NPORT-P false 0000810893 XXXXXXXX S000069546 C000221899 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (866) 746-2606 PIMCO All Asset: Multi-Real Fund S000069546 549300DK9U45IA3M6928 2023-03-31 2022-06-30 N 4962190060.520000 2870208969.050000 2091981091.470000 0.000000 682654763.990000 2077448215.040000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 31491479.830000 PEN CAD USD EUR GBP DKK JPY AUD NZD MXN N N/A N/A 000000000 1.000000 NC 1311.350000 0.0000627 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 369000.000000 CAD 287987.590000 USD 2022-08-16 1311.350000 N N N N/A N/A 000000000 1.000000 NC 15295.020000 0.0007311 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 306200000.000000 JPY 2278063.460000 USD 2022-08-16 15295.020000 N N N ATRIUM XII 12A N/A 04965CAJ7 299050.980000 PA USD 294714.740000 0.0140878 Long ABS-CBDO CORP KY N 2 2027-04-22 Floating 1.96629 N N N N N N N/A N/A 000000000 1.000000 NC USD -2330492.290000 -0.1114012 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A INVITATION HOMES INC Y 2022-12-07 0.000000 USD 0.000000 USD 40364172.000000 USD -2330492.290000 N N N N/A N/A 000000000 -759.000000 NC -3859204.190000 -0.1844761 N/A DIR DE N 1 Eurex N/A Short N/A ITALY GOVT 2022-09-08 -97928915.460000 EUR -3859204.190000 N N N N/A N/A 000000000 -130.000000 NC 59791.000000 0.0028581 N/A DIR DE N 1 Eurex N/A Short N/A ITALY GOVT 2022-09-08 -14834465.820000 EUR 59791.000000 N N N N/A N/A OP001JTX4 -4000000.000000 NC -8685.950000 -0.0004152 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.200000 EUR 2022-07-20 XXXX 9791.670000 N N N N/A N/A OP001JTY2 -4800000.000000 NC -10423.140000 -0.0004982 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.200000 EUR 2022-07-20 XXXX 11356.400000 N N N N/A N/A OP001R6R4 -5500000.000000 NC -18017.630000 -0.0008613 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN37 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.400000 EUR 2022-08-17 XXXX -2381.770000 N N N N/A N/A OP001NRW9 -1300000.000000 NC -2338.270000 -0.0001118 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN37 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.600000 EUR 2022-08-17 XXXX 815.430000 N N N N/A N/A 000000000 -170.000000 NC 806862.840000 0.0385693 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE N/A Short N/A JAPAN GOVT 2022-09-12 -186200619.100000 JPY 806862.840000 N N N N/A N/A 000000000 1.000000 NC 19833.700000 0.0009481 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7289520.200000 USD 6955000.000000 EUR 2022-08-16 19833.700000 N N N N/A N/A 000000000 1.000000 NC -14830.110000 -0.0007089 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1289094.480000 USD 1046000.000000 GBP 2022-08-16 -14830.110000 N N N N/A N/A 000000000 1.000000 NC 15933.840000 0.0007617 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 377000.000000 GBP 475205.030000 USD 2022-08-16 15933.840000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 B4RNSXII1 2054350.800000 PA 1553537.770000 0.0742616 Long DBT NUSS AU N 2 2025-09-20 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC 593457.950000 0.0283682 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2242213118.000000 JPY 17163050.000000 USD 2022-08-16 593457.950000 N N N N/A N/A 000000000 1.000000 NC USD -2511786.330000 -0.1200674 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A MEDICAL PROPERTIES TRUST INC Y 2022-12-07 0.000000 USD 0.000000 USD 14020468.000000 USD -2511786.330000 N N N N/A N/A 000000000 1.000000 NC 5809.240000 0.0002777 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2726493.970000 USD 3517000.000000 CAD 2022-07-06 5809.240000 N N N N/A N/A 000000000 1.000000 NC -171435.800000 -0.0081949 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 19768873.000000 USD 139093790.430000 DKK 2022-07-01 -171435.800000 N N N N/A N/A 000000000 1.000000 NC -120070.810000 -0.0057396 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6188253.320000 USD 5774000.000000 EUR 2022-08-16 -120070.810000 N N N N/A N/A 000000000 1.000000 NC -17368.610000 -0.0008302 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1538092.560000 USD 1447000.000000 EUR 2022-08-16 -17368.610000 N N N N/A N/A 000000000 1.000000 NC -16673.190000 -0.0007970 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1834815.860000 USD 1730000.000000 EUR 2022-08-16 -16673.190000 N N N N/A N/A 000000000 1.000000 NC 3189337.140000 0.1524554 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 420328911.930000 DKK 62411028.000000 USD 2022-07-01 3189337.140000 N N N N/A N/A 000000000 1.000000 NC 2607827.950000 0.1246583 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 362964193.330000 DKK 53747192.000000 USD 2022-07-01 2607827.950000 N N N N/A N/A 000000000 1.000000 NC 786039.970000 0.0375740 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 88745000.000000 DKK 13289650.370000 USD 2022-07-01 786039.970000 N N N N/A N/A 000000000 1.000000 NC 175706.710000 0.0083991 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 138812083.990000 DKK 19768873.000000 USD 2022-08-01 175706.710000 N N N N/A N/A 000000000 1.000000 NC 361739.470000 0.0172917 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 50741378.000000 EUR 53688366.200000 USD 2022-08-16 361739.470000 N N N N/A N/A 000000000 1.000000 NC USD -4592555.880000 -0.2195314 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A PROLOGIS INC Y 2022-12-07 0.000000 USD 0.000000 USD 58793776.000000 USD -4592555.880000 N N N N/A N/A 000000000 1.000000 NC USD -2393845.720000 -0.1144296 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A PUBLIC STORAGE, INC. Y 2022-12-07 0.000000 USD 0.000000 USD 43247712.000000 USD -2393845.720000 N N N N/A N/A 000000000 1.000000 NC USD -1143197.820000 -0.0546467 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A REXFORD INDUSTRIAL REALTY INC Y 2022-12-07 0.000000 USD 0.000000 USD 11509374.000000 USD -1143197.820000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAF8 157000.000000 PA USD 150434.590000 0.0071910 Long DBT CORP KY N 2 2024-07-01 Fixed 3.95 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAR2 46000.000000 PA USD 37536.910000 0.0017943 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 USD -1049338.530000 -0.0501600 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A SBA COMMUNICATIONS CORPORATION Y 2022-12-07 0.000000 USD 0.000000 USD 20903481.000000 USD -1049338.530000 N N N N/A N/A 000000000 1.000000 NC USD -6328561.980000 -0.3025153 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A SIMON PROPERTY GROUP INC Y 2022-12-07 0.000000 USD 0.000000 USD 36561885.000000 USD -6328561.980000 N N N N/A N/A 000000000 1.000000 NC -57684.180000 -0.0027574 N/A DFE DK N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2111209.690000 USD 14575000.000000 DKK 2022-07-01 -57684.180000 N N N N/A N/A 000000000 1.000000 NC -37830.980000 -0.0018084 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1158598.870000 USD 920000.000000 GBP 2022-08-16 -37830.980000 N N N AGREE REALTY CORPORATION N/A 008492100 101537.000000 NS USD 7323863.810000 0.3500923 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD -1038238.670000 -0.0496294 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A SUN COMMUNITIES INC Y 2022-12-07 0.000000 USD 0.000000 USD 34532952.000000 USD -1038238.670000 N N N BABSON CLO LTD 2016-2A N/A 06761CAL3 1600000.000000 PA USD 1564782.400000 0.0747991 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 2.13271 N N N N N N N/A N/A 000000000 69300000.000000 NC USD 776742.120000 0.0371295 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.2 06/02/23 LCH 2028-06-02 0.000000 USD 0.000000 USD N/A USD N/A 2.200000 USD 2023-05-31 XXXX -54857.880000 N N N N/A N/A 000000000 -38200000.000000 NC USD -708247.100000 -0.0338553 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.35 06/02/23 LCH 2033-06-02 0.000000 USD 0.000000 USD N/A USD N/A 2.350000 USD 2023-05-31 XXXX 124041.470000 N N N BAIN CAPITAL EURO 2018-2 DAC 18-2A N/A ACI1WTQT3 2000000.000000 PA 2033778.320000 0.0972178 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 0.74 N N N N N N N/A N/A 000000000 24400000.000000 NC USD 246642.520000 0.0117899 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased 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/2.2 04/28/23 LCH 2028-04-28 0.000000 USD 0.000000 USD N/A USD N/A 2.200000 USD 2023-04-26 XXXX -13827.480000 N N N N/A N/A 000000000 -13500000.000000 NC USD -228907.350000 -0.0109421 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/2.35 04/28/23 LCH 2033-04-28 0.000000 USD 0.000000 USD N/A USD N/A 2.350000 USD 2023-04-26 XXXX 37668.740000 N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX N/A 05493LAA4 700000.000000 PA USD 678129.900000 0.0324157 Long ABS-MBS CORP US N 2 2038-09-15 Floating 2.374 N N N N N N N/A N/A 000000000 56300000.000000 NC USD 47736.770000 0.0022819 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.4275 02/02/23 LCH 2025-02-02 0.000000 USD 0.000000 USD N/A USD N/A 1.430000 USD 2023-01-31 XXXX -239916.240000 N N N N/A N/A 000000000 -12300000.000000 NC USD -31554.420000 -0.0015084 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.579 02/02/23 LCH 2033-02-02 0.000000 USD 0.000000 USD N/A USD N/A 1.580000 USD 2023-01-31 XXXX 255958.080000 N N N N/A N/A 000000000 56300000.000000 NC USD 47550.980000 0.0022730 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.41 02/06/23 LCH 2025-02-06 0.000000 USD 0.000000 USD N/A USD N/A 1.410000 USD 2023-02-02 XXXX -233949.020000 N N N N/A N/A 000000000 -12300000.000000 NC USD -30847.170000 -0.0014745 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.5575 02/06/23 LCH 2033-02-06 0.000000 USD 0.000000 USD N/A USD N/A 1.560000 USD 2023-02-02 XXXX 250515.330000 N N N N/A N/A 000000000 113700000.000000 NC USD 150607.020000 0.0071993 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.71 01/27/23 LCH 2025-01-27 0.000000 USD 0.000000 USD N/A USD N/A 1.710000 USD 2023-01-25 XXXX -542962.980000 N N N N/A N/A 000000000 -25200000.000000 NC USD -97067.880000 -0.0046400 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.785 01/27/23 LCH 2033-01-27 0.000000 USD 0.000000 USD N/A USD N/A 1.780000 USD 2023-01-25 XXXX 600027.120000 N N N N/A N/A 000000000 106700000.000000 NC USD 180813.820000 0.0086432 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.72 02/27/23 LCH 2025-02-27 0.000000 USD 0.000000 USD N/A USD N/A 1.720000 USD 2023-02-23 XXXX -406036.180000 N N N N/A N/A 000000000 -23700000.000000 NC USD -100575.690000 -0.0048077 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.736 02/27/23 LCH 2033-02-27 0.000000 USD 0.000000 USD N/A USD N/A 1.740000 USD 2023-02-23 XXXX 485999.310000 N N N N/A N/A 000000000 1.000000 NC USD 424645.670000 0.0202987 N/A DCO US N 2 UBS AG 254900R882POXXVAK772 N/A BCOM Y Single Leg Swap 2023-01-20 423224.380000 USD 0.000000 USD 5883081.830000 USD 1421.290000 N N N N/A N/A 000000000 1.000000 NC USD -8442.990000 -0.0004036 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 COMM SWAP BCOMF1NTC BPS BCOMF1NTC Y Single Leg Swap 2023-02-15 0.000000 USD 0.000000 USD 6469357.940000 USD -8442.990000 N N N N/A N/A 000000000 1.000000 NC USD -16474104.740000 -0.7874882 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2023-02-15 0.000000 USD 0.000000 USD 171820128.460000 USD -16474104.740000 N N N N/A N/A 000000000 1.000000 NC USD -7860639.590000 -0.3757510 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2023-02-15 0.000000 USD 0.000000 USD 81955297.430000 USD -7860639.590000 N N N N/A N/A 000000000 1.000000 NC USD -5743038.260000 -0.2745263 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2023-02-15 0.000000 USD 0.000000 USD 59895604.580000 USD -5743038.260000 N N N N/A N/A 000000000 1.000000 NC USD -8725945.450000 -0.4171140 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 COMM SWAP TBL/CSIXTR BPS CSIXTR Y 2023-02-15 0.000000 USD 0.000000 USD 114457351.470000 USD -8725945.450000 N N N N/A N/A 000000000 1.000000 NC USD -7073867.160000 -0.3381420 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 COMM SWAP TBL/CSIXTR GST CSIXTR Y 2023-02-15 0.000000 USD 0.000000 USD 92771874.660000 USD -7073867.160000 N N N N/A N/A 000000000 1.000000 NC USD -77905.690000 -0.0037240 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP TBL/CSIXTR JPM CSIXTR Y 2023-02-15 0.000000 USD 0.000000 USD 655993.750000 USD -77905.690000 N N N N/A N/A 000000000 1.000000 NC -515496.260000 -0.0246415 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2031-03-15 0.000000 EUR -20279.850000 EUR 2900000.000000 EUR -495216.410000 N N N N/A N/A 000000000 1.000000 NC 48513.440000 0.0023190 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2032-06-15 0.000000 EUR 0.000000 EUR 9000000.000000 EUR 48513.440000 N N N N/A N/A 000000000 1.000000 NC 34063.870000 0.0016283 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-04-15 1920.760000 EUR 0.000000 EUR 1500000.000000 EUR 32143.110000 N N N N/A N/A 000000000 1.000000 NC 9560.910000 0.0004570 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-03-15 0.000000 EUR 0.000000 EUR 500000.000000 EUR 9560.910000 N N N N/A N/A 000000000 1.000000 NC 43423.110000 0.0020757 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-03-15 0.000000 EUR -49557.520000 EUR 1900000.000000 EUR 92980.630000 N N N N/A N/A 000000000 1.000000 NC -35722.380000 -0.0017076 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2032-05-15 38944.700000 EUR 0.000000 EUR 7600000.000000 EUR -74667.080000 N N N N/A N/A 000000000 1.000000 NC -382495.560000 -0.0182839 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2032-06-15 0.000000 EUR -35337.690000 EUR 11200000.000000 EUR -347157.870000 N N N N/A N/A 000000000 1.000000 NC -2539159.630000 -0.1213758 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-01-15 208932.370000 GBP 0.000000 GBP 18400000.000000 GBP -2748092.000000 N N N N/A N/A 000000000 1.000000 NC -1495520.240000 -0.0714882 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2031-01-15 0.000000 GBP -96731.330000 GBP 7500000.000000 GBP -1398788.910000 N N N N/A N/A 000000000 1.000000 NC -828923.800000 -0.0396239 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-01-15 68729.250000 GBP 0.000000 GBP 5280000.000000 GBP -897653.050000 N N N N/A N/A 000000000 1.000000 NC -1464239.990000 -0.0699930 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2041-02-15 0.000000 GBP -695888.660000 GBP 8900000.000000 GBP -768351.330000 N N N N/A N/A 000000000 1.000000 NC -242981.540000 -0.0116149 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2036-03-15 0.000000 GBP 0.000000 GBP 1500000.000000 GBP -242981.540000 N N N N/A N/A 000000000 1.000000 NC -715237.630000 -0.0341895 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2036-03-15 0.000000 GBP -28046.370000 GBP 4500000.000000 GBP -687191.260000 N N N N/A N/A 000000000 1.000000 NC -746651.710000 -0.0356911 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2031-02-15 0.000000 GBP 0.000000 GBP 4300000.000000 GBP -746651.710000 N N N N/A N/A 000000000 1.000000 NC -1136991.170000 -0.0543500 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2031-04-15 2984.620000 GBP 0.000000 GBP 7300000.000000 GBP -1139975.790000 N N N N/A N/A 000000000 1.000000 NC 450952.060000 0.0215562 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2032-01-15 44777.430000 GBP 0.000000 GBP 19500000.000000 GBP 406174.630000 N N N N/A N/A 000000000 1.000000 NC 24178.610000 0.0011558 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2024-06-15 0.000000 GBP 0.000000 GBP 7000000.000000 GBP 24178.610000 N N N N/A N/A 000000000 1.000000 NC 1254.860000 0.0000600 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2024-06-15 0.000000 GBP 0.000000 GBP 4500000.000000 GBP 1254.860000 N N N N/A N/A 000000000 1.000000 NC 392720.830000 0.0187727 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2024-03-15 0.000000 GBP -8032.550000 GBP 15400000.000000 GBP 400753.380000 N N N N/A N/A 000000000 1.000000 NC 32366.690000 0.0015472 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2024-05-15 0.000000 GBP 0.000000 GBP 3600000.000000 GBP 32366.690000 N N N N/A N/A 000000000 1.000000 NC 68083.830000 0.0032545 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2024-05-15 20357.400000 GBP 0.000000 GBP 13500000.000000 GBP 47726.430000 N N N N/A N/A 000000000 1.000000 NC USD -1053727.480000 -0.0503698 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2030-11-30 0.000000 USD 0.000000 USD 8200000.000000 USD -1053727.480000 N N N N/A N/A 000000000 1.000000 NC USD 409615.610000 0.0195803 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-03-05 0.000000 USD 0.000000 USD 4400000.000000 USD 409615.610000 N N N N/A N/A 000000000 1.000000 NC USD 264281.180000 0.0126331 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2028-08-26 0.000000 USD 0.000000 USD 4900000.000000 USD 264281.180000 N N N N/A N/A 000000000 1.000000 NC USD 142955.220000 0.0068335 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2028-09-10 0.000000 USD 0.000000 USD 3100000.000000 USD 142955.220000 N N N N/A N/A 000000000 1.000000 NC USD 304190.810000 0.0145408 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-06-01 0.000000 USD 0.000000 USD 4100000.000000 USD 304190.810000 N N N N/A N/A 000000000 1.000000 NC USD 166500.740000 0.0079590 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-05-25 416.070000 USD 0.000000 USD 2240000.000000 USD 166084.670000 N N N N/A N/A 000000000 1.000000 NC USD 613501.150000 0.0293263 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-05-13 0.000000 USD 0.000000 USD 8500000.000000 USD 613501.150000 N N N N/A N/A 000000000 1.000000 NC USD 230368.160000 0.0110120 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-05-14 0.000000 USD 0.000000 USD 3300000.000000 USD 230368.160000 N N N N/A N/A 000000000 1.000000 NC USD -230654.630000 -0.0110257 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-04-29 0.000000 USD 0.000000 USD 54800000.000000 USD -230654.630000 N N N N/A N/A 000000000 1.000000 NC USD -137386.030000 -0.0065673 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-03-21 0.000000 USD 0.000000 USD 14500000.000000 USD -137386.030000 N N N N/A N/A 000000000 1.000000 NC -606726.240000 -0.0290025 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 3 Month ACT/360 Y 2023-11-21 0.000000 EUR 0.000000 EUR 29100000.000000 EUR -606726.240000 N N N N/A N/A 000000000 1.000000 NC -376335.510000 -0.0179894 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2027-04-12 0.000000 EUR -39684.610000 EUR 7300000.000000 EUR -336650.900000 N N N N/A N/A 000000000 1.000000 NC -354970.860000 -0.0169682 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2027-05-11 0.000000 EUR -49773.650000 EUR 6600000.000000 EUR -305197.210000 N N N N/A N/A 000000000 1.000000 NC -195967.050000 -0.0093675 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2027-04-12 0.000000 EUR -19622.700000 EUR 4000000.000000 EUR -176344.350000 N N N N/A N/A 000000000 1.000000 NC -313785.720000 -0.0149995 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2027-05-13 0.000000 EUR -31757.830000 EUR 8700000.000000 EUR -282027.890000 N N N N/A N/A 000000000 1.000000 NC -138331.610000 -0.0066125 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 -14229.250000 EUR 3800000.000000 EUR -124102.360000 N N N BANC OF AMERICA FUNDING CORP 2007-C N/A 059522BE1 25654.770000 PA USD 24537.600000 0.0011729 Long ABS-MBS CORP US N 2 2036-05-20 Floating 2.80973 Y N N N N N N/A N/A 000000000 1.000000 NC -35369.730000 -0.0016907 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 1718990.860000 USD 1602000.000000 EUR 2022-08-16 -35369.730000 N N N N/A N/A 000000000 1.000000 NC 65435.230000 0.0031279 N/A DFE NZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 3693000.000000 NZD 2370979.860000 USD 2022-08-16 65435.230000 N N N N/A N/A 000000000 -6400000.000000 NC USD -40559.360000 -0.0019388 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 4.0% JUL 30YR N/A 99.160000 USD 2022-07-07 XXXX 5440.640000 N N N N/A N/A 000000000 -400000.000000 NC USD -5066.960000 -0.0002422 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.5% AUG 30YR N/A 96.910000 USD 2022-08-04 XXXX -3066.960000 N N N N/A N/A 000000000 -1600000.000000 NC USD -11908.640000 -0.0005693 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% SEP 30YR N/A 99.410000 USD 2022-09-07 XXXX -6283.640000 N N N N/A N/A 000000000 -1900000.000000 NC USD -15855.690000 -0.0007579 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% SEP 30YR N/A 99.660000 USD 2022-09-07 XXXX -8582.250000 N N N N/A N/A 000000000 -3400000.000000 NC USD -27310.500000 -0.0013055 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 4.5% SEP 30YR N/A 100.230000 USD 2022-09-07 XXXX -11904.250000 N N N N/A N/A 000000000 -1000000.000000 NC USD -464.800000 -0.0000222 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% JUL 30YR N/A 99.560000 USD 2022-07-07 XXXX 4691.450000 N N N N/A N/A 000000000 -1100000.000000 NC USD -7299.050000 -0.0003489 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 99.160000 USD 2022-09-07 XXXX -3431.860000 N N N N/A N/A 000000000 -600000.000000 NC USD -3952.860000 -0.0001890 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 99.140000 USD 2022-09-07 XXXX -1702.860000 N N N N/A N/A 000000000 -2300000.000000 NC USD -11858.570000 -0.0005669 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 3.0% SEP 30YR N/A 94.690000 USD 2022-09-07 XXXX 1797.680000 N N N N/A N/A 000000000 -3400000.000000 NC USD -14795.100000 -0.0007072 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% SEP 30YR N/A 98.230000 USD 2022-09-07 XXXX 4329.900000 N N N N/A N/A 000000000 -600000.000000 NC USD -2496.540000 -0.0001193 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 4.5% SEP 30YR N/A 101.140000 USD 2022-09-07 XXXX -996.540000 N N N N/A N/A 000000000 -3200000.000000 NC USD -6887.680000 -0.0003292 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% JUL 30YR N/A 100.280000 USD 2022-07-07 XXXX 8862.320000 N N N N/A N/A 000000000 -2000000.000000 NC USD -16690.200000 -0.0007978 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 -9190.200000 N N N N/A N/A 000000000 47.000000 NC -234352.300000 -0.0112024 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A UNITED KINGDOM GOVT 2022-09-28 6521150.590000 GBP -234352.300000 N N N N/A N/A 000000000 -981.000000 NC USD 544272.860000 0.0260171 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-09-21 -116087555.180000 USD 544272.860000 N N N N/A N/A 000000000 -522.000000 NC USD 1309618.480000 0.0626018 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-09-21 -66306234.640000 USD 1309618.480000 N N N N/A N/A 000000000 -451.000000 NC USD 631996.220000 0.0302104 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-09-30 -94634246.430000 USD 631996.220000 N N N N/A N/A 000000000 178.000000 NC USD 46395.520000 0.0022178 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-09-30 19957554.730000 USD 46395.520000 N N N N/A N/A 000000000 296.000000 NC USD 208779.330000 0.0099800 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-09-21 40880375.000000 USD 208779.330000 N N N N/A N/A 000000000 -163.000000 NC USD 458303.470000 0.0219076 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-09-21 -24967015.630000 USD 458303.470000 N N N N/A N/A 000000000 1.000000 NC USD -881586.260000 -0.0421412 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A VICI PROPERTIES INC Y 2022-12-07 0.000000 USD 0.000000 USD 24929885.000000 USD -881586.260000 N N N N/A N/A 000000000 1.000000 NC USD -131235.530000 -0.0062733 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A VICI PROPERTIES INC Y 2022-12-07 0.000000 USD 0.000000 USD 33294774.720000 USD -131235.530000 N N N N/A N/A 000000000 1.000000 NC USD -2003045.910000 -0.0957488 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A WELLTOWER INC Y 2022-12-07 0.000000 USD 0.000000 USD 26130097.000000 USD -2003045.910000 N N N N/A N/A 000000000 1.000000 NC USD -228806.310000 -0.0109373 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A WP CAREY INC Y 2022-12-07 0.000000 USD 0.000000 USD 14110278.000000 USD -228806.310000 N N N BEAR STEARNS ADJ RATE MTGE TR 2006-2 N/A 07388DAS7 12599.020000 PA USD 11646.230000 0.0005567 Long ABS-MBS CORP US N 2 2036-07-25 Floating 3.43992 Y N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M3X8 9605.430000 PA USD 9762.090000 0.0004666 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.28208 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4H2 6649.580000 PA USD 6390.440000 0.0003055 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.02461 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AGE9 29552.850000 PA USD 27930.120000 0.0013351 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.33326 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-5 N/A 07386HUM1 65454.640000 PA USD 51073.710000 0.0024414 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.30704 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-EC2 N/A 07387UDT5 946000.000000 PA USD 884678.670000 0.0422890 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.28357 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2 N/A 07386UAN2 34249.860000 PA USD 31106.100000 0.0014869 Long ABS-MBS CORP US N 2 2046-09-25 Floating 2.62357 Y N N N N N BENEFIT STREET PARTNERS CLO XVI LTD N/A 08181VAN5 2000000.000000 PA USD 1948400.000000 0.0931366 Long ABS-CBDO CORP KY N 2 2032-01-17 Floating 2.07429 N N N N N N BENEFIT STREET PARTNERS CLO XVII LTD N/A 08182BAL2 7100000.000000 PA USD 6966967.510000 0.3330320 Long ABS-CBDO CORP KY N 2 2032-07-15 Floating 2.12429 N N N N N N BGCLO 19A N/A 09075JAL3 4900000.000000 PA USD 4817086.270000 0.2302643 Long ABS-CBDO CORP KY N 2 2031-06-15 Floating 2.95886 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822V101 56264.000000 NS USD 9473732.320000 0.4528594 Long EC CORP US N 1 N N N BLACKROCK EUROPEAN CLO VII DAC 7A N/A ACI1W2WD0 1600000.000000 PA 1621471.440000 0.0775089 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.62 N N N N N N CUBESMART N/A 229663109 223808.000000 NS USD 9561077.760000 0.4570346 Long EC CORP US N 1 N N N BLUEMOUNTAIN EUR CLO 5A N/A ACI1GHFQ5 1700000.000000 PA 1713944.080000 0.0819292 Long ABS-CBDO CORP IE N 2 2033-01-15 Floating 0.91 N N N N N N BLUEMOUNTAIN FUJI EUR CLO II DAC 17-2A N/A ACI1VBS38 2412084.750000 PA 2489338.630000 0.1189943 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 0.65 N N N N N N BNC MORTGAGE LOAN TRUST 2006-2 N/A 055683AD8 1010097.030000 PA USD 982404.010000 0.0469605 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.94357 N N N N N N ALEXANDRIA REAL ESTATE EQUITIES INC MGCJBT4MKTQBVLNUIS88 015271109 117519.000000 NS USD 17043780.570000 0.8147196 Long EC CORP US N 1 N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122CW6 22000.000000 PA USD 22022.290000 0.0010527 Long DBT CORP US N 2 2022-08-15 Fixed 3.25 N N N N N N DIGITAL REALTY TRUST INC 549300HKCZ31D08NEI41 253868103 102164.000000 NS USD 13263952.120000 0.6340379 Long EC CORP US N 1 N N N CAIRN CLO IV BV 14-4A N/A ACI1W1H64 3198372.990000 PA 3307805.090000 0.1581183 Long ABS-CBDO CORP IE N 2 2031-04-30 Floating 0.6 N N N N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 2300000.000000 PA 2348970.100000 0.1122845 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.78 N N N N N N DUKE REALTY CORPORATION 254900E47KH1NFFKNF25 264411505 306738.000000 NS USD 16855253.100000 0.8057077 Long EC CORP US N 1 N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087VS0 1135736.460000 PA 1018073.650000 0.0486655 Long DBT NUSS CA N 2 2026-12-01 Fixed 4.25 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2013-1A N/A 14310BAU5 1900000.000000 PA USD 1872136.750000 0.0894911 Long ABS-CBDO CORP KY N 2 2030-08-14 Floating 2.36129 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A N/A ACI1YDTG1 3100000.000000 PA 3173989.610000 0.1517217 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 0.7 N N N N N N CARLYLE US CLO LTD 2017-1A N/A 14314BAL1 2300000.000000 PA USD 2257474.820000 0.1079109 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 2.06271 N N N N N N CARLYLE US CLO LTD 2017-4 N/A 14315BAA4 500000.000000 PA USD 491500.000000 0.0234945 Long ABS-CBDO CORP KY N 2 2030-01-15 Floating 2.22429 N N N N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPB9 1672.980000 PA USD 1554.500000 0.0000743 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.89392 Y N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AA6 9880.190000 PA USD 9626.860000 0.0004602 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.6238 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444U700 7545.000000 NS USD 4957215.900000 0.2369627 Long EC CORP US N 1 N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AL2 8597.980000 PA USD 8355.310000 0.0003994 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.96329 N N N N N N CHASE MORTGAGE FINANCE CORPORATION 2007-S6 N/A 161636AE5 40594.020000 PA USD 19929.730000 0.0009527 Long ABS-MBS CORP US N 2 2022-12-25 Fixed 5.5 Y N N N N N EQUITY LIFESTYLE PROPERTIES INC 529900PEQG66LENB6798 29472R108 208952.000000 NS USD 14724847.440000 0.7038710 Long EC CORP US N 1 N N N EQUITY RESIDENTIAL 5493008RACSH5EP3PI59 29476L107 166304.000000 NS USD 12010474.880000 0.5741197 Long EC CORP US N 1 N N N ESSEX PROPERTY TRUST INC 549300TR2H2VEFX0NC60 297178105 42699.000000 NS USD 11166215.490000 0.5337627 Long EC CORP US N 1 N N N CIFC FUNDING LTD 2018-1A N/A 12551RAA6 1400000.000000 PA USD 1375720.330000 0.0657616 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 2.04429 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAA0 107796.570000 PA USD 107351.280000 0.0051316 Long ABS-MBS CORP US N 2 2037-10-25 Floating 2.97357 N N N N N N EXTRA SPACE STORAGE INC N/A 30225T102 51457.000000 NS USD 8753864.840000 0.4184486 Long EC CORP US N 1 N N N CITIGROUP MORTGAGE LOAN TR 2004-HYB2 N/A 17307GEC8 7233.500000 PA USD 7019.490000 0.0003355 Long ABS-MBS CORP US N 2 2034-03-25 Floating 2.35978 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3 N/A 17309QAG9 254000.000000 PA USD 245294.860000 0.0117255 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.11857 N N N N N N CITIGROUP MTGE LN TR INC 2007-AMC4 N/A 17313BAF8 2400000.000000 PA USD 2194809.840000 0.1049154 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.89357 N N N N N N FIRST INDUSTRIAL REALTY TRUST INC N/A 32054K103 177496.000000 NS USD 8427510.080000 0.4028483 Long EC CORP US N 1 N N N CITIGROUP MTGE LOAN TR INC 2007-WFH2 N/A 17312BAG7 4100000.000000 PA USD 3823723.140000 0.1827800 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.32857 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW95 3327.460000 PA USD 3191.720000 0.0001526 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.48 N N N N N N GAMING AND LEISURE PROPERTIES INC 5493006GWRDBCZYWTM57 36467J108 182506.000000 NS USD 8369725.160000 0.4000861 Long EC CORP US N 1 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-50CB N/A 12668ALH6 10171.390000 PA USD 8821.590000 0.0004217 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J2 N/A 12667F5Y7 1274824.070000 PA USD 1121347.240000 0.0536022 Long ABS-MBS CORP US N 2 2035-04-25 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1 N/A 23246KAA9 662669.730000 PA USD 305497.040000 0.0146032 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22 N/A 02151BBG2 171215.970000 PA USD 81969.630000 0.0039183 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6.5 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-21 N/A 12667LAA0 367422.350000 PA USD 356808.400000 0.0170560 Long ABS-MBS CORP US N 2 2035-05-25 Floating 1.76357 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-5 N/A 1266716K7 3096.490000 PA USD 3047.690000 0.0001457 Long ABS-MBS CORP US N 2 2034-08-25 Floating 2.47857 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673BR2 18623.820000 PA USD 17578.660000 0.0008403 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.40357 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-7 N/A 126673EG3 2919871.240000 PA USD 2773057.190000 0.1325565 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.34857 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-1 N/A 23245CAA8 83435.500000 PA USD 77215.220000 0.0036910 Long ABS-MBS CORP US N 2 2037-07-25 Floating 1.76357 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAA8 20639.360000 PA USD 18192.950000 0.0008697 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.82357 N N N N N N COUNTRYWIDE ASSET-BACKED CERTI 2006-19 N/A 12667CAD4 235000.000000 PA USD 223453.230000 0.0106814 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.87357 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-8 N/A 1266735Z1 286000.000000 PA USD 276425.690000 0.0132136 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.65857 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-ABC1 N/A 23242NAC3 845090.170000 PA USD 697814.280000 0.0333566 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.10357 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8 N/A 12669WAA4 3054465.560000 PA USD 2832646.610000 0.1354050 Long ABS-MBS CORP US N 2 2037-11-25 Floating 1.81357 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-13 N/A 126670GR3 97242.130000 PA USD 85682.520000 0.0040958 Long ABS-MBS CORP US N 2 2036-04-25 Variable 5.805 Y N N N N N COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2004-J9 N/A 12669GFK2 19886.870000 PA USD 19493.910000 0.0009318 Long ABS-MBS CORP US N 2 2035-01-25 Fixed 5.5 N N N N N N AMERICAN ASSETS TRUST INC N/A 024013104 141438.000000 NS USD 4200708.600000 0.2008005 Long EC CORP US N 1 N N N COUNTRYWIDE HOME LOANS 2004-HYB7 N/A 12669GBZ3 24495.690000 PA USD 23478.960000 0.0011223 Long ABS-MBS CORP US N 2 2034-11-20 Floating 2.89172 N N N N N N HEALTHPEAK PROPERTIES INC PZ9HF5U52KPF0MH0QN75 42250P103 514259.000000 NS USD 13324450.690000 0.6369298 Long EC CORP US N 1 N N N COUNTRYWIDE HOME LOANS 2005-HYB4 N/A 12669GM24 136146.680000 PA USD 128150.960000 0.0061258 Long ABS-MBS CORP US N 2 2035-08-20 Floating 2.97336 Y N N N N N COUNTRYWIDE HOME LOANS 2005-R2 N/A 12669GN64 6156.150000 PA USD 6055.700000 0.0002895 Long ABS-MBS CORP US N 2 2035-06-25 Floating 1.96357 Y N N N N N COUNTRYWIDE HOME LOANS 2006-6 N/A 126694K64 44192.920000 PA USD 26955.230000 0.0012885 Long ABS-MBS CORP US N 2 2036-04-25 Fixed 6 N N N N N N HILTON WORLDWIDE HOLDINGS INC 549300HVGPK36ICB0B89 43300A203 34800.000000 NS USD 3878112.000000 0.1853799 Long EC CORP US N 1 N N N HOST HOTELS & RESORTS INC N6EL63S0K3PB1YFTDI24 44107P104 675901.000000 NS USD 10598127.680000 0.5066072 Long EC CORP US N 1 N N N HOWARD HUGHES CORP/THE 549300BVHY25JZC1KI49 44267D107 87434.000000 NS USD 5949883.700000 0.2844138 Long EC CORP US N 1 N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LTD 549300PXR5FKNXF0OH19 225433AH4 333000.000000 PA USD 333303.500000 0.0159324 Long DBT CORP GG N 2 2022-09-15 Fixed 3.8 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-4R N/A 12639QAA4 2511.440000 PA USD 2210.290000 0.0001057 Long ABS-MBS CORP US N 2 2036-10-26 Fixed 5.90691 N N N N N N HUDSON PACIFIC PROPERTIES INC N/A 444097109 311967.000000 NS USD 4629590.280000 0.2213017 Long EC CORP US N 1 N N N CRESTLINE DENALI CLO XIV LTD 2016-1A N/A 22615MAW2 3200000.000000 PA USD 3129600.000000 0.1495998 Long ABS-CBDO CORP KY N 2 2031-10-23 Floating 2.324 N N N N N N CRESTLINE DENALI CLO XV 2017-1A N/A 22616CAJ2 5100000.000000 PA USD 5026050.000000 0.2402531 Long ABS-CBDO CORP KY N 2 2030-04-20 Floating 2.09271 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VAJ0 666000.000000 PA USD 659031.600000 0.0315028 Long DBT CORP US N 2 2023-07-15 Fixed 3.15 N N N N N N CSFB MORTGAGE SECURITIES CORP 2005-9 N/A 2254585Y0 45968.630000 PA USD 24522.430000 0.0011722 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.32357 Y N N N N N CVC CORDATUS LOAN FUND III LTD CORDA-A N/A ACI12W091 1600000.000000 PA 1642212.820000 0.0785004 Long ABS-CBDO CORP IE N 2 2032-08-15 Floating 0.78 N N N N N N CVC CORDATUS LOAN FUND VII DAC 7A N/A ACI1W2TC6 1000000.000000 PA 1024524.360000 0.0489739 Long ABS-CBDO CORP IE N 2 2031-09-15 Floating 0.63 N N N N N N CVC CORDATUS LOAN FUND XI DAC 21-1 N/A ACI1W60L8 1000000.000000 PA 1022837.350000 0.0488932 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.65 N N N N N N AMERICAN HOMES 4 RENT 549300ZJUO7A58PNUW40 02665T306 279279.000000 NS USD 9897647.760000 0.4731232 Long EC CORP US N 1 N N N DENMARK GOVT 549300PTO6LS1PTM6607 ACI020DB4 3979053.320000 PA 586003.650000 0.0280119 Long DBT NUSS DK N 2 2023-11-15 Fixed 0.1 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-OA2 N/A 25150UAA6 138229.690000 PA USD 128579.540000 0.0061463 Long ABS-MBS CORP US N 2 2047-04-25 Floating 1.2459 N N N N N N INLAND AMERICAN REAL ESTATE TRUST INC 5493006BQYSOBYVUFA03 46124J201 231200.000000 NS USD 5962648.000000 0.2850240 Long EC CORP US N 1 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027X100 47370.000000 NS USD 12107298.300000 0.5787480 Long EC CORP US N 1 N N N DISCOVERY COMMUNICATIONS LLC L2Z2MO2EQURH3BREWI15 25470DAQ2 10000.000000 PA USD 9934.320000 0.0004749 Long DBT CORP US N 2 2023-03-20 Fixed 2.95 N N N N N N INVITATION HOMES INC N/A 46187W107 696837.000000 NS USD 24793460.460000 1.1851666 Long EC CORP US N 1 N N N DRYDEN 47 SENIOR LOAN FUND 2017-47A N/A 26245EAJ8 2358064.840000 PA USD 2323872.900000 0.1110848 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 2.02429 N N N N N N DRYDEN 52 EURO CLO 2017 17-52A N/A ACI1YL2T4 1900000.000000 PA 1926341.120000 0.0920821 Long ABS-CBDO CORP IE N 2 2034-05-15 Floating 0.86 N N N N N N DRYDEN 57 CLO LTD 2018-57A N/A 26243KAC1 500000.000000 PA USD 491571.600000 0.0234979 Long ABS-CBDO CORP KY N 2 2031-05-15 Floating 2.42129 N N N N N N DRYDEN XXVII-R EURO CLO BV 2017-27A N/A ACI1W43B2 1500000.000000 PA 1525130.200000 0.0729036 Long ABS-CBDO CORP IE N 2 2033-04-15 Floating 0.66 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CAW5 20000.000000 PA USD 19993.940000 0.0009557 Long DBT CORP US N 2 2022-08-15 Fixed 2.4 N N N N N N ELEVATION CLO LTD 2017-8A N/A 28622VAN0 9100000.000000 PA USD 8929260.340000 0.4268327 Long ABS-CBDO CORP KY N 2 2030-10-25 Floating 2.134 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RAS8 20000.000000 PA USD 19947.800000 0.0009535 Long DBT CORP US N 2 2023-02-01 Fixed 3.6 N N N N N N ENTERPRISE PRODUCTS OPERATING LLC 5493004LGN656HWLDA30 29379VAZ6 39000.000000 PA USD 38914.280000 0.0018602 Long DBT CORP US N 2 2023-03-15 Fixed 3.35 N N N N N N EURO-GALAXY III CLO BV 13-3A N/A ACI1W6FF5 300000.000000 PA 306444.970000 0.0146486 Long ABS-CBDO CORP IE N 2 2034-04-24 Floating 0.62 N N N N N N EUROSAIL PLC 2007-3A N/A 29880YAJ8 35497.190000 PA 42843.440000 0.0020480 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 2.5404 N N N N N N EUROSAIL PLC 2007-3X N/A ACI01JMT5 104303.840000 PA 125958.770000 0.0060210 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 2.5404 N N N N N N FANNIE MAE 2006-98 N/A 31396K5N8 1773.290000 PA USD 1770.210000 0.0000846 Long ABS-MBS USGSE US N 2 2036-10-25 Floating 2.05357 N N N N N N FANNIE MAE 2007-75 N/A 31396W3K0 57035.490000 PA USD 57017.000000 0.0027255 Long ABS-MBS USGSE US N 2 2037-08-25 Floating 2.07357 N N N N N N KILROY REALTY CORPORATION 549300CXXI18B214UN80 49427F108 163021.000000 NS USD 8530888.930000 0.4077900 Long EC CORP US N 1 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION (FANNIE MAE) B1V7KEBTPIMZEU4LTD58 3135G0K36 705000.000000 PA USD 681066.150000 0.0325560 Long DBT USGSE US N 2 2026-04-24 Fixed 2.125 N N N N N N FHLMC PASS THRU POOLS N/A 3128NFFX0 7552.210000 PA USD 7800.180000 0.0003729 Long ABS-MBS USGSE US N 2 2036-07-01 Floating 2.294 N N N N N N FHLMC PASS THRU POOLS N/A 3128NHPT4 2727.120000 PA USD 2798.130000 0.0001338 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 1.756 N N N N N N LIFE STORAGE INC (AKA: SOVRAN SELF STORAGE INC) W9EE01AFDDF9DQCQZC68 53223X107 121450.000000 NS USD 13561107.000000 0.6482423 Long EC CORP US N 1 N N N FHLMC PASS THRU POOLS N/A 3128JRN77 3738.450000 PA USD 3730.630000 0.0001783 Long ABS-MBS USGSE US N 2 2036-10-01 Floating 1.927 N N N N N N MARRIOTT INTERNATIONAL INC 225YDZ14ZO8E1TXUSU86 571903202 33800.000000 NS USD 4597138.000000 0.2197505 Long EC CORP US N 1 N N N MEDICAL PROPERTIES TRUST INC 254900U6E39J1MQCCY14 58463J304 232715.000000 NS USD 3553558.050000 0.1698657 Long EC CORP US N 1 N N N FHLMC PASS THRU POOLS N/A 3132DV5T8 90496.270000 PA USD 89944.090000 0.0042995 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 4 N N N N N N MID-AMERICA APARTMENT COMMUNITIES INC 549300FQZKFR5YNSHZ21 59522J103 45477.000000 NS USD 7943467.590000 0.3797103 Long EC CORP US N 1 N N N FIRST FRANKLIN MTG LOAN 2005-FF12 N/A 32027NXX4 568000.000000 PA USD 547804.250000 0.0261859 Long ABS-MBS CORP US N 2 2036-11-25 Floating 2.32857 N N N N N N FIRST FRANKLIN MTG LOAN ASSET 2005-FFH3 N/A 32027NVE8 715295.070000 PA USD 706530.420000 0.0337733 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.49357 N N N N N N FIRST HORIZON ALT MTG SEC 2006-FA8 N/A 32052DAG6 61680.190000 PA USD 30314.990000 0.0014491 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N FIRST HORIZON ALT MTGE SEC 2005-AA2 N/A 32051GHL2 23026.940000 PA USD 23105.440000 0.0011045 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.72907 N N N N N N APARTMENT INCOME REIT CORP N/A 03750L109 103777.000000 NS USD 4317123.200000 0.2063653 Long EC CORP US N 1 N N N FNMA PASS THRU POOLS N/A 31405YPX3 907.900000 PA USD 925.420000 0.0000442 Long ABS-MBS USGSE US N 2 2044-09-01 Floating 1.677 N N N N N N FNMA PASS THRU POOLS N/A 31406DAF3 1102.190000 PA USD 1123.520000 0.0000537 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 1.677 N N N N N N PARAMOUNT GROUP INC 5493006GJU1CFI7Z5J17 69924R108 445500.000000 NS USD 3220965.000000 0.1539672 Long EC CORP US N 1 N N N FNMA PASS THRU POOLS N/A 3138ENEW5 290223.730000 PA USD 299068.540000 0.0142959 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 3138WD2N0 4898.910000 PA USD 4802.040000 0.0002295 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 1000765.500000 PA USD 9711428.400000 0.4642216 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140J6GR2 5145.130000 PA USD 5152.830000 0.0002463 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JM5C2 16177.660000 PA USD 16180.210000 0.0007734 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140MAZK3 399999.150000 PA USD 385526.110000 0.0184288 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.5 N N N N N N PROLOGIS INC 529900DFH19P073LZ636 74340W103 189794.000000 NS USD 22329264.100000 1.0673741 Long EC CORP US N 1 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540XAB9 254000.000000 PA USD 253164.340000 0.0121017 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N PUBLIC STORAGE, INC. 549300LMZF40TKJ6DM64 74460D109 73518.000000 NS USD 22986873.060000 1.0988088 Long EC CORP US N 1 N N N FRANCE GOVT 969500KCGF3SUYJHPV70 B2PP4HII3 568812.800000 PA 638180.620000 0.0305060 Long DBT NUSS FR N 2 2023-07-25 Fixed 2.1 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1VB392 4810432.000000 PA 5266626.650000 0.2517531 Long DBT NUSS FR N 2 2031-07-25 Fixed 0.1 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI04Z888 10238888.000000 PA 11484870.910000 0.5489950 Long DBT NUSS FR N 2 2024-07-25 Fixed 0.25 N N N N N N FREDDIE MAC 3096 N/A 31396GWQ0 161113.450000 PA USD 161102.820000 0.0077010 Long ABS-MBS USGSE US N 2 2032-05-15 Floating 1.774 N N N N N N FREDDIE MAC 3381 N/A 31397KWR8 36941.990000 PA USD 37225.370000 0.0017794 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 1.944 N N N N N N FREDDIE MAC 3397 N/A 31397PLU2 26085.760000 PA USD 26257.440000 0.0012551 Long ABS-MBS USGSE US N 2 2037-12-15 Floating 1.924 N N N N N N REGENCY CENTERS CORPORATION 529900053A7X7FJ97S58 758849103 90047.000000 NS USD 5340687.570000 0.2552933 Long EC CORP US N 1 N N N RETAIL OPPORTUNITY INVESTMENTS CORP N/A 76131N101 423229.000000 NS USD 6678553.620000 0.3192454 Long EC CORP US N 1 N N N REXFORD INDUSTRIAL REALTY INC 549300MSLO0DF0EMX355 76169C100 86712.000000 NS USD 4993744.080000 0.2387089 Long EC CORP US N 1 N N N RLJ LODGING TRUST N/A 74965L101 1055654.000000 NS USD 11643863.620000 0.5565951 Long EC CORP US N 1 N N N FREDDIE MAC STRIPS 278 N/A 3132HTBH8 1399.260000 PA USD 1387.520000 0.0000663 Long ABS-MBS USGSE US N 2 2042-09-15 Floating 1.774 N N N N N N FREDDIE MAC-3179 N/A 31396UF47 20992.620000 PA USD 20908.710000 0.0009995 Long ABS-MBS USGSE US N 2 2036-07-15 Floating 1.704 N N N N N N FREMONT HOME LOAN TRUST 2004-4 N/A 35729PGU8 1701293.040000 PA USD 1462253.880000 0.0698980 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.46357 N N N N N N RYMAN HOSPITALITY PROPERTIES INC (AKA: GAYLORD ENTERTAINMENT CO) 529900GCCWW9SRMPJR11 78377T107 140700.000000 NS USD 10697421.000000 0.5113536 Long EC CORP US N 1 N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAA0 118151.110000 PA USD 107387.450000 0.0051333 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.75857 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAE2 692103.020000 PA USD 329403.180000 0.0157460 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.86357 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAA3 203773.600000 PA USD 118652.440000 0.0056718 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.76357 N N N N N N SAFEHOLD INC (AKA: SAFETY INCOME & GROWTH INC) 549300MHMP6BIE0XV355 78645L100 61578.000000 NS USD 2178013.860000 0.1041125 Long EC CORP US N 1 N N N GCAT 2020-3 LLC N/A 36168CAA3 1535025.980000 PA USD 1509954.710000 0.0721782 Long ABS-MBS CORP US N 2 2025-09-25 Fixed 2.9814 N N N N N N SBA COMMUNICATIONS CORPORATION 5299001HX8ZN8Y8QIT49 78410G104 31197.000000 NS USD 9984599.850000 0.4772796 Long EC CORP US N 1 N N N GLG EURO CLO III DAC A N/A ACI1VVSK6 1991945.160000 PA 2045136.100000 0.0977607 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 0.68 N N N N N N SIMON PROPERTY GROUP INC 529900GQL5X8H7AO3T64 828806109 73594.000000 NS USD 6985542.480000 0.3339200 Long EC CORP US N 1 N N N AVALONBAY COMMUNITIES INC K9G90K85RBWD2LAGQX17 053484101 65629.000000 NS USD 12748433.250000 0.6093952 Long EC CORP US N 1 N N N SITE CENTERS CORP (AKA: DDR CORP) W2AVA6SODOQ1LCYJQR54 82981J109 609695.000000 NS USD 8212591.650000 0.3925749 Long EC CORP US N 1 N N N SUN COMMUNITIES INC 549300H5GEOJYN41ZG57 866674104 86266.000000 NS USD 13747349.760000 0.6571450 Long EC CORP US N 1 N N N SUNSTONE HOTEL INVESTORS INC 529900ZQ2V52V96ATF67 867892101 823690.000000 NS USD 8171004.800000 0.3905869 Long EC CORP US N 1 N N N GOLDENTREE LOAN MANAGEMENT US CLO 2 LTD 2017-2A N/A 38136MAU2 2000000.000000 PA USD 1956668.400000 0.0935318 Long ABS-CBDO CORP KY N 2 2030-11-20 Floating 1.97271 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-22 N/A 38378BDY2 133991.740000 PA USD 298.250000 0.0000143 Long ABS-MBS USGSE US N 2 2053-10-16 Variable 0.21842 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-38 N/A 38380V2S9 329456.160000 PA USD 326134.680000 0.0155898 Long ABS-MBS USGSE US N 2 2043-10-20 Floating 1.36157 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15 N/A 38380LJY0 692184.890000 PA USD 675327.560000 0.0322817 Long ABS-MBS USGSE US N 2 2068-08-20 Floating 0.38238 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-20 N/A 38381RCM9 467785.780000 PA USD 465738.700000 0.0222630 Long ABS-MBS USGSE US N 2 2049-02-20 Floating 1.99514 N N N N N N TERRENO REALTY CORPORATION N/A 88146M101 89832.000000 NS USD 5006337.360000 0.2393108 Long EC CORP US N 1 N N N GSAMP TRUST 2005-HE2 N/A 36242DA60 114342.290000 PA USD 106765.750000 0.0051036 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.59857 Y N N N N N GSAMP TRUST 2005-WMC1 N/A 362341PU7 7039.320000 PA USD 6914.140000 0.0003305 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.35857 Y N N N N N GSAMP TRUST 2006-FM3 N/A 36245TAD7 93529.380000 PA USD 49685.510000 0.0023750 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.82357 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RT8 1454.960000 PA USD 1430.600000 0.0000684 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 715.320000 PA USD 696.500000 0.0000333 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.93849 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341WZ8 6356.180000 PA USD 6326.460000 0.0003024 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.04852 N N N N N N GSR MORTGAGE LOAN TRUST 2006-AR1 N/A 3623414A4 8138.010000 PA USD 8066.670000 0.0003856 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.8667 Y N N N N N HALSEYPOINT CLO 2 LTD N/A 40638TAA0 800000.000000 PA USD 790949.120000 0.0378086 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 2.16271 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-10 N/A 41161PTN3 57389.370000 PA USD 46889.980000 0.0022414 Long ABS-MBS CORP US N 2 2035-11-19 Floating 2.23229 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 46331.860000 PA USD 42690.390000 0.0020407 Long ABS-MBS CORP US N 2 2035-05-19 Floating 2.05229 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-9 N/A 41161PSK0 40142.060000 PA USD 37454.460000 0.0017904 Long ABS-MBS CORP US N 2 2035-06-20 Floating 2.29229 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 869145.600000 PA USD 764209.480000 0.0365304 Long ABS-MBS CORP US N 2 2036-12-19 Floating 1.81729 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2007-1 N/A 41164MAC1 74863.980000 PA USD 67393.760000 0.0032215 Long ABS-MBS CORP US N 2 2037-03-19 Floating 1.87229 N N N N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 3000000.000000 PA 3071013.600000 0.1467993 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 1800000.000000 PA 1840956.880000 0.0880006 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 712230.270000 PA 865415.310000 0.0413682 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 2.07491 N N N N N N HOMEBANC MORTGAGE TRUST 2005-4 N/A 43739EBS5 998.120000 PA USD 997.020000 0.0000477 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.16357 N N N N N N HOMEBANC MORTGAGE TRUST 2005-4 N/A 43739EBT3 1853.660000 PA USD 1852.040000 0.0000885 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.28357 N N N N N N UDR INC P3CH2EG5X6Z1XWU1OO74 902653104 195461.000000 NS USD 8999024.440000 0.4301676 Long EC CORP US N 1 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 959UCZII7 274000.000000 PA 317762.140000 0.0151895 Long DBT CORP GB N 2 2040-03-29 Fixed 6 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT3 N/A 40430HFM5 77255.330000 PA USD 76273.270000 0.0036460 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.16357 N N N N N N ICG US CLO LTD 2018-2A N/A 44932TAA5 800000.000000 PA USD 786491.980000 0.0375956 Long ABS-CBDO CORP KY N 2 2031-07-22 Floating 2.21629 N N N N N N INDYMAC HOME EQUITY LOAN ABS TR 2004-B N/A 456606FA5 21665.280000 PA USD 20854.240000 0.0009969 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.67357 N N N N N N INDYMAC INDA MORTGAGE LOAN TR 2005-AR1 N/A 45660LZM4 15387.880000 PA USD 12295.010000 0.0005877 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.84713 Y N N N N N INDYMAC INDB MORTGAGE LOAN TR 2006-1 N/A 45661JAA1 912984.670000 PA USD 306563.000000 0.0146542 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.76357 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR14 N/A 45660LRU5 386834.410000 PA USD 299566.460000 0.0143197 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.18357 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR15 N/A 456610AB0 90574.030000 PA USD 85942.500000 0.0041082 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.04357 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAA4 102056.140000 PA USD 80891.120000 0.0038667 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.84357 N N N N N N ING INVESTMENT MANAGEMENT CLO LTD 2012-4A N/A 92916GBE3 1000000.000000 PA USD 983000.000000 0.0469890 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 2.04429 N N N N N N VENTAS INC ORQTRC074CWLT3DKHT41 92276F100 217148.000000 NS USD 11167921.640000 0.5338443 Long EC CORP US N 1 N N N VICI PROPERTIES INC 254900RKH6RY9KCJQH63 925652109 1327699.000000 NS USD 39552153.210000 1.8906554 Long EC CORP US N 1 N N N ITALY GOVT 815600DE60799F5A9309 ACI1MHM64 32360823.900000 PA 35349323.490000 1.6897535 Long DBT NUSS IT N 2 2025-05-26 Fixed 1.4 N N N N N N ITALY GOVT 815600DE60799F5A9309 BK5MSXII1 12415200.000000 PA 12402947.490000 0.5928805 Long DBT NUSS IT N 2 2030-05-15 Fixed 0.4 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI23F1T0 4791240.000000 PA 4351342.710000 0.2080011 Long DBT NUSS IT N 2 2033-05-15 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 602845984.000000 PA 4669745.940000 0.2232212 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1BXN03 1924530980.000000 PA 14936107.920000 0.7139695 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1XV2Q9 51173000.000000 PA 399034.740000 0.0190745 Long DBT NUSS JP N 2 2031-03-10 Fixed 0.005 N N N N N N JFIN CLO LTD 2017-2A N/A 46593CAA7 8716111.750000 PA USD 8589185.990000 0.4105767 Long ABS-CBDO CORP KY N 2 2029-09-20 Floating 3.08586 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-S3 N/A 46628VAG1 165261.240000 PA USD 157195.750000 0.0075142 Long ABS-MBS CORP US N 2 2036-08-25 Variable 6.81 Y N N N N N JP MORGAN ALTERNATIVE LN TRUST 2007-A2 N/A 466278AC2 917204.020000 PA USD 421423.600000 0.0201447 Long ABS-MBS CORP US N 2 2037-06-25 Floating 2.02357 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 2635.220000 PA USD 2648.260000 0.0001266 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.90408 N N N N N N WELLTOWER INC T6IZ0MBEG5ACZDTR7D06 95040Q104 55577.000000 NS USD 4576765.950000 0.2187766 Long EC CORP US N 1 N N N JP MORGAN MORTGAGE TRUST-2005-A2 N/A 466247NZ2 323.720000 PA USD 324.510000 0.0000155 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.73626 N N N N N N JUBILEE CLO 2014-XI BV 14-11A N/A ACI1W2T93 3300000.000000 PA 3416157.620000 0.1632977 Long ABS-CBDO CORP IE N 2 2030-04-15 Floating 0.61 N N N N N N JUBILEE CLO 2014-XII BV 14-12A N/A ACI1W2W65 2800000.000000 PA 2893367.500000 0.1383075 Long ABS-CBDO CORP IE N 2 2030-04-15 Floating 0.6 N N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2TB8 800000.000000 PA 823174.850000 0.0393491 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 0.65 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1TRDT5 8865830.080000 PA 1011753.030000 0.0483634 Long DBT CORP DK N 2 2043-10-01 Fixed 0.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI09QH00 449.910000 PA 60.770000 0.0000029 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1PMG75 24981480.010000 PA 2578697.090000 0.1232658 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1W77N5 11262897.210000 PA 1241837.740000 0.0593618 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1X8QV3 15344758.880000 PA 1777579.690000 0.0849711 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI22BY64 3990561.370000 PA 476418.230000 0.0227735 Long DBT CORP DK N 2 2053-10-01 Fixed 2 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1CPNN9 34407091.880000 PA 3813379.360000 0.1822856 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936U109 160188.000000 NS USD 13273177.680000 0.6344789 Long EC CORP US N 1 N N N KKR CLO 11 LTD N/A 48250MAK3 1600000.000000 PA USD 1578400.000000 0.0754500 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 2.22429 N N N N N N KKR CLO 9 LTD N/A 48250LAW9 1000000.000000 PA USD 982529.820000 0.0469665 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 1.99429 N N N N N N KOMATSU FINANCE AMERICA INC 549300SRAAFEEQ8Z4D68 ACI0XK426 220000.000000 PA USD 219718.400000 0.0105029 Long DBT CORP US N 2 2022-09-11 Fixed 2.437 N N N N N N LCM XV LP 15A N/A 50184NAR3 1900000.000000 PA USD 1870227.150000 0.0893998 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 2.06271 N N N N N N LEHMAN ABS MANUFACTURED HOUSING 2001-B N/A 52519SAM5 846103.270000 PA USD 582091.970000 0.0278249 Long ABS-O CORP US N 2 2040-04-15 Variable 7.17 Y N N N N N LEHMAN XS TRUST 2006-8 N/A 52522HAM4 237407.350000 PA USD 238289.180000 0.0113906 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.9 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 223000.000000 NS USD 196079.760000 0.0093729 Long EP CORP US N 2 N N N LOANCORE ISSUER LTD 2019-CRE2 N/A 53946JAA2 33292.270000 PA USD 33167.420000 0.0015855 Long ABS-CBDO CORP KY N 2 2036-05-15 Floating 2.454 N N N N N N LOANCORE ISSUER LTD 2021-CRE5 N/A 53947XAA0 900000.000000 PA USD 870871.800000 0.0416290 Long ABS-CBDO CORP KY N 2 2036-07-15 Floating 2.624 N N N N N N 522 FUNDING CLO I LTD 2018-3A N/A 33835NAA9 1000000.000000 PA USD 977074.540000 0.0467057 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 2.10271 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-7 N/A 54251TAC3 76799.310000 PA USD 35646.880000 0.0017040 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.86357 N N N N N N MARATHON CLO IX LTD 2017-9A N/A 56577PAL3 2199971.200000 PA USD 2172471.560000 0.1038476 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 2.19429 N N N N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 55072.040000 PA USD 55154.760000 0.0026365 Long ABS-O CORP US N 2 2038-04-25 Floating 2.134 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UM6 11303.900000 PA USD 10810.710000 0.0005168 Long ABS-MBS CORP US N 2 2034-11-21 Floating 3.05183 N N N N N N MASTR ASSET BACKED SECURITIES TRUST 2006-AM2 N/A 57645FAC1 238901.680000 PA USD 214459.980000 0.0102515 Long ABS-MBS CORP US N 2 2036-06-25 Floating 1.96357 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC2 N/A 585525ED6 509.080000 PA USD 487.150000 0.0000233 Long ABS-MBS CORP US N 2 2030-06-15 Floating 1.804 N N N N N N MELLON RESIDENTIAL FUND CORP 2002-TBC1 N/A 585525FN3 7770.040000 PA USD 7703.150000 0.0003682 Long ABS-MBS CORP US N 2 2030-09-15 Floating 2.064 N N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE2 N/A 59024LAC5 1414703.980000 PA USD 485769.740000 0.0232206 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.04357 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-FM1 N/A 59020UC29 9971.670000 PA USD 9821.910000 0.0004695 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.34357 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A5 N/A 59020UYU3 16814.770000 PA USD 16254.370000 0.0007770 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.46639 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-NC1 N/A 59020URP2 1223460.120000 PA USD 1133150.780000 0.0541664 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.34357 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 B1G14FII2 1472303.600000 PA 76962.910000 0.0036789 Long DBT NUSS MX N 2 2035-11-22 Fixed 4.5 N N N N N N MIDOCEAN CREDIT CLO II 2013-2A N/A 59863KAS6 1411003.970000 PA USD 1392832.070000 0.0665796 Long ABS-CBDO CORP KY N 2 2030-01-29 Floating 2.26886 N N N N N N MIDOCEAN CREDIT CLO VIII 2018-8A N/A 59801MAL2 300000.000000 PA USD 295157.410000 0.0141090 Long ABS-CBDO CORP KY N 2 2031-02-20 Floating 2.528 N N N N N N MLCC MORTGAGE INVESTORS INC 2004-1 N/A 59020UNP6 5593.460000 PA USD 5402.990000 0.0002583 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.29236 N N N N N N ACE SECURITIES CORP 2004-FM2 N/A 004421GK3 1752.250000 PA USD 1763.850000 0.0000843 Long ABS-MBS CORP US N 2 2034-06-25 Floating 3.42357 Y N N N N N MLCC MORTGAGE INVESTORS INC 2006-2 N/A 590219AG6 329.710000 PA USD 297.470000 0.0000142 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.95334 N N N N N N ACE SECURITIES CORP 2004-HE4 N/A 004421JH7 49718.490000 PA USD 45936.370000 0.0021958 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.52357 N N N N N N ACE SECURITIES CORP 2005-HE2 N/A 004421MH3 2000000.000000 PA USD 1741515.800000 0.0832472 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.74857 N N N N N N MORGAN STANLEY ABS CAPITAL I 2004-NC5 N/A 61746RFV8 1709824.070000 PA USD 1606531.380000 0.0767947 Long ABS-MBS CORP US N 2 2034-05-25 Floating 2.52357 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-HE3 N/A 61744CSK3 673319.460000 PA USD 660126.570000 0.0315551 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.65857 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAA0 600322.520000 PA USD 541843.060000 0.0259010 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.75357 N N N N N N ACE SECURITIES CORP 2005-WF1 N/A 004421QS5 92085.360000 PA USD 91134.350000 0.0043564 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.49357 N N N N N N MOUNTAIN VIEW CLO LLC 2017-2A N/A 62432LAL5 7000000.000000 PA USD 6867000.000000 0.3282534 Long ABS-CBDO CORP KY N 2 2031-01-16 Floating 2.08429 N N N N N N MOUNTAIN VIEW CLO LTD 15-10A N/A 62432CAQ4 112956.830000 PA USD 112508.130000 0.0053781 Long ABS-CBDO CORP KY N 2 2027-10-13 Floating 1.84143 N N N N N N MP CLO VII LTD 2015-1A N/A 55320RAQ0 5098011.020000 PA USD 5002423.310000 0.2391237 Long ABS-CBDO CORP KY N 2 2028-10-18 Floating 1.93429 N N N N N N ADAGIO V CLO DAC V-A N/A ACI1WGSL6 1000000.000000 PA 1027545.260000 0.0491183 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.72 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 769000.000000 PA USD 769894.400000 0.0368022 Long DBT CORP GB N 2 2024-06-25 Floating 3.74729 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 488000.000000 PA USD 486992.930000 0.0232790 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 677935.280000 PA USD 657031.150000 0.0314071 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-3 N/A 007036HW9 10216.080000 PA USD 10072.770000 0.0004815 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.92995 N N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI02MK69 407665.500000 PA 260571.090000 0.0124557 Long DBT NUSS NZ N 2 2025-09-20 Fixed 2 N N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI06Z1N0 2992377.500000 PA 2017381.240000 0.0964340 Long DBT NUSS NZ N 2 2030-09-20 Fixed 3 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 654740BH1 20000.000000 PA USD 19894.150000 0.0009510 Long DBT CORP US N 2 2023-03-15 Fixed 3.45 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 654740BD0 39000.000000 PA USD 38812.270000 0.0018553 Long DBT CORP US N 2 2022-09-28 Fixed 2.6 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1RSH20 3661481.880000 PA 419673.280000 0.0200610 Long DBT CORP DK N 2 2043-10-01 Fixed 0.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI0CR3W9 96.670000 PA 13.050000 0.0000006 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1WZT66 38099868.570000 PA 4202953.570000 0.2009078 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1Z8QZ2 1100000.000000 PA 115832.790000 0.0055370 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 15643976.030000 PA 1813806.780000 0.0867028 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BK99HJII9 45208225.470000 PA 5019590.440000 0.2399444 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NORTH CAROLINA STATE EDUCATION ASSISTANCE AUTHORITY 2012-1 N/A 658262GE4 355964.420000 PA USD 352614.900000 0.0168555 Long ABS-O MUN US N 2 2039-07-25 Floating 2.42357 N N N N N N NOVASTAR HOME EQUITY LOAN 2005-3 N/A 66987XGY5 165935.690000 PA USD 164918.940000 0.0078834 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.32857 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1RMVS0 47273854.750000 PA 5378824.260000 0.2571163 Long DBT CORP DK N 2 2043-10-01 Fixed 0.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI09WV27 428.770000 PA 57.910000 0.0000028 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BK9CXBII1 115034889.550000 PA 12738433.890000 0.6089173 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N7309 22634376.920000 PA 2489046.390000 0.1189803 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N9610 3092794.070000 PA 319417.250000 0.0152686 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1NN643 159602965.560000 PA 17593418.600000 0.8409932 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 169915508.550000 PA 19695456.730000 0.9414739 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1Z8QS8 24282605.000000 PA 2789973.830000 0.1333652 Long DBT CORP DK N 2 2053-10-01 Fixed 2 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI22BXB4 4490729.670000 PA 534929.290000 0.0255705 Long DBT CORP DK N 2 2053-10-01 Fixed 2 N N N N N N OCTAGON INVESTMENT PARTNERS XXI LTD 2014-1A N/A 67590QBK2 1000000.000000 PA USD 977370.000000 0.0467198 Long ABS-CBDO CORP KY N 2 2031-02-14 Floating 2.41129 N N N N N N OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5 N/A 68383NCY7 493204.520000 PA USD 476714.920000 0.0227877 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.38357 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-1 N/A 68400DAA2 226246.040000 PA USD 156553.910000 0.0074835 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.76357 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-2 N/A 68401TAA6 188080.230000 PA USD 132625.240000 0.0063397 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.76357 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-3 N/A 68402BAD8 2971061.310000 PA USD 1532145.720000 0.0732390 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.86357 N N N N N N OWNIT MORTGAGE LN ASSET-BCK CERT 2006-6 N/A 69121TAA3 5023638.440000 PA USD 4411306.150000 0.2108674 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.90357 N N N N N N OZLM IX LTD 2014-9A N/A 67109KBC7 300000.000000 PA USD 294418.680000 0.0140737 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 2.16271 N N N N N N OZLM XVI LTD 2017-16A N/A 67111KAJ9 600000.000000 PA USD 589800.000000 0.0281934 Long ABS-CBDO CORP KY N 2 2030-05-16 Floating 2.44129 N N N N N N PALMER SQUARE CLO LTD 2013-2A N/A 69688AAL5 500000.000000 PA USD 489250.000000 0.0233869 Long ABS-CBDO CORP KY N 2 2031-10-17 Floating 2.04429 N N N N N N PALMER SQUARE LOAN FUNDING 2021-3 N/A 69702BAA9 1833096.220000 PA USD 1810182.520000 0.0865296 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 1.86271 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BX9 659000.000000 PA 157368.200000 0.0075224 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI122SK2 352000.000000 PA USD 353640.320000 0.0169046 Long DBT NUSS QA N 2 2023-04-23 Fixed 3.875 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI0B2V53 1753.880000 PA 237.080000 0.0000113 Long DBT CORP DK N 2 2047-04-01 Fixed 2.5 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BKDSHLII7 25961648.980000 PA 2873300.580000 0.1373483 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BL63VKII4 3839679.220000 PA 420530.500000 0.0201020 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BL63VNII8 59180962.690000 PA 6123841.950000 0.2927293 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N ALLIANCE BANCORP TRUST 2007-OA1 N/A 01852TAA1 1567171.440000 PA USD 1360122.230000 0.0650160 Long ABS-MBS CORP US N 2 2037-07-25 Floating 2.10357 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI1WVDP0 41889815.070000 PA 4618264.240000 0.2207603 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 63209395.350000 PA 7336602.050000 0.3507012 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI1Z07K3 8392140.620000 PA 964790.820000 0.0461185 Long DBT CORP DK N 2 2053-10-01 Fixed 2 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI24KGY1 10600000.000000 PA 1396023.980000 0.0667322 Long DBT CORP DK N 2 2053-10-01 Fixed 3 N N N N N N RELX CAPITAL INC (AKA: REED ELSEVIER CAPITAL INC) 2R15C3RTKJN1RCBOV146 74949LAB8 20000.000000 PA USD 19978.340000 0.0009550 Long DBT CORP US N 2 2023-03-16 Fixed 3.5 N N N N N N RENAISSANCE HOME EQUITY LN TR 2003-1 N/A 759950AQ1 1717940.140000 PA USD 1579496.150000 0.0755024 Long ABS-MBS CORP US N 2 2033-06-25 Floating 2.48357 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-4 N/A 75970HAF7 7286121.900000 PA USD 2828438.280000 0.1352038 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.294 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 789659.660000 PA USD 393157.800000 0.0187936 Long ABS-MBS CORP US N 2 2037-09-25 Floating 2.72357 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 36186CBY8 176000.000000 PA USD 195870.820000 0.0093629 Long DBT CORP US N 2 2031-11-01 Fixed 8 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS13 N/A 75115DAE5 18256.840000 PA USD 15278.890000 0.0007304 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS13 N/A 75115DAF2 47795.430000 PA USD 39999.330000 0.0019120 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6 Y N N N N N RESIDENTIAL ASSET SEC CORP 2006-EMX7 N/A 74924TAD6 361213.850000 PA USD 324872.770000 0.0155294 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.10357 N N N N N N RESIDENTIAL ASSET SEC TRUST 2005-A5 N/A 45660LJZ3 153235.890000 PA USD 106642.280000 0.0050977 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.02357 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A10 N/A 76113LAE7 882539.520000 PA USD 385997.370000 0.0184513 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.5 Y N N N N N RESIDENTIAL ASSET SEC TRUST 2007-A1 N/A 761136AJ9 50399.230000 PA USD 19592.870000 0.0009366 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 5.75 Y N N N N N RESIDENTIAL ASSET SECURITIES 2006-KS7 N/A 75406XAE9 2185000.000000 PA USD 2116852.250000 0.1011889 Long ABS-MBS CORP US N 2 2036-09-25 Floating 1.90357 N N N N N N ROMARK CLO LTD 2017-1A N/A 77587UAL6 900000.000000 PA USD 884102.670000 0.0422615 Long ABS-CBDO CORP KY N 2 2030-10-23 Floating 2.214 N N N N N N SARANAC CLO LTD 2018-6A N/A 80317LAJ2 3900000.000000 PA USD 3820050.000000 0.1826044 Long ABS-CBDO CORP JE N 2 2031-08-13 Floating 1.94286 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAH2 601000.000000 PA USD 605644.530000 0.0289508 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SAXON ASSET SECURITIES TRUST 2007-3 N/A 80557BAA2 77581.850000 PA USD 74552.050000 0.0035637 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.93357 N N N N N N SCULPTOR CLO XXV 25A N/A 811244AC6 3400000.000000 PA USD 3326900.000000 0.1590311 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 2.31429 N N N N N N SEC ASSET BACKED REC LLC 2005-OP2 N/A 81375WGV2 3105484.370000 PA USD 3026669.350000 0.1446796 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.29857 N N N N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AC8 947883.720000 PA USD 557073.160000 0.0266290 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.12357 N N N N N N SLM STUDENT LOAN TRUST 2008-9 N/A 78445JAA5 192333.130000 PA USD 191980.490000 0.0091770 Long ABS-O CORP US N 2 2023-04-25 Floating 2.684 N N N N N N SMALL BUSINESS ADMIN PART CERT 2004-20I N/A 83162CPA5 3018.530000 PA USD 2994.760000 0.0001432 Long ABS-O CORP US N 2 2024-09-01 Fixed 4.99 N N N N N N SMALL BUSINESS ADMIN PART CERT 2005-20E N/A 83162CPN7 2888.080000 PA USD 2874.160000 0.0001374 Long ABS-O CORP US N 2 2025-05-01 Fixed 4.84 N N N N N N SMALL BUSINESS ADMIN PART CERT 2006-20F N/A 83162CQH9 2853.940000 PA USD 2858.170000 0.0001366 Long ABS-O CORP US N 2 2026-06-01 Fixed 5.82 N N N N N N SMALL BUSINESS ADMIN PART CERT 2007-20E N/A 83162CRA3 4072.940000 PA USD 4126.070000 0.0001972 Long ABS-O CORP US N 2 2027-05-01 Fixed 5.31 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2007-20K N/A 83162CRK1 2035.300000 PA USD 2074.790000 0.0000992 Long ABS-O CORP US N 2 2027-11-01 Fixed 5.51 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20B N/A 83162CRP0 2988.820000 PA USD 2989.260000 0.0001429 Long ABS-O CORP US N 2 2028-02-01 Fixed 5.16 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20G N/A 83162CRX3 1759.640000 PA USD 1795.610000 0.0000858 Long ABS-O CORP US N 2 2028-07-01 Fixed 5.87 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20K N/A 83162CSD6 3634.870000 PA USD 3773.870000 0.0001804 Long ABS-O CORP US N 2 2028-11-01 Fixed 6.77 N N N N N N SOUND POINT CLO XII LTD 2016-2A N/A 83610CAW1 2104870.930000 PA USD 2079509.320000 0.0994038 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 2.11271 N N N N N N SOUND POINT CLO XIV LTD 2016-3A N/A 83609NAN0 2518791.000000 PA USD 2488565.510000 0.1189574 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 2.174 N N N N N N SOUND POINT CLO XVI LTD 2017-2A N/A 83610KAJ2 1300000.000000 PA USD 1278550.000000 0.0611167 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 2.164 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAA0 783379.980000 PA USD 579495.230000 0.0277008 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.82357 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAC5 106236.260000 PA USD 85296.580000 0.0040773 Long ABS-MBS CORP US N 2 2037-10-25 Floating 2.57357 N N N N N N SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3 N/A 84751XAA0 11793447.440000 PA USD 7231996.710000 0.3457009 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.94357 N N N N N N SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2007-BC2 N/A 84752EAC7 3296088.790000 PA USD 2450762.320000 0.1171503 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.82357 N N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-2 N/A 863579V47 24011.660000 PA USD 18491.650000 0.0008839 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.01358 Y N N N N N STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST 2004-17 N/A 863579DS4 64183.270000 PA USD 58655.060000 0.0028038 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.01157 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR8 N/A 86359LGE3 4412.980000 PA USD 4056.410000 0.0001939 Long ABS-MBS CORP US N 2 2035-05-19 Floating 2.27514 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 6733.810000 PA USD 5452.250000 0.0002606 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.04357 N N N N N N STRUCTURED ASSET SEC CORP 2005-7XS N/A 86359B7K1 6532.890000 PA USD 6444.620000 0.0003081 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.56171 N N N N N N STRUCTURED ASSET SEC CORP 2006-GEL4 N/A 86361NAD3 222312.450000 PA USD 218003.990000 0.0104209 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.19357 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAQ3 39000.000000 PA USD 38600.930000 0.0018452 Long DBT CORP US N 2 2023-06-15 Fixed 3 N N N N N N TCI-SYMPHONY CLO LTD 2016-1A N/A 87229WAQ4 7200000.000000 PA USD 7026354.000000 0.3358708 Long ABS-CBDO CORP KY N 2 2032-10-13 Floating 2.04143 N N N N N N TCW CLO LTD 2018-1A N/A 87240UAR1 5200000.000000 PA USD 5088698.680000 0.2432478 Long ABS-CBDO CORP KY N 2 2031-04-25 Floating 2.154 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-1 N/A 88522EAC7 221664.720000 PA USD 194167.990000 0.0092815 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.83329 Y N N N N N TICP CLO II LTD 2018-IIA N/A 87249TAC8 1884573.320000 PA USD 1863040.520000 0.0890563 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.90271 N N N N N N TICP CLO III-2 LTD 2018-3R N/A 87249FAC8 157713.200000 PA USD 156698.010000 0.0074904 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.90271 N N N N N N TIKEHAU CLO BV N/A ACI1ZJMY5 1500000.000000 PA 1532469.680000 0.0732545 Long ABS-CBDO CORP IE N 2 2034-08-04 Floating 0.87 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 1195169.050000 PA 1450185.880000 0.0693212 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 2.06263 N N N N N N TRANSCANADA PIPELINES LIMITED 5BV01I6231JPDAPMGH09 89352HAK5 11000.000000 PA USD 11016.290000 0.0005266 Long DBT CORP CA N 2 2023-10-16 Fixed 3.75 N N N N N N AMMC CLO 20 LTD 2017-20A N/A 00177TAJ2 4156233.990000 PA USD 4103381.610000 0.1961481 Long ABS-CBDO CORP KY N 2 2029-04-17 Floating 1.91429 N N N N N N AMMC CLO XII LTD 2013-12A N/A 00176CAW1 800000.000000 PA USD 787361.180000 0.0376371 Long ABS-CBDO CORP KY N 2 2030-11-10 Floating 2.35186 N N N N N N UMBS PASS THRU POOLS N/A 01F022675 1500000.000000 PA USD 1349414.070000 0.0645041 Long ABS-MBS USGSE US N 2 2052-07-14 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030686 14300000.000000 PA USD 13307937.500000 0.6361404 Long ABS-MBS USGSE US N 2 2052-08-11 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F032682 4800000.000000 PA USD 4612107.310000 0.2204660 Long ABS-MBS USGSE US N 2 2052-08-11 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040677 59500000.000000 PA USD 58690009.840000 2.8054752 Long ABS-MBS USGSE US N 2 2052-07-14 Fixed 4 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 910000.000000 PA USD 942685.800000 0.0450619 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B128DHII8 4477307.330000 PA 6358106.920000 0.3039276 Long DBT NUSS GB N 2 2027-11-22 Fixed 1.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796XU8 36300000.000000 PA USD 36196973.700000 1.7302725 Long DBT UST US N 2 2022-09-06 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796YF0 35800000.000000 PA USD 35569519.600000 1.7002792 Long DBT UST US N 2 2022-10-25 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796YG8 35100000.000000 PA USD 34848921.980000 1.6658335 Long DBT UST US N 2 2022-11-01 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796K57 87600000.000000 PA USD 87566460.590000 4.1858151 Long DBT UST US N 2 2022-07-14 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796S42 76700000.000000 PA USD 76656962.860000 3.6643239 Long DBT UST US N 2 2022-07-21 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796X38 36002000.000000 PA USD 35976560.990000 1.7197364 Long DBT UST US N 2 2022-07-26 None 0 N N N N N N ANCHORAGE CAPITAL CLO 11 LTD 2019-11A N/A 03330NAJ3 5600000.000000 PA USD 5443497.250000 0.2602078 Long ABS-CBDO CORP KY N 2 2032-07-22 Floating 2.27629 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796T41 3986000.000000 PA USD 3978953.630000 0.1902003 Long DBT UST US N 2 2022-08-18 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796T58 2100000.000000 PA USD 2095412.090000 0.1001640 Long DBT UST US N 2 2022-08-25 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796XL8 2100000.000000 PA USD 2097184.680000 0.1002487 Long DBT UST US N 2 2022-08-09 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796T66 16100000.000000 PA USD 16057923.130000 0.7675941 Long DBT UST US N 2 2022-09-01 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796U49 1561000.000000 PA USD 1555809.680000 0.0743702 Long DBT UST US N 2 2022-09-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796U56 1535000.000000 PA USD 1529263.830000 0.0731012 Long DBT UST US N 2 2022-09-22 None 0 N N N N N N CAMDEN PROPERTY TRUST 5493002MYX22OHYJBD89 133131102 61790.000000 NS USD 8309519.200000 0.3972081 Long EC CORP US N 1 N N N ANCHORAGE CAPITAL CLO LTD 2015-6A N/A 03328QAY7 3400000.000000 PA USD 3360660.160000 0.1606449 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 2.09429 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828UH1 44785647.270000 PA USD 45543895.150000 2.1770701 Long DBT UST US N 2 2023-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828B25 107358618.840000 PA USD 109212250.210000 5.2205180 Long DBT UST US N 2 2024-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 65535480.000000 PA USD 65948976.770000 3.1524652 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N71 33765451.560000 PA USD 34155510.390000 1.6326873 Long DBT UST US N 2 2026-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FS2 4143344.200000 PA USD 4389567.150000 0.2098282 Long DBT UST US N 2 2026-01-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828V49 56360802.000000 PA USD 56176164.580000 2.6853094 Long DBT UST US N 2 2027-01-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 101006438.900000 PA USD 100370693.260000 4.7978777 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PV4 5894334.720000 PA USD 6259905.660000 0.2992334 Long DBT UST US N 2 2028-01-15 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285W6 95234873.920000 PA USD 96183796.110000 4.5977374 Long DBT UST US N 2 2029-01-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Z37 93755240.500000 PA USD 89555605.760000 4.2808994 Long DBT UST US N 2 2030-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBF7 62992992.000000 PA USD 59966281.410000 2.8664830 Long DBT UST US N 2 2031-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDX6 94682608.000000 PA USD 89957683.590000 4.3001193 Long DBT UST US N 2 2032-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QF8 15986801.440000 PA USD 18688196.310000 0.8933253 Long DBT UST US N 2 2040-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QP6 19123290.720000 PA USD 22250743.130000 1.0636207 Long DBT UST US N 2 2041-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QV3 36932649.330000 PA USD 33802602.500000 1.6158178 Long DBT UST US N 2 2042-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 39145736.000000 PA USD 34650731.350000 1.6563597 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 58489892.930000 PA USD 59929442.670000 2.8647220 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 74632608.000000 PA USD 66954464.250000 3.2005291 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 52822969.000000 PA USD 50152444.110000 2.3973660 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RW0 24195674.700000 PA USD 22401816.330000 1.0708422 Long DBT UST US N 2 2047-02-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 14652250.000000 PA USD 14015204.600000 0.6699489 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 4552337.730000 PA USD 4390135.210000 0.2098554 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SM1 16527357.000000 PA USD 13076293.960000 0.6250675 Long DBT UST US N 2 2050-02-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SV1 9781302.500000 PA USD 7550366.690000 0.3609195 Long DBT UST US N 2 2051-02-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TE8 15056365.000000 PA USD 11715816.980000 0.5600346 Long DBT UST US N 2 2052-02-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284H0 140310842.120000 PA USD 142717340.030000 6.8221142 Long DBT UST US N 2 2023-04-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286N5 44222268.500000 PA USD 44841790.640000 2.1435084 Long DBT UST US N 2 2024-04-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZJ2 92322450.000000 PA USD 92393254.860000 4.4165435 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCA7 71720804.700000 PA USD 71076186.710000 3.3975540 Long DBT UST US N 2 2026-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEJ6 24263112.000000 PA USD 23900130.990000 1.1424640 Long DBT UST US N 2 2027-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FH6 821135.440000 PA USD 991986.720000 0.0474185 Long DBT UST US N 2 2029-04-15 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FQ6 118879.040000 PA USD 148625.440000 0.0071045 Long DBT UST US N 2 2032-04-15 Fixed 3.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828VM9 44478000.810000 PA USD 45264568.460000 2.1637179 Long DBT UST US N 2 2023-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828WU0 38157835.750000 PA USD 38530879.730000 1.8418369 Long DBT UST US N 2 2024-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XL9 35835660.000000 PA USD 36205431.330000 1.7306768 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828S50 39126631.400000 PA USD 38825367.290000 1.8559139 Long DBT UST US N 2 2026-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282L3 77132856.500000 PA USD 76890978.660000 3.6755102 Long DBT UST US N 2 2027-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Y38 157530672.000000 PA USD 158750395.760000 7.5885196 Long DBT UST US N 2 2028-07-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128287D6 21470570.000000 PA USD 20832978.020000 0.9958493 Long DBT UST US N 2 2029-07-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZZ6 104284500.000000 PA USD 99529819.250000 4.7576825 Long DBT UST US N 2 2030-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCM1 177539377.600000 PA USD 168954785.890000 8.0763056 Long DBT UST US N 2 2031-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YL8 82132056.000000 PA USD 82653605.230000 3.9509729 Long DBT UST US N 2 2024-10-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAQ4 113630040.000000 PA USD 113578539.460000 5.4292336 Long DBT UST US N 2 2025-10-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDC2 116464881.000000 PA USD 115452678.900000 5.5188204 Long DBT UST US N 2 2026-10-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828B66 4890000.000000 PA USD 4874336.740000 0.2330010 Long DBT UST US N 2 2024-02-15 Fixed 2.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828J27 3096000.000000 PA USD 3017269.680000 0.1442303 Long DBT UST US N 2 2025-02-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828R36 3123000.000000 PA USD 2960384.420000 0.1415111 Long DBT UST US N 2 2026-05-15 Fixed 1.625 N N N N N N US AIRWAYS 2011-1 CLASS A PASS THRU TRUST N/A 903436AA1 34014.300000 PA USD 34346.010000 0.0016418 Long DBT CORP US N 2 2025-04-22 Fixed 7.125 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 757977.540000 PA USD 749803.580000 0.0358418 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 1.92429 N N N N N N VENTURE XXI CLO LTD 2015-21A N/A 92330MAL3 41939.470000 PA USD 41955.140000 0.0020055 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.92429 N N N N N N VENTURE XXIV CLO LTD 2016-24A N/A 92330WBJ5 609371.300000 PA USD 602198.360000 0.0287860 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.96271 N N N N N N VENTURE XXIX CLO LTD 2017-29A N/A 92331EAF3 800000.000000 PA USD 789140.530000 0.0377222 Long ABS-CBDO CORP KY N 2 2030-09-07 Floating 2.40129 N N N N N N VENTURE XXVI CLO LTD 2017-26A N/A 92331MAE8 2891698.120000 PA USD 2863955.750000 0.1369016 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 2.16271 N N N N N N VENTURE XXVII CLO LTD 2017-27A N/A 92331LBC3 3500000.000000 PA USD 3457925.660000 0.1652943 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 92331AAU8 5800000.000000 PA USD 5707200.000000 0.2728132 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 2.05271 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VGN8 46000.000000 PA USD 38179.870000 0.0018251 Long DBT CORP US N 2 2032-03-15 Fixed 2.355 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VEU4 285000.000000 PA USD 276284.860000 0.0132069 Long DBT CORP US N 2 2029-12-03 Fixed 4.016 N N N N N N APIDOS CLO 2017-27A N/A 03767JAF2 1000000.000000 PA USD 985804.920000 0.0471230 Long ABS-CBDO CORP KY N 2 2030-07-17 Floating 1.97429 N N N N N N VIBRANT CLO VII LTD N/A 92558BAJ7 1900000.000000 PA USD 1863755.320000 0.0890904 Long ABS-CBDO CORP KY N 2 2030-09-15 Floating 2.10271 N N N N N N APIDOS CLO XXVI LLC 2017-26A N/A 03766GAL6 600000.000000 PA USD 590700.000000 0.0282364 Long ABS-CBDO CORP KY N 2 2029-07-18 Floating 1.94429 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AC9 39000.000000 PA USD 37468.860000 0.0017911 Long DBT CORP US N 2 2027-08-21 Fixed 3.9 N N N N N N WASHINGTON MUTUAL 2004-AR11 N/A 92922FYA0 2837.860000 PA USD 2666.120000 0.0001274 Long ABS-MBS CORP US N 2 2034-10-25 Floating 2.42103 N N N N N N WASHINGTON MUTUAL 2004-AR13 N/A 92922FB72 19796.990000 PA USD 18402.870000 0.0008797 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.36357 N N N N N N WASHINGTON MUTUAL 2004-AR14 N/A 939336V91 3882.110000 PA USD 3706.390000 0.0001772 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.80767 N N N N N N WASHINGTON MUTUAL 2004-AR3 N/A 92922FNH7 3067.790000 PA USD 2918.490000 0.0001395 Long ABS-MBS CORP US N 2 2034-06-25 Floating 3.08117 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X81 23304.100000 PA USD 22278.160000 0.0010649 Long ABS-MBS CORP US N 2 2045-01-25 Floating 2.42357 N N N N N N AQUEDUCT EUROPEAN CLO 1-2017 DAC N/A ACI1VHTC4 2720886.100000 PA 2810078.690000 0.1343262 Long ABS-CBDO CORP IE N 2 2030-07-20 Floating 0.64 N N N N N N WASHINGTON MUTUAL 2005-AR2 N/A 92922FD39 27517.550000 PA USD 26737.800000 0.0012781 Long ABS-MBS CORP US N 2 2045-01-25 Floating 2.36357 N N N N N N WASHINGTON MUTUAL 2006-AR8 N/A 93362FAJ2 1158.510000 PA USD 1073.910000 0.0000513 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.04952 Y N N N N N WELLFLEET CLO LTD 2015-1 N/A 949496BJ1 1290656.140000 PA USD 1277765.660000 0.0610792 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 1.95271 N N N N N N WELLS FARGO HOME EQUITY TRUST 2005-2 N/A 94981PAM2 137000.000000 PA USD 137023.430000 0.0065499 Long ABS-MBS CORP US N 2 2034-12-25 Floating 4.02357 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR4 N/A 94983PAF5 18937.820000 PA USD 18088.190000 0.0008646 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.87017 Y N N N N N WIND RIVER CLO LTD 2014-1A N/A 88432CBB1 796721.280000 PA USD 781185.220000 0.0373419 Long ABS-CBDO CORP KY N 2 2031-07-18 Floating 2.09429 N N N N N N WMALT MTGE PASS-THRU CERT 2005-7 N/A 93934FBT8 10802.810000 PA USD 9185.820000 0.0004391 Long ABS-MBS CORP US N 2 2035-08-25 Fixed 6.5 Y N N N N N AREIT TRUST 2020-CRE4 N/A 04002RAA8 39634.090000 PA USD 38406.500000 0.0018359 Long ABS-MBS CORP KY N 2 2037-04-15 Floating 3.50838 N N N N N N N/A N/A 000000000 -9031915.000000 PA USD -9033104.200000 -0.4317966 Short RA US N 2 Reverse repurchase N 1.5800000 2022-07-05 9226000.000000 USD 9016763.820000 USD UST N N N N/A N/A 000000000 -778559782.500000 PA USD -778853688.830000 -37.2304364 Short RA US N 2 Reverse repurchase N 1.5100000 2022-07-06 680098000.000000 USD 673805472.500000 USD UST N N N ARES LII CLO LTD 2019-52A N/A 04009AAL4 5600000.000000 PA USD 5463615.470000 0.2611694 Long ABS-CBDO CORP KY N 2 2031-04-22 Floating 2.18629 N N N N N N ARES XL CLO LTD 2016-40A N/A 04016GBB3 9150646.980000 PA USD 9016322.800000 0.4309945 Long ABS-CBDO CORP KY N 2 2029-01-15 Floating 1.91429 N N N N N N N/A N/A 000000000 25300000.000000 PA USD 25300000.000000 1.2093800 Long RA US N 2 Repurchase N 1.5300000 2022-07-05 30139000.000000 USD 25566348.590000 USD UST N N N N/A N/A 000000000 377100000.000000 PA USD 377100000.000000 18.0259755 Long RA US N 2 Repurchase N 1.5400000 2022-07-01 413951000.000000 USD 386400057.940000 USD UST N N N N/A N/A 000000000 52300000.000000 PA USD 52300000.000000 2.5000226 Long RA US N 2 Repurchase N 1.4800000 2022-07-01 56488000.000000 USD 53323789.660000 USD UST N N N ARGENT SECURITIES INC 2005-W1 N/A 040104MX6 82459.930000 PA USD 74108.220000 0.0035425 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.10357 N N N N N N N/A N/A 000000000 361800000.000000 PA USD 361800000.000000 17.2946114 Long RA US N 2 Repurchase N 1.4700000 2022-07-05 400998489.260000 USD 372132961.350000 USD AMBS N N N N/A N/A 000000000 -633750.000000 PA USD -634019.340000 -0.0303071 Short RA US N 2 Reverse repurchase N 1.5300000 2022-07-05 600000.000000 USD 571170.980000 USD UST N N N N/A N/A 000000000 -33693500.000000 PA USD -33703458.300000 -1.6110785 Short RA US N 2 Reverse repurchase N 1.5200000 2022-07-01 31600000.000000 USD 30081671.510000 USD UST N N N N/A N/A 000000000 -4088000.000000 PA USD -4088694.960000 -0.1954461 Short RA US N 2 Reverse repurchase N 1.5300000 2022-07-05 3200000.000000 USD 3254177.920000 USD UST N N N N/A N/A 000000000 -987000.000000 PA USD -987085.540000 -0.0471842 Short RA US N 2 Reverse repurchase N 1.5600000 2022-07-06 800000.000000 USD 807821.070000 USD UST N N N N/A N/A 000000000 1.000000 NC USD -1576498.590000 -0.0753591 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A ALERIAN MIDSTREAM ENERGY TOTAL RETURN INDEX Y 2022-10-26 0.000000 USD 0.000000 USD 10609244.340000 USD -1576498.590000 N N N N/A N/A 000000000 1.000000 NC USD -5151716.270000 -0.2462602 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A ALERIAN MIDSTREAM ENERGY TOTAL RETURN INDEX Y 2022-09-21 0.000000 USD 0.000000 USD 124527381.080000 USD -5151716.270000 N N N N/A N/A 000000000 1.000000 NC USD -1748988.840000 -0.0836044 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 ALERIAN MLP TOTAL RETURN INDEX N/A N/A Y 2022-08-17 0.000000 USD 0.000000 USD 31341817.440000 USD -1748988.840000 N N N N/A N/A 000000000 1.000000 NC USD -6825059.900000 -0.3262486 N/A DE US N 2 Wells Fargo Trust Company, National Association KB1H1DSPRFMYMCUFXT09 ALERIAN MLP TOTAL RETURN INDEX N/A N/A Y 2023-04-12 0.000000 USD 0.000000 USD 48540672.220000 USD -6825059.900000 N N N N/A N/A 000000000 1.000000 NC USD -4607148.680000 -0.2202290 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ALERIAN MLP TOTAL RETURN INDEX N/A N/A Y 2022-08-17 0.000000 USD 0.000000 USD 32723492.440000 USD -4607148.680000 N N N N/A N/A 000000000 1.000000 NC USD -4479639.320000 -0.2141338 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ALERIAN MLP TOTAL RETURN INDEX N/A N/A Y 2022-10-26 0.000000 USD 0.000000 USD 31817823.120000 USD -4479639.320000 N N N N/A N/A 000000000 1.000000 NC USD -1689022.050000 -0.0807379 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ALEXANDRIA REAL ESTATE EQUITIES INC Y 2022-12-07 0.000000 USD 0.000000 USD 13292595.000000 USD -1689022.050000 N N N N/A N/A 000000000 1.000000 NC USD -814967.530000 -0.0389567 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A AMERICAN HOMES 4 RENT Y 2022-12-07 0.000000 USD 0.000000 USD 19344864.000000 USD -814967.530000 N N N N/A N/A 000000000 1.000000 NC USD -88131.860000 -0.0042128 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) Y 2022-12-07 0.000000 USD 0.000000 USD 28327978.000000 USD -88131.860000 N N N N/A N/A 000000000 1.000000 NC USD -851034.190000 -0.0406808 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A APARTMENT INCOME REIT CORP Y 2022-12-07 0.000000 USD 0.000000 USD 11551450.000000 USD -851034.190000 N N N N/A N/A 000000000 1.000000 NC USD -1898489.920000 -0.0907508 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A AVALONBAY COMMUNITIES INC Y 2022-12-07 0.000000 USD 0.000000 USD 28365744.000000 USD -1898489.920000 N N N N/A N/A 000000000 1.000000 NC -518373.330000 -0.0247791 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 58539071.000000 USD 411804802.760000 DKK 2022-07-01 -518373.330000 N N N N/A N/A 000000000 1.000000 NC -368196.150000 -0.0176004 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 35725093.150000 USD 250947344.320000 DKK 2022-07-01 -368196.150000 N N N N/A N/A 000000000 1.000000 NC -20469.930000 -0.0009785 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2679372.210000 USD 2530000.000000 EUR 2022-08-16 -20469.930000 N N N N/A N/A 000000000 1.000000 NC -9748.740000 -0.0004660 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1514708.450000 USD 1432000.000000 EUR 2022-08-16 -9748.740000 N N N N/A N/A 000000000 1.000000 NC -174997.810000 -0.0083652 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 6264199.320000 USD 5794000.000000 EUR 2022-08-16 -174997.810000 N N N N/A N/A 000000000 1.000000 NC -29602.180000 -0.0014150 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1188799.500000 USD 1103000.000000 EUR 2022-08-16 -29602.180000 N N N N/A N/A 000000000 1.000000 NC -41672.880000 -0.0019920 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1754720.590000 USD 1630000.000000 EUR 2022-08-16 -41672.880000 N N N N/A N/A 000000000 1.000000 NC -21906.040000 -0.0010471 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1079161.250000 USD 1006000.000000 EUR 2022-08-16 -21906.040000 N N N N/A N/A 000000000 1.000000 NC -40347.200000 -0.0019287 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1587344.890000 USD 1472000.000000 EUR 2022-08-16 -40347.200000 N N N N/A N/A 000000000 1.000000 NC -18437.460000 -0.0008813 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1025247.100000 USD 958000.000000 EUR 2022-08-16 -18437.460000 N N N N/A N/A 000000000 1.000000 NC 3767.040000 0.0001801 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7443261.240000 USD 7086000.000000 EUR 2022-08-16 3767.040000 N N N N/A N/A 000000000 1.000000 NC -2828.010000 -0.0001352 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1484666.830000 USD 1410000.000000 EUR 2022-08-16 -2828.010000 N N N N/A N/A 000000000 1.000000 NC -4852.590000 -0.0002320 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1058954.960000 USD 1003000.000000 EUR 2022-08-16 -4852.590000 N N N N/A N/A 000000000 1.000000 NC 255.170000 0.0000122 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1080311.270000 USD 887000.000000 GBP 2022-08-16 255.170000 N N N N/A N/A 000000000 1.000000 NC -13802.360000 -0.0006598 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1246427.360000 USD 166800000.000000 JPY 2022-08-16 -13802.360000 N N N N/A N/A 000000000 1.000000 NC -49270.950000 -0.0023552 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2496785.350000 USD 331200000.000000 JPY 2022-08-16 -49270.950000 N N N N/A N/A 000000000 1.000000 NC 531452.810000 0.0254043 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 410967694.050000 DKK 58539071.000000 USD 2022-08-01 531452.810000 N N N N/A N/A 000000000 1.000000 NC 375767.900000 0.0179623 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 250440048.000000 DKK 35725093.150000 USD 2022-08-01 375767.900000 N N N N/A N/A 000000000 1.000000 NC 32639.900000 0.0015602 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3175000.000000 EUR 3369404.620000 USD 2022-08-16 32639.900000 N N N N/A N/A 000000000 1.000000 NC 15065.330000 0.0007201 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2608000.000000 EUR 2755941.670000 USD 2022-08-16 15065.330000 N N N N/A N/A 000000000 1.000000 NC 43050.460000 0.0020579 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3249722.000000 GBP 4001946.200000 USD 2022-08-16 43050.460000 N N N N/A N/A 000000000 1.000000 NC 594.900000 0.0000284 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 766000.000000 GBP 933755.990000 USD 2022-08-16 594.900000 N N N N/A N/A 000000000 1.000000 NC 126043.730000 0.0060251 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 4205000.000000 GBP 5248683.940000 USD 2022-08-16 126043.730000 N N N N/A N/A 000000000 1.000000 NC 27101.550000 0.0012955 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 716000.000000 GBP 899351.350000 USD 2022-08-16 27101.550000 N N N N/A N/A 000000000 1.000000 NC 181390.730000 0.0086708 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 482700000.000000 JPY 3748465.610000 USD 2022-08-16 181390.730000 N N N N/A N/A 000000000 1.000000 NC 7458.410000 0.0003565 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 230700000.000000 JPY 1712294.070000 USD 2022-08-16 7458.410000 N N N N/A N/A 000000000 1.000000 NC 2663.010000 0.0001273 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BARCLAYS BANK PLC BARCLAYS BANK PLC GOV GTD Y Single Leg Swap 2022-12-21 7972.820000 EUR 0.000000 EUR 1200000.000000 EUR -5309.810000 N N N N/A N/A 000000000 -83811.000000 NC USD -639812.670000 -0.0305841 N/A DCO US N 2 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 Call Written BCOM COMMODITY INDEX BCOM INDEX N/A 119.900000 USD 2023-01-20 XXXX -324683.310000 N N N N/A N/A 000000000 1.000000 NC -137979.740000 -0.0065956 N/A DFE DK N 2 BNP Paribas S.A. N/A 3274273.250000 USD 22260000.000000 DKK 2022-07-01 -137979.740000 N N N N/A N/A 000000000 1.000000 NC -16309.460000 -0.0007796 N/A DFE DK N 2 BNP Paribas S.A. N/A 2551691.390000 USD 17995000.000000 DKK 2022-07-01 -16309.460000 N N N N/A N/A 000000000 1.000000 NC -10702.860000 -0.0005116 N/A DFE N/A N 2 BNP Paribas S.A. N/A 1163594.480000 USD 1097000.000000 EUR 2022-08-16 -10702.860000 N N N N/A N/A 000000000 1.000000 NC -49.680000 -0.0000024 N/A DFE MX N 2 BNP Paribas S.A. N/A 80359.980000 USD 1615000.000000 MXN 2022-07-01 -49.680000 N N N N/A N/A 000000000 1.000000 NC -5631.350000 -0.0002692 N/A DFE CA N 2 BNP Paribas S.A. N/A 1488769.190000 CAD 1150994.000000 USD 2022-08-16 -5631.350000 N N N N/A N/A 000000000 1.000000 NC 491511.310000 0.0234950 N/A DFE N/A N 2 BNP Paribas S.A. N/A 90166000.000000 EUR 95251425.520000 USD 2022-08-16 491511.310000 N N N N/A N/A 000000000 1.000000 NC 29332.260000 0.0014021 N/A DFE N/A N 2 BNP Paribas S.A. N/A 4006000.000000 EUR 4239436.030000 USD 2022-08-16 29332.260000 N N N CBRE GROUP INC 52990016II9MJ2OSWA10 12504L109 51757.000000 NS USD 3809832.770000 0.1821160 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -3101.850000 -0.0001483 N/A DFE MX N 2 BNP Paribas S.A. N/A 1615000.000000 MXN 77208.450000 USD 2022-07-01 -3101.850000 N N N N/A N/A 000000000 1.000000 NC -78.530000 -0.0000038 N/A DFE MX N 2 BNP Paribas S.A. N/A 1615000.000000 MXN 79176.540000 USD 2022-09-15 -78.530000 N N N N/A N/A 000000000 -340.000000 NC USD -10751525.840000 -0.5139399 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2022-10-31 -34197200.000000 USD -10751525.840000 N N N N/A N/A OP001PGL0 -1100000.000000 NC USD -16755.760000 -0.0008010 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX HY38 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 USD 0.000000 USD N/A USD N/A 95.000000 USD 2022-08-17 XXXX -3445.760000 N N N ARMADA EURO CLO III DAC 3A N/A ACI1WGZB0 2400000.000000 PA 2450386.500000 0.1171323 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 0.72 N N N N N N N/A N/A OP001KDW0 -4500000.000000 NC USD -1839.380000 -0.0000879 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 1.200000 USD 2022-07-20 XXXX 6305.620000 N N N N/A N/A OP001NKT3 -7300000.000000 NC USD -11656.420000 -0.0005572 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG38 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.300000 USD 2022-08-17 XXXX 4768.580000 N N N N/A N/A OP001P4Y5 -2200000.000000 NC USD -2958.380000 -0.0001414 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG38 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.350000 USD 2022-08-17 XXXX 2233.620000 N N N N/A N/A OP001PZ21 -2000000.000000 NC USD -1495.160000 -0.0000715 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG38 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.200000 USD 2022-07-20 XXXX 1504.840000 N N N N/A N/A OP001NG50 -2600000.000000 NC USD -1407.040000 -0.0000673 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG38 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.250000 USD 2022-07-20 XXXX 2817.960000 N N N N/A N/A OP001NKS5 -2200000.000000 NC USD -259.690000 -0.0000124 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG38 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.700000 USD 2022-08-17 XXXX 2160.310000 N N N N/A N/A OP001KY31 -5000000.000000 NC USD -3737.900000 -0.0001787 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG38 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.200000 USD 2022-07-20 XXXX 3812.100000 N N N N/A N/A 000000000 1.000000 NC -536.850000 -0.0000257 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 26028.620000 USD 97747.880000 PEN 2022-07-19 -536.850000 N N N N/A N/A 000000000 1.000000 NC 107.840000 0.0000052 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 25385.910000 USD 97964.240000 PEN 2022-08-08 107.840000 N N N N/A N/A 000000000 1.000000 NC 34630.530000 0.0016554 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2444000.000000 AUD 1722167.040000 USD 2022-08-16 34630.530000 N N N N/A N/A 000000000 1.000000 NC 516.460000 0.0000247 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 780000.000000 GBP 950732.720000 USD 2022-08-16 516.460000 N N N N/A N/A 000000000 340.000000 NC USD 10317305.640000 0.4931835 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A WTI Crude 2022-11-18 32490400.000000 USD 10317305.640000 N N N ASSET BACKED SEC HOME EQTY LN 2006-HE6 N/A 04544NAR5 701358.300000 PA USD 679983.910000 0.0325043 Long ABS-MBS CORP US N 2 2036-11-25 Floating 2.08357 N N N N N N N/A N/A 000000000 1.000000 NC USD -891988.590000 -0.0426385 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A DIGITAL REALTY TRUST INC Y 2022-12-07 0.000000 USD 0.000000 USD 12577059.000000 USD -891988.590000 N N N N/A N/A 000000000 1.000000 NC USD 1340251.300000 0.0640661 N/A DE US N 2 Wells Fargo Trust Company, National Association KB1H1DSPRFMYMCUFXT09 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2022-09-28 0.000000 USD 0.000000 USD 65595833.640000 USD 1340251.300000 N N N N/A N/A 000000000 1.000000 NC USD -256525.750000 -0.0122623 N/A DE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2022-08-24 0.000000 USD 0.000000 USD 3257850.880000 USD -256525.750000 N N N N/A N/A 000000000 1.000000 NC USD -237768.980000 -0.0113657 N/A DE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2022-11-16 0.000000 USD 0.000000 USD 3028783.240000 USD -237768.980000 N N N N/A N/A 000000000 1.000000 NC USD -9094831.850000 -0.4347473 N/A DE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2022-11-16 0.000000 USD 0.000000 USD 115793692.020000 USD -9094831.850000 N N N N/A N/A 000000000 1.000000 NC USD -1866177.440000 -0.0892062 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2023-05-10 0.000000 USD 0.000000 USD 35187716.880000 USD -1866177.440000 N N N N/A N/A 000000000 1.000000 NC USD -6510356.210000 -0.3112053 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2023-01-04 0.000000 USD 0.000000 USD 82795225.880000 USD -6510356.210000 N N N N/A N/A 000000000 1.000000 NC USD -6084562.020000 -0.2908517 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2022-10-12 0.000000 USD 0.000000 USD 77348506.440000 USD -6084562.020000 N N N N/A N/A 000000000 1.000000 NC USD -1343861.590000 -0.0642387 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2022-10-12 0.000000 USD 0.000000 USD 17078265.160000 USD -1343861.590000 N N N N/A N/A 000000000 1.000000 NC USD 902254.410000 0.0431292 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A DUKE REALTY CORPORATION Y 2022-12-07 0.000000 USD 0.000000 USD 23060295.000000 USD 902254.410000 N N N N/A N/A 000000000 714.000000 NC USD 118230.550000 0.0056516 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Emission 2022-12-23 22341060.000000 USD 118230.550000 N N N N/A N/A 000000000 1.000000 NC USD -538282.900000 -0.0257308 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A EQUINIX INC Y 2022-12-07 0.000000 USD 0.000000 USD 12024075.000000 USD -538282.900000 N N N N/A N/A 000000000 1.000000 NC USD -1676668.700000 -0.0801474 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A EQUITY LIFESTYLE PROPERTIES INC Y 2022-12-07 0.000000 USD 0.000000 USD 23921200.000000 USD -1676668.700000 N N N N/A N/A 000000000 1.000000 NC USD -1689680.520000 -0.0807694 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A EQUITY RESIDENTIAL Y 2022-12-07 0.000000 USD 0.000000 USD 27697215.000000 USD -1689680.520000 N N N N/A N/A 000000000 799.000000 NC -3742747.650000 -0.1789092 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A EUIB 2023-03-13 206156693.150000 EUR -3742747.650000 N N N N/A N/A 000000000 1.000000 NC USD -1228220.160000 -0.0587109 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A FIRST INDUSTRIAL REALTY TRUST INC Y 2022-12-07 0.000000 USD 0.000000 USD 11405990.000000 USD -1228220.160000 N N N N/A N/A 000000000 -71.000000 NC 324227.180000 0.0154986 N/A DIR DE N 1 Eurex N/A Short N/A FRANCE GOVT 2022-09-08 -10307248.460000 EUR 324227.180000 N N N N/A N/A 000000000 71.000000 NC -63.990000 -0.0000031 N/A DIR DE N 1 Eurex N/A Call Purchased Eurex N/A N/A 969500KCGF3SUYJHPV70 000000000 0.000000 NC 0.000000 0.000000 DIR FR N/A N/A FIN FUT EURO-OAT EUX 10YR 09/08/22 2022-09-09 N/A EUR N/A 170.000000 EUR 2022-08-26 XXXX -63.990000 N N N N/A N/A 000000000 1.000000 NC USD -229887.160000 -0.0109890 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A GAMING AND LEISURE PROPERTIES INC Y 2022-12-07 0.000000 USD 0.000000 USD 10689006.000000 USD -229887.160000 N N N N/A N/A 000000000 1970.000000 NC -1775.440000 -0.0000849 N/A DIR DE N 1 Eurex N/A Call Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EURO-SCHATZ 2YR EUX 09/08/22 2022-09-09 N/A EUR N/A 120.000000 EUR 2022-08-26 XXXX -1775.440000 N N N N/A N/A 000000000 -481.000000 NC 32358.850000 0.0015468 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-09-08 -62599701.960000 EUR 32358.850000 N N N N/A N/A 000000000 595.000000 NC 1755162.410000 0.0838995 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2022-09-08 92768830.610000 EUR 1755162.410000 N N N N/A N/A 000000000 -330.000000 NC 2437137.250000 0.1164990 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-09-08 -56562891.670000 EUR 2437137.250000 N N N N/A N/A 000000000 -1598.000000 NC 405608.020000 0.0193887 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-09-08 -182776847.430000 EUR 405608.020000 N N N N/A N/A 000000000 27.000000 NC 400.090000 0.0000191 N/A DIR DE N 1 Eurex N/A Call Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EURO-BOBL 5Y EUX 09/08/22 2022-09-09 N/A EUR N/A 137.000000 EUR 2022-08-26 XXXX 400.090000 N N N N/A N/A 000000000 920.000000 NC -829.140000 -0.0000396 N/A DIR DE N 1 Eurex N/A Call Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EURO-BOBL 5Y EUX 09/08/22 2022-09-09 N/A EUR N/A 150.000000 EUR 2022-08-26 XXXX -829.140000 N N N N/A N/A 000000000 302.000000 NC 6057.440000 0.0002896 N/A DIR DE N 1 Eurex N/A Put Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 09/08/22 2022-09-09 N/A EUR N/A 114.000000 EUR 2022-08-26 XXXX 6057.440000 N N N N/A N/A 000000000 293.000000 NC -264.060000 -0.0000126 N/A DIR DE N 1 Eurex N/A Put Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 09/08/22 2022-09-09 N/A EUR N/A 88.000000 EUR 2022-08-26 XXXX -264.060000 N N N N/A N/A 000000000 -162.000000 NC USD 520151.910000 0.0248641 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A Gold 2022-08-29 -29278260.000000 USD 520151.910000 N N N N/A N/A 000000000 1.000000 NC -52470.420000 -0.0025082 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2205325.980000 USD 15280000.000000 DKK 2022-07-01 -52470.420000 N N N N/A N/A 000000000 1.000000 NC 6837.090000 0.0003268 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1165404.130000 USD 8305000.000000 DKK 2022-08-01 6837.090000 N N N N/A N/A 000000000 1.000000 NC -583.270000 -0.0000279 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 25984.840000 USD 97349.620000 PEN 2022-07-14 -583.270000 N N N 2022-08-12 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX