 0.0042605 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620AVQ47 6288.980000 PA USD 7175.850000 0.0097748 Long ABS-MBS USGSE US N 2 2040-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176AB99 2114.420000 PA USD 2382.170000 0.0032449 Long ABS-MBS USGSE US N 2 2041-11-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176ARN1 17755.530000 PA USD 20186.180000 0.0274971 Long ABS-MBS USGSE US N 2 2041-10-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176DEZ2 4412.110000 PA USD 5091.670000 0.0069357 Long ABS-MBS USGSE US N 2 2041-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176R7B2 2925.440000 PA USD 3299.260000 0.0044942 Long ABS-MBS USGSE US N 2 2042-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176R7H9 11471.350000 PA USD 12929.770000 0.0176126 Long ABS-MBS USGSE US N 2 2042-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241KZ35 110033.670000 PA USD 127102.600000 0.1731361 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241LJY3 19923.620000 PA USD 23194.330000 0.0315948 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAB4 322549.350000 PA USD 207268.700000 0.2823364 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.15188 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 835.440000 PA USD 855.160000 0.0011649 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.85116 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XE4 55335.760000 PA USD 53006.840000 0.0722046 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.13887 Y N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 931.800000 PA USD 941.030000 0.0012818 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.62865 N N N N N N GSR MORTGAGE LOAN TRUST 2006-1F N/A 3623417Z6 505426.330000 PA USD 301885.440000 0.4112210 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 6 Y N N N N N GSR MORTGAGE LOAN TRUST 2007-4F N/A 362669BJ1 132734.390000 PA USD 112326.900000 0.1530090 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-3 N/A 41161PMG5 122868.060000 PA USD 123437.570000 0.1681437 Long ABS-MBS CORP US N 2 2035-06-19 Floating 0.58388 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-11 N/A 41162GAA0 20738.060000 PA USD 19454.860000 0.0265009 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.44388 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAD1 297784.470000 PA USD 298783.540000 0.4069957 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.34388 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-3 N/A 41161QAD3 139174.470000 PA USD 97561.320000 0.1328957 Long ABS-MBS CORP US N 2 2036-06-19 Floating 3.24492 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR11 N/A 45661KAD2 294867.410000 PA USD 296759.630000 0.4042387 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.9754 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR39 N/A 45660KAA9 163810.770000 PA USD 163306.070000 0.2224516 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.28188 Y N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 977UCSII1 600000.000000 PA 203586.420000 0.2773205 Long DBT NUSS IL N 2 2022-01-31 Fixed 5.5 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI201R74 1500000.000000 PA 482405.640000 0.6571212 Long DBT MUN IL N 2 2022-08-03 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI20YST3 300000.000000 PA 96481.130000 0.1314242 Long DBT MUN IL N 2 2022-10-07 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI21KLL6 600000.000000 PA 192952.600000 0.2628353 Long DBT MUN IL N 2 2022-11-02 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI229M05 600000.000000 PA 192962.250000 0.2628485 Long DBT MUN IL N 2 2022-12-07 None 0 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A2 N/A 46628GAL3 137768.810000 PA USD 101121.010000 0.1377446 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.69497 Y N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 10075.810000 PA USD 10508.460000 0.0143144 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.30119 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BAG5 70969.970000 PA USD 61914.060000 0.0843378 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.2256 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BBC3 11487.070000 PA USD 9469.270000 0.0128988 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.53796 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-SL2 N/A 52476TAA0 453760.000000 PA USD 451523.960000 0.6150549 Long ABS-MBS CORP US N 2 2068-10-25 Fixed 1.875 N N N N N N LEHMAN MORTGAGE TRUST 2007-8 N/A 52521YAA4 102577.480000 PA USD 104106.890000 0.1418119 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6 Y N N N N N LONG BEACH MORTGAGE LOAN TR 2006-4 N/A 54251MAA2 118279.250000 PA USD 79913.250000 0.1088559 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.40188 N N N N N N LONG BEACH MORTGAGE LOAN TRUST 2006-3 N/A 542514UL6 726899.190000 PA USD 335693.170000 0.4572731 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.64188 N N N N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 28765.510000 PA USD 28758.380000 0.0391740 Long ABS-O CORP US N 2 2038-04-25 Floating 1.07388 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2005-6 N/A 576433C53 18572.670000 PA USD 17765.480000 0.0241997 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.40933 Y N N N N N MASTR ASSET BACKED SEC TR 2006-FRE1 N/A 57643LPP5 73938.990000 PA USD 73791.190000 0.1005166 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.68188 N N N N N N MASTR ASSET BACKED SEC TR 2007-HE1 N/A 576457AC9 482503.140000 PA USD 475483.060000 0.6476914 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.31188 N N N N N N MASTR ASSET BACKED SEC TR 2007-WMC1 N/A 55275TAB4 2716441.800000 PA USD 1032528.490000 1.4064852 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.15188 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 3017.880000 PA USD 2968.790000 0.0040440 Long ABS-MBS CORP US N 2 2030-12-15 Floating 0.54975 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAF1 184625.450000 PA USD 66595.710000 0.0907151 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.70188 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 54745.780000 PA USD 49379.450000 0.0672635 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.95316 Y N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A3 N/A 589929R26 2164.320000 PA USD 2223.180000 0.0030284 Long ABS-MBS CORP US N 2 2033-05-25 Floating 1.92633 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-HE4 N/A 59023EAE8 410784.020000 PA USD 139536.020000 0.1900726 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.60188 N N N N N N ACE SECURITIES CORP 2006-HE4 N/A 00442BAB7 1257.780000 PA USD 667.770000 0.0009096 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.22188 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A 617526AA6 974074.960000 PA USD 750111.650000 1.0217838 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.23688 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAD2 462345.480000 PA USD 283160.210000 0.3857139 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.31188 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE4 N/A 61753VAA0 625173.750000 PA USD 331923.810000 0.4521385 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.23188 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC2 N/A 61753NAA8 486369.450000 PA USD 459401.040000 0.6257849 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.23188 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-1 N/A 61751QAB1 474903.990000 PA USD 293621.500000 0.3999641 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.20188 N N N N N N MORTGAGE EQUITY CONVER ASSET TR 2007-FF3 N/A 61911GAA2 248265.880000 PA USD 240416.460000 0.3274894 Long ABS-MBS CORP US N 2 2042-05-25 Floating 0.78 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AP2 N/A 65535VLL0 5856.440000 PA USD 3836.760000 0.0052263 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.476 Y N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-1 N/A 68400DAE4 863704.080000 PA USD 617829.290000 0.8415920 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.24188 N N N N N N PARK PLACE SECURITIES INC 2004-WWF1 N/A 70069FDM6 124410.580000 PA USD 129280.640000 0.1761029 Long ABS-MBS CORP US N 2 2034-12-25 Floating 1.75188 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC N/A 74143EAA0 290163.930000 PA USD 288252.270000 0.3926502 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 1.8677 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2 N/A 74143FAA7 384680.850000 PA USD 381677.840000 0.5199123 Long ABS-MBS CORP US N 2 2051-07-25 Variable 1.7436 N N N N N N PRIME MORTGAGE TRUST 2006-1 N/A 74161BAH8 23125.970000 PA USD 22733.360000 0.0309668 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 Y N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAF3 750398.270000 PA USD 374392.610000 0.5099885 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.586 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA5 N/A 75115BAB5 469327.930000 PA USD 243980.500000 0.3323443 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.46188 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 252983.220000 PA USD 246142.530000 0.3352894 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.47188 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA8 N/A 74922QAA0 429121.630000 PA USD 443996.060000 0.6048006 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.48188 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAC7 266211.530000 PA USD 252835.570000 0.3444065 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.27188 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA2 N/A 74922PAC8 146694.770000 PA USD 149404.160000 0.2035147 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.40188 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC3 N/A 76112BYZ7 700000.000000 PA USD 704957.820000 0.9602764 Long ABS-MBS CORP US N 2 2035-08-25 Floating 1.78188 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-EMX7 N/A 74924TAC8 21973.060000 PA USD 21921.900000 0.0298615 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.40188 N N N N N N SEC ASSET BACKED REC LLC 2006-FR4 N/A 81377GAA7 394772.850000 PA USD 167238.250000 0.2278079 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.18188 Y N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4 N/A 81375WFJ0 387657.310000 PA USD 360868.560000 0.4915664 Long ABS-MBS CORP US N 2 2036-01-25 Floating 1.06188 Y N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 218826.380000 PA USD 126312.250000 0.1720595 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.58188 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-OPT2 N/A 78420MAB5 285225.020000 PA USD 276713.020000 0.3769317 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.24188 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2009-20E N/A 83162CSN4 15027.870000 PA USD 16137.140000 0.0219816 Long ABS-O CORP US N 2 2029-05-01 Fixed 4.43 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAA9 716530.570000 PA USD 657649.170000 0.8958337 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.00275 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 2485.800000 PA USD 2339.470000 0.0031868 Long ABS-MBS CORP US N 2 2035-01-25 Floating 1.48203 Y N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGG0 1285.430000 PA USD 1297.380000 0.0017673 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.43096 N N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YU6 1070.400000 PA USD 1076.890000 0.0014669 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.40188 N N N N N N STRUCTURED ASSET SEC CORP 2006-EQ1A N/A 86360RAA1 83873.650000 PA USD 83200.710000 0.1133340 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.23688 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC5 N/A 86359SAD6 45407.700000 PA USD 44973.820000 0.0612622 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.44188 N N N N N N THEOREM FUNDING TRUST 2021-1A N/A 88339VAA6 466798.850000 PA USD 466022.380000 0.6348043 Long ABS-O CORP US N 2 2027-12-15 Fixed 1.21 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAE1 114926.490000 PA USD 96356.780000 0.1312549 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.81113 Y N N N N N UMBS PASS THRU POOLS N/A 01F020620 -700000.000000 PA USD -696339.320000 -0.9485365 Short ABS-MBS USGSE US N 2 2052-02-14 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F022626 -800000.000000 PA USD -814222.610000 -1.1091142 Short ABS-MBS USGSE US N 2 2051-02-11 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796S26 4600000.000000 PA USD 4599781.500000 6.2657104 Long DBT UST US N 2 2022-03-01 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796K81 2700000.000000 PA USD 2699990.440000 3.6778612 Long DBT UST US N 2 2022-01-20 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796N21 5800000.000000 PA USD 5799408.980000 7.8998137 Long DBT UST US N 2 2022-03-17 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796N47 31600000.000000 PA USD 31594389.100000 43.0371075 Long DBT UST US N 2 2022-04-07 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 105281.750000 PA USD 131074.030000 0.1785459 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 747547.410000 PA USD 1068411.720000 1.4553644 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 117475.000000 PA USD 151458.430000 0.2063130 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 72034.750000 PA USD 98602.660000 0.1343141 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAK6 41259.020000 PA USD 40948.560000 0.0557791 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.05135 Y N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 351.710000 PA USD 348.260000 0.0004744 Long ABS-MBS CORP US N 2 2042-11-25 Floating 1.28203 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 10758.190000 PA USD 10555.540000 0.0143785 Long ABS-MBS CORP US N 2 2046-10-25 Floating 1.725 N N N N N N WASHINGTON STATE CONVENTION CENTER PUBLIC FACILITIES DISTRICT N/A 93976AAH5 380000.000000 PA USD 496766.630000 0.6766834 Long DBT MUN US N 2 2040-07-01 Fixed 6.79 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR19 N/A 949789AA9 57284.750000 PA USD 57208.040000 0.0779274 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.71473 Y N N N N N N/A N/A 000000000 1.000000 NC USD 20589.330000 0.0280463 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A AMAZONCOM INC Y 2022-01-21 0.000000 USD 0.000000 USD 1020105.000000 USD 20589.330000 N N N N/A N/A 000000000 1.000000 NC USD 11941.680000 0.0162667 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-06-21 11594.710000 USD 0.000000 USD 700000.000000 USD 346.970000 N N N N/A N/A 000000000 1.000000 NC 10638.620000 0.0144917 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1413270.490000 USD 9061000.000000 CNY 2022-01-21 10638.620000 N N N N/A N/A 000000000 1.000000 NC 1870.010000 0.0025473 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 94218.720000 USD 71000.000000 GBP 2022-02-17 1870.010000 N N N N/A N/A 000000000 1.000000 NC 361.090000 0.0004919 N/A DFE MX N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 326395.780000 USD 6778000.000000 MXN 2022-03-18 361.090000 N N N N/A N/A 000000000 1.000000 NC 42465.690000 0.0578457 N/A DFE MX N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2667897.600000 USD 56072537.880000 MXN 2022-03-04 42465.690000 N N N N/A N/A 000000000 1.000000 NC -318.560000 -0.0004339 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 27516.000000 USD 2044425.040000 RUB 2022-01-24 -318.560000 N N N N/A N/A 000000000 1.000000 NC 505.240000 0.0006882 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 63001.100000 CAD 50307.430000 USD 2022-02-17 505.240000 N N N N/A N/A 000000000 1.000000 NC -602.950000 -0.0008213 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 75000.000000 GBP 100899.230000 USD 2022-02-17 -602.950000 N N N N/A N/A 000000000 1.000000 NC -41450.020000 -0.0564622 N/A DFE MX N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 56072537.880000 MXN 2693528.900000 USD 2022-01-12 -41450.020000 N N N N/A N/A 000000000 1.000000 NC 491.100000 0.0006690 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3838705.000000 TWD 139074.450000 USD 2022-01-14 491.100000 N N N N/A N/A 000000000 1.000000 NC 605.350000 0.0008246 N/A DFE TW N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 302727.000000 USD 8402188.000000 TWD 2022-01-14 605.350000 N N N N/A N/A 000000000 1.000000 NC -3232.110000 -0.0044027 N/A DFE MX N 2 BNP Paribas S.A. N/A 2738211.030000 USD 56072537.880000 MXN 2022-01-12 -3232.110000 N N N N/A N/A 000000000 1.000000 NC -2067.170000 -0.0028158 N/A DFE ZA N 2 BNP Paribas S.A. N/A 79759.000000 USD 1261021.690000 ZAR 2022-05-16 -2067.170000 N N N N/A N/A 000000000 1.000000 NC -1982.740000 -0.0027008 N/A DFE ZA N 2 BNP Paribas S.A. N/A 78238.000000 USD 1252410.430000 ZAR 2022-08-16 -1982.740000 N N N N/A N/A 000000000 1.000000 NC -1891.350000 -0.0025764 N/A DFE ZA N 2 BNP Paribas S.A. N/A 81978.000000 USD 1315337.010000 ZAR 2022-08-16 -1891.350000 N N N N/A N/A 000000000 1.000000 NC -2433.360000 -0.0033147 N/A DFE ZA N 2 BNP Paribas S.A. N/A 82843.000000 USD 1320641.680000 ZAR 2022-08-16 -2433.360000 N N N N/A N/A 000000000 1.000000 NC -2635.200000 -0.0035896 N/A DFE ZA N 2 BNP Paribas S.A. N/A 78106.000000 USD 1239526.600000 ZAR 2022-08-16 -2635.200000 N N N N/A N/A 000000000 1.000000 NC -388.800000 -0.0005296 N/A DFE ZA N 2 BNP Paribas S.A. N/A 13824.000000 USD 223088.220000 ZAR 2022-11-08 -388.800000 N N N N/A N/A 000000000 1.000000 NC USD 301.340000 0.0004105 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2026-06-21 0.000000 USD -1123.280000 USD 200000.000000 USD 1424.620000 N N N N/A N/A 000000000 1.000000 NC USD 2555.230000 0.0034807 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2023-06-21 860.640000 USD 0.000000 USD 400000.000000 USD 1694.590000 N N N N/A N/A OP0016HZ0 -300000.000000 NC USD -89.330000 -0.0001217 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 USD 0.000000 0.000000 DCR US N/A SWOP CDX HY37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 101.000000 USD 2022-01-19 XXXX 1290.670000 N N N N/A N/A OP0017S29 -1600000.000000 NC USD -337.490000 -0.0004597 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 USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2022-02-16 XXXX 1510.510000 N N N N/A N/A OP00165Y6 -1400000.000000 NC USD -56.220000 -0.0000766 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 IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2022-01-19 XXXX 1728.780000 N N N N/A N/A 000000000 1.000000 NC USD 14890.260000 0.0202831 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.37 Y Single Leg Swap 2026-12-22 14556.590000 USD 0.000000 USD 600000.000000 USD 333.670000 N N N N/A N/A 000000000 1.000000 NC 619.580000 0.0008440 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 70000.870000 USD 393355.900000 BRL 2022-01-04 619.580000 N N N N/A N/A 000000000 1.000000 NC 3705.490000 0.0050475 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 394819.340000 USD 2536000.000000 CNY 2022-01-21 3705.490000 N N N N/A N/A 000000000 1.000000 NC 11026.610000 0.0150202 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 294475.780000 USD 949695.000000 ILS 2022-01-31 11026.610000 N N N N/A N/A 000000000 1.000000 NC 10445.120000 0.0142281 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 279160.590000 USD 900270.000000 ILS 2022-02-02 10445.120000 N N N N/A N/A 000000000 1.000000 NC 54250.990000 0.0738994 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1458380.510000 USD 4700970.000000 ILS 2022-03-02 54250.990000 N N N ASSET BACKED SEC CORP HM EQ 2005-HE6 N/A 04541GTN2 104405.610000 PA USD 104744.680000 0.1426807 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.06188 N N N N N N N/A N/A 000000000 1.000000 NC -507.910000 -0.0006919 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 48028.000000 USD 3572072.890000 RUB 2022-01-24 -507.910000 N N N N/A N/A 000000000 1.000000 NC -132.880000 -0.0001810 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 393355.900000 BRL 70487.570000 USD 2022-01-04 -132.880000 N N N N/A N/A 000000000 1.000000 NC -11452.710000 -0.0156006 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 900270.000000 ILS 278153.000000 USD 2022-02-02 -11452.710000 N N N N/A N/A 000000000 1.000000 NC -12682.130000 -0.0172753 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 738675.000000 ILS 224938.340000 USD 2022-01-31 -12682.130000 N N N N/A N/A 000000000 1.000000 NC -21497.790000 -0.0292838 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1299870.000000 ILS 396761.490000 USD 2022-03-02 -21497.790000 N N N N/A N/A 000000000 1.000000 NC -13084.190000 -0.0178230 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 800160.000000 ILS 244383.360000 USD 2022-03-02 -13084.190000 N N N N/A N/A 000000000 1.000000 NC -32146.700000 -0.0437895 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1600640.000000 ILS 482891.360000 USD 2022-03-02 -32146.700000 N N N N/A N/A 000000000 1.000000 NC -11066.920000 -0.0150751 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 799984.000000 ILS 246901.020000 USD 2022-06-08 -11066.920000 N N N N/A N/A 000000000 1.000000 NC -13722.970000 -0.0186931 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 999900.000000 ILS 308711.160000 USD 2022-06-08 -13722.970000 N N N N/A N/A 000000000 1.000000 NC -5516.140000 -0.0075140 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1500525.000000 ILS 479140.720000 USD 2022-08-03 -5516.140000 N N N N/A N/A 000000000 1.000000 NC -2135.900000 -0.0029095 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 527650.000000 ILS 167601.050000 USD 2022-01-31 -2135.900000 N N N N/A N/A 000000000 1.000000 NC -520.690000 -0.0007093 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 105545.000000 ILS 33431.530000 USD 2022-01-31 -520.690000 N N N N/A N/A 000000000 1.000000 NC -1212.920000 -0.0016522 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 300150.000000 ILS 95943.610000 USD 2022-10-07 -1212.920000 N N N N/A N/A 000000000 1.000000 NC -1421.020000 -0.0019357 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 400240.000000 ILS 128249.170000 USD 2022-11-02 -1421.020000 N N N N/A N/A 000000000 1.000000 NC -675.560000 -0.0009202 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 200120.000000 ILS 64159.530000 USD 2022-11-02 -675.560000 N N N N/A N/A 000000000 1.000000 NC -1789.040000 -0.0024370 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 400080.000000 ILS 127984.640000 USD 2022-12-07 -1789.040000 N N N N/A N/A 000000000 1.000000 NC -896.390000 -0.0012210 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 200000.000000 ILS 63977.480000 USD 2022-12-07 -896.390000 N N N N/A N/A 000000000 1.000000 NC -13872.400000 -0.0188966 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7544000.000000 MXN 347636.950000 USD 2022-04-18 -13872.400000 N N N N/A N/A 000000000 1.000000 NC 13902.020000 0.0189370 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5127915.720000 ZAR 326124.370000 USD 2022-08-16 13902.020000 N N N N/A N/A 000000000 1.000000 NC 2904.460000 0.0039564 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1261021.690000 ZAR 80596.290000 USD 2022-05-16 2904.460000 N N N 2022-02-15 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer XXXX