NPORT-P false 0000810893 XXXXXXXX S000009704 C000200449 C000026631 C000026634 C000026636 C000026630 C000064152 C000026632 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO StocksPLUS Fund S000009704 C0FSZ71JI1IAVNM4U731 2022-03-31 2022-03-31 N 3088835440.980000 721674255.930000 2367161185.050000 0.000000 0.000000 2908846.190000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 28710185.560000 EUR ILS CAD GBP USD N N/A N/A 000000000 1.000000 NC -182.380000 -0.0000077 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1827.000000 USD 140098.200000 RUB 2022-04-21 -182.380000 N N N N/A N/A 000000000 1.000000 NC -200.890000 -0.0000085 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1877.000000 USD 147116.070000 RUB 2022-05-23 -200.890000 N N N N/A N/A 000000000 1.000000 NC -38220.460000 -0.0016146 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3144640.000000 ILS 951422.000000 USD 2022-08-01 -38220.460000 N N N N/A N/A 000000000 1.000000 NC -13749.570000 -0.0005808 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2599740.000000 ILS 800955.080000 USD 2022-04-06 -13749.570000 N N N N/A N/A 000000000 1.000000 NC -50418.510000 -0.0021299 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7914660.000000 ILS 2440386.040000 USD 2022-08-01 -50418.510000 N N N N/A N/A 000000000 1.000000 NC -18577.710000 -0.0007848 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3499930.000000 ILS 1080191.970000 USD 2022-06-08 -18577.710000 N N N N/A N/A 000000000 1.000000 NC -21831.270000 -0.0009223 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4199580.000000 ILS 1296586.860000 USD 2022-06-08 -21831.270000 N N N N/A N/A 000000000 1.000000 NC -112591.750000 -0.0047564 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 43102155.000000 ILS 13453237.510000 USD 2022-08-03 -112591.750000 N N N N/A N/A 000000000 1.000000 NC -63925.820000 -0.0027005 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 24201210.000000 ILS 7553082.720000 USD 2022-08-03 -63925.820000 N N N N/A N/A 000000000 1.000000 NC 9927.380000 0.0004194 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2501250.000000 ILS 799530.110000 USD 2022-10-07 9927.380000 N N N N/A N/A 000000000 1.000000 NC 54364.920000 0.0022966 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12607560.000000 ILS 4039848.760000 USD 2022-11-02 54364.920000 N N N N/A N/A 000000000 1.000000 NC 24242.900000 0.0010241 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5403240.000000 ILS 1732307.400000 USD 2022-11-02 24242.900000 N N N N/A N/A 000000000 1.000000 NC 44365.920000 0.0018742 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 13902780.000000 ILS 4447466.410000 USD 2022-12-07 44365.920000 N N N N/A N/A 000000000 1.000000 NC 27355.930000 0.0011556 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8600000.000000 ILS 2751031.640000 USD 2022-12-07 27355.930000 N N N N/A N/A 000000000 1.000000 NC 297.800000 0.0000126 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3699260.000000 ILS 1173623.100000 USD 2023-01-04 297.800000 N N N ATRIUM XII 12A N/A 04965CAJ7 4112340.620000 PA USD 4089380.480000 0.1727546 Long ABS-CBDO CORP KY N 2 2027-04-22 Floating 1.08886 N N N N N N N/A N/A 000000000 1.000000 NC -240737.130000 -0.0101699 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 59109000.000000 MXN 2723816.630000 USD 2022-04-18 -240737.130000 N N N AUSTIN FAIRMONT HOTEL TRUST 2019-FAIR N/A 05223HAA0 3605000.000000 PA USD 3569882.250000 0.1508086 Long ABS-MBS CORP US N 2 2032-09-15 Floating 1.447 N N N N N N N/A N/A 000000000 1.000000 NC 627.550000 0.0000265 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 62274.000000 USD 422956.290000 DKK 2022-04-01 627.550000 N N N N/A N/A 000000000 1.000000 NC -165.260000 -0.0000070 N/A DFE RU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1825.000000 USD 141386.220000 RUB 2022-04-21 -165.260000 N N N N/A N/A 000000000 1.000000 NC -123.360000 -0.0000052 N/A DFE RU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1369.000000 USD 106110.640000 RUB 2022-04-21 -123.360000 N N N N/A N/A 000000000 1.000000 NC -209.620000 -0.0000089 N/A DFE RU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2037.000000 USD 160393.380000 RUB 2022-05-23 -209.620000 N N N N/A N/A 000000000 1.000000 NC -606.330000 -0.0000256 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 421368.300000 DKK 62274.000000 USD 2022-07-01 -606.330000 N N N AVANT LOANS FUNDING TRUST 2021-REV1 N/A 05353LAA3 5000000.000000 PA USD 4835990.000000 0.2042949 Long ABS-O CORP US N 2 2030-07-15 Fixed 1.21 N N N N N N N/A N/A 000000000 1.000000 NC USD 19984.280000 0.0008442 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 FORD MOTOR COMPANY FORD MOTOR COMPANY SR UNSEC Y Single Leg Swap 2022-06-22 68629.900000 USD 0.000000 USD 1900000.000000 USD -48645.620000 N N N N/A N/A 000000000 1.000000 NC USD 24391.450000 0.0010304 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-06-21 15299.190000 USD 0.000000 USD 2000000.000000 USD 9092.260000 N N N N/A N/A 000000000 1.000000 NC USD 2875.410000 0.0001215 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-22 3483.550000 USD 0.000000 USD 300000.000000 USD -608.140000 N N N N/A N/A 000000000 1.000000 NC USD 1101341.590000 0.0465258 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SRUNSEC Y Single Leg Swap 2026-12-22 1393288.410000 USD 0.000000 USD 7500000.000000 USD -291946.820000 N N N N/A N/A 000000000 -16.000000 NC 89821.550000 0.0037945 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-06-08 -2808281.390000 EUR 89821.550000 N N N N/A N/A 000000000 1.000000 NC 472935.270000 0.0199790 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7957508.450000 USD 41200000.000000 BRL 2022-07-05 472935.270000 N N N N/A N/A 000000000 1.000000 NC -165.950000 -0.0000070 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1719.000000 USD 132297.680000 RUB 2022-04-21 -165.950000 N N N N/A N/A 000000000 1.000000 NC -167.920000 -0.0000071 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1719.000000 USD 132130.080000 RUB 2022-04-21 -167.920000 N N N N/A N/A 000000000 1.000000 NC -188.780000 -0.0000080 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1811.000000 USD 138190.170000 RUB 2022-04-21 -188.780000 N N N N/A N/A 000000000 1.000000 NC -188.210000 -0.0000080 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1811.000000 USD 138238.700000 RUB 2022-04-21 -188.210000 N N N N/A N/A 000000000 1.000000 NC -282.240000 -0.0000119 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2724.000000 USD 208003.280000 RUB 2022-04-21 -282.240000 N N N N/A N/A 000000000 1.000000 NC -196.910000 -0.0000083 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1865.000000 USD 146411.830000 RUB 2022-05-23 -196.910000 N N N N/A N/A 000000000 1.000000 NC -35135.020000 -0.0014843 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1200000.000000 BRL 210411.880000 USD 2022-07-05 -35135.020000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAM3 400000.000000 PA USD 365710.380000 0.0154493 Long DBT CORP KY N 2 2026-02-21 Fixed 2.125 N N N N N N N/A N/A 000000000 1.000000 NC -2429.170000 -0.0001026 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1497362.420000 USD 1138000.000000 GBP 2022-04-04 -2429.170000 N N N N/A N/A 000000000 1.000000 NC -1308.150000 -0.0000553 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 997054.550000 USD 758000.000000 GBP 2022-04-04 -1308.150000 N N N N/A N/A 000000000 1.000000 NC -31937.250000 -0.0013492 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3929000.000000 CAD 3110868.370000 USD 2022-04-04 -31937.250000 N N N N/A N/A 000000000 1.000000 NC 9926.680000 0.0004193 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 417000.000000 GBP 557718.570000 USD 2022-04-04 9926.680000 N N N N/A N/A 000000000 1.000000 NC 2482.840000 0.0001049 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 109000.000000 GBP 145670.650000 USD 2022-04-04 2482.840000 N N N N/A N/A 000000000 1.000000 NC -159.130000 -0.0000067 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 178000.000000 GBP 233670.500000 USD 2022-04-04 -159.130000 N N N N/A N/A 000000000 1.000000 NC 9973.650000 0.0004213 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1330000.000000 DKK 207769.640000 USD 2022-04-01 9973.650000 N N N N/A N/A 000000000 1.000000 NC USD 672.770000 0.0000284 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX ASIA EX-JAPAN IG SERIES 37 Y Single Leg Swap 2027-06-22 0.000000 USD -22535.050000 USD 4600000.000000 USD 23207.820000 N N N N/A N/A OP001HY87 -700000.000000 NC -2663.060000 -0.0001125 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 5.250000 EUR 2022-06-15 XXXX 4861.410000 N N N N/A N/A OP001H2F6 -200000.000000 NC -873.070000 -0.0000369 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 XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 5.000000 EUR 2022-06-15 XXXX 1070.280000 N N N N/A N/A OP001FKP8 -500000.000000 NC -494.580000 -0.0000209 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 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 2022-04-20 XXXX 1842.180000 N N N N/A N/A OP001DXZ7 -400000.000000 NC -538.590000 -0.0000228 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 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 2022-04-20 XXXX 1293.970000 N N N N/A N/A OP001H8B9 -300000.000000 NC -1309.610000 -0.0000553 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 5.000000 EUR 2022-06-15 XXXX 1571.130000 N N N N/A N/A OP001FDL5 -500000.000000 NC -673.240000 -0.0000284 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 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 2022-04-20 XXXX 1745.920000 N N N N/A N/A OP001G227 -500000.000000 NC -1911.840000 -0.0000808 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX 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 2022-05-18 XXXX 1545.080000 N N N N/A N/A OP001DF87 -4900000.000000 NC -18736.070000 -0.0007915 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 2022-05-18 XXXX 10307.090000 N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-RLJ N/A 05492HAA4 5000000.000000 PA USD 4976263.500000 0.2102207 Long ABS-MBS CORP US N 2 2036-04-15 Floating 1.447 N N N N N N N/A N/A OP001CTF8 -3700000.000000 NC -885.630000 -0.0000374 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 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 0.900000 EUR 2022-04-20 XXXX 3454.140000 N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-RLJ N/A 05492HAG1 3700000.000000 PA USD 3668288.410000 0.1549657 Long ABS-MBS CORP US N 2 2036-04-15 Floating 1.747 N N N N N N N/A N/A OP001DFY0 -2000000.000000 NC -1829.320000 -0.0000773 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 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 0.900000 EUR 2022-05-18 XXXX 327.070000 N N N N/A N/A OP001FDM3 -9900000.000000 NC -12288.550000 -0.0005191 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 1.000000 EUR 2022-06-15 XXXX 7525.300000 N N N N/A N/A OP001DZX0 -2000000.000000 NC -2247.370000 -0.0000949 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 0.850000 EUR 2022-05-18 XXXX 503.650000 N N N N/A N/A OP001DKN8 -2000000.000000 NC -2247.370000 -0.0000949 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 0.850000 EUR 2022-05-18 XXXX 195.140000 N N N N/A N/A OP001F526 -2000000.000000 NC -1829.320000 -0.0000773 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 0.900000 EUR 2022-05-18 XXXX 888.900000 N N N N/A N/A OP001JJB3 -3900000.000000 NC -4840.950000 -0.0002045 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 1.000000 EUR 2022-06-15 XXXX 5566.490000 N N N N/A N/A OP001HSL5 -2900000.000000 NC -2239.880000 -0.0000946 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 1.200000 EUR 2022-06-15 XXXX 1993.610000 N N N N/A N/A OP001L267 -1200000.000000 NC -2228.980000 -0.0000942 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 MAIN37 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.200000 EUR 2022-07-20 XXXX 1428.920000 N N N N/A N/A 000000000 1.000000 NC 323787.750000 0.0136783 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3850509.630000 USD 20400000.000000 BRL 2022-07-05 323787.750000 N N N N/A N/A 000000000 1.000000 NC 87982.550000 0.0037168 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1119289.730000 USD 5900000.000000 BRL 2022-07-05 87982.550000 N N N N/A N/A 000000000 1.000000 NC 823.260000 0.0000348 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 101572.000000 USD 688515.960000 DKK 2022-04-01 823.260000 N N N N/A N/A 000000000 1.000000 NC -333697.610000 -0.0140970 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 50907839.020000 USD 45716748.000000 EUR 2022-04-04 -333697.610000 N N N N/A N/A 000000000 1.000000 NC -211.030000 -0.0000089 N/A DFE RU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1817.000000 USD 140959.230000 RUB 2022-05-23 -211.030000 N N N N/A N/A 000000000 1.000000 NC 24.000000 0.0000010 N/A DFE SG N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5418.000000 USD 7376.010000 SGD 2022-06-15 24.000000 N N N N/A N/A 000000000 1.000000 NC -49781.300000 -0.0021030 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3636000.000000 CAD 2858653.730000 USD 2022-04-04 -49781.300000 N N N N/A N/A 000000000 1.000000 NC -1391.420000 -0.0000588 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 258000.000000 CAD 204982.680000 USD 2022-04-04 -1391.420000 N N N N/A N/A 000000000 1.000000 NC 4299.050000 0.0001816 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3591000.000000 CAD 2876738.600000 USD 2022-04-04 4299.050000 N N N N/A N/A 000000000 1.000000 NC -789.110000 -0.0000333 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 685933.490000 DKK 101572.000000 USD 2022-07-01 -789.110000 N N N N/A N/A 000000000 1.000000 NC 334845.710000 0.0141455 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 45716748.000000 EUR 50952170.550000 USD 2022-05-03 334845.710000 N N N N/A N/A 000000000 1.000000 NC 50042.400000 0.0021140 N/A DFE CA N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 3092763.220000 USD 3929000.000000 CAD 2022-04-04 50042.400000 N N N N/A N/A 000000000 1.000000 NC 65565.210000 0.0027698 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 2910924.160000 USD 59963000.000000 MXN 2022-06-15 65565.210000 N N N N/A N/A 000000000 3871.000000 NC USD 62738115.850000 2.6503525 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long S&P 500 INDEX N/A N/A 2022-06-17 876926662.500000 USD 62738115.850000 N N N N/A N/A 000000000 1.000000 NC USD 572714.100000 0.0241941 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2022-05-18 0.000000 USD 0.000000 USD 15690325.080000 USD 572714.100000 N N N N/A N/A 000000000 1.000000 NC USD 11727804.940000 0.4954375 N/A DE US N 2 HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 S&P 500 INDEX N/A N/A Y 2022-05-04 0.000000 USD 0.000000 USD 96477257.170000 USD 11727804.940000 N N N N/A N/A 000000000 1.000000 NC USD 40303277.580000 1.7025996 N/A DE US N 2 Wells Fargo Trust Company, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2022-04-20 0.000000 USD 0.000000 USD 228551156.760000 USD 40303277.580000 N N N N/A N/A 000000000 1.000000 NC USD 14091864.800000 0.5953065 N/A DE US N 2 HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 S&P 500 INDEX N/A N/A Y 2022-05-25 0.000000 USD 0.000000 USD 149995897.640000 USD 14091864.800000 N N N N/A N/A 000000000 1.000000 NC USD 59884.020000 0.0025298 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 S&P 500 INDEX N/A N/A Y 2022-04-20 0.000000 USD 0.000000 USD 11752165.760000 USD 59884.020000 N N N N/A N/A 000000000 1.000000 NC USD 146211.500000 0.0061767 N/A DE US N 2 Wells Fargo Trust Company, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2022-04-20 0.000000 USD 0.000000 USD 28693845.480000 USD 146211.500000 N N N N/A N/A 000000000 1.000000 NC USD 129188.810000 0.0054575 N/A DE US N 2 HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 S&P 500 INDEX N/A N/A Y 2022-06-22 0.000000 USD 0.000000 USD 8961307.440000 USD 129188.810000 N N N N/A N/A 000000000 1.000000 NC USD 15186848.610000 0.6415638 N/A DE US N 2 HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 S&P 500 INDEX N/A N/A Y 2022-07-06 0.000000 USD 0.000000 USD 190496793.310000 USD 15186848.610000 N N N N/A N/A 000000000 1.000000 NC USD 5751715.880000 0.2429795 N/A DE US N 2 Wells Fargo Trust Company, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2022-07-06 0.000000 USD 0.000000 USD 72002369.850000 USD 5751715.880000 N N N N/A N/A 000000000 1.000000 NC USD 9053265.960000 0.3824525 N/A DE US N 2 Wells Fargo Trust Company, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2022-11-09 0.000000 USD 0.000000 USD 211846647.580000 USD 9053265.960000 N N N N/A N/A 000000000 1.000000 NC USD 282718.480000 0.0119434 N/A DE US N 2 HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 S&P 500 INDEX N/A N/A Y 2022-08-10 0.000000 USD 0.000000 USD 56014553.140000 USD 282718.480000 N N N N/A N/A 000000000 1.000000 NC USD -79441.740000 -0.0033560 N/A DE US N 2 HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 S&P 500 INDEX N/A N/A Y 2022-11-23 0.000000 USD 0.000000 USD 135392885.750000 USD -79441.740000 N N N N/A N/A 000000000 1.000000 NC USD -557500.930000 -0.0235515 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2022-09-21 0.000000 USD 0.000000 USD 11774316.940000 USD -557500.930000 N N N N/A N/A 000000000 1.000000 NC USD 1324093.000000 0.0559359 N/A DE US N 2 Wells Fargo Trust Company, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2022-11-16 0.000000 USD 0.000000 USD 33225177.020000 USD 1324093.000000 N N N N/A N/A 000000000 1.000000 NC USD 1144684.080000 0.0483568 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2023-02-22 0.000000 USD 0.000000 USD 31187736.340000 USD 1144684.080000 N N N N/A N/A 000000000 1.000000 NC USD 4048050.500000 0.1710087 N/A DE US N 2 Wells Fargo Trust Company, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2022-08-03 0.000000 USD 0.000000 USD 110530439.940000 USD 4048050.500000 N N N N/A N/A 000000000 1.000000 NC USD 85024.140000 0.0035918 N/A DCR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 SAUDI ARABIA GOVT SAUDI INTERNATIONAL BOND Y Single Leg Swap 2023-06-21 55694.580000 USD 0.000000 USD 8400000.000000 USD 29329.560000 N N N N/A N/A 000000000 1.000000 NC -573.060000 -0.0000242 N/A DFE RU N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 4674.000000 USD 359948.360000 RUB 2022-05-23 -573.060000 N N N N/A N/A 000000000 1.000000 NC -267.890000 -0.0000113 N/A DFE RU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2574.000000 USD 196447.680000 RUB 2022-04-21 -267.890000 N N N N/A N/A 000000000 1.000000 NC 859586.870000 0.0363130 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 46735748.000000 EUR 52560996.790000 USD 2022-04-04 859586.870000 N N N N/A N/A 000000000 1.000000 NC 1996655.770000 0.0843481 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 70150000.000000 GBP 94149175.740000 USD 2022-04-04 1996655.770000 N N N N/A N/A 000000000 1.000000 NC 804295.370000 0.0339772 N/A DCR NL N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 STELLANTIS NV FIAT CHRYSLER AUTOMOBILE SR UNSEC Y Single Leg Swap 2026-06-23 1065385.310000 EUR 0.000000 EUR 4600000.000000 EUR -261089.940000 N N N N/A N/A 000000000 1.000000 NC 221450.940000 0.0093551 N/A DCR NL N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 STELLANTIS NV FIAT CHRYSLER AUTOMOBILE SR UNSEC Y Single Leg Swap 2026-12-22 277751.460000 EUR 0.000000 EUR 1200000.000000 EUR -56300.520000 N N N N/A N/A 000000000 1.000000 NC -41975.530000 -0.0017732 N/A DIR CA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 0.000000 CAD -46692.230000 CAD 1800000.000000 CAD 4716.700000 N N N N/A N/A 000000000 1.000000 NC -53635.210000 -0.0022658 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 0.000000 CAD -13171.990000 CAD 2300000.000000 CAD -40463.220000 N N N N/A N/A 000000000 1.000000 NC USD -5739243.210000 -0.2424526 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-07-08 0.000000 USD 0.000000 USD 119600000.000000 USD -5739243.210000 N N N N/A N/A 000000000 1.000000 NC USD -2583422.510000 -0.1091359 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-07-22 0.000000 USD 0.000000 USD 53900000.000000 USD -2583422.510000 N N N N/A N/A 000000000 1.000000 NC USD 5886256.340000 0.2486631 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-06-16 992088.510000 USD 0.000000 USD 72100000.000000 USD 4894167.830000 N N N N/A N/A 000000000 1.000000 NC USD -3056456.450000 -0.1291191 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 -1476105.590000 USD 27100000.000000 USD -1580350.860000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKN8 3600000.000000 PA USD 3633627.640000 0.1535015 Long DBT CORP US N 2 2026-04-02 Floating 1.61627 N N N N N N N/A N/A 000000000 1.000000 NC USD -2739806.070000 -0.1157423 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-06-16 0.000000 USD -1348095.020000 USD 20000000.000000 USD -1391711.050000 N N N N/A N/A 000000000 1.000000 NC USD 2431116.260000 0.1027018 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-06-19 0.000000 USD -2624685.110000 USD 219600000.000000 USD 5055801.370000 N N N N/A N/A 000000000 1.000000 NC USD 2682204.160000 0.1133089 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-07-07 0.000000 USD 0.000000 USD 28000000.000000 USD 2682204.160000 N N N N/A N/A 000000000 1.000000 NC USD 1940658.280000 0.0819825 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-06-16 1665147.860000 USD 0.000000 USD 8700000.000000 USD 275510.420000 N N N N/A N/A 000000000 1.000000 NC USD -6332779.650000 -0.2675263 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 3587412.020000 USD 0.000000 USD 74200000.000000 USD -9920191.670000 N N N N/A N/A 000000000 1.000000 NC USD 597894.050000 0.0252579 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 -628539.060000 USD 15200000.000000 USD 1226433.110000 N N N N/A N/A 000000000 1.000000 NC USD 1050093.170000 0.0443609 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 0.000000 USD 11500000.000000 USD 1050093.170000 N N N N/A N/A 000000000 1.000000 NC USD 616081.590000 0.0260262 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 -202186.430000 USD 11300000.000000 USD 818268.020000 N N N N/A N/A 000000000 1.000000 NC USD 112005.960000 0.0047317 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-18 0.000000 USD -1242.820000 USD 800000.000000 USD 113248.780000 N N N N/A N/A 000000000 1.000000 NC USD 250324.410000 0.0105749 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-24 0.000000 USD -13003.370000 USD 2200000.000000 USD 263327.780000 N N N N/A N/A 000000000 1.000000 NC USD 8790.330000 0.0003713 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-02-07 0.000000 USD -387.350000 USD 100000.000000 USD 9177.680000 N N N N/A N/A 000000000 1.000000 NC USD 200244.870000 0.0084593 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-01-15 0.000000 USD -36357.130000 USD 7700000.000000 USD 236602.000000 N N N N/A N/A 000000000 1.000000 NC USD 24258.770000 0.0010248 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-18 0.000000 USD -2879.770000 USD 400000.000000 USD 27138.540000 N N N N/A N/A 000000000 1.000000 NC USD 70616.430000 0.0029832 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-03-21 0.000000 USD -21070.990000 USD 1100000.000000 USD 91687.420000 N N N N/A N/A 000000000 1.000000 NC USD 8358.240000 0.0003531 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-13 0.000000 USD -2590.850000 USD 1100000.000000 USD 10949.090000 N N N N/A N/A 000000000 1.000000 NC -210.420000 -0.0000089 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 1920.000000 USD 150053.760000 RUB 2022-05-23 -210.420000 N N N N/A N/A 000000000 1.000000 NC -211.330000 -0.0000089 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 1902.000000 USD 148394.040000 RUB 2022-05-23 -211.330000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 2200000.000000 PA USD 2255747.600000 0.0952934 Long DBT CORP GB N 2 2022-11-21 Fixed 7.625 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBA2 500000.000000 PA USD 519517.500000 0.0219469 Long DBT CORP GB N 2 2023-09-15 Floating 7.75 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI0SSSH6 2200000.000000 PA 2973175.280000 0.1256009 Long DBT CORP GB N 2 2023-03-15 Floating 7.25 N N N N Y BARCLAYS PLC GBP XXXX N N N N/A N/A 000000000 -2.000000 NC 3636.680000 0.0001536 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2022-06-28 -318507.480000 GBP 3636.680000 N N N N/A N/A 000000000 -135.000000 NC USD 488132.600000 0.0206210 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-06-21 -16570195.380000 USD 488132.600000 N N N N/A N/A 000000000 329.000000 NC USD -1006646.990000 -0.0425255 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-06-30 69679886.470000 USD -1006646.990000 N N N N/A N/A 000000000 311.000000 NC USD -996159.010000 -0.0420824 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-06-30 35625292.890000 USD -996159.010000 N N N N/A N/A 000000000 108.000000 NC USD -486155.520000 -0.0205375 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-06-21 16215187.500000 USD -486155.520000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAN5 200000.000000 PA USD 204369.620000 0.0086335 Long DBT CORP GB N 2 2026-01-12 Fixed 4.375 N N N N N N N/A N/A 000000000 -153.000000 NC USD 804217.260000 0.0339739 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-06-21 -27078609.380000 USD 804217.260000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAP0 400000.000000 PA USD 416690.000000 0.0176029 Long DBT CORP GB N 2 2026-05-12 Fixed 5.2 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAW5 300000.000000 PA USD 306694.400000 0.0129562 Long DBT CORP GB N 2 2028-05-09 Fixed 4.836 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 263865.290000 PA USD 227303.900000 0.0096024 Long ABS-MBS CORP US N 2 2036-01-26 Floating 2.72768 Y N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAC9 178735.680000 PA USD 153463.030000 0.0064830 Long ABS-MBS CORP US N 2 2046-12-26 Floating 2.33951 Y N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZQ8 12096.880000 PA USD 11879.070000 0.0005018 Long ABS-MBS CORP US N 2 2034-01-25 Floating 2.32096 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 173886.520000 PA USD 177218.120000 0.0074865 Long ABS-MBS CORP US N 2 2034-01-25 Floating 2.48237 N N N N N N BEAR STEARNS ALT-A TR 2004-12 N/A 07386HNV9 1211334.910000 PA USD 1206051.670000 0.0509493 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.03157 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 77821.650000 PA USD 57479.360000 0.0024282 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.87412 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AV3 3429316.130000 PA USD 2459514.100000 0.1039014 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.0506 N N N N N N BEAR STEARNS ARM 2003-1 N/A 07384MTN2 11039.890000 PA USD 11591.660000 0.0004897 Long ABS-MBS CORP US N 2 2033-04-25 Floating 2.51168 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSJ2 5032.230000 PA USD 4608.730000 0.0001947 Long ABS-MBS CORP US N 2 2033-02-25 Floating 2.83814 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9 N/A 07389MAC1 815000.000000 PA USD 771173.050000 0.0325780 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.68657 N N N N N N BENEFIT STREET PARTNERS CLO XVII LTD N/A 08182BAL2 12400000.000000 PA USD 12307066.220000 0.5199082 Long ABS-CBDO CORP KY N 2 2032-07-15 Floating 1.32129 N N N N N N BGCLO 19A N/A 09075JAL3 1600000.000000 PA USD 1593491.070000 0.0673165 Long ABS-CBDO CORP KY N 2 2031-06-15 Floating 1.956 N N N N N N BHR 2018-PRME N/A 10482TAA0 3200000.000000 PA USD 3168248.640000 0.1338417 Long ABS-MBS CORP US N 2 2035-06-15 Floating 1.217 N N N N N N BLACK DIAMOND CLO 2015-1 DESIGNATED ACTIVITY CO 15-1A N/A ACI0ZL547 162422.260000 PA 178855.570000 0.0075557 Long ABS-CBDO CORP IE N 2 2029-10-03 Floating 0.65 N N N N N N BLACK DIAMOND CLO 2015-1 DESIGNATED ACTIVITY CO 15-1A N/A ACI0ZL539 101984.160000 PA USD 101980.040000 0.0043081 Long ABS-CBDO CORP IE N 2 2029-10-03 Floating 2.01157 N N N N N N BLACK DIAMOND CLO 2017-2 DAC N/A ACI1XBRF0 3900000.000000 PA 4301369.370000 0.1817100 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 0.86 N N N N N N BLUEMOUNTAIN FUJI EUR CLO III DAC 3A N/A ACI1XNPD1 3150000.000000 PA 3458132.340000 0.1460877 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 0.72 N N N N N N BLUEMOUNTAIN FUJI EUR CLO III DAC 3A N/A ACI1XNNH4 500000.000000 PA 541694.750000 0.0228837 Long ABS-CBDO CORP IE N 2 2031-01-15 Fixed 1.05 N N N N N N BMO 2022-C1 MORTGAGE TRUST N/A 05609MCJ2 5737000.000000 PA USD 5589002.040000 0.2361057 Long ABS-MBS CORP US N 2 2039-02-15 Variable 3.26922 N N N N N N BNPAM-2018-1A N/A ACI1W1J88 1150000.000000 PA 1261442.130000 0.0532892 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 0.6 N N N N N N BOC AVIATION (USA) CORPORATION 254900QKLTY6MF4Y3P65 66980P2A6 350000.000000 PA USD 336399.020000 0.0142111 Long DBT CORP US N 2 2024-04-29 Fixed 1.625 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAQ4 664000.000000 PA USD 674016.180000 0.0284736 Long DBT CORP US N 2 2030-11-15 Fixed 4.15 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAS0 600000.000000 PA USD 610066.280000 0.0257721 Long DBT CORP US N 2 2032-11-15 Fixed 4.3 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBK6 3200000.000000 PA USD 2992507.390000 0.1264176 Long DBT CORP US N 2 2033-04-15 Fixed 3.419 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBL4 1250000.000000 PA USD 1160276.980000 0.0490155 Long DBT CORP US N 2 2034-04-15 Fixed 3.469 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBQ3 36000.000000 PA USD 31326.680000 0.0013234 Long DBT CORP US N 2 2036-11-15 Fixed 3.187 N N N N N N BSPRT-2021-FL6 N/A 05601HAA2 11200000.000000 PA USD 11064501.950000 0.4674165 Long ABS-CBDO CORP KY N 2 2036-03-15 Floating 1.49657 N N N N N N BSREP COMMERCIAL MORTGAGE TRUST 2021-DC N/A 05591UAC1 12300000.000000 PA USD 12075971.490000 0.5101457 Long ABS-MBS CORP US N 2 2038-08-15 Floating 1.747 N N N N N N BWAY MORTGAGE TRUST 2021-1450 N/A 12430YAA8 5000000.000000 PA USD 4948873.500000 0.2090636 Long ABS-MBS CORP US N 2 2036-09-15 Floating 1.64657 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2021-MC N/A 05608GAA7 10500000.000000 PA USD 10363994.550000 0.4378238 Long ABS-MBS CORP US N 2 2034-04-15 Floating 1.097 N N N N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 600000.000000 PA 656195.340000 0.0277208 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.78 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -3400000.000000 PA -2908846.190000 -0.1228833 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 750000.000000 PA 822220.130000 0.0347344 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 0.7 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A N/A ACI1XGH29 1550000.000000 PA 1699780.350000 0.0718067 Long ABS-CBDO CORP IE N 2 2031-11-15 Floating 0.75 N N N N N N CARLYLE US CLO LTD 2017-1A N/A 14314BAL1 1700000.000000 PA USD 1688950.000000 0.0713492 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 1.254 N N N N N N CATAMARAN CLO LTD 2014-1A N/A 14889DAJ7 2984689.230000 PA USD 2972648.840000 0.1255786 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 1.35886 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BB9 7300000.000000 PA USD 7327289.010000 0.3095391 Long DBT CORP US N 2 2022-07-23 Fixed 4.464 N N N N N N CHASE FUNDING MORTGAGE LOAN AS 2002-4 N/A 161546DQ6 67515.330000 PA USD 66242.250000 0.0027984 Long ABS-MBS CORP US N 2 2032-10-25 Floating 1.19657 N N N N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 1700000.000000 PA USD 1690334.280000 0.0714077 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 1.20886 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAA0 1371108.190000 PA USD 1373040.080000 0.0580037 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.80657 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LM1 3100000.000000 PA USD 3104738.750000 0.1311587 Long DBT CORP US N 2 2023-07-24 Floating 2.876 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2007-FS1 N/A 17313EAA3 161535.500000 PA USD 157596.230000 0.0066576 Long ABS-MBS CORP US N 2 2037-10-25 Variable 5.75 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL3 N/A 17312GAA9 392532.770000 PA USD 307766.140000 0.0130015 Long ABS-MBS CORP US N 2 2045-07-25 Floating 0.51657 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 918440.040000 PA USD 601354.590000 0.0254040 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.61657 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-WFH4 N/A 17313JAF1 998634.830000 PA USD 1000257.410000 0.0422556 Long ABS-MBS CORP US N 2 2037-07-25 Floating 2.10657 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 31756.610000 PA USD 31643.220000 0.0013368 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.47 N N N N N N CITRIX SYSTEMS INC HCTKJGUQOPZ5NBK7NP58 177376AG5 1300000.000000 PA USD 1265509.140000 0.0534610 Long DBT CORP US N 2 2026-03-01 Fixed 1.25 N N N N N N CLECO POWER LLC TM1ZH54SJKLNHFCBFK92 185508AH1 6400000.000000 PA USD 6399436.860000 0.2703423 Long DBT CORP US N 2 2023-06-15 Floating 1.326 N N N N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A 12564NAA0 5480000.000000 PA USD 5406755.420000 0.2284067 Long ABS-MBS CORP US N 2 2038-11-15 Floating 1.526 N N N N N N COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2014-277P N/A 12592FAA3 2700000.000000 PA USD 2703812.940000 0.1142218 Long ABS-MBS CORP US N 2 2049-08-10 Variable 3.6113 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-OC3 N/A 021464AA0 1965803.600000 PA USD 1937877.390000 0.0818650 Long ABS-MBS CORP US N 2 2046-04-25 Floating 0.81657 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-3 N/A 1266714M5 481758.810000 PA USD 469018.510000 0.0198135 Long ABS-MBS CORP US N 2 2034-08-25 Floating 0.85657 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-14 N/A 126670LS5 8899999.990000 PA USD 8800893.150000 0.3717910 Long ABS-MBS CORP US N 2 2036-04-25 Floating 1.55157 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-16 N/A 23242FAA4 8215677.290000 PA USD 7854088.080000 0.3317935 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.73657 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAA9 1495673.940000 PA USD 1409596.860000 0.0595480 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.59657 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-2 N/A 12668NAA5 286956.880000 PA USD 265401.940000 0.0112118 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.59657 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAA8 367635.210000 PA USD 340089.150000 0.0143670 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.65657 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KK3 558572.590000 PA USD 527866.120000 0.0222995 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.99657 N N N N N N COUNTRYWIDE HOME LOANS 2005-24 N/A 126694JX7 817121.090000 PA USD 574870.340000 0.0242852 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N CREDIT BASED ASSET SRVC & SEC 2007-SP2 N/A 1248MHAG7 1888000.000000 PA USD 1861813.060000 0.0786517 Long ABS-MBS CORP US N 2 2046-03-25 Floating 1.50657 N N N N N N CREDIT SUISSE AG/ ZURICH BRANCH ANGGYXNX0JLX3X63JN86 22546DAA4 2500000.000000 PA USD 2569525.000000 0.1085488 Long DBT CORP CH N 2 2023-08-08 Fixed 6.5 N N N N N N CREDIT SUISSE AG/ ZURICH BRANCH ANGGYXNX0JLX3X63JN86 ACI06K5Q2 2400000.000000 PA USD 2466744.000000 0.1042068 Long DBT CORP CH N 2 2023-08-08 Fixed 6.5 N N N N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A 22540VK43 38332.470000 PA USD 36666.740000 0.0015490 Long ABS-MBS CORP US N 2 2032-03-25 Floating 0.419662 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 22546DAB2 2300000.000000 PA USD 2384812.500000 0.1007457 Long DBT CORP CH N 2 2023-12-11 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AJ7 400000.000000 PA USD 407100.000000 0.0171978 Long DBT CORP CH N 2 2023-07-17 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 H3698DBW3 400000.000000 PA USD 407100.000000 0.0171978 Long DBT CORP CH N 2 2023-07-17 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AP3 250000.000000 PA USD 247056.900000 0.0104368 Long DBT CORP CH N 2 2031-04-01 Floating 4.194 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2021-RPL9 N/A 12658XAC1 3870009.620000 PA USD 3696430.400000 0.1561546 Long ABS-MBS CORP US N 2 2061-02-25 Fixed 2.43639 N N N N N N CREDIT-BASED ASSET SERVC SEC 2005-CB3 N/A 12489WLH5 1995000.000000 PA USD 1970474.670000 0.0832421 Long ABS-MBS CORP US N 2 2035-06-25 Floating 1.50657 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 72788.430000 PA USD 70912.770000 0.0029957 Long ABS-MBS CORP US N 2 2032-01-25 Floating 1.07657 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2002-AR21 N/A 22540V4R0 543.910000 PA USD 500.270000 0.0000211 Long ABS-MBS CORP US N 2 2032-06-25 Floating 0.098 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2002-AR21 N/A 22540V4S8 5511.970000 PA USD 5654.690000 0.0002389 Long ABS-MBS CORP US N 2 2032-06-25 Floating 4.97403 N N N N N N CSMC 2018-RPL9 TRUST N/A 12654PAA6 4424352.320000 PA USD 4463440.590000 0.1885567 Long ABS-MBS CORP US N 2 2057-09-25 Variable 3.85 N N N N N N CSMC 2021-ADV TRUST N/A 12660WAA3 7900000.000000 PA USD 7727614.100000 0.3264507 Long ABS-MBS CORP US N 2 2038-07-15 Floating 1.797 N N N N N N CSMC 2021-RPL2 TRUST N/A 12656TAB4 1896122.060000 PA USD 1751259.280000 0.0739814 Long ABS-MBS CORP US N 2 2060-01-25 Variable 1.11456 N N N N N N CSMC TRUST 2021-RPL4 N/A 12662GAC2 2375566.230000 PA USD 2271417.370000 0.0959553 Long ABS-MBS CORP US N 2 2060-12-27 Fixed 1.79561 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAH7 2000000.000000 PA USD 1916320.880000 0.0809544 Long DBT CORP US N 2 2024-02-15 Fixed 1.625 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAF1 600000.000000 PA USD 571500.000000 0.0241428 Long DBT CORP US N 2 2025-03-20 Fixed 2.625 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAG9 500000.000000 PA USD 470000.000000 0.0198550 Long DBT CORP US N 2 2028-03-20 Fixed 3.375 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAJ3 1900000.000000 PA USD 1796138.510000 0.0758773 Long DBT CORP US N 2 2024-08-01 Fixed 1.55 N N N N N N DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2006-AR2 N/A 251508AA5 2797427.990000 PA USD 2752522.280000 0.1162795 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.69657 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI1J0CL3 6200000.000000 PA 6683857.270000 0.2823575 Long DBT CORP DE N 2 2027-01-20 Fixed 1.625 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI0ZWMV4 600000.000000 PA 641331.040000 0.0270928 Long DBT CORP DE N 2 2028-01-17 Fixed 1.75 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI1QTHL7 2400000.000000 PA 2606511.160000 0.1101113 Long DBT CORP DE N 2 2026-09-03 Floating 1.375 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CK3 500000.000000 PA USD 450130.730000 0.0190156 Long DBT CORP DE Y 2 2032-05-28 Floating 3.035 N N N N N N DISCOVERY COMMUNICATIONS (MAGALLANES INC) 549300DXR29GD4N0A520 55903VAC7 1700000.000000 PA USD 1710521.280000 0.0722604 Long DBT CORP US N 2 2024-03-15 Fixed 3.428 N N N N N N DISCOVERY COMMUNICATIONS (MAGALLANES INC) 549300DXR29GD4N0A520 55903VAE3 1700000.000000 PA USD 1712140.720000 0.0723289 Long DBT CORP US N 2 2025-03-15 Fixed 3.638 N N N N N N DISCOVERY COMMUNICATIONS (MAGALLANES INC) 549300DXR29GD4N0A520 55903VAG8 1700000.000000 PA USD 1699741.350000 0.0718051 Long DBT CORP US N 2 2027-03-15 Fixed 3.755 N N N N N N DRYDEN 36 SENIOR LOAN FUND 2014-36A N/A 26249KAZ4 2785904.910000 PA USD 2777933.570000 0.1173530 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 1.26129 N N N N N N DRYDEN 52 EURO CLO 2017 17-52A N/A ACI1YL2T4 3900000.000000 PA 4287500.000000 0.1811241 Long ABS-CBDO CORP IE N 2 2034-05-15 Floating 0.86 N N N N N N EAR STEARNS ASSET BACKED SECURITIES I TRUST 2004-HE9 N/A 073879KC1 9722656.790000 PA USD 9624638.800000 0.4065899 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.43157 N N N N N N ENCINA EQUIPMENT FINANCE 2021-1 LLC N/A 29253EAA0 661755.340000 PA USD 660929.600000 0.0279208 Long ABS-O CORP US N 2 2025-09-15 Fixed 0.5 N N N N N N ENCINA EQUIPMENT FINANCE 2021-1 LLC N/A 29253EAB8 1200000.000000 PA USD 1184082.000000 0.0500212 Long ABS-O CORP US N 2 2026-12-15 Fixed 0.74 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAM0 800000.000000 PA USD 735475.760000 0.0310699 Long DBT CORP NL N 2 2026-07-12 Fixed 1.375 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAL7 200000.000000 PA USD 202254.780000 0.0085442 Long DBT CORP US N 2 2023-03-15 Fixed 4.25 N N N N N N ENERGY TRANSFER LP / REGENCY ENERGY FINANCE CORP N/A 75886AAQ1 100000.000000 PA USD 100821.130000 0.0042592 Long DBT CORP US N 2 2022-10-01 Fixed 5 N N N N N N EXPEDIA GROUP INC N/A 30212PAS4 300000.000000 PA USD 320977.850000 0.0135596 Long DBT CORP US N 2 2025-05-01 Fixed 6.25 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAA8 8547394.970000 PA USD 8456975.500000 0.3572623 Long ABS-MBS CORP US N 2 2038-07-15 Floating 1.477 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAE0 10733937.870000 PA USD 10610964.510000 0.4482569 Long ABS-MBS CORP US N 2 2038-07-15 Floating 1.777 N N N N N N FANNIE MAE 2003-25 N/A 31393APU5 125556.890000 PA USD 132033.440000 0.0055777 Long ABS-MBS USGSE US N 2 2033-04-25 Fixed 5 N N N N N N FANNIE MAE 2004-11 N/A 31393T7H3 41539.280000 PA USD 41388.680000 0.0017485 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 0.57657 N N N N N N FANNIE MAE 2007-14 N/A 31396PZS3 24388.040000 PA USD 24421.190000 0.0010317 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 0.81657 N N N N N N FANNIE MAE 2007-14 N/A 31396PZU8 9032.600000 PA USD 9040.630000 0.0003819 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 0.80657 N N N N N N FANNIE MAE 2007-4 N/A 31396PMC2 54812.250000 PA USD 55098.330000 0.0023276 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 0.90157 N N N N N N FANNIE MAE 2007-42 N/A 31396VN53 23407.860000 PA USD 23319.030000 0.0009851 Long ABS-MBS USGSE US N 2 2037-05-25 Floating 0.70657 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 33810.680000 PA USD 33841.010000 0.0014296 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.80657 N N N N N N FANNIE MAE 2007-65 N/A 31396WLX2 53877.100000 PA USD 54002.280000 0.0022813 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.83657 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 136082.720000 PA USD 138474.860000 0.0058498 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 1.17657 N N N N N N FANNIE MAE 2009-111 N/A 31398GQS1 34707.940000 PA USD 35405.390000 0.0014957 Long ABS-MBS USGSE US N 2 2038-03-25 Floating 1.20657 N N N N N N FANNIE MAE 2009-111 N/A 31398GRA9 36482.500000 PA USD 37218.940000 0.0015723 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 1.20657 N N N N N N FANNIE MAE 2009-47 N/A 31396QFA2 35789.460000 PA USD 36740.630000 0.0015521 Long ABS-MBS USGSE US N 2 2039-07-25 Floating 1.35657 N N N N N N FANNIE MAE 2009-87 N/A 31398FM57 70732.460000 PA USD 71771.510000 0.0030320 Long ABS-MBS USGSE US N 2 2039-11-25 Floating 1.20657 N N N N N N FANNIE MAE 2009-99 N/A 31398F4R9 69600.530000 PA USD 71256.640000 0.0030102 Long ABS-MBS USGSE US N 2 2039-12-25 Floating 1.27657 N N N N N N FANNIE MAE REMICS 2010-109 N/A 31398NRZ9 680052.310000 PA USD 673176.780000 0.0284381 Long ABS-MBS USGSE US N 2 2040-10-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2011-60 N/A 31397U3F4 42453.890000 PA USD 37203.060000 0.0015716 Long ABS-MBS USGSE US N 2 2039-08-25 None 0 N N N N N N FANNIE MAE REMICS 2018-27 N/A 3136B1M35 671897.500000 PA USD 668711.090000 0.0282495 Long ABS-MBS USGSE US N 2 2058-05-25 Floating 0.45629 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 129306.780000 PA USD 129683.010000 0.0054784 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 0.85657 N N N N N N FANNIE MAE-ACES 2015-M17 N/A 3136AQC65 270474.960000 PA USD 270499.220000 0.0114272 Long ABS-MBS USGSE US N 2 2022-11-25 Floating 1.05571 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRGY6 130402.000000 PA USD 136434.520000 0.0057636 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 1.979 N N N N N N FHLMC PASS THRU POOLS N/A 31300MNY5 436103.660000 PA USD 458022.750000 0.0193490 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 2.322 N N N N N N FHLMC PASS THRU POOLS N/A 312946ZH2 1007.920000 PA USD 1062.700000 0.0000449 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 31292HYL2 6145.840000 PA USD 6819.810000 0.0002881 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7DU4 7868.370000 PA USD 8289.150000 0.0003502 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7JE4 12914.090000 PA USD 13609.660000 0.0005749 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7JU8 4101.220000 PA USD 4321.990000 0.0001826 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7LB7 13722.690000 PA USD 14464.970000 0.0006111 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7LT8 26823.210000 PA USD 28390.070000 0.0011993 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 31356N3W2 472.420000 PA USD 473.970000 0.0000200 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 8.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6N79 156433.510000 PA USD 173436.910000 0.0073268 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6PB8 2525.190000 PA USD 2799.500000 0.0001183 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6PN2 101.770000 PA USD 108.710000 0.0000046 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 481856.700000 PA USD 498075.390000 0.0210410 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-59 N/A 31394PPQ0 434056.850000 PA USD 471435.050000 0.0199156 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 6.5 N N N N N N FINGAL SECURITIES RMBS DAC 1 N/A ACI1MG334 2822377.130000 PA 3130405.910000 0.1322430 Long ABS-MBS CORP IE N 2 2055-07-28 Floating 0.446 N N N N N N FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF7 N/A 320277AF3 12141200.000000 PA USD 11245005.820000 0.4750418 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.93657 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF12 N/A 32027GAE6 3752321.210000 PA USD 3600505.670000 0.1521023 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.76657 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF11 N/A 32028PAE5 2516050.260000 PA USD 2391043.570000 0.1010089 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.75657 N N N N N N FNMA PASS THRU POOLS N/A 31361ULM1 263.530000 PA USD 267.310000 0.0000113 Long ABS-MBS USGSE US N 2 2027-02-01 Floating 4.158 N N N N N N FNMA PASS THRU POOLS N/A 31362JUL7 1190.340000 PA USD 1218.700000 0.0000515 Long ABS-MBS USGSE US N 2 2028-04-01 Floating 4.493 N N N N N N FNMA PASS THRU POOLS N/A 31362L4P2 3113.770000 PA USD 3161.840000 0.0001336 Long ABS-MBS USGSE US N 2 2027-11-01 Floating 4.384 N N N N N N FNMA PASS THRU POOLS N/A 31362M2L1 1967.560000 PA USD 2015.840000 0.0000852 Long ABS-MBS USGSE US N 2 2028-07-01 Floating 4.472 N N N N N N FNMA PASS THRU POOLS N/A 31362QGF0 3272.700000 PA USD 3349.200000 0.0001415 Long ABS-MBS USGSE US N 2 2028-11-01 Floating 4.566 N N N N N N FNMA PASS THRU POOLS N/A 31363EH73 659.410000 PA USD 676.320000 0.0000286 Long ABS-MBS USGSE US N 2 2029-08-01 Floating 5.575 N N N N N N FNMA PASS THRU POOLS N/A 31373UCE5 2619.960000 PA USD 2686.630000 0.0001135 Long ABS-MBS USGSE US N 2 2028-11-01 Floating 4.245 N N N N N N FNMA PASS THRU POOLS N/A 31384UJH8 1820.200000 PA USD 1827.070000 0.0000772 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 8 N N N N N N FNMA PASS THRU POOLS N/A 31384VZC9 418.530000 PA USD 452.430000 0.0000191 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 8 N N N N N N FNMA PASS THRU POOLS N/A 31384WV31 3439.790000 PA USD 3526.440000 0.0001490 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 8 N N N N N N FNMA PASS THRU POOLS N/A 31385HJD5 21883.800000 PA USD 23224.580000 0.0009811 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 4.992 N N N N N N FNMA PASS THRU POOLS N/A 31385HJE3 42933.890000 PA USD 45884.500000 0.0019384 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 4.009 N N N N N N FNMA PASS THRU POOLS N/A 31403VDD8 48694.220000 PA USD 48731.410000 0.0020586 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 31405PRS1 17566.960000 PA USD 17951.960000 0.0007584 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 1.342 N N N N N N FNMA PASS THRU POOLS N/A 31406M6U5 60452.990000 PA USD 60840.370000 0.0025702 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 1.815 N N N N N N FNMA PASS THRU POOLS N/A 31407YHH5 38973.450000 PA USD 40631.670000 0.0017165 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 1.94 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 2033637.850000 PA USD 20047601.970000 0.8469048 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3138ENEW5 181176.150000 PA USD 189110.870000 0.0079889 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 2.055 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 628547.290000 PA USD 6103194.200000 0.2578276 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140H5LR0 43938.610000 PA USD 44477.410000 0.0018789 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5NN7 168070.040000 PA USD 169882.270000 0.0071766 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5N64 46461.750000 PA USD 46701.480000 0.0019729 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H6PA1 12335.220000 PA USD 12468.460000 0.0005267 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CS47 1142704.770000 PA USD 1153915.550000 0.0487468 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CUA0 842902.390000 PA USD 853022.430000 0.0360357 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 8851348.890000 PA USD 8954633.160000 0.3782857 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CYL2 806820.570000 PA USD 814236.030000 0.0343972 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CZG2 367781.940000 PA USD 370587.400000 0.0156554 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZS5 400000.000000 PA 443900.860000 0.0187525 Long DBT CORP US N 2 2023-02-17 Fixed 1.514 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZB2 600000.000000 PA USD 604878.000000 0.0255529 Long DBT CORP US N 2 2023-02-15 Fixed 4.14 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397XZ1 200000.000000 PA USD 200000.000000 0.0084489 Long DBT CORP US N 2 2023-05-04 Fixed 3.096 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI1TC740 300000.000000 PA 382306.320000 0.0161504 Long DBT CORP US N 2 2024-06-14 Fixed 2.748 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A60 400000.000000 PA USD 408488.000000 0.0172565 Long DBT CORP US N 2 2025-06-16 Fixed 5.125 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI1K2ZL2 1000000.000000 PA 1088369.440000 0.0459778 Long DBT CORP US N 2 2024-07-19 Fixed 1.744 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YQ0 400000.000000 PA USD 400644.000000 0.0169251 Long DBT CORP US N 2 2022-08-03 Fixed 2.979 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540XAB9 400000.000000 PA USD 400700.000000 0.0169274 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZU0 500000.000000 PA USD 501715.000000 0.0211948 Long DBT CORP US N 2 2022-11-01 Fixed 3.35 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZX4 200000.000000 PA USD 199640.000000 0.0084337 Long DBT CORP US N 2 2024-11-01 Fixed 4.063 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B28 600000.000000 PA USD 587118.000000 0.0248026 Long DBT CORP US N 2 2025-11-13 Fixed 3.375 N N N N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2020-1 N/A 35105FAF3 1500000.000000 PA USD 1484546.700000 0.0627142 Long ABS-O CORP US N 2 2026-01-15 Fixed 2.6 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 968000.070000 PA USD 984568.170000 0.0415928 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 1.09657 N N N N N N FREDDIE MAC 3360 N/A 31397KE23 507981.240000 PA USD 515797.650000 0.0217897 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 1.06657 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 544266.840000 PA USD 553829.610000 0.0233964 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 1.11657 N N N N N N FREDDIE MAC 3368 N/A 31397KL82 594319.410000 PA USD 604862.640000 0.0255522 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 1.11657 N N N N N N FREDDIE MAC 3404 N/A 31397PST8 241721.020000 PA USD 247639.170000 0.0104614 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 1.25157 N N N N N N FREDDIE MAC 3439 N/A 31397TAL6 11555.390000 PA USD 11554.820000 0.0004881 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 0.72657 N N N N N N FREDDIE MAC 3597 N/A 31398L5U8 20269.210000 PA USD 20766.170000 0.0008773 Long ABS-MBS USGSE US N 2 2039-11-15 Floating 1.24657 N N N N N N FREDDIE MAC 3609 N/A 31398LN38 66117.950000 PA USD 67344.660000 0.0028450 Long ABS-MBS USGSE US N 2 2036-08-15 Floating 1.14657 N N N N N N FREDDIE MAC 4559 N/A 3137BNCR3 153016.680000 PA USD 154769.490000 0.0065382 Long ABS-MBS USGSE US N 2 2042-03-15 Floating 0.60629 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 164021.910000 PA USD 166861.850000 0.0070490 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 1.10657 N N N N N N FREDDIE MAC REMICS 4638 N/A 3137BTH38 357563.160000 PA USD 360167.110000 0.0152151 Long ABS-MBS USGSE US N 2 2040-07-15 Floating 0.54629 N N N N N N FREDDIE MAC-3271 N/A 31397FFJ6 59061.900000 PA USD 59085.890000 0.0024961 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 0.73657 N N N N N N FREDDIE MAC-3271 N/A 31397FFP2 3649.510000 PA USD 3644.210000 0.0001539 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 0.69657 N N N N N N FREDDIE MAC-3372 N/A 31397KQ61 42475.860000 PA USD 43009.000000 0.0018169 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 0.99657 N N N N N N FREDDIE MAC-3891 N/A 3137ADTZ0 718274.320000 PA USD 725922.940000 0.0306664 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 0.94657 N N N N N N FREED ABS TRUST 2021-2 N/A 35635CAA0 920470.870000 PA USD 919177.520000 0.0388304 Long ABS-O CORP US N 2 2028-06-19 Fixed 0.68 N N N N N N FREED ABS TRUST 2022-1FP N/A 35633KAB2 7000000.000000 PA USD 6828133.200000 0.2884524 Long ABS-O CORP US N 2 2029-03-19 Fixed 1.91 N N N N N N GCAT LLC 2019-RPL1 N/A 36167CAA4 9198296.410000 PA USD 9053004.720000 0.3824414 Long ABS-MBS CORP US N 2 2068-10-25 Variable 2.65 N N N N N N GE-WMC MORTGAGE SECURITIES LLC 2005-2 N/A 367910AV8 9039110.770000 PA USD 8885738.750000 0.3753753 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.09657 N N N N N N GLG EURO CLO III DAC A N/A ACI1VVSK6 299881.870000 PA 329007.350000 0.0138988 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 36202J4V7 265.040000 PA USD 265.150000 0.0000112 Long ABS-MBS USGSE US N 2 2022-08-20 Floating 1.625 N N N N N N GNMA PASS THRU POOLS N/A 36202J5A2 1253.380000 PA USD 1254.130000 0.0000530 Long ABS-MBS USGSE US N 2 2022-08-20 Floating 1.625 N N N N N N GNMA PASS THRU POOLS N/A 36202J5G9 1657.600000 PA USD 1658.500000 0.0000701 Long ABS-MBS USGSE US N 2 2022-09-20 Floating 1.625 N N N N N N GNMA PASS THRU POOLS N/A 36202J5M6 2455.200000 PA USD 2456.690000 0.0001038 Long ABS-MBS USGSE US N 2 2022-09-20 Floating 1.625 N N N N N N GNMA PASS THRU POOLS N/A 36202J7K8 3618.210000 PA USD 3619.900000 0.0001529 Long ABS-MBS USGSE US N 2 2022-12-20 Floating 1.75 N N N N N N GNMA PASS THRU POOLS N/A 36202KD93 6888.140000 PA USD 6895.120000 0.0002913 Long ABS-MBS USGSE US N 2 2023-07-20 Floating 1.625 N N N N N N GNMA PASS THRU POOLS N/A 36202KM77 492.710000 PA USD 494.710000 0.0000209 Long ABS-MBS USGSE US N 2 2024-08-20 Floating 1.625 N N N N N N GNMA PASS THRU POOLS N/A 36202KVA0 5773.150000 PA USD 5789.120000 0.0002446 Long ABS-MBS USGSE US N 2 2025-10-20 Floating 1.75 N N N N N N GNMA PASS THRU POOLS N/A 36202KWD3 2290.900000 PA USD 2310.060000 0.0000976 Long ABS-MBS USGSE US N 2 2025-11-20 Floating 1.75 N N N N N N GNMA PASS THRU POOLS N/A 36202KYK5 4328.970000 PA USD 4376.530000 0.0001849 Long ABS-MBS USGSE US N 2 2026-02-20 Floating 2 N N N N N N GNMA PASS THRU POOLS N/A 36202KY33 19322.410000 PA USD 19656.600000 0.0008304 Long ABS-MBS USGSE US N 2 2026-03-20 Floating 2 N N N N N N GNMA PASS THRU POOLS N/A 36202KZ65 11618.040000 PA USD 11814.720000 0.0004991 Long ABS-MBS USGSE US N 2 2026-05-20 Floating 1.875 N N N N N N GNMA PASS THRU POOLS N/A 36202K5J0 1157.070000 PA USD 1164.750000 0.0000492 Long ABS-MBS USGSE US N 2 2026-08-20 Floating 1.625 N N N N N N GNMA PASS THRU POOLS N/A 36225CB62 24990.800000 PA USD 25454.960000 0.0010753 Long ABS-MBS USGSE US N 2 2027-04-20 Floating 1.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CCY0 2006.780000 PA USD 2041.310000 0.0000862 Long ABS-MBS USGSE US N 2 2027-06-20 Floating 1.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CC61 45474.520000 PA USD 45645.490000 0.0019283 Long ABS-MBS USGSE US N 2 2027-07-20 Floating 1.625 N N N N N N GNMA PASS THRU POOLS N/A 36225CER3 13175.570000 PA USD 13472.730000 0.0005692 Long ABS-MBS USGSE US N 2 2027-12-20 Floating 1.75 N N N N N N GNMA PASS THRU POOLS N/A 36225CE69 18148.560000 PA USD 18560.530000 0.0007841 Long ABS-MBS USGSE US N 2 2028-01-20 Floating 2 N N N N N N GNMA PASS THRU POOLS N/A 36225CFM3 2702.770000 PA USD 2716.340000 0.0001148 Long ABS-MBS USGSE US N 2 2028-02-20 Floating 2 N N N N N N GNMA PASS THRU POOLS N/A 36225FC72 966600.970000 PA USD 1003020.900000 0.0423723 Long ABS-MBS USGSE US N 2 2041-04-20 Floating 1.875 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZP2 5300000.000000 PA USD 5295948.570000 0.2237257 Long DBT CORP US N 2 2024-03-15 Fixed 3 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWM2 11300000.000000 PA USD 11314246.810000 0.4779669 Long DBT CORP US N 2 2023-07-24 Floating 2.905 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H32 N/A 38376RMP8 1564326.390000 PA USD 1571079.270000 0.0663698 Long ABS-MBS USGSE US N 2 2065-12-20 Floating 0.85629 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H02 N/A 38376RPV2 3495093.440000 PA USD 3529666.210000 0.1491097 Long ABS-MBS USGSE US N 2 2066-01-20 Floating 1.10629 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H04 N/A 38376RRA6 251647.810000 PA USD 252833.270000 0.0106809 Long ABS-MBS USGSE US N 2 2066-01-20 Floating 0.90629 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRG3 272806.080000 PA USD 276672.450000 0.0116879 Long ABS-MBS USGSE US N 2 2066-03-20 Floating 1.25629 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRL2 895877.030000 PA USD 904825.050000 0.0382241 Long ABS-MBS USGSE US N 2 2066-03-20 Floating 1.10629 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRJ7 910.190000 PA USD 911.970000 0.0000385 Long ABS-MBS USGSE US N 2 2066-02-20 Floating 0.87629 N N N N N N GPMT LLC 2021-FL3 N/A 36264BAA8 1633971.060000 PA USD 1629519.220000 0.0688385 Long ABS-MBS CORP KY N 2 2035-07-16 Floating 1.71757 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR5 N/A 39538WEA2 137411.380000 PA USD 125415.720000 0.0052981 Long ABS-MBS CORP US N 2 2045-11-25 Floating 0.99657 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2019-BOCA N/A 36256QAC1 680000.000000 PA USD 672969.960000 0.0284294 Long ABS-MBS CORP US N 2 2038-06-15 Floating 1.897 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2019-SMP N/A 36259NAA9 8250000.000000 PA USD 8165518.350000 0.3449498 Long ABS-MBS CORP US N 2 2032-08-15 Floating 1.547 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2019-SMP N/A 36259NAC5 1500000.000000 PA USD 1471824.000000 0.0621768 Long ABS-MBS CORP US N 2 2032-08-15 Floating 1.897 N N N N N N GS MORTGAGE SECURITIES TRUST 2014-GC18 2014-GC18 N/A 36252RAM1 4500000.000000 PA USD 4558722.300000 0.1925818 Long ABS-MBS CORP US N 2 2047-01-10 Fixed 4.074 N N N N N N GS MORTGAGE SECURITIES TRUST 2020-DUNE N/A 36258BAA6 1150000.000000 PA USD 1143071.710000 0.0482887 Long ABS-MBS CORP US N 2 2036-12-15 Floating 1.497 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1 N/A 36261WAA5 3119943.010000 PA USD 3037720.970000 0.1283276 Long ABS-MBS CORP US N 2 2060-12-25 Variable 1.75 N N N N N N GSAA HOME EQUITY TRUST 2005-15 N/A 362341D71 860203.450000 PA USD 389105.120000 0.0164376 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.95657 N N N N N N GSAMP TRUST 2004-WF N/A 36242DKL6 23462.500000 PA USD 23444.420000 0.0009904 Long ABS-MBS CORP US N 2 2034-10-25 Floating 2.10657 N N N N N N GSAMP TRUST 2005-HE5 N/A 362341ZE2 346000.000000 PA USD 338329.870000 0.0142926 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.35657 Y N N N N N GSAMP TRUST 2006-HE4 N/A 362439AA9 220920.030000 PA USD 215339.410000 0.0090969 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.73657 N N N N N N GSR MORTGAGE LOAN TRUST 2004-2F N/A 36229RLL1 10674.780000 PA USD 10470.560000 0.0004423 Long ABS-MBS CORP US N 2 2034-01-25 Floating 0.80657 N N N N N N GSR MORTGAGE LOAN TRUST 2006-AR1 N/A 3623414A4 20305.440000 PA USD 20720.570000 0.0008753 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.87115 Y N N N N N HARLEY-DAVIDSON FINANCIAL SERVICES INC RLUFFFFW4GRYU77BTS24 41283LAQ8 200000.000000 PA USD 200146.510000 0.0084551 Long DBT CORP US N 2 2022-06-09 Fixed 2.55 N N N N N N HARVEST CLO XI DAC 11A N/A ACI1XMR09 1088862.480000 PA 1195207.730000 0.0504912 Long ABS-CBDO CORP IE N 2 2030-06-26 Floating 0.65 N N N N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 600000.000000 PA 657278.290000 0.0277665 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.64 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 3001522.000000 PA 3949299.890000 0.1668370 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.5828 N N N N N N HERA COMMERCIAL MORTGAGE 2021-FL1 N/A 42704RAA9 2200000.000000 PA USD 2176604.780000 0.0919500 Long ABS-CBDO CORP KY N 2 2038-02-18 Floating 1.51757 N N N N N N HERTZ VEHICLE FINANCING III LLC 2021-1A N/A 42806MAA7 9600000.000000 PA USD 9102382.080000 0.3845273 Long ABS-O CORP US N 2 2025-12-26 Fixed 1.21 N N N N N N HILTON ORLANDO TRUST 2018-ORL N/A 432885AG6 900000.000000 PA USD 886408.470000 0.0374461 Long ABS-MBS CORP US N 2 2034-12-15 Floating 1.59657 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BN8 600000.000000 PA USD 608802.000000 0.0257187 Long DBT CORP GB N 2 2023-03-23 Floating 6.25 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 ACI09CXQ6 1800000.000000 PA 2018722.830000 0.0852803 Long DBT CORP GB N 2 2022-09-16 Floating 5.25 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DA4 11000000.000000 PA USD 10792505.790000 0.4559261 Long DBT CORP GB N 2 2026-03-10 Floating 2.999 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 800000.000000 PA USD 740821.500000 0.0312958 Long DBT CORP GB N 2 2031-06-04 Floating 2.848 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 ACI1WKQ05 1600000.000000 PA 1980889.030000 0.0836821 Long DBT CORP GB N 2 2027-07-24 Floating 1.75 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT3 N/A 40430HFN3 683335.340000 PA USD 666833.000000 0.0281702 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.95157 N N N N N N HYUNDAI CAPITAL SERVICES 549300MALMDAGL2ZJJ27 44920UAQ1 5200000.000000 PA USD 5030377.610000 0.2125068 Long DBT CORP KR N 2 2023-09-15 Fixed 0.75 N N N N N N IMPAC CMB TR 2003-11 N/A 45254NFY8 3075.030000 PA USD 3109.600000 0.0001314 Long ABS-MBS CORP US N 2 2033-10-25 Floating 1.21657 N N N N N N IMPAC CMB TR 2005-4 N/A 45254NPA9 6225388.640000 PA USD 6044518.070000 0.2553488 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.99657 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 453140AB1 300000.000000 PA USD 301541.560000 0.0127385 Long DBT CORP GB N 2 2023-02-11 Fixed 3.5 N N N N N N INDEPENDENCE PLAZA TRUST 2018-INDP N/A 45378YAL8 3300000.000000 PA USD 3251187.720000 0.1373454 Long ABS-MBS CORP US N 2 2035-07-10 Fixed 3.911 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-C N/A 43709BAB5 4785438.240000 PA USD 4668200.750000 0.1972067 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.71657 N N N N N N INVESCO EURO CLO I DAC 1A N/A ACI1VT7W8 400000.000000 PA 437742.170000 0.0184923 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 0.65 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 BJGTFKII9 10900000.000000 PA 3440001.880000 0.1453218 Long DBT NUSS IL N 2 2022-07-31 Fixed 0.75 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI22SVD5 3700000.000000 PA 1155532.570000 0.0488151 Long DBT MUN IL N 2 2023-01-04 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1WZJ67 2600000.000000 PA 814684.590000 0.0344161 Long DBT MUN IL N 2 2022-04-06 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1YD9F5 7700000.000000 PA 2412961.050000 0.1019348 Long DBT MUN IL N 2 2022-06-08 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI201R74 67300000.000000 PA 21082524.840000 0.8906248 Long DBT MUN IL N 2 2022-08-03 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI20YST3 2500000.000000 PA 782645.480000 0.0330626 Long DBT MUN IL N 2 2022-10-07 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI21KLL6 18000000.000000 PA 5633073.230000 0.2379675 Long DBT MUN IL N 2 2022-11-02 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI229M05 22500000.000000 PA 7031470.340000 0.2970423 Long DBT MUN IL N 2 2022-12-07 None 0 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH N/A 46654EAE1 7000000.000000 PA USD 6837632.900000 0.2888537 Long ABS-MBS CORP US N 2 2038-06-15 Floating 1.687 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5 N/A 46654PAG1 8900000.000000 PA USD 8739791.990000 0.3692098 Long ABS-MBS CORP US N 2 2038-11-15 Floating 1.912 N N N N N N JP MORGAN MORTGAGE ACQI CORP 2006-CH1 N/A 46629TAL4 2200000.000000 PA USD 2120341.960000 0.0895732 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.89657 N N N N N N 510 ASSET BACKED 2021-NPL1 TRUST N/A 33835CAA3 1382062.610000 PA USD 1327990.100000 0.0561005 Long ABS-MBS CORP US N 2 2061-06-25 Fixed 2.2395 N N N N N N JUBILEE CLO 2015-XVI BV 15-16A N/A ACI0YWRZ1 913340.110000 PA 1006613.470000 0.0425241 Long ABS-CBDO CORP IE N 2 2029-12-15 Floating 0.298 N N N N N N KVK CLO LTD 2013-1A N/A 482739AF6 200044.600000 PA USD 200319.570000 0.0084624 Long ABS-CBDO CORP KY N 2 2028-01-14 Floating 1.13843 N N N N N N KVK CLO LTD 2013-1A N/A 482739AG4 2635000.000000 PA USD 2632363.020000 0.1112034 Long ABS-CBDO CORP KY N 2 2028-01-14 Floating 1.68843 N N N N N N LCCM 2021-FL2 TRUST N/A 50202KAA4 1500000.000000 PA USD 1487084.400000 0.0628214 Long ABS-CBDO CORP US N 2 2038-12-13 Floating 1.59657 N N N N N N AAMES MORTGAGE INVESTMENT TRUST 2005-4 N/A 00252FCW9 2200000.000000 PA USD 2144563.960000 0.0905964 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.37157 N N N N N N LEGACY MORTGAGE ASSET TRUST 2020-RPL1 N/A 52474HAA8 2552782.410000 PA USD 2524043.440000 0.1066274 Long ABS-MBS CORP US N 2 2059-09-25 Variable 3 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-SL1 N/A 52475PAA9 327761.990000 PA USD 326404.760000 0.0137889 Long ABS-MBS CORP US N 2 2060-09-25 Variable 1.991 N N N N N N LEHMAN MORTGAGE TRUST 2007-5 N/A 52521RBH3 801718.060000 PA USD 572201.730000 0.0241725 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.77657 Y N N N N N LEHMAN XS TRUST 2005-5N N/A 86359DUM7 2867254.790000 PA USD 2780667.710000 0.1174685 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.81657 N N N N N N LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2 N/A 52607QAA8 7800000.000000 PA USD 7734479.840000 0.3267407 Long ABS-O CORP US N 3 2028-04-15 Fixed 3.25 N N N N N N LL ABS TRUST 2021-1A N/A 53934QAA0 5652397.710000 PA USD 5503598.910000 0.2324979 Long ABS-O CORP US N 2 2029-05-15 Fixed 1.07 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI1GWB29 600000.000000 PA 786635.450000 0.0332312 Long DBT CORP GB N 2 2024-12-27 Floating 5.125 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAR4 3800000.000000 PA USD 3784060.980000 0.1598565 Long DBT CORP GB N 2 2026-03-18 Floating 3.511 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AT6 700000.000000 PA USD 722997.970000 0.0305428 Long DBT CORP GB N 2 2028-08-16 Fixed 4.55 N N N N N N LMREC 2021-CRE4 LLC N/A 50210LAA2 900000.000000 PA USD 875646.990000 0.0369914 Long ABS-CBDO CORP US N 2 2037-04-22 Floating 1.50486 N N N N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RH9 1161341.740000 PA USD 1145178.190000 0.0483777 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.89657 N N N N N N LONG BEACH MTGE LOAN TRUST 2001-1 N/A 542514AJ3 4086525.440000 PA USD 4001551.860000 0.1690443 Long ABS-MBS CORP US N 2 2031-04-21 Floating 0.88857 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 49476.290000 PA USD 47607.960000 0.0020112 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.01657 N N N N N N LUXE COMMERCIAL MORTGAGE TRUST 2021-MLBH N/A 55066XAC6 10600000.000000 PA USD 10394964.200000 0.4391321 Long ABS-MBS CORP US N 2 2038-11-15 Floating 1.747 N N N N N N LUXE TRUST 2021-TRIP N/A 55066WAA2 900000.000000 PA USD 886068.720000 0.0374317 Long ABS-MBS CORP US N 2 2038-10-15 Floating 1.447 N N N N N N ACC AUTO TRUST 2021-A N/A 00108XAA6 4079877.810000 PA USD 4043119.740000 0.1708004 Long ABS-O CORP US N 2 2027-04-15 Fixed 1.08 N N N N N N MARATHON CLO V LTD 2013-5A N/A 56576QAN8 196936.850000 PA USD 197216.700000 0.0083314 Long ABS-CBDO CORP KY N 2 2027-11-21 Floating 1.34957 N N N N N N MARINER FINANCE ISSUANCE TRUST 2021-A N/A 56848DAA7 7800000.000000 PA USD 7140152.760000 0.3016336 Long ABS-O CORP US N 2 2036-03-20 Fixed 1.86 N N N N N N ACCUNIA EUROPEAN CLO I DAC 1A N/A ACI19ZJ97 2354283.420000 PA 2595710.250000 0.1096550 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 0.95 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAA9 3906375.060000 PA USD 3456218.850000 0.1460069 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.94113 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAE1 4327327.820000 PA USD 4004244.330000 0.1691581 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.94113 N N N N N N MBRT 2019-MBR N/A 55282DAA2 500000.000000 PA USD 495579.250000 0.0209356 Long ABS-MBS CORP US N 2 2036-11-15 Floating 1.497 N N N N N N MERRILL LYNCH MORTGAGE INV 2006-OPT1 N/A 59022VAD3 860774.220000 PA USD 828483.570000 0.0349990 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.60657 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 94031.990000 PA USD 92310.390000 0.0038996 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.87657 N N N N N N ACE SECURITIES CORP 2006-HE4 N/A 00442BAD3 3303631.360000 PA USD 1646756.500000 0.0695667 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.77657 N N N N N N MF1 2020-FL4 LTD N/A 58003UAC2 12000000.000000 PA USD 12097226.520000 0.5110436 Long ABS-CBDO CORP US N 2 2035-11-15 Floating 2.54305 N N N N N N MF1 2021-FL6 LTD N/A 55283TAA6 1100000.000000 PA USD 1087021.870000 0.0459209 Long ABS-CBDO CORP KY N 2 2036-07-16 Floating 1.56757 N N N N N N MFA LLC 2018-NPL1 N/A 55282YAA6 913609.430000 PA USD 894624.810000 0.0377932 Long ABS-MBS CORP US N 2 2060-03-25 Fixed 2.3633 N N N N N N MHC COMMERCIAL MORTGAGE TRUST 2021 MHC2 N/A 55293AAA5 2400000.000000 PA USD 2356992.000000 0.0995704 Long ABS-MBS CORP US N 2 2023-05-15 Floating 1.247 N N N N N N MIDOCEAN CREDIT CLO II 2013-2A N/A 59863KAS6 2900000.000000 PA USD 2883052.110000 0.1217937 Long ABS-CBDO CORP KY N 2 2030-01-29 Floating 1.20713 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YAV1 2100000.000000 PA USD 2102188.870000 0.0888063 Long DBT CORP JP N 2 2023-07-16 Floating 2.721 N N N N N N MORGAN STANLEY ABS CAPITAL I 2004-WMC2 N/A 61746RHS3 952186.890000 PA USD 938645.170000 0.0396528 Long ABS-MBS CORP US N 2 2034-07-25 Floating 1.37157 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAB1 29494.210000 PA USD 15323.090000 0.0006473 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.53657 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAA0 93303.930000 PA USD 87114.870000 0.0036801 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.58657 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE3 N/A 617538AB9 4541516.970000 PA USD 2835252.240000 0.1197744 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.56657 N N N N N N MORGAN STANLEY CAPITAL I INC 2021-230P N/A 61772WAG2 5125000.000000 PA USD 5070090.240000 0.2141844 Long ABS-MBS CORP US N 2 2023-12-15 Floating 1.84547 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-NUGS N/A 61692AAA0 1800000.000000 PA USD 1782679.500000 0.0753088 Long ABS-MBS CORP US N 2 2036-12-15 Floating 2.45 N N N N N N MOUNTAIN VIEW CLO LLC 2017-1A N/A 62432HAJ9 1656795.470000 PA USD 1656634.350000 0.0699840 Long ABS-CBDO CORP KY N 2 2029-10-16 Floating 1.33129 N N N N N N MOUNTAIN VIEW CLO LLC 2017-2A N/A 62432LAL5 22900000.000000 PA USD 22779235.480000 0.9623018 Long ABS-CBDO CORP KY N 2 2031-01-16 Floating 1.28129 N N N N N N MOUNTAIN VIEW CLO LTD 15-10A N/A 62432CAU5 11550000.000000 PA USD 11496614.980000 0.4856710 Long ABS-CBDO CORP KY N 2 2027-10-13 Floating 1.59443 N N N N N N NAVIENT STUDENT LOAN TRUST 2017-2 N/A 63939RAA2 2276904.040000 PA USD 2287452.940000 0.0966327 Long ABS-O CORP US N 2 2066-12-27 Floating 1.50657 N N N N N N NELNET STUDENT LOAN TRUST 2017-3A N/A 64032KAA1 1526282.930000 PA USD 1524751.920000 0.0644127 Long ABS-O CORP US N 2 2066-02-25 Floating 1.30657 N N N N N N NEW ORLEANS HOTEL TRUST 2019-HNLA N/A 647622AA7 1900000.000000 PA USD 1863809.750000 0.0787361 Long ABS-MBS CORP US N 2 2032-04-15 Floating 1.38571 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 2458445.620000 PA USD 2417302.550000 0.1021182 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAA8 2664040.740000 PA USD 2603527.850000 0.1099852 Long ABS-MBS CORP US N 2 2058-10-25 Variable 0.94054 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAB6 380577.250000 PA USD 371907.740000 0.0157111 Long ABS-MBS CORP US N 2 2058-10-25 Variable 1.14689 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAC4 271840.890000 PA USD 265654.420000 0.0112225 Long ABS-MBS CORP US N 2 2058-10-25 Variable 1.35311 N N N N N N NEW YORK MORTGAGE TRUST 2021-SP1 N/A 62955RAA3 11842800.750000 PA USD 11322792.840000 0.4783279 Long ABS-MBS CORP US N 2 2061-08-25 Fixed 1.6696 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAV7 2600000.000000 PA USD 2408532.800000 0.1017477 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45 N N N N N N NEWCASTLE MTGE SECURITIES TRUST 2007-1 N/A 65106FAE2 5807000.000000 PA USD 5428354.570000 0.2293192 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.79657 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 654740BS7 100000.000000 PA USD 91606.600000 0.0038699 Long DBT CORP US N 2 2026-03-09 Fixed 2 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 654740BT5 700000.000000 PA USD 632201.770000 0.0267072 Long DBT CORP US N 2 2028-03-09 Fixed 2.75 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 654740AZ2 1600000.000000 PA USD 1602978.020000 0.0677173 Long DBT CORP US N 2 2022-07-13 Fixed 2.65 N N N N N N AFC HOME EQUITY LOAN TR 1998-2 N/A 00105HDN3 61901.650000 PA USD 60928.050000 0.0025739 Long ABS-MBS CORP US N 2 2028-06-25 Floating 1.00657 N N N N N N AFFIRM ASSET SECURITIZATION TRUST 2021-B N/A 00834DAA1 13900000.000000 PA USD 13289985.990000 0.5614314 Long ABS-O CORP US N 2 2026-08-17 Fixed 1.03 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 6300000.000000 PA USD 6219535.460000 0.2627424 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 600000.000000 PA USD 596046.280000 0.0251798 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81 N N N N N N OZLM XIV LTD 2015-14A N/A 67110HBN7 9375000.000000 PA USD 9320960.060000 0.3937611 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 1.49129 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JE8 3800000.000000 PA USD 3796084.060000 0.1603644 Long DBT CORP US N 2 2022-06-16 Fixed 1.75 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JX6 2800000.000000 PA USD 2801056.440000 0.1183298 Long DBT CORP US N 2 2022-11-14 Floating 1.19934 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JY4 2800000.000000 PA USD 2730941.980000 0.1153678 Long DBT CORP US N 2 2023-11-15 Fixed 1.7 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2021-3 N/A 69546RAA4 11188687.700000 PA USD 10964111.720000 0.4631755 Long ABS-O CORP US N 2 2029-05-15 Fixed 1.15 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2021-5 N/A 69547EAA2 12875946.000000 PA USD 12589664.790000 0.5318465 Long ABS-O CORP US N 2 2029-08-15 Fixed 1.53 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2022-1 N/A 69546MAA5 8500000.000000 PA USD 8348178.100000 0.3526662 Long ABS-O CORP US N 2 2029-10-15 Fixed 2.03 N N N N N N PALMER SQUARE LOAN FUNDING 2021-3 N/A 69702BAC5 14900000.000000 PA USD 14902930.830000 0.6295698 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 1.654 N N N N N N PARK PLACE SEC INC 2005-WHQ2 N/A 70069FHX8 4326000.000000 PA USD 4263867.390000 0.1801258 Long ABS-MBS CORP US N 2 2035-05-25 Floating 1.38657 N N N N N N PRET 2021-NPL6 LLC N/A 69362GAA9 11131627.040000 PA USD 10826712.850000 0.4573712 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 2.4871 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC N/A 74143EAA0 758576.870000 PA USD 721622.490000 0.0304847 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 1.8677 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-RN1 LLC N/A 74140QAA6 870990.560000 PA USD 833262.820000 0.0352009 Long ABS-MBS CORP US N 2 2061-02-25 Variable 1.9917 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2 N/A 74143FAA7 3181795.270000 PA USD 3029867.730000 0.1279958 Long ABS-MBS CORP US N 2 2051-07-25 Variable 1.7436 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1 N/A 69363JAA2 6376668.840000 PA USD 6268165.360000 0.2647967 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 3.721 N N N N N N PRIMA CAPITAL CRE SECURITIZATION 2019-RK1 LTD N/A 74166HAD9 3920000.000000 PA USD 3970038.410000 0.1677131 Long ABS-MBS CORP KY N 2 2038-04-15 Fixed 3.5 N N N N N N PRIMA CAPITAL CRE SECURITIZATION 2019-RK1 LTD N/A 74166HAE7 2980000.000000 PA USD 3012493.320000 0.1272619 Long ABS-MBS CORP KY N 2 2038-04-15 Fixed 3.5 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 21229.310000 PA USD 20898.720000 0.0008829 Long ABS-MBS CORP US N 2 2034-02-25 Floating 0.85657 N N N N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74762EAG7 6243000.000000 PA USD 5924305.900000 0.2502705 Long DBT CORP US N 2 2024-10-01 Fixed 0.95 N N N N N N RAMP TRUST 2006-RZ5 N/A 749239AF6 6658687.250000 PA USD 6478858.750000 0.2736974 Long ABS-MBS CORP US N 2 2046-08-25 Floating 0.81657 Y N N N N N RCO MORTGAGE LLC 2021-1 N/A 74936JAA0 1895818.290000 PA USD 1847264.870000 0.0780371 Long ABS-MBS CORP US N 2 2026-05-26 Fixed 1.8677 N N N N N N READY CAPITAL MORTGAGE FINANCING 2021-FL6 LLC N/A 75575TAA1 6900000.000000 PA USD 6787632.810000 0.2867415 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.40657 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC1 N/A 76112BRR3 2900000.000000 PA USD 2813782.130000 0.1188674 Long ABS-MBS CORP US N 2 2035-05-25 Floating 1.52157 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-EMX7 N/A 74924TAC8 8346.400000 PA USD 8332.170000 0.0003520 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.75657 N N N N N N RIPON MORTGAGES PLC 1RA N/A ACI23KYX4 51800000.000000 PA 67805482.650000 2.8644219 Long ABS-MBS CORP GB N 2 2056-08-28 Floating 0.8217 N N N N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AM8 400000.000000 PA USD 423180.020000 0.0178771 Long DBT CORP US N 2 2025-03-01 Fixed 5.625 N N N N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AD8 900000.000000 PA USD 921211.540000 0.0389163 Long DBT CORP US N 2 2023-04-15 Variable 5.625 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAL9 500000.000000 PA USD 453995.000000 0.0191789 Long DBT CORP KY N 2 2030-06-18 Variable 4.375 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAF2 1800000.000000 PA USD 1793250.000000 0.0757553 Long DBT CORP KY N 2 2025-08-08 Variable 5.125 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 500000.000000 PA USD 492610.000000 0.0208102 Long DBT CORP KY N 2 2028-08-08 Variable 5.4 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAM7 1600000.000000 PA USD 1397600.000000 0.0590412 Long DBT CORP KY N 2 2027-03-08 Variable 2.55 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI1LTBF1 900000.000000 PA USD 908068.500000 0.0383611 Long DBT NUSS SA N 2 2025-10-22 Fixed 2.9 N N N N N N SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A N/A ACI1YTXT3 450000.000000 PA 493115.730000 0.0208315 Long ABS-CBDO CORP IE N 2 2032-07-20 Floating 0.88 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAC7 6400000.000000 PA USD 6257159.040000 0.2643318 Long ABS-MBS CORP US N 2 2038-05-15 Floating 1.897 N N N N N N SLM STUDENT LOAN TRUST 2003-10A N/A 78442GJG2 50763.520000 PA USD 50753.270000 0.0021441 Long ABS-O CORP US N 2 2027-12-15 Floating 1.296 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2018-B N/A 78449LAC2 1000687.530000 PA USD 995856.810000 0.0420697 Long ABS-O CORP US N 2 2037-01-15 Floating 1.11657 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-B N/A 78449XAA0 3690755.400000 PA USD 3513925.030000 0.1484447 Long ABS-O CORP US N 2 2053-07-15 Fixed 1.29 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-B N/A 78449YAA8 4214233.180000 PA USD 4009328.310000 0.1693728 Long ABS-O CORP US N 2 2051-07-17 Fixed 1.31 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-D N/A 78449MAA4 11067394.150000 PA USD 10511215.540000 0.4440431 Long ABS-O CORP US N 2 2053-03-17 Fixed 1.34 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-A N/A 78450FAA5 6700000.000000 PA USD 6481940.460000 0.2738276 Long ABS-O CORP US N 2 2054-11-16 Fixed 2.85 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83367TBF5 1100000.000000 PA USD 1152250.000000 0.0486764 Long DBT CORP FR N 2 2023-12-18 Floating 7.875 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83368RAK8 800000.000000 PA USD 793412.660000 0.0335175 Long DBT CORP FR N 2 2027-01-12 Fixed 4 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83368RAW2 1100000.000000 PA USD 1016615.800000 0.0429466 Long DBT CORP FR N 2 2030-01-22 Fixed 3 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAB8 3039407.090000 PA USD 2997630.740000 0.1266340 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54 N N N N N N SOUND POINT CLO IX LTD 2015-2A N/A 83609GBQ7 6100000.000000 PA USD 6083285.150000 0.2569865 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 2.054 N N N N N N SOUND POINT CLO XII LTD 2016-2A N/A 83610CAW1 1827437.690000 PA USD 1824291.100000 0.0770666 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.304 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT3 N/A 83611MGU6 2273328.790000 PA USD 2262109.460000 0.0955621 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.16157 N N N N N N SPECIALTY UNDERWRITING & RESID 2005-BC2 N/A 84751PFW4 169918.710000 PA USD 168417.120000 0.0071147 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.43157 N N N N N N SREIT TRUST 2021-IND N/A 78473JAG7 9000000.000000 PA USD 8750882.700000 0.3696784 Long ABS-MBS CORP US N 2 2038-10-15 Floating 1.494 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BY5 1100000.000000 PA USD 1051574.940000 0.0444235 Long DBT CORP GB N 2 2025-01-12 Floating 0.991 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2 N/A 85573HAD2 2564000.000000 PA USD 2485620.570000 0.1050043 Long ABS-MBS CORP US N 2 2065-05-25 Variable 2.175 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2 N/A 78486BAA2 6200000.000000 PA USD 6161520.320000 0.2602915 Long ABS-CBDO CORP KY N 2 2038-04-18 Floating 1.66757 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-18 N/A 863579XK9 358332.750000 PA USD 343015.600000 0.0144906 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.84129 Y N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 1952453.980000 PA USD 1917401.570000 0.0810000 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.77657 N N N N N N AMERIQUEST MTGE SECURITIES INC 2004-R12 N/A 03072SXE0 985244.510000 PA USD 981932.910000 0.0414815 Long ABS-MBS CORP US N 2 2035-01-25 Floating 1.37157 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPF0 158483.080000 PA USD 153351.450000 0.0064783 Long ABS-MBS CORP US N 2 2035-07-19 Floating 0.94857 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 181912.840000 PA USD 173662.670000 0.0073363 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.01657 Y N N N N N STRUCTURED ASSET MTGE INV 1999-1 N/A 86358HGW3 38761.400000 PA USD 40596.830000 0.0017150 Long ABS-MBS CORP US N 2 2029-06-25 Floating 3.96745 N N N N N N STRUCTURED ASSET SEC CORP 2006-WF1 N/A 863576FL3 2345718.340000 PA USD 2343235.400000 0.0989893 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.10157 N N N N N N STRUCTURED ASSET SECUR CORP 2004-23XS N/A 86359BU74 2543769.900000 PA USD 2565315.120000 0.1083710 Long ABS-MBS CORP US N 2 2035-01-25 Floating 1.28157 N N N N N N STWD 2021-HTS MORTGAGE TRUST 2021-HTS N/A 78486DAA8 2500000.000000 PA USD 2469173.250000 0.1043095 Long ABS-MBS CORP US N 2 2034-04-15 Floating 1.44657 N N N N N N STWD 2021-HTS MORTGAGE TRUST 2021-HTS N/A 78486DAC4 5400000.000000 PA USD 5328950.580000 0.2251199 Long ABS-MBS CORP US N 2 2034-04-15 Floating 1.74657 N N N N N N AMMC CLO 20 LTD 2017-20A N/A 00177TAJ2 17748886.850000 PA USD 17739281.330000 0.7493905 Long ABS-CBDO CORP KY N 2 2029-04-17 Floating 1.11129 N N N N N N AMMC CLO 20 LTD 2017-20A N/A 00177TAL7 14000000.000000 PA USD 13913126.360000 0.5877558 Long ABS-CBDO CORP KY N 2 2029-04-17 Floating 1.64129 N N N N N N AMMC CLO XII LTD 2013-12A N/A 00176CAW1 1300000.000000 PA USD 1283379.600000 0.0542160 Long ABS-CBDO CORP KY N 2 2030-11-10 Floating 1.31629 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABR5 200000.000000 PA USD 188680.000000 0.0079707 Long DBT CORP US N 2 2026-02-15 Fixed 2.25 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABT1 400000.000000 PA USD 361000.000000 0.0152503 Long DBT CORP US N 2 2031-02-15 Fixed 2.875 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABB0 3400000.000000 PA USD 3425985.150000 0.1447297 Long DBT CORP US N 2 2025-04-15 Fixed 3.5 N N N N N N ANCHORAGE CAPITAL CLO 11 LTD 2019-11A N/A 03330NAJ3 2650000.000000 PA USD 2635015.150000 0.1113154 Long ABS-CBDO CORP KY N 2 2032-07-22 Floating 1.39886 N N N N N N THEOREM FUNDING TRUST 2021-1A N/A 88339VAA6 4903806.900000 PA USD 4834338.590000 0.2042252 Long ABS-O CORP US N 2 2027-12-15 Fixed 1.21 N N N N N N THL CREDIT WIND RIVER 2019-3 CLO LTD N/A 97314JAC9 10800000.000000 PA USD 10695670.270000 0.4518353 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 1.89129 N N N N N N TIKEHAU CLO BV N/A ACI1ZJMY5 5500000.000000 PA 6035069.990000 0.2549497 Long ABS-CBDO CORP IE N 2 2034-08-04 Floating 0.87 N N N N N N TOWD POINT ASSET TRUST 2021-SL1 N/A 89179XAL9 10923956.460000 PA USD 10886941.730000 0.4599155 Long ABS-O CORP US N 2 2061-11-20 Floating 1.14857 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 1209030.430000 PA 1594706.490000 0.0673679 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.23625 N N N N N N TOWD POINT MORTGAGE TRUST 2018-1 N/A 89176EAA8 219628.680000 PA USD 219047.500000 0.0092536 Long ABS-MBS CORP US N 2 2058-01-25 Variable 3 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 2539263.420000 PA USD 2497617.470000 0.1055111 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 2674261.180000 PA USD 2676934.910000 0.1130863 Long ABS-MBS CORP US N 2 2058-05-25 Floating 1.45657 N N N N N N TOWD POINT MORTGAGE TRUST 2021-SJ2 N/A 89180LAA6 7624742.500000 PA USD 7546234.340000 0.3187884 Long ABS-MBS CORP US N 2 2061-12-25 Variable 2.25 N N N N N N TRICOLOR AUTO SECURITIZATION TRUST 2021-1A N/A 89615BAA3 4630257.760000 PA USD 4616638.780000 0.1950285 Long ABS-O CORP US N 2 2024-04-15 Fixed 0.74 N N N N N N TRINITAS EURO CLO II DAC 2A A N/A ACI1NGXC0 285745.210000 PA 316444.130000 0.0133681 Long ABS-CBDO CORP IE N 2 2033-08-15 Floating 1.55 N N N N N N TRINITY SQUARE 2021-1 PLC A N/A ACI1WK7V8 8757068.510000 PA 11497455.840000 0.4857065 Long ABS-MBS CORP GB N 2 2059-07-15 Floating 1.26682 N N N N N N TTAN 2021-MHC N/A 87303TAA5 2695997.920000 PA USD 2661055.630000 0.1124155 Long ABS-MBS CORP US N 2 2038-03-15 Floating 1.247 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AC2 800000.000000 PA USD 735986.190000 0.0310915 Long DBT CORP CH N 2 2027-01-30 Floating 1.364 N N N N N N APIDOS CLO 2017-27A N/A 03767JAF2 4500000.000000 PA USD 4495119.530000 0.1898949 Long ABS-CBDO CORP KY N 2 2030-07-17 Floating 1.17129 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796V89 30000000.000000 PA USD 29980095.300000 1.2665000 Long DBT UST US N 2 2022-06-07 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796V97 215000000.000000 PA USD 214825432.900000 9.0752347 Long DBT UST US N 2 2022-06-14 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796X20 63600000.000000 PA USD 63470980.400000 2.6813121 Long DBT UST US N 2 2022-07-19 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796X38 14500000.000000 PA USD 14465892.810000 0.6111072 Long DBT UST US N 2 2022-07-26 None 0 N N N N N N APIDOS CLO XXVI LLC 2017-26A N/A 03766GAN2 10500000.000000 PA USD 10502652.720000 0.4436814 Long ABS-CBDO CORP KY N 2 2029-07-18 Floating 1.54129 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796G45 14400000.000000 PA USD 14399059.970000 0.6082839 Long DBT UST US N 2 2022-04-21 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796P37 11100000.000000 PA USD 11099157.070000 0.4688805 Long DBT UST US N 2 2022-04-28 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796H44 158900000.000000 PA USD 158848268.520000 6.7104965 Long DBT UST US N 2 2022-05-19 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Q28 35500000.000000 PA USD 35492459.800000 1.4993681 Long DBT UST US N 2 2022-05-12 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Q36 62600000.000000 PA USD 62572981.840000 2.6433765 Long DBT UST US N 2 2022-05-26 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Q44 8500000.000000 PA USD 8495293.640000 0.3588811 Long DBT UST US N 2 2022-06-02 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796R43 116900000.000000 PA USD 116775683.860000 4.9331530 Long DBT UST US N 2 2022-06-23 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796R50 201300000.000000 PA USD 201045228.680000 8.4930942 Long DBT UST US N 2 2022-06-30 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 10597257.000000 PA USD 11341846.560000 0.4791328 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 122253.000000 PA USD 136566.600000 0.0057692 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 2170818.000000 PA USD 2785740.930000 0.1176828 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 3700191.000000 PA USD 4252530.680000 0.1796469 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N AQUEDUCT EUROPEAN CLO 1-2017 DAC N/A ACI1VHTC4 891580.370000 PA 982365.330000 0.0414997 Long ABS-CBDO CORP IE N 2 2030-07-20 Floating 0.64 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 1067616.000000 PA USD 1300900.620000 0.0549561 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 455924.000000 PA USD 566671.650000 0.0239389 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 7740671.400000 PA USD 9692651.830000 0.4094631 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL1 N/A 03881CAA9 6700000.000000 PA USD 6614052.740000 0.2794086 Long ABS-CBDO CORP KY N 2 2035-12-15 Floating 1.36657 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Y38 3023298.000000 PA USD 3308306.150000 0.1397584 Long DBT UST US N 2 2028-07-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZZ6 2850276.000000 PA USD 3025020.810000 0.1277911 Long DBT UST US N 2 2030-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 4000000.000000 PA USD 4401093.760000 0.1859229 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X70 300000.000000 PA USD 297761.720000 0.0125789 Long DBT UST US N 2 2024-04-30 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285D8 14720000.000000 PA USD 14887037.560000 0.6288983 Long DBT UST US N 2 2023-09-30 Fixed 2.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285C0 4900000.000000 PA USD 4976466.800000 0.2102293 Long DBT UST US N 2 2025-09-30 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285J5 5000000.000000 PA USD 5079589.850000 0.2145857 Long DBT UST US N 2 2025-10-31 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285P1 1380000.000000 PA USD 1394743.350000 0.0589205 Long DBT UST US N 2 2023-11-30 Fixed 2.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QD3 2800000.000000 PA USD 3562507.820000 0.1504971 Long DBT UST US N 2 2039-11-15 Fixed 4.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285T3 2000000.000000 PA USD 2007460.940000 0.0848046 Long DBT UST US N 2 2025-12-31 Fixed 2.625 N N N N N N UPSTART SECURITIZATION TRUST 2021-5 N/A 91679JAA5 6896372.910000 PA USD 6597458.590000 0.2787076 Long ABS-O CORP US N 2 2031-11-20 Fixed 1.31 N N N N N N AREIT TRUST 2022-CRE6 N/A 04002VAA9 8800000.000000 PA USD 8712815.760000 0.3680702 Long ABS-MBS CORP KY N 2 2024-11-17 Floating 1.3 N N N N N N VASA TRUST 2021-VASA N/A 92230AAA4 4300000.000000 PA USD 4214210.700000 0.1780280 Long ABS-MBS CORP US N 2 2039-07-15 Floating 1.297 N N N N N N ARES EUROPEAN CLO X BV 10A N/A ACI1Y2RR3 900000.000000 PA 988217.430000 0.0417469 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.78 N N N N N N VENTURE 36 CLO LTD N/A 92332LAU3 950000.000000 PA USD 944974.430000 0.0399202 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 1.384 N N N N N N VENTURE CLO LTD 2013-4A N/A 92328GBA3 1654769.320000 PA USD 1655049.440000 0.0699171 Long ABS-CBDO CORP KY N 2 2029-08-28 Floating 1.53786 N N N N N N VENTURE XXVII CLO LTD 2017-27A N/A 92331LBC3 1000000.000000 PA USD 999604.820000 0.0422280 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 1.304 N N N N N N ARES L CLO LTD 2018-50A N/A 04018LAJ4 700000.000000 PA USD 694727.540000 0.0293486 Long ABS-CBDO CORP KY N 2 2032-01-15 Floating 1.29129 N N N N N N VEROS AUTOMOBILE RECEIVABLES TRUST 2021-1 N/A 92512BAA1 3173345.750000 PA USD 3136208.400000 0.1324882 Long ABS-O CORP US N 2 2026-10-15 Fixed 0.92 N N N N N N VERUS SECURITIZATION TRUST 2021-R3 N/A 92538EAA5 3251200.680000 PA USD 3189178.170000 0.1347259 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 1.02 N N N N N N VERUS SECURITIZATION TRUST 2021-R3 N/A 92538EAB3 412856.340000 PA USD 399703.650000 0.0168854 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 1.277 N N N N N N VERUS SECURITIZATION TRUST 2021-R3 N/A 92538EAC1 619284.500000 PA USD 599416.430000 0.0253222 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 1.38 N N N N N N ARES LII CLO LTD 2019-52A N/A 04009AAL4 1750000.000000 PA USD 1736750.020000 0.0733685 Long ABS-CBDO CORP KY N 2 2031-04-22 Floating 1.30886 N N N N N N VIBRANT CLO VI LTD 2017-6A N/A 92558EAJ1 1238710.380000 PA USD 1237889.750000 0.0522943 Long ABS-CBDO CORP KY N 2 2029-06-20 Floating 1.87786 N N N N N N ARGENT SECURITIES INC 2004-W9 N/A 040104LB5 1144973.850000 PA USD 1137951.040000 0.0480724 Long ABS-MBS CORP US N 2 2034-06-26 Floating 1.32657 N N N N N N WASHINGTON MUTUAL 2002 AR2 N/A 929227LE4 137879.060000 PA USD 139365.770000 0.0058875 Long ABS-MBS CORP US N 2 2034-02-27 Floating 1.473 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 23153.960000 PA USD 22641.580000 0.0009565 Long ABS-MBS CORP US N 2 2042-11-25 Floating 1.34113 N N N N N N WASHINGTON MUTUAL 2002-AR6 N/A 929227QB5 41943.560000 PA USD 41012.270000 0.0017326 Long ABS-MBS CORP US N 2 2042-06-25 Floating 1.61876 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 51791.880000 PA USD 51262.580000 0.0021656 Long ABS-MBS CORP US N 2 2045-10-25 Floating 1.03657 N N N N N N ARGENT SECURITIES TRUST 2006-W5 N/A 04012XAA3 4368998.850000 PA USD 3213991.960000 0.1357741 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.75657 N N N N N N WELLFLEET CLO LTD 2015-1 N/A 949496BJ1 11381803.320000 PA USD 11320105.750000 0.4782144 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 1.144 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2G7 600000.000000 PA USD 570920.150000 0.0241183 Long DBT CORP US N 2 2030-10-30 Floating 2.879 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 U94974KM0 900000.000000 PA 901090.210000 0.0380663 Long DBT CORP US N 2 2030-03-25 Fixed 0.625 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 ACI1M15X9 700000.000000 PA 762687.970000 0.0322195 Long DBT CORP US N 2 2030-05-04 Floating 1.741 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-JWDR N/A 95002NAA5 7300000.000000 PA USD 6899668.000000 0.2914744 Long ABS-MBS CORP US N 2 2031-09-15 Variable 2.50052 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-JWDR N/A 95002NAG2 1300000.000000 PA USD 1216989.540000 0.0514114 Long ABS-MBS CORP US N 2 2031-09-15 Variable 2.696 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR5 N/A 94983RAA2 1735883.600000 PA USD 1712172.300000 0.0723302 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.68534 N N N N N N N/A N/A 000000000 757000.000000 PA USD 757000.000000 0.0319792 Long RA US N 2 Repurchase N 0.0100000 2022-04-01 774300.000000 USD 772162.160000 USD UST N N N N/A N/A 000000000 30000000.000000 PA USD 30000000.000000 1.2673408 Long RA US N 2 Repurchase N 0.1500000 2022-04-01 30658000.000000 USD 30571774.380000 USD UST N N N N/A N/A 000000000 54300000.000000 PA USD 54300000.000000 2.2938869 Long RA US N 2 Repurchase N 0.2800000 2022-04-01 58710600.000000 USD 54896704.240000 USD UST N N N N/A N/A 000000000 81500000.000000 PA USD 81500000.000000 3.4429426 Long RA US N 2 Repurchase N 0.2800000 2022-04-01 86542439.040000 USD 84077631.620000 USD AMBS N N N N/A N/A 000000000 1.000000 NC USD 39056.550000 0.0016499 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-06-21 61537.990000 USD 0.000000 USD 3700000.000000 USD -22481.440000 N N N N/A N/A 000000000 1.000000 NC USD 25289.520000 0.0010683 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2023-12-21 43181.200000 USD 0.000000 USD 3400000.000000 USD -17891.680000 N N N N/A N/A 000000000 1.000000 NC USD 7092.390000 0.0002996 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-12-22 12475.150000 USD 0.000000 USD 800000.000000 USD -5382.760000 N N N N/A N/A 000000000 1.000000 NC 357619.060000 0.0151075 N/A DFE BR N 2 Banco Santander, S.A. N/A 3069806.480000 USD 16750000.000000 BRL 2022-07-05 357619.060000 N N N N/A N/A 000000000 1.000000 NC 583219.090000 0.0246379 N/A DFE BR N 2 Banco Santander, S.A. N/A 6251169.750000 USD 33400000.000000 BRL 2022-07-05 583219.090000 N N N N/A N/A 000000000 1.000000 NC 384849.750000 0.0162579 N/A DFE BR N 2 Banco Santander, S.A. N/A 4116843.500000 USD 22000000.000000 BRL 2022-07-05 384849.750000 N N N N/A N/A 000000000 1.000000 NC 776440.940000 0.0328005 N/A DFE BR N 2 Banco Santander, S.A. N/A 8042785.380000 USD 43100000.000000 BRL 2022-07-05 776440.940000 N N N N/A N/A 000000000 1.000000 NC 373555.870000 0.0157808 N/A DFE BR N 2 Banco Santander, S.A. N/A 4128137.380000 USD 22000000.000000 BRL 2022-07-05 373555.870000 N N N N/A N/A 000000000 1.000000 NC 373538.200000 0.0157800 N/A DFE BR N 2 Banco Santander, S.A. N/A 4210004.020000 USD 22400000.000000 BRL 2022-07-05 373538.200000 N N N N/A N/A 000000000 1.000000 NC 725912.620000 0.0306660 N/A DFE BR N 2 Banco Santander, S.A. N/A 8441171.820000 USD 44800000.000000 BRL 2022-07-05 725912.620000 N N N N/A N/A 000000000 1.000000 NC -8395737.740000 -0.3546754 N/A DFE BR N 2 Banco Santander, S.A. N/A 284800000.000000 BRL 49880727.610000 USD 2022-07-05 -8395737.740000 N N N N/A N/A 000000000 1.000000 NC 83611.000000 0.0035321 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3060794.420000 USD 3931000.000000 CAD 2022-04-04 83611.000000 N N N N/A N/A 000000000 1.000000 NC 115.900000 0.0000049 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 220000.000000 DKK 32946.260000 USD 2022-07-01 115.900000 N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAA4 22893522.210000 PA USD 22490060.510000 0.9500857 Long ABS-MBS CORP US N 2 2035-04-15 Floating 1.297 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAG1 7105000.000000 PA USD 6964448.890000 0.2942110 Long ABS-MBS CORP US N 2 2035-04-15 Floating 1.647 N N N N N N N/A N/A 000000000 1.000000 NC USD 477.430000 0.0000202 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BERKSHIRE HATHAWAY INC BERKSHIRE HATHAWAY INC SR UNSEC Y Single Leg Swap 2022-06-21 4278.690000 USD 0.000000 USD 200000.000000 USD -3801.260000 N N N N/A N/A 000000000 1.000000 NC 217985.860000 0.0092087 N/A DFE BR N 2 BNP Paribas S.A. N/A 2656959.150000 USD 14050000.000000 BRL 2022-07-05 217985.860000 N N N N/A N/A 000000000 1.000000 NC -5124.140000 -0.0002165 N/A DFE CA N 2 BNP Paribas S.A. N/A 2923157.970000 USD 3648000.000000 CAD 2022-04-04 -5124.140000 N N N N/A N/A 000000000 1.000000 NC 6856.500000 0.0002897 N/A DFE N/A N 2 BNP Paribas S.A. N/A 1120412.000000 USD 1019000.000000 EUR 2022-04-04 6856.500000 N N N N/A N/A 000000000 1.000000 NC 48.840000 0.0000021 N/A DFE SG N 2 BNP Paribas S.A. N/A 7748.000000 USD 10567.730000 SGD 2022-06-15 48.840000 N N N N/A N/A 000000000 1.000000 NC -76.770000 -0.0000032 N/A DFE TW N 2 BNP Paribas S.A. N/A 6917.000000 USD 195571.000000 TWD 2022-05-20 -76.770000 N N N N/A N/A 000000000 1.000000 NC 3880.610000 0.0001639 N/A DFE ZA N 2 BNP Paribas S.A. N/A 51239.000000 USD 826882.050000 ZAR 2022-11-08 3880.610000 N N N N/A N/A 000000000 1.000000 NC -12922.030000 -0.0005459 N/A DFE CA N 2 BNP Paribas S.A. N/A 1176000.000000 CAD 927759.930000 USD 2022-04-04 -12922.030000 N N N ASSET BACKED SEC HOME EQTY LN 2004-HE2 N/A 04541GHW5 1253039.250000 PA USD 1216070.080000 0.0513725 Long ABS-MBS CORP US N 2 2034-04-25 Floating 1.28157 N N N N N N N/A N/A 000000000 1.000000 NC -2838.340000 -0.0001199 N/A DFE NZ N 2 BNP Paribas S.A. N/A 175000.000000 NZD 118445.440000 USD 2022-04-04 -2838.340000 N N N N/A N/A 000000000 1.000000 NC USD 588.340000 0.0000249 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO DEBENTURES SR UNSEC Y Single Leg Swap 2022-12-21 56.540000 USD 0.000000 USD 200000.000000 USD 531.800000 N N N N/A N/A 000000000 1.000000 NC USD 21283.710000 0.0008991 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2023-06-21 28940.340000 USD 0.000000 USD 8600000.000000 USD -7656.630000 N N N N/A N/A 000000000 1.000000 NC USD 4257.960000 0.0001799 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2023-12-21 28630.560000 USD 0.000000 USD 4000000.000000 USD -24372.600000 N N N N/A N/A 000000000 1.000000 NC USD -7509.580000 -0.0003172 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.35 Y Single Leg Swap 2026-06-21 0.000000 USD -2550.000000 USD 100000.000000 USD -4959.580000 N N N N/A N/A 000000000 1.000000 NC USD -722551.650000 -0.0305240 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.36 Y Single Leg Swap 2026-12-22 0.000000 USD -313180.000000 USD 8800000.000000 USD -409371.650000 N N N N/A N/A OP001FNS9 -200000.000000 NC USD -112.790000 -0.0000048 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 HY37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 100.000000 USD 2022-04-20 XXXX 1057.210000 N N N N/A N/A OP001FDK7 -500000.000000 NC USD -343.000000 -0.0000145 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 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 2022-04-20 XXXX 1707.000000 N N N N/A N/A OP001DQF9 -500000.000000 NC USD -1051.320000 -0.0000444 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 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 100.000000 USD 2022-05-18 XXXX 1698.680000 N N N N/A N/A OP001DKR9 -500000.000000 NC USD -1319.800000 -0.0000558 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 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 2022-05-18 XXXX 1885.200000 N N N N/A N/A OP001FB60 -500000.000000 NC USD -977.620000 -0.0000413 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 HY37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 104.000000 USD 2022-04-20 XXXX 2647.380000 N N N N/A N/A OP001DCP2 -1800000.000000 NC USD -1234.780000 -0.0000522 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 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 2022-04-20 XXXX 6245.220000 N N N N/A N/A 000000000 1.000000 NC USD 251959.790000 0.0106440 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.37 Y Single Leg Swap 2026-12-22 359292.500000 USD 0.000000 USD 3900000.000000 USD -107332.710000 N N N N/A N/A 000000000 1.000000 NC USD 28330.790000 0.0011968 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.38 Y Single Leg Swap 2027-06-22 23340.000000 USD 0.000000 USD 500000.000000 USD 4990.790000 N N N N/A N/A OP001HL99 -2900000.000000 NC USD -1197.030000 -0.0000506 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 1.200000 USD 2022-06-15 XXXX 3094.970000 N N N N/A N/A OP001F5H3 -3800000.000000 NC USD -1599.840000 -0.0000676 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 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 0.950000 USD 2022-05-18 XXXX 2580.160000 N N N N/A N/A OP001DG29 -2500000.000000 NC USD -1569.000000 -0.0000663 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 IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.850000 USD 2022-05-18 XXXX 1368.500000 N N N N/A N/A OP001DZZ5 -2000000.000000 NC USD -1020.420000 -0.0000431 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 IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2022-05-18 XXXX 1199.580000 N N N N/A N/A OP001KDW0 -2200000.000000 NC USD -1702.290000 -0.0000719 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 IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 1.200000 USD 2022-07-20 XXXX 2279.710000 N N N N/A N/A OP001D869 -7500000.000000 NC USD -3826.580000 -0.0001617 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 0.900000 USD 2022-05-18 XXXX 2650.420000 N N N N/A N/A OP001C424 -3700000.000000 NC USD -543.350000 -0.0000230 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 0.900000 USD 2022-04-20 XXXX 3600.650000 N N N N/A N/A OP001DY86 -2000000.000000 NC USD -1255.200000 -0.0000530 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 IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.850000 USD 2022-05-18 XXXX 1086.800000 N N N N/A N/A OP001KY31 -2300000.000000 NC USD -2365.760000 -0.0000999 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 IG38 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.200000 USD 2022-07-20 XXXX 1107.240000 N N N 2022-05-12 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer