NPORT-P false 0000810893 XXXXXXXX S000009700 C000026606 C000026608 C000026610 C000026607 C000200446 C000026612 C000064148 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Real Return Fund S000009700 UBV6ASKZ6D22Z3BEZJ52 2022-03-31 2022-03-31 N 16179658095.559999 4192654978.610000 11987003116.950001 0.000000 0.000000 2762102818.680000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 6858748.499649 0.000000 0.000000 92396138.450000 NZD AUD CAD ARS USD GBP JPY PEN DKK EUR MXN N N/A N/A 000000000 1.000000 NC -1541.990000 -0.0000129 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15447.000000 USD 1184508.400000 RUB 2022-04-21 -1541.990000 N N N N/A N/A 000000000 1.000000 NC -2164.370000 -0.0000181 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 20223.000000 USD 1585044.360000 RUB 2022-05-23 -2164.370000 N N N N/A N/A 000000000 1.000000 NC 2486201.850000 0.0207408 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 269240146.370000 DKK 42527270.000000 USD 2022-04-01 2486201.850000 N N N N/A N/A 000000000 1.000000 NC 190577.880000 0.0015899 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 24790000.000000 DKK 3877316.630000 USD 2022-04-01 190577.880000 N N N N/A N/A 000000000 1.000000 NC 148307.060000 0.0012372 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 20925000.000000 DKK 3260247.690000 USD 2022-04-01 148307.060000 N N N N/A N/A 000000000 1.000000 NC 138000.460000 0.0011513 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 19640000.000000 DKK 3058837.450000 USD 2022-04-01 138000.460000 N N N N/A N/A 000000000 1.000000 NC 426397.710000 0.0035572 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 58495000.000000 DKK 9125703.190000 USD 2022-04-01 426397.710000 N N N N/A N/A 000000000 1.000000 NC 580473.010000 0.0048425 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 98425000.000000 DKK 15218119.680000 USD 2022-04-01 580473.010000 N N N N/A N/A 000000000 1.000000 NC 106553.820000 0.0008889 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 25980000.000000 DKK 3970267.920000 USD 2022-04-01 106553.820000 N N N N/A N/A 000000000 1.000000 NC 87882.420000 0.0007331 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 33875000.000000 DKK 5125731.350000 USD 2022-04-01 87882.420000 N N N N/A N/A 000000000 1.000000 NC 242073.480000 0.0020195 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 69260000.000000 DKK 10542336.710000 USD 2022-04-01 242073.480000 N N N N/A N/A 000000000 1.000000 NC -574.260000 -0.0000048 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 141000.000000 MXN 6497.460000 USD 2022-04-18 -574.260000 N N N N/A N/A 000000000 1.000000 NC USD 24538.560000 0.0002047 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 CMBX.NA.AAA.12 N/A N/A Y Single Leg Swap 2061-08-18 0.000000 USD -26134.630000 USD 12300000.000000 USD 50673.190000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 B4RNSXII1 14060354.000000 PA 11739261.670000 0.0979332 Long DBT NUSS AU N 2 2025-09-20 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -57194.180000 -0.0004771 N/A DFE N/A N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 20327008.500000 USD 18323000.000000 EUR 2022-04-04 -57194.180000 N N N N/A N/A 000000000 1.000000 NC 864769.000000 0.0072142 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 85814540.000000 USD 582840341.640000 DKK 2022-04-01 864769.000000 N N N N/A N/A 000000000 1.000000 NC 41281.600000 0.0003444 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 26443896.000000 USD 178088982.670000 DKK 2022-04-01 41281.600000 N N N N/A N/A 000000000 1.000000 NC 9386.530000 0.0000783 N/A DFE PL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 120625.000000 USD 550142.640000 PLN 2022-06-15 9386.530000 N N N N/A N/A 000000000 1.000000 NC -1405.200000 -0.0000117 N/A DFE RU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 15518.000000 USD 1202208.940000 RUB 2022-04-21 -1405.200000 N N N N/A N/A 000000000 1.000000 NC -1048.700000 -0.0000087 N/A DFE RU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 11638.000000 USD 902056.720000 RUB 2022-04-21 -1048.700000 N N N N/A N/A 000000000 1.000000 NC -2257.200000 -0.0000188 N/A DFE RU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 21935.000000 USD 1727161.900000 RUB 2022-05-23 -2257.200000 N N N N/A N/A 000000000 1.000000 NC -3275.360000 -0.0000273 N/A DFE RU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 26406.000000 USD 2030225.310000 RUB 2022-05-23 -3275.360000 N N N N/A N/A 000000000 1.000000 NC -748.190000 -0.0000062 N/A DFE RU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 6197.000000 USD 478253.480000 RUB 2022-05-23 -748.190000 N N N N/A N/A 000000000 1.000000 NC 625.690000 0.0000052 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2697236.960000 CNY 424100.530000 USD 2022-05-20 625.690000 N N N N/A N/A 000000000 1.000000 NC -835537.300000 -0.0069704 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 580652070.870000 DKK 85814540.000000 USD 2022-07-01 -835537.300000 N N N N/A N/A 000000000 1.000000 NC -33474.430000 -0.0002793 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 177427885.270000 DKK 26443896.000000 USD 2022-07-01 -33474.430000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAF8 100000.000000 PA USD 99923.710000 0.0008336 Long DBT CORP US N 2 2024-01-30 Fixed 4.375 N N N N N N N/A N/A 000000000 4412.000000 NC -11932929.320000 -0.0995489 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A EUIB 2023-03-13 1211591119.030000 EUR -11932929.320000 N N N N/A N/A 000000000 -273.000000 NC 927385.120000 0.0077366 N/A DIR DE N 1 Eurex N/A Short N/A FRANCE GOVT 2022-06-08 -45756956.930000 EUR 927385.120000 N N N N/A N/A 000000000 1.000000 NC USD 45869.170000 0.0003827 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2023-12-21 0.000000 USD -4205.680000 USD 4100000.000000 USD 50074.850000 N N N N/A N/A 000000000 67.000000 NC -63.740000 -0.0000005 N/A DIR DE N 1 Eurex N/A Call Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EURO-SCHATZ 2YR EUX 06/08/22 2022-06-09 N/A EUR N/A 117.000000 EUR 2022-05-20 XXXX -63.740000 N N N N/A N/A 000000000 -3625.000000 NC 10928805.190000 0.0911721 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-06-08 -516748621.340000 EUR 10928805.190000 N N N N/A N/A 000000000 -1562.000000 NC 1681241.520000 0.0140255 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-06-08 -274158470.280000 EUR 1681241.520000 N N N N/A N/A 000000000 -743.000000 NC 12723202.620000 0.1061416 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-06-08 -153045892.770000 EUR 12723202.620000 N N N N/A N/A 000000000 -14081.000000 NC 14336033.920000 0.1195965 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-06-08 -1724930483.270000 EUR 14336033.920000 N N N N/A N/A 000000000 -323.000000 NC 120611.340000 0.0010062 N/A DIR DE N 1 Eurex N/A Call Written Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EURO-BOBL 5Y EUX 06/08/22 2022-06-09 N/A EUR N/A 134.500000 EUR 2022-04-22 XXXX 120611.340000 N N N N/A N/A 000000000 -323.000000 NC -819712.020000 -0.0068383 N/A DIR DE N 1 Eurex N/A Put Written Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EURO-BOBL 5Y EUX 06/08/22 2022-06-09 N/A EUR N/A 131.500000 EUR 2022-04-22 XXXX -819712.020000 N N N N/A N/A 000000000 -6500000.000000 NC USD -1604.200000 -0.0000134 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written GNMA PASS THRU POOLS GNMA II TBA 3.0% APR 30YR JMBO N/A 101.190000 USD 2022-04-14 XXXX 22262.990000 N N N N/A N/A 000000000 -353.000000 NC USD -646843.520000 -0.0053962 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A Gold 2022-06-28 -68976200.000000 USD -646843.520000 N N N N/A N/A 000000000 1.000000 NC -1158.360000 -0.0000097 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 209206.170000 USD 2988300990.000000 IDR 2022-05-20 -1158.360000 N N N N/A N/A 000000000 1.000000 NC -1396.430000 -0.0000116 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 14465.000000 USD 1113255.330000 RUB 2022-04-21 -1396.430000 N N N N/A N/A 000000000 1.000000 NC -1412.890000 -0.0000118 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 14464.000000 USD 1111768.130000 RUB 2022-04-21 -1412.890000 N N N N/A N/A 000000000 1.000000 NC -1597.050000 -0.0000133 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 15321.000000 USD 1169084.230000 RUB 2022-04-21 -1597.050000 N N N N/A N/A 000000000 1.000000 NC -1592.230000 -0.0000133 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 15321.000000 USD 1169494.830000 RUB 2022-04-21 -1592.230000 N N N N/A N/A 000000000 1.000000 NC -2391.040000 -0.0000199 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 23077.000000 USD 1762148.180000 RUB 2022-04-21 -2391.040000 N N N N/A N/A 000000000 1.000000 NC -2120.500000 -0.0000177 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 20084.000000 USD 1576694.420000 RUB 2022-05-23 -2120.500000 N N N N/A N/A 000000000 1.000000 NC -1493.520000 -0.0000125 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 12340.000000 USD 952018.660000 RUB 2022-05-23 -1493.520000 N N N N/A N/A 000000000 1.000000 NC -2339.920000 -0.0000195 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 18520.000000 USD 1420159.900000 RUB 2022-05-23 -2339.920000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAR2 143000.000000 PA USD 126573.510000 0.0010559 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N N/A N/A 000000000 1.000000 NC 345387.210000 0.0028813 N/A DFE JP N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 805900000.000000 JPY 6965232.780000 USD 2022-04-04 345387.210000 N N N N/A N/A 000000000 1.000000 NC -6514.330000 -0.0000543 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 537663943.000000 KRW 435740.000000 USD 2022-05-20 -6514.330000 N N N N/A N/A 000000000 1.000000 NC 787.740000 0.0000066 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1981727.000000 TWD 70100.000000 USD 2022-05-20 787.740000 N N N N/A N/A 000000000 1.000000 NC 107936.200000 0.0009004 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 13430348.340000 USD 12238000.000000 EUR 2022-04-04 107936.200000 N N N N/A N/A 000000000 1.000000 NC 24839.410000 0.0002072 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 12679332.810000 USD 11484000.000000 EUR 2022-04-04 24839.410000 N N N N/A N/A 000000000 1.000000 NC 68466.120000 0.0005712 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 12570437.370000 USD 11425000.000000 EUR 2022-04-04 68466.120000 N N N N/A N/A 000000000 1.000000 NC 308.990000 0.0000026 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1941159.340000 USD 1755000.000000 EUR 2022-04-04 308.990000 N N N N/A N/A 000000000 1.000000 NC 33156.550000 0.0002766 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6865416.940000 USD 6236000.000000 EUR 2022-04-04 33156.550000 N N N N/A N/A 000000000 1.000000 NC 4419.360000 0.0000369 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1080811.650000 USD 981000.000000 EUR 2022-04-04 4419.360000 N N N N/A N/A 000000000 1.000000 NC 24765.150000 0.0002066 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3806177.760000 USD 3463000.000000 EUR 2022-04-04 24765.150000 N N N N/A N/A 000000000 1.000000 NC 3894.240000 0.0000325 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3903379.910000 USD 3532000.000000 EUR 2022-04-04 3894.240000 N N N N/A N/A 000000000 1.000000 NC -141164.070000 -0.0011776 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6947182.690000 USD 5181000.000000 GBP 2022-04-04 -141164.070000 N N N N/A N/A 000000000 1.000000 NC -117513.720000 -0.0009803 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6894632.050000 USD 5159000.000000 GBP 2022-04-04 -117513.720000 N N N N/A N/A 000000000 1.000000 NC -2415.770000 -0.0000202 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2901640.450000 USD 2207000.000000 GBP 2022-04-04 -2415.770000 N N N N/A N/A 000000000 1.000000 NC 10107.180000 0.0000843 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4376168.860000 USD 3339000.000000 GBP 2022-04-04 10107.180000 N N N N/A N/A 000000000 1.000000 NC 21342.650000 0.0001780 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2700539.340000 USD 2072000.000000 GBP 2022-04-04 21342.650000 N N N N/A N/A 000000000 1.000000 NC 7959.180000 0.0000664 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1321454.220000 USD 1012000.000000 GBP 2022-04-04 7959.180000 N N N N/A N/A 000000000 1.000000 NC -2147.950000 -0.0000179 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1546999.890000 USD 1176000.000000 GBP 2022-04-04 -2147.950000 N N N N/A N/A 000000000 1.000000 NC -629.790000 -0.0000053 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 209884.000000 USD 3005629130.000000 IDR 2022-05-20 -629.790000 N N N N/A N/A 000000000 1.000000 NC 306558.540000 0.0025574 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 86021000.000000 AUD 64676093.140000 USD 2022-04-04 306558.540000 N N N N/A N/A 000000000 1.000000 NC 1473.470000 0.0000123 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3181469.140000 CNY 500727.000000 USD 2022-05-20 1473.470000 N N N N/A N/A 000000000 1.000000 NC 81557.990000 0.0006804 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 23822000.000000 EUR 26434639.730000 USD 2022-04-04 81557.990000 N N N N/A N/A 000000000 1.000000 NC -287622.100000 -0.0023994 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 27603000.000000 EUR 30248189.970000 USD 2022-04-04 -287622.100000 N N N BABSON CLO LTD 2016-2A N/A 06761CAL3 1070000.000000 PA USD 1061311.710000 0.0088539 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 1.324 N N N N N N N/A N/A 000000000 1.000000 NC 150828.440000 0.0012583 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6336000.000000 GBP 8474112.350000 USD 2022-04-04 150828.440000 N N N N/A N/A 000000000 1.000000 NC 153581.670000 0.0012812 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 8562000.000000 GBP 11401049.610000 USD 2022-04-04 153581.670000 N N N N/A N/A 000000000 1.000000 NC -3702.970000 -0.0000309 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4142000.000000 GBP 5437433.700000 USD 2022-04-04 -3702.970000 N N N N/A N/A 000000000 1.000000 NC -1530.810000 -0.0000128 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2988300990.000000 IDR 206517.000000 USD 2022-05-20 -1530.810000 N N N N/A N/A 000000000 1.000000 NC -386.040000 -0.0000032 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2285055.140000 INR 29512.000000 USD 2022-05-20 -386.040000 N N N N/A N/A 000000000 1.000000 NC -569960.550000 -0.0047548 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 11873332.000000 USD 76005000.000000 DKK 2022-04-01 -569960.550000 N N N N/A N/A 000000000 1.000000 NC -394474.820000 -0.0032909 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7971697.050000 USD 50950000.000000 DKK 2022-04-01 -394474.820000 N N N N/A N/A 000000000 1.000000 NC -1783.470000 -0.0000149 N/A DFE RU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 22016.000000 USD 1723522.560000 RUB 2022-04-21 -1783.470000 N N N N/A N/A 000000000 1.000000 NC 251370.530000 0.0020970 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 34825000.000000 DKK 5430502.310000 USD 2022-04-01 251370.530000 N N N N/A N/A 000000000 1.000000 NC 140330.750000 0.0011707 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 17435000.000000 DKK 2733242.810000 USD 2022-04-01 140330.750000 N N N N/A N/A 000000000 1.000000 NC 173039.420000 0.0014436 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 22540000.000000 DKK 3525160.890000 USD 2022-04-01 173039.420000 N N N N/A N/A 000000000 -182300000.000000 NC USD -18.230000 -0.0000002 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written US CPI Urban Consumers NSA N/A N/A N/A 4.000000 USD 2024-04-22 XXXX 1326214.270000 N N N N/A N/A 000000000 -27400000.000000 NC USD -2.740000 0.0000000 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written US CPI Urban Consumers NSA N/A N/A N/A 4.000000 USD 2024-05-16 XXXX 190427.260000 N N N N/A N/A 000000000 -46100000.000000 NC -867258.120000 -0.0072350 N/A DIR DE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Eurostat Eurozone HICP Ex Tob N/A N/A N/A 3.000000 EUR 2035-06-22 XXXX 1230014.860000 N N N N/A N/A 000000000 -1890.000000 NC 12682167.360000 0.1057993 N/A DIR DE N 1 Eurex N/A Short N/A ITALY GOVT 2022-06-08 -289180213.620000 EUR 12682167.360000 N N N N/A N/A 000000000 -1350.000000 NC 1212069.070000 0.0101115 N/A DIR DE N 1 Eurex N/A Short N/A ITALY GOVT 2022-06-08 -165726723.120000 EUR 1212069.070000 N N N N/A N/A OP001GLR1 -2300000.000000 NC -7113.990000 -0.0000593 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 4.500000 EUR 2022-05-18 XXXX 8226.220000 N N N N/A N/A OP001FKP8 -2000000.000000 NC -1978.310000 -0.0000165 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 7368.740000 N N N N/A N/A OP001DXZ7 -2400000.000000 NC -3231.550000 -0.0000270 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 7763.800000 N N N N/A N/A OP001G4M1 -2100000.000000 NC -6495.390000 -0.0000542 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 4.500000 EUR 2022-05-18 XXXX 8597.810000 N N N N/A N/A OP001FDL5 -2000000.000000 NC -2692.970000 -0.0000225 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 6983.690000 N N N N/A N/A OP001FXT6 -2100000.000000 NC -2077.230000 -0.0000173 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 2022-04-20 XXXX 8961.620000 N N N N/A N/A OP001GY48 -1000000.000000 NC -3342.450000 -0.0000279 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 5.500000 EUR 2022-06-15 XXXX 6953.550000 N N N N/A N/A OP001DF87 -10300000.000000 NC -39383.960000 -0.0003286 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 21642.680000 N N N N/A N/A OP001JTX4 -13400000.000000 NC -18226.100000 -0.0001520 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 2022-07-20 XXXX 43673.920000 N N N N/A N/A OP001G6P2 -12000000.000000 NC -7659.810000 -0.0000639 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 2022-05-18 XXXX 11741.190000 N N N N/A N/A OP001GLV2 -11200000.000000 NC -15938.250000 -0.0001330 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.950000 EUR 2022-06-15 XXXX 3053.320000 N N N N/A N/A OP001CTF8 -13600000.000000 NC -3255.280000 -0.0000272 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 12696.320000 N N N N/A N/A OP001GQ21 -10400000.000000 NC -5668.510000 -0.0000473 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 1.050000 EUR 2022-05-18 XXXX 10974.310000 N N N N/A N/A OP001DFY0 -12000000.000000 NC -10975.900000 -0.0000916 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 1962.430000 N N N N/A N/A OP001FDM3 -32000000.000000 NC -39720.560000 -0.0003314 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 18991.210000 N N N N/A N/A OP001JTY2 -16600000.000000 NC -22578.590000 -0.0001884 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 1.200000 EUR 2022-07-20 XXXX 52742.310000 N N N N/A N/A OP001DZX0 -12500000.000000 NC -14046.050000 -0.0001172 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 3147.800000 N N N N/A N/A OP001GT36 -6000000.000000 NC -5800.510000 -0.0000484 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 1.100000 EUR 2022-06-15 XXXX 8013.020000 N N N N/A N/A OP001DKN8 -10900000.000000 NC -12248.150000 -0.0001022 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 1063.520000 N N N N/A N/A OP001F526 -11700000.000000 NC -10701.510000 -0.0000893 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 5200.100000 N N N N/A N/A OP001JJB3 -9000000.000000 NC -11171.410000 -0.0000932 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 12845.760000 N N N N/A N/A OP001FNJ9 -11900000.000000 NC -9020.630000 -0.0000753 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.950000 EUR 2022-05-18 XXXX 10107.070000 N N N N/A N/A OP001CFQ9 -15000000.000000 NC -4781.990000 -0.0000399 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2022-04-20 XXXX 15476.120000 N N N N/A N/A OP001GQ39 -11200000.000000 NC -7149.150000 -0.0000596 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 2022-05-18 XXXX 9813.720000 N N N N/A N/A OP001C622 -18500000.000000 NC -5897.780000 -0.0000492 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 0.850000 EUR 2022-04-20 XXXX 22786.660000 N N N N/A N/A 000000000 -55.000000 NC 423077.670000 0.0035295 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE N/A Short N/A JAPAN GOVT 2022-06-13 -67631838.340000 JPY 423077.670000 N N N N/A N/A 000000000 1.000000 NC 246345.030000 0.0020551 N/A DFE AU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6114323.710000 USD 8500156.000000 AUD 2022-04-04 246345.030000 N N N N/A N/A 000000000 1.000000 NC 2632.780000 0.0000220 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1162248.220000 USD 1053000.000000 EUR 2022-04-04 2632.780000 N N N N/A N/A 000000000 1.000000 NC 232589.790000 0.0019403 N/A DFE NO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 21098465.100000 USD 187875000.000000 NOK 2022-05-18 232589.790000 N N N N/A N/A 000000000 1.000000 NC 55301.570000 0.0004613 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6620000.000000 DKK 1039819.940000 USD 2022-04-01 55301.570000 N N N N/A N/A 000000000 1.000000 NC 156164.480000 0.0013028 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 45080000.000000 DKK 6860407.430000 USD 2022-04-01 156164.480000 N N N N/A N/A 000000000 1.000000 NC 677917.730000 0.0056554 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 148425000.000000 DKK 22751503.790000 USD 2022-04-01 677917.730000 N N N N/A N/A 000000000 1.000000 NC -50.880000 -0.0000004 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 185067.000000 USD 1179006.340000 CNY 2022-05-20 -50.880000 N N N N/A N/A 000000000 1.000000 NC -1700.120000 -0.0000142 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 626046.890000 USD 3976649.850000 CNY 2022-05-20 -1700.120000 N N N N/A N/A 000000000 1.000000 NC 126.470000 0.0000011 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 12927.000000 USD 997654.150000 INR 2022-05-20 126.470000 N N N N/A N/A 000000000 1.000000 NC 135.100000 0.0000011 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11324.650000 USD 875848.430000 INR 2022-05-20 135.100000 N N N N/A N/A 000000000 1.000000 NC -1491.290000 -0.0000124 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 80253.000000 USD 2251899.000000 TWD 2022-05-20 -1491.290000 N N N N/A N/A 000000000 1.000000 NC 1610.580000 0.0000134 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3067223.120000 CNY 482936.000000 USD 2022-05-20 1610.580000 N N N N/A N/A 000000000 1.000000 NC 241.070000 0.0000020 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3005309131.000000 IDR 209473.000000 USD 2022-05-20 241.070000 N N N N/A N/A 000000000 1.000000 NC -76167.870000 -0.0006354 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 16571921.870000 RUB 118370.870000 USD 2022-04-21 -76167.870000 N N N N/A N/A 000000000 1.000000 NC -36210.220000 -0.0003021 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 8322495.000000 RUB 58609.120000 USD 2022-05-23 -36210.220000 N N N N/A N/A 000000000 1.000000 NC -38238.440000 -0.0003190 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 8549252.520000 RUB 59164.380000 USD 2022-05-23 -38238.440000 N N N N/A N/A 000000000 1.000000 NC 1653.890000 0.0000138 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2230632.000000 TWD 80253.000000 USD 2022-09-21 1653.890000 N N N BANC OF AMERICA FUNDING CORP 2006-8T2 N/A 05951UAK7 112849.460000 PA USD 107916.140000 0.0009003 Long ABS-MBS CORP US N 2 2036-10-25 Variable 5.7527 Y N N N N N N/A N/A 000000000 1.000000 NC 271616.370000 0.0022659 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5988366.330000 USD 8365603.000000 AUD 2022-04-04 271616.370000 N N N N/A N/A 000000000 1.000000 NC 1270497.420000 0.0105990 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 237965229.000000 USD 1608644948.040000 DKK 2022-04-01 1270497.420000 N N N N/A N/A 000000000 1.000000 NC 1134479.710000 0.0094642 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 139969817.000000 USD 948799401.520000 DKK 2022-04-01 1134479.710000 N N N N/A N/A 000000000 1.000000 NC -5445490.000000 -0.0454283 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 830746528.220000 USD 746035000.000000 EUR 2022-04-04 -5445490.000000 N N N N/A N/A 000000000 1.000000 NC -1267.390000 -0.0000106 N/A DFE GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1381913.130000 USD 1051000.000000 GBP 2022-04-04 -1267.390000 N N N N/A N/A 000000000 1.000000 NC -2273.040000 -0.0000190 N/A DFE RU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 19571.000000 USD 1518279.040000 RUB 2022-05-23 -2273.040000 N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAC1 3048471.320000 PA USD 2847360.010000 0.0237537 Long ABS-MBS CORP US N 2 2047-01-20 Variable 3.14962 N N N N N N N/A N/A 000000000 1.000000 NC -480.630000 -0.0000040 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 32618.000000 USD 918849.000000 TWD 2022-05-20 -480.630000 N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 100179.110000 PA USD 97254.650000 0.0008113 Long ABS-MBS CORP US N 2 2047-01-20 Floating 3.48177 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-1 N/A 05951FAM6 100357.280000 PA USD 96040.760000 0.0008012 Long ABS-MBS CORP US N 2 2037-01-25 Variable 6.3368 Y N N N N N N/A N/A 000000000 1.000000 NC 7832896.750000 0.0653449 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 841701342.760000 DKK 133009700.000000 USD 2022-04-01 7832896.750000 N N N N/A N/A 000000000 1.000000 NC 8122815.140000 0.0677635 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 908992407.740000 DKK 143307064.000000 USD 2022-04-01 8122815.140000 N N N N/A N/A 000000000 1.000000 NC -1197998.810000 -0.0099941 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1602660122.530000 DKK 237965229.000000 USD 2022-07-01 -1197998.810000 N N N N/A N/A 000000000 1.000000 NC -1087420.440000 -0.0090717 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 945240668.920000 DKK 139969817.000000 USD 2022-07-01 -1087420.440000 N N N N/A N/A 000000000 1.000000 NC 50815.020000 0.0004239 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 97335000.000000 DKK 14576011.260000 USD 2022-07-01 50815.020000 N N N N/A N/A 000000000 1.000000 NC 5464225.410000 0.0455846 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 746035000.000000 EUR 831469958.350000 USD 2022-05-03 5464225.410000 N N N BANC OF AMERICA FUNDING CORP 2007-3 N/A 059515AH9 79339.100000 PA USD 78246.000000 0.0006528 Long ABS-MBS CORP US N 2 2037-04-25 Variable 6.388 Y N N N N N N/A N/A 000000000 1.000000 NC 12354.600000 0.0001031 N/A DFE GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2059000.000000 GBP 2717159.140000 USD 2022-04-04 12354.600000 N N N N/A N/A 000000000 1.000000 NC 8793903.980000 0.0733620 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 17683466538.000000 JPY 154049913.000000 USD 2022-04-04 8793903.980000 N N N N/A N/A 000000000 1.000000 NC -4462.820000 -0.0000372 N/A DFE NZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 119823503.350000 NZD 83002339.890000 USD 2022-05-03 -4462.820000 N N N N/A N/A 000000000 1.000000 NC -244.460000 -0.0000020 N/A DFE SG N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 75135.110000 SGD 55190.000000 USD 2022-06-15 -244.460000 N N N N/A N/A 000000000 1.000000 NC 752.930000 0.0000063 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1658783.000000 TWD 58770.000000 USD 2022-05-20 752.930000 N N N N/A N/A 000000000 1.000000 NC 534.300000 0.0000045 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 910531.000000 TWD 32618.000000 USD 2022-09-21 534.300000 N N N N/A N/A 000000000 1.000000 NC -148930.340000 -0.0012424 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 136205006.610000 MXN 6612118.210000 USD 2022-06-15 -148930.340000 N N N N/A N/A 000000000 1.000000 NC 3352.140000 0.0000280 N/A DFE PL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 103299.000000 USD 451293.350000 PLN 2022-06-15 3352.140000 N N N N/A N/A 000000000 1.000000 NC -3772.570000 -0.0000315 N/A DFE RU N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 30770.000000 USD 2369621.550000 RUB 2022-05-23 -3772.570000 N N N N/A N/A 000000000 1.000000 NC -671.220000 -0.0000056 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 315159.000000 USD 2004058.260000 CNY 2022-05-20 -671.220000 N N N N/A N/A 000000000 1.000000 NC -819.160000 -0.0000068 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 424294.000000 USD 2697236.960000 CNY 2022-05-20 -819.160000 N N N N/A N/A 000000000 1.000000 NC 7811.220000 0.0000652 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1283506.340000 USD 983000.000000 GBP 2022-04-04 7811.220000 N N N N/A N/A 000000000 1.000000 NC 45.770000 0.0000004 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 5339.000000 USD 411548.270000 INR 2022-05-20 45.770000 N N N N/A N/A 000000000 1.000000 NC 7243.830000 0.0000604 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 260064.500000 USD 985046.310000 PEN 2022-04-25 7243.830000 N N N N/A N/A 000000000 1.000000 NC -2269.150000 -0.0000189 N/A DFE RU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 21803.000000 USD 1664004.960000 RUB 2022-04-21 -2269.150000 N N N N/A N/A 000000000 1.000000 NC 775.900000 0.0000065 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3981085.880000 CNY 625819.140000 USD 2022-05-20 775.900000 N N N N/A N/A 000000000 1.000000 NC 375448.720000 0.0031321 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 93264000.000000 EUR 103636822.080000 USD 2022-05-03 375448.720000 N N N N/A N/A 000000000 1.000000 NC 5930679.570000 0.0494759 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 208367000.000000 GBP 279651907.360000 USD 2022-04-04 5930679.570000 N N N N/A N/A 000000000 1.000000 NC -496.930000 -0.0000041 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2300484.650000 INR 29603.000000 USD 2022-05-20 -496.930000 N N N N/A N/A 000000000 1.000000 NC 1707177.190000 0.0142419 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3602795694.000000 JPY 31301359.000000 USD 2022-04-04 1707177.190000 N N N N/A N/A 000000000 1.000000 NC -162.330000 -0.0000014 N/A DFE SG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 73262.220000 SGD 53890.320000 USD 2022-06-15 -162.330000 N N N N/A N/A 000000000 1.000000 NC -237284.240000 -0.0019795 N/A DFE CA N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 12051682.420000 CAD 9402852.000000 USD 2022-04-04 -237284.240000 N N N N/A N/A 000000000 35670000.000000 NC 8935030.070000 0.0745393 N/A DIR DE N 2 BNP Paribas S.A. N/A Put Purchased BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.19700 11/08/22-30Y LCH 2052-11-08 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.200000 EUR 2022-11-04 XXXX 6229790.930000 N N N N/A N/A 000000000 -106320000.000000 NC -14744848.160000 -0.1230070 N/A DIR DE N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 11/08/22-10Y LCH 2032-11-08 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2022-11-04 XXXX -12114611.310000 N N N N/A N/A 000000000 18730000.000000 NC 4691704.890000 0.0391399 N/A DIR DE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.19700 11/08/22-30Y LCH 2052-11-08 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.200000 EUR 2022-11-04 XXXX 3293610.660000 N N N N/A N/A 000000000 -56780000.000000 NC -7874458.970000 -0.0656916 N/A DIR DE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 11/08/22-10Y LCH 2032-11-08 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2022-11-04 XXXX -6483447.230000 N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 BF2PHRII3 1400000.000000 PA 1603923.870000 0.0133805 Long DBT CORP ES N 2 2023-09-24 Floating 5.875 N N N N Y BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) EUR XXXX N N N N/A N/A 000000000 -328400000.000000 NC USD -9895775.720000 -0.0825542 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.30000 11/15/23-5Y LCH N/A N/A 2028-11-15 0.000000 USD 0.000000 USD N/A USD N/A 2.300000 USD 2023-11-13 XXXX -5560895.720000 N N N N/A N/A 000000000 67300000.000000 NC USD 5827998.290000 0.0486193 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.28500 11/15/23-30Y LCH N/A N/A 2053-11-15 0.000000 USD 0.000000 USD N/A USD N/A 2.290000 USD 2023-11-13 XXXX 1601230.000000 N N N N/A N/A 000000000 250800000.000000 NC USD 346605.600000 0.0028915 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.4275 02/02/23 LCH 2025-02-02 0.000000 USD 0.000000 USD N/A USD N/A 1.430000 USD 2023-01-31 XXXX -934804.240000 N N N N/A N/A 000000000 -54800000.000000 NC USD -686183.680000 -0.0057244 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.579 02/02/23 LCH 2033-02-02 0.000000 USD 0.000000 USD N/A USD N/A 1.580000 USD 2023-01-31 XXXX 594766.320000 N N N N/A N/A 000000000 241600000.000000 NC USD 328503.520000 0.0027405 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.41 02/06/23 LCH 2025-02-06 0.000000 USD 0.000000 USD N/A USD N/A 1.410000 USD 2023-02-02 XXXX -879496.480000 N N N N/A N/A 000000000 -52800000.000000 NC USD -642692.160000 -0.0053616 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.5575 02/06/23 LCH 2033-02-06 0.000000 USD 0.000000 USD N/A USD N/A 1.560000 USD 2023-02-02 XXXX 565107.840000 N N N N/A N/A 000000000 -16500000.000000 NC -118.650000 -0.0000010 N/A DIR US N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.50000 04/11/22-5Y LCH 2027-04-11 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2022-04-07 XXXX 84823.340000 N N N N/A N/A 000000000 -16500000.000000 NC -264885.640000 -0.0022098 N/A DIR 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 DIR N/A IRS EUR R 0.70000 04/11/22-5Y LCH 2027-04-11 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.700000 EUR 2022-04-07 XXXX -179943.650000 N N N N/A N/A 000000000 -600000.000000 NC -4.980000 0.0000000 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.45000 04/12/22-5Y LCH 2027-04-12 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.450000 EUR 2022-04-08 XXXX 2118.860000 N N N N/A N/A 000000000 -600000.000000 NC -11276.250000 -0.0000941 N/A DIR 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 DIR N/A IRS EUR R 0.65000 04/12/22-5Y LCH 2027-04-12 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.650000 EUR 2022-04-08 XXXX -7850.700000 N N N N/A N/A 000000000 -34000000.000000 NC -722968.510000 -0.0060313 N/A DIR 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 DIR N/A IRS EUR R 0.65000 05/11/22-5Y LCH 2027-05-11 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.650000 EUR 2022-05-09 XXXX -445384.850000 N N N N/A N/A 000000000 -34000000.000000 NC -10760.930000 -0.0000898 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.45000 05/11/22-5Y LCH 2027-05-11 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.450000 EUR 2022-05-09 XXXX 136766.050000 N N N N/A N/A 000000000 -22800000.000000 NC -28602.310000 -0.0002386 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.35000 08/10/22-2Y LCH 2024-08-10 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.350000 EUR 2022-08-08 XXXX 60174.220000 N N N N/A N/A 000000000 -22800000.000000 NC -209967.180000 -0.0017516 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.55000 08/10/22-2Y LCH 2024-08-10 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.550000 EUR 2022-08-08 XXXX -121190.650000 N N N N/A N/A 000000000 -35900000.000000 NC -16977.890000 -0.0001416 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.50000 05/13/22-5Y LCH 2027-05-13 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2022-05-11 XXXX 109864.300000 N N N N/A N/A 000000000 -35900000.000000 NC -299184.210000 -0.0024959 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 1.00000 05/13/22-5Y LCH 2027-05-13 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.000000 EUR 2022-05-11 XXXX -158337.010000 N N N N/A N/A 000000000 -161100000.000000 NC USD -4710870.090000 -0.0392998 N/A DIR 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 DIR US IRS USD R 2.34000 11/21/23-5Y LCH N/A N/A 2028-11-21 0.000000 USD 0.000000 USD N/A USD N/A 2.340000 USD 2023-11-17 XXXX -2681010.090000 N N N N/A N/A 000000000 32700000.000000 NC USD 3002366.850000 0.0250469 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.23650 11/21/23-30Y LCH N/A N/A 2053-11-21 0.000000 USD 0.000000 USD N/A USD N/A 2.240000 USD 2023-11-17 XXXX 972711.680000 N N N N/A N/A 000000000 31090000.000000 NC 7836569.560000 0.0653756 N/A DIR DE N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.19000 11/04/22-30Y LCH 2052-11-04 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.190000 EUR 2022-11-02 XXXX 5569032.170000 N N N N/A N/A 000000000 -92900000.000000 NC -12865913.390000 -0.1073322 N/A DIR DE N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 11/04/22-10Y LCH 2032-11-04 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2022-11-02 XXXX -10612379.140000 N N N N/A N/A 000000000 -16100000.000000 NC -8871.470000 -0.0000740 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.50000 05/18/22-5Y LCH 2027-05-18 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2022-05-16 XXXX 57095.690000 N N N N/A N/A 000000000 -16100000.000000 NC -141948.870000 -0.0011842 N/A DIR 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 DIR N/A IRS EUR R 1.00000 05/18/22-5Y LCH 2027-05-18 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.000000 EUR 2022-05-16 XXXX -75981.710000 N N N N/A N/A 000000000 -92800000.000000 NC -2095844.090000 -0.0174843 N/A DIR 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 DIR GB OIS GBP R SONIO/1.6 05/18/22 LCH N/A N/A 2032-05-18 0.000000 GBP 0.000000 GBP N/A GBP N/A 1.600000 GBP 2022-05-18 XXXX -862759.760000 N N N N/A N/A 000000000 443700000.000000 NC USD 983106.090000 0.0082014 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.71 01/27/23 LCH 2025-01-27 0.000000 USD 0.000000 USD N/A USD N/A 1.710000 USD 2023-01-25 XXXX -1723463.910000 N N N N/A N/A 000000000 -98600000.000000 NC USD -1728931.280000 -0.0144234 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.785 01/27/23 LCH 2033-01-27 0.000000 USD 0.000000 USD N/A USD N/A 1.780000 USD 2023-01-25 XXXX 998591.220000 N N N N/A N/A 000000000 34090000.000000 NC 8548696.680000 0.0713164 N/A DIR DE N 2 BNP Paribas S.A. N/A Put Purchased BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.19500 11/04/22-30Y LCH 2052-11-04 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.200000 EUR 2022-11-02 XXXX 8523047.370000 N N N N/A N/A 000000000 -101780000.000000 NC -14095722.980000 -0.1175917 N/A DIR DE N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 11/04/22-10Y LCH 2032-11-04 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2022-11-02 XXXX -14095722.980000 N N N N/A N/A 000000000 416800000.000000 NC USD 1080220.560000 0.0090116 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.72 02/27/23 LCH 2025-02-27 0.000000 USD 0.000000 USD N/A USD N/A 1.720000 USD 2023-02-23 XXXX -1212179.440000 N N N N/A N/A 000000000 -92300000.000000 NC USD -1608170.590000 -0.0134160 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.736 02/27/23 LCH 2033-02-27 0.000000 USD 0.000000 USD N/A USD N/A 1.740000 USD 2023-02-23 XXXX 676254.410000 N N N N/A N/A 000000000 1.000000 NC 1884913.240000 0.0157246 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2022-05-15 61005.160000 EUR 0.000000 EUR 25600000.000000 EUR 1823908.080000 N N N N/A N/A 000000000 1.000000 NC 2524991.780000 0.0210644 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2022-07-15 86080.260000 EUR 0.000000 EUR 27700000.000000 EUR 2438911.520000 N N N N/A N/A 000000000 1.000000 NC 4062.990000 0.0000339 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2024-01-15 0.000000 EUR -1399.990000 EUR 40000.000000 EUR 5462.980000 N N N N/A N/A 000000000 1.000000 NC -22114773.370000 -0.1844896 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2031-03-15 0.000000 EUR -787840.480000 EUR 109200000.000000 EUR -21326932.890000 N N N N/A N/A 000000000 1.000000 NC 47786.750000 0.0003987 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-03-15 0.000000 EUR -206054.970000 EUR 7900000.000000 EUR 253841.720000 N N N N/A N/A 000000000 1.000000 NC 1504254.830000 0.0125490 N/A DIR FR N 2 London Clearing house N/A N/A France CPI Ex Tobacco Y 2024-03-15 0.000000 EUR -760243.350000 EUR 20100000.000000 EUR 2264498.180000 N N N N/A N/A 000000000 1.000000 NC -1310510.010000 -0.0109328 N/A DIR FR N 2 London Clearing house N/A N/A France CPI Ex Tobacco Y 2039-11-15 391581.630000 EUR 0.000000 EUR 4700000.000000 EUR -1702091.640000 N N N N/A N/A 000000000 1.000000 NC -24093.820000 -0.0002010 N/A DIR FR N 2 London Clearing house N/A N/A France CPI Ex Tobacco Y 2038-01-15 52414.380000 EUR 0.000000 EUR 200000.000000 EUR -76508.200000 N N N N/A N/A 000000000 1.000000 NC -3580719.620000 -0.0298717 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-08-15 750696.660000 GBP 0.000000 GBP 15900000.000000 GBP -4331416.280000 N N N N/A N/A 000000000 1.000000 NC -7916506.540000 -0.0660424 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-01-15 1310068.720000 GBP 0.000000 GBP 58600000.000000 GBP -9226575.260000 N N N N/A N/A 000000000 1.000000 NC -13888662.740000 -0.1158643 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-01-15 579867.260000 GBP 0.000000 GBP 62300000.000000 GBP -14468530.000000 N N N N/A N/A 000000000 1.000000 NC -8984521.460000 -0.0749522 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-01-15 735811.710000 GBP 0.000000 GBP 41700000.000000 GBP -9720333.170000 N N N N/A N/A 000000000 1.000000 NC -11406470.920000 -0.0951570 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-08-15 346640.170000 GBP 0.000000 GBP 71800000.000000 GBP -11753111.090000 N N N N/A N/A 000000000 1.000000 NC -3330124.700000 -0.0277811 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2036-03-15 0.000000 GBP 0.000000 GBP 12250000.000000 GBP -3330124.700000 N N N N/A N/A 000000000 1.000000 NC -8164634.910000 -0.0681124 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2036-03-15 0.000000 GBP -159519.340000 GBP 30440000.000000 GBP -8005115.570000 N N N N/A N/A 000000000 1.000000 NC -4688179.280000 -0.0391105 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2031-04-15 0.000000 GBP -3761.100000 GBP 22000000.000000 GBP -4684418.180000 N N N N/A N/A 000000000 1.000000 NC -4595275.520000 -0.0383355 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2024-09-15 3762924.570000 GBP 0.000000 GBP 53400000.000000 GBP -8358200.090000 N N N N/A N/A 000000000 1.000000 NC -2111049.480000 -0.0176112 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2031-09-15 0.000000 GBP 0.000000 GBP 16000000.000000 GBP -2111049.480000 N N N N/A N/A 000000000 1.000000 NC 814835.020000 0.0067977 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2022-09-15 0.000000 GBP 0.000000 GBP 10200000.000000 GBP 814835.020000 N N N N/A N/A 000000000 1.000000 NC 1291026.380000 0.0107702 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2022-08-15 0.000000 GBP 0.000000 GBP 15600000.000000 GBP 1291026.380000 N N N N/A N/A 000000000 1.000000 NC 1225431.400000 0.0102230 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2023-09-15 0.000000 GBP 0.000000 GBP 14000000.000000 GBP 1225431.400000 N N N N/A N/A 000000000 1.000000 NC 1610490.730000 0.0134353 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2027-02-15 0.000000 GBP 0.000000 GBP 34800000.000000 GBP 1610490.730000 N N N N/A N/A 000000000 1.000000 NC 1787708.740000 0.0149137 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2027-02-15 33892.950000 GBP 0.000000 GBP 39300000.000000 GBP 1753815.790000 N N N N/A N/A 000000000 1.000000 NC 2211885.780000 0.0184524 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2026-12-15 0.000000 GBP -569835.350000 GBP 42500000.000000 GBP 2781721.130000 N N N N/A N/A 000000000 1.000000 NC 51533.380000 0.0004299 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2024-03-15 0.000000 GBP -8166.430000 GBP 15900000.000000 GBP 59699.810000 N N N N/A N/A 000000000 1.000000 NC USD -13399540.040000 -0.1117839 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2029-11-04 0.000000 USD -998670.140000 USD 78400000.000000 USD -12400869.900000 N N N N/A N/A 000000000 1.000000 NC USD -3707704.810000 -0.0309310 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2029-11-20 13805.360000 USD 0.000000 USD 23300000.000000 USD -3721510.170000 N N N N/A N/A 000000000 1.000000 NC USD -1305433.670000 -0.0108904 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2029-07-25 155378.650000 USD 0.000000 USD 9100000.000000 USD -1460812.320000 N N N N/A N/A 000000000 1.000000 NC USD 1313922.070000 0.0109612 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2022-07-15 0.000000 USD -285041.720000 USD 17600000.000000 USD 1598963.790000 N N N N/A N/A 000000000 1.000000 NC USD -4188713.080000 -0.0349438 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2029-04-16 1066094.650000 USD 0.000000 USD 32400000.000000 USD -5254807.730000 N N N N/A N/A 000000000 1.000000 NC USD 8945537.260000 0.0746270 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-02-05 0.000000 USD -3342066.920000 USD 116510000.000000 USD 12287604.180000 N N N N/A N/A 000000000 1.000000 NC USD 1060573.170000 0.0088477 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-04-27 0.000000 USD -506401.860000 USD 14183000.000000 USD 1566975.030000 N N N N/A N/A 000000000 1.000000 NC USD 4360273.540000 0.0363750 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2031-02-24 29723.320000 USD 0.000000 USD 34500000.000000 USD 4330550.220000 N N N N/A N/A 000000000 1.000000 NC USD 7106991.100000 0.0592891 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-02-26 0.000000 USD 0.000000 USD 67600000.000000 USD 7106991.100000 N N N N/A N/A 000000000 1.000000 NC USD -2191982.350000 -0.0182863 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2028-06-06 1402068.300000 USD 0.000000 USD 22300000.000000 USD -3594050.650000 N N N N/A N/A 000000000 1.000000 NC USD -1418275.400000 -0.0118318 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2028-07-09 955613.430000 USD 0.000000 USD 14700000.000000 USD -2373888.830000 N N N N/A N/A 000000000 1.000000 NC USD 7913198.160000 0.0660148 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-03-05 0.000000 USD 0.000000 USD 79200000.000000 USD 7913198.160000 N N N N/A N/A 000000000 1.000000 NC USD 661201.320000 0.0055160 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2028-08-26 0.000000 USD 0.000000 USD 9200000.000000 USD 661201.320000 N N N N/A N/A 000000000 1.000000 NC USD 812760.210000 0.0067803 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2028-09-10 0.000000 USD 0.000000 USD 12700000.000000 USD 812760.210000 N N N N/A N/A 000000000 1.000000 NC USD 1661591.230000 0.0138616 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-06-01 0.000000 USD 0.000000 USD 20400000.000000 USD 1661591.230000 N N N N/A N/A 000000000 1.000000 NC USD 1664043.700000 0.0138821 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-05-25 4788.790000 USD 0.000000 USD 20410000.000000 USD 1659254.910000 N N N N/A N/A 000000000 1.000000 NC USD 3576036.100000 0.0298326 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-05-13 0.000000 USD 0.000000 USD 45200000.000000 USD 3576036.100000 N N N N/A N/A 000000000 1.000000 NC USD 1442634.110000 0.0120350 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-05-14 0.000000 USD 0.000000 USD 18800000.000000 USD 1442634.110000 N N N N/A N/A 000000000 1.000000 NC USD -98075.440000 -0.0008182 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-03-08 0.000000 USD 0.000000 USD 19100000.000000 USD -98075.440000 N N N N/A N/A 000000000 1.000000 NC USD 7342.970000 0.0000613 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-03-21 0.000000 USD 0.000000 USD 10800000.000000 USD 7342.970000 N N N N/A N/A 000000000 1.000000 NC USD 39104.270000 0.0003262 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-03-21 0.000000 USD 0.000000 USD 40100000.000000 USD 39104.270000 N N N N/A N/A 000000000 1.000000 NC USD -341683.910000 -0.0028505 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2022-05-01 0.000000 USD 0.000000 USD 54900000.000000 USD -341683.910000 N N N N/A N/A 000000000 1.000000 NC USD -1097826.290000 -0.0091585 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 US CPI Urban Consumers NSA N/A N/A Y 2022-07-15 330000.000000 USD 0.000000 USD 50000000.000000 USD -1427826.290000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BF8PC7II6 800000.000000 PA 895490.590000 0.0074705 Long DBT CORP ES N 2 2023-09-29 Floating 5.25 N N N N Y BANCO SANTANDER SA EUR XXXX N N N N/A N/A 000000000 1.000000 NC -4663479.670000 -0.0389045 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 3 Month ACT/360 Y 2023-11-21 0.000000 EUR 0.000000 EUR 339900000.000000 EUR -4663479.670000 N N N N/A N/A 000000000 1.000000 NC 111823.090000 0.0009329 N/A DIR NZ N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 NZ$ Bank Bill 3M FRA N/A N/A Y 2028-03-21 0.000000 NZD -3595642.140000 NZD 24850000.000000 NZD 3707465.230000 N N N N/A N/A 000000000 1.000000 NC USD 2340061.380000 0.0195217 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-11-15 0.000000 USD 0.000000 USD 82200000.000000 USD 2340061.380000 N N N N/A N/A 000000000 1.000000 NC USD 1246040.400000 0.0103949 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-11-21 0.000000 USD 0.000000 USD 44000000.000000 USD 1246040.400000 N N N N/A N/A 000000000 1.000000 NC USD -630984.640000 -0.0052639 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2053-11-21 0.000000 USD 0.000000 USD 8800000.000000 USD -630984.640000 N N N N/A N/A 000000000 1.000000 NC USD -907933.050000 -0.0075743 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2053-11-17 0.000000 USD 0.000000 USD 17100000.000000 USD -907933.050000 N N N N/A N/A 000000000 1.000000 NC 9814996.860000 0.0818803 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2032-09-21 2834763.490000 GBP 0.000000 GBP 89800000.000000 GBP 6980233.370000 N N N N/A N/A 000000000 1.000000 NC -47929.290000 -0.0003998 N/A DIR JP N 2 London Clearing house N/A N/A BOJ Overnight Call Rate TONAR Y 2028-03-21 0.000000 JPY -251720.110000 JPY 1141690000.000000 JPY 203790.820000 N N N N/A N/A 000000000 1.000000 NC -254950.290000 -0.0021269 N/A DIR JP N 2 London Clearing house N/A N/A BOJ Overnight Call Rate TONAR Y 2029-03-21 0.000000 JPY -790271.840000 JPY 2225400000.000000 JPY 535321.550000 N N N BANK OF AMERICA MTGE SEC 2005-F N/A 05949CCA2 160968.990000 PA USD 158928.720000 0.0013258 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.69705 Y N N N N N BANK OF AMERICA MTGE SECS-2005-J N/A 05949CKT2 302552.600000 PA USD 289613.330000 0.0024161 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.4086 Y N N N N N N/A N/A 000000000 1.000000 NC 1561358.370000 0.0130254 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 36550457.890000 USD 50931183.000000 AUD 2022-04-04 1561358.370000 N N N N/A N/A 000000000 1.000000 NC 41421.780000 0.0003456 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 61417475.000000 USD 76833261.230000 CAD 2022-04-04 41421.780000 N N N N/A N/A 000000000 1.000000 NC -24762.150000 -0.0002066 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 27484847.000000 USD 34334464.460000 CAD 2022-05-03 -24762.150000 N N N N/A N/A 000000000 1.000000 NC -1073022.290000 -0.0089515 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 53118615.150000 CAD 41416538.000000 USD 2022-04-04 -1073022.290000 N N N N/A N/A 000000000 1.000000 NC -616919.870000 -0.0051466 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 54288168.860000 CAD 42808166.000000 USD 2022-04-04 -616919.870000 N N N N/A N/A 000000000 1.000000 NC -42204.410000 -0.0003521 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 76845544.720000 CAD 61417475.000000 USD 2022-05-03 -42204.410000 N N N N/A N/A 000000000 1.000000 NC 24334.380000 0.0002030 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 34329948.150000 CAD 27484847.000000 USD 2022-04-04 24334.380000 N N N N/A N/A 000000000 1.000000 NC 13228744.690000 0.1103591 N/A DFE N/A N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 719247000.000000 EUR 808895564.390000 USD 2022-04-04 13228744.690000 N N N N/A N/A 000000000 1.000000 NC -94271.270000 -0.0007864 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 23095206.090000 USD 30726992.000000 AUD 2022-05-03 -94271.270000 N N N N/A N/A 000000000 1.000000 NC -18060.850000 -0.0001507 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 24188423.920000 USD 2942500000.000000 JPY 2022-04-04 -18060.850000 N N N N/A N/A 000000000 1.000000 NC 435385.980000 0.0036322 N/A DFE NO N 2 UBS AG BFM8T61CT2L1QCEMIK50 40062571.310000 USD 356689051.080000 NOK 2022-05-18 435385.980000 N N N N/A N/A 000000000 1.000000 NC 3326.340000 0.0000277 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 117865.550000 USD 512822.400000 PLN 2022-06-15 3326.340000 N N N N/A N/A 000000000 1.000000 NC -3726.100000 -0.0000311 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 45633.000000 USD 3569869.590000 RUB 2022-04-21 -3726.100000 N N N N/A N/A 000000000 1.000000 NC -2267.350000 -0.0000189 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 20689.000000 USD 1616907.420000 RUB 2022-05-23 -2267.350000 N N N N/A N/A 000000000 1.000000 NC -2274.810000 -0.0000190 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 20474.000000 USD 1597381.480000 RUB 2022-05-23 -2274.810000 N N N N/A N/A 000000000 1.000000 NC 95277.150000 0.0007948 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 30726992.000000 AUD 23088292.520000 USD 2022-04-04 95277.150000 N N N N/A N/A 000000000 1.000000 NC -1228583.450000 -0.0102493 N/A DFE NZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 61771503.350000 NZD 41582166.970000 USD 2022-04-04 -1228583.450000 N N N N/A N/A 000000000 -5700000.000000 NC USD -125243.820000 -0.0010448 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 99.590000 USD 2022-05-05 XXXX -102978.190000 N N N N/A N/A 000000000 -4300000.000000 NC USD -98792.930000 -0.0008242 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 97.730000 USD 2022-04-06 XXXX -81324.180000 N N N N/A N/A 000000000 -9100000.000000 NC USD -199157.140000 -0.0016614 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 97.630000 USD 2022-04-06 XXXX -165032.140000 N N N N/A N/A 000000000 -10100000.000000 NC USD -307720.740000 -0.0025671 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.480000 USD 2022-04-06 XXXX -269451.210000 N N N N/A N/A 000000000 -7300000.000000 NC USD -212148.950000 -0.0017698 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.340000 USD 2022-04-06 XXXX -184773.950000 N N N N/A N/A 000000000 -3900000.000000 NC USD -26986.050000 -0.0002251 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 3.0% JUN 30YR N/A 98.410000 USD 2022-06-06 XXXX -6267.300000 N N N N/A N/A 000000000 -5500000.000000 NC USD -84162.650000 -0.0007021 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 96.340000 USD 2022-05-05 XXXX -52365.770000 N N N N/A N/A 000000000 -8700000.000000 NC USD -0.090000 0.0000000 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 100.000000 USD 2022-04-06 XXXX 23449.130000 N N N N/A N/A 000000000 -2300000.000000 NC USD -71871.550000 -0.0005996 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.560000 USD 2022-04-06 XXXX -63246.550000 N N N N/A N/A 000000000 -5800000.000000 NC USD -4173.100000 -0.0000348 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 98.520000 USD 2022-05-05 XXXX 22334.710000 N N N N/A N/A 000000000 -26300000.000000 NC USD -92302.480000 -0.0007700 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 3.0% JUN 30YR N/A 99.440000 USD 2022-06-06 XXXX 35088.150000 N N N N/A N/A 000000000 -6700000.000000 NC USD -207271.870000 -0.0017291 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.530000 USD 2022-04-06 XXXX -181361.710000 N N N N/A N/A 000000000 -9100000.000000 NC USD -160938.960000 -0.0013426 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 99.050000 USD 2022-05-05 XXXX -118282.710000 N N N N/A N/A 000000000 -3000000.000000 NC USD -90702.300000 -0.0007567 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% APR 30YR N/A 100.880000 USD 2022-04-06 XXXX -82264.800000 N N N N/A N/A 000000000 -6300000.000000 NC USD -10178.280000 -0.0000849 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 3.5% JUN 30YR N/A 101.500000 USD 2022-06-06 XXXX 8524.850000 N N N N/A N/A 000000000 -4800000.000000 NC USD -106543.680000 -0.0008888 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 97.660000 USD 2022-04-06 XXXX -88356.180000 N N N N/A N/A 000000000 -6300000.000000 NC USD -50620.500000 -0.0004223 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.5% JUN 30YR N/A 99.500000 USD 2022-06-06 XXXX -24042.370000 N N N N/A N/A 000000000 -3600000.000000 NC USD -106308.360000 -0.0008869 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.390000 USD 2022-04-06 XXXX -92808.360000 N N N N/A N/A 000000000 -1500000.000000 NC USD -25065.300000 -0.0002091 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 98.910000 USD 2022-05-05 XXXX -17096.550000 N N N N/A N/A 000000000 -1300000.000000 NC USD -16350.880000 -0.0001364 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% JUN 30YR N/A 97.620000 USD 2022-06-06 XXXX -8632.130000 N N N N/A N/A 000000000 -4300000.000000 NC USD -0.040000 0.0000000 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 99.730000 USD 2022-04-06 XXXX 12093.710000 N N N N/A N/A 000000000 -2500000.000000 NC USD -48636.750000 -0.0004057 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.5% APR 30YR N/A 102.140000 USD 2022-04-06 XXXX -44535.190000 N N N N/A N/A 000000000 -1600000.000000 NC USD -1211.520000 -0.0000101 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 98.470000 USD 2022-05-05 XXXX 6163.480000 N N N N/A N/A 000000000 -6800000.000000 NC USD -254986.400000 -0.0021272 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 99.190000 USD 2022-04-06 XXXX -227361.400000 N N N N/A N/A 000000000 -5700000.000000 NC USD -9351.990000 -0.0000780 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 3.5% MAY 30YR N/A 101.000000 USD 2022-05-05 XXXX -445.740000 N N N N/A N/A 000000000 -2600000.000000 NC USD -1171.820000 -0.0000098 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 99.010000 USD 2022-05-05 XXXX 9796.930000 N N N N/A N/A 000000000 -1200000.000000 NC USD -18784.200000 -0.0001567 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 98.770000 USD 2022-05-05 XXXX -12409.200000 N N N N/A N/A 000000000 -4700000.000000 NC USD -143930.920000 -0.0012007 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.500000 USD 2022-04-06 XXXX -124837.170000 N N N N/A N/A 000000000 -5500000.000000 NC USD -4675.550000 -0.0000390 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 98.340000 USD 2022-05-05 XXXX 20246.330000 N N N N/A N/A 000000000 -5000000.000000 NC USD -4281.000000 -0.0000357 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 100.780000 USD 2022-05-05 XXXX 14469.000000 N N N N/A N/A 000000000 -2900000.000000 NC USD -1559.330000 -0.0000130 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 98.830000 USD 2022-05-05 XXXX 11128.170000 N N N N/A N/A 000000000 -3300000.000000 NC USD -84582.300000 -0.0007056 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% APR 30YR N/A 100.410000 USD 2022-04-06 XXXX -74269.800000 N N N N/A N/A 000000000 -8200000.000000 NC USD -129256.600000 -0.0010783 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 98.780000 USD 2022-05-05 XXXX -84092.540000 N N N N/A N/A 000000000 -8200000.000000 NC USD -7020.840000 -0.0000586 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 100.780000 USD 2022-05-05 XXXX 23729.160000 N N N N/A N/A 000000000 -3900000.000000 NC USD -30477.720000 -0.0002543 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% JUN 30YR N/A 96.410000 USD 2022-06-06 XXXX -6255.060000 N N N N/A N/A 000000000 -26300000.000000 NC USD -308919.800000 -0.0025771 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% JUN 30YR N/A 97.440000 USD 2022-06-06 XXXX -165091.670000 N N N N/A N/A 000000000 -10100000.000000 NC USD -299831.630000 -0.0025013 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.410000 USD 2022-04-06 XXXX -258800.380000 N N N N/A N/A 000000000 -8700000.000000 NC USD -222947.940000 -0.0018599 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% APR 30YR N/A 98.000000 USD 2022-04-06 XXXX -187604.190000 N N N N/A N/A 000000000 -5100000.000000 NC USD -109783.620000 -0.0009159 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 99.540000 USD 2022-05-05 XXXX -85877.370000 N N N N/A N/A 000000000 -4000000.000000 NC USD -134774.800000 -0.0011243 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 96.200000 USD 2022-04-06 XXXX -116493.550000 N N N N/A N/A 000000000 -1100000.000000 NC USD -19904.940000 -0.0001661 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 99.100000 USD 2022-05-05 XXXX -14061.190000 N N N N/A N/A 000000000 -5000000.000000 NC USD -78815.000000 -0.0006575 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 98.780000 USD 2022-05-05 XXXX -53033.750000 N N N N/A N/A 000000000 -1100000.000000 NC USD -724.350000 -0.0000060 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 98.620000 USD 2022-05-05 XXXX 4260.030000 N N N N/A N/A 000000000 -1000000.000000 NC USD -814.200000 -0.0000068 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 98.390000 USD 2022-05-05 XXXX 3795.180000 N N N N/A N/A 000000000 -1300000.000000 NC USD -3988.270000 -0.0000333 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 3.0% JUN 30YR N/A 99.620000 USD 2022-06-06 XXXX 1800.790000 N N N N/A N/A 000000000 -5100000.000000 NC USD -3723.510000 -0.0000311 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 98.510000 USD 2022-05-05 XXXX 20979.620000 N N N N/A N/A 000000000 458.000000 NC -220510.510000 -0.0018396 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A UNITED KINGDOM GOVT 2022-06-28 72938213.800000 GBP -220510.510000 N N N N/A N/A 000000000 1.000000 NC USD -86126.040000 -0.0007185 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2022-06-08 0.000000 USD 0.000000 USD 150000000.000000 USD -86126.040000 N N N N/A N/A 000000000 1.000000 NC USD -1649870.300000 -0.0137638 N/A DCR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2022-06-07 0.000000 USD 0.000000 USD 72200000.000000 USD -1649870.300000 N N N N/A N/A 000000000 -11084.000000 NC USD 27567140.940000 0.2299753 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-06-21 -1360474411.790000 USD 27567140.940000 N N N N/A N/A 000000000 -1254.000000 NC USD -1044320.270000 -0.0087121 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-06-21 -169848421.250000 USD -1044320.270000 N N N N/A N/A 000000000 -1651.000000 NC USD 1106148.860000 0.0092279 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-06-30 -349670190.170000 USD 1106148.860000 N N N N/A N/A 000000000 7622.000000 NC USD -21378937.150000 -0.1783510 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-06-30 873106052.780000 USD -21378937.150000 N N N N/A N/A 000000000 -3779.000000 NC USD 17821668.350000 0.1486749 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-06-21 -567381421.880000 USD 17821668.350000 N N N N/A N/A 000000000 1159.000000 NC USD -598737.350000 -0.0049949 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-06-21 205124890.630000 USD -598737.350000 N N N BAYVIEW OPPORTUNITY MASTER FUND IVA TRUST 2019-SBR1 N/A 07333YAA6 627653.660000 PA USD 629547.100000 0.0052519 Long ABS-MBS CORP US N 2 2034-06-28 Fixed 3.4748 N N N N N N BCAP LLC TRUST 2006-AA2 N/A 05530MAA7 890403.680000 PA USD 842244.590000 0.0070263 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.79657 Y N N N N N BCAP LLC TRUST 2011-RR5 N/A 05533YBC3 1596687.890000 PA USD 1417921.280000 0.0118288 Long ABS-MBS CORP US N 2 2036-04-26 Floating 2.89168 N N N N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MB68 248089.000000 PA USD 248210.440000 0.0020707 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.74421 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 35677.960000 PA USD 35744.230000 0.0002982 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.73149 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-2 N/A 07388DAS7 540632.160000 PA USD 523354.640000 0.0043660 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.94701 Y N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-3 N/A 073881AA2 494214.360000 PA USD 484441.220000 0.0040414 Long ABS-MBS CORP US N 2 2047-05-25 Floating 3.13275 Y N N N N N BEAR STEARNS ADJUST RT MTGE TR 2000- N/A 07384MAA0 44345.780000 PA USD 43782.850000 0.0003653 Long ABS-MBS CORP US N 2 2030-11-25 Floating 2.77891 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZS4 83819.680000 PA USD 82650.400000 0.0006895 Long ABS-MBS CORP US N 2 2034-01-25 Floating 2.08981 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 289136.880000 PA USD 294676.630000 0.0024583 Long ABS-MBS CORP US N 2 2034-01-25 Floating 2.48237 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-10 N/A 07387AET8 230036.410000 PA USD 232966.520000 0.0019435 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.68176 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AGE9 90984.540000 PA USD 89411.640000 0.0007459 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.31835 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSZ5 24134.230000 PA USD 24053.470000 0.0002007 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.62686 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 42448.180000 PA USD 31352.380000 0.0002616 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.87412 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AN5 260126.460000 PA USD 189076.120000 0.0015773 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.69441 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AV3 602809.490000 PA USD 432336.470000 0.0036067 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.0506 N N N N N N BEAR STEARNS ALT-A TRUST 2006-R1 N/A 073866BN4 389468.740000 PA USD 321482.140000 0.0026819 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.08288 Y N N N N N BEAR STEARNS ALT-A TRUST II 2007-1 N/A 07389KAA9 3175199.200000 PA USD 2011380.740000 0.0167797 Long ABS-MBS CORP US N 2 2047-09-25 Floating 3.08784 Y N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE8 N/A 07388JAQ8 47399.880000 PA USD 47298.930000 0.0003946 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.97657 N N N N N N BEAST MORTGAGE TRUST 2022-1700 N/A 055742AA8 3200000.000000 PA USD 3190188.480000 0.0266137 Long ABS-MBS CORP US N 2 2037-02-15 Floating 1.605 N N N N N N BENEFIT STREET PARTNERS CLO XII LTD 2017-12A N/A 08179HAE0 2250000.000000 PA USD 2231137.350000 0.0186130 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.19129 N N N N N N BENEFIT STREET PARTNERS CLO XVI LTD N/A 08181VAN5 3050000.000000 PA USD 3026285.580000 0.0252464 Long ABS-CBDO CORP KY N 2 2032-01-17 Floating 1.27129 N N N N N N BENEFIT STREET PARTNERS CLO XVII LTD N/A 08182BAL2 800000.000000 PA USD 794004.270000 0.0066239 Long ABS-CBDO CORP KY N 2 2032-07-15 Floating 1.32129 N N N N N N BGCLO 19A N/A 09075JAL3 5100000.000000 PA USD 5079252.790000 0.0423730 Long ABS-CBDO CORP KY N 2 2031-06-15 Floating 1.956 N N N N N N BLACK DIAMOND CLO 2017-2 DAC N/A ACI1XBRF0 1150000.000000 PA 1268352.510000 0.0105811 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 0.86 N N N N N N BLACKROCK EUROPEAN CLO VII DAC 7A N/A ACI1W2WD0 9300000.000000 PA 10156103.600000 0.0847260 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.62 N N N N N N BLUEMOUNTAIN EUR CLO 5A N/A ACI1GHFQ5 900000.000000 PA 979397.560000 0.0081705 Long ABS-CBDO CORP IE N 2 2033-01-15 Floating 0.91 N N N N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 4300000.000000 PA 4702733.310000 0.0392319 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.78 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087VS0 34732740.000000 PA 33990467.330000 0.2835610 Long DBT NUSS CA N 2 2026-12-01 Fixed 4.25 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO 2014-3R LTD 2014-3RA N/A 14315LAA2 1983665.400000 PA USD 1967400.950000 0.0164128 Long ABS-CBDO CORP KY N 2 2031-07-27 Floating 1.31757 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2012-4A N/A 14309YBQ6 2000000.000000 PA USD 1976316.560000 0.0164872 Long ABS-CBDO CORP KY N 2 2032-04-22 Floating 1.33886 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2013-1A N/A 14310BAU5 10700000.000000 PA USD 10703453.430000 0.0892922 Long ABS-CBDO CORP KY N 2 2030-08-14 Floating 1.40857 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A N/A 14310MAW7 498484.420000 PA USD 492627.230000 0.0041097 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 1.21129 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2015-4A N/A 14311NAL8 1000000.000000 PA USD 997035.200000 0.0083176 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 1.594 N N N N N N CARLYLE US CLO LTD 2017-1A N/A 14314BAL1 5300000.000000 PA USD 5265550.000000 0.0439272 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 1.254 N N N N N N CARRINGTON MTGE LOAN TRUST 2006-NC1 N/A 144531EY2 2000000.000000 PA USD 1973408.600000 0.0164629 Long ABS-MBS CORP US N 2 2036-01-25 Floating 1.05657 N N N N N N CATAMARAN CLO LTD 2014-1A N/A 14889DAJ7 10147943.380000 PA USD 10107006.070000 0.0843164 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 1.35886 N N N N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPB9 138279.730000 PA USD 130949.070000 0.0010924 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.78692 Y N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AA6 17158.940000 PA USD 17285.160000 0.0001442 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.32557 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AL2 34085.940000 PA USD 34806.710000 0.0002904 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.68569 N N N N N N CHASEFLEX TRUST 2005-2 N/A 16165TBC6 196465.940000 PA USD 67111.920000 0.0005599 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.95657 Y N N N N N CHEVY CHASE MORTGAGE FUND CORP 2005-3A N/A 16678RDT1 195129.180000 PA USD 187654.740000 0.0015655 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.63657 N N N N N N CIFC FUNDING LTD 2017-1A N/A 12551AAL9 2800336.400000 PA USD 2799003.830000 0.0233503 Long ABS-CBDO CORP KY N 2 2029-04-23 Floating 1.26514 N N N N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 12600000.000000 PA USD 12528359.930000 0.1045162 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 1.20886 N N N N N N CIM TRUST 2019-INV1 N/A 12555DAB1 196643.540000 PA USD 196735.140000 0.0016412 Long ABS-MBS CORP US N 2 2049-02-25 Floating 1.45657 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAF9 12029000.000000 PA USD 12065974.740000 0.1006588 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.95657 N N N N N N CITIGROUP MORTGAGE LOAN TR 2004-HYB2 N/A 17307GEC8 54923.010000 PA USD 55797.040000 0.0004655 Long ABS-MBS CORP US N 2 2034-03-25 Floating 2.32897 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3 N/A 17309QAG9 17188000.000000 PA USD 16708547.620000 0.1393889 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.95157 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2019-C N/A 17328GAA1 3958306.910000 PA USD 3958469.600000 0.0330230 Long ABS-MBS CORP US N 2 2059-09-25 Variable 3.228 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR7 N/A 172987AD1 440502.600000 PA USD 430646.270000 0.0035926 Long ABS-MBS CORP US N 2 2046-07-25 Floating 2.56157 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-HE3 N/A 17310VAD2 3079028.190000 PA USD 2476759.500000 0.0206620 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.91657 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 155992.960000 PA USD 147729.230000 0.0012324 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.18455 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-WFH2 N/A 17312BAF9 2108631.000000 PA USD 2087502.940000 0.0174147 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.13157 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 47634.910000 PA USD 47464.820000 0.0003960 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.47 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXR4 65606.160000 PA USD 65824.210000 0.0005491 Long ABS-MBS CORP US N 2 2035-09-25 Floating 1.86 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-41CB N/A 02149CAJ0 3256117.080000 PA USD 2337923.320000 0.0195038 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 Y N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA17 N/A 12668PAA0 2846338.570000 PA USD 2496403.730000 0.0208259 Long ABS-MBS CORP US N 2 2046-12-20 Floating 0.64357 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-29CB N/A 12667GUG6 94763.590000 PA USD 68048.930000 0.0005677 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-46CB N/A 12667G7F4 81341.550000 PA USD 58803.280000 0.0004906 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.15657 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-50CB N/A 12668ALH6 20177.720000 PA USD 18542.450000 0.0001547 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACG8 284913.080000 PA USD 273465.500000 0.0022814 Long ABS-MBS CORP US N 2 2035-11-20 Floating 1.08657 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-62 N/A 12668ATT2 490163.020000 PA USD 446601.690000 0.0037257 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.14113 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J1 N/A 12667FU29 23506.780000 PA USD 23598.230000 0.0001969 Long ABS-MBS CORP US N 2 2032-08-25 Fixed 6.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB N/A 12668BSJ3 999884.210000 PA USD 533242.050000 0.0044485 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 5.75 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19 N/A 12668RAA6 50581.250000 PA USD 41365.380000 0.0003451 Long ABS-MBS CORP US N 2 2047-02-20 Floating 0.62857 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13 N/A 02149DAN9 1545063.730000 PA USD 1534345.780000 0.0128001 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.118 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9 N/A 02146YAC0 2843792.840000 PA USD 2194949.940000 0.0183111 Long ABS-MBS CORP US N 2 2046-07-20 Floating 0.65857 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8 N/A 23245LAB6 63455.960000 PA USD 36972.760000 0.0003084 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1 N/A 126694A32 121280.550000 PA USD 101121.540000 0.0008436 Long ABS-MBS CORP US N 2 2046-03-20 Floating 0.86857 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB N/A 02148FBX2 1175453.150000 PA USD 1148500.130000 0.0095812 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673BR2 254960.890000 PA USD 253228.430000 0.0021125 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.23657 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-7 N/A 126673EG3 2533187.600000 PA USD 2512975.800000 0.0209642 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.18157 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-11 N/A 23247LAC2 8138.780000 PA USD 8139.430000 0.0000679 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.64657 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AA9 708384.830000 PA USD 691785.600000 0.0057711 Long ABS-MBS CORP US N 2 2047-08-25 Floating 1.19657 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-2 N/A 12668NAA5 179348.030000 PA USD 165876.200000 0.0013838 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 12670FAE0 718401.280000 PA USD 704105.450000 0.0058739 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.70657 N N N N N N COUNTRYWIDE ASSET-BACKED CERTI 2006-19 N/A 12667CAD4 10300000.000000 PA USD 9948111.830000 0.0829908 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.70657 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8 N/A 12669WAA4 4787269.520000 PA USD 4599061.850000 0.0383671 Long ABS-MBS CORP US N 2 2037-11-25 Floating 0.64657 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-13 N/A 126670GR3 541556.560000 PA USD 496185.870000 0.0041394 Long ABS-MBS CORP US N 2 2036-04-25 Variable 5.805 Y N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 5467.110000 PA USD 5448.200000 0.0000455 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.69569 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB7 N/A 12669GCE9 1884.220000 PA USD 1901.440000 0.0000159 Long ABS-MBS CORP US N 2 2034-11-20 Floating 2.55428 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB8 N/A 12669GGF2 18755.890000 PA USD 19555.070000 0.0001631 Long ABS-MBS CORP US N 2 2035-01-20 Floating 2.49917 N N N N N N COUNTRYWIDE HOME LOANS 2005-11 N/A 12669GUL3 37364.720000 PA USD 34806.520000 0.0002904 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.1188 Y N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 6028.680000 PA USD 5824.230000 0.0000486 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.09657 N N N N N N COUNTRYWIDE HOME LOANS 2005-24 N/A 126694JR0 80207.950000 PA USD 58006.530000 0.0004839 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A 12669GTQ4 246237.280000 PA USD 227224.810000 0.0018956 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.03657 N N N N N N COUNTRYWIDE HOME LOANS 2005-HY10 N/A 126694VR6 36239.380000 PA USD 30254.120000 0.0002524 Long ABS-MBS CORP US N 2 2036-02-20 Floating 3.11688 Y N N N N N COUNTRYWIDE HOME LOANS 2005-HYB6 N/A 126694BH0 12250357.310000 PA USD 12183855.020000 0.1016422 Long ABS-MBS CORP US N 2 2035-10-20 Floating 2.71314 N N N N N N COUNTRYWIDE HOME LOANS 2006-6 N/A 126694K64 1291524.140000 PA USD 868252.680000 0.0072433 Long ABS-MBS CORP US N 2 2036-04-25 Fixed 6 N N N N N N COUNTRYWIDE HOME LOANS 2006-HYB2 N/A 126694D54 23812.080000 PA USD 21172.150000 0.0001766 Long ABS-MBS CORP US N 2 2036-04-20 Floating 2.77259 Y N N N N N COUNTRYWIDE HOME LOANS 2007-1 N/A 170255AA1 3770154.420000 PA USD 2535002.440000 0.0211479 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N COUNTRYWIDE HOME LOANS 2007-HY7 N/A 12544HAY6 1209618.210000 PA USD 1191753.120000 0.0099420 Long ABS-MBS CORP US N 2 2037-11-25 Variable 2.93377 N N N N N N COUNTRYWIDE HOME LOANS 2007-HYB1 N/A 22239EAG1 118725.910000 PA USD 110310.320000 0.0009202 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.80338 Y N N N N N COUNTRYWIDE HOME LOANS 2007-HYB2 N/A 125438AB7 129011.510000 PA USD 124759.720000 0.0010408 Long ABS-MBS CORP US N 2 2047-02-25 Floating 2.67429 Y N N N N N COUNTRYWIDE HOME LOANS 2008-1 N/A 12544YAD5 205383.580000 PA USD 204825.960000 0.0017087 Long ABS-MBS CORP US N 2 2038-04-25 Fixed 5.5 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LTD 549300PXR5FKNXF0OH19 225433AH4 11550000.000000 PA USD 11671758.950000 0.0973701 Long DBT CORP GG N 2 2022-09-15 Fixed 3.8 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-3 N/A 12638PAJ8 374574.490000 PA USD 144079.550000 0.0012020 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 5.5789 Y N N N N N CRESTLINE DENALI CLO XIV LTD 2016-1A N/A 22615MAW2 1000000.000000 PA USD 987003.330000 0.0082339 Long ABS-CBDO CORP KY N 2 2031-10-23 Floating 1.39886 N N N N N N CRESTLINE DENALI CLO XV 2017-1A N/A 22616CAJ2 2700000.000000 PA USD 2697213.840000 0.0225012 Long ABS-CBDO CORP KY N 2 2030-04-20 Floating 1.284 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR18 N/A 22541QFC1 2865.280000 PA USD 2942.330000 0.0000245 Long ABS-MBS CORP US N 2 2033-07-25 Floating 2.10324 N N N N N N CSAB MORTGAGE BACKED TR 2006-4 N/A 12628LAJ9 171885.820000 PA USD 50502.800000 0.0004213 Long ABS-MBS CORP US N 2 2036-12-25 Variable 6.1837 Y N N N N N CVC CORDATUS LOAN FUND III LTD CORDA-A N/A ACI12W091 600000.000000 PA 659558.990000 0.0055023 Long ABS-CBDO CORP IE N 2 2032-08-15 Floating 0.78 N N N N N N CVC CORDATUS LOAN FUND VII DAC 7A N/A ACI1W2TC6 700000.000000 PA 765696.720000 0.0063877 Long ABS-CBDO CORP IE N 2 2031-09-15 Floating 0.63 N N N N N N CVC CORDATUS LOAN FUND XI DAC 21-1 N/A ACI1W60L8 15000000.000000 PA 16440683.990000 0.1371542 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.65 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2005-AR2 N/A 251510GZ0 21167.080000 PA USD 20998.470000 0.0001752 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.4443 N N N N N N DEXIA CREDIT LOCAL SA F4G136OIPBYND1F41110 25214BAT1 1200000.000000 PA USD 1205614.440000 0.0100577 Long DBT NUSS FR N 2 2022-09-20 Fixed 2.375 N N N N N N DISCOVERY COMMUNICATIONS LLC L2Z2MO2EQURH3BREWI15 25470DAQ2 105000.000000 PA USD 105281.430000 0.0008783 Long DBT CORP US N 2 2023-03-20 Fixed 2.95 N N N N N N DRYDEN 36 SENIOR LOAN FUND 2014-36A N/A 26249KAZ4 14409853.040000 PA USD 14368621.980000 0.1198683 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 9600000.000000 PA 10553846.130000 0.0880441 Long ABS-CBDO CORP IE N 2 2034-05-15 Floating 0.86 N N N N N N DRYDEN XXVII-R EURO CLO BV 2017-27A N/A ACI1W43B2 14800000.000000 PA 16188305.830000 0.1350488 Long ABS-CBDO CORP IE N 2 2033-04-15 Floating 0.66 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CAW5 200000.000000 PA USD 200510.020000 0.0016727 Long DBT CORP US N 2 2022-08-15 Fixed 2.4 N N N N N N EURO-GALAXY III CLO BV 13-3A N/A ACI1W6FF5 300000.000000 PA 328116.800000 0.0027373 Long ABS-CBDO CORP IE N 2 2034-04-24 Floating 0.62 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040WAD0 300000.000000 PA USD 298709.080000 0.0024919 Long DBT CORP US N 2 2024-10-01 Fixed 2.9 N N N N N N FANNIE MAE 2006-118 N/A 31396L4T4 43419.880000 PA USD 42959.870000 0.0003584 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 0.24686 N N N N N N FANNIE MAE 2006-15 N/A 31395BVE0 47823.300000 PA USD 47603.380000 0.0003971 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 0.31686 N N N N N N FANNIE MAE 2006-30 N/A 31395B6R9 25233.780000 PA USD 25356.810000 0.0002115 Long ABS-MBS USGSE US N 2 2036-05-25 Floating 0.89657 N N N N N N FANNIE MAE 2006-5 N/A 31394VL73 6508.070000 PA USD 6568.860000 0.0000548 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 1.95911 N N N N N N FANNIE MAE 2007-4 N/A 31396PMC2 141268.750000 PA USD 142006.060000 0.0011847 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 0.90157 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 27930.570000 PA USD 27955.630000 0.0002332 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.80657 N N N N N N FANNIE MAE 2007-73 N/A 31396V4Q8 158388.020000 PA USD 155001.000000 0.0012931 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.24686 N N N N N N FANNIE MAE WHOLE LOAN N/A 31359UPD1 12531.190000 PA USD 13102.140000 0.0001093 Long ABS-MBS USGSE US N 2 2028-06-25 Fixed 6.5 N N N N N N FANNIEMAE WHOLE LOAN 2003-W-8 N/A 31393CX40 74199.880000 PA USD 73959.690000 0.0006170 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 0.80657 N N N N N N FHLMC PASS THRU POOLS N/A 3128NFFX0 44560.150000 PA USD 46331.270000 0.0003865 Long ABS-MBS USGSE US N 2 2036-07-01 Floating 2 N N N N N N FHLMC PASS THRU POOLS N/A 3128NHPT4 18003.780000 PA USD 18670.110000 0.0001558 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 1.745 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRAN6 49813.830000 PA USD 49852.700000 0.0004159 Long ABS-MBS USGSE US N 2 2034-01-01 Floating 2.297 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRAR7 144487.760000 PA USD 144288.140000 0.0012037 Long ABS-MBS USGSE US N 2 2034-01-01 Floating 2.338 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRLD6 73083.080000 PA USD 73608.530000 0.0006141 Long ABS-MBS USGSE US N 2 2033-06-01 Floating 2.066 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRN77 24831.680000 PA USD 24903.920000 0.0002078 Long ABS-MBS USGSE US N 2 2036-10-01 Floating 1.885 N N N N N N FHLMC PASS THRU POOLS N/A 31334XR35 444890.840000 PA USD 454966.410000 0.0037955 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133KHPQ3 288608.090000 PA USD 298927.310000 0.0024938 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DMH32 1659185.560000 PA USD 1710652.000000 0.0142709 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31329QDG3 82487.820000 PA USD 84904.450000 0.0007083 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31329QWF4 446123.440000 PA USD 456247.190000 0.0038062 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31329QZJ3 34120.870000 PA USD 34901.690000 0.0002912 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131XWLS0 820053.030000 PA USD 842285.700000 0.0070267 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131XYWF2 28851232.310000 PA USD 29759572.970000 0.2482653 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131Y1W55 80820.380000 PA USD 82885.520000 0.0006915 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132A5JD8 17889.590000 PA USD 18330.770000 0.0001529 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132A5JR7 177247.040000 PA USD 181438.220000 0.0015136 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132A5JX4 131238.530000 PA USD 134617.210000 0.0011230 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 354978.690000 PA USD 359139.960000 0.0029961 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 1.30417 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-32 N/A 3133TSQG1 91039.930000 PA USD 89210.440000 0.0007442 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 0.71657 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-35 N/A 313398VT3 222035.180000 PA USD 220633.340000 0.0018406 Long ABS-MBS USGSE US N 2 2031-09-25 Floating 0.73657 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-61 N/A 31395A3J2 70314.210000 PA USD 72266.580000 0.0006029 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 1.54113 N N N N N N FIRST FRANKLIN MTG LOAN 2005-FF12 N/A 32027NXX4 14950000.000000 PA USD 14622156.970000 0.1219834 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.16157 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF14 N/A 32027LAA3 1526461.400000 PA USD 1420632.590000 0.0118514 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.56157 N N N N N N FIRST HORIZON ALT MTG SEC 2006-FA8 N/A 32052DAG6 703205.210000 PA USD 405002.110000 0.0033787 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N FIRST HORIZON ALT MTGE SEC 2004-AA1 N/A 32051D3G5 225291.620000 PA USD 227221.240000 0.0018956 Long ABS-MBS CORP US N 2 2034-06-25 Fixed 2.13392 N N N N N N FIRST HORIZON ALT MTGE SEC 2004-AA3 N/A 32051D6B3 52752.740000 PA USD 51813.200000 0.0004322 Long ABS-MBS CORP US N 2 2034-09-25 Floating 2.37063 N N N N N N FIRST HORIZON ALTER MTGE SEC 2007-FA4 N/A 32052WAH2 160124.310000 PA USD 93922.880000 0.0007835 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6.25 Y N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR3 N/A 32051GQL2 263643.220000 PA USD 196161.210000 0.0016364 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.77374 Y N N N N N FNMA PASS THRU POOLS N/A 31385HJD5 5689.790000 PA USD 6038.390000 0.0000504 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 11031.620000 PA USD 11789.760000 0.0000984 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 31388UKH2 3886.460000 PA USD 3889.660000 0.0000324 Long ABS-MBS USGSE US N 2 2032-02-01 Floating 1.9 N N N N N N FNMA PASS THRU POOLS N/A 31390JX89 6970.080000 PA USD 6997.660000 0.0000584 Long ABS-MBS USGSE US N 2 2027-04-01 Floating 1.905 N N N N N N FNMA PASS THRU POOLS N/A 31390JX97 12262.530000 PA USD 12296.020000 0.0001026 Long ABS-MBS USGSE US N 2 2032-04-01 Floating 1.467 N N N N N N FNMA PASS THRU POOLS N/A 31391MCP6 15169.680000 PA USD 15198.380000 0.0001268 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 1.84 N N N N N N FNMA PASS THRU POOLS N/A 31401GY24 79456.860000 PA USD 81996.300000 0.0006840 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 2.102 N N N N N N FNMA PASS THRU POOLS N/A 31402LPB2 13493.000000 PA USD 13769.410000 0.0001149 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 1.341 N N N N N N FNMA PASS THRU POOLS N/A 31402XTR7 2365.470000 PA USD 2369.340000 0.0000198 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 1.893 N N N N N N FNMA PASS THRU POOLS N/A 31404GHQ7 11209.390000 PA USD 11236.870000 0.0000937 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 1.934 N N N N N N FNMA PASS THRU POOLS N/A 31405YPX3 160532.860000 PA USD 164066.360000 0.0013687 Long ABS-MBS USGSE US N 2 2044-09-01 Floating 1.342 N N N N N N FNMA PASS THRU POOLS N/A 31406DAF3 209247.920000 PA USD 213864.340000 0.0017841 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 1.342 N N N N N N FNMA PASS THRU POOLS N/A 31406KAM2 20324.360000 PA USD 20401.610000 0.0001702 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 2.485 N N N N N N FNMA PASS THRU POOLS N/A 31406VGS9 29094.850000 PA USD 29229.470000 0.0002438 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 1.921 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 919739.730000 PA USD 8930672.810000 0.0745030 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140H1V98 1443305.860000 PA USD 1478001.070000 0.0123300 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140H5ZE4 336090.800000 PA USD 344724.590000 0.0028758 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HBJ58 62849.650000 PA USD 64219.450000 0.0005357 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HJYY1 21448.270000 PA USD 21916.790000 0.0001828 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HMN26 4029341.890000 PA USD 4124316.740000 0.0344066 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HNVL3 89661.360000 PA USD 91826.450000 0.0007661 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GR2 245086.860000 PA USD 251243.780000 0.0020960 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N AT&T MOBILITY II LLC N/A 04651L206 2004101.000000 NS USD 52208374.210000 0.4355415 Long EP CORP US Y 3 N N N FNMA PASS THRU POOLS N/A 3140JRZU8 87415.860000 PA USD 89347.850000 0.0007454 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140K9T74 510015.940000 PA USD 528705.410000 0.0044107 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9UA9 167890.450000 PA USD 171860.270000 0.0014337 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140X5Y72 64197.810000 PA USD 65758.670000 0.0005486 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CZF4 21371.680000 PA USD 22037.010000 0.0001838 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418DNK4 472408.830000 PA USD 482779.830000 0.0040275 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 4 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540XAB9 9800000.000000 PA USD 9817150.000000 0.0818983 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1N4959 71966888.000000 PA 89143024.540000 0.7436640 Long DBT NUSS FR N 2 2026-03-01 Fixed 0.1 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1VB392 30155090.000000 PA 39482246.100000 0.3293755 Long DBT NUSS FR N 2 2031-07-25 Fixed 0.1 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI04Z888 52667220.000000 PA 64331798.960000 0.5366796 Long DBT NUSS FR N 2 2024-07-25 Fixed 0.25 N N N N N N FREDDIE MAC 2264 N/A 3133TPWN5 13009.980000 PA USD 14523.320000 0.0001212 Long ABS-MBS USGSE US N 2 2030-10-15 Fixed 7 N N N N N N FREDDIE MAC STRUCTURED P/T CERT T-11 N/A 3133TDPX8 4579.220000 PA USD 4723.160000 0.0000394 Long ABS-MBS USGSE US N 2 2028-01-25 Fixed 6.5 N N N N N N FREDDIE MAC-3262 N/A 31397EM44 3958.750000 PA USD 3947.450000 0.0000329 Long ABS-MBS USGSE US N 2 2037-01-15 Floating 0.66657 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAA0 2341165.560000 PA USD 2208930.210000 0.0184277 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.59157 N N N N N N GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A N/A 36361UAL4 6100000.000000 PA USD 6065878.430000 0.0506038 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 1.17739 N N N N N N GNMA PASS THRU POOLS N/A 36225DRX4 6296.690000 PA USD 6480.520000 0.0000541 Long ABS-MBS USGSE US N 2 2035-07-20 Floating 1.625 N N N N N N GNMA PASS THRU POOLS N/A 36225DWT7 199114.880000 PA USD 204818.920000 0.0017087 Long ABS-MBS USGSE US N 2 2035-12-20 Floating 1.75 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15 N/A 38380LJY0 11076821.140000 PA USD 10838609.670000 0.0904197 Long ABS-MBS USGSE US N 2 2068-08-20 Floating 0.38238 N N N N N N GOVERNMENT NATL MTGE ASSOC 2010-H01 N/A 38376T5N8 9029182.460000 PA USD 9057739.960000 0.0755630 Long ABS-MBS USGSE US N 2 2060-01-20 Floating 1.05057 N N N N N N GREAT HALL MORTGAGES PLC 2006-1 N/A 991XUKII4 229087.710000 PA 298391.110000 0.0024893 Long ABS-MBS CORP GB N 2 2038-06-18 Floating 0.88973 N N N N N N GREAT HALL MORTGAGES PLC 2007-1 N/A B1S83ZII1 281848.400000 PA 365510.840000 0.0030492 Long ABS-MBS CORP GB N 2 2039-03-18 Floating 1.0999 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR1 N/A 39538RAB5 374892.110000 PA USD 358406.450000 0.0029900 Long ABS-MBS CORP US N 2 2045-06-25 Floating 0.89657 N N N N N N GRIFONAS FINANCE NO.1 PLC GRIF-1 N/A B1DFQWII3 118328.980000 PA 127019.120000 0.0010596 Long ABS-MBS CORP GB N 2 2039-08-28 Floating 0 N N N N N N GSAA HOME EQUITY TRUST 2006-7 N/A 362334ND2 1357725.400000 PA USD 955278.350000 0.0079693 Long ABS-MBS CORP US N 2 2046-03-25 Variable 6.72 N N N N N N GSAMP TRUST 2005-HE2 N/A 36242DA60 2698758.090000 PA USD 2605370.270000 0.0217350 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.43157 Y N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAA9 1870280.580000 PA USD 1193191.320000 0.0099540 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.59657 N N N N N N GSAMP TRUST 2007-HE2 N/A 362440AE9 3000000.000000 PA USD 2688570.900000 0.0224290 Long ABS-MBS CORP US N 2 2047-03-25 Floating 0.82657 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR2 N/A 36242DH55 29381.810000 PA USD 28789.380000 0.0002402 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.14451 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR4 N/A 362341FR5 74401.950000 PA USD 75956.500000 0.0006337 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.02373 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341WZ8 128152.650000 PA USD 129978.980000 0.0010843 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.79786 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XE4 401549.340000 PA USD 379442.880000 0.0031655 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.14239 Y N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 19792.410000 PA USD 19638.490000 0.0001638 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.6536 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-10 N/A 41161PTN3 564727.520000 PA USD 484662.490000 0.0040432 Long ABS-MBS CORP US N 2 2035-11-19 Floating 1.06857 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 3740.760000 PA USD 3576.580000 0.0000298 Long ABS-MBS CORP US N 2 2035-05-19 Floating 0.88857 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-9 N/A 41161PSK0 160021.240000 PA USD 156499.650000 0.0013056 Long ABS-MBS CORP US N 2 2035-06-20 Floating 1.12857 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-1 N/A 41161PA86 416454.020000 PA USD 411341.550000 0.0034316 Long ABS-MBS CORP US N 2 2036-03-19 Floating 0.64171 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2007-5 N/A 41165AAB8 159272.570000 PA USD 154205.850000 0.0012864 Long ABS-MBS CORP US N 2 2037-09-19 Floating 0.63857 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2004-1 N/A 41161PCY7 55410.290000 PA USD 52793.240000 0.0004404 Long ABS-MBS CORP US N 2 2034-04-19 Floating 2.16921 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A 41161PYZ0 1103057.850000 PA USD 741433.900000 0.0061853 Long ABS-MBS CORP US N 2 2036-01-19 Floating 0.94857 Y N N N N N HARBORVIEW MTGE LOAN TRUST 2004-10 N/A 41161PJN4 181269.110000 PA USD 183368.950000 0.0015297 Long ABS-MBS CORP US N 2 2035-01-19 Floating 2.43447 N N N N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 1500000.000000 PA 1643195.730000 0.0137081 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.64 N N N N N N HARVEST CLO XX DAC 20A N/A ACI1WC7B0 13000000.000000 PA 14206260.160000 0.1185139 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 0.68 N N N N N N HARVEST CLO XXI DAC 21A N/A ACI1WSV44 2000000.000000 PA 2172491.860000 0.0181237 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 0.76 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 26774940.610000 PA 35229550.230000 0.2938979 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.5828 N N N N N N HOME EQUITY ASSET TRUST 2005-9 N/A 437084QY5 1363313.460000 PA USD 1354536.580000 0.0113000 Long ABS-MBS CORP US N 2 2036-04-25 Floating 1.07157 N N N N N N HOME EQUITY PASS-THRU CERTS 2005-8 N/A 437084QA7 11953743.580000 PA USD 11823994.060000 0.0986401 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.13157 N N N N N N HOMEBANC MORTGAGE TRUST 2006-1 N/A 43739ECR6 592921.700000 PA USD 579999.210000 0.0048386 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.50324 Y N N N N N HOMEWARD OPPORTUNITIES FUND I TRUST 2020-2 N/A 43789XAA2 342707.300000 PA USD 340867.170000 0.0028436 Long ABS-MBS CORP US N 2 2065-05-25 Variable 1.657 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT3 N/A 40430HFM5 1983726.830000 PA USD 1967167.270000 0.0164108 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.99657 N N N N N N ICG US CLO 2018-1 LTD N/A 449258AA0 750000.000000 PA USD 743437.500000 0.0062020 Long ABS-CBDO CORP KY N 2 2031-04-21 Floating 1.31514 N N N N N N IMPAC CMB TRUST 2003-8 N/A 45254NFG7 6907.680000 PA USD 6936.100000 0.0000579 Long ABS-MBS CORP US N 2 2033-10-25 Floating 1.35657 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 453140AE5 400000.000000 PA USD 400969.340000 0.0033450 Long DBT CORP GB N 2 2022-07-21 Fixed 3.75 N N N N N N INDYMAC INDA MORTGAGE LOAN TR 2005-AR1 N/A 45660LZK8 2706.440000 PA USD 2661.610000 0.0000222 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.914 Y N N N N N INDYMAC INDA MORTGAGE LOAN TR 2005-AR1 N/A 45660LZM4 141221.180000 PA USD 120106.760000 0.0010020 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.74039 Y N N N N N INDYMAC INDA MTGE LOAN TRUST 2006-AR1 N/A 45662BAD1 312249.480000 PA USD 285448.830000 0.0023813 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.89151 N N N N N N INDYMAC INDB MORTGAGE LOAN TR 2006-1 N/A 45661JAA1 4106817.050000 PA USD 1491162.680000 0.0124398 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.59657 N N N N N N INDYMAC INDB MTGE LOAN TRUST 2005-1 N/A 45660LYW3 130909.030000 PA USD 88352.850000 0.0007371 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.05657 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR14 N/A 45660LRU5 250241.440000 PA USD 197650.550000 0.0016489 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.01657 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR31 N/A 45660LW70 55790.160000 PA USD 54763.880000 0.0004569 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.48319 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR6 N/A 456612AC4 1073901.690000 PA USD 983729.820000 0.0082066 Long ABS-MBS CORP US N 2 2046-06-25 Floating 0.85657 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2007-AR7 N/A 45670CAA5 278189.200000 PA USD 126152.650000 0.0010524 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.75657 Y N N N N N INDYMAC INDX MTGE LOAN TR 2004-AR6 N/A 45660NX83 256676.680000 PA USD 257664.630000 0.0021495 Long ABS-MBS CORP US N 2 2034-10-25 Floating 2.79655 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR11 N/A 45660N6S9 41467.900000 PA USD 42386.470000 0.0003536 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.94848 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR11 N/A 45660LQJ1 121842.000000 PA USD 110036.140000 0.0009180 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.94637 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR11 N/A 45660LQL6 97405.980000 PA USD 87611.900000 0.0007309 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.94637 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR19 N/A 45660LXA2 101010.550000 PA USD 92867.210000 0.0007747 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.77013 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR15 N/A 456610AA2 613104.950000 PA USD 595254.340000 0.0049658 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.69657 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR9 N/A 45661EGK4 158340.600000 PA USD 154907.700000 0.0012923 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.93829 N N N N N N ING BANK NV/AMSTERDAM BRANCH 3TK20IVIUJ8J3ZU0QE75 44986L2A6 14800000.000000 PA USD 14874576.310000 0.1240892 Long DBT CORP NL N 2 2022-12-05 Fixed 2.625 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 6580000.000000 NS USD 6652709.000000 0.0554994 Long EP CORP US N 2 N N N ITALY GOVT 815600DE60799F5A9309 ACI1MHM64 280787268.820000 PA 338008161.010000 2.8197887 Long DBT NUSS IT N 2 2025-05-26 Fixed 1.4 N N N N N N ITALY GOVT 815600DE60799F5A9309 BK5MSXII1 96722218.600000 PA 116110186.270000 0.9686340 Long DBT NUSS IT N 2 2030-05-15 Fixed 0.4 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI23F1T0 70911918.000000 PA 81618688.420000 0.6808932 Long DBT NUSS IT N 2 2033-05-15 Fixed 0.1 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A 46651QAA5 3234389.380000 PA USD 3205740.780000 0.0267435 Long ABS-MBS CORP US N 2 2031-12-15 Floating 2.45 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 3913390530.000000 PA 33768824.970000 0.2817120 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1BXN03 3624489844.000000 PA 31350318.760000 0.2615359 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1XV2Q9 2286396800.000000 PA 19804545.960000 0.1652168 Long DBT NUSS JP N 2 2031-03-10 Fixed 0.005 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A1 N/A 46627MCS4 2108362.530000 PA USD 2049626.920000 0.0170987 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.91657 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A7 N/A 466286AD3 13121239.750000 PA USD 12764427.320000 0.1064856 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.91657 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2008-R4 N/A 466309AA9 117011.090000 PA USD 76583.370000 0.0006389 Long ABS-MBS CORP US N 2 2036-12-27 Fixed 6 Y N N N N N JP MORGAN MORTGAGE TRUST 2005-A3 N/A 466247PW7 5339.690000 PA USD 5451.590000 0.0000455 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.69374 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 119483.930000 PA USD 123253.110000 0.0010282 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.3145 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A8 N/A 466247YH0 127193.690000 PA USD 114167.110000 0.0009524 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.76353 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A4 N/A 46628LAG3 16521.170000 PA USD 13257.310000 0.0001106 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.25576 Y N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAA3 23511.490000 PA USD 24040.380000 0.0002006 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.5982 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAH8 50689.310000 PA USD 50563.760000 0.0004218 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.72287 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A2 N/A 466247NZ2 2450.950000 PA USD 2469.720000 0.0000206 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.58476 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A6 N/A 466247TQ6 135737.400000 PA USD 136143.230000 0.0011358 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.54742 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 305314.200000 PA USD 302470.410000 0.0025233 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.66657 N N N N N N 522 FUNDING CLO I LTD 2018-3A N/A 33835NAA9 8300000.000000 PA USD 8240378.860000 0.0687443 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 1.294 N N N N N N JP MORGAN MTGE TRUST 2005-A5 N/A 466247SL8 92445.470000 PA USD 93594.570000 0.0007808 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.86206 N N N N N N JP MORGAN MTGE TRUST 2005-ALT1 N/A 466247XK4 69263.060000 PA USD 59154.500000 0.0004935 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.43394 Y N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2TB8 6500000.000000 PA 7104335.950000 0.0592670 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 0.65 N N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2W24 1800000.000000 PA 1963216.550000 0.0163779 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 0.65 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1TRDT5 45601182.710000 PA 5851241.560000 0.0488132 Long DBT CORP DK N 2 2043-10-01 Fixed 0.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI09QH00 8204.920000 PA 1232.320000 0.0000103 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1PMG75 144478320.850000 PA 18191724.530000 0.1517621 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1W77N5 98805684.530000 PA 13071437.650000 0.1090468 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1X8QV3 38041618.090000 PA 5100001.630000 0.0425461 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1CPNN9 358212991.810000 PA 46637199.550000 0.3890647 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N KKR CLO 9 LTD N/A 48250LAW9 7000000.000000 PA USD 6919595.410000 0.0577258 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 1.19129 N N N N N N KOMATSU FINANCE AMERICA INC 549300SRAAFEEQ8Z4D68 ACI0XK426 200000.000000 PA USD 200083.000000 0.0016692 Long DBT CORP US N 2 2022-09-11 Fixed 2.437 N N N N N N LAURELIN 2016-1 DAC 16-1A N/A ACI1WVS58 4700000.000000 PA 5140200.620000 0.0428814 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 0.72 N N N N N N LCM XV LP 15A N/A 50184NAR3 4000000.000000 PA USD 3957417.680000 0.0330142 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 1.254 N N N N N N LCM XXV LTD 25A N/A 50189PAY8 3000000.000000 PA USD 2985180.000000 0.0249035 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 1.37514 N N N N N N LEGACY MORTGAGE ASSET TRUST 2019-GS6 N/A 52474VAA7 4000535.860000 PA USD 3996413.310000 0.0333396 Long ABS-MBS CORP US N 2 2059-06-25 Fixed 3 N N N N N N LEHMAN ABS MANUFACTURED HOUSING 2001-B N/A 52519SAM5 4089980.300000 PA USD 2952402.180000 0.0246300 Long ABS-O CORP US N 2 2040-04-15 Variable 7.17 Y N N N N N LEHMAN XS TRUST 2005-4 N/A 525221CA3 96519.510000 PA USD 96640.170000 0.0008062 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.25657 N N N N N N LEHMAN XS TRUST 2006-18N N/A 52522GAC8 1061561.560000 PA USD 1084420.910000 0.0090466 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.81657 N N N N N N LEHMAN XS TRUST 2006-7 N/A 52522EAA7 2893921.110000 PA USD 3296157.620000 0.0274978 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.77657 N N N N N N LEHMAN XS TRUST 2006-8 N/A 52522HAM4 4625067.150000 PA USD 4803632.670000 0.0400737 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.9 N N N N N N LEHMAN XS TRUST 2007-15N N/A 52524VAG4 2786127.920000 PA USD 2700555.070000 0.0225290 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.70657 N N N N N N LEHMAN XS TRUST SERIES 2007-20N N/A 52525AAA2 11977644.980000 PA USD 12692458.850000 0.1058852 Long ABS-MBS CORP US N 2 2037-12-25 Floating 1.60657 Y N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAL3 200000.000000 PA USD 201346.520000 0.0016797 Long DBT CORP US N 2 2022-11-06 Fixed 2.9 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI080964 700000.000000 PA 801381.150000 0.0066854 Long DBT CORP GB N 2 2025-06-27 Floating 4.947 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LOANCORE 2022-CRE7 ISSUER LTD N/A 53946PAA8 11600000.000000 PA USD 11535484.280000 0.0962333 Long ABS-CBDO CORP KY N 2 2037-01-17 Floating 1.6 N N N N N N LOANCORE ISSUER LTD 2019-CRE2 N/A 53946JAA2 4212443.400000 PA USD 4199174.200000 0.0350311 Long ABS-CBDO CORP KY N 2 2036-05-15 Floating 1.52657 N N N N N N LONG BEACH MORTGAGE LOAD TR 2005-WL2 N/A 542514NC4 3890.550000 PA USD 3932.060000 0.0000328 Long ABS-MBS CORP US N 2 2035-08-25 Floating 1.19157 N N N N N N LUMINENT MORTGAGE TRUST 2006-7 N/A 55028BAA5 289759.710000 PA USD 275099.780000 0.0022950 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.81657 Y N N N N N MADISON PARK FUNDING XXV LTD 2017-25A N/A 55820RAJ1 1500000.000000 PA USD 1491224.700000 0.0124403 Long ABS-CBDO CORP KY N 2 2029-04-25 Floating 1.22771 N N N N N N MADISON PARK FUNDING XXVI LTD 2017-26A N/A 55819YAA8 3000000.000000 PA USD 2987928.720000 0.0249264 Long ABS-CBDO CORP KY N 2 2030-07-29 Floating 1.499 N N N N N N MADISON PARK FUNDING XXX LTD 2018-30A N/A 55821TAA5 4958533.470000 PA USD 4936646.350000 0.0411833 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 0.99129 N N N N N N MAGNETITE XVIII LTD 2016-18A N/A 55953TAS6 7554303.490000 PA USD 7501209.580000 0.0625779 Long ABS-CBDO CORP KY N 2 2028-11-15 Floating 1.38643 N N N N N N MAN GLG EURO CLO II DAC 2A N/A ACI1DJHC3 2870849.290000 PA 3173875.120000 0.0264776 Long ABS-CBDO CORP IE N 2 2030-01-15 Floating 0.87 N N N N N N MAN GLG EURO CLO V DAC 5A N/A ACI1WBHS4 8600000.000000 PA 9453277.690000 0.0788627 Long ABS-CBDO CORP IE N 2 2031-12-15 Floating 0.69 N N N N N N MARBLE POINT CLO X LTD 2017-1A N/A 566061AL1 6700000.000000 PA USD 6670487.570000 0.0556477 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.28129 N N N N N N ACE SECURITIES CORP 2002-HE3 N/A 004421BH5 11631.800000 PA USD 12149.350000 0.0001014 Long ABS-MBS CORP US N 2 2032-10-25 Floating 2.25657 N N N N N N MASTER ADJUSTABLE RATE MTGE TR 2003-6 N/A 576433GC4 191097.450000 PA USD 187187.410000 0.0015616 Long ABS-MBS CORP US N 2 2033-12-25 Floating 1.64001 N N N N N N MASTER ADJUSTABLE RATE MTGE TR 2003-6 N/A 576433GF7 9261.650000 PA USD 9545.630000 0.0000796 Long ABS-MBS CORP US N 2 2033-12-25 Floating 2.18946 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1 N/A 576433G42 848031.900000 PA USD 794176.620000 0.0066253 Long ABS-MBS CORP US N 2 2046-04-25 Floating 0.66657 N N N N N N ACE SECURITIES CORP 2004-FM2 N/A 004421GK3 47289.220000 PA USD 46977.210000 0.0003919 Long ABS-MBS CORP US N 2 2034-06-25 Floating 2.25657 Y N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UM6 141974.120000 PA USD 141730.000000 0.0011824 Long ABS-MBS CORP US N 2 2034-11-21 Floating 2.75866 N N N N N N MASTR ALT LN TR 2006-2 N/A 5764342H6 919490.910000 PA USD 88532.910000 0.0007386 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.85657 Y N N N N N ACE SECURITIES CORP 2005-WF1 N/A 004421QR7 1148468.730000 PA USD 1147089.990000 0.0095694 Long ABS-MBS CORP US N 2 2035-05-25 Floating 1.14657 N N N N N N MELLON RES FUND CORP 1999-TBC3 N/A 585525DF2 28232.520000 PA USD 28364.070000 0.0002366 Long ABS-MBS CORP US N 2 2029-10-20 Floating 2.61 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC2 N/A 585525ED6 29254.980000 PA USD 28579.780000 0.0002384 Long ABS-MBS CORP US N 2 2030-06-15 Floating 0.87657 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 69068.030000 PA USD 67455.640000 0.0005627 Long ABS-MBS CORP US N 2 2030-12-15 Floating 0.83657 N N N N N N MELLON RESIDENTIAL FUND CORP 2002-TBC1 N/A 585525FN3 23131.030000 PA USD 23272.280000 0.0001941 Long ABS-MBS CORP US N 2 2030-09-15 Floating 1.13657 N N N N N N MELLON RESIDENTIAL FUND CORP 2002-TBC2 N/A 585525FX1 76562.910000 PA USD 73504.560000 0.0006132 Long ABS-MBS CORP US N 2 2032-08-15 Floating 1.25657 N N N N N N MELLON RESIDENTIAL FUNDING CO 2001-TBC1 N/A 585525FC7 36669.550000 PA USD 36989.700000 0.0003086 Long ABS-MBS CORP US N 2 2031-11-15 Floating 1.09657 N N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE2 N/A 59024LAB7 110618.040000 PA USD 42810.700000 0.0003571 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.69657 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 64496.080000 PA USD 57184.910000 0.0004771 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.89787 Y N N N N N MERRILL LYNCH MORTGAGE INVESTO-2006-RM4 N/A 59023QAB7 120432.460000 PA USD 67740.310000 0.0005651 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.61657 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A2 N/A 589929M70 408949.670000 PA USD 389326.750000 0.0032479 Long ABS-MBS CORP US N 2 2033-02-25 Floating 1.81116 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A2 N/A 59020USH9 158871.900000 PA USD 158744.720000 0.0013243 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.81258 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A9 N/A 59020UW68 47926.990000 PA USD 39148.030000 0.0003266 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.93696 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE6 N/A 59023XAC0 10495913.420000 PA USD 4760095.110000 0.0397105 Long ABS-MBS CORP US N 2 2037-11-25 Floating 0.75657 N N N N N N MERRILL LYNCH MTGE INVESTORS 2004-A1 N/A 59020UAC9 535640.070000 PA USD 543276.150000 0.0045322 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.2936 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 975UCXII2 206976000.000000 PA 10094476.550000 0.0842118 Long DBT NUSS MX N 2 2031-05-29 Fixed 7.75 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI08N0F3 1211695.510000 PA 62312.460000 0.0005198 Long DBT NUSS MX N 2 2046-11-08 Fixed 4 N N N N N N MIDOCEAN CREDIT CLO II 2013-2A N/A 59863KAS6 6900000.000000 PA USD 6859675.710000 0.0572259 Long ABS-CBDO CORP KY N 2 2030-01-29 Floating 1.20713 N N N N N N MIDOCEAN CREDIT CLO V 2016-5A N/A 59801TAL7 781295.680000 PA USD 780637.670000 0.0065124 Long ABS-CBDO CORP KY N 2 2028-07-19 Floating 1.368 N N N N N N MIDOCEAN CREDIT CLO VIII 2018-8A N/A 59801MAL2 6100000.000000 PA USD 6048612.870000 0.0504598 Long ABS-CBDO CORP KY N 2 2031-02-20 Floating 1.52957 N N N N N N ADAGIO V CLO DAC V-A N/A ACI1WGSL6 1800000.000000 PA 1976315.190000 0.0164872 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.72 N N N N N N MLCC MORTGAGE INVESTORS INC 2004-1 N/A 59020UNP6 178992.780000 PA USD 178694.970000 0.0014907 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.05443 N N N N N N MLCC MORTGAGE INVESTORS INC 2004-E N/A 59020UJQ9 6569.800000 PA USD 6385.880000 0.0000533 Long ABS-MBS CORP US N 2 2029-11-25 Floating 2.08971 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL78 234014.250000 PA USD 230018.920000 0.0019189 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.95657 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-A N/A 59020UTC9 18433.850000 PA USD 17351.390000 0.0001448 Long ABS-MBS CORP US N 2 2030-03-25 Floating 1.88971 N N N N N N MLCC MORTGAGE INVESTORS INC 2006-2 N/A 590219AG6 40281.820000 PA USD 37944.090000 0.0003165 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.95479 N N N N N N MLCC MORTGAGE INVESTORS INC 2007-2 N/A 59024WAB3 139709.690000 PA USD 140204.460000 0.0011696 Long ABS-MBS CORP US N 2 2037-06-25 Floating 2.42312 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC5 N/A 61744CRW8 6500000.000000 PA USD 6266798.200000 0.0522799 Long ABS-MBS CORP US N 2 2035-06-25 Floating 1.50657 Y N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAF9 1655645.960000 PA USD 923251.930000 0.0077021 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.67657 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC5 N/A 61749BAF0 123051.980000 PA USD 76101.420000 0.0006349 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.68657 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAE6 461140.780000 PA USD 240551.270000 0.0020068 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.79657 N N N N N N MORGAN STANLEY DEAN WITT CAP I 2003-NC2 N/A 61746WA75 357724.410000 PA USD 355389.110000 0.0029648 Long ABS-MBS CORP US N 2 2033-02-25 Floating 1.80657 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-7 N/A 007036MX1 181333.930000 PA USD 177663.600000 0.0014821 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.65988 Y N N N N N MORGAN STANLEY MTGE LN TR 2007-10XS N/A 61751MAA2 95341.660000 PA USD 70382.140000 0.0005872 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N MORGAN STANLEY MTGE LN TR 2007-6XS N/A 61751JAM3 196858.220000 PA USD 99209.650000 0.0008276 Long ABS-MBS CORP US N 2 2047-02-25 Variable 5.70097 N N N N N N MORGAN STANLEY MTGE LN TR 2007-8XS N/A 61754PAA2 112117.180000 PA USD 70306.310000 0.0005865 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 5.75 Y N N N N N MP CLO VII LTD 2015-1A N/A 55320RAQ0 5611821.480000 PA USD 5584036.120000 0.0465841 Long ABS-CBDO CORP KY N 2 2028-10-18 Floating 1.13129 N N N N N N ADJUSTABLE RATE MORTGAGE TR 2005-4 N/A 007036KD7 107534.440000 PA USD 106182.250000 0.0008858 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.77298 Y N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 10700000.000000 PA USD 10799327.780000 0.0900920 Long DBT CORP GB N 2 2024-06-25 Floating 2.51571 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 6900000.000000 PA USD 7006150.150000 0.0584479 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N AEGIS ASSET BACKED SECURITIES TR 2005-5 N/A 00764MHE0 2350000.000000 PA USD 2285959.450000 0.0190703 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.10157 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2004-4 N/A 64352VJJ1 845289.330000 PA USD 827201.150000 0.0069008 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.22157 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A N/A 64830KAA5 3219613.780000 PA USD 3293678.100000 0.0274771 Long ABS-MBS CORP US N 2 2058-05-25 Variable 4.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 23619860.280000 PA USD 23130189.870000 0.1929606 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N NEW YORK MORTGAGE TRUST 2006-1 N/A 649603AQ0 81868.210000 PA USD 75438.410000 0.0006293 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.83446 Y N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI02MK69 25043427.000000 PA 18204322.000000 0.1518672 Long DBT NUSS NZ N 2 2025-09-20 Fixed 2 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 654740AZ2 100000.000000 PA USD 100186.130000 0.0008358 Long DBT CORP US N 2 2022-07-13 Fixed 2.65 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 654740BL2 100000.000000 PA USD 100620.000000 0.0008394 Long DBT CORP US N 2 2023-09-21 Fixed 3.875 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2006-AR1 N/A 65535VSE9 64797.840000 PA USD 56850.310000 0.0004743 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.115 Y N N N N N NOMURA ASSET ACCEPTANCE CORP 2007-1 N/A 65538PAE8 205164.190000 PA USD 204877.840000 0.0017092 Long ABS-MBS CORP US N 2 2047-03-25 Variable 6.138 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2007-1 N/A 65538PAG3 221446.630000 PA USD 221196.240000 0.0018453 Long ABS-MBS CORP US N 2 2047-03-25 Variable 5.82 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-WF1 N/A 65536RAF3 2901218.050000 PA USD 2870909.030000 0.0239502 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.89157 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1RSH20 18688702.230000 PA 2399447.350000 0.0200171 Long DBT CORP DK N 2 2043-10-01 Fixed 0.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI0CR3W9 3793.430000 PA 569.070000 0.0000047 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1N7374 12307866.180000 PA 1586768.510000 0.0132374 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1WZT66 171999580.810000 PA 22747138.330000 0.1897650 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1Z8QZ2 10700000.000000 PA 1375619.140000 0.0114759 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 56075956.940000 PA 7509521.430000 0.0626472 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI22CN07 8900000.000000 PA 1229948.470000 0.0102607 Long DBT CORP DK N 2 2053-10-01 Fixed 2 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BK99HJII9 268132533.040000 PA 34851596.760000 0.2907449 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NOVASTAR HOME EQUITY LOAN 2005-1 N/A 66987XGJ8 1482035.970000 PA USD 1481813.220000 0.0123618 Long ABS-MBS CORP US N 2 2035-06-25 Floating 1.53657 N N N N N N NOVASTAR HOME EQUITY LOAN 2005-3 N/A 66987XGY5 1185585.200000 PA USD 1179821.480000 0.0098425 Long ABS-MBS CORP US N 2 2036-01-25 Floating 1.16157 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-5 N/A 66988YAD4 1379478.460000 PA USD 589334.440000 0.0049164 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.79657 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1RMVS0 135435104.230000 PA 17400305.040000 0.1451598 Long DBT CORP DK N 2 2043-10-01 Fixed 0.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI09WV27 21774.420000 PA 3267.490000 0.0000273 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BK9CXBII1 1168001504.750000 PA 151750564.470000 1.2659592 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N7309 47833255.690000 PA 6156469.940000 0.0513595 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N9610 10887614.870000 PA 1371311.540000 0.0114400 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1NN643 456759198.690000 PA 60433359.820000 0.5041574 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 264298708.740000 PA 35467256.690000 0.2958809 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1X30Y6 2498814.250000 PA 319826.150000 0.0026681 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N OAK HILL EUROPEAN CREDIT PARTNERS VII DAC 18-7A N/A ACI1WXMN1 10500000.000000 PA 11516760.620000 0.0960771 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 0.74 N N N N N N OAKTREE CLO 2019-1A N/A 67401XAS0 3450000.000000 PA USD 3429846.200000 0.0286130 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 1.36886 N N N N N N ONCOR ELECTRIC DELIVERY COMPANY LLC 549300SP2X2BS1KERD24 68233DAR8 200000.000000 PA USD 204389.920000 0.0017051 Long DBT CORP US N 2 2022-09-01 Fixed 7 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-3 N/A 68402BAD8 7267585.080000 PA USD 4310832.040000 0.0359626 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.69657 N N N N N N OSD CLO 2021-23A LTD N/A 671026AA0 2500000.000000 PA USD 2472179.500000 0.0206238 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 1.8352 N N N N N N OZLM VIII LTD 2014-8A N/A 67107FBL0 8097554.800000 PA USD 8058199.060000 0.0672245 Long ABS-CBDO CORP KY N 2 2029-10-17 Floating 1.22129 N N N N N N OZLM XI LTD 2015-11A N/A 67109UAS1 791349.500000 PA USD 791860.790000 0.0066060 Long ABS-CBDO CORP KY N 2 2030-10-30 Floating 1.549 N N N N N N OZLM XXIV LTD 2019-24A N/A 67113DAW4 4600000.000000 PA USD 4577602.690000 0.0381880 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 1.414 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 22-2A N/A ACI24FF23 6200000.000000 PA 6840591.200000 0.0570667 Long ABS-CBDO CORP IE N 3 2031-10-15 Floating 1.05 N N N N N N PALMER SQUARE LOAN FUNDING 2021-2 LTD N/A 69702DAA5 386961.150000 PA USD 385533.400000 0.0032163 Long ABS-CBDO CORP KY N 2 2029-05-20 Floating 1.27957 N N N N N N PALMER SQUARE LOAN FUNDING 2021-3 N/A 69702BAA9 17184117.780000 PA USD 17141015.370000 0.1429967 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 1.054 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2019-2A N/A 69689PAA5 529891.010000 PA USD 528311.010000 0.0044074 Long ABS-CBDO CORP KY N 2 2027-04-20 Floating 1.224 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2019-4A N/A 69689HAA3 4670849.540000 PA USD 4662524.780000 0.0388965 Long ABS-CBDO CORP KY N 2 2027-10-24 Floating 1.15886 N N N N N N PARK PLACE SEC INC 2005-WHQ2 N/A 70069FHX8 8391000.000000 PA USD 8270483.420000 0.0689954 Long ABS-MBS CORP US N 2 2035-05-25 Floating 1.38657 N N N N N N PARK PLACE SEC INC 2005-WHQ4 N/A 70069FMT1 3027724.310000 PA USD 2995069.090000 0.0249860 Long ABS-MBS CORP US N 2 2035-09-25 Floating 1.19157 N N N N N N PARK PLACE SECURITIES INC 2004-WCW2 N/A 70069FAZ0 4025785.950000 PA USD 3987983.010000 0.0332692 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.50657 N N N N N N PARK PLACE SECURITIES INC 2004-WHQ1 N/A 70069FBS5 111533.710000 PA USD 111414.440000 0.0009295 Long ABS-MBS CORP US N 2 2034-09-25 Floating 1.44657 N N N N N N PARK PLACE SECURITIES INC 2004-WHQ2 N/A 70069FEM5 1635736.510000 PA USD 1616719.440000 0.0134873 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.18157 N N N N N N PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP N/A 709599AN4 100000.000000 PA USD 101519.240000 0.0008469 Long DBT CORP US N 2 2023-01-17 Fixed 4.25 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BX9 24500000.000000 PA 6467920.070000 0.0539578 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94 N N N N N N ALLIANCE BANCORP TRUST 2007-OA1 N/A 01852TAA1 3737106.820000 PA USD 3470738.180000 0.0289542 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.93657 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NBE8 1229000.000000 PA USD 1229006.150000 0.0102528 Long DBT CORP NL N 2 2030-01-15 Fixed 5.093 N N N N N N PROGRESS ENERGY INC 549300FBMTW0JYWMNB26 743263AS4 100000.000000 PA USD 100000.000000 0.0008342 Long DBT CORP US N 2 2022-04-01 Fixed 3.15 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI122SK2 11000000.000000 PA USD 11206404.000000 0.0934880 Long DBT NUSS QA N 2 2023-04-23 Fixed 3.875 N N N N N N RAD CLO LTD 2019-5A N/A 74923EAA6 2500000.000000 PA USD 2479370.750000 0.0206838 Long ABS-CBDO CORP KY N 2 2032-07-24 Floating 1.37886 N N N N N N RALI SERIES 2005-QO1 TRUST N/A 761118EN4 47019.770000 PA USD 38749.340000 0.0003233 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.75657 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI0B2V53 9357.430000 PA 1403.770000 0.0000117 Long DBT CORP DK N 2 2047-04-01 Fixed 2.5 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BKDSHLII7 356707600.930000 PA 46411451.360000 0.3871814 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BL63VKII4 31162925.080000 PA 4011696.300000 0.0334670 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BL63VNII8 19773064.010000 PA 2488643.050000 0.0207612 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI1WVDP0 7792819.450000 PA 1032318.990000 0.0086120 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 65701959.880000 PA 8824853.600000 0.0736202 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N AMBAC ASSURANCE CORPORATION 549300RYYRVPPB8NC636 023138AA8 1.000000 PA USD 1.140000 0.0000000 Long DBT CORP US N 2 2099-12-31 Fixed 5.1 N N N N N N REGATTA VIII FUNDING LTD 2017-1A N/A 75888KAA2 9800000.000000 PA USD 9761497.760000 0.0814340 Long ABS-CBDO CORP KY N 2 2030-10-17 Floating 1.49129 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 32439619.540000 PA USD 17233791.180000 0.1437706 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.55657 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO6 N/A 75114NAA2 2508085.640000 PA USD 684413.680000 0.0057096 Long ABS-MBS CORP US N 2 2046-06-25 Floating 0.81657 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 3468700.800000 PA USD 3375166.590000 0.0281569 Long ABS-MBS CORP US N 2 2037-10-25 Variable 1.01613 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QA10 N/A 761118GE2 14645.460000 PA USD 12107.850000 0.0001010 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.39737 Y N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO2 N/A 761118HU5 104097.580000 PA USD 100174.510000 0.0008357 Long ABS-MBS CORP US N 2 2045-09-25 Floating 1.50113 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO4 N/A 761118NN4 682972.950000 PA USD 545747.700000 0.0045528 Long ABS-MBS CORP US N 2 2045-12-25 Floating 1.01657 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-EMX7 N/A 74924TAD6 4562261.150000 PA USD 4197963.680000 0.0350210 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.93657 N N N N N N RESIDENTIAL ASSET SEC TRUST 2003-A5 N/A 45660NQA6 54617.470000 PA USD 54007.870000 0.0004506 Long ABS-MBS CORP US N 2 2033-06-25 Fixed 5.5 N N N N N N RESIDENTIAL ASSET SEC TRUST 2005-A5 N/A 45660LJZ3 4560452.440000 PA USD 3244347.820000 0.0270655 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.85657 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-R1 N/A 76113MAB1 57569.280000 PA USD 20465.790000 0.0001707 Long ABS-MBS CORP US N 2 2046-01-25 Floating 0.85657 Y N N N N N RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A6 N/A 76114CAG1 1772081.430000 PA USD 588291.690000 0.0049077 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6.5 N N N N N N RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A N/A ACI1PKR28 11539286.040000 PA 15268554.070000 0.1273759 Long ABS-MBS CORP GB N 2 2070-06-20 Floating 1.89966 N N N N N N ROMARK CLO LTD 2017-1A N/A 77587UAL6 7100000.000000 PA USD 7055970.770000 0.0588635 Long ABS-CBDO CORP KY N 2 2030-10-23 Floating 1.28886 N N N N N N SALOMON BROTHERS MTGE SEC VII 2003-1 N/A 79549AYP8 204717.890000 PA USD 173042.570000 0.0014436 Long ABS-MBS CORP US N 2 2033-09-25 Fixed 6.5 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAH2 12970000.000000 PA USD 13474273.600000 0.1124074 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SAXON ASSET SECURITIES TRUST 2005-1 N/A 805564RN3 496850.610000 PA USD 485115.500000 0.0040470 Long ABS-MBS CORP US N 2 2035-05-25 Floating 1.17657 N N N N N N SAXON ASSET SECURITIES TRUST 2005-4 N/A 805564TL5 1915000.000000 PA USD 1815344.170000 0.0151443 Long ABS-MBS CORP US N 2 2037-11-25 Floating 1.17657 Y N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-1 N/A 02660WAC0 270320.650000 PA USD 238169.090000 0.0019869 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.64657 Y N N N N N SECURITIZED ASSET BACKED REC 2006-HE1 N/A 81376YAD3 3245128.710000 PA USD 1419840.520000 0.0118448 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.77657 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-4 N/A 02660LAB6 4727850.000000 PA USD 2939275.510000 0.0245205 Long ABS-MBS CORP US N 2 2046-10-25 Floating 0.66657 N N N N N N SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A N/A ACI1YTXT3 3900000.000000 PA 4273669.660000 0.0356525 Long ABS-CBDO CORP IE N 2 2032-07-20 Floating 0.88 N N N N N N SEQUOIA MORTGAGE TRUST 10 N/A 81743VAA1 26518.800000 PA USD 26570.460000 0.0002217 Long ABS-MBS CORP US N 2 2027-10-20 Floating 1.24857 N N N N N N SEQUOIA MORTGAGE TRUST 10 N/A 81743VAB9 14600.230000 PA USD 14411.360000 0.0001202 Long ABS-MBS CORP US N 2 2027-10-20 Floating 1.20857 N N N N N N SEQUOIA MORTGAGE TRUST 11 N/A 81744AAA6 22902.610000 PA USD 22481.200000 0.0001875 Long ABS-MBS CORP US N 2 2032-12-20 Floating 1.34857 N N N N N N SEQUOIA MORTGAGE TRUST 2004-3 N/A 81744FAZ0 143445.960000 PA USD 143502.100000 0.0011971 Long ABS-MBS CORP US N 2 2034-05-20 Floating 0.66625 N N N N N N SEQUOIA MORTGAGE TRUST 2007-3 N/A 81744MAA0 523841.360000 PA USD 482552.080000 0.0040256 Long ABS-MBS CORP US N 2 2036-07-20 Floating 0.84857 N N N N N N SEQUOIA MORTGAGE TRUST 5 N/A 81743WAA9 12811.510000 PA USD 12642.730000 0.0001055 Long ABS-MBS CORP US N 2 2026-10-19 Floating 1.14857 N N N N N N AMERICAN HOME MTGE INV TRUST 2005-2 N/A 02660TEQ2 28389.890000 PA USD 28407.840000 0.0002370 Long ABS-MBS CORP US N 2 2045-09-25 Floating 2.32871 N N N N N N SLM STUDENT LOAN TRUST 2008-7 N/A 78445FAD7 6354685.620000 PA USD 6293327.950000 0.0525013 Long ABS-O CORP US N 2 2023-07-25 Floating 1.15771 N N N N N N SLM STUDENT LOAN TRUST 2008-9 N/A 78445JAA5 28367099.100000 PA USD 28441911.650000 0.2372729 Long ABS-O CORP US N 2 2023-04-25 Floating 1.75771 N N N N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 78448TAB8 200000.000000 PA USD 200302.920000 0.0016710 Long DBT CORP IE N 2 2022-07-15 Fixed 3 N N N N N N SOUND POINT CLO IX LTD 2015-2A N/A 83609GBN4 7700000.000000 PA USD 7675869.590000 0.0640349 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 1.464 N N N N N N SOUND POINT CLO XII LTD 2016-2A N/A 83610CAW1 12680179.880000 PA USD 12658346.390000 0.1056006 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.304 N N N N N N SOUND POINT CLO XIV LTD 2016-3A N/A 83609NAN0 20850733.010000 PA USD 20798434.160000 0.1735082 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 1.24886 N N N N N N SOUND POINT CLO XV LTD 2017-1A N/A 83609RAL5 8263442.340000 PA USD 8269921.290000 0.0689907 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 1.15886 N N N N N N SOUND POINT CLO XVI LTD 2017-2A N/A 83610KAJ2 9600000.000000 PA USD 9612858.620000 0.0801940 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 1.23771 N N N N N N SOUNDS POINT CLO IV-R LTD 2013-3RA N/A 83609YAC0 2287000.000000 PA USD 2279480.530000 0.0190163 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 1.39129 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2 N/A 83613DAD8 3339397.940000 PA USD 3145456.060000 0.0262406 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.63657 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2019-FL1 N/A 78485WAA7 20867771.080000 PA USD 20795497.220000 0.1734837 Long ABS-CBDO CORP KY N 2 2038-07-15 Floating 1.49875 N N N N N N AMERIQUEST MORTGAGE SEC 2005-R3 N/A 03072SA21 1557707.250000 PA USD 1555637.840000 0.0129777 Long ABS-MBS CORP US N 2 2035-05-25 Floating 1.38657 N N N N N N STRATUS CLO 2021-2A LTD N/A 86315TAA3 3300000.000000 PA USD 3275770.080000 0.0273277 Long ABS-CBDO CORP KY N 2 2029-12-28 Floating 0.99296 N N N N N N STRATUS CLO 2021-3A LTD N/A 86315WAA6 8900000.000000 PA USD 8840599.620000 0.0737515 Long ABS-CBDO CORP KY N 2 2029-12-29 Floating 1.04296 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 12626.300000 PA USD 11647.640000 0.0000972 Long ABS-MBS CORP US N 2 2035-01-25 Floating 1.54113 Y N N N N N STRUCTURED ADJ RATE MTGE LOAN 2005-21 N/A 863579B49 46916.240000 PA USD 44195.600000 0.0003687 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.91587 Y N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-4 N/A 86360BAP3 6000.550000 PA USD 5121.190000 0.0000427 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.83623 Y N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-8 N/A 86361JAB6 380862.120000 PA USD 326671.190000 0.0027252 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.0737 Y N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGF2 1451.060000 PA USD 1438.190000 0.0000120 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.4593 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGG0 105927.480000 PA USD 105789.630000 0.0008825 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.4593 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-4 N/A 86359BNU1 2239.490000 PA USD 2263.870000 0.0000189 Long ABS-MBS CORP US N 2 2034-04-25 Floating 2.32941 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VM7 59570.430000 PA USD 57344.800000 0.0004784 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.86786 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-18 N/A 863579XK9 183098.490000 PA USD 175271.840000 0.0014622 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.84129 Y N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-9 N/A 86364JAA5 179471.770000 PA USD 180177.650000 0.0015031 Long ABS-MBS CORP US N 2 2037-10-25 Floating 2.32871 Y N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 367002.620000 PA USD 360413.820000 0.0030067 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.77657 N N N N N N STRUCTURED ASSEET MTGE INV INC 2002-AR3 N/A 86358HNX3 61686.800000 PA USD 61106.460000 0.0005098 Long ABS-MBS CORP US N 2 2032-09-19 Floating 1.10857 N N N N N N STRUCTURED ASSET INVESTMENT LN TR 2004-2 N/A 86358EGW0 201461.040000 PA USD 195265.670000 0.0016290 Long ABS-MBS CORP US N 2 2034-03-25 Floating 1.16157 N N N N N N STRUCTURED ASSET MORTGAGE INV 2005-AR4 N/A 86359LLZ0 123344.520000 PA USD 104783.510000 0.0008741 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.07657 Y N N N N N STRUCTURED ASSET MTG INV INC 2004-AR1 N/A 86359LAQ2 90634.200000 PA USD 89181.330000 0.0007440 Long ABS-MBS CORP US N 2 2034-03-19 Floating 1.14857 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR5 N/A 86359LDX4 32624.240000 PA USD 31982.440000 0.0002668 Long ABS-MBS CORP US N 2 2034-10-19 Floating 1.10857 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPD5 63627.890000 PA USD 61254.120000 0.0005110 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-AR5 N/A 86359LPE3 30125.750000 PA USD 29090.810000 0.0002427 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-AR5 N/A 86359LPF0 251386.940000 PA USD 243247.110000 0.0020293 Long ABS-MBS CORP US N 2 2035-07-19 Floating 0.94857 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR1 N/A 86359LTG4 248349.220000 PA USD 237152.720000 0.0019784 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.91657 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAA6 289868.420000 PA USD 272203.290000 0.0022708 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.87657 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR2 N/A 86363DAH4 77679.830000 PA USD 29970.580000 0.0002500 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.71657 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 1542254.940000 PA USD 1485511.830000 0.0123927 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.87657 N N N N N N STRUCTURED ASSET SEC CORP 2003-40A N/A 86359BEF4 1171.390000 PA USD 1177.810000 0.0000098 Long ABS-MBS CORP US N 2 2034-01-25 Floating 2.1185 N N N N N N STRUCTURED ASSET SEC CORP 2005-7XS N/A 86359B7K1 58554.840000 PA USD 58738.210000 0.0004900 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.73057 N N N N N N STRUCTURED ASSET SEC CORP 2006-GEL4 N/A 86361NAD3 1924557.240000 PA USD 1905035.490000 0.0158925 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.02657 N N N N N N STRUCTURED ASSET SECUR CORP 2006-OPT1 N/A 86359UAG4 18451806.110000 PA USD 17903578.960000 0.1493583 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.75657 N N N N N N AMMC CLO XII LTD 2013-12A N/A 00176CAW1 5200000.000000 PA USD 5133518.420000 0.0428257 Long ABS-CBDO CORP KY N 2 2030-11-10 Floating 1.31629 N N N N N N SYDNEY AIRPORT FINANCE COMPANY PTY LIMITED 549300MJAANHLHOVTO40 87124VAD1 200000.000000 PA USD 202538.580000 0.0016897 Long DBT CORP AU N 2 2023-03-22 Fixed 3.9 N N N N N N SYMPHONY CLO XIV LTD 2014-14A N/A 87159QBV9 1355246.310000 PA USD 1353550.120000 0.0112918 Long ABS-CBDO CORP KY N 2 2026-07-14 Floating 1.18843 N N N N N N SYMPHONY CLO XVII LTD 2016-17A N/A 87165UAN1 1085346.060000 PA USD 1081657.780000 0.0090236 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 1.12129 N N N N N N TAMPA ELECTRIC COMPANY WS423EPRKJIIJUITXD73 875127BB7 200000.000000 PA USD 200604.810000 0.0016735 Long DBT CORP US N 2 2022-09-15 Fixed 2.6 N N N N N N TBW MTGE BACKED PASS THRU CERT 2006-4 N/A 872224AG5 1230257.810000 PA USD 62112.400000 0.0005182 Long ABS-MBS CORP US N 2 2036-09-25 Variable 6.47 Y N N N N N TELOS CLO LTD 2014-5A N/A 87974KAQ7 477804.010000 PA USD 478528.340000 0.0039921 Long ABS-CBDO CORP KY N 2 2028-04-17 Floating 1.19129 N N N N N N ANCHORAGE CAPITAL CLO 11 LTD 2019-11A N/A 03330NAJ3 1000000.000000 PA USD 994345.340000 0.0082952 Long ABS-CBDO CORP KY N 2 2032-07-22 Floating 1.39886 N N N N N N ANCHORAGE CAPITAL CLO LTD 2015-6A N/A 03328QAY7 8500000.000000 PA USD 8498921.780000 0.0709011 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 1.29129 N N N N N N ANCHORAGE CAPITAL CLO LTD 2016-9A N/A 03328WAS7 400000.000000 PA USD 393475.860000 0.0032825 Long ABS-CBDO CORP KY N 2 2032-07-15 Floating 1.38129 N N N N N N THL CREDIT WIND RIVER 2019-3 CLO LTD N/A 97314JAA3 7100000.000000 PA USD 7049797.250000 0.0588120 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 1.32129 N N N N N N TICP CLO II LTD 2018-IIA N/A 87249TAC8 2357896.370000 PA USD 2351570.580000 0.0196177 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.094 N N N N N N TICP CLO III-2 LTD 2018-3R N/A 87249FAC8 3060231.710000 PA USD 3059021.300000 0.0255195 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.094 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 20763783.500000 PA 27387350.740000 0.2284754 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.23625 N N N N N N TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5 N/A 87277JAA9 9300000.000000 PA USD 9242678.520000 0.0771058 Long ABS-CBDO CORP KY N 2 2039-02-15 Floating 1.7 N N N N N N TRINITAS EURO CLO II DAC 2A A N/A ACI1NGXC0 3905184.470000 PA 4324736.390000 0.0360785 Long ABS-CBDO CORP IE N 2 2033-08-15 Floating 1.55 N N N N N N UMBS PASS THRU POOLS N/A 01F022659 -18100000.000000 PA USD -17234149.030000 -0.1437736 Short ABS-MBS USGSE US N 2 2052-05-12 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030645 -22300000.000000 PA USD -21815671.880000 -0.1819944 Short ABS-MBS USGSE US N 2 2052-04-13 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F032658 112480000.000000 PA USD 112338114.350000 0.9371660 Long ABS-MBS USGSE US N 2 2052-05-12 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040644 35030000.000000 PA USD 35763440.630000 0.2983518 Long ABS-MBS USGSE US N 2 2052-04-13 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F040651 94800000.000000 PA USD 96439795.420000 0.8045363 Long ABS-MBS USGSE US N 2 2052-05-12 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F040669 99000000.000000 PA USD 100388769.030000 0.8374801 Long ABS-MBS USGSE US N 2 2052-06-13 Fixed 4 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 37100000.000000 PA USD 39444525.230000 0.3290608 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N APIDOS CLO 2017-27A N/A 03767JAF2 10900000.000000 PA USD 10888178.410000 0.0908332 Long ABS-CBDO CORP KY N 2 2030-07-17 Floating 1.17129 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B85SFQII4 88592504.000000 PA 128237374.300000 1.0698035 Long DBT NUSS GB N 2 2024-03-22 Fixed 0.125 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B1Z5HQII4 39546880.000000 PA 55753591.320000 0.4651170 Long DBT NUSS GB N 2 2022-11-22 Fixed 1.875 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B128DHII8 19726693.500000 PA 33204710.300000 0.2770059 Long DBT NUSS GB N 2 2027-11-22 Fixed 1.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796W21 3018000.000000 PA USD 3014978.230000 0.0251521 Long DBT UST US N 2 2022-06-21 None 0 N N N N N N APIDOS CLO XXVI LLC 2017-26A N/A 03766GAL6 4000000.000000 PA USD 3965399.080000 0.0330808 Long ABS-CBDO CORP KY N 2 2029-07-18 Floating 1.14129 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796U72 431000.000000 PA USD 430951.150000 0.0035952 Long DBT UST US N 2 2022-05-03 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828UH1 325748144.700000 PA USD 337138358.570000 2.8125325 Long DBT UST US N 2 2023-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828B25 338886908.250000 PA USD 356484614.070000 2.9739261 Long DBT UST US N 2 2024-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 215621573.000000 PA USD 226175461.980000 1.8868391 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FR4 224977221.010000 PA USD 249775614.170000 2.0837203 Long DBT UST US N 2 2025-01-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N71 326317552.600000 PA USD 348010056.860000 2.9032282 Long DBT UST US N 2 2026-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FS2 145458820.100000 PA USD 163042357.920000 1.3601595 Long DBT UST US N 2 2026-01-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828V49 227066819.100000 PA USD 240770285.740000 2.0085945 Long DBT UST US N 2 2027-01-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PS1 2406326.640000 PA USD 2792669.870000 0.0232975 Long DBT UST US N 2 2027-01-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 418502771.280000 PA USD 447907813.880000 3.7366121 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PV4 292157198.280000 PA USD 334649420.590000 2.7917689 Long DBT UST US N 2 2028-01-15 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285W6 203253397.950000 PA USD 224549575.570000 1.8732754 Long DBT UST US N 2 2029-01-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PZ5 156934466.640000 PA USD 191278374.120000 1.5957147 Long DBT UST US N 2 2029-01-15 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Z37 306762768.000000 PA USD 324042555.200000 2.7032825 Long DBT UST US N 2 2030-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBF7 258288691.680000 PA USD 273576954.310000 2.2822798 Long DBT UST US N 2 2031-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDX6 227684718.000000 PA USD 242369489.790000 2.0219357 Long DBT UST US N 2 2032-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QF8 111161202.020000 PA USD 157333410.130000 1.3125333 Long DBT UST US N 2 2040-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QP6 113939257.770000 PA USD 161181346.450000 1.3446342 Long DBT UST US N 2 2041-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QV3 216493331.600000 PA USD 247656607.100000 2.0660427 Long DBT UST US N 2 2042-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 69220871.130000 PA USD 77325374.630000 0.6450768 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 406232408.400000 PA USD 521304985.270000 4.3489184 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 162199662.900000 PA USD 186411740.220000 1.5551155 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 1485967.290000 PA 1637275.550000 0.0136588 Long ABS-CBDO CORP IE N 2 2030-07-20 Floating 0.64 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 225024983.040000 PA USD 274195160.580000 2.2874371 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RW0 152428985.800000 PA USD 182697763.720000 1.5241321 Long DBT UST US N 2 2047-02-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 57559265.190000 PA USD 71540878.660000 0.5968204 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 39440452.100000 PA USD 49386229.000000 0.4119981 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SM1 78988035.000000 PA USD 83070419.430000 0.6930041 Long DBT UST US N 2 2050-02-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SV1 113729948.350000 PA USD 116633122.510000 0.9729965 Long DBT UST US N 2 2051-02-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TE8 49373841.000000 PA USD 51289093.770000 0.4278725 Long DBT UST US N 2 2052-02-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X39 206436597.750000 PA USD 207227662.790000 1.7287696 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284H0 462642394.500000 PA USD 482409790.110000 4.0244403 Long DBT UST US N 2 2023-04-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286N5 377761726.800000 PA USD 397114920.930000 3.3128791 Long DBT UST US N 2 2024-04-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZJ2 200547888.000000 PA USD 209683588.330000 1.7492578 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCA7 85400777.140000 PA USD 89299991.300000 0.7449735 Long DBT UST US N 2 2026-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FD5 423095214.800000 PA USD 536167047.090000 4.4729032 Long DBT UST US N 2 2028-04-15 Fixed 3.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FH6 244661868.670000 PA USD 323656922.720000 2.7000654 Long DBT UST US N 2 2029-04-15 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FQ6 12351378.000000 PA USD 17433847.030000 0.1454396 Long DBT UST US N 2 2032-04-15 Fixed 3.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828TE0 147504185.630000 PA USD 151547781.300000 1.2642675 Long DBT UST US N 2 2022-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828VM9 198596473.180000 PA USD 208483797.190000 1.7392487 Long DBT UST US N 2 2023-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828WU0 161579145.000000 PA USD 169602614.360000 1.4148875 Long DBT UST US N 2 2024-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XL9 58403886.240000 PA USD 61783612.260000 0.5154217 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828S50 238874171.850000 PA USD 251177894.870000 2.0954186 Long DBT UST US N 2 2026-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282L3 220657800.800000 PA USD 235137330.380000 1.9616023 Long DBT UST US N 2 2027-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Y38 298548438.020000 PA USD 326692781.390000 2.7253916 Long DBT UST US N 2 2028-07-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128287D6 295068332.240000 PA USD 315202603.160000 2.6295363 Long DBT UST US N 2 2029-07-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZZ6 196427866.800000 PA USD 208470472.350000 1.7391376 Long DBT UST US N 2 2030-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCM1 1127090325.000000 PA USD 1199767960.690000 10.0089067 Long DBT UST US N 2 2031-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YL8 289052952.000000 PA USD 302431218.680000 2.5229927 Long DBT UST US N 2 2024-10-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAQ4 86119170.000000 PA USD 90300789.640000 0.7533225 Long DBT UST US N 2 2025-10-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDC2 324111860.000000 PA USD 340839684.720000 2.8434103 Long DBT UST US N 2 2026-10-15 Fixed 0.125 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1 N/A 03880XAA4 6100000.000000 PA USD 6070257.620000 0.0506403 Long ABS-CBDO CORP KY N 2 2037-01-15 Floating 1.49967 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SS8 13790000.000000 PA USD 11317496.020000 0.0944147 Long DBT UST US N 2 2050-11-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YY0 38020000.000000 PA USD 37264055.560000 0.3108705 Long DBT UST US N 2 2024-12-31 Fixed 1.75 N N N N N N AREIT TRUST 2020-CRE4 N/A 04002RAA8 2378988.570000 PA USD 2378240.620000 0.0198402 Long ABS-MBS CORP KY N 2 2037-04-15 Floating 2.78448 N N N N N N US AIRWAYS 2011-1 CLASS A PASS THRU TRUST N/A 903436AA1 1348005.750000 PA USD 1376713.550000 0.0114851 Long DBT CORP US N 2 2025-04-22 Fixed 7.125 N N N N N N ARES EUROPEAN CLO X BV 10A N/A ACI1Y2RR3 5900000.000000 PA 6478314.290000 0.0540445 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.78 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 4080475.150000 PA USD 4079840.270000 0.0340355 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 1.12129 N N N N N N VENTURE CLO LTD 2018-33A N/A 92330YAN3 1300000.000000 PA USD 1292466.850000 0.0107822 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 1.30129 N N N N N N VENTURE XXI CLO LTD 2015-21A N/A 92330MAL3 1244643.130000 PA USD 1245804.050000 0.0103930 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.12129 N N N N N N VENTURE XXIV CLO LTD 2016-24A N/A 92330WBJ5 1611424.220000 PA USD 1605291.510000 0.0133919 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.154 N N N N N N VENTURE XXIX CLO LTD 2017-29A N/A 92331EAF3 5300000.000000 PA USD 5298037.730000 0.0441982 Long ABS-CBDO CORP KY N 2 2030-09-07 Floating 1.49643 N N N N N N VENTURE XXVI CLO LTD 2017-26A N/A 92331MAE8 6500000.000000 PA USD 6476806.700000 0.0540319 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 1.354 N N N N N N ARES L CLO LTD 2018-50A N/A 04018LAJ4 4000000.000000 PA USD 3969871.640000 0.0331181 Long ABS-CBDO CORP KY N 2 2032-01-15 Floating 1.29129 N N N N N N ARES LII CLO LTD 2019-52A N/A 04009AAL4 1800000.000000 PA USD 1786371.440000 0.0149026 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 344086.210000 PA USD 343858.260000 0.0028686 Long ABS-CBDO CORP KY N 2 2029-06-20 Floating 1.87786 N N N N N N VIBRANT CLO VII LTD N/A 92558BAJ7 12300000.000000 PA USD 12278571.190000 0.1024324 Long ABS-CBDO CORP KY N 2 2030-09-15 Floating 1.294 N N N N N N VMC FINANCE 2022-FL5 LLC N/A 91835BAA3 500000.000000 PA USD 504999.450000 0.0042129 Long ABS-CBDO CORP US N 2 2039-02-18 Floating 1.95 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AC9 1900000.000000 PA USD 1927928.020000 0.0160835 Long DBT CORP US N 2 2027-08-21 Fixed 3.9 N N N N N N ARES XXXIX CLO LTD 2016-39A N/A 04015WBA1 800000.000000 PA USD 787175.390000 0.0065669 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 1.29129 N N N N N N VOYA CLO 2017-2A N/A 92915UAG9 1300000.000000 PA USD 1295179.810000 0.0108049 Long ABS-CBDO CORP KY N 2 2030-06-07 Floating 1.22129 N N N N N N VOYA CLO LTD 2013-1A N/A 92917CAE2 3186849.520000 PA USD 3176304.390000 0.0264979 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.45129 N N N N N N ARGENT SECURITIES INC 2005-W1 N/A 040104MX6 1468414.050000 PA USD 1364546.520000 0.0113836 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.93657 N N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAA8 976786.670000 PA USD 918059.130000 0.0076588 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.79501 Y N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAJ9 221232.610000 PA USD 217168.630000 0.0018117 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.10999 Y N N N N N WAMU MTGE P/T CERT 2007-HY5 N/A 92990GAC7 1050975.940000 PA USD 929717.800000 0.0077560 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.25533 Y N N N N N WAMU MTGE P/T CERTIFICATES 2007-HY4 N/A 933636AA0 511307.460000 PA USD 502248.630000 0.0041899 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.71347 Y N N N N N WASHINGTON MUTUAL 2002 AR2 N/A 929227LE4 341848.880000 PA USD 345534.930000 0.0028826 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 22077.030000 PA USD 21588.490000 0.0001801 Long ABS-MBS CORP US N 2 2042-11-25 Floating 1.34113 N N N N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAM1 3143481.110000 PA USD 2948617.030000 0.0245985 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.75657 N N N N N N WASHINGTON MUTUAL 2002-AR6 N/A 929227QB5 32185.250000 PA USD 31470.630000 0.0002625 Long ABS-MBS CORP US N 2 2042-06-25 Floating 1.61876 N N N N N N WASHINGTON MUTUAL 2003-AR5 N/A 929227R65 160886.340000 PA USD 161705.900000 0.0013490 Long ABS-MBS CORP US N 2 2033-06-25 Floating 2.58469 N N N N N N WASHINGTON MUTUAL 2004-AR1 N/A 92922FLD8 31516.210000 PA USD 32253.730000 0.0002691 Long ABS-MBS CORP US N 2 2034-03-25 Floating 2.46096 N N N N N N WASHINGTON MUTUAL 2004-AR10 N/A 92922FWZ7 641451.910000 PA USD 629850.350000 0.0052544 Long ABS-MBS CORP US N 2 2044-07-25 Floating 1.55657 N N N N N N WASHINGTON MUTUAL 2004-AR12 N/A 92922FZE1 151820.390000 PA USD 144279.050000 0.0012036 Long ABS-MBS CORP US N 2 2044-10-25 Floating 1.25657 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X65 460532.340000 PA USD 456086.130000 0.0038048 Long ABS-MBS CORP US N 2 2045-01-25 Floating 1.13657 N N N N N N WASHINGTON MUTUAL 2005-AR10 N/A 92922FW53 117653.330000 PA USD 116815.460000 0.0009745 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.94262 N N N N N N WASHINGTON MUTUAL 2005-AR14 N/A 92922F4B1 1067495.830000 PA USD 1074422.060000 0.0089632 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.84927 N N N N N N WASHINGTON MUTUAL 2005-AR14 N/A 92922F4F2 232326.730000 PA USD 233582.040000 0.0019486 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.85917 N N N N N N WASHINGTON MUTUAL 2005-AR16 N/A 92922F6W3 18024.720000 PA USD 18187.310000 0.0001517 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.67077 N N N N N N WASHINGTON MUTUAL 2005-AR3 N/A 939336Z48 37117.070000 PA USD 38282.380000 0.0003194 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.77685 N N N N N N WASHINGTON MUTUAL 2005-AR8 N/A 92922FR75 13794.100000 PA USD 13469.050000 0.0001124 Long ABS-MBS CORP US N 2 2045-07-25 Floating 1.03657 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAA1 500026.680000 PA USD 486898.530000 0.0040619 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.71587 Y N N N N N ARGENT SECURITIES INC 2006-W4 N/A 040104TG6 1178170.980000 PA USD 365440.130000 0.0030486 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.77657 N N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAA8 1313069.670000 PA USD 1205931.720000 0.0100603 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.92416 Y N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AA8 784015.120000 PA USD 751453.800000 0.0062689 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.54479 Y N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 331062.490000 PA USD 330447.480000 0.0027567 Long ABS-MBS CORP US N 2 2046-02-25 Floating 1.14113 N N N N N N WASHINGTON MUTUAL 2006-AR5 N/A 93362YAB8 45020.440000 PA USD 44876.640000 0.0003744 Long ABS-MBS CORP US N 2 2046-06-25 Floating 1.12113 N N N N N N WASHINGTON MUTUAL 2006-AR8 N/A 93362FAJ2 88114.500000 PA USD 87404.620000 0.0007292 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.05855 Y N N N N N WASHINGTON MUTUAL 2007-OA2 N/A 933635AA2 2737547.670000 PA USD 2577973.280000 0.0215064 Long ABS-MBS CORP US N 2 2047-03-25 Floating 0.84113 Y N N N N N WASHINGTON MUTUAL 2007-OA4 N/A 93364CAA6 425906.380000 PA USD 407860.000000 0.0034025 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.91113 N N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-4 N/A 93936NAC7 4930289.260000 PA USD 4463726.620000 0.0372381 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 N N N N N N WASHINGTON MUTUAL MTGE P/T 2006-AR3 N/A 93934FQP0 881916.320000 PA USD 758806.270000 0.0063302 Long ABS-MBS CORP US N 2 2046-05-25 Floating 1.11113 Y N N N N N WELLFLEET CLO LTD 2015-1 N/A 949496BJ1 1299497.240000 PA USD 1292453.030000 0.0107821 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 1.144 N N N N N N WELLFLEET CLO LTD 2017-1A N/A 94950GAL1 9693879.140000 PA USD 9694258.170000 0.0808731 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 1.144 N N N N N N WELLS FARGO HOME EQUITY TRUST 2005-2 N/A 94981PAM2 400000.000000 PA USD 402457.960000 0.0033575 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.85657 N N N N N N WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2007-AR7 N/A 94986KAA4 1795367.090000 PA USD 1770537.160000 0.0147705 Long ABS-MBS CORP US N 2 2037-12-28 Variable 2.86776 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR15 N/A 94985AAA7 12150.400000 PA USD 11889.740000 0.0000992 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.49409 Y N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR4 N/A 94983PAF5 457932.250000 PA USD 446047.080000 0.0037211 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.88479 Y N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 61890000.000000 PA 345956.590000 0.0028861 Long DBT NUSS AR N 2 2022-04-03 Floating 39.5506 N N N N N N WMALT MTGE PASS-THRU CERT 2005-7 N/A 93934FBT8 185233.330000 PA USD 174575.300000 0.0014564 Long ABS-MBS CORP US N 2 2035-08-25 Fixed 6.5 Y N N N N N N/A N/A 000000000 -25844759.000000 PA -33958045.740000 -0.2832905 Short RA GB N 2 Reverse repurchase N 0.7600000 2022-05-10 23944400.000000 GBP 25697154.740000 GBP N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 P0761DAQ6 6900000.000000 PA 12514.910000 0.0001044 Long DBT NUSS AR N 2 2022-10-04 Floating 34.1906 N N N N N N N/A N/A 000000000 -1677576250.000000 PA USD -1677576250.000000 -13.9949597 Short RA US N 2 Reverse repurchase N 0.3000000 2022-04-01 1450000000.000000 USD 1526543581.000000 USD UST N N N N/A N/A 000000000 -130942500.000000 PA USD -130956758.190000 -1.0924896 Short RA US N 2 Reverse repurchase N 0.2800000 2022-04-08 110500000.000000 USD 115221351.180000 USD UST N N N N/A N/A 000000000 -43087500.000000 PA USD -43101862.500000 -0.3595716 Short RA US N 2 Reverse repurchase N 0.1500000 2022-04-11 30000000.000000 USD 35957287.800000 USD UST N N N N/A N/A 000000000 -551450490.000000 PA USD -551531369.410000 -4.6010781 Short RA US N 2 Reverse repurchase N 0.3300000 2022-04-06 243466000.000000 USD 308532079.120000 USD UST N N N N/A N/A 000000000 -18687150.000000 PA USD -18687482.220000 -0.1558979 Short RA US N 2 Reverse repurchase N 0.3200000 2022-04-05 19020000.000000 USD 18641828.950000 USD UST N N N N/A N/A 000000000 -248520987.500000 PA USD -248567032.930000 -2.0736378 Short RA US N 2 Reverse repurchase N 0.2300000 2022-04-06 163790000.000000 USD 183133947.520000 USD UST N N N N/A N/A 000000000 -52.000000 NC 204623.330000 0.0017070 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Short N/A AUSTRALIA GOVT 2022-06-15 -4931775.640000 AUD 204623.330000 N N N N/A N/A 000000000 -190.000000 NC 256716.290000 0.0021416 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Short N/A AUSTRALIA GOVT 2022-06-15 -15623579.540000 AUD 256716.290000 N N N N/A N/A 000000000 1.000000 NC 10455.450000 0.0000872 N/A DFE PE N 2 Banco Santander, S.A. N/A 837837.000000 USD 3127980.660000 PEN 2022-05-02 10455.450000 N N N N/A N/A 000000000 1.000000 NC -5268.670000 -0.0000440 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 27754275.270000 USD 37069950.000000 AUD 2022-05-03 -5268.670000 N N N ARMADA EURO CLO III DAC 3A N/A ACI1WGZB0 3100000.000000 PA 3401013.190000 0.0283725 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 0.72 N N N N N N N/A N/A 000000000 1.000000 NC 6408.060000 0.0000535 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 37069950.000000 AUD 27745860.390000 USD 2022-04-04 6408.060000 N N N N/A N/A 000000000 1.000000 NC 5413065.050000 0.0451578 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 586201167.550000 DKK 92592192.000000 USD 2022-04-01 5413065.050000 N N N N/A N/A 000000000 1.000000 NC 41699.730000 0.0003479 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 11125000.000000 DKK 1696196.240000 USD 2022-04-01 41699.730000 N N N N/A N/A 000000000 1.000000 NC -489345.240000 -0.0040823 N/A DFE PE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 32683116.000000 PEN 8296049.350000 USD 2022-08-03 -489345.240000 N N N N/A N/A 000000000 1.000000 NC 1758.350000 0.0000147 N/A DFE SE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 5555000.000000 SEK 593114.360000 USD 2022-05-18 1758.350000 N N N N/A N/A 000000000 1.000000 NC 30085.560000 0.0002510 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BARCLAYS BANK PLC BARCLAYS BANK PLC GOV GTD Y Single Leg Swap 2022-12-21 32555.670000 EUR 0.000000 EUR 4900000.000000 EUR -2470.110000 N N N N/A N/A 000000000 1.000000 NC -1268.650000 -0.0000106 N/A DFE CN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 482594.070000 USD 3067223.120000 CNY 2022-05-20 -1268.650000 N N N N/A N/A 000000000 1.000000 NC -27016.770000 -0.0002254 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2404722.560000 USD 1810000.000000 GBP 2022-04-04 -27016.770000 N N N N/A N/A 000000000 1.000000 NC -106848.010000 -0.0008914 N/A DFE CA N 2 BNP Paribas S.A. N/A 62017479.120000 USD 77398000.000000 CAD 2022-04-04 -106848.010000 N N N N/A N/A 000000000 1.000000 NC -346909.670000 -0.0028940 N/A DFE DK N 2 BNP Paribas S.A. N/A 30919030.850000 USD 205570000.000000 DKK 2022-04-01 -346909.670000 N N N N/A N/A 000000000 1.000000 NC -79574.770000 -0.0006638 N/A DFE DK N 2 BNP Paribas S.A. N/A 13613891.020000 USD 90695000.000000 DKK 2022-07-01 -79574.770000 N N N N/A N/A 000000000 1.000000 NC 58892.650000 0.0004913 N/A DFE N/A N 2 BNP Paribas S.A. N/A 4029806.460000 USD 3696000.000000 EUR 2022-04-04 58892.650000 N N N N/A N/A 000000000 1.000000 NC 28503.850000 0.0002378 N/A DFE N/A N 2 BNP Paribas S.A. N/A 5418669.960000 USD 4924000.000000 EUR 2022-04-04 28503.850000 N N N N/A N/A 000000000 1.000000 NC -119794.230000 -0.0009994 N/A DFE GB N 2 BNP Paribas S.A. N/A 5944516.590000 USD 4434000.000000 GBP 2022-04-04 -119794.230000 N N N N/A N/A 000000000 1.000000 NC -13153.960000 -0.0001097 N/A DFE GB N 2 BNP Paribas S.A. N/A 1935023.340000 USD 1463000.000000 GBP 2022-04-04 -13153.960000 N N N N/A N/A 000000000 1.000000 NC -17502.450000 -0.0001460 N/A DFE GB N 2 BNP Paribas S.A. N/A 2936431.880000 USD 2222000.000000 GBP 2022-04-04 -17502.450000 N N N N/A N/A 000000000 1.000000 NC 264.420000 0.0000022 N/A DFE IN N 2 BNP Paribas S.A. N/A 29835.510000 USD 2300485.000000 INR 2022-05-20 264.420000 N N N N/A N/A 000000000 1.000000 NC -939613.500000 -0.0078386 N/A DFE JP N 2 BNP Paribas S.A. N/A 16366753.310000 USD 1878100000.000000 JPY 2022-04-04 -939613.500000 N N N N/A N/A 000000000 1.000000 NC -425875.050000 -0.0035528 N/A DFE JP N 2 BNP Paribas S.A. N/A 20341268.510000 USD 2424500000.000000 JPY 2022-04-04 -425875.050000 N N N N/A N/A 000000000 1.000000 NC -18312.250000 -0.0001528 N/A DFE JP N 2 BNP Paribas S.A. N/A 2251760.580000 USD 271900000.000000 JPY 2022-04-04 -18312.250000 N N N N/A N/A 000000000 1.000000 NC -101121.790000 -0.0008436 N/A DFE JP N 2 BNP Paribas S.A. N/A 16012079.570000 USD 1937000000.000000 JPY 2022-04-04 -101121.790000 N N N N/A N/A 000000000 1.000000 NC 16216.920000 0.0001353 N/A DFE MX N 2 BNP Paribas S.A. N/A 390334.720000 USD 8129000.000000 MXN 2022-05-04 16216.920000 N N N N/A N/A 000000000 1.000000 NC -1305.090000 -0.0000109 N/A DFE TW N 2 BNP Paribas S.A. N/A 67808.000000 USD 1901404.000000 TWD 2022-05-20 -1305.090000 N N N N/A N/A 000000000 1.000000 NC -31997.410000 -0.0002669 N/A DFE AU N 2 BNP Paribas S.A. N/A 86021000.000000 AUD 64359707.910000 USD 2022-05-03 -31997.410000 N N N N/A N/A 000000000 1.000000 NC -4307.340000 -0.0000359 N/A DFE CA N 2 BNP Paribas S.A. N/A 392000.000000 CAD 309253.310000 USD 2022-04-04 -4307.340000 N N N ASSET BACKED FUNDING CERTS 2004-OPT5 N/A 04542BJY9 2465000.360000 PA USD 2415333.810000 0.0201496 Long ABS-MBS CORP US N 2 2034-06-25 Floating 1.15657 N N N N N N N/A N/A 000000000 1.000000 NC 40259.190000 0.0003359 N/A DFE DK N 2 BNP Paribas S.A. N/A 5120000.000000 DKK 801699.380000 USD 2022-04-01 40259.190000 N N N N/A N/A 000000000 1.000000 NC 251607.110000 0.0020990 N/A DFE DK N 2 BNP Paribas S.A. N/A 30710000.000000 DKK 4818761.080000 USD 2022-04-01 251607.110000 N N N N/A N/A 000000000 1.000000 NC 391766.070000 0.0032683 N/A DFE DK N 2 BNP Paribas S.A. N/A 69295000.000000 DKK 10697234.460000 USD 2022-04-01 391766.070000 N N N N/A N/A 000000000 1.000000 NC 289535.640000 0.0024154 N/A DFE DK N 2 BNP Paribas S.A. N/A 82145000.000000 DKK 12506040.450000 USD 2022-04-01 289535.640000 N N N N/A N/A 000000000 1.000000 NC 170609.520000 0.0014233 N/A DFE DK N 2 BNP Paribas S.A. N/A 42120000.000000 DKK 6434644.860000 USD 2022-04-01 170609.520000 N N N N/A N/A 000000000 1.000000 NC 540291.190000 0.0045073 N/A DFE DK N 2 BNP Paribas S.A. N/A 128425000.000000 DKK 19639501.490000 USD 2022-04-01 540291.190000 N N N N/A N/A 000000000 1.000000 NC 192486.520000 0.0016058 N/A DFE DK N 2 BNP Paribas S.A. N/A 50290000.000000 DKK 7671554.350000 USD 2022-04-01 192486.520000 N N N N/A N/A 000000000 1.000000 NC 180685.280000 0.0015073 N/A DFE DK N 2 BNP Paribas S.A. N/A 48975000.000000 DKK 7464187.900000 USD 2022-04-01 180685.280000 N N N N/A N/A 000000000 1.000000 NC 57152.990000 0.0004768 N/A DFE DK N 2 BNP Paribas S.A. N/A 18035000.000000 DKK 2739296.330000 USD 2022-04-01 57152.990000 N N N N/A N/A 000000000 1.000000 NC 118494.090000 0.0009885 N/A DFE DK N 2 BNP Paribas S.A. N/A 37330000.000000 DKK 5670166.430000 USD 2022-04-01 118494.090000 N N N N/A N/A 000000000 1.000000 NC 22336.770000 0.0001863 N/A DFE DK N 2 BNP Paribas S.A. N/A 63385000.000000 DKK 9448877.120000 USD 2022-04-01 22336.770000 N N N N/A N/A 000000000 1.000000 NC 243752.730000 0.0020335 N/A DFE N/A N 2 BNP Paribas S.A. N/A 19128000.000000 EUR 21404098.100000 USD 2022-04-04 243752.730000 N N N N/A N/A 000000000 1.000000 NC 188979.970000 0.0015765 N/A DFE N/A N 2 BNP Paribas S.A. N/A 17342000.000000 EUR 19373563.270000 USD 2022-04-04 188979.970000 N N N N/A N/A 000000000 1.000000 NC -396981.590000 -0.0033118 N/A DFE N/A N 2 BNP Paribas S.A. N/A 18003000.000000 EUR 19518832.800000 USD 2022-04-04 -396981.590000 N N N N/A N/A 000000000 1.000000 NC 549683.280000 0.0045857 N/A DFE N/A N 2 BNP Paribas S.A. N/A 93264000.000000 EUR 103722960.710000 USD 2022-04-04 549683.280000 N N N N/A N/A 000000000 1.000000 NC 297450.960000 0.0024814 N/A DFE JP N 2 BNP Paribas S.A. N/A 12114895263.000000 JPY 99870514.000000 USD 2022-05-06 297450.960000 N N N N/A N/A 000000000 1.000000 NC -79184.420000 -0.0006606 N/A DFE MX N 2 BNP Paribas S.A. N/A 46885993.390000 MXN 2241482.850000 USD 2022-07-01 -79184.420000 N N N N/A N/A 000000000 1.000000 NC 964038.320000 0.0080424 N/A DFE NO N 2 BNP Paribas S.A. N/A 547200000.000000 NOK 63092332.310000 USD 2022-05-18 964038.320000 N N N N/A N/A 000000000 1.000000 NC -941549.000000 -0.0078547 N/A DFE NZ N 2 BNP Paribas S.A. N/A 58052000.000000 NZD 39291399.020000 USD 2022-04-04 -941549.000000 N N N N/A N/A 000000000 1.000000 NC -497.510000 -0.0000042 N/A DFE SG N 2 BNP Paribas S.A. N/A 107650.900000 SGD 78927.000000 USD 2022-06-15 -497.510000 N N N N/A N/A 000000000 1.000000 NC 1188.050000 0.0000099 N/A DFE TW N 2 BNP Paribas S.A. N/A 3026930.000000 TWD 107057.000000 USD 2022-05-20 1188.050000 N N N N/A N/A 000000000 1.000000 NC 1430.870000 0.0000119 N/A DFE TW N 2 BNP Paribas S.A. N/A 1883774.000000 TWD 67808.000000 USD 2022-09-21 1430.870000 N N N N/A N/A OP001C1X9 -14800000.000000 NC USD -2173.380000 -0.0000181 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 0.900000 USD 2022-04-20 XXXX 20174.620000 N N N N/A N/A OP001GM33 -16200000.000000 NC USD -11492.280000 -0.0000959 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 1.000000 USD 2022-06-15 XXXX 13293.720000 N N N N/A N/A OP001GTD4 -13600000.000000 NC USD -7275.730000 -0.0000607 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 1.100000 USD 2022-06-15 XXXX 20876.270000 N N N N/A N/A OP001BVW0 -14800000.000000 NC USD -2173.380000 -0.0000181 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2022-04-20 XXXX 25946.620000 N N N N/A N/A OP001GC83 -17100000.000000 NC USD -12130.740000 -0.0001012 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 1.000000 USD 2022-06-15 XXXX 20273.760000 N N N N/A N/A OP001CG47 -17500000.000000 NC USD -2569.880000 -0.0000214 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 2022-04-20 XXXX 19830.120000 N N N N/A N/A OP001HL99 -35100000.000000 NC USD -14488.230000 -0.0001209 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 35976.270000 N N N N/A N/A OP001KDW0 -16400000.000000 NC USD -12689.830000 -0.0001059 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 16994.170000 N N N N/A N/A OP001C6C0 -14500000.000000 NC USD -1769.150000 -0.0000148 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 0.950000 USD 2022-04-20 XXXX 16718.350000 N N N N/A N/A OP001C424 -16200000.000000 NC USD -2378.970000 -0.0000198 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 18681.030000 N N N N/A N/A OP001BVX8 -16500000.000000 NC USD -2423.030000 -0.0000202 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 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 25131.970000 N N N N/A N/A OP001GQ13 -17300000.000000 NC USD -9255.150000 -0.0000772 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 1.100000 USD 2022-06-15 XXXX 19289.850000 N N N N/A N/A OP001C6B2 -14300000.000000 NC USD -1744.740000 -0.0000146 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.950000 USD 2022-04-20 XXXX 16487.760000 N N N N/A N/A OP001KY31 -18100000.000000 NC USD -18617.480000 -0.0001553 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 8713.520000 N N N N/A N/A 000000000 1.000000 NC -134184.820000 -0.0011194 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5298444.720000 USD 34725000.000000 DKK 2022-04-01 -134184.820000 N N N N/A N/A 000000000 1.000000 NC -109417.650000 -0.0009128 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4215709.750000 USD 499900000.000000 JPY 2022-04-04 -109417.650000 N N N N/A N/A 000000000 1.000000 NC 3212.980000 0.0000268 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 263716.000000 USD 984003.510000 PEN 2022-04-29 3212.980000 N N N N/A N/A 000000000 1.000000 NC 2625.210000 0.0000219 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 232003.000000 USD 864930.380000 PEN 2022-04-29 2625.210000 N N N 2022-05-12 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer