NPORT-P false 0000810893 XXXXXXXX S000023716 C000069768 C000126843 C000126844 C000069770 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO RAE PLUS EMG Fund S000023716 E5LPIUVQZNA4IY7QBQ29 2022-03-31 2022-03-31 N 369675839.840000 168049531.170000 201626308.670000 0.000000 0.000000 13132884.410000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 CAD DKK EUR GBP USD N N/A N/A 000000000 1.000000 NC -260.070000 -0.0001290 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2430.000000 USD 190459.270000 RUB 2022-05-23 -260.070000 N N N N/A N/A 000000000 1.000000 NC 4224.700000 0.0020953 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 380203.230000 USD 12770000.000000 THB 2022-06-15 4224.700000 N N N N/A N/A 000000000 1.000000 NC 4258.730000 0.0021122 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 338516.270000 USD 5019000.000000 ZAR 2022-04-20 4258.730000 N N N N/A N/A 000000000 1.000000 NC -7222.020000 -0.0035819 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3597082.500000 BRL 748300.920000 USD 2022-04-04 -7222.020000 N N N N/A N/A 000000000 1.000000 NC 62566.890000 0.0310311 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14785000.000000 DKK 2261374.170000 USD 2022-04-01 62566.890000 N N N N/A N/A 000000000 1.000000 NC -48083.800000 -0.0238480 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3956160.000000 ILS 1196950.260000 USD 2022-08-01 -48083.800000 N N N N/A N/A 000000000 1.000000 NC -258194.400000 -0.1280559 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 32700000.000000 ILS 9989308.080000 USD 2022-04-06 -258194.400000 N N N N/A N/A 000000000 1.000000 NC 17405.170000 0.0086324 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3801330.000000 ILS 1213823.160000 USD 2022-08-03 17405.170000 N N N N/A N/A 000000000 1.000000 NC 794.190000 0.0003939 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 200100.000000 ILS 63962.410000 USD 2022-10-07 794.190000 N N N N/A N/A 000000000 1.000000 NC 3883.210000 0.0019259 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 900540.000000 ILS 288560.630000 USD 2022-11-02 3883.210000 N N N N/A N/A 000000000 1.000000 NC 1795.770000 0.0008906 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 400240.000000 ILS 128319.070000 USD 2022-11-02 1795.770000 N N N N/A N/A 000000000 1.000000 NC -453.250000 -0.0002248 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15855289.200000 INR 207000.000000 USD 2022-05-20 -453.250000 N N N N/A N/A 000000000 1.000000 NC -218491.680000 -0.1083647 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 53647000.000000 MXN 2472120.840000 USD 2022-04-18 -218491.680000 N N N N/A N/A 000000000 1.000000 NC -17654.180000 -0.0087559 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9094000.000000 MXN 433760.760000 USD 2022-06-15 -17654.180000 N N N N/A N/A 000000000 1.000000 NC -27364.750000 -0.0135720 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16094000.000000 MXN 771521.560000 USD 2022-06-15 -27364.750000 N N N N/A N/A 000000000 1.000000 NC 1781.570000 0.0008836 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3723113.000000 TWD 132000.000000 USD 2022-05-20 1781.570000 N N N N/A N/A 000000000 1.000000 NC 5646.940000 0.0028007 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 19566537.000000 TWD 690000.000000 USD 2022-05-20 5646.940000 N N N N/A N/A 000000000 1.000000 NC -12729.180000 -0.0063133 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5549000.120000 ZAR 360764.610000 USD 2022-08-16 -12729.180000 N N N N/A N/A 000000000 1.000000 NC 1552.250000 0.0007699 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2703000.000000 ZAR 184855.340000 USD 2022-06-15 1552.250000 N N N N/A N/A 000000000 1.000000 NC 25875.980000 0.0128336 N/A DFE MX N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 805176.250000 USD 16742000.000000 MXN 2022-06-15 25875.980000 N N N N/A N/A 000000000 1.000000 NC 171.600000 0.0000851 N/A DFE TH N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 181475.870000 USD 6034000.000000 THB 2022-06-15 171.600000 N N N N/A N/A 000000000 1.000000 NC 228.160000 0.0001132 N/A DFE TW N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 264000.000000 USD 7554624.000000 TWD 2022-05-20 228.160000 N N N N/A N/A 000000000 1.000000 NC -23872.720000 -0.0118401 N/A DFE MX N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 19587000.000000 MXN 948401.800000 USD 2022-06-15 -23872.720000 N N N N/A N/A 000000000 1.000000 NC 3700.040000 0.0018351 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 367170.000000 USD 2493767.240000 DKK 2022-04-01 3700.040000 N N N N/A N/A 000000000 1.000000 NC 176.630000 0.0000876 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 113145.000000 USD 761985.980000 DKK 2022-04-01 176.630000 N N N N/A N/A 000000000 1.000000 NC -2233.850000 -0.0011079 N/A DFE RU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 21708.000000 USD 1709287.920000 RUB 2022-05-23 -2233.850000 N N N N/A N/A 000000000 1.000000 NC -3189.400000 -0.0015818 N/A DFE RU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 25713.000000 USD 1976944.010000 RUB 2022-05-23 -3189.400000 N N N N/A N/A 000000000 1.000000 NC -728.630000 -0.0003614 N/A DFE RU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 6035.000000 USD 465751.130000 RUB 2022-05-23 -728.630000 N N N N/A N/A 000000000 1.000000 NC 38.960000 0.0000193 N/A DFE TR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1690.000000 USD 25734.980000 TRY 2022-04-22 38.960000 N N N N/A N/A 000000000 1.000000 NC -9742.770000 -0.0048321 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1169993.600000 BRL 236000.000000 USD 2022-04-04 -9742.770000 N N N N/A N/A 000000000 1.000000 NC -3574.970000 -0.0017731 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2484404.400000 DKK 367170.000000 USD 2022-07-01 -3574.970000 N N N N/A N/A 000000000 1.000000 NC -143.230000 -0.0000710 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 759157.350000 DKK 113145.000000 USD 2022-07-01 -143.230000 N N N N/A N/A 000000000 1.000000 NC USD -1080905.570000 -0.5360935 N/A DE US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2022-11-09 0.000000 USD 0.000000 USD 37025180.160000 USD -1080905.570000 N N N N/A N/A 000000000 1.000000 NC USD 9009.020000 0.0044682 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2022-06-22 0.000000 USD 0.000000 USD 103064.400000 USD 9009.020000 N N N N/A N/A 000000000 1.000000 NC USD -159123.870000 -0.0789202 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2023-01-11 0.000000 USD 0.000000 USD 11574505.110000 USD -159123.870000 N N N N/A N/A 000000000 1.000000 NC USD -758922.050000 -0.3764003 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2023-02-08 0.000000 USD 0.000000 USD 55203233.400000 USD -758922.050000 N N N N/A N/A 000000000 1.000000 NC USD -69056.510000 -0.0342498 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2022-04-07 0.000000 USD 0.000000 USD 5561968.680000 USD -69056.510000 N N N N/A N/A 000000000 1.000000 NC USD 508779.430000 0.2523378 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2023-02-15 0.000000 USD 0.000000 USD 14721399.070000 USD 508779.430000 N N N N/A N/A 000000000 1.000000 NC USD 4642774.890000 2.3026632 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2023-04-05 0.000000 USD 0.000000 USD 74342357.820000 USD 4642774.890000 N N N N/A N/A 000000000 1.000000 NC USD 3833.870000 0.0019015 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-21 4553.310000 USD 0.000000 USD 400000.000000 USD -719.440000 N N N N/A N/A 000000000 -25.000000 NC 140334.420000 0.0696012 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-06-08 -4387939.670000 EUR 140334.420000 N N N N/A N/A 000000000 -3.000000 NC 25949.430000 0.0128701 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-06-08 -617951.110000 EUR 25949.430000 N N N N/A N/A 000000000 1.000000 NC 22735.700000 0.0112762 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 316000.000000 USD 1612737.600000 BRL 2022-04-04 22735.700000 N N N N/A N/A 000000000 1.000000 NC 3261.860000 0.0016178 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 404433.360000 USD 368000.000000 EUR 2022-05-18 3261.860000 N N N N/A N/A 000000000 1.000000 NC 795.870000 0.0003947 N/A DFE IN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 303000.000000 USD 23218587.000000 INR 2022-05-20 795.870000 N N N N/A N/A 000000000 1.000000 NC 1337.670000 0.0006634 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 204000.000000 USD 249636136.000000 KRW 2022-05-20 1337.670000 N N N N/A N/A 000000000 1.000000 NC -1662.880000 -0.0008247 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 17225.000000 USD 1325670.450000 RUB 2022-04-21 -1662.880000 N N N N/A N/A 000000000 1.000000 NC -1682.500000 -0.0008345 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 17224.000000 USD 1323914.150000 RUB 2022-04-21 -1682.500000 N N N N/A N/A 000000000 1.000000 NC -2098.540000 -0.0010408 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 19876.000000 USD 1560365.380000 RUB 2022-05-23 -2098.540000 N N N N/A N/A 000000000 1.000000 NC -1454.180000 -0.0007212 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 12015.000000 USD 926945.240000 RUB 2022-05-23 -1454.180000 N N N N/A N/A 000000000 1.000000 NC -2278.390000 -0.0011300 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 18033.000000 USD 1382815.520000 RUB 2022-05-23 -2278.390000 N N N N/A N/A 000000000 1.000000 NC -1945.920000 -0.0009651 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 191000.000000 USD 5405300.000000 TWD 2022-05-20 -1945.920000 N N N N/A N/A 000000000 1.000000 NC 960.940000 0.0004766 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 263000.000000 EUR 292330.080000 USD 2022-05-18 960.940000 N N N N/A N/A 000000000 1.000000 NC -923.780000 -0.0004582 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 76244533.000000 KRW 61791.000000 USD 2022-05-20 -923.780000 N N N N/A N/A 000000000 1.000000 NC -524.250000 -0.0002600 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 658349825.000000 KRW 541000.000000 USD 2022-05-20 -524.250000 N N N N/A N/A 000000000 1.000000 NC 332.310000 0.0001648 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3723482.880000 THB 112424.000000 USD 2022-06-15 332.310000 N N N N/A N/A 000000000 1.000000 NC -0.750000 -0.0000004 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3947.750000 THB 118.090000 USD 2022-06-15 -0.750000 N N N N/A N/A 000000000 1.000000 NC 165.260000 0.0000820 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 415767.000000 TWD 14707.000000 USD 2022-05-20 165.260000 N N N N/A N/A 000000000 1.000000 NC 117187.780000 0.0581213 N/A DCR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 HOCHTIEF AG HOCHTIEF AG Y Single Leg Swap 2025-12-21 161968.440000 EUR 0.000000 EUR 700000.000000 EUR -44780.660000 N N N N/A N/A 000000000 1.000000 NC -61.590000 -0.0000305 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 20930.000000 USD 132982.940000 CNY 2022-05-20 -61.590000 N N N N/A N/A 000000000 1.000000 NC 242.210000 0.0001201 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 249269.280000 USD 1590000.000000 CNY 2022-05-20 242.210000 N N N N/A N/A 000000000 1.000000 NC -540.050000 -0.0002678 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 332893.400000 USD 253000.000000 GBP 2022-04-04 -540.050000 N N N N/A N/A 000000000 1.000000 NC 28.540000 0.0000142 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3850.000000 USD 55709500.000000 IDR 2022-05-20 28.540000 N N N N/A N/A 000000000 1.000000 NC 1245.760000 0.0006179 N/A DFE BR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2571311.730000 BRL 537000.000000 USD 2022-05-03 1245.760000 N N N N/A N/A 000000000 1.000000 NC -20947.390000 -0.0103892 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2577000.000000 CAD 2040393.940000 USD 2022-04-04 -20947.390000 N N N N/A N/A 000000000 1.000000 NC 2134.580000 0.0010587 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 119000.000000 GBP 158458.880000 USD 2022-04-04 2134.580000 N N N N/A N/A 000000000 1.000000 NC -93.870000 -0.0000466 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 105000.000000 GBP 137839.340000 USD 2022-04-04 -93.870000 N N N N/A N/A 000000000 1.000000 NC 717.460000 0.0003558 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 129000.000000 GBP 170178.260000 USD 2022-04-04 717.460000 N N N N/A N/A 000000000 1.000000 NC -243.830000 -0.0001209 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1443257.920000 INR 18640.000000 USD 2022-05-20 -243.830000 N N N N/A N/A 000000000 1.000000 NC -3031.730000 -0.0015036 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 42878673.000000 INR 558000.000000 USD 2022-05-20 -3031.730000 N N N N/A N/A 000000000 1.000000 NC 645.290000 0.0003200 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 11720632.000000 INR 154000.000000 USD 2022-05-20 645.290000 N N N N/A N/A 000000000 1.000000 NC -1930.350000 -0.0009574 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1742000.000000 MXN 85651.350000 USD 2022-04-04 -1930.350000 N N N N/A N/A 000000000 1.000000 NC -2981.650000 -0.0014788 N/A DFE ZA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 424000.000000 ZAR 25282.010000 USD 2022-11-08 -2981.650000 N N N N/A N/A OP001HY87 -100000.000000 NC -380.440000 -0.0001887 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 5.250000 EUR 2022-06-15 XXXX 694.480000 N N N N/A N/A OP001HD56 -600000.000000 NC -2282.620000 -0.0011321 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 5.250000 EUR 2022-06-15 XXXX 3195.810000 N N N N/A N/A OP001H2F6 -300000.000000 NC -1309.610000 -0.0006495 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 5.000000 EUR 2022-06-15 XXXX 1638.570000 N N N N/A N/A OP001GY55 -100000.000000 NC -380.440000 -0.0001887 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 5.250000 EUR 2022-06-15 XXXX 603.400000 N N N N/A N/A OP001GLR1 -400000.000000 NC -1237.220000 -0.0006136 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 1430.640000 N N N N/A N/A OP001FKP8 -400000.000000 NC -395.660000 -0.0001962 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 1473.750000 N N N N/A N/A OP001HSQ4 -400000.000000 NC -2634.470000 -0.0013066 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 5.250000 EUR 2022-07-20 XXXX 1523.470000 N N N N/A N/A OP001G4M1 -200000.000000 NC -618.600000 -0.0003068 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 818.850000 N N N N/A N/A OP001HF05 -500000.000000 NC -1671.220000 -0.0008289 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 5.500000 EUR 2022-06-15 XXXX 3298.800000 N N N N/A N/A OP001H8B9 -300000.000000 NC -1309.610000 -0.0006495 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 5.000000 EUR 2022-06-15 XXXX 1571.130000 N N N N/A N/A OP001DF87 -600000.000000 NC -2294.210000 -0.0011379 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 1261.180000 N N N N/A N/A OP001G6P2 -300000.000000 NC -191.490000 -0.0000950 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 293.530000 N N N N/A N/A OP001GLV2 -300000.000000 NC -426.910000 -0.0002117 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 81.790000 N N N N/A N/A OP001GQ21 -500000.000000 NC -272.520000 -0.0001352 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 527.620000 N N N N/A N/A OP001HVC1 -1600000.000000 NC -1235.790000 -0.0006129 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.200000 EUR 2022-06-15 XXXX 1482.330000 N N N N/A N/A OP001GT36 -1300000.000000 NC -1256.780000 -0.0006233 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 1305.410000 N N N N/A N/A OP001HL81 -1600000.000000 NC -1546.800000 -0.0007672 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 1.100000 EUR 2022-06-15 XXXX 1269.860000 N N N N/A N/A OP001HSL5 -1200000.000000 NC -926.850000 -0.0004597 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.200000 EUR 2022-06-15 XXXX 824.940000 N N N N/A N/A OP001FNJ9 -200000.000000 NC -151.610000 -0.0000752 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 169.860000 N N N N/A N/A OP001GQ39 -500000.000000 NC -319.160000 -0.0001583 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 438.110000 N N N N/A N/A 000000000 1.000000 NC 269487.700000 0.1336570 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 36 Y Single Leg Swap 2026-12-22 288053.580000 EUR 0.000000 EUR 15000000.000000 EUR -18565.880000 N N N N/A N/A 000000000 1.000000 NC 41731.520000 0.0206975 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 37 Y Single Leg Swap 2027-06-22 40727.810000 EUR 0.000000 EUR 2700000.000000 EUR 1003.710000 N N N N/A N/A 000000000 1.000000 NC 59531.160000 0.0295255 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1558017.660000 USD 32342888.610000 MXN 2022-05-04 59531.160000 N N N BANC OF AMERICA FUNDING CORP 2005-A N/A 05946XQX4 31367.830000 PA USD 32500.390000 0.0161191 Long ABS-MBS CORP US N 2 2035-02-20 Floating 3.09853 N N N N N N N/A N/A 000000000 1.000000 NC -67.320000 -0.0000334 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 20186.000000 USD 128205.320000 CNY 2022-05-20 -67.320000 N N N N/A N/A 000000000 1.000000 NC -3.370000 -0.0000017 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 12251.000000 USD 78047.450000 CNY 2022-05-20 -3.370000 N N N N/A N/A 000000000 1.000000 NC -33.190000 -0.0000165 N/A DFE TH N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 64130.000000 USD 2129180.130000 THB 2022-06-15 -33.190000 N N N N/A N/A 000000000 1.000000 NC -993.810000 -0.0004929 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 48223.000000 USD 1340358.000000 TWD 2022-09-21 -993.810000 N N N N/A N/A 000000000 1.000000 NC -174.270000 -0.0000864 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1374658.910000 INR 17812.000000 USD 2022-05-20 -174.270000 N N N N/A N/A 000000000 1.000000 NC -186.130000 -0.0000923 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1206711.270000 INR 15602.680000 USD 2022-05-20 -186.130000 N N N N/A N/A 000000000 1.000000 NC -58574.700000 -0.0290511 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 13751136.390000 RUB 102850.680000 USD 2022-04-21 -58574.700000 N N N N/A N/A 000000000 1.000000 NC -56881.520000 -0.0282114 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 13787128.400000 RUB 100197.150000 USD 2022-05-23 -56881.520000 N N N N/A N/A 000000000 1.000000 NC 896.100000 0.0004444 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1353137.000000 TWD 48223.000000 USD 2022-05-20 896.100000 N N N N/A N/A 000000000 1.000000 NC 23332.810000 0.0115723 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 640465.150000 USD 3160375.260000 BRL 2022-04-04 23332.810000 N N N N/A N/A 000000000 1.000000 NC 5436.010000 0.0026961 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1018170.000000 USD 6882829.200000 DKK 2022-04-01 5436.010000 N N N N/A N/A 000000000 1.000000 NC 4854.040000 0.0024074 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 598881.000000 USD 4059574.750000 DKK 2022-04-01 4854.040000 N N N N/A N/A 000000000 1.000000 NC -2240.400000 -0.0011112 N/A DFE RU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 19290.000000 USD 1496479.620000 RUB 2022-05-23 -2240.400000 N N N N/A N/A 000000000 1.000000 NC -321.050000 -0.0001592 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 19600.000000 USD 547134.000000 TWD 2022-09-21 -321.050000 N N N N/A N/A 000000000 1.000000 NC 137.530000 0.0000682 N/A DFE ZA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6205.530000 USD 93535.270000 ZAR 2022-06-15 137.530000 N N N N/A N/A 000000000 1.000000 NC -7225.700000 -0.0035837 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 375345.670000 BRL 71611.040000 USD 2022-04-04 -7225.700000 N N N N/A N/A 000000000 1.000000 NC -16565.480000 -0.0082159 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 947980.920000 BRL 182546.250000 USD 2022-04-04 -16565.480000 N N N N/A N/A 000000000 1.000000 NC -22951.800000 -0.0113833 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3160375.260000 BRL 635538.740000 USD 2022-05-03 -22951.800000 N N N N/A N/A 000000000 1.000000 NC -32215.470000 -0.0159778 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2353000.000000 CAD 1849948.350000 USD 2022-04-04 -32215.470000 N N N N/A N/A 000000000 1.000000 NC -469.200000 -0.0002327 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 87000.000000 CAD 69122.070000 USD 2022-04-04 -469.200000 N N N N/A N/A 000000000 1.000000 NC 2751.100000 0.0013645 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2298000.000000 CAD 1840920.440000 USD 2022-04-04 2751.100000 N N N N/A N/A 000000000 1.000000 NC -5125.820000 -0.0025422 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6857222.220000 DKK 1018170.000000 USD 2022-07-01 -5125.820000 N N N N/A N/A 000000000 1.000000 NC -4652.690000 -0.0023076 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4044348.200000 DKK 598881.000000 USD 2022-07-01 -4652.690000 N N N N/A N/A 000000000 1.000000 NC 219.270000 0.0001088 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 420000.000000 DKK 62895.410000 USD 2022-07-01 219.270000 N N N N/A N/A 000000000 1.000000 NC -47.740000 -0.0000237 N/A DFE TR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1977000.000000 TRY 132773.670000 USD 2022-04-22 -47.740000 N N N N/A N/A 000000000 1.000000 NC 157.970000 0.0000783 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 348014.000000 TWD 12330.000000 USD 2022-05-20 157.970000 N N N N/A N/A 000000000 1.000000 NC 288.800000 0.0001432 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 552132.000000 TWD 19600.000000 USD 2022-05-20 288.800000 N N N N/A N/A 000000000 1.000000 NC 262.060000 0.0001300 N/A DFE MX N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 3919000.000000 MXN 194796.390000 USD 2022-06-15 262.060000 N N N N/A N/A 000000000 1.000000 NC -1164.360000 -0.0005775 N/A DFE TH N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 4098000.000000 THB 122201.780000 USD 2022-06-15 -1164.360000 N N N N/A N/A 000000000 1.000000 NC -800.880000 -0.0003972 N/A DFE TH N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 2783000.000000 THB 82978.520000 USD 2022-06-15 -800.880000 N N N N/A N/A 000000000 1.000000 NC 33179.040000 0.0164557 N/A DFE CA N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 2050559.480000 USD 2605000.000000 CAD 2022-04-04 33179.040000 N N N N/A N/A 000000000 1.000000 NC -483.160000 -0.0002396 N/A DFE HK N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 284172.040000 USD 2220000.000000 HKD 2022-06-15 -483.160000 N N N N/A N/A 000000000 1.000000 NC -640.540000 -0.0003177 N/A DFE HK N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 605587.910000 USD 4734000.000000 HKD 2022-06-15 -640.540000 N N N N/A N/A 000000000 1.000000 NC 18904.020000 0.0093758 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 839288.970000 USD 17288765.370000 MXN 2022-06-15 18904.020000 N N N N/A N/A 000000000 1.000000 NC 128.420000 0.0000637 N/A DFE HK N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 1516000.000000 HKD 193854.700000 USD 2022-06-15 128.420000 N N N N/A N/A 000000000 1.000000 NC -39214.100000 -0.0194489 N/A DFE ZA N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 13967000.000000 ZAR 907953.580000 USD 2022-06-15 -39214.100000 N N N N/A N/A 000000000 1.000000 NC -375.940000 -0.0001865 N/A DFE HK N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 375433.090000 USD 2935000.000000 HKD 2022-06-15 -375.940000 N N N N/A N/A 000000000 1.000000 NC -3673.380000 -0.0018219 N/A DFE RU N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 29961.000000 USD 2307319.830000 RUB 2022-05-23 -3673.380000 N N N N/A N/A 000000000 1.000000 NC -10232.410000 -0.0050749 N/A DFE ZA N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 4438438.540000 ZAR 291892.030000 USD 2022-05-16 -10232.410000 N N N N/A N/A 000000000 1.000000 NC -44.440000 -0.0000220 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 20864.000000 USD 132671.670000 CNY 2022-05-20 -44.440000 N N N N/A N/A 000000000 1.000000 NC 1072.750000 0.0005320 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 176269.950000 USD 135000.000000 GBP 2022-04-04 1072.750000 N N N N/A N/A 000000000 1.000000 NC 22574.970000 0.0111964 N/A DFE ZA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 616450.070000 USD 9494000.000000 ZAR 2022-08-16 22574.970000 N N N N/A N/A 000000000 1.000000 NC 85.520000 0.0000424 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 281589.670000 CNY 44296.000000 USD 2022-05-20 85.520000 N N N N/A N/A 000000000 1.000000 NC 80.980000 0.0000402 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 415499.930000 CNY 65315.800000 USD 2022-05-20 80.980000 N N N N/A N/A 000000000 1.000000 NC -971.670000 -0.0004819 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1662206.000000 CNY 260000.000000 USD 2022-05-20 -971.670000 N N N N/A N/A 000000000 1.000000 NC -313.840000 -0.0001557 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1452888.600000 INR 18696.000000 USD 2022-05-20 -313.840000 N N N N/A N/A 000000000 1.000000 NC -63.060000 -0.0000313 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 567025.490000 INR 7356.000000 USD 2022-05-20 -63.060000 N N N N/A N/A 000000000 11200000.000000 NC USD 244631.520000 0.1213292 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.85000 03/20/24-2Y LCH N/A N/A 2026-03-20 0.000000 USD 0.000000 USD N/A USD N/A 0.020000 USD 2024-03-18 XXXX 137111.520000 N N N N/A N/A 000000000 -21700000.000000 NC USD -267090.110000 -0.1324679 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.80000 03/20/24-2Y LCH N/A N/A 2026-03-20 0.000000 USD 0.000000 USD N/A USD N/A 0.030000 USD 2024-03-18 XXXX -162945.340000 N N N N/A N/A 000000000 1.000000 NC -68064.120000 -0.0337576 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-09-15 27612.350000 GBP 0.000000 GBP 400000.000000 GBP -95676.470000 N N N N/A N/A 000000000 1.000000 NC -513875.720000 -0.2548654 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 308107.620000 GBP 0.000000 GBP 3400000.000000 GBP -821983.340000 N N N N/A N/A 000000000 1.000000 NC 144044.560000 0.0714414 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2031-11-15 32252.510000 GBP 0.000000 GBP 1500000.000000 GBP 111792.050000 N N N N/A N/A 000000000 1.000000 NC USD 153909.630000 0.0763341 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2051-12-07 0.000000 USD -20500.000000 USD 2000000.000000 USD 174409.630000 N N N N/A N/A 000000000 1.000000 NC -58981.050000 -0.0292527 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 369941.470000 CAD 0.000000 CAD 2400000.000000 CAD -428922.520000 N N N N/A N/A 000000000 1.000000 NC 30000.010000 0.0148790 N/A DIR CN N 2 London Clearing house N/A CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2026-03-17 0.000000 CNY -7979.300000 CNY 17100000.000000 CNY 37979.310000 N N N N/A N/A 000000000 1.000000 NC -30000.010000 -0.0148790 N/A DIR CN N 2 London Clearing house N/A CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2026-03-17 0.000000 CNY -29289.510000 CNY 17100000.000000 CNY -710.500000 N N N N/A N/A 000000000 1.000000 NC -448084.280000 -0.2222350 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2032-09-21 0.000000 EUR -371213.430000 EUR 4100000.000000 EUR -76870.850000 N N N N/A N/A 000000000 1.000000 NC 211848.510000 0.1050699 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2052-09-23 154326.310000 EUR 0.000000 EUR 1400000.000000 EUR 57522.200000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKN8 400000.000000 PA USD 403736.400000 0.2002399 Long DBT CORP US N 2 2026-04-02 Floating 1.61627 N N N N N N N/A N/A 000000000 1.000000 NC USD 1282618.990000 0.6361367 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-06-16 1127558.940000 USD 0.000000 USD 5750000.000000 USD 155060.050000 N N N N/A N/A 000000000 1.000000 NC USD -37085.610000 -0.0183932 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-15 0.000000 USD -457474.440000 USD 9300000.000000 USD 420388.830000 N N N N/A N/A 000000000 1.000000 NC -327895.220000 -0.1626252 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 0.000000 GBP -291023.370000 GBP 3000000.000000 GBP -36871.850000 N N N BANK OF AMERICA MTG SEC 2005-3 N/A 05949A6C9 19764.420000 PA USD 18353.490000 0.0091027 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.49572 Y N N N N N N/A N/A 000000000 1.000000 NC 432358.080000 0.2144353 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2052-09-23 424408.770000 GBP 0.000000 GBP 2000000.000000 GBP 7949.310000 N N N N/A N/A 000000000 1.000000 NC USD -317716.400000 -0.1575769 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-06-15 0.000000 USD -171784.530000 USD 4000000.000000 USD -145931.870000 N N N N/A N/A 000000000 1.000000 NC USD -250208.100000 -0.1240950 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -110034.780000 USD 3000000.000000 USD -140173.320000 N N N N/A N/A 000000000 1.000000 NC USD -32968.830000 -0.0163515 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-12-15 3721.480000 USD 0.000000 USD 600000.000000 USD -36690.310000 N N N N/A N/A 000000000 1.000000 NC USD -26131.370000 -0.0129603 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-12-15 10385.530000 USD 0.000000 USD 500000.000000 USD -36516.900000 N N N N/A N/A 000000000 1.000000 NC 16522.940000 0.0081948 N/A DFE BR N 2 UBS AG BFM8T61CT2L1QCEMIK50 739000.000000 USD 3597082.500000 BRL 2022-04-04 16522.940000 N N N N/A N/A 000000000 1.000000 NC -21772.690000 -0.0107985 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 1217695.900000 USD 3799757.940000 ILS 2022-08-03 -21772.690000 N N N N/A N/A 000000000 1.000000 NC -1071.770000 -0.0005316 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 64205.350000 USD 199990.290000 ILS 2022-10-07 -1071.770000 N N N N/A N/A 000000000 1.000000 NC -6721.860000 -0.0033338 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 417639.920000 USD 1299885.860000 ILS 2022-11-02 -6721.860000 N N N N/A N/A 000000000 1.000000 NC -272.450000 -0.0001351 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 2486.000000 USD 194288.360000 RUB 2022-05-23 -272.450000 N N N N/A N/A 000000000 1.000000 NC -2245.030000 -0.0011135 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 20206.000000 USD 1576472.120000 RUB 2022-05-23 -2245.030000 N N N N/A N/A 000000000 1.000000 NC -14189.250000 -0.0070374 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 144511.000000 USD 11101551.790000 RUB 2022-04-21 -14189.250000 N N N N/A N/A 000000000 1.000000 NC -1121.300000 -0.0005561 N/A DFE TW N 2 UBS AG BFM8T61CT2L1QCEMIK50 401000.000000 USD 11433048.000000 TWD 2022-05-20 -1121.300000 N N N N/A N/A 000000000 1.000000 NC 3381.980000 0.0016774 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 83427.000000 USD 1302273.110000 ZAR 2022-11-08 3381.980000 N N N N/A N/A 000000000 1.000000 NC 4276.580000 0.0021210 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 83388.000000 USD 1315108.480000 ZAR 2022-11-08 4276.580000 N N N N/A N/A 000000000 1.000000 NC 66161.780000 0.0328141 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 1160605.840000 USD 18090000.000000 ZAR 2022-06-15 66161.780000 N N N N/A N/A 000000000 1.000000 NC -11903.240000 -0.0059036 N/A DFE BR N 2 UBS AG BFM8T61CT2L1QCEMIK50 1085058.720000 BRL 216000.000000 USD 2022-04-04 -11903.240000 N N N N/A N/A 000000000 1.000000 NC 603.600000 0.0002994 N/A DFE HK N 2 UBS AG BFM8T61CT2L1QCEMIK50 7905000.000000 HKD 1010766.030000 USD 2022-06-15 603.600000 N N N N/A N/A 000000000 1.000000 NC 331.260000 0.0001643 N/A DFE KR N 2 UBS AG BFM8T61CT2L1QCEMIK50 169800134.000000 KRW 140000.000000 USD 2022-05-20 331.260000 N N N N/A N/A 000000000 1.000000 NC -2215.590000 -0.0010989 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 2189000.000000 ZAR 144108.020000 USD 2022-10-14 -2215.590000 N N N N/A N/A 000000000 -16.000000 NC 29067.180000 0.0144164 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2022-06-28 -2548059.870000 GBP 29067.180000 N N N N/A N/A 000000000 158.000000 NC USD -577523.980000 -0.2864328 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-06-21 19393265.700000 USD -577523.980000 N N N N/A N/A 000000000 83.000000 NC USD -249431.270000 -0.1237097 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-06-30 17578816.340000 USD -249431.270000 N N N N/A N/A 000000000 -73.000000 NC USD 223749.820000 0.1109725 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-06-30 -8362207.010000 USD 223749.820000 N N N N/A N/A 000000000 -76.000000 NC USD 340109.270000 0.1686830 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-06-21 -11410687.500000 USD 340109.270000 N N N N/A N/A 000000000 56.000000 NC USD -389403.730000 -0.1931314 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-06-21 9911125.000000 USD -389403.730000 N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AE5 1331713.090000 PA USD 1272160.750000 0.6309498 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.77657 Y N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -2200000.000000 PA -1882194.600000 -0.9335065 Short DBT NUSS CA N 2 2048-12-01 Fixed 2.75 N N N N N N CHL MORTGAGE PASS-THROUGH TRUST 2006-12 N/A 125432AE4 933226.270000 PA USD 633387.860000 0.3141395 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 N N N N N N CHL MORTGAGE PASS-THROUGH TRUST 2007-19 N/A 12544PAA0 1289220.750000 PA USD 742259.690000 0.3681363 Long ABS-MBS CORP US N 2 2037-12-25 Fixed 6.5 N N N N N N CITIGROUP MORTGAGE LOAN TR 2006-WF2 N/A 17309BAL1 1145217.380000 PA USD 748733.620000 0.3713472 Long ABS-MBS CORP US N 2 2036-05-25 Variable 7.25 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR1 N/A 17307G3C0 114878.470000 PA USD 111768.870000 0.0554337 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.49 Y N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486D22 80000.000000 PA USD 88006.990000 0.0436486 Long DBT MUN US N 2 2042-01-01 Fixed 7.75 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA3 N/A 12668BB44 263107.280000 PA USD 239469.720000 0.1187691 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.85657 N N N N N N COUNTRYWIDE ASSET BACKED CERT 2007-QH2 N/A 12668JAA4 895164.270000 PA USD 806232.030000 0.3998645 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.93657 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-5 N/A 126670YH5 21491.590000 PA USD 21442.510000 0.0106348 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.03657 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670LE6 8257.710000 PA USD 8203.670000 0.0040687 Long ABS-MBS CORP US N 2 2036-02-20 Floating 1.99063 Y N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-6 N/A 12639PAA6 846089.460000 PA USD 677345.380000 0.3359410 Long ABS-MBS CORP US N 2 2037-10-25 Variable 6.4205 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAH7 1300000.000000 PA USD 1245608.570000 0.6177808 Long DBT CORP US N 2 2024-02-15 Fixed 1.625 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-AR1 N/A 25151RAF1 74498.900000 PA USD 93516.230000 0.0463810 Long ABS-MBS CORP US N 2 2047-01-25 Floating 0.77657 N N N N N N DISCOVERY COMMUNICATIONS (MAGALLANES INC) 549300DXR29GD4N0A520 55903VAJ2 100000.000000 PA USD 100611.590000 0.0499000 Long DBT CORP US N 2 2029-03-15 Fixed 4.054 N N N N N N DISCOVERY COMMUNICATIONS (MAGALLANES INC) 549300DXR29GD4N0A520 55903VAL7 400000.000000 PA USD 402275.040000 0.1995152 Long DBT CORP US N 2 2032-03-15 Fixed 4.279 N N N N N N DSLA MORTGAGE LOAN TRUST 2004-AR1 N/A 23332UAC8 93909.490000 PA USD 91554.170000 0.0454078 Long ABS-MBS CORP US N 2 2044-09-19 Floating 1.26857 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBL9 200000.000000 PA USD 176951.840000 0.0877623 Long DBT CORP US N 2 2028-03-15 Fixed 1.55 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 14866.910000 PA USD 14880.250000 0.0073801 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.80657 N N N N N N FANNIE MAE 2007-65 N/A 31396WLX2 23643.740000 PA USD 23698.670000 0.0117538 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.83657 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 174895.880000 PA USD 177970.300000 0.0882674 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 1.17657 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 48442.130000 PA USD 48583.080000 0.0240956 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 0.85657 N N N N N N FANNIE MAE-ACES 2020-M33 N/A 3136BBAR3 2350880.710000 PA USD 293421.530000 0.1455274 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.25081 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR4 N/A 32051GTX3 275364.690000 PA USD 273916.630000 0.1358536 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.93705 Y N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 103019.820000 PA USD 1015569.430000 0.5036889 Long STIV RF US N 1 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 795734.710000 PA USD 7726584.040000 3.8321309 Long STIV RF US N 1 N N N FREDDIE MAC 3355 N/A 31397KC90 153016.470000 PA USD 155635.470000 0.0771901 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 1.09657 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 84698.290000 PA USD 86186.440000 0.0427456 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 1.11657 N N N N N N FREDDIE MAC 3368 N/A 31397KL82 93447.240000 PA USD 95104.990000 0.0471689 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 1.11657 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 24428.790000 PA USD 24851.760000 0.0123257 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 1.10657 N N N N N N FREDDIE MAC-3891 N/A 3137ADTZ0 125936.350000 PA USD 127277.400000 0.0631254 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 0.94657 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAA3 2269231.010000 PA USD 1443691.800000 0.7160235 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.59657 N N N N N N GNMA PASS THRU POOLS N/A 21H050649 10000000.000000 PA USD 10458593.700000 5.1871176 Long ABS-MBS USGSE US N 2 2052-04-21 Fixed 5 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZS6 200000.000000 PA USD 205099.510000 0.1017226 Long DBT CORP US N 2 2028-03-15 Floating 2.08082 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19 N/A 38380VEU1 659940.010000 PA USD 655611.130000 0.3251615 Long ABS-MBS USGSE US N 2 2047-08-20 Floating 0.58057 N N N N N N GSAA HOME EQUITY TRUST 2006-7 N/A 362334NB6 4973770.320000 PA USD 2521079.330000 1.2503722 Long ABS-MBS CORP US N 2 2046-03-25 Fixed 5.99494 Y N N N N N GSAA HOME EQUITY TRUST 2007-4 N/A 3622EBAB4 5082547.750000 PA USD 1879111.420000 0.9319773 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.85657 N N N N N N GSPA MONETIZATION TRUST N/A 36298GAA7 669240.820000 PA USD 679104.220000 0.3368133 Long DBT CORP US N 2 2029-10-09 Fixed 6.422 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RT8 26082.260000 PA USD 26224.300000 0.0130064 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.76557 N N N N N N GSRPM MORTGAGE LOAN TRUST 2006-1 N/A 362334NW0 3189000.000000 PA USD 3149790.290000 1.5621921 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.35657 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-9 N/A 41161PSK0 394185.640000 PA USD 385510.800000 0.1912006 Long ABS-MBS CORP US N 2 2035-06-20 Floating 1.12857 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A 41161PYZ0 1784835.850000 PA USD 1199699.370000 0.5950113 Long ABS-MBS CORP US N 2 2036-01-19 Floating 0.94857 Y N N N N N HOMEBANC MORTGAGE TRUST 2005-1 N/A 43739EAQ0 597361.100000 PA USD 530456.660000 0.2630890 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.07657 N N N N N N IMPAC CMB TR 2004-10 N/A 45254NLJ4 401395.200000 PA USD 391449.430000 0.1941460 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.09657 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR10 N/A 45660LKW8 112682.960000 PA USD 99677.680000 0.0494368 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.97657 N N N N N N IXIS REAL ESTATE CAPITAL TRUST 2006-HE1 N/A 45071KDD3 684528.110000 PA USD 421971.060000 0.2092837 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.85657 Y N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 10767.830000 PA USD 6686.980000 0.0033165 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 Y N N N N N JP MORGAN MORTGAGE TRUST-2005-A6 N/A 466247UG6 76063.790000 PA USD 70096.420000 0.0347655 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.10803 Y N N N N N LCRT 2019-2 N/A 52604MAA0 313138.510000 PA USD 312422.800000 0.1549514 Long ABS-O CORP US N 2 2025-08-15 Fixed 4 N N N N N N LCRT 2019-7 N/A 52605FAA4 407532.490000 PA USD 406614.160000 0.2016672 Long ABS-O CORP US N 2 2027-01-15 Fixed 3.75 N N N N N N LEHMAN MORTGAGE TRUST 2006-7 N/A 52520QAB0 1115385.780000 PA USD 612116.240000 0.3035895 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.10657 Y N N N N N LEHMAN XS TRUST 2006 GP4 N/A 525161AN5 1740836.290000 PA USD 1766909.140000 0.8763287 Long ABS-MBS CORP US N 2 2046-08-25 Floating 0.90657 N N N N N N LENDINGCLUB RECEIVABLES TRUST SERIES 2019-5 N/A 52605CAA1 236512.450000 PA USD 235983.990000 0.1170403 Long ABS-O CORP US N 2 2045-12-15 Fixed 3.75 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAR4 300000.000000 PA USD 298741.660000 0.1481660 Long DBT CORP GB N 2 2026-03-18 Floating 3.511 N N N N N N MASTR SPECIALIZED LOAN TRUST 2005-3 N/A 576436CP2 2426219.860000 PA USD 2392322.170000 1.1865129 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.20657 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 91731.850000 PA USD 81333.270000 0.0403386 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.89787 Y N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A 617526AB4 1477358.220000 PA USD 1031296.790000 0.5114892 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.53657 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAC0 3362869.070000 PA USD 1732536.690000 0.8592811 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.63657 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-3AR N/A 61745M4P5 255789.350000 PA USD 242922.710000 0.1204817 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.50028 Y N N N N N MORGAN STANLEY MTGE LN TR 2006-7 N/A 61749JAT3 3129775.760000 PA USD 1230835.020000 0.6104536 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.315 Y N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 16100000.000000 PA 2160520.710000 1.0715470 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-5 N/A 68403HAA0 1629898.170000 PA USD 1188551.250000 0.5894822 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.67657 N N N N N N PRIME MORTGAGE TRUST 2006-1 N/A 74161BAH8 146378.100000 PA USD 140872.220000 0.0698680 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 Y N N N N N PUBLIC POWER GENERATION AGENCY N/A 744434CW9 70000.000000 PA USD 90683.450000 0.0449760 Long DBT MUN US N 2 2041-01-01 Fixed 7.242 N N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QA13 N/A 761118PE2 1491602.330000 PA USD 1376481.660000 0.6826895 Long ABS-MBS CORP US N 2 2035-12-25 Variable 3.97398 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QS10 N/A 761118CX4 1852718.670000 PA USD 1342989.450000 0.6660785 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.95657 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA8 N/A 74922QAB8 1250353.700000 PA USD 1252474.550000 0.6211861 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.81657 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QA10 N/A 761118GE2 42687.240000 PA USD 35290.850000 0.0175031 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.39737 Y N N N N N RESIDENTIAL ASSET SEC TRUST 2007-A1 N/A 761136AA8 2839729.620000 PA USD 1401671.230000 0.6951827 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N RESIMAC BASTILLE TRUST SERIES 2018-1NC N/A 76118VAA8 301674.410000 PA USD 301673.990000 0.1496204 Long ABS-MBS CORP AU N 2 2059-12-05 Floating 1.28757 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 1082872.480000 PA USD 570480.180000 0.2829394 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.93657 N N N N N N SEQUOIA MORTGAGE TRUST 2004-6 N/A 81744FCH8 506501.440000 PA USD 470315.860000 0.2332612 Long ABS-MBS CORP US N 2 2034-07-20 Floating 1.00857 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2007-3 N/A 026935AH9 466316.410000 PA USD 437971.180000 0.2172193 Long ABS-MBS CORP US N 2 2046-11-25 Variable 6.75 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20L N/A 83162CSE4 6439.510000 PA USD 6757.990000 0.0033517 Long ABS-O CORP US N 2 2028-12-01 Fixed 6.22 N N N N N N SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3 N/A 84751XAC6 1105166.300000 PA USD 870478.490000 0.4317286 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.75657 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-11 N/A 86364YAA2 1720362.510000 PA USD 1657665.270000 0.8221473 Long ABS-MBS CORP US N 2 2037-12-25 Floating 2.75657 Y N N N N N TAURUS 2021-1 UK DAC 21-UK1A N/A ACI1W1MF8 595625.280000 PA 776496.350000 0.3851166 Long ABS-MBS CORP IE N 2 2031-05-17 Floating 1.36881 N N N N N N TEXAS PUBLIC FINANCE AUTHORITY N/A 8827562Q1 725000.000000 PA USD 731750.480000 0.3629241 Long DBT MUN US N 2 2024-07-01 Fixed 8.25 N N N N N N THEOREM FUNDING TRUST 2022-1A N/A 88339XAA2 474184.590000 PA USD 468613.820000 0.2324170 Long ABS-O CORP US N 2 2028-02-15 Fixed 1.85 N N N N N N UMBS PASS THRU POOLS N/A 01F020448 -2400000.000000 PA USD -2331093.770000 -1.1561456 Short ABS-MBS USGSE US N 2 2037-04-18 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F030447 500000.000000 PA USD 503515.630000 0.2497271 Long ABS-MBS USGSE US N 2 2037-04-18 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F040446 2000000.000000 PA USD 2055234.380000 1.0193285 Long ABS-MBS USGSE US N 2 2037-04-18 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F020646 -5300000.000000 PA USD -4920511.730000 -2.4404116 Short ABS-MBS USGSE US N 2 2052-04-13 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F022659 -4200000.000000 PA USD -3999084.310000 -1.9834139 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 01F050643 2000000.000000 PA USD 2104765.620000 1.0438943 Long ABS-MBS USGSE US N 2 2052-04-13 Fixed 5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796U98 19000000.000000 PA USD 18994658.910000 9.4207244 Long DBT UST US N 2 2022-05-17 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796V97 10900000.000000 PA USD 10891149.850000 5.4016512 Long DBT UST US N 2 2022-06-14 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796X38 1500000.000000 PA USD 1496471.670000 0.7422006 Long DBT UST US N 2 2022-07-26 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796P37 17400000.000000 PA USD 17398678.640000 8.6291708 Long DBT UST US N 2 2022-04-28 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796T82 3000000.000000 PA USD 2999876.250000 1.4878397 Long DBT UST US N 2 2022-04-12 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796T90 2100000.000000 PA USD 2099859.550000 1.0414611 Long DBT UST US N 2 2022-04-19 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796U23 8100000.000000 PA USD 8099289.870000 4.0169807 Long DBT UST US N 2 2022-04-26 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796V30 5500000.000000 PA USD 5496952.070000 2.7263070 Long DBT UST US N 2 2022-05-31 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796R35 3200000.000000 PA USD 3197730.660000 1.5859690 Long DBT UST US N 2 2022-06-09 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796R50 18300000.000000 PA USD 18276838.970000 9.0647094 Long DBT UST US N 2 2022-06-30 None 0 N N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAP5 495108.610000 PA USD 490669.320000 0.2433558 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.16778 Y N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAE4 1026623.410000 PA USD 993507.000000 0.4927467 Long ABS-MBS CORP US N 2 2037-06-25 Floating 2.67289 Y N N N N N WASHING MUTUAL MTGE P/T 2006-7 N/A 93935HAH0 2375521.190000 PA USD 896134.960000 0.4444534 Long ABS-MBS CORP US N 2 2036-09-25 Variable 6.922 Y N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 2147083.310000 PA USD 2080852.230000 1.0320341 Long ABS-MBS CORP US N 2 2046-10-25 Floating 1.723 N N N N N N WASHINGTON MUTUAL 2006-AR15 N/A 93363QAC2 1565037.200000 PA USD 1515674.050000 0.7517243 Long ABS-MBS CORP US N 2 2046-11-25 Floating 1.723 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAJ2 109290.370000 PA USD 106293.920000 0.0527183 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.04137 Y N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AE0 189879.740000 PA USD 171099.740000 0.0848598 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.5471 Y N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1T4 1531000.000000 PA USD 466970.310000 0.2316019 Long DBT NUSS AR N 2 2030-07-09 Variable 0.5 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1M9 1103000.000000 PA USD 320531.800000 0.1589732 Long DBT NUSS AR N 2 2035-07-09 Variable 1.125 N N N N N N N/A N/A 000000000 715000.000000 PA USD 715000.000000 0.3546164 Long RA US N 2 Repurchase N 0.0100000 2022-04-01 731400.000000 USD 729380.600000 USD UST N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HS2 150000.000000 PA USD 50625.000000 0.0251083 Long DBT NUSS AR N 2 2030-07-09 Variable 0.5 N N N N N N N/A N/A 000000000 50900000.000000 PA USD 50900000.000000 25.2447215 Long RA US N 2 Repurchase N 0.2800000 2022-04-01 55034500.000000 USD 51459407.150000 USD UST N N N N/A N/A 000000000 1.000000 NC USD 13113.320000 0.0065038 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-26 0.000000 USD -327172.140000 USD 1308666.440000 USD 340285.460000 N N N N/A N/A 000000000 1.000000 NC 53961.110000 0.0267629 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1975384.240000 USD 2537000.000000 CAD 2022-04-04 53961.110000 N N N N/A N/A 000000000 1.000000 NC -772.180000 -0.0003830 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 139255.610000 USD 125000.000000 EUR 2022-05-18 -772.180000 N N N N/A N/A 000000000 1.000000 NC -153.030000 -0.0000759 N/A DFE HK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 102303.170000 USD 799373.240000 HKD 2022-06-15 -153.030000 N N N N/A N/A 000000000 1.000000 NC 12576.630000 0.0062376 N/A DFE IL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1232457.430000 USD 3956160.000000 ILS 2022-08-01 12576.630000 N N N N/A N/A 000000000 1.000000 NC 21552.770000 0.0106895 N/A DFE IL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 10225949.710000 USD 32700000.000000 ILS 2022-04-06 21552.770000 N N N N/A N/A 000000000 1.000000 NC 5526.230000 0.0027408 N/A DFE IN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 678000.000000 USD 52240713.600000 INR 2022-05-20 5526.230000 N N N N/A N/A 000000000 1.000000 NC 4059.300000 0.0020133 N/A DFE MX N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 119739.780000 USD 2494000.000000 MXN 2022-06-15 4059.300000 N N N N/A N/A 000000000 1.000000 NC 4460.850000 0.0022124 N/A DFE MX N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 282871.510000 USD 5729000.000000 MXN 2022-04-18 4460.850000 N N N N/A N/A 000000000 1.000000 NC 200.220000 0.0000993 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7834.770000 USD 34000.000000 PLN 2022-06-15 200.220000 N N N N/A N/A 000000000 1.000000 NC 22180.570000 0.0110008 N/A DFE ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 385150.220000 USD 5984000.000000 ZAR 2022-05-16 22180.570000 N N N N/A N/A 000000000 1.000000 NC 9873.140000 0.0048968 N/A DFE ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 147628.290000 USD 2340000.000000 ZAR 2022-08-16 9873.140000 N N N N/A N/A 000000000 1.000000 NC -51.370000 -0.0000255 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 285000.000000 EUR 315690.850000 USD 2022-05-18 -51.370000 N N N N/A N/A 000000000 1.000000 NC -1149.050000 -0.0005699 N/A DFE TH N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 10490000.000000 THB 314641.790000 USD 2022-06-15 -1149.050000 N N N N/A N/A 000000000 1.000000 NC -1983.300000 -0.0009837 N/A DFE ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1873000.000000 ZAR 125934.130000 USD 2022-04-20 -1983.300000 N N N N/A N/A 000000000 1.000000 NC 160.600000 0.0000797 N/A DFE HK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1478000.000000 HKD 189030.940000 USD 2022-06-15 160.600000 N N N N/A N/A 000000000 1.000000 NC -3271.420000 -0.0016225 N/A DFE CA N 2 BNP Paribas S.A. N/A 1866237.640000 USD 2329000.000000 CAD 2022-04-04 -3271.420000 N N N N/A N/A 000000000 1.000000 NC 311.450000 0.0001545 N/A DFE N/A N 2 BNP Paribas S.A. N/A 138171.980000 USD 125000.000000 EUR 2022-05-18 311.450000 N N N N/A N/A 000000000 1.000000 NC 55410.190000 0.0274816 N/A DFE MX N 2 BNP Paribas S.A. N/A 1568502.780000 USD 32809000.000000 MXN 2022-07-01 55410.190000 N N N N/A N/A 000000000 1.000000 NC 2568.760000 0.0012740 N/A DFE TR N 2 BNP Paribas S.A. N/A 111172.590000 USD 1693000.000000 TRY 2022-04-22 2568.760000 N N N N/A N/A 000000000 1.000000 NC -859.780000 -0.0004264 N/A DFE TW N 2 BNP Paribas S.A. N/A 40745.000000 USD 1131937.000000 TWD 2022-09-21 -859.780000 N N N N/A N/A 000000000 1.000000 NC 13312.070000 0.0066023 N/A DFE ZA N 2 BNP Paribas S.A. N/A 214640.000000 USD 3419644.480000 ZAR 2022-11-08 13312.070000 N N N N/A N/A 000000000 1.000000 NC 3984.940000 0.0019764 N/A DFE ZA N 2 BNP Paribas S.A. N/A 142338.670000 USD 2189000.000000 ZAR 2022-10-14 3984.940000 N N N N/A N/A 000000000 1.000000 NC -157124.930000 -0.0779288 N/A DFE BR N 2 BNP Paribas S.A. N/A 12893707.800000 BRL 2551039.820000 USD 2022-04-04 -157124.930000 N N N N/A N/A 000000000 1.000000 NC -13659.710000 -0.0067748 N/A DFE BR N 2 BNP Paribas S.A. N/A 979156.150000 BRL 192000.000000 USD 2022-04-04 -13659.710000 N N N N/A N/A 000000000 1.000000 NC -1933.910000 -0.0009592 N/A DFE CA N 2 BNP Paribas S.A. N/A 176000.000000 CAD 138848.420000 USD 2022-04-04 -1933.910000 N N N N/A N/A 000000000 1.000000 NC -3006.080000 -0.0014909 N/A DFE CA N 2 BNP Paribas S.A. N/A 141000.000000 CAD 109779.770000 USD 2022-04-04 -3006.080000 N N N N/A N/A 000000000 1.000000 NC -1818.750000 -0.0009020 N/A DFE CL N 2 BNP Paribas S.A. N/A 52437000.000000 CLP 64024.080000 USD 2022-06-15 -1818.750000 N N N N/A N/A 000000000 1.000000 NC 8018.320000 0.0039768 N/A DFE N/A N 2 BNP Paribas S.A. N/A 267000.000000 EUR 303818.930000 USD 2022-05-18 8018.320000 N N N N/A N/A 000000000 1.000000 NC 19101.160000 0.0094735 N/A DFE GB N 2 BNP Paribas S.A. N/A 707000.000000 GBP 947851.430000 USD 2022-04-04 19101.160000 N N N N/A N/A 000000000 1.000000 NC -5166.910000 -0.0025626 N/A DFE MX N 2 BNP Paribas S.A. N/A 2590000.000000 MXN 124365.470000 USD 2022-05-04 -5166.910000 N N N N/A N/A 000000000 1.000000 NC 249.260000 0.0001236 N/A DFE TW N 2 BNP Paribas S.A. N/A 635091.000000 TWD 22462.000000 USD 2022-05-20 249.260000 N N N N/A N/A 000000000 1.000000 NC 784.190000 0.0003889 N/A DFE TW N 2 BNP Paribas S.A. N/A 1142531.000000 TWD 40745.000000 USD 2022-05-20 784.190000 N N N N/A N/A 000000000 1.000000 NC -7426.950000 -0.0036835 N/A DFE ZA N 2 BNP Paribas S.A. N/A 1535010.370000 ZAR 95892.000000 USD 2022-08-16 -7426.950000 N N N N/A N/A 000000000 1.000000 NC -7450.340000 -0.0036951 N/A DFE ZA N 2 BNP Paribas S.A. N/A 1545561.460000 ZAR 97756.000000 USD 2022-05-16 -7450.340000 N N N N/A N/A 000000000 1.000000 NC -7411.650000 -0.0036759 N/A DFE ZA N 2 BNP Paribas S.A. N/A 1618636.140000 ZAR 101536.000000 USD 2022-08-16 -7411.650000 N N N N/A N/A 000000000 1.000000 NC -8034.240000 -0.0039847 N/A DFE ZA N 2 BNP Paribas S.A. N/A 1612137.420000 ZAR 100476.000000 USD 2022-08-16 -8034.240000 N N N N/A N/A 000000000 1.000000 NC -6525.850000 -0.0032366 N/A DFE ZA N 2 BNP Paribas S.A. N/A 1519215.950000 ZAR 95730.000000 USD 2022-08-16 -6525.850000 N N N N/A N/A 000000000 1.000000 NC -13009.030000 -0.0064520 N/A DFE ZA N 2 BNP Paribas S.A. N/A 5613026.070000 ZAR 361152.930000 USD 2022-11-08 -13009.030000 N N N N/A N/A 000000000 1.000000 NC -5832.410000 -0.0028927 N/A DFE ZA N 2 BNP Paribas S.A. N/A 2517535.270000 ZAR 164893.450000 USD 2022-06-15 -5832.410000 N N N N/A N/A 000000000 1.000000 NC -5659.450000 -0.0028069 N/A DFE ZA N 2 BNP Paribas S.A. N/A 1699000.000000 ZAR 109557.700000 USD 2022-06-15 -5659.450000 N N N N/A N/A 000000000 1.000000 NC USD -3644.240000 -0.0018074 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2026-12-22 0.000000 USD -1196.190000 USD 200000.000000 USD -2448.050000 N N N N/A N/A OP001FNS9 -100000.000000 NC USD -56.390000 -0.0000280 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX HY37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 100.000000 USD 2022-04-20 XXXX 528.610000 N N N N/A N/A OP001GM33 -400000.000000 NC USD -283.760000 -0.0001407 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 328.240000 N N N N/A N/A OP001GTD4 -300000.000000 NC USD -160.490000 -0.0000796 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 460.510000 N N N N/A N/A OP001G4Z2 -300000.000000 NC USD -89.180000 -0.0000442 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 1.050000 USD 2022-05-18 XXXX 384.820000 N N N N/A N/A OP001GC83 -2000000.000000 NC USD -1418.800000 -0.0007037 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 2371.200000 N N N N/A N/A OP001HL99 -3200000.000000 NC USD -1320.860000 -0.0006551 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 3231.140000 N N N N/A N/A OP001GQ13 -1000000.000000 NC USD -534.980000 -0.0002653 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 1115.020000 N N N N/A N/A 000000000 1.000000 NC USD 357375.030000 0.1772462 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.37 Y Single Leg Swap 2026-12-22 333697.640000 USD 0.000000 USD 20500000.000000 USD 23677.390000 N N N N/A N/A 000000000 1.000000 NC USD 341924.320000 0.1695832 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.38 Y Single Leg Swap 2027-06-22 299361.670000 USD 0.000000 USD 20900000.000000 USD 42562.650000 N N N N/A N/A 000000000 1.000000 NC 217895.080000 0.1080688 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2444990.210000 USD 12678130.000000 BRL 2022-04-04 217895.080000 N N N N/A N/A 000000000 1.000000 NC 7004.280000 0.0034739 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 742477.860000 USD 3597082.500000 BRL 2022-05-03 7004.280000 N N N N/A N/A 000000000 1.000000 NC 948.430000 0.0004704 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 446000.000000 USD 543370720.000000 KRW 2022-05-20 948.430000 N N N 2022-05-12 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer