NPORT-P false 0000810893 XXXXXXXX S000009694 C000085176 C000026586 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Moderate Duration Fund S000009694 B2JY4NU9RPQLDEI8V482 2023-03-31 2022-06-30 N 1909506154.540000 533628662.560000 1375877491.980000 0.000000 0.000000 77150586.150000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 33049576.080000 USD AUD BRL ARS EUR GBP ILS JPY PEN CAD ZAR N N/A N/A 000000000 1.000000 NC 41669.710000 0.0030286 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7934921.590000 USD 1079400000.000000 JPY 2022-08-16 41669.710000 N N N N/A N/A 000000000 1.000000 NC 111039.520000 0.0080705 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 12881000.000000 AUD 9005130.290000 USD 2022-08-16 111039.520000 N N N N/A N/A 000000000 1.000000 NC 12463.590000 0.0009059 N/A DFE BR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4771080.000000 BRL 914000.000000 USD 2022-08-11 12463.590000 N N N N/A N/A 000000000 1.000000 NC 7782.180000 0.0005656 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 514000.000000 CAD 407098.530000 USD 2022-07-05 7782.180000 N N N ATMOS ENERGY CORPORATION QVLWEGTD2S8GJMO8D383 049560AU9 2600000.000000 PA USD 2554770.690000 0.1856830 Long DBT CORP US N 2 2023-03-09 Fixed 0.625 N N N N N N N/A N/A 000000000 1.000000 NC -13105.440000 -0.0009525 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 20245556.890000 CNY 3016772.000000 USD 2023-05-10 -13105.440000 N N N N/A N/A 000000000 1.000000 NC -17439.670000 -0.0012675 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 40016921.100000 CNY 5959333.000000 USD 2022-08-10 -17439.670000 N N N N/A N/A 000000000 1.000000 NC -12180.490000 -0.0008853 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1455000.000000 GBP 1760338.300000 USD 2022-08-16 -12180.490000 N N N N/A N/A 000000000 1.000000 NC 67618.770000 0.0049146 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1353700000.000000 JPY 10071242.680000 USD 2022-08-16 67618.770000 N N N N/A N/A 000000000 1.000000 NC -6482.910000 -0.0004712 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 11570000.000000 NOK 1169173.580000 USD 2022-08-16 -6482.910000 N N N N/A N/A 000000000 -325.000000 NC -2400046.010000 -0.1744375 N/A DIR DE N 1 Eurex N/A Short N/A ITALY GOVT 2022-09-08 -41932671.310000 EUR -2400046.010000 N N N N/A N/A 000000000 1.000000 NC -102174.290000 -0.0074261 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE CROSSOVER SERIES 37 Y Single Leg Swap 2027-06-22 217500.980000 EUR 0.000000 EUR 3300000.000000 EUR -319675.270000 N N N N/A N/A 000000000 -43.000000 NC 195369.510000 0.0141996 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE N/A Short N/A JAPAN GOVT 2022-09-12 -47097803.660000 JPY 195369.510000 N N N N/A N/A 000000000 1.000000 NC USD 10256.770000 0.0007455 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 JP MORGAN CHASE & CO JPMORGAN CHASE & CO GLBL SR UNSEC Y Single Leg Swap 2022-12-21 29131.980000 USD 0.000000 USD 3900000.000000 USD -18875.210000 N N N N/A N/A 000000000 1.000000 NC -12788.490000 -0.0009295 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1111628.320000 USD 902000.000000 GBP 2022-08-16 -12788.490000 N N N N/A N/A 000000000 1.000000 NC -20459.350000 -0.0014870 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1031586.910000 USD 830000.000000 GBP 2022-08-16 -20459.350000 N N N N/A N/A 000000000 1.000000 NC -42011.240000 -0.0030534 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1252927.860000 USD 994000.000000 GBP 2022-08-16 -42011.240000 N N N N/A N/A 000000000 1.000000 NC -2118.820000 -0.0001540 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 743000.000000 EUR 778736.670000 USD 2022-08-16 -2118.820000 N N N N/A N/A 000000000 1.000000 NC 520428.300000 0.0378252 N/A DFE IL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 20102010.000000 ILS 6300582.980000 USD 2022-09-07 520428.300000 N N N N/A N/A 000000000 1.000000 NC 332741.920000 0.0241840 N/A DFE IL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 12500625.000000 ILS 3927185.760000 USD 2022-09-07 332741.920000 N N N N/A N/A 000000000 1.000000 NC 33527.910000 0.0024368 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 126675723.000000 JPY 969641.000000 USD 2022-08-16 33527.910000 N N N N/A N/A 000000000 1.000000 NC -13541.930000 -0.0009842 N/A DFE NO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 35635000.000000 NOK 3607419.100000 USD 2022-08-16 -13541.930000 N N N N/A N/A 000000000 1.000000 NC -40625.650000 -0.0029527 N/A DFE NO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 33630000.000000 NOK 3376602.340000 USD 2022-08-16 -40625.650000 N N N N/A N/A 000000000 1.000000 NC -11600.050000 -0.0008431 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 914000.000000 USD 4775650.000000 BRL 2022-08-11 -11600.050000 N N N AVALONBAY COMMUNITIES INC K9G90K85RBWD2LAGQX17 05348EBC2 2200000.000000 PA USD 2074054.440000 0.1507441 Long DBT CORP US N 2 2028-01-15 Fixed 3.2 N N N N N N N/A N/A 000000000 1.000000 NC -9983.180000 -0.0007256 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 13839660.330000 CNY 2057055.000000 USD 2022-08-10 -9983.180000 N N N N/A N/A 000000000 1.000000 NC -1371.420000 -0.0000997 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3752000.000000 CNY 559012.800000 USD 2022-08-10 -1371.420000 N N N AVALONBAY COMMUNITIES INC K9G90K85RBWD2LAGQX17 05348EAX7 100000.000000 PA USD 95791.180000 0.0069622 Long DBT CORP US N 2 2026-05-11 Fixed 2.95 N N N N N N N/A N/A 000000000 1.000000 NC USD 9324.290000 0.0006777 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 MORGAN STANLEY MORGAN STANLEY Y Single Leg Swap 2022-12-21 27972.270000 USD 0.000000 USD 4000000.000000 USD -18647.980000 N N N N/A N/A 000000000 1.000000 NC -104.730000 -0.0000076 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6755.940000 USD 35109.620000 BRL 2022-08-02 -104.730000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAD3 3300000.000000 PA USD 3139965.480000 0.2282155 Long DBT CORP US N 2 2025-08-01 Fixed 4.125 N N N N N N N/A N/A 000000000 1.000000 NC 2816.340000 0.0002047 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 16825640.000000 BRL 3211000.000000 USD 2022-07-12 2816.340000 N N N N/A N/A 000000000 1.000000 NC 78562.730000 0.0057100 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4956070.000000 BRL 1010000.000000 USD 2022-08-31 78562.730000 N N N N/A N/A 000000000 1.000000 NC 100.770000 0.0000073 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 35109.620000 BRL 6809.470000 USD 2022-07-05 100.770000 N N N N/A N/A 000000000 1.000000 NC -5994.460000 -0.0004357 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 809000.000000 EUR 844223.700000 USD 2022-08-16 -5994.460000 N N N AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD) 635400CPI3EOIFF6OC33 70014LAB6 336000.000000 PA USD 333496.730000 0.0242388 Long DBT CORP KY N 2 2024-02-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -277708.610000 -0.0201841 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ROLLS-ROYCE PLC ROLLS-ROYCE PLC Y Single Leg Swap 2025-06-21 0.000000 EUR -632181.810000 EUR 3500000.000000 EUR 354473.200000 N N N N/A N/A 000000000 1.000000 NC -264460.630000 -0.0192212 N/A DFE AU N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 9197908.840000 USD 12938000.000000 AUD 2022-08-16 -264460.630000 N N N N/A N/A 000000000 1.000000 NC 2202389.350000 0.1600716 N/A DFE JP N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 3595800000.000000 JPY 28725839.120000 USD 2022-07-19 2202389.350000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAR2 956000.000000 PA USD 780115.000000 0.0566995 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 -24916.210000 -0.0018109 N/A DFE NO N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 7167733.000000 USD 70294674.300000 NOK 2022-08-16 -24916.210000 N N N N/A N/A 000000000 1.000000 NC -21196.020000 -0.0015405 N/A DFE NO N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 27950000.000000 NOK 2818873.040000 USD 2022-08-16 -21196.020000 N N N N/A N/A 000000000 1.000000 NC USD -59725.340000 -0.0043409 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SOUTH AFRICA GOVT REPUBLIC OF SOUTH AFRICA SR UNSECURED Y Single Leg Swap 2024-06-21 0.000000 USD -113093.070000 USD 2700000.000000 USD 53367.730000 N N N N/A N/A 000000000 1.000000 NC USD -403155.170000 -0.0293017 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 SOUTH AFRICA GOVT REPUBLIC OF SOUTH AFRICA Y Single Leg Swap 2026-12-21 0.000000 USD -228979.910000 USD 5100000.000000 USD -174175.260000 N N N N/A N/A 000000000 1.000000 NC -6306.160000 -0.0004583 N/A DFE BR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1605500.000000 USD 8387132.000000 BRL 2022-07-12 -6306.160000 N N N N/A N/A 000000000 1.000000 NC -1690.950000 -0.0001229 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 124112.000000 USD 469825.980000 PEN 2022-07-27 -1690.950000 N N N N/A N/A 000000000 1.000000 NC 1028.150000 0.0000747 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 45797086.620000 CNY 6841104.000000 USD 2022-08-10 1028.150000 N N N N/A N/A 000000000 1.000000 NC -6446.970000 -0.0004686 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 25187930.620000 CNY 3755525.000000 USD 2022-08-10 -6446.970000 N N N N/A N/A 000000000 1.000000 NC 4361.540000 0.0003170 N/A DFE IL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 427564.820000 ILS 126824.910000 USD 2022-07-15 4361.540000 N N N N/A N/A 000000000 -7800000.000000 NC USD -35965.800000 -0.0026140 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 USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/3.19 10/25/23 LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.190000 USD 2023-10-23 XXXX 18244.200000 N N N N/A N/A 000000000 -7800000.000000 NC USD -66635.400000 -0.0048431 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 USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/3.19 10/25/23 LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.190000 USD 2023-10-23 XXXX -12425.400000 N N N N/A N/A 000000000 -3100000.000000 NC USD -14835.050000 -0.0010782 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 USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/3.14 10/25/23 LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.140000 USD 2023-10-23 XXXX 6942.450000 N N N N/A N/A 000000000 -3100000.000000 NC USD -25553.300000 -0.0018572 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 USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/3.14 10/25/23 LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.140000 USD 2023-10-23 XXXX -3775.800000 N N N N/A N/A 000000000 -11800000.000000 NC USD -61729.340000 -0.0044865 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 N/A OIS USD R SOFR/3.02 11/08/23 LCH 2024-11-08 0.000000 USD 0.000000 USD N/A USD N/A 3.020000 USD 2023-11-06 XXXX 14970.660000 N N N N/A N/A 000000000 -11800000.000000 NC USD -91110.160000 -0.0066220 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/3.02 11/08/23 LCH 2024-11-08 0.000000 USD 0.000000 USD N/A USD N/A 3.020000 USD 2023-11-06 XXXX -14410.160000 N N N N/A N/A 000000000 3900000.000000 NC USD 46758.270000 0.0033984 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 N/A OIS USD R SOFR/2.851 08/08/22 LCH 2032-08-08 0.000000 USD 0.000000 USD N/A USD N/A 2.850000 USD 2022-08-04 XXXX 5028.270000 N N N N/A N/A 000000000 -5600000.000000 NC USD -52600.800000 -0.0038231 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 USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/3.01 08/23/22 LCH 2032-08-23 0.000000 USD 0.000000 USD N/A USD N/A 3.010000 USD 2022-08-19 XXXX -3460.800000 N N N N/A N/A 000000000 -5600000.000000 NC USD -14380.240000 -0.0010452 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 USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.31 08/23/22 LCH 2032-08-23 0.000000 USD 0.000000 USD N/A USD N/A 2.310000 USD 2022-08-19 XXXX 34759.760000 N N N N/A N/A 000000000 -7300000.000000 NC USD -71253.110000 -0.0051787 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 USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.85 08/29/22 LCH 2027-08-29 0.000000 USD 0.000000 USD N/A USD N/A 2.850000 USD 2022-08-25 XXXX -33658.110000 N N N N/A N/A 000000000 -7300000.000000 NC USD -14975.950000 -0.0010885 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 USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.25 08/29/22 LCH 2027-08-29 0.000000 USD 0.000000 USD N/A USD N/A 2.250000 USD 2022-08-25 XXXX 22619.050000 N N N N/A N/A 000000000 -10600000.000000 NC USD -69108.820000 -0.0050229 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 USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.697 04/04/24 LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.700000 USD 2024-04-02 XXXX 14034.930000 N N N N/A N/A 000000000 -10600000.000000 NC USD -76415.400000 -0.0055539 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 USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.697 04/04/24 LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.700000 USD 2024-04-02 XXXX 6728.350000 N N N BANC OF AMERICA FUNDING CORP 2005-C N/A 05946XUB7 514014.650000 PA USD 509169.600000 0.0370069 Long ABS-MBS CORP US N 2 2035-05-20 Floating 1.85229 N N N N N N BANC OF AMERICA FUNDING CORP 2005-D N/A 06051GDM8 1097317.190000 PA USD 1076632.760000 0.0782506 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.96555 N N N N N N BANC OF AMERICA FUNDING CORP 2006-A N/A 058927AA2 59616.170000 PA USD 57739.200000 0.0041965 Long ABS-MBS CORP US N 2 2036-02-20 Floating 2.73626 N N N N N N N/A N/A 000000000 1.000000 NC 1742293.000000 0.1266314 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2032-06-15 2068436.840000 EUR 0.000000 EUR 12700000.000000 EUR -326143.840000 N N N N/A N/A 000000000 1.000000 NC -611630.740000 -0.0444539 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2027-05-18 0.000000 EUR -341353.490000 EUR 16800000.000000 EUR -270277.250000 N N N N/A N/A 000000000 1.000000 NC USD -2961750.440000 -0.2152627 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-11-06 0.000000 USD -2387443.850000 USD 129800000.000000 USD -574306.590000 N N N N/A N/A 000000000 1.000000 NC USD 85710.680000 0.0062295 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-08-22 0.000000 USD -551153.840000 USD 24700000.000000 USD 636864.520000 N N N N/A N/A 000000000 1.000000 NC -1866228.490000 -0.1356391 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2032-03-15 0.000000 GBP -401891.590000 GBP 11300000.000000 GBP -1464336.900000 N N N N/A N/A 000000000 1.000000 NC 1444375.620000 0.1049785 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2052-03-15 415328.980000 GBP 0.000000 GBP 4200000.000000 GBP 1029046.640000 N N N N/A N/A 000000000 1.000000 NC 45057.880000 0.0032748 N/A DIR JP N 2 London Clearing house N/A N/A BOJ Overnight Call Rate TONAR Y 2028-06-19 107167.300000 JPY 0.000000 JPY 2460000000.000000 JPY -62109.420000 N N N N/A N/A 000000000 1.000000 NC 3527.320000 0.0002564 N/A DIR JP N 2 London Clearing house N/A N/A BOJ Overnight Call Rate TONAR Y 2038-03-22 9157.860000 JPY 0.000000 JPY 85900000.000000 JPY -5630.540000 N N N N/A N/A 000000000 1.000000 NC 7165.250000 0.0005208 N/A DIR JP N 2 London Clearing house N/A N/A BOJ Overnight Call Rate TONAR Y 2038-12-20 3592.020000 JPY 0.000000 JPY 80500000.000000 JPY 3573.230000 N N N N/A N/A 000000000 1.000000 NC 8605.750000 0.0006255 N/A DIR JP N 2 London Clearing house N/A N/A BOJ Overnight Call Rate TONAR Y 2038-11-12 909.580000 JPY 0.000000 JPY 230000000.000000 JPY 7696.170000 N N N N/A N/A 000000000 1.000000 NC 2128.380000 0.0001547 N/A DIR JP N 2 London Clearing house N/A N/A BOJ Overnight Call Rate TONAR Y 2038-10-22 80.120000 JPY 0.000000 JPY 150000000.000000 JPY 2048.260000 N N N N/A N/A 000000000 1.000000 NC 1164409.500000 0.0846303 N/A DIR JP N 2 London Clearing house N/A N/A BOJ Overnight Call Rate TONAR Y 2042-03-17 658050.570000 JPY 0.000000 JPY 2329000000.000000 JPY 506358.930000 N N N N/A N/A 000000000 1.000000 NC 42126.220000 0.0030618 N/A DIR JP N 2 London Clearing house N/A N/A BOJ Overnight Call Rate TONAR Y 2042-04-21 0.000000 JPY 0.000000 JPY 148000000.000000 JPY 42126.220000 N N N N/A N/A 000000000 1.000000 NC 516127.760000 0.0375126 N/A DIR JP N 2 London Clearing house N/A N/A BOJ Overnight Call Rate TONAR Y 2052-06-17 13722.270000 JPY 0.000000 JPY 1080000000.000000 JPY 502405.490000 N N N N/A N/A 000000000 1.000000 NC USD -1979716.650000 -0.1438876 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2024-12-09 44571.790000 USD 0.000000 USD 154500000.000000 USD -2024288.440000 N N N N/A N/A 000000000 1.000000 NC USD -528319.880000 -0.0383988 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2027-05-03 0.000000 USD -41896.250000 USD 12100000.000000 USD -486423.630000 N N N N/A N/A 000000000 1.000000 NC 8581524.490000 0.6237128 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 4404106.570000 GBP 0.000000 GBP 22300000.000000 GBP 4177417.920000 N N N N/A N/A 000000000 1.000000 NC USD 4943295.500000 0.3592831 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-12-23 5367023.430000 USD 0.000000 USD 27500000.000000 USD -423727.930000 N N N N/A N/A 000000000 1.000000 NC USD 615085.760000 0.0447050 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-12-21 723095.180000 USD 0.000000 USD 8600000.000000 USD -108009.420000 N N N N/A N/A 000000000 1.000000 NC USD -733995.570000 -0.0533475 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2027-06-15 0.000000 USD -96140.000000 USD 25300000.000000 USD -637855.570000 N N N N/A N/A 000000000 1.000000 NC USD -375559.790000 -0.0272960 N/A DIR US N 2 London Clearing house N/A N/A USD-SOFR-COMPOUND Y 2024-06-17 0.000000 USD -45540.000000 USD 25300000.000000 USD -330019.790000 N N N N/A N/A 000000000 1.000000 NC USD 726094.440000 0.0527732 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-06-23 32293.280000 USD 0.000000 USD 144600000.000000 USD 693801.160000 N N N N/A N/A 000000000 1.000000 NC USD 1357030.740000 0.0986302 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2024-06-21 54340.410000 USD 0.000000 USD 268900000.000000 USD 1302690.330000 N N N N/A N/A 000000000 1.000000 NC -188691.510000 -0.0137143 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2025-01-02 0.000000 BRL 0.000000 BRL 120000000.000000 BRL -188691.510000 N N N N/A N/A 000000000 1.000000 NC -96492.770000 -0.0070132 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2025-01-02 0.000000 BRL 0.000000 BRL 64000000.000000 BRL -96492.770000 N N N N/A N/A 000000000 1.000000 NC -52757.560000 -0.0038345 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 48200000.000000 BRL -52757.560000 N N N N/A N/A 000000000 1.000000 NC -55818.430000 -0.0040569 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2025-01-02 0.000000 BRL 0.000000 BRL 56800000.000000 BRL -55818.430000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05971KAM1 3600000.000000 PA USD 3584389.720000 0.2605166 Long DBT CORP ES N 2 2024-05-24 Fixed 3.892 N N N N N N N/A N/A 000000000 1.000000 NC -5387.790000 -0.0003916 N/A DFE BR N 2 UBS AG BFM8T61CT2L1QCEMIK50 1605500.000000 USD 8391948.500000 BRL 2022-07-12 -5387.790000 N N N N/A N/A 000000000 1.000000 NC -9830.840000 -0.0007145 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 774446.560000 USD 12461000.000000 ZAR 2022-07-22 -9830.840000 N N N N/A N/A 000000000 1.000000 NC 445.050000 0.0000323 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 426000.000000 MXN 21379.000000 USD 2022-09-08 445.050000 N N N BANK 2019-BN19 N/A 06540WBB8 3000000.000000 PA USD 2861487.300000 0.2079754 Long ABS-MBS CORP US N 2 2061-08-15 Fixed 3.071 N N N N N N N/A N/A 000000000 1.000000 NC 53603.590000 0.0038960 N/A DFE NO N 2 UBS AG BFM8T61CT2L1QCEMIK50 26308583.350000 NOK 2725000.000000 USD 2022-07-15 53603.590000 N N N N/A N/A 000000000 1.000000 NC 1576.420000 0.0001146 N/A DFE NO N 2 UBS AG BFM8T61CT2L1QCEMIK50 2751664.120000 NOK 281000.000000 USD 2022-07-18 1576.420000 N N N N/A N/A 000000000 1.000000 NC 59920.400000 0.0043551 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 107637909.440000 ZAR 6588839.000000 USD 2022-11-14 59920.400000 N N N N/A N/A 000000000 -14100000.000000 NC USD -69064.620000 -0.0050197 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% AUG 30YR N/A 99.770000 USD 2022-08-04 XXXX -31611.490000 N N N N/A N/A 000000000 -7800000.000000 NC USD -37783.980000 -0.0027462 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% AUG 30YR N/A 99.750000 USD 2022-08-04 XXXX -1221.480000 N N N N/A N/A 000000000 -5700000.000000 NC USD -29979.720000 -0.0021790 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 4.0% AUG 30YR N/A 97.860000 USD 2022-08-04 XXXX 6535.910000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKJ7 3800000.000000 PA USD 3458874.910000 0.2513941 Long DBT CORP US N 2 2028-02-04 Floating 2.551 N N N N N N N/A N/A 000000000 -11200000.000000 NC USD -82887.840000 -0.0060244 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% AUG 30YR N/A 92.660000 USD 2022-08-04 XXXX 15112.160000 N N N N/A N/A 000000000 -8400000.000000 NC USD -78732.360000 -0.0057223 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% AUG 30YR N/A 93.100000 USD 2022-08-04 XXXX -13107.360000 N N N N/A N/A 000000000 -10600000.000000 NC USD -39041.920000 -0.0028376 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% AUG 30YR N/A 99.370000 USD 2022-08-04 XXXX 27208.080000 N N N N/A N/A 000000000 -5100000.000000 NC USD -36148.800000 -0.0026273 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 4.0% AUG 30YR N/A 98.340000 USD 2022-08-04 XXXX -11047.240000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHE2 4700000.000000 PA USD 4672427.260000 0.3395962 Long DBT CORP US N 2 2024-03-05 Floating 2.40071 N N N N N N N/A N/A 000000000 -10300000.000000 NC USD -46756.850000 -0.0033983 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written UMBS PASS THRU POOLS FNMA TBA 4.0% AUG 30YR N/A 97.630000 USD 2022-08-04 XXXX 11180.650000 N N N N/A N/A 000000000 -7100000.000000 NC USD -36442.170000 -0.0026486 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written UMBS PASS THRU POOLS FNMA TBA 4.0% AUG 30YR N/A 97.820000 USD 2022-08-04 XXXX 6823.460000 N N N N/A N/A 000000000 -5700000.000000 NC USD -35420.370000 -0.0025744 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written UMBS PASS THRU POOLS FNMA TBA 4.0% JUL 30YR N/A 99.140000 USD 2022-07-07 XXXX 3767.130000 N N N N/A N/A 000000000 -7100000.000000 NC USD -33690.920000 -0.0024487 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written UMBS PASS THRU POOLS FNMA TBA 4.0% AUG 30YR N/A 97.700000 USD 2022-08-04 XXXX 8465.330000 N N N N/A N/A 000000000 -11200000.000000 NC USD -93465.120000 -0.0067931 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% SEP 30YR N/A 99.660000 USD 2022-09-07 XXXX -51465.120000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKM0 3500000.000000 PA USD 3397180.680000 0.2469101 Long DBT CORP US N 2 2026-04-02 Floating 3.384 N N N N N N N/A N/A 000000000 -15770000.000000 NC USD -9935.100000 -0.0007221 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Call Written MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2022-07-08 N/A 5.550000 USD 2022-07-08 XXXX 211633.400000 N N N N/A N/A 000000000 -10800000.000000 NC USD -1123.200000 -0.0000816 N/A DFE US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2022-07-13 N/A 9.240000 USD 2022-07-13 XXXX 84736.800000 N N N N/A N/A 000000000 -1530000.000000 NC USD -8904.600000 -0.0006472 N/A DFE US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2022-08-12 N/A 5.720000 USD 2022-08-12 XXXX 16216.470000 N N N N/A N/A 000000000 -1100000.000000 NC USD -496.100000 -0.0000361 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2022-07-14 N/A 9.390000 USD 2022-07-14 XXXX 9209.200000 N N N N/A N/A 000000000 -4500000.000000 NC USD -34281.000000 -0.0024916 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Written HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2022-08-09 N/A 5.620000 USD 2022-08-09 XXXX 35505.000000 N N N N/A N/A 000000000 -5000000.000000 NC USD -65980.000000 -0.0047955 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Call Written MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2022-07-26 N/A 5.370000 USD 2022-07-26 XXXX 13620.000000 N N N N/A N/A 000000000 -4900000.000000 NC USD -165257.400000 -0.0120111 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Call Written MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2022-08-29 N/A 5.290000 USD 2022-08-29 XXXX -83084.400000 N N N N/A N/A 000000000 2811.000000 NC USD -1302808.330000 -0.0946893 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-09-21 332642321.720000 USD -1302808.330000 N N N N/A N/A 000000000 63.000000 NC USD -87880.720000 -0.0063872 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-09-21 8002476.590000 USD -87880.720000 N N N N/A N/A 000000000 2740.000000 NC USD -749105.500000 -0.0544457 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-09-30 307211797.560000 USD -749105.500000 N N N N/A N/A 000000000 -366.000000 NC USD 557058.220000 0.0404875 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-09-21 -50548031.250000 USD 557058.220000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GJC4 4300000.000000 PA USD 4203615.200000 0.3055225 Long DBT CORP US N 2 2024-05-19 Floating 1.486 N N N N N N N/A N/A 000000000 -126.000000 NC USD 350284.910000 0.0254590 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-09-21 -19299656.250000 USD 350284.910000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GJG5 3400000.000000 PA USD 3149178.570000 0.2288851 Long DBT CORP US N 2 2025-09-25 Floating 0.981 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ACI20HJH6 3300000.000000 PA 3412600.130000 0.2480308 Long DBT CORP US N 2 2026-09-22 Floating 0.822 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-A N/A 05948XT27 15576.110000 PA USD 15419.050000 0.0011207 Long ABS-MBS CORP US N 2 2034-02-25 Fixed 2.63101 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 805000.000000 PA USD 813083.880000 0.0590957 Long DBT CORP GB N 2 2022-11-21 Fixed 7.625 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI0RWT95 700000.000000 PA 840564.100000 0.0610929 Long DBT CORP GB N 2 2024-01-17 Fixed 3.125 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 4100000.000000 PA USD 4053324.080000 0.2945992 Long DBT CORP US N 2 2025-12-15 Fixed 4.25 N N N N N N BDS 2022-FL11 LLC N/A 054980AA5 3500000.000000 PA USD 3468918.250000 0.2521241 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 3.30684 N N N N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MB68 12306.080000 PA USD 11788.230000 0.0008568 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.81691 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-4 N/A 073882AA0 186334.700000 PA USD 171749.970000 0.0124829 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.0878 Y N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4E9 12163.200000 PA USD 11605.020000 0.0008435 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.96092 N N N N N N BEAR STEARNS ALT-A TRUST 2003-3 N/A 07386HCE9 3488.790000 PA USD 3385.640000 0.0002461 Long ABS-MBS CORP US N 2 2033-10-25 Floating 3.044 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSY8 444425.010000 PA USD 427670.050000 0.0310834 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.75158 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 191694.990000 PA USD 127300.850000 0.0092523 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.07415 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-8 N/A 07386HWZ0 956754.050000 PA USD 853575.210000 0.0620386 Long ABS-MBS CORP US N 2 2035-10-25 Variable 2.59281 Y N N N N N BEAR STEARNS ARM 2003-1 N/A 07384MTN2 2483.790000 PA USD 2510.010000 0.0001824 Long ABS-MBS CORP US N 2 2033-04-25 Floating 2.51171 N N N N N N BEAR STEARNS ARM TR 2004-3 N/A 07384MR87 13281.300000 PA USD 12338.800000 0.0008968 Long ABS-MBS CORP US N 2 2034-07-25 Floating 3.89874 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSH6 3380.330000 PA USD 3323.110000 0.0002415 Long ABS-MBS CORP US N 2 2033-02-25 Floating 2.54801 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSJ2 6031.720000 PA USD 5192.060000 0.0003774 Long ABS-MBS CORP US N 2 2033-02-25 Floating 2.84167 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 08576PAH4 3600000.000000 PA USD 3216015.250000 0.2337428 Long DBT CORP US N 2 2026-01-15 Fixed 1.57 N N N N N N BGC PARTNERS INC TF1LXM1YNB81WKUH5G19 05541TAK7 2000000.000000 PA USD 2013627.440000 0.1463522 Long DBT CORP US N 2 2023-07-24 Fixed 5.375 N N N N N N BMW FINANCE NV 5299006ZHG3IXU0PNJ56 05600LAA4 3800000.000000 PA USD 3800071.170000 0.2761926 Long DBT CORP NL N 2 2022-08-12 Fixed 2.25 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2E3 3500000.000000 PA USD 3492195.000000 0.2538158 Long DBT CORP FR N 2 2023-03-01 Fixed 3.5 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DE2 3500000.000000 PA USD 3346133.740000 0.2432000 Long DBT CORP US N 2 2024-02-04 Fixed 1.433 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023CZ6 3500000.000000 PA USD 3389074.920000 0.2463210 Long DBT CORP US N 2 2024-02-01 Fixed 1.95 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DG7 3600000.000000 PA USD 3250543.720000 0.2362524 Long DBT CORP US N 2 2026-02-04 Fixed 2.196 N N N N N N BOSTON PROPERTIES LP BVHHEFJI6SHNOKQT2572 10112RBD5 2600000.000000 PA USD 2232682.110000 0.1622733 Long DBT CORP US N 2 2031-01-30 Fixed 3.25 N N N N N N BPCRE HOLDER LLC 2022-FL2 N/A 05602FAA5 3600000.000000 PA USD 3549727.440000 0.2579973 Long ABS-CBDO CORP BM N 2 2037-01-18 Floating 3.90684 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAQ4 1368000.000000 PA USD 1254794.610000 0.0911996 Long DBT CORP US N 2 2030-11-15 Fixed 4.15 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBK6 3759000.000000 PA USD 3112525.790000 0.2262211 Long DBT CORP US N 2 2033-04-15 Fixed 3.419 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBV2 4981000.000000 PA USD 4472660.660000 0.3250770 Long DBT CORP US N 2 2037-05-15 Fixed 4.926 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 4331000.000000 PA USD 3294884.220000 0.2394751 Long DBT CORP US N 2 2035-11-15 Fixed 3.137 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBQ3 175000.000000 PA USD 133276.760000 0.0096867 Long DBT CORP US N 2 2036-11-15 Fixed 3.187 N N N N N N BSPDF 2021-FL1 LTD N/A 055731AA1 4000000.000000 PA USD 3822832.000000 0.2778468 Long ABS-CBDO CORP KY N 2 2036-10-15 Floating 2.524 N N N N N N CANADIAN IMPERIAL BANK OF COMMERCE (CIBC) 2IGI19DL77OX0HC3ZE78 13607HR61 3500000.000000 PA USD 3357955.200000 0.2440592 Long DBT CORP CA N 2 2027-04-07 Fixed 3.45 N N N N N N CAPE LOOKOUT RE LTD N/A 13947LAD4 1200000.000000 PA USD 1191420.000000 0.0865935 Long DBT CORP BM N 2 2029-03-28 Floating 5 N N N N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040HCM5 3700000.000000 PA USD 3498204.660000 0.2542526 Long DBT CORP US N 2 2026-03-03 Floating 2.636 N N N N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040HCS2 3500000.000000 PA USD 3469189.190000 0.2521438 Long DBT CORP US N 2 2028-05-10 Floating 4.927 N N N N N N CATAMARAN CLO LTD 2014-1A N/A 14889DAJ7 4676013.130000 PA USD 4614992.560000 0.3354218 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 2.23629 N N N N N N CENTERPOINT ENERGY RESOURCES CORP 2JADVB0458J06WCD4N56 15189WAN0 2070000.000000 PA USD 2064509.120000 0.1500504 Long DBT CORP US N 2 2023-03-02 Floating 2.11071 N N N N N N CGI INC 549300WSRCZY73ZG3090 12532HAC8 3800000.000000 PA USD 3358783.060000 0.2441193 Long DBT CORP CA N 2 2026-09-14 Fixed 1.45 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630BD9 266560.370000 PA USD 255718.560000 0.0185859 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.34202 Y N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AQ1 56670.360000 PA USD 55036.730000 0.0040001 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.08039 N N N N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI0B4VL4 3800000.000000 PA 3881276.150000 0.2820946 Long DBT NUSS CL N 2 2025-01-30 Fixed 1.625 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAA0 598664.610000 PA USD 596191.650000 0.0433317 Long ABS-MBS CORP US N 2 2037-10-25 Floating 2.97357 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17327CAN3 3800000.000000 PA USD 3564279.240000 0.2590550 Long DBT CORP US Y 2 2026-01-25 Floating 2.014 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17327CAP8 3800000.000000 PA USD 3672287.850000 0.2669051 Long DBT CORP US Y 2 2026-01-25 Floating 1.55514 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NG2 3600000.000000 PA USD 3342098.340000 0.2429067 Long DBT CORP US N 2 2028-02-24 Floating 3.07 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MT5 4400000.000000 PA USD 4197465.670000 0.3050755 Long DBT CORP US N 2 2024-10-30 Floating 0.776 N N N N N N CITIGROUP MORTGAGE LOAN TR 2004-HYB2 N/A 17307GEC8 13875.300000 PA USD 13464.780000 0.0009786 Long ABS-MBS CORP US N 2 2034-03-25 Floating 2.35978 N N N N N N CITIGROUP MTGE LOAN TR INC 2004-OPT1 N/A 17307GJK5 1844283.350000 PA USD 1798798.530000 0.1307383 Long ABS-MBS CORP US N 2 2034-10-25 Floating 2.56857 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 327413.330000 PA USD 188591.320000 0.0137070 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.78357 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXP8 490255.750000 PA USD 487098.500000 0.0354028 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.19 N N N N N N CITIMORTGAGE ALTERNATIVE LOAN TR 2006-A7 N/A 12566TAJ6 1127961.760000 PA USD 953451.070000 0.0692977 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.27357 N N N N N N CLEARWAY ENERGY OPERATING LLC 549300Z3NFMM54NWBB87 18539UAD7 3300000.000000 PA USD 2670508.500000 0.1940949 Long DBT CORP US N 2 2031-02-15 Fixed 3.75 N N N N N N CLNC 2019-FL1 LTD N/A 12565DAA1 2878749.880000 PA USD 2821174.880000 0.2050455 Long ABS-CBDO CORP KY N 2 2035-08-20 Floating 2.87362 N N N N N N COMMONWEALTH BANK OF AUSTRALIA MSFSBD3QN1GSN7Q6C537 2027A0KH1 3600000.000000 PA USD 3474919.300000 0.2525602 Long DBT CORP AU N 2 2025-03-14 Fixed 2.296 N N N N N N COMMONWEALTH BANK OF AUSTRALIA MSFSBD3QN1GSN7Q6C537 2027A0KK4 3600000.000000 PA USD 3364784.930000 0.2445556 Long DBT CORP AU N 2 2027-03-14 Fixed 2.552 N N N N N N CONTINENTAL AIRLINES 2012-2 CLASS A PASS THRU CERTIFICATES N/A 210795QB9 922039.480000 PA USD 886953.940000 0.0644646 Long DBT CORP US N 2 2026-04-29 Fixed 4 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-62 N/A 12668ATT2 25145.280000 PA USD 21867.970000 0.0015894 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.4759 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J12 N/A 12668ASY2 2117860.270000 PA USD 1321067.230000 0.0960163 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.16357 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-22 N/A 12666BAA3 284751.930000 PA USD 265238.390000 0.0192778 Long ABS-MBS CORP US N 2 2035-06-25 Floating 1.76357 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAD8 862415.400000 PA USD 812821.680000 0.0590766 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.14357 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-18 N/A 23243WAA6 136936.610000 PA USD 131396.660000 0.0095500 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.76357 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-2 N/A 126670UW6 3058237.000000 PA USD 3034476.330000 0.2205484 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.22357 N N N N N N COUNTRYWIDE HOME LOANS 2004-2 N/A 12669FKT9 306093.860000 PA USD 293506.640000 0.0213323 Long ABS-MBS CORP US N 2 2034-03-25 Floating 2.241 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 189030.800000 PA USD 182261.150000 0.0132469 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.71141 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 52273.700000 PA USD 52330.280000 0.0038034 Long ABS-MBS CORP US N 2 2035-02-20 Floating 2.52038 N N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A 12669GTV3 22151.290000 PA USD 20515.520000 0.0014911 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.20357 N N N N N N CREDIT AGRICOLE SA/LONDON BRANCH 969500TJ5KRTCJQWXH05 22535WAG2 3200000.000000 PA USD 2947294.050000 0.2142120 Long DBT CORP FR N 2 2026-06-16 Floating 1.907 N N N N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A 22540VK43 7051.340000 PA USD 6569.070000 0.0004774 Long ABS-MBS CORP US N 2 2032-03-25 Floating 1.08093 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AF5 3500000.000000 PA USD 3148436.520000 0.2288312 Long DBT CORP CH N 2 2029-01-12 Floating 3.869 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VAZ4 3700000.000000 PA USD 3415234.200000 0.2482223 Long DBT CORP US N 2 2027-03-15 Fixed 2.9 N N N N N N D.R. HORTON INC 529900ZIUEYVSB8QDD25 23331ABG3 600000.000000 PA USD 603851.420000 0.0438885 Long DBT CORP US N 2 2023-02-15 Fixed 4.75 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851EB6 2000000.000000 PA USD 1901576.740000 0.1382083 Long DBT CORP US N 2 2024-03-01 Fixed 0.75 N N N N N N DAIMLER TRUCKS FINANCE NORTH AMERICA LLC 5493003HSDTSCZRXBA58 233853AA8 1800000.000000 PA USD 1793219.510000 0.1303328 Long DBT CORP US N 2 2023-06-14 Floating 1.66582 N N N N N N DAIMLER TRUCKS FINANCE NORTH AMERICA LLC 5493003HSDTSCZRXBA58 233853AC4 4000000.000000 PA USD 3970258.800000 0.2885619 Long DBT CORP US N 2 2023-12-14 Floating 2.00917 N N N N N N DAIMLER TRUCKS FINANCE NORTH AMERICA LLC 5493003HSDTSCZRXBA58 233853AE0 4000000.000000 PA USD 3952430.000000 0.2872661 Long DBT CORP US N 2 2024-12-13 Floating 2.13557 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636ABD2 3500000.000000 PA USD 3444556.960000 0.2503535 Long DBT CORP DK N 2 2025-03-28 Floating 3.773 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 24703TAA4 1627000.000000 PA USD 1643943.790000 0.1194833 Long DBT CORP US N 2 2023-06-15 Fixed 5.45 N N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2007-AR3 N/A 25150VAM8 3752378.970000 PA USD 3351760.360000 0.2436089 Long ABS-MBS CORP US N 2 2037-06-25 Floating 2.02357 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI1QTHL7 3000000.000000 PA 2924840.640000 0.2125800 Long DBT CORP DE N 2 2026-09-03 Floating 1.375 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI1J0BM2 2700000.000000 PA 3131577.990000 0.2276059 Long DBT CORP DE N 2 2024-12-16 Fixed 2.625 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CL1 3800000.000000 PA USD 3755369.990000 0.2729436 Long DBT CORP DE N 2 2023-11-08 Floating 1.49457 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CB3 8300000.000000 PA USD 8028125.280000 0.5834913 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N DIGITAL REALTY TRUST LP CD4SPTZ3YBTHY0C1AH38 25389JAT3 3200000.000000 PA USD 3109131.520000 0.2259744 Long DBT CORP US N 2 2028-07-15 Fixed 4.45 N N N N N N DISCOVERY COMMUNICATIONS LLC L2Z2MO2EQURH3BREWI15 25470DBJ7 4100000.000000 PA USD 3649496.670000 0.2652487 Long DBT CORP US N 2 2030-05-15 Fixed 3.625 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UDL0 4000000.000000 PA USD 3292997.320000 0.2393380 Long DBT CORP US N 2 2031-08-15 Fixed 2.25 N N N N N N DUKE ENERGY FLORIDA LLC (AKA: PROGRESS ENERGY FLORIDA INC; FLORIDA POWER CORP) 7MOHLM3DKE63RX2ZCN83 26444HAK7 4000000.000000 PA USD 3424820.800000 0.2489190 Long DBT CORP US N 2 2031-12-15 Fixed 2.4 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAM0 4000000.000000 PA USD 3514807.200000 0.2554593 Long DBT CORP NL N 2 2026-07-12 Fixed 1.375 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAW8 3500000.000000 PA USD 3446437.580000 0.2504901 Long DBT CORP NL N 2 2027-06-15 Fixed 4.625 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29364GAN3 3600000.000000 PA USD 3092164.090000 0.2247412 Long DBT CORP US N 2 2028-06-15 Fixed 1.9 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBL9 3700000.000000 PA USD 3115700.590000 0.2264519 Long DBT CORP US N 2 2028-03-15 Fixed 1.55 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBC9 3800000.000000 PA USD 3648328.400000 0.2651638 Long DBT CORP US N 2 2024-11-18 Fixed 2.625 N N N N N N EUROHOME UK MORTGAGES 2007-1 A N/A B1VBS4II2 768538.480000 PA 912265.250000 0.0663042 Long ABS-MBS CORP GB N 2 2044-06-15 Floating 1.7391 N N N N N N EUROSAIL PLC 2006-2X N/A 991NPZII9 17735.080000 PA 21502.560000 0.0015628 Long ABS-MBS CORP GB N 2 2044-12-15 Floating 1.7491 N N N N N N EUROSAIL PLC 2007-2X N/A B1VVXHII3 1533162.060000 PA 1845324.370000 0.1341198 Long ABS-MBS CORP GB N 2 2045-03-13 Floating 1.7404 N N N N N N EXELON CORPORATION 3SOUA6IRML7435B56G12 30161NAZ4 4000000.000000 PA USD 3742566.440000 0.2720131 Long DBT CORP US N 2 2027-03-15 Fixed 2.75 N N N N N N EXPEDIA GROUP INC N/A 30212PAS4 1362000.000000 PA USD 1404444.030000 0.1020762 Long DBT CORP US N 2 2025-05-01 Fixed 6.25 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAA8 3975532.550000 PA USD 3881968.390000 0.2821449 Long ABS-MBS CORP US N 2 2038-07-15 Floating 2.405 N N N N N N FANNIE MAE 2007-73 N/A 31396V4Q8 88808.500000 PA USD 86805.640000 0.0063091 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 1.00112 N N N N N N FANNIE MAE GRANTOR TRUST 2001-T8 N/A 313920UK4 2699.490000 PA USD 2774.130000 0.0002016 Long ABS-MBS USGSE US N 2 2041-07-25 Fixed 7.5 N N N N N N FANNIE MAE-ACES 2020-M33 N/A 3136BBAR3 20555032.960000 PA USD 2413460.970000 0.1754125 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.3581 N N N N N N FANNIEMAE WHOLE LOAN 2003-W1 N/A 31392GVX0 69766.200000 PA USD 69689.880000 0.0050651 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 4.8979 N N N N N N FANNIEMAE WHOLE LOAN 2004-W6 N/A 31393YX75 11285828.410000 PA USD 12140542.570000 0.8823854 Long ABS-MBS USGSE US N 2 2034-07-25 Fixed 6.5 N N N N N N FANNIEMAE WHOLE LOAN 2004-W8 N/A 31394ALL8 25149.610000 PA USD 26764.690000 0.0019453 Long ABS-MBS USGSE US N 2 2044-06-25 Fixed 6.5 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 3134GW6C5 14800000.000000 PA USD 13300048.120000 0.9666593 Long DBT USGSE US N 2 2026-10-28 Fixed 0.8 N N N N N N FHLMC PASS THRU POOLS N/A 3128JNVF9 6292.840000 PA USD 6295.500000 0.0004576 Long ABS-MBS USGSE US N 2 2037-05-01 Floating 3.704 N N N N N N FHLMC PASS THRU POOLS N/A 3128Q2DS9 15077.600000 PA USD 15959.880000 0.0011600 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 3.454 N N N N N N FHLMC PASS THRU POOLS N/A 31296JXY7 8187.410000 PA USD 8361.250000 0.0006077 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 31296PDS8 24558.960000 PA USD 25600.390000 0.0018607 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 31297CWX4 1148.990000 PA USD 1233.240000 0.0000896 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 31297VAM0 11840.140000 PA USD 12713.220000 0.0009240 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128K6NM8 3513.630000 PA USD 3632.550000 0.0002640 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 7 N N N N N N FHLMC PASS THRU POOLS N/A 3128L0XJ6 3666.530000 PA USD 3938.590000 0.0002863 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128L6BS7 4913.800000 PA USD 5287.040000 0.0003843 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 31292KNK9 1961.420000 PA USD 2135.690000 0.0001552 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7MY6 25786.960000 PA USD 26143.910000 0.0019002 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7NL3 18227.050000 PA USD 18480.180000 0.0013432 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7NT6 40744.600000 PA USD 41308.780000 0.0030024 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7NW9 868584.160000 PA USD 880615.230000 0.0640039 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 31294LU35 350.400000 PA USD 350.960000 0.0000255 Long ABS-MBS USGSE US N 2 2022-10-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 31283HZH1 715.910000 PA USD 768.390000 0.0000558 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 31283H2E4 392.670000 PA USD 421.480000 0.0000306 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LXTX8 8521.900000 PA USD 9242.920000 0.0006718 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4B69 5052.490000 PA USD 5534.220000 0.0004022 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4M67 1088.700000 PA USD 1163.620000 0.0000846 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M45C3 1448.430000 PA USD 1537.110000 0.0001117 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5DD9 1692.630000 PA USD 1821.080000 0.0001324 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5EH9 14173.140000 PA USD 15563.000000 0.0011311 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5LV0 11073.630000 PA USD 11914.250000 0.0008659 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5R93 22154.320000 PA USD 23841.510000 0.0017328 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6NL8 32109.790000 PA USD 33702.730000 0.0024495 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6NV6 3217.610000 PA USD 3454.520000 0.0002511 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6N79 491.580000 PA USD 537.240000 0.0000390 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6PB8 6717.410000 PA USD 7340.990000 0.0005335 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6PE2 5027.380000 PA USD 5445.880000 0.0003958 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6PH5 4036.260000 PA USD 4342.280000 0.0003156 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6PJ1 31742.510000 PA USD 34409.600000 0.0025009 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M75R3 54498.570000 PA USD 58620.470000 0.0042606 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MBN29 26.370000 PA USD 26.450000 0.0000019 Long ABS-MBS USGSE US N 2 2022-11-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 31335BLU8 121498.860000 PA USD 122273.730000 0.0088870 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31334YHW0 498462.620000 PA USD 483862.030000 0.0351675 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3131Y0TR3 247832.610000 PA USD 248897.190000 0.0180901 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-57 N/A 31394JD87 1015.270000 PA USD 1104.990000 0.0000803 Long ABS-MBS USGSE US N 2 2043-07-25 Fixed 6.5 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 31620MBR6 3600000.000000 PA USD 3189186.140000 0.2317929 Long DBT CORP US N 2 2026-03-01 Fixed 1.15 N N N N N N FIRST AMERICAN FINANCIAL CORPORATION 549300B6VEZK3N0A1P55 31847RAG7 3300000.000000 PA USD 2970130.450000 0.2158717 Long DBT CORP US N 2 2030-05-15 Fixed 4 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF14 N/A 32027LAF2 5800000.000000 PA USD 4649607.120000 0.3379376 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.93357 N N N N N N FLAGSHIP CREDIT AUTO TRUST 2022-2 N/A 33844XAE8 3500000.000000 PA USD 3475141.250000 0.2525764 Long ABS-O CORP US N 2 2026-12-15 Fixed 4.03 N N N N N N FNMA PASS THRU POOLS N/A 31362J4V4 737.310000 PA USD 741.390000 0.0000539 Long ABS-MBS USGSE US N 2 2027-01-01 Floating 5 N N N N N N FNMA PASS THRU POOLS N/A 31363WH81 511.710000 PA USD 528.410000 0.0000384 Long ABS-MBS USGSE US N 2 2024-12-15 Fixed 8 N N N N N N FNMA PASS THRU POOLS N/A 31368HNQ2 12296.530000 PA USD 13217.690000 0.0009607 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371HF94 853.940000 PA USD 898.910000 0.0000653 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371HKW7 151.530000 PA USD 157.820000 0.0000115 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31371KBQ3 1029.560000 PA USD 1115.950000 0.0000811 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 8 N N N N N N FNMA PASS THRU POOLS N/A 31371KUT6 2.270000 PA USD 2.270000 0.0000002 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 31371KWH0 5430.480000 PA USD 5793.360000 0.0004211 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371KZA2 2605.540000 PA USD 2784.470000 0.0002024 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371K2Z3 14287.590000 PA USD 15268.820000 0.0011098 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MAN7 11193.190000 PA USD 11299.850000 0.0008213 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MJ57 355.930000 PA USD 359.030000 0.0000261 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MLB1 8806.970000 PA USD 9453.790000 0.0006871 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MMG9 4069.890000 PA USD 4366.710000 0.0003174 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371PBH2 2499.700000 PA USD 2520.810000 0.0001832 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31374CK96 169646.390000 PA USD 181575.000000 0.0131970 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31374CNV4 40014.040000 PA USD 42841.860000 0.0031138 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31376KRF5 43836.810000 PA USD 47021.990000 0.0034176 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31376KR32 7909.680000 PA USD 8380.100000 0.0006091 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31384WB66 237.610000 PA USD 250.480000 0.0000182 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31385HUQ3 1351.320000 PA USD 1433.420000 0.0001042 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 31385JND6 960.370000 PA USD 1032.850000 0.0000751 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31386XWZ5 895.530000 PA USD 930.620000 0.0000676 Long ABS-MBS USGSE US N 2 2024-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31388UGP9 553.630000 PA USD 554.780000 0.0000403 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31390ABT6 1519.460000 PA USD 1598.390000 0.0001162 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31390JX89 332.200000 PA USD 332.390000 0.0000242 Long ABS-MBS USGSE US N 2 2027-04-01 Floating 2.052 N N N N N N FNMA PASS THRU POOLS N/A 31391TWW4 2442.040000 PA USD 2607.480000 0.0001895 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31400CCG7 35894.080000 PA USD 38304.320000 0.0027840 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31401CGJ6 5294.820000 PA USD 5676.270000 0.0004126 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402C4J8 7029.400000 PA USD 7538.220000 0.0005479 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402DP46 6704.640000 PA USD 7191.610000 0.0005227 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402QSZ5 7656.380000 PA USD 8211.190000 0.0005968 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402QYY1 63480.150000 PA USD 68089.710000 0.0049488 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402RQN2 12195.780000 PA USD 12823.830000 0.0009320 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31402RRC5 15539.610000 PA USD 16962.080000 0.0012328 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31403BCQ4 13491.720000 PA USD 14037.580000 0.0010203 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403CXW6 58892.090000 PA USD 63208.620000 0.0045941 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DDX4 4252.350000 PA USD 4563.020000 0.0003316 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DD97 44953.200000 PA USD 48237.390000 0.0035059 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403JZM1 7446.930000 PA USD 7914.270000 0.0005752 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403VTR0 16360.010000 PA USD 17541.380000 0.0012749 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403VXE4 12111.230000 PA USD 12985.200000 0.0009438 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403YB36 10181.430000 PA USD 10623.830000 0.0007721 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404AHB3 61626.110000 PA USD 64617.710000 0.0046965 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404BRT1 3814.080000 PA USD 4065.100000 0.0002955 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404CF54 3376.060000 PA USD 3354.630000 0.0002438 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 1.758 N N N N N N FNMA PASS THRU POOLS N/A 31404DJ82 21274.990000 PA USD 23318.380000 0.0016948 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31404QQ36 4377.910000 PA USD 4636.100000 0.0003370 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31405AX32 44517.390000 PA USD 47726.050000 0.0034688 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31405R7C4 452328.410000 PA USD 484961.910000 0.0352475 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31405XCV3 9507.040000 PA USD 10194.630000 0.0007410 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31406B3Z1 136184.110000 PA USD 141812.850000 0.0103071 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31406DAF3 11208.740000 PA USD 11425.680000 0.0008304 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 1.677 N N N N N N FNMA PASS THRU POOLS N/A 31406HZQ3 14379.650000 PA USD 15371.090000 0.0011172 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31406S4P5 7711.580000 PA USD 8105.140000 0.0005891 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31406V3Q7 19581.920000 PA USD 20367.970000 0.0014804 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31406XWT5 5986.450000 PA USD 6104.530000 0.0004437 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 1.973 N N N N N N FNMA PASS THRU POOLS N/A 31407ADB4 81640.600000 PA USD 87291.420000 0.0063444 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407FYD6 271764.350000 PA USD 281812.300000 0.0204824 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 3.758 N N N N N N FNMA PASS THRU POOLS N/A 31407KF95 7410.350000 PA USD 7706.440000 0.0005601 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407MZ99 17776.300000 PA USD 19082.630000 0.0013869 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407M2K0 275086.490000 PA USD 295028.300000 0.0214429 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409G5L6 3006.660000 PA USD 3127.690000 0.0002273 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410FSL0 25794.260000 PA USD 27602.860000 0.0020062 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410FU45 11391.760000 PA USD 12221.130000 0.0008882 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410FZV0 2174.890000 PA USD 2162.350000 0.0001572 Long ABS-MBS USGSE US N 2 2037-02-01 Floating 1.95 N N N N N N FNMA PASS THRU POOLS N/A 31410F5M3 5285.840000 PA USD 5682.850000 0.0004130 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GRN5 9025.250000 PA USD 9692.490000 0.0007045 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GV67 21054.500000 PA USD 22579.260000 0.0016411 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410G2H5 197745.820000 PA USD 212525.480000 0.0154465 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410G4T7 5174.660000 PA USD 5542.510000 0.0004028 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KXE9 17865.240000 PA USD 19192.520000 0.0013949 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KXK5 11207.140000 PA USD 12048.590000 0.0008757 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KXV1 35652.520000 PA USD 38334.230000 0.0027862 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410SAF4 5961.030000 PA USD 5954.920000 0.0004328 Long ABS-MBS USGSE US N 2 2036-06-01 Floating 3.433 N N N N N N FNMA PASS THRU POOLS N/A 31411A5F8 1839.850000 PA USD 1933.180000 0.0001405 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411JRS7 10577.170000 PA USD 11255.970000 0.0008181 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412LQ94 3358.840000 PA USD 3681.950000 0.0002676 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412L5Z9 197.660000 PA USD 197.920000 0.0000144 Long ABS-MBS USGSE US N 2 2022-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412MJ82 62485.110000 PA USD 67155.970000 0.0048810 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412MTG3 6325.400000 PA USD 6796.700000 0.0004940 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412NLV6 2756.770000 PA USD 2943.100000 0.0002139 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412NNX0 530.390000 PA USD 532.470000 0.0000387 Long ABS-MBS USGSE US N 2 2023-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412PCD1 2019.850000 PA USD 2054.940000 0.0001494 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31412QM89 150581.340000 PA USD 160318.430000 0.0116521 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31413ADY6 4701.850000 PA USD 4696.690000 0.0003414 Long ABS-MBS USGSE US N 2 2037-05-01 Floating 2.64 N N N N N N FNMA PASS THRU POOLS N/A 31413JR22 17990.360000 PA USD 19729.890000 0.0014340 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413RGH3 49556.870000 PA USD 51560.970000 0.0037475 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414JAL7 84510.900000 PA USD 90522.540000 0.0065793 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414PA33 5428.090000 PA USD 5646.320000 0.0004104 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415LRR0 13362.320000 PA USD 14330.550000 0.0010416 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415LVW4 46.060000 PA USD 47.150000 0.0000034 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31415P3Y2 9654.030000 PA USD 10330.280000 0.0007508 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415XVW8 16845.400000 PA USD 17693.090000 0.0012859 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BL63 5686.470000 PA USD 6104.500000 0.0004437 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BN53 43444.640000 PA USD 46609.500000 0.0033876 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416CAQ9 2362.680000 PA USD 2351.770000 0.0001709 Long ABS-MBS USGSE US N 2 2037-10-01 Floating 2.996 N N N N N N FNMA PASS THRU POOLS N/A 31416CLT1 114100.540000 PA USD 125173.250000 0.0090977 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416KT81 13048.500000 PA USD 13577.990000 0.0009869 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416RE66 9535.390000 PA USD 9644.640000 0.0007010 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416VSS4 483407.540000 PA USD 506176.510000 0.0367894 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31417SCT5 9398.250000 PA USD 9614.780000 0.0006988 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417SZQ6 211406.670000 PA USD 224976.530000 0.0163515 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418MT44 9891.300000 PA USD 10608.170000 0.0007710 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418MWK4 218935.650000 PA USD 234999.960000 0.0170800 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418MWY4 22592.760000 PA USD 22818.120000 0.0016584 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418THN0 8747.920000 PA USD 8949.460000 0.0006505 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419AHK6 214285.760000 PA USD 230201.240000 0.0167312 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31419ASF5 24885.580000 PA USD 26702.210000 0.0019407 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31419FGM2 24375.910000 PA USD 24800.110000 0.0018025 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419FGN0 4389.120000 PA USD 4413.760000 0.0003208 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419FWM4 346527.850000 PA USD 352571.630000 0.0256252 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AFJQ4 11046.200000 PA USD 11300.690000 0.0008213 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EGP40 39385.640000 PA USD 42309.400000 0.0030751 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EJE38 22840.750000 PA USD 23366.980000 0.0016983 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ELCT8 12459.970000 PA USD 13666.840000 0.0009933 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 6 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 2961824.450000 PA USD 28960719.510000 2.1048909 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3138ENEW5 665231.910000 PA USD 685505.400000 0.0498231 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 2.61 N N N N N N FNMA PASS THRU POOLS N/A 3140FBAE0 527030.460000 PA USD 527114.030000 0.0383111 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 19209.640000 PA USD 186410.320000 0.0135485 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140J6GM3 22781.410000 PA USD 22867.680000 0.0016620 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JR3L3 468713.440000 PA USD 456902.940000 0.0332081 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31417YCJ4 824.300000 PA USD 838.610000 0.0000610 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31417YEC7 15026.410000 PA USD 15430.390000 0.0011215 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31417YKM8 221784.490000 PA USD 225640.930000 0.0163998 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31417YRP4 11378.460000 PA USD 11577.120000 0.0008414 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31417YR90 32362.500000 PA USD 32781.210000 0.0023826 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417YSY4 178959.280000 PA USD 182083.830000 0.0132340 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31417YS40 56181.590000 PA USD 56908.970000 0.0041362 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417YTV9 418611.960000 PA USD 425918.600000 0.0309561 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31417Y3J4 6690.400000 PA USD 7132.110000 0.0005184 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418AAJ7 2882.740000 PA USD 2933.180000 0.0002132 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418AAW8 3320.310000 PA USD 3378.400000 0.0002455 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CNE0 26478.820000 PA USD 26559.390000 0.0019304 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418DKG6 6635.970000 PA USD 6751.910000 0.0004907 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 4 N N N N N N AT&T MOBILITY II LLC N/A 04651L206 464023.000000 NS USD 11780838.190000 0.8562418 Long EP CORP US Y 3 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI1R7WW3 3600000.000000 PA 3465706.050000 0.2518906 Long DBT CORP US N 2 2025-09-15 Fixed 3.25 N N N N N N FORT CRE 2022-FL3 N/A 34706CAA7 3700000.000000 PA USD 3653506.910000 0.2655401 Long ABS-CBDO CORP US N 2 2039-02-23 Floating 2.75331 N N N N N N FRANKLIN RESOURCES INC RIFQSET379FOGTEFKS80 354613AL5 4500000.000000 PA USD 3535439.990000 0.2569589 Long DBT CORP US N 2 2030-10-30 Fixed 1.6 N N N N N N FREDDIE MAC 3397 N/A 31397PLU2 43536.720000 PA USD 43823.260000 0.0031851 Long ABS-MBS USGSE US N 2 2037-12-15 Floating 1.924 N N N N N N FREDDIE MAC REMICS 3740 N/A 3137GAPS0 931855.140000 PA USD 933312.190000 0.0678340 Long ABS-MBS USGSE US N 2 2040-10-15 Floating 1.824 N N N N N N FREDDIE MAC-1779 N/A 3133T6CY5 13773.920000 PA USD 14606.930000 0.0010616 Long ABS-MBS USGSE US N 2 2025-04-15 Fixed 8.5 N N N N N N FREMONT HOME LOAN OWNER TRUST 1999-3 N/A 35729BAF8 24456.990000 PA USD 23271.340000 0.0016914 Long ABS-MBS CORP US N 2 2029-12-25 Floating 2.41357 N N N N N N FREMONT HOME LOAN TRUST 2006-2 N/A 35729PPY0 1000000.000000 PA USD 888042.000000 0.0645437 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.16357 N N N N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2D6 3800000.000000 PA USD 3215539.750000 0.2337083 Long DBT CORP US N 2 2028-09-15 Fixed 1.95 N N N N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2F1 4500000.000000 PA USD 4321564.470000 0.3140951 Long DBT CORP US N 2 2023-12-08 Fixed 1.25 N N N N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 37033LGD2 3800000.000000 PA USD 3834790.180000 0.2787160 Long DBT CORP US N 2 2022-10-15 Fixed 6.41 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XAL0 3500000.000000 PA USD 3513135.190000 0.2553378 Long DBT CORP US N 2 2023-05-15 Fixed 4.25 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAD4 3500000.000000 PA USD 2956602.040000 0.2148885 Long DBT CORP US N 2 2030-05-15 Fixed 2.9 N N N N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AJ8 2600000.000000 PA USD 2554903.000000 0.1856926 Long DBT CORP US N 2 2025-06-01 Fixed 5.25 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2022-2A N/A 36265NAB9 3500000.000000 PA USD 3483373.250000 0.2531747 Long ABS-O CORP US N 2 2026-01-15 Fixed 3.55 N N N N N N GLS AUTO RECEIVABLES TRUST 2022-1A N/A 36263XAA1 2977646.410000 PA USD 2942048.940000 0.2138307 Long ABS-O CORP US N 2 2025-08-15 Fixed 1.98 N N N N N N GNMA PASS THRU POOLS N/A 36202DQC8 1017.310000 PA USD 1100.420000 0.0000800 Long ABS-MBS USGSE US N 2 2031-10-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36202DSS1 912.450000 PA USD 984.460000 0.0000716 Long ABS-MBS USGSE US N 2 2032-04-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36202DS51 780.580000 PA USD 848.570000 0.0000617 Long ABS-MBS USGSE US N 2 2032-05-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36202D3K5 2413.920000 PA USD 2635.040000 0.0001915 Long ABS-MBS USGSE US N 2 2034-01-20 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36202D6X4 2709.080000 PA USD 2930.450000 0.0002130 Long ABS-MBS USGSE US N 2 2034-07-20 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36202D7L9 2012.650000 PA USD 2179.830000 0.0001584 Long ABS-MBS USGSE US N 2 2034-08-20 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36202KWD3 603.900000 PA USD 600.730000 0.0000437 Long ABS-MBS USGSE US N 2 2025-11-20 Floating 1.75 N N N N N N GNMA PASS THRU POOLS N/A 36225CFW1 25455.690000 PA USD 25439.390000 0.0018490 Long ABS-MBS USGSE US N 2 2028-03-20 Floating 2.625 N N N N N N GNMA PASS THRU POOLS N/A 36225CVC7 696.890000 PA USD 698.590000 0.0000508 Long ABS-MBS USGSE US N 2 2032-06-20 Floating 1.875 N N N N N N GNMA PASS THRU POOLS N/A 36225DCE2 10538.270000 PA USD 10498.960000 0.0007631 Long ABS-MBS USGSE US N 2 2034-07-20 Floating 1.625 N N N N N N GNMA PASS THRU POOLS N/A 36225DHN7 1010.490000 PA USD 995.650000 0.0000724 Long ABS-MBS USGSE US N 2 2034-11-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36295TBH6 2173653.250000 PA USD 2202314.690000 0.1600662 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179T7L3 1104433.260000 PA USD 1124584.080000 0.0817358 Long ABS-MBS USGSE US N 2 2048-08-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179U6Y3 363513.910000 PA USD 376182.460000 0.0273413 Long ABS-MBS USGSE US N 2 2049-11-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36200B7H4 273.610000 PA USD 274.290000 0.0000199 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 36225BPC6 3723.640000 PA USD 4123.090000 0.0002997 Long ABS-MBS USGSE US N 2 2031-07-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A 3617B7GB0 500385.400000 PA USD 488555.420000 0.0355086 Long ABS-MBS USGSE US N 2 2047-10-15 Fixed 3.5 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZH0 1800000.000000 PA USD 1731732.860000 0.1258639 Long DBT CORP US N 2 2025-01-24 Floating 1.757 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWU4 4000000.000000 PA USD 3994336.920000 0.2903120 Long DBT CORP US N 2 2023-02-23 Floating 2.25486 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXD1 1700000.000000 PA USD 1660714.360000 0.1207022 Long DBT CORP US N 2 2026-05-15 Floating 2.58129 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZE7 3900000.000000 PA USD 3760146.510000 0.2732908 Long DBT CORP US N 2 2023-12-06 Fixed 1.217 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZF4 3900000.000000 PA USD 3855221.250000 0.2802009 Long DBT CORP US N 2 2023-12-06 Floating 1.79149 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H10 N/A 38376RAT3 1424111.100000 PA USD 1412440.220000 0.1026574 Long ABS-MBS USGSE US N 2 2065-04-20 Floating 1.25329 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H20 N/A 38376RFJ0 2098302.180000 PA USD 2083793.260000 0.1514519 Long ABS-MBS USGSE US N 2 2065-08-20 Floating 1.40329 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14 N/A 38376R4Z6 1573001.440000 PA USD 1567680.450000 0.1139404 Long ABS-MBS USGSE US N 2 2067-06-20 Floating 3.37857 N N N N N N GOVERNMENT NATL MTGE ASSOC 2008-27 N/A 38374DTL3 17313.800000 PA USD 18131.810000 0.0013178 Long ABS-MBS USGSE US N 2 2037-08-20 Fixed 5.75 N N N N N N GPMT LTD 2021-FL4 N/A 36262TAA1 3900000.000000 PA USD 3779083.230000 0.2746671 Long ABS-CBDO CORP KY N 2 2036-12-15 Floating 2.99157 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2021-DM N/A 36265AAA9 3000000.000000 PA USD 2887001.100000 0.2098298 Long ABS-MBS CORP US N 2 2036-11-15 Floating 2.21 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1 N/A 36265LAB3 3954411.270000 PA USD 3537807.720000 0.2571310 Long ABS-MBS CORP US N 2 2052-09-25 Variable 3 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ4 N/A 36264RAE5 3548083.520000 PA USD 3034401.210000 0.2205430 Long ABS-MBS CORP US N 2 2052-09-25 Variable 2.5 N N N N N N GSAMP TRUST 2004-FM2 N/A 36228FN28 1929668.010000 PA USD 1889794.510000 0.1373519 Long ABS-MBS CORP US N 2 2034-01-25 Floating 2.37357 N N N N N N GSAMP TRUST 2004-WF N/A 36242DKL6 17119.300000 PA USD 16397.540000 0.0011918 Long ABS-MBS CORP US N 2 2034-10-25 Floating 3.27357 N N N N N N GSAMP TRUST 2006-HE1 N/A 3623414T3 1364178.410000 PA USD 1359038.870000 0.0987762 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.20857 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RT8 14846.480000 PA USD 14597.900000 0.0010610 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.93279 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 218930.340000 PA USD 213170.060000 0.0154934 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.93849 N N N N N N HALSEYPOINT CLO 2 LTD N/A 40638TAA0 3700000.000000 PA USD 3658139.680000 0.2658768 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 2.16271 N N N N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 4500000.000000 PA 4606520.400000 0.3348060 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 3000000.000000 PA 3068261.470000 0.2230040 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 0.68 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 11372289.860000 PA 13818218.860000 1.0043204 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 2.07491 N N N N N N HERA COMMERCIAL MORTGAGE 2021-FL1 N/A 42704RAA9 4400000.000000 PA USD 4328785.960000 0.3146200 Long ABS-CBDO CORP KY N 2 2038-02-18 Floating 2.66229 N N N N N N HPEFS EQUIPMENT TRUST 2022-2A N/A 40441TAA7 3500000.000000 PA USD 3494885.800000 0.2540114 Long ABS-O CORP US N 2 2023-05-22 Fixed 1.905 N N N N N N HPEFS EQUIPMENT TRUST 2022-2A N/A 40441TAB5 3500000.000000 PA USD 3475808.350000 0.2526248 Long ABS-O CORP US N 2 2029-09-20 Fixed 3.15 N N N N N N HYATT HOTELS CORPORATION T27JQIMTYSH41TCD5186 448579AL6 3100000.000000 PA USD 3003405.090000 0.2182902 Long DBT CORP US N 2 2023-10-01 Fixed 1.3 N N N N N N HYATT HOTELS CORPORATION T27JQIMTYSH41TCD5186 448579AM4 3100000.000000 PA USD 3094868.790000 0.2249378 Long DBT CORP US N 2 2023-10-01 Floating 2.57289 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ABR7 4000000.000000 PA USD 3802113.640000 0.2763410 Long DBT CORP US N 2 2024-01-08 Fixed 0.8 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAA1 3600000.000000 PA USD 3488719.140000 0.2535632 Long DBT CORP GB N 2 2024-07-26 Fixed 3.125 N N N N N N INDYMAC ARM TRUST 2001-H2 N/A 45660UAQ2 12571.650000 PA USD 11783.830000 0.0008565 Long ABS-MBS CORP US N 2 2032-01-25 Floating 1.68624 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2007-FLX1 N/A 45668WAC1 5339382.870000 PA USD 3706514.690000 0.2693928 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.87357 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AL7 3300000.000000 PA USD 3310834.590000 0.2406344 Long DBT CORP NL N 2 2023-10-02 Floating 3.29286 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45866FAK0 3100000.000000 PA USD 2596766.150000 0.1887353 Long DBT CORP US N 2 2030-06-15 Fixed 2.1 N N N N N N INVITATION HOMES OPERATING PARTNERSHIP LP 549300147YMUQB3GW319 46188BAB8 4000000.000000 PA USD 3368106.240000 0.2447970 Long DBT CORP US N 2 2028-11-15 Fixed 2.3 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 BJGTFKII9 12500000.000000 PA 3602971.700000 0.2618672 Long DBT NUSS IL N 2 2022-07-31 Fixed 0.75 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI22SVD5 12000000.000000 PA 3418657.580000 0.2484711 Long DBT MUN IL N 2 2023-01-04 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI240MX0 14500000.000000 PA 4115725.960000 0.2991346 Long DBT MUN IL N 2 2023-03-02 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI25PW54 15610000.000000 PA 4420513.180000 0.3212868 Long DBT MUN IL N 2 2023-05-03 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI201R74 5890000.000000 PA 1686253.740000 0.1225584 Long DBT MUN IL N 2 2022-08-03 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI20VV73 32600000.000000 PA 9327018.710000 0.6778960 Long DBT MUN IL N 2 2022-09-07 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI20YST3 17400000.000000 PA 4969507.150000 0.3611882 Long DBT MUN IL N 2 2022-10-07 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI21KLL6 12000000.000000 PA 3428792.280000 0.2492077 Long DBT MUN IL N 2 2022-11-02 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI229M05 12500000.000000 PA 3569153.590000 0.2594093 Long DBT MUN IL N 2 2022-12-07 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513JB34 4100000.000000 PA USD 3807317.400000 0.2767192 Long DBT NUSS IL N 2 2030-07-03 Fixed 2.75 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A 46651QAA5 2439047.680000 PA USD 2416165.020000 0.1756090 Long ABS-MBS CORP US N 2 2031-12-15 Floating 2.774 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-DATA N/A 465972AA5 3500000.000000 PA USD 3316664.400000 0.2410581 Long ABS-MBS CORP US N 2 2043-06-10 Variable 3.9158 N N N N N N JAPAN BANK FOR INTERNATIONAL COOPERATION 549300TJ3QFYVCTSCJ29 471048BL1 3700000.000000 PA USD 3701140.670000 0.2690022 Long DBT NUSS JP N 2 2022-07-21 Fixed 2.375 N N N N N N JAPAN FINANCE ORGANIZATION FOR MUNICIPALITIES (JFM) 5493007YYYNZ4NMEOD64 471068AN6 5300000.000000 PA USD 5308586.000000 0.3858328 Long DBT NUSS JP N 2 2023-09-27 Fixed 3.375 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI24WM36 3595800000.000000 PA 26504051.330000 1.9263380 Long DBT NUSS JP N 2 2022-07-19 None 0 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI269N18 1000000000.000000 PA 7372538.330000 0.5358426 Long DBT NUSS JP N 2 2022-09-12 None 0 N N N N N N JERSEY CENTRAL POWER & LIGHT COMPANY 549300W9UGH9ZPLNPF79 476556DB8 2900000.000000 PA USD 2919837.570000 0.2122164 Long DBT CORP US N 2 2024-04-01 Fixed 4.7 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBZ8 2100000.000000 PA USD 2054868.980000 0.1493497 Long DBT CORP US N 2 2024-03-16 Floating 0.697 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAW6 800000.000000 PA USD 796827.910000 0.0579142 Long DBT CORP US N 2 2024-07-23 Floating 2.074 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8 N/A 46649JAA6 3030000.000000 PA USD 2963753.290000 0.2154082 Long ABS-MBS CORP US N 2 2035-02-15 Floating 2.274 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5 N/A 46654PAA4 4000000.000000 PA USD 3834730.800000 0.2787116 Long ABS-MBS CORP US N 2 2038-11-15 Floating 2.44 N N N N N N JP MORGAN MORTGAGE TRUST-2004-A1 N/A 466247BL6 8387.980000 PA USD 7685.240000 0.0005586 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.10326 N N N N N N JP MORGAN MTGE ACQUIS CORP 2007-CH5 N/A 46631KAE5 2902367.900000 PA USD 2892203.810000 0.2102079 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.88357 N N N N N N KKR CLO LTD 18 N/A 48251JAL7 3900000.000000 PA USD 3837600.000000 0.2789202 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 1.98429 N N N N N N KLA CORPORATION 549300H0BF5JCG96TJ81 482480AE0 3200000.000000 PA USD 3249096.930000 0.2361473 Long DBT CORP US N 2 2024-11-01 Fixed 4.65 N N N N N N KVK CLO LTD 2013-1A N/A 482739AF6 164616.610000 PA USD 164982.370000 0.0119911 Long ABS-CBDO CORP KY N 2 2028-01-14 Floating 1.93843 N N N N N N LCM XV LP 15A N/A 50184NAR3 3600000.000000 PA USD 3543588.290000 0.2575511 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 2.06271 N N N N N N LEGACY MORTGAGE ASSET TRUST 2020-GS1 N/A 52474PAA0 2947281.070000 PA USD 2930506.910000 0.2129918 Long ABS-MBS CORP US N 2 2059-10-25 Fixed 2.882 N N N N N N LENDMARK FUNDING TRUST 2021-1A N/A 52607MAA7 3800000.000000 PA USD 3303351.020000 0.2400905 Long ABS-O CORP US N 2 2031-11-20 Fixed 1.9 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI115ML0 50000.000000 PA 33562.320000 0.0024393 Long DBT CORP GB N 2 2025-03-07 Fixed 4 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 BF4TF2II0 4400000.000000 PA 3012401.820000 0.2189440 Long DBT CORP GB N 2 2025-03-07 Floating 2.6355 N N N N N N LOANCORE ISSUER LTD 2018-CRE1 N/A 53946MAA5 191682.520000 PA USD 191203.310000 0.0138968 Long ABS-CBDO CORP KY N 2 2028-05-15 Floating 2.454 N N N N N N LOANCORE ISSUER LTD 2021-CRE4 N/A 53946CAA7 2402374.120000 PA USD 2351217.360000 0.1708886 Long ABS-MBS CORP US N 2 2035-07-15 Floating 1.69372 N N N N N N LUXE COMMERCIAL MORTGAGE TRUST 2021-MLBH N/A 55066XAA0 4000000.000000 PA USD 3850766.000000 0.2798771 Long ABS-MBS CORP US N 2 2038-11-15 Floating 2.305 N N N N N N LUXE TRUST 2021-TRIP N/A 55066WAA2 4000000.000000 PA USD 3858303.200000 0.2804249 Long ABS-MBS CORP US N 2 2038-10-15 Floating 2.374 N N N N N N MAGALLANES INC 549300DXR29GD4N0A520 55903VAB9 3600000.000000 PA USD 3527432.170000 0.2563769 Long DBT CORP US N 2 2024-03-15 Fixed 3.528 N N N N N N MAGNETITE VIII CLO LTD 2014-8A N/A 55952YAP2 3800000.000000 PA USD 3752715.000000 0.2727507 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 2.02429 N N N N N N MAN GLG EURO CLO V DAC 5A N/A ACI1WBHS4 3000000.000000 PA 3076581.140000 0.2236087 Long ABS-CBDO CORP IE N 2 2031-12-15 Floating 0.69 N N N N N N MANULIFE FINANCIAL CORPORATION 5493007GBX87QOZACS27 56501RAN6 3600000.000000 PA USD 3312491.040000 0.2407548 Long DBT CORP CA N 2 2032-03-16 Fixed 3.703 N N N N N N MARINER FINANCE ISSUANCE TRUST 2021-A N/A 56848DAA7 4000000.000000 PA USD 3542510.400000 0.2574728 Long ABS-O CORP US N 2 2036-03-20 Fixed 1.86 N N N N N N MASTR REPERFORMING LOAN TR 2006-1 N/A 57643QBP9 88848.860000 PA USD 75017.380000 0.0054523 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 8 Y N N N N N MASTR SPECIALIZED LOAN TRUST 2006-2 N/A 57643AAA8 267541.850000 PA USD 256657.610000 0.0186541 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.14357 N N N N N N MASTR SPECIALIZED LOAN TRUST 2006-3 N/A 57643BAA6 347520.110000 PA USD 330097.990000 0.0239918 Long ABS-MBS CORP US N 2 2046-06-25 Floating 1.88357 N N N N N N MASTR SPECIALIZED LOAN TRUST 2007-1 N/A 57645KAA4 256928.260000 PA USD 125566.700000 0.0091263 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.99357 N N N N N N MELLON RESIDENTIAL FUND CORP 2002-TBC2 N/A 585525FX1 32902.620000 PA USD 30351.990000 0.0022060 Long ABS-MBS CORP US N 2 2032-08-15 Floating 2.184 N N N N N N MF1 2021-FL5 LTD N/A 55282XAA8 2299909.600000 PA USD 2272572.180000 0.1651726 Long ABS-MBS CORP KY N 2 2036-07-15 Floating 2.2983 N N N N N N MF1 2021-FL6 LTD N/A 55283TAA6 3500000.000000 PA USD 3392688.600000 0.2465836 Long ABS-CBDO CORP KY N 2 2036-07-16 Floating 2.62343 N N N N N N MF1 2021-FL7 LTD N/A 55284AAA6 3800000.000000 PA USD 3648000.000000 0.2651399 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 2.69229 N N N N N N MF1 2022-FL9 LLC N/A 55285AAA5 3500000.000000 PA USD 3435250.350000 0.2496771 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 2.96 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822BZ6 4000000.000000 PA USD 3528668.920000 0.2564668 Long DBT CORP JP N 2 2027-10-13 Floating 1.64 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YBX6 3700000.000000 PA USD 3320292.750000 0.2413218 Long DBT CORP JP N 2 2030-05-22 Floating 3.261 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YBG3 2800000.000000 PA USD 2789686.650000 0.2027569 Long DBT CORP JP N 2 2024-07-10 Floating 1.97886 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YER2 3600000.000000 PA USD 3522995.240000 0.2560544 Long DBT CORP US N 2 2028-04-20 Floating 4.21 N N N N N N MORGAN STANLEY ABS CAPITAL I 2004-HE9 N/A 61744CJU1 723633.420000 PA USD 708645.160000 0.0515050 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.55357 N N N N N N MORGAN STANLEY CAPITAL INC 2006-HE2 N/A 617451EU9 34510.540000 PA USD 28773.770000 0.0020913 Long ABS-MBS CORP US N 2 2036-03-25 Floating 1.98357 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAP6 41988.540000 PA USD 41439.970000 0.0030119 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.5352 N N N N N N MORTGAGEIT TRUST 2005-4 N/A 61913PAZ5 166215.480000 PA USD 158741.250000 0.0115375 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.18357 N N N N N N MOUNTAIN VIEW CLO LLC 2017-2A N/A 62432LAL5 4200000.000000 PA USD 4120200.000000 0.2994598 Long ABS-CBDO CORP KY N 2 2031-01-16 Floating 2.08429 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAA5 3400000.000000 PA USD 3392035.230000 0.2465361 Long DBT CORP GB N 2 2024-03-08 Floating 3.766 N N N N N N NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2022-RRI N/A 63875JAA6 4000000.000000 PA USD 3920162.000000 0.2849209 Long ABS-MBS CORP US N 2 2035-03-15 Floating 3.10225 N N N N N N NETAPP INC QTX3D84DZDD5JYOCYH15 64110DAL8 2500000.000000 PA USD 2334378.230000 0.1696647 Long DBT CORP US N 2 2025-06-22 Fixed 1.875 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-7 N/A 007036MX1 10320.840000 PA USD 9948.570000 0.0007231 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.34406 Y N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KBT6 4300000.000000 PA USD 4273702.490000 0.3106165 Long DBT CORP US N 2 2023-02-22 Floating 1.77486 N N N N N N NIAGARA MOHAWK POWER CORPORATION 3T97Y9RR5EN5Y18QHB56 65364UAB2 1400000.000000 PA USD 1395398.580000 0.1014188 Long DBT CORP US N 2 2022-11-28 Fixed 2.721 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 654740BR9 4300000.000000 PA USD 4196264.180000 0.3049882 Long DBT CORP US N 2 2024-03-08 Floating 2.305 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 65480CAC9 3800000.000000 PA USD 3205724.730000 0.2329949 Long DBT CORP US N 2 2026-09-16 Fixed 1.85 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAR0 4100000.000000 PA USD 3759935.670000 0.2732755 Long DBT CORP JP N 2 2025-07-16 Fixed 1.851 N N N N N N AEP TEXAS INC (AKA: CENTRAL & SOUTH WEST CORP) 5493001L78U618KXNZ75 00108WAH3 1800000.000000 PA USD 1737830.110000 0.1263070 Long DBT CORP US N 2 2028-06-01 Fixed 3.95 N N N N N N NTT FINANCE CORPORATION 3538007PR116187GD960 62954WAB1 4300000.000000 PA USD 4091048.120000 0.2973410 Long DBT CORP JP N 2 2024-03-01 Fixed 0.583 N N N N N N NYO 2021-1290 NYO COMMERCIAL MORTGAGE TRUST N/A 62955HAA5 4000000.000000 PA USD 3833038.000000 0.2785886 Long ABS-MBS CORP US N 2 2038-11-15 Floating 2.42 N N N N N N ONE NEW YORK PLAZA TRUST 2020-1NYP N/A 68249DAA7 3000000.000000 PA USD 2910918.600000 0.2115682 Long ABS-MBS CORP US N 2 2036-01-15 Floating 2.274 N N N N N N ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2 N/A 67114WAA9 3842888.110000 PA USD 3416613.440000 0.2483225 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5 N/A 69121PBU6 3412458.300000 PA USD 3239403.670000 0.2354427 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.52357 N N N N N N OZLM XXI 2017-21A N/A 67112AAA9 3800000.000000 PA USD 3728020.400000 0.2709558 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 2.21271 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JP3 1400000.000000 PA USD 1283750.960000 0.0933042 Long DBT CORP US N 2 2026-01-01 Fixed 3.15 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308KA4 3000000.000000 PA USD 2923778.280000 0.2125028 Long DBT CORP US N 2 2024-02-16 Fixed 3.25 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HM2 3000000.000000 PA USD 2843884.410000 0.2066960 Long DBT CORP US N 2 2025-06-15 Fixed 3.5 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HK6 1300000.000000 PA USD 1250486.190000 0.0908864 Long DBT CORP US N 2 2024-08-15 Fixed 3.4 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JS7 4300000.000000 PA USD 4235560.720000 0.3078443 Long DBT CORP US N 2 2023-03-10 Fixed 1.367 N N N N N N PALMER SQUARE LOAN FUNDING 2021-4 N/A 69702HAA6 3656846.430000 PA USD 3590226.370000 0.2609408 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 1.84429 N N N N N N PARK PLACE SECURITIES INC 2004-WWF1 N/A 70069FDN4 1352078.180000 PA USD 1322328.540000 0.0961080 Long ABS-MBS CORP US N 2 2034-12-25 Floating 3.42357 N N N N N N PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP N/A 709599BC7 2000000.000000 PA USD 2008230.820000 0.1459600 Long DBT CORP US N 2 2023-08-01 Fixed 4.125 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BX9 9700000.000000 PA 2316345.300000 0.1683540 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638CZ3 2000000.000000 PA 422092.200000 0.0306780 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.4 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638AY8 20500000.000000 PA 5601209.350000 0.4071009 Long DBT NUSS PE N 2 2026-08-12 Fixed 8.2 N N N N N N PFP III LTD 2021-7 N/A 69290LAA5 1678401.370000 PA USD 1622846.540000 0.1179499 Long ABS-MBS CORP KY N 2 2038-04-14 Floating 2.174 N N N N N N PHYSICIANS REALTY LP 549300P6Q1UMT0X60U20 71951QAA0 500000.000000 PA USD 490478.760000 0.0356484 Long DBT CORP US N 2 2027-03-15 Fixed 4.3 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 20896.580000 PA USD 20662.140000 0.0015017 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.02357 N N N N N N PROVINCE OF BUENOS AIRES ARGENTINA 549300L6AYROPOTQ4L07 P1910WRC5 4288000.000000 PA 16147.290000 0.0011736 Long DBT NUSS AR N 2 2025-04-12 Floating 42.0333 N N N N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 74814ZEL3 600000.000000 PA 467944.720000 0.0340106 Long DBT NUSS CA N 2 2022-12-01 Fixed 3.5 N N N N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74762EAG7 3800000.000000 PA USD 3517571.540000 0.2556602 Long DBT CORP US N 2 2024-10-01 Fixed 0.95 N N N N N N RAYMOND JAMES FINANCIAL INC RGUZHJ05YTITL6D76949 754730AG4 1900000.000000 PA USD 1881707.560000 0.1367642 Long DBT CORP US N 2 2030-04-01 Fixed 4.65 N N N N N N READY CAPITAL MORTGAGE FINANCING 2022-FL8 LLC N/A 75574PAA0 3700000.000000 PA USD 3571487.900000 0.2595789 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.59768 N N N N N N REGENCY CENTERS LP 5493008PTR2GAOYBXW28 75884RBA0 3700000.000000 PA USD 3361808.640000 0.2443392 Long DBT CORP US N 2 2030-06-15 Fixed 3.7 N N N N N N RELIANCE STEEL & ALUMINUM CO 549300E287ZOFT3C5Z56 759509AF9 2600000.000000 PA USD 2370557.250000 0.1722942 Long DBT CORP US N 2 2025-08-15 Fixed 1.3 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-1 N/A 75970JAF3 927119.020000 PA USD 312271.390000 0.0226962 Long ABS-MBS CORP US N 2 2037-04-25 Variable 5.612 N N N N N N RENESAS ELECTRONICS CORPORATION 5299000EPC47VJQOFB81 75972BAA9 4000000.000000 PA USD 3738244.840000 0.2716990 Long DBT CORP JP N 2 2024-11-26 Fixed 1.543 N N N N N N RENESAS ELECTRONICS CORPORATION 5299000EPC47VJQOFB81 75972BAB7 3900000.000000 PA USD 3482620.440000 0.2531200 Long DBT CORP JP N 2 2026-11-25 Fixed 2.17 N N N N N N RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1 N/A 76112BR36 370978.280000 PA USD 338040.190000 0.0245691 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.06357 N N N N N N RESIDENTIAL ASSET MORTGAGE PROD 2006-NC2 N/A 75156TAD2 1000000.000000 PA USD 948228.700000 0.0689181 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.16357 N N N N N N RESIDENTIAL ASSET SECURITIES 2006-KS2 N/A 75406BAG2 3900000.000000 PA USD 3666755.040000 0.2665030 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.23857 N N N N N N RESIDENTIAL ASSET SECURITIES 2006-KS8 N/A 74924RAD0 1383994.710000 PA USD 1331008.200000 0.0967389 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.86357 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2005-SA4 N/A 76111XYD9 144134.480000 PA USD 101043.690000 0.0073439 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.02676 Y N N N N N RESIDENTIAL FUNDING MTGE SEC 2005-SA4 N/A 76111XYF4 222910.830000 PA USD 154780.360000 0.0112496 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.70367 N N N N N N RESLOC UK PLC 2007-1X N/A B1XCHCII2 854281.120000 PA 957555.250000 0.0695960 Long ABS-MBS CORP GB N 2 2043-12-15 Floating 1.7491 N N N N N N RGA GLOBAL FUNDING 549300Y22K5FOEBMSK42 76209PAA1 3900000.000000 PA USD 3555473.420000 0.2584150 Long DBT CORP US N 2 2026-11-30 Fixed 2 N N N N N N RIO OIL FINANCE TRUST SERIES 2014-1 549300V5D1W52HY8NO65 U76673AA7 323236.960000 PA USD 335284.000000 0.0243687 Long DBT CORP US N 2 2024-07-06 Variable 9.25 N N N N N N RIPON MORTGAGES PLC 1RA N/A ACI23KYX4 8185203.860000 PA 9865699.970000 0.7170478 Long ABS-MBS CORP GB N 2 2056-08-28 Floating 1.73578 N N N N N N ROGERS COMMUNICATIONS INC 54930030NVF3Y2OL0A78 775109CB5 2700000.000000 PA USD 2563414.940000 0.1863113 Long DBT CORP CA N 2 2027-03-15 Fixed 3.2 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 77586RAL4 3800000.000000 PA USD 2992937.000000 0.2175293 Long DBT NUSS RO N 2 2032-03-27 Fixed 3.625 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1MJRS7 3400000.000000 PA 2918197.640000 0.2120972 Long DBT NUSS RO N 2 2030-05-26 Fixed 3.624 N N N N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AU0 700000.000000 PA USD 673935.050000 0.0489822 Long DBT CORP US N 2 2028-03-15 Fixed 4.2 N N N N N N SANDERS RE III LTD N/A 80000XAC3 2600000.000000 PA USD 2602210.000000 0.1891309 Long DBT CORP BM N 2 2029-04-09 Floating 11.75 N N N N N N SANTANDER HOLDINGS USA INC 549300SMVCQN2P0O6I58 80282KAZ9 4200000.000000 PA USD 3942058.430000 0.2865123 Long DBT CORP US N 2 2026-10-05 Fixed 3.244 N N N N N N AMEREN CORPORATION XRZQ5S7HYJFPHJ78L959 023608AH5 2100000.000000 PA USD 2037196.940000 0.1480653 Long DBT CORP US N 2 2024-09-15 Fixed 2.5 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAA1 4200000.000000 PA USD 4021175.340000 0.2922626 Long ABS-MBS CORP US N 2 2038-05-15 Floating 2.474 N N N N N N SL GREEN OPERATING PARTNERSHIP LP 2K1OXW4LY7IS2U150Y32 78444FAF3 2148000.000000 PA USD 2142858.120000 0.1557448 Long DBT CORP US N 2 2022-10-15 Fixed 3.25 N N N N N N SMALL BUSINESS ADMIN PART CERT 2004-20C N/A 83162CNQ2 1136.590000 PA USD 1126.060000 0.0000818 Long ABS-O CORP US N 2 2024-03-01 Fixed 4.34 N N N N N N SMALL BUSINESS ADMIN PART CERT 2005-20G N/A 83162CPR8 542258.350000 PA USD 538698.800000 0.0391531 Long ABS-O CORP US N 2 2025-07-01 Fixed 4.75 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2003-20I N/A 83162CNF6 184.920000 PA USD 184.470000 0.0000134 Long ABS-O CORP US N 2 2023-09-01 Fixed 5.13 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83368RBC5 3700000.000000 PA USD 3233845.250000 0.2350387 Long DBT CORP FR N 2 2027-06-09 Floating 1.792 N N N N N N SOUND POINT CLO XII LTD 2016-2A N/A 83610CAW1 2975852.000000 PA USD 2939995.930000 0.2136815 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 2.11271 N N N N N N SOUND POINT CLO XVI LTD 2017-2A N/A 83610KAJ2 3800000.000000 PA USD 3737300.000000 0.2716303 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 2.164 N N N N N N SOUND POINT CLO XVII 2017-3A N/A 83611GAL5 3800000.000000 PA USD 3731554.780000 0.2712127 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 2.04271 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT1 N/A 83611MDH8 484498.470000 PA USD 479878.730000 0.0348780 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.29857 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 S69124FF7 232100000.000000 PA 15107669.950000 1.0980389 Long DBT NUSS ZA N 2 2026-12-21 Fixed 10.5 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HL0 4000000.000000 PA USD 3991449.080000 0.2901021 Long DBT CORP US N 2 2022-12-02 Floating 1.62002 N N N N N N SOUTHERN CALIFORNIA GAS COMPANY XY0N0J73VHV5F4CUJV89 842434CW0 3600000.000000 PA USD 3410513.640000 0.2478792 Long DBT CORP US N 2 2027-04-15 Fixed 2.95 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587DH7 3700000.000000 PA USD 3168102.840000 0.2302605 Long DBT CORP US N 2 2028-03-15 Fixed 1.75 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BV1 3600000.000000 PA USD 3574386.540000 0.2597896 Long DBT CORP GB N 2 2023-10-14 Floating 1.319 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CE8 4000000.000000 PA USD 3707371.240000 0.2694550 Long DBT CORP GB N 2 2025-11-23 Floating 1.822 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2019-FL1 N/A 78485WAA7 2448178.970000 PA USD 2429817.630000 0.1766013 Long ABS-CBDO CORP KY N 2 2038-07-15 Floating 2.5283 N N N N N N STARWOOD PROPERTY TRUST INC BUGSFQZERKRBFWIG5267 85571BAY1 3800000.000000 PA USD 3304746.000000 0.2401919 Long DBT CORP US N 2 2027-01-15 Fixed 4.375 N N N N N N STONEPEAK 2021-1 ABS N/A 78433XAA8 3587294.380000 PA USD 3350015.660000 0.2434821 Long ABS-O CORP US N 2 2033-02-28 Fixed 2.301 N N N N N N AMERICAN HOME MTGE INV TRUST 2004-4 N/A 02660TCS0 909.650000 PA USD 907.730000 0.0000660 Long ABS-MBS CORP US N 2 2045-02-25 Floating 4.08614 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-1 N/A 86362TAF4 1155413.050000 PA USD 869475.470000 0.0631943 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.87605 Y N N N N N STRUCTURED ARM LOAN TRUST 2004-8 N/A 86359BWG2 63206.030000 PA USD 61366.390000 0.0044602 Long ABS-MBS CORP US N 2 2034-07-25 Floating 3.02978 N N N N N N STRUCTURED ASSET INVST LN TR 2005-4 N/A 86358ESN7 2161525.720000 PA USD 2131989.980000 0.1549549 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.52357 N N N N N N STRUCTURED ASSET MTG INV INC 2003-AR1 N/A 86358HRX9 11657.160000 PA USD 10971.980000 0.0007975 Long ABS-MBS CORP US N 2 2033-10-19 Floating 2.43514 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPE3 211130.710000 PA USD 199549.770000 0.0145035 Long ABS-MBS CORP US N 2 2035-07-19 Floating 2.09514 N N N N N N STRUCTURED ASSET MTGE INVEST 2007-AR7 N/A 86364KAA2 4310532.390000 PA USD 3613585.680000 0.2626386 Long ABS-MBS CORP US N 2 2047-05-25 Floating 2.47357 Y N N N N N STRUCTURED ASSET SEC CORP 2007-WF1 N/A 86358BAT9 1164974.450000 PA USD 1099504.400000 0.0799130 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.04357 N N N N N N STRUCTURED ASSET SECUR CORP 2006-WF4 N/A 863576DL5 500000.000000 PA USD 485862.150000 0.0353129 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.62857 N N N N N N STWD 2022-FL3 LTD N/A 78485KAA3 3800000.000000 PA USD 3669329.020000 0.2666901 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 2.12924 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MCN8 4000000.000000 PA USD 3487258.280000 0.2534570 Long DBT CORP JP N 2 2029-01-14 Fixed 2.472 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MCA6 3500000.000000 PA USD 3219323.560000 0.2339833 Long DBT CORP JP N 2 2025-07-08 Fixed 1.474 N N N N N N SUN COMMUNITIES OPERATING LIMITED PARTNERSHIP 549300PUNBPJCGT6X741 866677AF4 3900000.000000 PA USD 3339551.320000 0.2427216 Long DBT CORP US N 2 2028-11-01 Fixed 2.3 N N N N N N SUNRUN DEMETER ISSUER 2021-2A N/A 86772HAA5 3823485.790000 PA USD 3215188.320000 0.2336827 Long ABS-O CORP US N 2 2057-01-30 Fixed 2.27 N N N N N N SUNTORY HOLDINGS LIMITED 54930074QUY8RD0UZM08 86803UAD3 4300000.000000 PA USD 4112399.430000 0.2988928 Long DBT CORP JP N 2 2024-10-16 Fixed 2.25 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAT7 1900000.000000 PA USD 1873540.200000 0.1361706 Long DBT CORP US N 2 2024-05-15 Fixed 3.375 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABZ7 2600000.000000 PA USD 2352422.440000 0.1709762 Long DBT CORP US N 2 2026-02-15 Fixed 1.5 N N N N N N TAMPA ELECTRIC COMPANY WS423EPRKJIIJUITXD73 875127BB7 1800000.000000 PA USD 1798171.940000 0.1306927 Long DBT CORP US N 2 2022-09-15 Fixed 2.6 N N N N N N TESCO PROPERTY FINANCE 5 PLC 213800BN1HYPUZMXAF92 ACI01EQ39 1354155.260000 PA 1712481.660000 0.1244647 Long DBT CORP GB N 2 2041-10-13 Fixed 5.6611 N N N N N N TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV 5493004T21MOAFINJP35 88167AAL5 3400000.000000 PA USD 3357500.000000 0.2440261 Long DBT CORP NL N 2 2024-04-15 Fixed 6 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 06418BAC2 4000000.000000 PA USD 3917944.400000 0.2847597 Long DBT CORP CA N 2 2024-03-11 Fixed 2.44 N N N N N N TIAA CLO III LTD 2017-2A N/A 87272HAA8 3700000.000000 PA USD 3640571.710000 0.2646000 Long ABS-CBDO CORP KY N 2 2031-01-16 Floating 2.19429 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89114TZT2 3600000.000000 PA USD 3371275.480000 0.2450273 Long DBT CORP CA N 2 2027-03-10 Fixed 2.8 N N N N N N TOWD POINT HE TRUST 2021-HE1 N/A 89180DAA4 1886911.920000 PA USD 1802335.430000 0.1309953 Long ABS-MBS CORP US N 2 2063-02-25 Variable 0.918 N N N N N N TOWD POINT MORTGAGE 20-FUNDING 2020 - AUBURN 14 PLC 20-A14X N/A ACI1NPPB1 6944006.000000 PA 8420535.200000 0.6120120 Long ABS-MBS CORP GB N 2 2045-05-20 Floating 1.91635 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 5019305.000000 PA 6101744.280000 0.4434802 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 1.81833 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 4168624.090000 PA 5058095.980000 0.3676269 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 2.06263 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 5800000.000000 PA USD 5798840.000000 0.4214648 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UBS AG / STAMFORD BRANCH BFM8T61CT2L1QCEMIK50 90261AAB8 250000.000000 PA USD 250745.100000 0.0182244 Long DBT CORP CH N 2 2022-08-17 Fixed 7.625 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AM0 3800000.000000 PA USD 3790712.690000 0.2755124 Long DBT CORP CH N 2 2026-05-12 Floating 4.488 N N N N N N UMBS PASS THRU POOLS N/A 01F020679 -44000000.000000 PA USD -38197500.000000 -2.7762283 Short ABS-MBS USGSE US N 2 2052-07-14 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F022675 -43300000.000000 PA USD -38953086.150000 -2.8311450 Short ABS-MBS USGSE US N 2 2052-07-14 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F032682 3500000.000000 PA USD 3362994.920000 0.2444255 Long ABS-MBS USGSE US N 2 2052-08-11 Fixed 3.5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 7800000.000000 PA USD 8080163.990000 0.5872735 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNITED AIRLINES INC K1OQBWM7XEOO08LDNP29 90932LAG2 3400000.000000 PA USD 3008048.000000 0.2186276 Long DBT CORP US N 2 2026-04-15 Fixed 4.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796XN4 2100000.000000 PA USD 2095447.520000 0.1522990 Long DBT UST US N 2 2022-08-23 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796X20 2700000.000000 PA USD 2698626.380000 0.1961386 Long DBT UST US N 2 2022-07-19 None 0 N N N N N N ANCHORAGE CAPITAL CLO 11 LTD 2019-11A N/A 03330NAJ3 4000000.000000 PA USD 3888212.320000 0.2825987 Long ABS-CBDO CORP KY N 2 2032-07-22 Floating 2.27629 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796T58 1300000.000000 PA USD 1297159.860000 0.0942787 Long DBT UST US N 2 2022-08-25 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796T66 6800000.000000 PA USD 6782228.400000 0.4929384 Long DBT UST US N 2 2022-09-01 None 0 N N N N N N ANGEL OAK MORTGAGE TRUST 2021-8 N/A 03465MAA1 3432678.950000 PA USD 3119252.360000 0.2267100 Long ABS-MBS CORP US N 2 2066-11-25 Variable 1.82 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBL4 1200000.000000 PA USD 1031343.740000 0.0749590 Long DBT UST US N 2 2031-02-15 Fixed 1.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SW9 4000000.000000 PA USD 3138828.120000 0.2281328 Long DBT UST US N 2 2041-02-15 Fixed 1.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEP2 4100000.000000 PA USD 4054515.630000 0.2946858 Long DBT UST US N 2 2032-05-15 Fixed 2.875 N N N N N N ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC N/A 03522AAG5 4100000.000000 PA USD 4039999.490000 0.2936308 Long DBT CORP US N 2 2026-02-01 Fixed 3.65 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SN9 5600000.000000 PA USD 3565406.260000 0.2591369 Long DBT UST US N 2 2050-05-15 Fixed 1.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286Z8 9000000.000000 PA USD 8785546.920000 0.6385414 Long DBT UST US N 2 2024-06-30 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282P4 8227000.000000 PA USD 8231959.480000 0.5983061 Long DBT UST US N 2 2022-07-31 Fixed 1.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XQ8 1200000.000000 PA USD 1200847.000000 0.0872786 Long DBT UST US N 2 2022-07-31 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SP4 9300000.000000 PA USD 6125830.110000 0.4452308 Long DBT UST US N 2 2050-08-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828L57 1402000.000000 PA USD 1401795.520000 0.1018837 Long DBT UST US N 2 2022-09-30 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828M80 315000.000000 PA USD 314514.290000 0.0228592 Long DBT UST US N 2 2022-11-30 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810ST6 32000000.000000 PA USD 23058750.080000 1.6759305 Long DBT UST US N 2 2040-11-15 Fixed 1.375 N N N N N N UNITED WHOLESALE MORTGAGE LLC 2021-INV3 N/A 90355RAC6 3794610.290000 PA USD 3266309.470000 0.2373983 Long ABS-MBS CORP US N 2 2051-11-25 Variable 2.5 N N N N N N UNITED WHOLESALE MORTGAGE LLC 2021-INV5 N/A 90355DAV5 3859715.090000 PA USD 3441186.110000 0.2501085 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N UNIVERSITY OF CALIFORNIA N/A 91412HGE7 1000000.000000 PA USD 931579.800000 0.0677080 Long DBT MUN US N 2 2025-05-15 Fixed 0.883 N N N N N N UTAH ACQUISITION SUB INC 254900JOFV74IJ7H9933 62854AAN4 4300000.000000 PA USD 4058928.460000 0.2950065 Long DBT CORP US N 2 2026-06-15 Fixed 3.95 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 2480388.470000 PA USD 2453640.180000 0.1783328 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 1.92429 N N N N N N VENTURE CLO LTD 2018-33A N/A 92330YAN3 4400000.000000 PA USD 4325682.060000 0.3143944 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 2.10429 N N N N N N VENTURE XXIX CLO LTD 2017-29A N/A 92331EAF3 3600000.000000 PA USD 3551132.380000 0.2580995 Long ABS-CBDO CORP KY N 2 2030-09-07 Floating 2.40129 N N N N N N VENTURE XXVII CLO LTD 2017-27A N/A 92331LBC3 3500000.000000 PA USD 3457925.660000 0.2513251 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 2.11271 N N N N N N VENTURE XXVIII CLO LTD 2017-28A N/A 92331AAW4 3800000.000000 PA USD 3747227.420000 0.2723518 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 2.05271 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VGN8 8546000.000000 PA USD 7093155.560000 0.5155369 Long DBT CORP US N 2 2032-03-15 Fixed 2.355 N N N N N N VIBRANT CLO VI LTD 2017-6A N/A 92558EAJ1 2336764.330000 PA USD 2302881.250000 0.1673755 Long ABS-CBDO CORP KY N 2 2029-06-20 Floating 3.04586 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AD7 1700000.000000 PA USD 1706347.770000 0.1240189 Long DBT CORP US N 2 2025-05-15 Fixed 4.5 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668BD3 2200000.000000 PA USD 2184970.440000 0.1588056 Long DBT CORP US N 2 2023-05-12 Fixed 3.125 N N N N N N WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP) 06BTX5UWZD0GQ5N5Y745 960386AQ3 2100000.000000 PA USD 2004528.020000 0.1456909 Long DBT CORP US N 2 2025-06-15 Fixed 3.2 N N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAP5 742337.660000 PA USD 706267.320000 0.0513321 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.32538 Y N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 107901.350000 PA USD 103243.790000 0.0075039 Long ABS-MBS CORP US N 2 2045-10-25 Floating 2.20357 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAE3 810949.260000 PA USD 758919.160000 0.0551589 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.38745 Y N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4 N/A 03880RAA7 4500000.000000 PA USD 4362474.600000 0.3170685 Long ABS-CBDO CORP KY N 2 2036-11-15 Floating 2.674 N N N N N N WELLFLEET CLO LTD 2017-1A N/A 94950GAL1 3373614.100000 PA USD 3350041.140000 0.2434840 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 1.95271 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGH7 1500000.000000 PA USD 1467675.660000 0.1066720 Long DBT CORP US N 2 2025-02-19 Fixed 3 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2V4 3500000.000000 PA USD 3318142.210000 0.2411655 Long DBT CORP US N 2 2028-03-24 Floating 3.526 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2X0 2400000.000000 PA USD 2363387.420000 0.1717731 Long DBT CORP US N 2 2026-04-25 Floating 3.908 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGP9 3600000.000000 PA USD 3541153.180000 0.2573742 Long DBT CORP US N 2 2025-09-29 Fixed 3.55 N N N N N N WELLS FARGO ALTERNATIVE LOAN TRUST 2007-PA2 N/A 94985FAA6 1961882.990000 PA USD 1806210.910000 0.1312770 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 Y N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-1745 N/A 94990DAA4 3500000.000000 PA USD 3259009.950000 0.2368677 Long ABS-MBS CORP US N 2 2036-06-15 Variable 3.87366 N N N N N N WIPRO IT SERVICES LLC 549300S6XZZ65F0EJS98 97654MAA4 4450000.000000 PA USD 4000869.510000 0.2907868 Long DBT CORP US N 2 2026-06-23 Fixed 1.5 N N N N N N N/A N/A 000000000 4216000.000000 PA USD 4216000.000000 0.3064226 Long RA US N 2 Repurchase N 0.4000000 2022-07-01 4305100.000000 USD 4300390.220000 USD UST N N N ARES XL CLO LTD 2016-40A N/A 04016GBB3 3588489.020000 PA USD 3535812.870000 0.2569860 Long ABS-CBDO CORP KY N 2 2029-01-15 Floating 1.91429 N N N N N N N/A N/A 000000000 -9760000.000000 NC -640.000000 -0.0000465 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A 213800J6B7JSBDETCB42 000000000 0.000000 NC USD 0.000000 0.000000 DFE AU 0.000000 N/A 0.000000 N/A 2022-07-08 N/A 0.720000 AUD 2022-07-08 XXXX 49886.220000 N N N N/A N/A 000000000 -3500000.000000 NC -2616.390000 -0.0001902 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 213800J6B7JSBDETCB42 000000000 0.000000 NC USD 0.000000 0.000000 DFE AU 0.000000 N/A 0.000000 N/A 2022-08-11 N/A 0.740000 AUD 2022-08-11 XXXX 17404.090000 N N N N/A N/A 000000000 1.000000 NC 1346287.980000 0.0978494 N/A DFE BR N 2 Banco Santander, S.A. N/A 31606544.280000 USD 172457000.000000 BRL 2022-07-05 1346287.980000 N N N N/A N/A 000000000 1.000000 NC -39838.850000 -0.0028955 N/A DFE BR N 2 Banco Santander, S.A. N/A 2500000.000000 BRL 437857.510000 USD 2022-07-05 -39838.850000 N N N N/A N/A 000000000 1.000000 NC -89012.950000 -0.0064695 N/A DFE BR N 2 Banco Santander, S.A. N/A 5800000.000000 BRL 1019242.600000 USD 2022-07-05 -89012.950000 N N N N/A N/A 000000000 1.000000 NC -331.840000 -0.0000241 N/A DFE BR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 155000.000000 USD 819640.000000 BRL 2022-08-16 -331.840000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI24ZDF2 15200000.000000 PA 50951.200000 0.0037032 Long DBT NUSS AR N 2 2022-09-30 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -16871.280000 -0.0012262 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 713650.810000 USD 663000.000000 EUR 2022-08-16 -16871.280000 N N N N/A N/A 000000000 1.000000 NC -168496.820000 -0.0122465 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 9369559.850000 USD 8755000.000000 EUR 2022-08-16 -168496.820000 N N N N/A N/A 000000000 1.000000 NC -26199.710000 -0.0019042 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1006871.620000 USD 805000.000000 GBP 2022-08-16 -26199.710000 N N N N/A N/A 000000000 1.000000 NC -37019.200000 -0.0026906 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1107839.830000 USD 879000.000000 GBP 2022-08-16 -37019.200000 N N N N/A N/A 000000000 1.000000 NC -220038.530000 -0.0159926 N/A DFE NO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 6767551.000000 USD 64436099.900000 NOK 2022-08-16 -220038.530000 N N N N/A N/A 000000000 1.000000 NC 19909.000000 0.0014470 N/A DFE PE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3974308.440000 USD 15338843.440000 PEN 2022-08-02 19909.000000 N N N N/A N/A 000000000 1.000000 NC -5807.290000 -0.0004221 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 6074000.000000 AUD 4188176.670000 USD 2022-08-16 -5807.290000 N N N N/A N/A 000000000 1.000000 NC 2356.850000 0.0001713 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 408000.000000 EUR 431144.250000 USD 2022-08-16 2356.850000 N N N N/A N/A 000000000 1.000000 NC -23169.050000 -0.0016839 N/A DFE PE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3543740.250000 PEN 899517.780000 USD 2022-08-03 -23169.050000 N N N N/A N/A 000000000 1.000000 NC -24203.620000 -0.0017591 N/A DFE PE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 15338843.440000 PEN 3906492.660000 USD 2023-02-06 -24203.620000 N N N N/A N/A 000000000 1.000000 NC -26501.040000 -0.0019261 N/A DFE NO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4664727.310000 USD 45646222.620000 NOK 2022-08-16 -26501.040000 N N N N/A N/A 000000000 1.000000 NC 42768.210000 0.0031084 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 541000000.000000 JPY 4048834.480000 USD 2022-09-12 42768.210000 N N N N/A N/A 000000000 1.000000 NC -11416.380000 -0.0008298 N/A DFE AU N 2 BNP Paribas S.A. N/A 11526000.000000 AUD 7947072.110000 USD 2022-08-16 -11416.380000 N N N N/A N/A 000000000 1.000000 NC -2752147.410000 -0.2000285 N/A DFE BR N 2 BNP Paribas S.A. N/A 164157000.000000 BRL 28614732.950000 USD 2022-07-05 -2752147.410000 N N N N/A N/A 000000000 1.000000 NC 14298.300000 0.0010392 N/A DFE IL N 2 BNP Paribas S.A. N/A 4323952.000000 ILS 1273623.560000 USD 2023-03-02 14298.300000 N N N N/A N/A 000000000 1.000000 NC 36535.180000 0.0026554 N/A DFE JP N 2 BNP Paribas S.A. N/A 459000000.000000 JPY 3435397.320000 USD 2022-09-12 36535.180000 N N N N/A N/A 000000000 1.000000 NC -45724.260000 -0.0033233 N/A DFE PE N 2 BNP Paribas S.A. N/A 3331022.250000 PEN 816007.020000 USD 2022-10-05 -45724.260000 N N N N/A N/A 000000000 1.000000 NC USD -85473.330000 -0.0062123 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2027-06-22 0.000000 USD -71562.590000 USD 1300000.000000 USD -13910.740000 N N N N/A N/A 000000000 1.000000 NC USD 481734.450000 0.0350129 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.38 Y Single Leg Swap 2027-06-22 488156.220000 USD 0.000000 USD 17325000.000000 USD -6421.770000 N N N N/A N/A 000000000 1.000000 NC USD 960.760000 0.0000698 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.38 Y Single Leg Swap 2027-06-22 0.000000 USD -44708.750000 USD 83700000.000000 USD 45669.510000 N N N N/A N/A 000000000 1.000000 NC -361.090000 -0.0000262 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 155000.000000 USD 819485.000000 BRL 2022-08-16 -361.090000 N N N N/A N/A 000000000 1.000000 NC -347.870000 -0.0000253 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7056.570000 USD 35109.620000 BRL 2022-07-05 -347.870000 N N N N/A N/A 000000000 1.000000 NC -1291.050000 -0.0000938 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 281000.000000 USD 2754474.400000 NOK 2022-07-18 -1291.050000 N N N N/A N/A 000000000 1.000000 NC -832.250000 -0.0000605 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 49370.320000 USD 186516.120000 PEN 2022-08-08 -832.250000 N N N N/A N/A 000000000 1.000000 NC 16719.680000 0.0012152 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4182000.000000 AUD 2904312.850000 USD 2022-08-16 16719.680000 N N N N/A N/A 000000000 1.000000 NC 766.080000 0.0000557 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1157000.000000 GBP 1410253.530000 USD 2022-08-16 766.080000 N N N N/A N/A 000000000 1.000000 NC 320845.560000 0.0233193 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12595000.000000 ILS 3932005.490000 USD 2022-08-01 320845.560000 N N N N/A N/A 000000000 1.000000 NC 295444.720000 0.0214732 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12500625.000000 ILS 3898769.610000 USD 2022-10-07 295444.720000 N N N N/A N/A 000000000 1.000000 NC 233596.980000 0.0169780 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7701540.000000 ILS 2463704.410000 USD 2022-12-07 233596.980000 N N N N/A N/A 000000000 1.000000 NC 145540.660000 0.0105780 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4800000.000000 ILS 1535459.520000 USD 2022-12-07 145540.660000 N N N N/A N/A 000000000 1.000000 NC 315677.860000 0.0229437 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11997600.000000 ILS 3797069.340000 USD 2023-01-04 315677.860000 N N N N/A N/A 000000000 1.000000 NC 22646.670000 0.0016460 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5891767.000000 ILS 1712100.840000 USD 2022-08-03 22646.670000 N N N N/A N/A 000000000 1.000000 NC 18208.240000 0.0013234 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6058065.000000 ILS 1789415.150000 USD 2023-05-03 18208.240000 N N N N/A N/A 000000000 1.000000 NC 78934.770000 0.0057370 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9419250.000000 ILS 2832857.140000 USD 2023-05-03 78934.770000 N N N N/A N/A 000000000 1.000000 NC 36745.700000 0.0026707 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10055698.000000 ILS 2965407.840000 USD 2023-03-02 36745.700000 N N N N/A N/A 000000000 1.000000 NC -200478.960000 -0.0145710 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15338843.440000 PEN 3793738.480000 USD 2022-08-02 -200478.960000 N N N N/A N/A 000000000 1.000000 NC -54998.390000 -0.0039973 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9535315.600000 PEN 2408962.810000 USD 2022-10-19 -54998.390000 N N N N/A N/A 000000000 1.000000 NC 3097.160000 0.0002251 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4189896.450000 PEN 1079731.080000 USD 2022-12-27 3097.160000 N N N N/A N/A 000000000 1.000000 NC 4110.010000 0.0002987 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4539819.900000 PEN 1170660.110000 USD 2022-12-27 4110.010000 N N N N/A N/A 000000000 1.000000 NC USD 8734.500000 0.0006348 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CITIGROUP INC CITIGROUP INC SR UNSEC Y Single Leg Swap 2022-12-21 28312.170000 USD 0.000000 USD 3900000.000000 USD -19577.670000 N N N N/A N/A 000000000 1.000000 NC USD -489629.330000 -0.0355867 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 COLOMBIAN GOVT COLOMBIA (REP OF) GLBL UNSUBORDINATED Y Single Leg Swap 2027-06-21 0.000000 USD -333546.630000 USD 5900000.000000 USD -156082.700000 N N N N/A N/A 000000000 1.000000 NC -130401.670000 -0.0094777 N/A DFE NO N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 63615000.000000 NOK 6333676.790000 USD 2022-08-16 -130401.670000 N N N N/A N/A 000000000 1.000000 NC -61496.700000 -0.0044696 N/A DFE NO N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2725000.000000 USD 26230850.000000 NOK 2022-07-15 -61496.700000 N N N N/A N/A 000000000 1.000000 NC 78.700000 0.0000057 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1642380.000000 BRL 310000.000000 USD 2022-08-16 78.700000 N N N N/A N/A 000000000 1.000000 NC 389606.990000 0.0283170 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 35733000.000000 EUR 37943186.100000 USD 2022-08-16 389606.990000 N N N N/A N/A 000000000 1.000000 NC 705303.790000 0.0512621 N/A DFE GB N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 46023000.000000 GBP 56771717.670000 USD 2022-08-16 705303.790000 N N N N/A N/A 000000000 1.000000 NC 122450.400000 0.0088998 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 4899510.000000 ILS 1534741.890000 USD 2022-10-07 122450.400000 N N N N/A N/A 000000000 1.000000 NC -12994.780000 -0.0009445 N/A DFE ZA N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 55580546.100000 ZAR 3328076.770000 USD 2023-02-13 -12994.780000 N N N N/A N/A 000000000 -371.000000 NC USD -541623.830000 -0.0393657 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT EURO$ CME (RED) 12/18/23 2023-12-19 N/A USD N/A 96.500000 USD 2023-12-18 XXXX -105195.230000 N N N N/A N/A 000000000 1.000000 NC USD 4823.820000 0.0003506 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 -85606.030000 USD 1900000.000000 USD 90429.850000 N N N N/A N/A 000000000 1.000000 NC USD 2161.370000 0.0001571 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2024-06-21 0.000000 USD -1757.340000 USD 1200000.000000 USD 3918.710000 N N N N/A N/A 000000000 1.000000 NC USD -1202.640000 -0.0000874 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2024-12-21 0.000000 USD -9660.250000 USD 600000.000000 USD 8457.610000 N N N N/A N/A 000000000 1.000000 NC USD -51524.740000 -0.0037449 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-06-21 22544.920000 USD 0.000000 USD 2700000.000000 USD -74069.660000 N N N N/A N/A 000000000 1.000000 NC USD -89962.640000 -0.0065386 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-22 42661.210000 USD 0.000000 USD 3200000.000000 USD -132623.850000 N N N N/A N/A 000000000 1.000000 NC USD 141876.410000 0.0103117 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SRUNSEC Y Single Leg Swap 2026-12-22 285829.530000 USD 0.000000 USD 1500000.000000 USD -143953.120000 N N N N/A N/A 000000000 245.000000 NC 1228783.520000 0.0893091 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2022-09-08 38198930.250000 EUR 1228783.520000 N N N N/A N/A 000000000 -16.000000 NC 118192.660000 0.0085903 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-09-08 -2742443.230000 EUR 118192.660000 N N N AT&T INC 549300Z40J86GGSTL398 00206RHJ4 3700000.000000 PA USD 3645563.490000 0.2649628 Long DBT CORP US N 2 2029-03-01 Fixed 4.35 N N N N N N N/A N/A 000000000 1.000000 NC 2019.850000 0.0001468 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 375532.710000 USD 1448655.000000 PEN 2022-07-25 2019.850000 N N N N/A N/A 000000000 1.000000 NC -626.660000 -0.0000455 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 24856.720000 USD 93108.290000 PEN 2022-08-08 -626.660000 N N N N/A N/A 000000000 1.000000 NC 420934.000000 0.0305939 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 11998800.000000 ILS 3886313.950000 USD 2022-11-02 420934.000000 N N N N/A N/A 000000000 1.000000 NC 27478.500000 0.0019972 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 97685268.040000 ZAR 5845357.000000 USD 2023-05-12 27478.500000 N N N N/A N/A 000000000 1.000000 NC -77993.280000 -0.0056686 N/A DFE BR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1010000.000000 USD 4959100.000000 BRL 2022-08-31 -77993.280000 N N N N/A N/A 000000000 1.000000 NC -3910.350000 -0.0002842 N/A DFE CL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 41922.870000 USD 35129270.000000 CLP 2022-08-05 -3910.350000 N N N 2022-08-12 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX