NPORT-P false 0000810893 XXXXXXXX S000009681 C000200440 C000026531 C000026532 C000026529 C000064135 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO RAE PLUS Fund S000009681 FI3TYFAC6Z35DQG3Y659 2023-03-31 2022-06-30 N 1676844055.540000 490319983.090000 1186524072.450000 0.000000 0.000000 86422981.180000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 22213240.110000 ILS CAD DKK EUR ARS USD GBP N N/A N/A 000000000 1.000000 NC -348.860000 -0.0000294 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 538926.860000 CNY 80305.000000 USD 2023-05-10 -348.860000 N N N N/A N/A 000000000 1.000000 NC -233.220000 -0.0000197 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 535145.210000 CNY 79694.000000 USD 2022-08-10 -233.220000 N N N N/A N/A 000000000 1.000000 NC -6423.760000 -0.0005414 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1108000.000000 EUR 1158028.310000 USD 2022-08-16 -6423.760000 N N N N/A N/A OP001JTX4 -3000000.000000 NC -6514.470000 -0.0005490 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 7343.740000 N N N N/A N/A OP001JTY2 -2400000.000000 NC -5211.570000 -0.0004392 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 5678.200000 N N N N/A N/A OP001R6R4 -6700000.000000 NC -21948.760000 -0.0018498 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 -2901.420000 N N N N/A N/A OP001NRW9 -3600000.000000 NC -6475.210000 -0.0005457 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 2258.120000 N N N N/A N/A 000000000 1.000000 NC -870857.050000 -0.0733956 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 37 Y Single Leg Swap 2027-06-22 1067326.100000 EUR 0.000000 EUR 97400000.000000 EUR -1938183.150000 N N N N/A N/A 000000000 1.000000 NC -15.270000 -0.0000013 N/A DFE SG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 16000.000000 SGD 11502.030000 USD 2022-08-10 -15.270000 N N N N/A N/A 000000000 1.000000 NC -133.500000 -0.0000113 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 185077.800000 CNY 27509.000000 USD 2022-08-10 -133.500000 N N N N/A N/A 000000000 1.000000 NC -14.980000 -0.0000013 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 41000.000000 CNY 6108.620000 USD 2022-08-10 -14.980000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAF8 14000.000000 PA USD 13758.480000 0.0011596 Long DBT CORP US N 2 2024-01-30 Fixed 4.375 N N N N N N N/A N/A 000000000 1.000000 NC -26385.620000 -0.0022238 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1456456.560000 USD 10150000.000000 DKK 2022-07-01 -26385.620000 N N N N/A N/A 000000000 1.000000 NC -22323.000000 -0.0018814 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2574145.000000 USD 18111684.220000 DKK 2022-07-01 -22323.000000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAH4 400000.000000 PA USD 396838.250000 0.0334454 Long DBT CORP US N 2 2024-12-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 409163.040000 0.0344842 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 53924388.200000 DKK 8006769.000000 USD 2022-07-01 409163.040000 N N N N/A N/A 000000000 1.000000 NC 228507.930000 0.0192586 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 31804320.780000 DKK 4709536.000000 USD 2022-07-01 228507.930000 N N N N/A N/A 000000000 1.000000 NC 29539.060000 0.0024895 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3335000.000000 DKK 499419.510000 USD 2022-07-01 29539.060000 N N N N/A N/A 000000000 1.000000 NC 22879.130000 0.0019282 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 18075002.650000 DKK 2574145.000000 USD 2022-08-01 22879.130000 N N N N/A N/A 000000000 1.000000 NC 185945.640000 0.0156715 N/A DFE CA N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 9692000.000000 CAD 7715467.080000 USD 2022-07-05 185945.640000 N N N N/A N/A 000000000 1.000000 NC 90059.430000 0.0075902 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 8091873.130000 USD 166500000.000000 MXN 2022-09-08 90059.430000 N N N N/A N/A 000000000 1.000000 NC 123125.040000 0.0103770 N/A DFE ZA N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 51875414.360000 ZAR 3298005.550000 USD 2022-08-16 123125.040000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAR2 187000.000000 PA USD 152595.720000 0.0128607 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 3829.660000 0.0003228 N/A DFE GB N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 15521618.000000 USD 12754000.000000 GBP 2022-07-05 3829.660000 N N N N/A N/A 000000000 1.000000 NC -4084.380000 -0.0003442 N/A DFE GB N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 12754000.000000 GBP 15528836.760000 USD 2022-08-02 -4084.380000 N N N N/A N/A 000000000 1.000000 NC -29585.790000 -0.0024935 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 9517000.000000 CAD 7363981.640000 USD 2022-07-05 -29585.790000 N N N N/A N/A 000000000 1.000000 NC 13.750000 0.0000012 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 612437.180000 CNY 91485.000000 USD 2022-08-10 13.750000 N N N N/A N/A 000000000 1.000000 NC -86.210000 -0.0000073 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 336833.930000 CNY 50222.000000 USD 2022-08-10 -86.210000 N N N N/A N/A 000000000 1.000000 NC 374310.790000 0.0315468 N/A DCR NL N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 STELLANTIS NV FIAT CHRYSLER AUTOMOBILE SR UNSEC Y Single Leg Swap 2026-12-22 679310.890000 EUR 0.000000 EUR 3000000.000000 EUR -305000.100000 N N N BAIN CAPITAL EURO 2018-2 DAC 18-2A N/A ACI1WTQT3 2700000.000000 PA 2745600.740000 0.2313987 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 0.74 N N N N N N N/A N/A 000000000 120100000.000000 NC USD 2917180.960000 0.2458594 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.85000 03/20/24-2Y LCH N/A N/A 2026-03-20 0.000000 USD 0.000000 USD N/A USD N/A 0.020000 USD 2024-03-18 XXXX 1764220.960000 N N N N/A N/A 000000000 -240300000.000000 NC USD -3277019.160000 -0.2761865 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.80000 03/20/24-2Y LCH N/A N/A 2026-03-20 0.000000 USD 0.000000 USD N/A USD N/A 0.030000 USD 2024-03-18 XXXX -2123747.870000 N N N BANC OF AMERICA FUNDING CORP 2004-A N/A 06051GAX7 910.140000 PA USD 875.030000 0.0000737 Long ABS-MBS CORP US N 2 2034-09-20 Floating 2.49599 N N N N N N N/A N/A 000000000 1.000000 NC -1169196.830000 -0.0985397 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-09-15 0.000000 GBP -5225.960000 GBP 8900000.000000 GBP -1163970.870000 N N N N/A N/A 000000000 1.000000 NC -496711.960000 -0.0418628 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 0.000000 GBP 0.000000 GBP 4300000.000000 GBP -496711.960000 N N N N/A N/A 000000000 1.000000 NC -230311.780000 -0.0194106 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 33314.140000 GBP 0.000000 GBP 2000000.000000 GBP -263625.920000 N N N N/A N/A 000000000 1.000000 NC -501635.650000 -0.0422777 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 0.000000 GBP 0.000000 GBP 4400000.000000 GBP -501635.650000 N N N N/A N/A 000000000 1.000000 NC 294096.750000 0.0247864 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2031-11-15 97936.920000 GBP 0.000000 GBP 5500000.000000 GBP 196159.830000 N N N BANC OF AMERICA FUNDING CORP 2006-7 N/A 05951KBD4 2116766.690000 PA USD 1916554.010000 0.1615268 Long ABS-MBS CORP US N 2 2036-10-25 Variable 6.4117 Y N N N N N N/A N/A 000000000 1.000000 NC -331347.970000 -0.0279259 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2049-12-20 14169.400000 CAD 0.000000 CAD 1700000.000000 CAD -345517.370000 N N N N/A N/A 000000000 1.000000 NC -430115.540000 -0.0362500 N/A DIR CA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 0.000000 CAD -93384.440000 CAD 3600000.000000 CAD -336731.100000 N N N N/A N/A 000000000 1.000000 NC -812440.550000 -0.0684723 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 0.000000 CAD -70879.730000 CAD 6800000.000000 CAD -741560.820000 N N N BANC OF AMERICA FUNDING CORP 2006-I N/A 05951VAV1 104226.750000 PA USD 97367.950000 0.0082062 Long ABS-MBS CORP US N 2 2046-12-20 Floating 1.99229 Y N N N N N N/A N/A 000000000 1.000000 NC -5913576.230000 -0.4983950 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2032-09-21 0.000000 EUR -2886037.110000 EUR 30700000.000000 EUR -3027539.120000 N N N N/A N/A 000000000 1.000000 NC 3913955.440000 0.3298673 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2052-09-23 1326536.930000 EUR 0.000000 EUR 11000000.000000 EUR 2587418.510000 N N N BANC OF AMERICA FUNDING CORP 2007-B N/A 05952EAA4 4175.520000 PA USD 3907.500000 0.0003293 Long ABS-MBS CORP US N 2 2047-04-20 Floating 2.03229 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-D N/A 05952GAE1 266838.530000 PA USD 230587.420000 0.0194339 Long ABS-MBS CORP US N 2 2047-06-20 Floating 2.17229 Y N N N N N N/A N/A 000000000 1.000000 NC USD -34411019.000000 -2.9001535 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-08-05 0.000000 USD 0.000000 USD 591000000.000000 USD -34411019.000000 N N N N/A N/A 000000000 1.000000 NC USD -15233676.290000 -1.2838910 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-07-22 0.000000 USD 0.000000 USD 269700000.000000 USD -15233676.290000 N N N N/A N/A 000000000 1.000000 NC USD -8572398.650000 -0.7224800 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-16 0.000000 USD -3631940.100000 USD 61300000.000000 USD -4940458.550000 N N N N/A N/A 000000000 1.000000 NC USD -14491020.680000 -1.2213002 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-03-16 0.000000 USD -528921.460000 USD 164000000.000000 USD -13962099.220000 N N N N/A N/A 000000000 1.000000 NC USD -94279.500000 -0.0079459 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-12-16 103676.510000 USD 0.000000 USD 10100000.000000 USD -197956.010000 N N N N/A N/A 000000000 1.000000 NC USD -3878188.810000 -0.3268529 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2045-11-15 0.000000 USD 0.000000 USD 10200000.000000 USD -3878188.810000 N N N N/A N/A 000000000 1.000000 NC USD -3878171.350000 -0.3268515 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2045-11-15 0.000000 USD 0.000000 USD 10200000.000000 USD -3878171.350000 N N N N/A N/A 000000000 1.000000 NC USD -5348977.970000 -0.4508107 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2045-11-15 0.000000 USD 0.000000 USD 14100000.000000 USD -5348977.970000 N N N N/A N/A 000000000 1.000000 NC USD -13574096.510000 -1.1440220 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2045-11-15 0.000000 USD 0.000000 USD 36700000.000000 USD -13574096.510000 N N N N/A N/A 000000000 1.000000 NC USD 16183834.180000 1.3639702 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2036-02-15 0.000000 USD 0.000000 USD 67000000.000000 USD 16183834.180000 N N N N/A N/A 000000000 1.000000 NC USD -3172228.750000 -0.2673548 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-12-16 1363199.350000 USD 0.000000 USD 45900000.000000 USD -4535428.100000 N N N N/A N/A 000000000 1.000000 NC USD 27353870.490000 2.3053785 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2036-02-15 0.000000 USD 0.000000 USD 116000000.000000 USD 27353870.490000 N N N N/A N/A 000000000 1.000000 NC USD 17211741.400000 1.4506020 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-03-17 805706.950000 USD 0.000000 USD 114000000.000000 USD 16406034.450000 N N N N/A N/A 000000000 1.000000 NC USD 14179325.550000 1.1950306 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-08-04 0.000000 USD 0.000000 USD 96000000.000000 USD 14179325.550000 N N N N/A N/A 000000000 1.000000 NC USD 6604923.060000 0.5566615 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-06-16 3998597.560000 USD 0.000000 USD 19600000.000000 USD 2606325.500000 N N N N/A N/A 000000000 1.000000 NC USD -8771616.430000 -0.7392700 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 1764164.780000 USD 0.000000 USD 68300000.000000 USD -10535781.210000 N N N N/A N/A 000000000 1.000000 NC USD -33548646.100000 -2.8274729 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 12817818.810000 USD 0.000000 USD 262500000.000000 USD -46366464.910000 N N N N/A N/A 000000000 1.000000 NC USD 20861625.290000 1.7582134 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-17 0.000000 USD -11794681.270000 USD 389900000.000000 USD 32656306.560000 N N N N/A N/A 000000000 1.000000 NC USD 17248550.280000 1.4537042 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-17 0.000000 USD -10446784.570000 USD 322400000.000000 USD 27695334.850000 N N N N/A N/A 000000000 1.000000 NC USD -11707397.250000 -0.9866970 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-06-17 3022362.900000 USD 0.000000 USD 140000000.000000 USD -14729760.150000 N N N N/A N/A 000000000 1.000000 NC USD 7968788.690000 0.6716078 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-07-21 0.000000 USD 0.000000 USD 57800000.000000 USD 7968788.690000 N N N N/A N/A 000000000 1.000000 NC USD 4211100.930000 0.3549107 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-18 155728.670000 USD 0.000000 USD 104500000.000000 USD 4055372.260000 N N N N/A N/A 000000000 1.000000 NC USD 499671.970000 0.0421122 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-20 819387.610000 USD 0.000000 USD 11400000.000000 USD -319715.640000 N N N N/A N/A 000000000 1.000000 NC USD -1519072.170000 -0.1280271 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-12-15 0.000000 USD -181176.470000 USD 140000000.000000 USD -1337895.700000 N N N N/A N/A 000000000 1.000000 NC USD 132276.980000 0.0111483 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 0.000000 USD -106925.000000 USD 4700000.000000 USD 239201.980000 N N N N/A N/A 000000000 1.000000 NC USD 774465.150000 0.0652718 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 0.000000 USD -438776.370000 USD 27700000.000000 USD 1213241.520000 N N N N/A N/A 000000000 1.000000 NC USD 1555681.800000 0.1311125 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-10-23 0.000000 USD 0.000000 USD 135200000.000000 USD 1555681.800000 N N N N/A N/A 000000000 1.000000 NC USD 525297.460000 0.0442720 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-15 0.000000 USD -84477.080000 USD 98900000.000000 USD 609774.540000 N N N N/A N/A 000000000 1.000000 NC USD -147299.020000 -0.0124143 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2029-06-05 5628762.510000 USD 0.000000 USD 52400000.000000 USD -5776061.530000 N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 BF2PHRII3 2800000.000000 PA 2825627.830000 0.2381433 Long DBT CORP ES N 2 2023-09-24 Floating 5.875 N N N N Y BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) EUR XXXX N N N N/A N/A 000000000 1.000000 NC USD -2834535.560000 -0.2388941 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-06-15 0.000000 USD -831013.350000 USD 25200000.000000 USD -2003522.210000 N N N BANCO BTG PACTUAL SA/CAYMAN ISLANDS BRANCH 2549002JHJ73KGETOK78 05971AAE1 201000.000000 PA USD 193856.460000 0.0163382 Long DBT CORP BR N 2 2025-01-10 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -5227354.010000 -0.4405603 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2032-09-21 0.000000 GBP -2881147.580000 GBP 29700000.000000 GBP -2346206.430000 N N N N/A N/A 000000000 1.000000 NC 4925718.090000 0.4151385 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2052-09-23 2790074.420000 GBP 0.000000 GBP 12800000.000000 GBP 2135643.670000 N N N N/A N/A 000000000 1.000000 NC USD -4706228.770000 -0.3966400 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -2254038.700000 USD 34800000.000000 USD -2452190.070000 N N N N/A N/A 000000000 1.000000 NC USD -555257.340000 -0.0467970 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-12-15 40316.030000 USD 0.000000 USD 6500000.000000 USD -595573.370000 N N N N/A N/A 000000000 1.000000 NC USD -537923.930000 -0.0453361 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-12-15 110086.650000 USD 0.000000 USD 5300000.000000 USD -648010.580000 N N N N/A N/A 000000000 1.000000 NC 38045.390000 0.0032065 N/A DFE GB N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 10879086.890000 USD 8964000.000000 GBP 2022-08-02 38045.390000 N N N N/A N/A 000000000 1.000000 NC -4.370000 -0.0000004 N/A DFE HK N 2 UBS AG BFM8T61CT2L1QCEMIK50 1019319.690000 HKD 130157.610000 USD 2022-09-09 -4.370000 N N N N/A N/A 000000000 1.000000 NC 172615.630000 0.0145480 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 165230000.000000 MXN 8292139.460000 USD 2022-09-08 172615.630000 N N N N/A N/A 000000000 1.000000 NC 5927.930000 0.0004996 N/A DFE TR N 2 UBS AG BFM8T61CT2L1QCEMIK50 1067528.840000 TRY 63432.000000 USD 2022-10-24 5927.930000 N N N N/A N/A 000000000 1.000000 NC 3951.960000 0.0003331 N/A DFE TR N 2 UBS AG BFM8T61CT2L1QCEMIK50 711685.900000 TRY 42288.000000 USD 2022-10-24 3951.960000 N N N N/A N/A 000000000 1.000000 NC 5644.510000 0.0004757 N/A DFE TR N 2 UBS AG BFM8T61CT2L1QCEMIK50 1084708.750000 TRY 64074.000000 USD 2022-10-24 5644.510000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHQ5 166000.000000 PA USD 156999.260000 0.0132319 Long DBT CORP US N 2 2030-02-07 Floating 3.974 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKN8 1700000.000000 PA USD 1678487.230000 0.1414626 Long DBT CORP US N 2 2026-04-02 Floating 2.85003 N N N N N N N/A N/A 000000000 1488.000000 NC USD -1292406.870000 -0.1089238 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-09-21 176083875.740000 USD -1292406.870000 N N N N/A N/A 000000000 -1165.000000 NC USD 1600759.560000 0.1349117 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-09-30 -244454317.280000 USD 1600759.560000 N N N N/A N/A 000000000 -2522.000000 NC USD 986494.190000 0.0831415 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-09-30 -282769399.070000 USD 986494.190000 N N N N/A N/A 000000000 167.000000 NC USD -254651.110000 -0.0214619 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-09-21 23064265.630000 USD -254651.110000 N N N N/A N/A 000000000 -484.000000 NC USD 2743002.240000 0.2311797 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-09-21 -74135187.500000 USD 2743002.240000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBA2 2300000.000000 PA USD 2265500.000000 0.1909359 Long DBT CORP GB N 2 2023-09-15 Floating 7.75 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBT1 500000.000000 PA USD 384681.770000 0.0324209 Long DBT CORP GB N 2 2028-03-15 Floating 4.375 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI0SSSH6 1302000.000000 PA 1562407.930000 0.1316794 Long DBT CORP GB N 2 2023-03-15 Floating 7.25 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI1CH093 1200000.000000 PA 1405251.430000 0.1184343 Long DBT CORP GB N 2 2025-06-15 Floating 7.125 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAN5 700000.000000 PA USD 693948.660000 0.0584858 Long DBT CORP GB N 2 2026-01-12 Fixed 4.375 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAE5 700000.000000 PA USD 685760.600000 0.0577958 Long DBT CORP GB N 2 2025-03-16 Fixed 3.65 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBC8 6691000.000000 PA USD 6689492.850000 0.5637891 Long DBT CORP GB N 2 2024-05-16 Floating 2.79129 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBH7 500000.000000 PA USD 492297.370000 0.0414907 Long DBT CORP GB N 2 2025-05-07 Floating 3.932 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 200000.000000 PA USD 196752.600000 0.0165823 Long DBT CORP GB N 2 2029-05-16 Floating 4.972 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAZ8 207000.000000 PA USD 201422.680000 0.0169759 Long DBT CORP US N 2 2024-08-15 Fixed 3.222 N N N N N N BAT INTERNATIONAL FINANCE PLC 21380041YBGOQDFAC823 05530QAK6 614000.000000 PA USD 602761.870000 0.0508006 Long DBT CORP GB N 2 2025-06-15 Fixed 3.95 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND IVA TRUST 2019-SBR1 N/A 07333YAA6 14599.060000 PA USD 14628.750000 0.0012329 Long ABS-MBS CORP US N 2 2034-06-28 Fixed 3.4748 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 103039.160000 PA USD 85387.850000 0.0071965 Long ABS-MBS CORP US N 2 2036-01-26 Floating 3.49035 Y N N N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MB68 451.220000 PA USD 432.230000 0.0000364 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.81691 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-2 N/A 07384MTD4 41193.330000 PA USD 41298.450000 0.0034806 Long ABS-MBS CORP US N 2 2033-01-25 Floating 2.58765 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-6 N/A 07384MXB3 3233.380000 PA USD 3113.930000 0.0002624 Long ABS-MBS CORP US N 2 2033-08-25 Floating 2.57244 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 154172.100000 PA USD 152274.200000 0.0128336 Long ABS-MBS CORP US N 2 2034-01-25 Floating 2.37081 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4E9 291.920000 PA USD 278.520000 0.0000235 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.96092 N N N N N N BEAR STEARNS ALT-A TRUST 2003-3 N/A 07386HCE9 241.310000 PA USD 234.180000 0.0000197 Long ABS-MBS CORP US N 2 2033-10-25 Floating 3.044 N N N N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HYW5 6980.420000 PA USD 9423.300000 0.0007942 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.12357 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSY8 2546.180000 PA USD 2450.190000 0.0002065 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.75158 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 27384.990000 PA USD 18185.830000 0.0015327 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.07415 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAX8 102409.980000 PA USD 95183.960000 0.0080221 Long ABS-MBS CORP US N 2 2034-02-25 Floating 1.94357 N N N N N N BEAR STEARNS ARM 2003-1 N/A 07384MTM4 1509.920000 PA USD 1527.270000 0.0001287 Long ABS-MBS CORP US N 2 2033-04-25 Floating 2.06632 N N N N N N BEAR STEARNS ARM TR 2004-3 N/A 07384MR87 6703.890000 PA USD 6228.150000 0.0005249 Long ABS-MBS CORP US N 2 2034-07-25 Floating 3.89874 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSH6 298.820000 PA USD 293.760000 0.0000248 Long ABS-MBS CORP US N 2 2033-02-25 Floating 2.54801 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE9 N/A 073879R59 1101405.350000 PA USD 1065753.410000 0.0898215 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.64357 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE5 N/A 07388CAC4 1014801.900000 PA USD 1012375.100000 0.0853228 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.16357 N N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE7 N/A 07388HAP4 821563.050000 PA USD 781528.280000 0.0658670 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.94357 N N N N N N BELLA VISTA MORTGAGE TRUST 2005-1 N/A 07820QBL8 919138.550000 PA USD 824571.050000 0.0694947 Long ABS-MBS CORP US N 2 2045-01-22 Floating 2.22629 N N N N N N BENEFIT STREET PARTNERS CLO XII LTD 2017-12A N/A 08179HAE0 2000000.000000 PA USD 1963346.400000 0.1654704 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.99429 N N N N N N BENEFIT STREET PARTNERS CLO XII LTD 2017-12A N/A 08179HAG5 3300000.000000 PA USD 3143050.350000 0.2648956 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 2.54429 N N N N N N BLACK DIAMOND CLO 2019-1 DAC 19-1A N/A ACI20P3Q5 3700000.000000 PA 3789092.570000 0.3193439 Long ABS-CBDO CORP IE N 2 2032-05-15 Floating 0.98 N N N N N N BLACKROCK EUROPEAN CLO VII DAC 7A N/A ACI1W2WD0 2300000.000000 PA 2330865.200000 0.1964448 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.62 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DA0 900000.000000 PA USD 837109.590000 0.0705514 Long DBT CORP US N 2 2026-02-01 Fixed 2.75 N N N N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122CP1 52000.000000 PA USD 50236.440000 0.0042339 Long DBT CORP US N 2 2029-07-26 Fixed 3.4 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBH3 900000.000000 PA USD 723992.770000 0.0610180 Long DBT CORP US N 2 2031-02-15 Fixed 2.45 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBJ9 500000.000000 PA USD 377915.160000 0.0318506 Long DBT CORP US N 2 2041-02-15 Fixed 3.5 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBG5 200000.000000 PA USD 148494.740000 0.0125151 Long DBT CORP US N 2 2051-02-15 Fixed 3.75 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBK6 2400000.000000 PA USD 1987247.110000 0.1674848 Long DBT CORP US N 2 2033-04-15 Fixed 3.419 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBL4 1100000.000000 PA USD 896715.890000 0.0755750 Long DBT CORP US N 2 2034-04-15 Fixed 3.469 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 300000.000000 PA USD 228230.260000 0.0192352 Long DBT CORP US N 2 2035-11-15 Fixed 3.137 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBQ3 1600000.000000 PA USD 1218530.420000 0.1026975 Long DBT CORP US N 2 2036-11-15 Fixed 3.187 N N N N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 1300000.000000 PA 1327678.750000 0.1118965 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.78 N N N N N N CAIXABANK SA (AKA: LA CAIXA) 7CUNS533WID6K7DGFI87 ACI0VK8S7 400000.000000 PA 404743.020000 0.0341117 Long DBT CORP ES N 2 2024-06-13 Floating 6.75 N N N N Y CAIXABANK SA (AKA: LA CAIXA) EUR XXXX N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -10500000.000000 PA -7542684.060000 -0.6356958 Short DBT NUSS CA N 2 2048-12-01 Fixed 2.75 N N N N N N CARLYLE EURO CLO 2019-2 DAC 19-2A N/A ACI1ZPM05 2900000.000000 PA 2948366.470000 0.2484877 Long ABS-CBDO CORP IE N 2 2032-08-15 Floating 0.89 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A N/A ACI1YDTG1 2300000.000000 PA 2354895.520000 0.1984701 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 0.7 N N N N N N CARNOW AUTO RECEIVABLES TRUST 2022-1A N/A 14367LAA9 664359.600000 PA USD 662215.840000 0.0558114 Long ABS-O CORP US N 2 2024-07-15 Fixed 3.44 N N N N N N CARRINGTON MTGE LOAN TRUST 2007-FRE1 N/A 144527AC2 406730.240000 PA USD 380540.640000 0.0320719 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.88357 N N N N N N CATERPILLAR INCORPORATED WRJR7GS4GTRECRRTVX92 149123CG4 180000.000000 PA USD 164562.460000 0.0138693 Long DBT CORP US N 2 2029-09-19 Fixed 2.6 N N N N N N CC MORTGAGE FUNDING CORP 2005-AA N/A 16678RDC8 143486.360000 PA USD 134001.550000 0.0112936 Long ABS-MBS CORP US N 2 2036-01-25 Floating 1.87357 N N N N N N CC MORTGAGE FUNDING CORP 2005-BA N/A 16678REC7 242680.280000 PA USD 229806.820000 0.0193681 Long ABS-MBS CORP US N 2 2036-06-25 Floating 1.87357 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BP8 242000.000000 PA USD 243924.960000 0.0205579 Long DBT CORP US N 2 2024-02-01 Floating 2.936 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175AY0 1670000.000000 PA USD 1676141.260000 0.1412648 Long DBT CORP US N 2 2025-07-23 Fixed 4.908 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AU2 202905.790000 PA USD 202872.700000 0.0170981 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.44227 N N N N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 422143.690000 PA USD 397909.520000 0.0335357 Long ABS-MBS CORP US N 2 2037-07-25 Floating 1.92357 N N N N N N CHENIERE CORPUS CHRISTI HOLDINGS LLC 549300I7CIEWU1BBLQ53 16412XAJ4 800000.000000 PA USD 732555.430000 0.0617396 Long DBT CORP US N 2 2029-11-15 Fixed 3.7 N N N N N N CHEVY CHASE MTGE FUNDING CORP 2004-3A N/A 16678RBV8 745214.790000 PA USD 701058.060000 0.0590850 Long ABS-MBS CORP US N 2 2035-08-25 Floating 1.92357 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAA0 1075379.100000 PA USD 1070936.920000 0.0902583 Long ABS-MBS CORP US N 2 2037-10-25 Floating 2.97357 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KY6 600000.000000 PA USD 571336.600000 0.0481521 Long DBT CORP US N 2 2026-10-21 Fixed 3.2 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3 N/A 17307GWU8 4687000.000000 PA USD 4444635.230000 0.3745929 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.52357 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-NC2 N/A 17309TAC2 2987477.680000 PA USD 2287764.400000 0.1928123 Long ABS-MBS CORP US N 2 2036-09-25 Floating 1.94357 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAB9 376272.480000 PA USD 157639.360000 0.0132858 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.77357 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 11128.140000 PA USD 10639.740000 0.0008967 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.95 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 9819.560000 PA USD 9462.140000 0.0007975 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.47 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486D22 163000.000000 PA USD 174679.940000 0.0147220 Long DBT MUN US N 2 2042-01-01 Fixed 7.75 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-10CB N/A 12667GAW3 3503447.810000 PA USD 2696369.400000 0.2272494 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.12357 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2 N/A 12668AKQ7 5534.300000 PA USD 3807.690000 0.0003209 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668AHE8 266765.610000 PA USD 220383.530000 0.0185739 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.26357 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 758741.460000 PA USD 622217.540000 0.0524404 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.18357 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB N/A 02152AAB5 12858.020000 PA USD 8800.100000 0.0007417 Long ABS-MBS CORP US N 2 2037-08-25 Floating 2.02357 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TRUST 2005-69 N/A 12668AN27 6755.110000 PA USD 6251.370000 0.0005269 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.4759 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GN58 1597771.500000 PA USD 1451333.510000 0.1223181 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.0359 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10 N/A 12668BUK7 243712.430000 PA USD 191473.210000 0.0161373 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.3164 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 431507.870000 PA USD 411063.030000 0.0346443 Long ABS-MBS CORP US N 2 2046-09-25 Floating 2.00357 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7 N/A 126680AA5 132446.860000 PA USD 115065.770000 0.0096977 Long ABS-MBS CORP US N 2 2047-05-25 Floating 1.98357 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58 N/A 12668AWH4 51545.060000 PA USD 47266.540000 0.0039836 Long ABS-MBS CORP US N 2 2035-12-20 Floating 2.25229 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB N/A 02146TAG2 143779.980000 PA USD 96552.610000 0.0081374 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-13 N/A 02150MAA3 3541466.670000 PA USD 2177921.610000 0.1835548 Long ABS-MBS CORP US N 2 2047-06-25 Fixed 6 Y N N N N N COUNTRYWIDE ASSET BACKED CERT 2007-BC2 N/A 12669QAA7 2411617.380000 PA USD 2433884.810000 0.2051273 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.82357 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-10 N/A 126673JV5 18158.250000 PA USD 18145.860000 0.0015293 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.74857 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAD8 5318228.160000 PA USD 5012400.260000 0.4224440 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.14357 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-16 N/A 23242FAA4 1264953.910000 PA USD 1172051.900000 0.0987803 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.90357 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-17 N/A 12666VAC5 116549.770000 PA USD 114384.310000 0.0096403 Long ABS-MBS CORP US N 2 2047-03-25 Floating 1.92357 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAD3 14067.290000 PA USD 14036.700000 0.0011830 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.77357 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-5 N/A 126670YE2 40210.450000 PA USD 39926.450000 0.0033650 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.02357 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-8 N/A 045427AD3 8859488.830000 PA USD 8358239.330000 0.7044307 Long ABS-MBS CORP US N 2 2046-01-25 Floating 2.12357 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-1 N/A 23245CAD2 1222631.780000 PA USD 1198352.020000 0.1009969 Long ABS-MBS CORP US N 2 2037-07-25 Floating 1.76357 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-10 N/A 23246BAK7 1892379.820000 PA USD 1813503.540000 0.1528417 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.87357 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-7 N/A 12669VAE8 2900000.000000 PA USD 2621579.120000 0.2209461 Long ABS-MBS CORP US N 2 2047-10-25 Floating 1.91357 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-1 N/A 126670TW8 1537784.490000 PA USD 1493084.790000 0.1258369 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.20857 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-2 N/A 126670UW6 27344.270000 PA USD 27131.820000 0.0022867 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.22357 N N N N N N COUNTRYWIDE HOME LOANS 2004-12 N/A 12669FN66 577.480000 PA USD 579.610000 0.0000488 Long ABS-MBS CORP US N 2 2034-08-25 Floating 3.57098 N N N N N N COUNTRYWIDE HOME LOANS 2004-16 N/A 12669FW82 54411.320000 PA USD 51692.110000 0.0043566 Long ABS-MBS CORP US N 2 2034-09-25 Floating 2.42357 N N N N N N COUNTRYWIDE HOME LOANS 2004-29 N/A 12669GJB8 1542.200000 PA USD 1320.620000 0.0001113 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.28357 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JY5 9402.710000 PA USD 7890.450000 0.0006650 Long ABS-MBS CORP US N 2 2036-02-20 Floating 1.98513 Y N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A 12465MAA2 20795.930000 PA USD 10399.320000 0.0008765 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.68357 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 22546DAB2 2400000.000000 PA USD 2292345.600000 0.1931984 Long DBT CORP CH N 2 2023-12-11 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AJ7 1700000.000000 PA USD 1572500.000000 0.1325300 Long DBT CORP CH N 2 2023-07-17 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 ACI07D348 680000.000000 PA USD 649497.920000 0.0547395 Long DBT CORP CH N 2 2023-12-11 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225433AR2 1100000.000000 PA USD 1077075.600000 0.0907757 Long DBT CORP CH N 2 2026-04-17 Fixed 4.55 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AP3 250000.000000 PA USD 221444.850000 0.0186633 Long DBT CORP CH N 2 2031-04-01 Floating 4.194 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AH1 2700000.000000 PA USD 2704415.120000 0.2279275 Long DBT CORP CH N 2 2024-06-12 Floating 2.96129 N N N N N N CREDIT SUISSE MORTGAGE TRUST 2020-RPL6 N/A 12656HAC8 944740.570000 PA USD 912988.410000 0.0769465 Long ABS-MBS CORP US N 2 2059-03-25 Variable 2.6875 N N N N N N CSMC 2021-RPL7 TRUST N/A 12598JAC5 3884303.500000 PA USD 3628011.330000 0.3057680 Long ABS-MBS CORP US N 2 2061-07-27 Fixed 1.92598 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAH7 1800000.000000 PA USD 1705786.110000 0.1437633 Long DBT CORP US N 2 2024-02-15 Fixed 1.625 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR1 N/A 251510LD3 1223390.380000 PA USD 1193963.930000 0.1006270 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.28357 N N N N N N DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3 N/A 25151KAC3 231823.720000 PA USD 196212.950000 0.0165368 Long ABS-MBS CORP US N 2 2047-10-25 Floating 2.37357 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI1J0CL3 3000000.000000 PA 2819203.470000 0.2376019 Long DBT CORP DE N 2 2027-01-20 Fixed 1.625 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI0ZWMV4 400000.000000 PA 365911.440000 0.0308389 Long DBT CORP DE N 2 2028-01-17 Fixed 1.75 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI1QTHL7 1700000.000000 PA 1657409.700000 0.1396861 Long DBT CORP DE N 2 2026-09-03 Floating 1.375 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BS7 5591000.000000 PA USD 5585386.300000 0.4707352 Long DBT CORP DE N 2 2023-02-27 Floating 2.78286 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BM0 111000.000000 PA USD 110973.620000 0.0093528 Long DBT CORP DE N 2 2022-11-16 Floating 2.60129 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CB3 600000.000000 PA USD 580346.410000 0.0489115 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N DISCOVER BANK/GREENWOOD BRANCH X05BVSK68TQ7YTOSNR22 25466AAP6 1006000.000000 PA USD 969138.340000 0.0816788 Long DBT CORP US N 2 2028-09-13 Fixed 4.65 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AN7 62000.000000 PA USD 62977.500000 0.0053077 Long DBT CORP US N 2 2027-06-15 Fixed 5.75 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAL7 28000.000000 PA USD 27993.340000 0.0023593 Long DBT CORP US N 2 2023-03-15 Fixed 4.25 N N N N N N ENTERPRISE FLEET FINANCING LLC 2022-2 N/A 29374JAA3 13500000.000000 PA USD 13515743.700000 1.1391040 Long ABS-O CORP US N 2 2023-06-20 Fixed 2.764 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HHA1 1436000.000000 NS USD 1363480.060000 0.1149138 Long EP CORP US N 2 N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 1869000.000000 PA USD 1804845.580000 0.1521120 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N ERSTE GROUP BANK AG PQOH26KWDF7CG10L6792 BDRXT5II9 800000.000000 PA 817904.020000 0.0689328 Long DBT CORP AT N 2 2024-04-15 Floating 6.5 N N N N N N EUROHOME UK MORTGAGES 2007-1 A N/A B1VBS4II2 20884.200000 PA 24789.820000 0.0020893 Long ABS-MBS CORP GB N 2 2044-06-15 Floating 1.7391 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2022-3A N/A 30166YAA0 6800000.000000 PA USD 6796602.720000 0.5728163 Long ABS-O CORP US N 2 2023-06-15 Fixed 1.865 N N N N N N EXPEDIA GROUP INC N/A 30212PAS4 264000.000000 PA USD 272227.040000 0.0229432 Long DBT CORP US N 2 2025-05-01 Fixed 6.25 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 1200000.000000 PA 1165082.090000 0.0981929 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FANNIE MAE 2006-115 N/A 31396LT26 4605.360000 PA USD 5635.600000 0.0004750 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 20.0657 N N N N N N FANNIE MAE 2006-118 N/A 31396L4R8 23796.440000 PA USD 23628.680000 0.0019914 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 1.06571 N N N N N N FANNIE MAE 2006-16 N/A 31394V6K1 80418.040000 PA USD 8433.890000 0.0007108 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 5.07643 N N N N N N FANNIE MAE 2006-5 N/A 31394VL73 6129.310000 PA USD 6275.690000 0.0005289 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 2.08361 N N N N N N FANNIE MAE 2007-14 N/A 31396PZU8 4702.880000 PA USD 4672.910000 0.0003938 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 1.97357 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 11668.760000 PA USD 11594.200000 0.0009772 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 1.97357 N N N N N N FANNIE MAE 2007-65 N/A 31396WLX2 19383.680000 PA USD 19289.740000 0.0016257 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 2.00357 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 21931.920000 PA USD 22200.930000 0.0018711 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 2.34357 N N N N N N FANNIE MAE 2009-111 N/A 31398GRA9 6419.360000 PA USD 6513.010000 0.0005489 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 2.37357 N N N N N N FANNIE MAE 2009-47 N/A 31396QFA2 5607.260000 PA USD 5716.440000 0.0004818 Long ABS-MBS USGSE US N 2 2039-07-25 Floating 2.52357 N N N N N N FANNIE MAE 2009-99 N/A 31398F4R9 12110.290000 PA USD 12308.630000 0.0010374 Long ABS-MBS USGSE US N 2 2039-12-25 Floating 2.44357 N N N N N N FANNIE MAE REMICS 2011-17 N/A 31397QZU5 196576.790000 PA USD 21779.760000 0.0018356 Long ABS-MBS USGSE US N 2 2041-03-25 Floating 4.22643 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 38924.190000 PA USD 38805.890000 0.0032706 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 2.02357 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 156495.750000 PA USD 154592.670000 0.0130290 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 1.35571 N N N N N N FHLMC PASS THRU POOLS N/A 31296UAX9 125995.010000 PA USD 132825.950000 0.0111945 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128KDFP5 115172.330000 PA USD 123147.600000 0.0103789 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128KLML8 7841.700000 PA USD 8409.610000 0.0007088 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128KYHK8 65475.130000 PA USD 70271.260000 0.0059224 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128L1WN6 20961.940000 PA USD 22480.910000 0.0018947 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128L1WP1 19789.090000 PA USD 21634.390000 0.0018233 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 312927PK6 3571.470000 PA USD 3805.300000 0.0003207 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3129285R1 31997.880000 PA USD 34087.130000 0.0028729 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 312935L98 34111.250000 PA USD 35744.250000 0.0030125 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 31292KYV3 90798.380000 PA USD 98540.340000 0.0083050 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7E66 14446.880000 PA USD 15035.670000 0.0012672 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7MM2 29571.550000 PA USD 30779.160000 0.0025941 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4AX1 97512.010000 PA USD 107026.890000 0.0090202 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4ZV8 1426.730000 PA USD 1535.170000 0.0001294 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5DD9 83920.900000 PA USD 90289.270000 0.0076096 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5R93 25561.570000 PA USD 27508.240000 0.0023184 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5TY6 833.770000 PA USD 897.010000 0.0000756 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5V56 975.100000 PA USD 1049.070000 0.0000884 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6E87 83747.150000 PA USD 90112.680000 0.0075947 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6MZ8 92927.660000 PA USD 101932.050000 0.0085908 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6YJ1 1070065.370000 PA USD 1129658.610000 0.0952074 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7P75 5921.620000 PA USD 6327.380000 0.0005333 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7ZR0 35874.410000 PA USD 38596.930000 0.0032529 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M75R3 9083.100000 PA USD 9770.080000 0.0008234 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M8AV6 5542.810000 PA USD 5962.300000 0.0005025 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M84A9 37387.160000 PA USD 40215.180000 0.0033893 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJFP0 2077.900000 PA USD 2236.250000 0.0001885 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 1093175.460000 PA USD 1100435.450000 0.0927445 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132GDVQ2 82038.910000 PA USD 82742.680000 0.0069735 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWE64 103082.040000 PA USD 103281.770000 0.0087046 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132LAY63 340223.110000 PA USD 340314.690000 0.0286817 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 10762.540000 PA USD 10980.710000 0.0009255 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 1.52417 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-32 N/A 3133TSQG1 26585.370000 PA USD 26070.630000 0.0021972 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 1.88357 N N N N N N FIRST HORIZON ALT MTG SEC 2005-AA6 N/A 32051GQA6 115322.440000 PA USD 104025.560000 0.0087673 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.94905 Y N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR3 N/A 32051GQL2 39083.800000 PA USD 26606.470000 0.0022424 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.21345 Y N N N N N FNMA PASS THRU POOLS N/A 31371K3A7 941.250000 PA USD 1007.650000 0.0000849 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MFZ5 69830.410000 PA USD 72461.890000 0.0061071 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 2.99 N N N N N N FNMA PASS THRU POOLS N/A 31371NV28 1550.540000 PA USD 1586.260000 0.0001337 Long ABS-MBS USGSE US N 2 2023-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31371N7L3 401.100000 PA USD 417.460000 0.0000352 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31385XNR4 270.370000 PA USD 287.700000 0.0000242 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31400GV44 5272.180000 PA USD 5484.230000 0.0004622 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31401YYE9 1567.150000 PA USD 1593.130000 0.0001343 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31402LPB2 43878.370000 PA USD 44665.830000 0.0037644 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 1.676 N N N N N N FNMA PASS THRU POOLS N/A 31402RNW5 16082.980000 PA USD 16320.090000 0.0013755 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 3.735 N N N N N N FNMA PASS THRU POOLS N/A 31402RTT6 13517.910000 PA USD 13468.880000 0.0011352 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 1.72 N N N N N N FNMA PASS THRU POOLS N/A 31403DGZ6 32006.410000 PA USD 34364.870000 0.0028963 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DJ75 557.080000 PA USD 598.470000 0.0000504 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403NVY0 40282.000000 PA USD 40022.820000 0.0033731 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 2.273 N N N N N N FNMA PASS THRU POOLS N/A 31403SD78 131888.130000 PA USD 141411.110000 0.0119181 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403VDD8 11295.490000 PA USD 11240.630000 0.0009474 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 2.071 N N N N N N FNMA PASS THRU POOLS N/A 31404BQD7 8588.460000 PA USD 9207.340000 0.0007760 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404RCT2 99822.530000 PA USD 99714.870000 0.0084039 Long ABS-MBS USGSE US N 2 2034-07-01 Floating 3.112 N N N N N N FNMA PASS THRU POOLS N/A 31405PAH3 1030.310000 PA USD 1022.240000 0.0000862 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 1.465 N N N N N N FNMA PASS THRU POOLS N/A 31405PRS1 7412.150000 PA USD 7554.590000 0.0006367 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 1.677 N N N N N N FNMA PASS THRU POOLS N/A 31405PVB3 1663.980000 PA USD 1784.750000 0.0001504 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31405UV97 1578.110000 PA USD 1566.170000 0.0001320 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 1.565 N N N N N N FNMA PASS THRU POOLS N/A 31406F6N6 23532.600000 PA USD 23433.130000 0.0019749 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 1.765 N N N N N N FNMA PASS THRU POOLS N/A 31406L2T4 1766.330000 PA USD 1746.020000 0.0001472 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 2.55 N N N N N N FNMA PASS THRU POOLS N/A 31406NUU6 614.000000 PA USD 608.430000 0.0000513 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 3.315 N N N N N N FNMA PASS THRU POOLS N/A 31406VP91 26078.330000 PA USD 27460.770000 0.0023144 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407BXK0 9897.710000 PA USD 9839.540000 0.0008293 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 1.805 N N N N N N FNMA PASS THRU POOLS N/A 31407DSV8 8553.130000 PA USD 9034.650000 0.0007614 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407FYD6 35506.900000 PA USD 36819.700000 0.0031032 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 3.758 N N N N N N FNMA PASS THRU POOLS N/A 31407HAS5 27392.410000 PA USD 28838.900000 0.0024305 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407HN85 3855.980000 PA USD 4226.900000 0.0003562 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407JY89 2343.550000 PA USD 2468.750000 0.0002081 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407MWT8 41392.430000 PA USD 41188.840000 0.0034714 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 2.978 N N N N N N FNMA PASS THRU POOLS N/A 31407NGX5 33883.460000 PA USD 33802.220000 0.0028488 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 1.901 N N N N N N FNMA PASS THRU POOLS N/A 31407R2A1 8237.890000 PA USD 8180.210000 0.0006894 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 1.987 N N N N N N FNMA PASS THRU POOLS N/A 31407T6R6 57139.100000 PA USD 60125.060000 0.0050673 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407VFQ3 24648.040000 PA USD 25321.920000 0.0021341 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 1.995 N N N N N N FNMA PASS THRU POOLS N/A 31407VMN2 26414.400000 PA USD 28951.050000 0.0024400 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407YHH5 14992.880000 PA USD 15593.410000 0.0013142 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.28 N N N N N N FNMA PASS THRU POOLS N/A 31408DLC6 52860.150000 PA USD 57937.470000 0.0048830 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31408DLF9 11045.930000 PA USD 11686.280000 0.0009849 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31408JTK7 4407.380000 PA USD 4587.200000 0.0003866 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409JBD1 17477.810000 PA USD 18486.430000 0.0015580 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 2.715 N N N N N N FNMA PASS THRU POOLS N/A 31409WLC3 123798.600000 PA USD 132554.930000 0.0111717 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410DJE1 20110.320000 PA USD 21257.310000 0.0017916 Long ABS-MBS USGSE US N 2 2036-07-01 Floating 2.701 N N N N N N FNMA PASS THRU POOLS N/A 31410DXD7 14135.910000 PA USD 14977.530000 0.0012623 Long ABS-MBS USGSE US N 2 2036-08-01 Floating 2.755 N N N N N N FNMA PASS THRU POOLS N/A 31410EKC1 11660.000000 PA USD 12333.230000 0.0010394 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 2.707 N N N N N N FNMA PASS THRU POOLS N/A 31410FVW2 282854.210000 PA USD 299352.720000 0.0252294 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KQX5 17092.700000 PA USD 18371.970000 0.0015484 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410LAV4 477.740000 PA USD 497.850000 0.0000420 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411FL28 2562.810000 PA USD 2665.600000 0.0002247 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412MRT7 4947.570000 PA USD 5061.560000 0.0004266 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31412MTG3 23311.540000 PA USD 25048.470000 0.0021111 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412QUX5 6021.250000 PA USD 6159.970000 0.0005192 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31412TWX7 194958.190000 PA USD 203944.130000 0.0171884 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412YFP2 59991.400000 PA USD 64298.830000 0.0054191 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414XXE7 6939.000000 PA USD 6959.580000 0.0005866 Long ABS-MBS USGSE US N 2 2023-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415AT68 1639.790000 PA USD 1677.570000 0.0001414 Long ABS-MBS USGSE US N 2 2023-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31415CNH6 3452.420000 PA USD 3531.960000 0.0002977 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31415LVW4 945.320000 PA USD 967.730000 0.0000816 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31415LW86 5138.720000 PA USD 5347.360000 0.0004507 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BK72 5353.460000 PA USD 5754.230000 0.0004850 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BNK0 76928.550000 PA USD 79157.590000 0.0066714 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416CC61 4782.140000 PA USD 4892.320000 0.0004123 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416KV54 5286.300000 PA USD 5408.090000 0.0004558 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416NBX9 22126.130000 PA USD 22635.900000 0.0019077 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416NSP8 35985.050000 PA USD 36814.110000 0.0031027 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416WH88 82165.860000 PA USD 84058.890000 0.0070845 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416WMP4 7313.320000 PA USD 7481.810000 0.0006306 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416YDH8 13317.730000 PA USD 13472.390000 0.0011355 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31416YKY3 16215.030000 PA USD 16410.440000 0.0013831 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418NBG4 5403.420000 PA USD 5927.570000 0.0004996 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31418RHJ3 6870.290000 PA USD 7028.580000 0.0005924 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418UW59 5948.590000 PA USD 6085.640000 0.0005129 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418VWP3 6692.990000 PA USD 6779.380000 0.0005714 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418WCN8 26605.050000 PA USD 26907.920000 0.0022678 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418WDC1 8975.360000 PA USD 9077.540000 0.0007651 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418XFV5 12454.330000 PA USD 12596.110000 0.0010616 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418XMR6 611964.590000 PA USD 619867.270000 0.0522423 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419BPN9 6653.650000 PA USD 6729.400000 0.0005672 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419CAU7 13374.510000 PA USD 13526.770000 0.0011400 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419CSK0 12647.520000 PA USD 12791.500000 0.0010781 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419FD94 31885.030000 PA USD 32248.010000 0.0027179 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419H2W1 24918.400000 PA USD 25247.940000 0.0021279 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419JTV0 584.430000 PA USD 591.290000 0.0000498 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419J5L8 61083.090000 PA USD 62581.430000 0.0052743 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A2CK3 13652.180000 PA USD 13807.600000 0.0011637 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A2U64 6051.980000 PA USD 6249.580000 0.0005267 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A5XB3 2905.720000 PA USD 2949.740000 0.0002486 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A6E48 14051.580000 PA USD 14211.540000 0.0011977 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A6LJ7 73164.420000 PA USD 74023.920000 0.0062387 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A6TG5 10972.530000 PA USD 11119.110000 0.0009371 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A7G69 11801.850000 PA USD 11936.200000 0.0010060 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A8AB2 17194.960000 PA USD 17410.540000 0.0014674 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A8PX8 20003.370000 PA USD 20234.510000 0.0017054 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A8SR8 8356.670000 PA USD 8454.900000 0.0007126 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A9PQ1 2835.280000 PA USD 2867.560000 0.0002417 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AA6T3 14877.720000 PA USD 15047.090000 0.0012682 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138ADPB5 11581.680000 PA USD 11713.530000 0.0009872 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AGJH2 3742.860000 PA USD 3793.010000 0.0003197 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AHS80 239803.200000 PA USD 247652.980000 0.0208721 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AH5R3 1212.880000 PA USD 1226.690000 0.0001034 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AJMD1 41596.180000 PA USD 42108.930000 0.0035489 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AJTP7 2035.620000 PA USD 2062.320000 0.0001738 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AKTS8 1703.980000 PA USD 1723.380000 0.0001452 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138ALKA4 27359.580000 PA USD 27725.370000 0.0023367 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138ANNY5 47345.580000 PA USD 47980.680000 0.0040438 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138EGM68 3878.790000 PA USD 3968.150000 0.0003344 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EJKA5 45201.630000 PA USD 45729.360000 0.0038541 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138EKW35 67430.340000 PA USD 73598.780000 0.0062029 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 3785967.590000 PA USD 37019191.130000 3.1199697 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3138LQ2D5 101099.850000 PA USD 103826.950000 0.0087505 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138LTLS5 115890.390000 PA USD 119411.780000 0.0100640 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138LY5M5 3940.270000 PA USD 3986.680000 0.0003360 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WAJ73 30322.540000 PA USD 30697.230000 0.0025872 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WET25 2979.070000 PA USD 2917.670000 0.0002459 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WG6G4 7995.680000 PA USD 7809.480000 0.0006582 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138YR5Y0 14204.050000 PA USD 13905.760000 0.0011720 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FRCM5 13405.330000 PA USD 13093.640000 0.0011035 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FRH65 13187.330000 PA USD 12899.830000 0.0010872 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GUMA2 1867203.120000 PA USD 1826515.100000 0.1539383 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GVZY4 1692949.590000 PA USD 1653143.860000 0.1393266 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GYJX8 13876.150000 PA USD 13573.770000 0.0011440 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H4B45 10804.940000 PA USD 10569.780000 0.0008908 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HAC99 8599.340000 PA USD 8411.870000 0.0007090 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HATD2 13889.120000 PA USD 13580.470000 0.0011446 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HHHT5 6466.150000 PA USD 6325.090000 0.0005331 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HMGY4 165936.520000 PA USD 161507.310000 0.0136118 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HPUD7 81650.900000 PA USD 79368.270000 0.0066891 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 3.5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 4481.960000 PA USD 43492.960000 0.0036656 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140JANZ7 2870796.880000 PA USD 2808635.060000 0.2367112 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JGR64 11003.910000 PA USD 10747.400000 0.0009058 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JJHA0 50649.220000 PA USD 49216.060000 0.0041479 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JKMX1 25151.780000 PA USD 24593.590000 0.0020727 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31417YM95 13806.470000 PA USD 13984.680000 0.0011786 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417Y7A9 46842.630000 PA USD 47407.120000 0.0039955 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418A4P0 54317.530000 PA USD 55360.980000 0.0046658 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CS47 1460421.010000 PA USD 1427797.560000 0.1203345 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 2243393.520000 PA USD 2193162.950000 0.1848393 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CYL2 2301524.970000 PA USD 2249496.720000 0.1895871 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZQ9 500000.000000 PA USD 498440.000000 0.0420084 Long DBT CORP US N 2 2024-03-18 Fixed 5.584 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540XAB9 900000.000000 PA USD 897039.000000 0.0756023 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZU0 200000.000000 PA USD 198939.070000 0.0167665 Long DBT CORP US N 2 2022-11-01 Fixed 3.35 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZX4 300000.000000 PA USD 285461.310000 0.0240586 Long DBT CORP US N 2 2024-11-01 Fixed 4.063 N N N N N N FREDDIE MAC 3181 N/A 31396URJ1 105346.830000 PA USD 13097.100000 0.0011038 Long ABS-MBS USGSE US N 2 2036-07-15 Floating 5.146 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 82980.510000 PA USD 83939.810000 0.0070744 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 2.024 N N N N N N FREDDIE MAC 3360 N/A 31397KE23 68099.710000 PA USD 68771.500000 0.0057960 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 1.994 N N N N N N FREDDIE MAC 3404 N/A 31397PST8 39094.330000 PA USD 39776.240000 0.0033523 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 2.179 N N N N N N FREDDIE MAC 3439 N/A 31397TAL6 2054.560000 PA USD 2039.310000 0.0001719 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 1.654 N N N N N N FREDDIE MAC 3898 N/A 3137ADX44 234731.270000 PA USD 235783.430000 0.0198718 Long ABS-MBS USGSE US N 2 2041-06-15 Floating 1.894 N N N N N N FREDDIE MAC REMICS 3816 N/A 3137A6R46 122224.660000 PA USD 125386.910000 0.0105676 Long ABS-MBS USGSE US N 2 2041-01-15 Fixed 4.5 N N N N N N FREDDIE MAC-3136 N/A 31396NH41 18859.350000 PA USD 1655.700000 0.0001395 Long ABS-MBS USGSE US N 2 2036-04-15 Floating 5.376 N N N N N N FREDDIE MAC-3891 N/A 3137ADTZ0 242667.470000 PA USD 243631.420000 0.0205332 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 1.874 N N N N N N FREMONT HOME LOAN TRUST 2005-E N/A 35729PNC0 60216.470000 PA USD 58476.820000 0.0049284 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.28357 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAB1 11455.600000 PA USD 5457.300000 0.0004599 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.68357 N N N N N N FROST CMBS 2021-1 DAC 21-1A N/A ACI21WKW7 1698080.100000 PA 1715174.000000 0.1445545 Long ABS-MBS CORP IE N 2 2026-11-22 Floating 1.15 N N N N N N FWD SECURITIZATION TRUST 2020-INV1 N/A 302985AA4 75622.420000 PA USD 73508.070000 0.0061952 Long ABS-MBS CORP US N 2 2050-01-25 Variable 2.24 N N N N N N GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A N/A 36361UAQ3 2700000.000000 PA USD 2600156.700000 0.2191407 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 2.69429 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCE4 7000.000000 PA USD 6994.800000 0.0005895 Long DBT CORP US N 2 2023-01-05 Floating 3.28286 N N N N N N GLG EURO CLO III DAC A N/A ACI1VVSK6 796778.060000 PA 818054.440000 0.0689455 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 0.68 N N N N N N GNMA PASS THRU POOLS N/A 36179QUQ2 35061.630000 PA USD 34821.740000 0.0029348 Long ABS-MBS USGSE US N 2 2044-11-20 Floating 1.75 N N N N N N GNMA PASS THRU POOLS N/A 21H050672 6200000.000000 PA USD 6355000.000000 0.5355981 Long ABS-MBS USGSE US N 2 2052-07-21 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36200JSC5 103206.430000 PA USD 101872.880000 0.0085858 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36200NMP3 2474.460000 PA USD 2614.690000 0.0002204 Long ABS-MBS USGSE US N 2 2034-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36291US71 10316.720000 PA USD 10880.030000 0.0009170 Long ABS-MBS USGSE US N 2 2037-05-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36291UTY1 32406.500000 PA USD 34140.680000 0.0028774 Long ABS-MBS USGSE US N 2 2037-07-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36292DXR8 382.590000 PA USD 396.710000 0.0000334 Long ABS-MBS USGSE US N 2 2036-12-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36294YPA6 12471.760000 PA USD 12936.410000 0.0010903 Long ABS-MBS USGSE US N 2 2037-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295NCQ8 184695.730000 PA USD 195906.770000 0.0165110 Long ABS-MBS USGSE US N 2 2038-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QA34 374048.480000 PA USD 395417.690000 0.0333257 Long ABS-MBS USGSE US N 2 2038-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QGF1 39424.450000 PA USD 41389.870000 0.0034883 Long ABS-MBS USGSE US N 2 2038-07-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QJT8 19920.960000 PA USD 20923.530000 0.0017634 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QKC3 95211.320000 PA USD 100662.680000 0.0084838 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QKD1 76339.290000 PA USD 80639.020000 0.0067962 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296A6T6 168267.590000 PA USD 177136.820000 0.0149291 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296DKZ0 832.630000 PA USD 868.650000 0.0000732 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296DK23 3309.770000 PA USD 3448.820000 0.0002907 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296DNG9 18163.800000 PA USD 19268.570000 0.0016240 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296JEM3 31343.460000 PA USD 33050.670000 0.0027855 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296LSU5 40464.050000 PA USD 42902.570000 0.0036158 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296P6J5 18265.910000 PA USD 19312.370000 0.0016276 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QZG7 48725.380000 PA USD 51395.860000 0.0043316 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N STICHTING AK RABOBANK CERTIFICATEN N/A BJBQCWII7 780500.000000 NS 796478.980000 0.0671271 Long EP CORP NL N 2 N N N GNMA PASS THRU POOLS N/A 3620A2K21 76430.810000 PA USD 80593.530000 0.0067924 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620ASLC1 26662.200000 PA USD 27655.960000 0.0023308 Long ABS-MBS USGSE US N 2 2041-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176EM24 164651.740000 PA USD 164553.390000 0.0138685 Long ABS-MBS USGSE US N 2 2043-09-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36176W5N7 30346.940000 PA USD 30236.400000 0.0025483 Long ABS-MBS USGSE US N 2 2042-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36241KZ35 604.380000 PA USD 639.930000 0.0000539 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36177WD98 68454.970000 PA USD 68414.090000 0.0057659 Long ABS-MBS USGSE US N 2 2042-05-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178LMH3 95661.050000 PA USD 95603.930000 0.0080575 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178UBY8 11063.160000 PA USD 10919.370000 0.0009203 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178UUR2 241698.750000 PA USD 240955.130000 0.0203076 Long ABS-MBS USGSE US N 2 2042-11-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178WDR7 4307.580000 PA USD 4310.250000 0.0003633 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179JXF9 4752.970000 PA USD 4738.430000 0.0003994 Long ABS-MBS USGSE US N 2 2043-06-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36180HG51 9905.740000 PA USD 9777.780000 0.0008241 Long ABS-MBS USGSE US N 2 2043-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36180HHA9 94590.100000 PA USD 93360.980000 0.0078684 Long ABS-MBS USGSE US N 2 2043-05-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36180SNG5 7772.070000 PA USD 7709.960000 0.0006498 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36180WGF6 480731.850000 PA USD 480444.690000 0.0404918 Long ABS-MBS USGSE US N 2 2045-07-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36182CAQ0 88859.610000 PA USD 88806.630000 0.0074846 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36182QB88 98503.180000 PA USD 98444.380000 0.0082969 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36198N2C8 100209.550000 PA USD 99408.870000 0.0083782 Long ABS-MBS USGSE US N 2 2044-06-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36182WBC6 318338.570000 PA USD 314206.650000 0.0264813 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183BCF3 59328.630000 PA USD 58557.670000 0.0049352 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183FTW9 27457.310000 PA USD 27236.960000 0.0022955 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183PM53 172337.470000 PA USD 170954.430000 0.0144080 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183QPH2 159552.910000 PA USD 159457.690000 0.0134391 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183QYH2 34636.950000 PA USD 34616.270000 0.0029175 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183TYC7 182797.560000 PA USD 181331.190000 0.0152826 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183XRC6 19418.160000 PA USD 19358.390000 0.0016315 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183XZ86 2206.920000 PA USD 2200.140000 0.0001854 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183X2J8 22798.010000 PA USD 22575.370000 0.0019026 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184BZL4 9890.180000 PA USD 9884.290000 0.0008330 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184BZ67 102023.580000 PA USD 104538.490000 0.0088105 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184CA47 153331.150000 PA USD 151339.690000 0.0127549 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184HY81 83756.350000 PA USD 83083.470000 0.0070023 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184KB97 203631.900000 PA USD 200468.850000 0.0168955 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184K6K8 141236.060000 PA USD 141151.780000 0.0118962 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184MYF4 62139.200000 PA USD 61336.440000 0.0051694 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184NEP2 251057.950000 PA USD 250289.470000 0.0210943 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122NB76 705000.000000 PA USD 620237.070000 0.0522735 Long DBT MUN US N 2 2046-06-01 Fixed 3 N N N N N N GOLDENTREE LOAN MANAGEMENT EUR CLO 3 DAC 3A N/A ACI1ZWJ04 14200000.000000 PA 14459313.650000 1.2186279 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 0.9 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZS6 3800000.000000 PA USD 3769780.390000 0.3177163 Long DBT CORP US N 2 2028-03-15 Floating 3.22323 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWZ3 166000.000000 PA USD 159718.690000 0.0134611 Long DBT CORP US N 2 2029-05-01 Floating 4.223 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H09 N/A 38380LFE8 109359.340000 PA USD 108025.210000 0.0091043 Long ABS-MBS USGSE US N 2 2068-04-20 Floating 2.85652 N N N N N N GREENPOINT MRGT PASS THRU CER 2003-1 N/A 395387AA1 22482.430000 PA USD 21844.730000 0.0018411 Long ABS-MBS CORP US N 2 2033-10-25 Floating 2.68377 N N N N N N GSAA HOME EQUITY TRUST 2006-9 N/A 362382AE3 71441.060000 PA USD 17919.220000 0.0015102 Long ABS-MBS CORP US N 2 2036-06-25 Floating 1.86357 N N N N N N GSAMP TRUST 2006-HE8 N/A 3622M8AE6 4200000.000000 PA USD 3676329.720000 0.3098403 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.85357 N N N N N N GSAMP TRUST 2007-FM2 N/A 3622MHAC0 2384772.360000 PA USD 1535389.900000 0.1294023 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.71357 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAA6 1485338.350000 PA USD 865212.710000 0.0729199 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.75357 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAD0 33601.550000 PA USD 17881.330000 0.0015070 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.77357 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 58525.930000 PA USD 56986.050000 0.0048028 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 362341XG9 29118.770000 PA USD 27537.090000 0.0023208 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.6685 N N N N N N GSR MORTGAGE LOAN TRUST 2007-3F N/A 3622MWAR4 242379.880000 PA USD 187145.940000 0.0157726 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 Y N N N N N GSR MTGE LOAN TRUST 2003-2F N/A 36228FNB8 53.890000 PA USD 52.470000 0.0000044 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6 N N N N N N HALSEYPOINT CLO 2 LTD N/A 40638TAC6 1300000.000000 PA USD 1281547.410000 0.1080085 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 2.50271 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-1 N/A 41161PLD3 964823.900000 PA USD 944894.590000 0.0796355 Long ABS-MBS CORP US N 2 2035-03-19 Floating 2.15229 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 58764.270000 PA USD 51669.380000 0.0043547 Long ABS-MBS CORP US N 2 2036-12-19 Floating 1.81729 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A 41161PYZ0 372244.590000 PA USD 238078.330000 0.0200652 Long ABS-MBS CORP US N 2 2036-01-19 Floating 2.11229 Y N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2007-4 N/A 41164YAB7 232515.560000 PA USD 213721.580000 0.0180124 Long ABS-MBS CORP US N 2 2047-07-19 Floating 1.83229 N N N N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 1400000.000000 PA 1433139.680000 0.1207847 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.64 N N N N N N HARVEST CLO XXI DAC 21A N/A ACI1WSV44 5800000.000000 PA 5853008.230000 0.4932903 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 0.76 N N N N N N HARVEST CLO XXI DAC 21A N/A ACI1WSV36 800000.000000 PA 794766.790000 0.0669828 Long ABS-CBDO CORP IE N 2 2031-07-15 Fixed 1.04 N N N N N N HOME EQUITY PASS-THRU CERTS 2004-6 N/A 437084EW2 984770.090000 PA USD 973455.080000 0.0820426 Long ABS-MBS CORP US N 2 2034-12-25 Floating 3.22357 N N N N N N TRUIST FINANCIAL CORPORATION 549300DRQQI75D2JP341 89832QAE9 1300000.000000 NS USD 1268718.480000 0.1069273 Long EP CORP US N 2 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 ACI09CXQ6 1000000.000000 PA 1035479.400000 0.0872700 Long DBT CORP GB N 2 2022-09-16 Floating 5.25 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AW9 500000.000000 PA USD 495679.550000 0.0417758 Long DBT CORP GB N 2 2026-03-08 Fixed 4.3 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 300000.000000 PA USD 253747.980000 0.0213858 Long DBT CORP GB N 2 2031-06-04 Floating 2.848 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 1500000.000000 PA USD 1467771.930000 0.1237035 Long DBT CORP GB N 2 2026-09-12 Floating 4.292 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAD0 960378.560000 PA USD 310378.220000 0.0261586 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.84357 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT4 N/A 40430KAH4 10588552.010000 PA USD 9603509.610000 0.8093818 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.08857 N N N N N N HYATT HOTELS CORPORATION T27JQIMTYSH41TCD5186 448579AN2 2900000.000000 PA USD 2743470.300000 0.2312191 Long DBT CORP US N 2 2024-10-01 Fixed 1.8 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAA1 598000.000000 PA USD 579515.010000 0.0488414 Long DBT CORP GB N 2 2024-07-26 Fixed 3.125 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAB9 300000.000000 PA USD 281549.100000 0.0237289 Long DBT CORP GB N 2 2026-07-26 Fixed 3.5 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-16IP N/A 45660LUD9 4191.860000 PA USD 3443.430000 0.0002902 Long ABS-MBS CORP US N 2 2045-07-25 Floating 2.26357 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR31 N/A 45660LV97 95351.630000 PA USD 86177.090000 0.0072630 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.00244 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR14 N/A 45668GAD4 9675611.000000 PA USD 9277133.540000 0.7818749 Long ABS-MBS CORP US N 2 2046-11-25 Floating 2.02357 Y N N N N N INEOS FINANCE PLC 2138002D68XDR4LZCG32 ACI0YJHL2 187000.000000 PA 176923.200000 0.0149111 Long DBT CORP GB N 2 2025-11-15 Fixed 2.125 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AY9 2000000.000000 PA USD 1458428.840000 0.1229161 Long DBT CORP NL N 2 2027-05-16 Floating 3.875 N N N N Y ING GROEP NV EUR XXXX N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AZ6 200000.000000 PA USD 136879.840000 0.0115362 Long DBT CORP NL N 2 2031-05-16 Floating 4.25 N N N N Y ING GROEP NV EUR XXXX N N N INTERNATIONAL LEASE FINANCE CORPORATION N/A 459745GN9 14000.000000 PA USD 14027.100000 0.0011822 Long DBT CORP US N 2 2022-08-15 Fixed 5.875 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 ACI0RSP49 900000.000000 PA 897529.880000 0.0756436 Long DBT CORP IT N 2 2027-01-11 Floating 7.75 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 ACI0V4P54 700000.000000 PA 699658.160000 0.0589670 Long DBT CORP IT N 2 2024-05-16 Floating 6.25 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 BJGTFKII9 6500000.000000 PA 1873545.280000 0.1579020 Long DBT NUSS IL N 2 2022-07-31 Fixed 0.75 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI0Y1P99 6400000.000000 PA 1846737.000000 0.1556426 Long DBT NUSS IL N 2 2022-11-30 Fixed 1.25 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI22SVD5 17600000.000000 PA 5014031.120000 0.4225815 Long DBT MUN IL N 2 2023-01-04 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI21KLL6 12000000.000000 PA 3428792.280000 0.2889779 Long DBT MUN IL N 2 2022-11-02 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI229M05 45600000.000000 PA 13020272.250000 1.0973458 Long DBT MUN IL N 2 2022-12-07 None 0 N N N N N N JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2 N/A 46628TAD3 69377.640000 PA USD 35170.430000 0.0029642 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.92357 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 10602.200000 PA USD 5968.380000 0.0005030 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 Y N N N N N JP MORGAN MORTGAGE TRUST 2007-A2 N/A 46630PAE5 4308.340000 PA USD 3776.920000 0.0003183 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.97583 Y N N N N N JP MORGAN MTGE ACQUIS CORP 2007-CH3 N/A 46630XAG3 298000.000000 PA USD 280856.660000 0.0236705 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.92357 N N N N N N JUBILEE CLO 2014-XII BV 14-12A N/A ACI1W2W65 2300000.000000 PA 2376694.730000 0.2003073 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 ACI1W2W24 1000000.000000 PA 1014208.090000 0.0854772 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 0.65 N N N N N N KKR CLO LTD 13 N/A 48250VAW7 2500000.000000 PA USD 2458110.000000 0.2071690 Long ABS-CBDO CORP KY N 2 2028-01-16 Floating 2.19429 N N N N N N KKR CLO LTD 18 N/A 48251JAL7 2050000.000000 PA USD 2017200.000000 0.1700092 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 1.98429 N N N N N N KKR CLO LTD 18 N/A 48251JAN3 3700000.000000 PA USD 3569698.470000 0.3008534 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 2.64429 N N N N N N LAURELIN 2016-1 DAC 16-1A N/A ACI1WVS58 3700000.000000 PA 3799618.860000 0.3202311 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 0.72 N N N N N N LCM LP 13A N/A 50184KBN7 3100000.000000 PA USD 3006481.060000 0.2533856 Long ABS-CBDO CORP KY N 2 2027-07-19 Floating 2.54429 N N N N N N LCRT 2019-2 N/A 52604MAA0 1610534.860000 PA USD 1597696.000000 0.1346535 Long ABS-O CORP US N 2 2025-08-15 Fixed 4 N N N N N N LCRT 2019-7 N/A 52605FAA4 2266999.690000 PA USD 2240870.930000 0.1888601 Long ABS-O CORP US N 2 2027-01-15 Fixed 3.75 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS5 N/A 52475XAA2 1596605.230000 PA USD 1495017.230000 0.1259997 Long ABS-MBS CORP US N 2 2067-07-25 Fixed 2.25 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-SL2 N/A 52476TAA0 2134696.320000 PA USD 2047059.350000 0.1725257 Long ABS-MBS CORP US N 2 2068-10-25 Fixed 1.875 N N N N N N LEHMAN XS TRUST 2007-12N N/A 52524YAC7 4598661.430000 PA USD 4474435.490000 0.3771045 Long ABS-MBS CORP US N 2 2047-07-25 Floating 2.02357 Y N N N N N LEHMAN XS TRUST 2007-15N N/A 52524VAG4 76025.860000 PA USD 70530.980000 0.0059443 Long ABS-MBS CORP US N 2 2037-08-25 Floating 1.87357 N N N N N N LENDINGCLUB RECEIVABLES TRUST SERIES 2019-5 N/A 52605CAA1 1258394.210000 PA USD 1244026.750000 0.1048463 Long ABS-O CORP US N 2 2045-12-15 Fixed 3.75 N N N N N N 280 PARK AVENUE 2017-280P MORTGAGE TRUST N/A 90205FAG5 4000000.000000 PA USD 3890581.600000 0.3278974 Long ABS-MBS CORP US N 2 2034-09-15 Floating 2.271 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AU3 2200000.000000 PA USD 2149778.600000 0.1811829 Long DBT CORP GB N 2 2025-09-27 Floating 7.5 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RH9 162008.980000 PA USD 157655.690000 0.0132872 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.06357 N N N N N N LONG BEACH MORTGAGE LOAN TR 2005-2 N/A 542514KV5 115563.800000 PA USD 114293.800000 0.0096327 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.59857 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 17007.470000 PA USD 15979.680000 0.0013468 Long ABS-MBS CORP US N 2 2034-10-25 Floating 2.18357 N N N N N N M360 2021-CRE3 LLC N/A 55379AAC8 2700000.000000 PA USD 2663250.570000 0.2244582 Long ABS-CBDO CORP KY N 2 2038-11-22 Floating 3.87629 N N N N N N MAGALLANES INC 549300DXR29GD4N0A520 55903VAJ2 700000.000000 PA USD 641688.930000 0.0540814 Long DBT CORP US N 2 2029-03-15 Fixed 4.054 N N N N N N MAGALLANES INC 549300DXR29GD4N0A520 55903VAL7 2500000.000000 PA USD 2236749.530000 0.1885128 Long DBT CORP US N 2 2032-03-15 Fixed 4.279 N N N N N N MAN GLG EURO CLO V DAC 5A N/A ACI1WBHS4 3600000.000000 PA 3691897.370000 0.3111523 Long ABS-CBDO CORP IE N 2 2031-12-15 Floating 0.69 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2003-4 N/A 576433EU6 54696.600000 PA USD 42556.440000 0.0035866 Long ABS-MBS CORP US N 2 2033-10-25 Floating 2.49253 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAA9 2395772.850000 PA USD 1994254.980000 0.1680754 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.2759 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAE1 2678179.200000 PA USD 2362655.950000 0.1991241 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.2759 N N N N N N MASTR ASSET BACKED SEC TR 2006-FRE2 N/A 57643GAE7 49469.390000 PA USD 36554.670000 0.0030808 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.10357 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC3 N/A 55275RAD4 324658.620000 PA USD 180665.610000 0.0152265 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.94357 N N N N N N MDPKE 14A N/A ACI2289F9 1800000.000000 PA 1828523.290000 0.1541076 Long ABS-CBDO CORP IE N 2 2032-07-15 Floating 0.8 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 112438.460000 PA USD 107333.090000 0.0090460 Long ABS-MBS CORP US N 2 2030-12-15 Floating 1.764 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAE4 475241.860000 PA USD 147372.790000 0.0124205 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.02357 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A3 N/A 589929R26 4411.980000 PA USD 4326.060000 0.0003646 Long ABS-MBS CORP US N 2 2033-05-25 Floating 2.11961 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 63514.450000 PA USD 59824.220000 0.0050420 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.04357 N N N N N N MF1 2021-FL7 LTD N/A 55284AAC2 4600000.000000 PA USD 4355625.000000 0.3670912 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 3.06229 N N N N N N MF1 2021-FL7 LTD N/A 55284AAE8 4600000.000000 PA USD 4338001.760000 0.3656059 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 3.36229 N N N N N N MF1 2022-FL8 LTD N/A 55284JAC3 5900000.000000 PA USD 5620397.230000 0.4736859 Long ABS-CBDO CORP KY N 2 2037-02-19 Floating 2.54224 N N N N N N MF1 2022-FL9 LLC N/A 55285AAC1 11800000.000000 PA USD 11562783.420000 0.9745090 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 3.46 N N N N N N MFA LLC 2018-NPL1 N/A 55282YAA6 629604.030000 PA USD 608184.840000 0.0512577 Long ABS-MBS CORP US N 2 2060-03-25 Fixed 2.3633 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BN2 97000.000000 PA USD 96585.520000 0.0081402 Long DBT CORP US N 2 2029-02-06 Fixed 5.327 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 ACI12YC03 900000.000000 PA 945030.940000 0.0796470 Long DBT CORP JP N 2 2023-05-30 Floating 0.198 N N N N N N ACE SECURITIES CORP 2002-HE3 N/A 004421BH5 767.120000 PA USD 803.720000 0.0000677 Long ABS-MBS CORP US N 2 2032-10-25 Floating 3.42357 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL78 14760.440000 PA USD 14006.220000 0.0011804 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.12357 N N N N N N MORGAN STANLEY ABS CAPITAL I 2004-HE9 N/A 61744CJU1 202617.380000 PA USD 198420.670000 0.0167229 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.55357 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC6 N/A 61744CSY3 201459.020000 PA USD 197551.260000 0.0166496 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.55357 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE5 N/A 61749NAD9 449460.000000 PA USD 252392.780000 0.0212716 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.90357 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAP5 3389868.390000 PA USD 1572704.350000 0.1325472 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.75357 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAC4 266743.770000 PA USD 141796.690000 0.0119506 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.75357 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAD8 2800240.060000 PA USD 1342956.490000 0.1131841 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.87357 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC2 N/A 61753NAA8 943819.330000 PA USD 848904.990000 0.0715455 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.75357 N N N N N N MORGAN STANLEY CAPITAL I INC 2021-230P N/A 61772WAG2 3500000.000000 PA USD 3363651.550000 0.2834878 Long ABS-MBS CORP US N 2 2023-12-15 Floating 2.7729 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAB1 1799353.200000 PA USD 1031508.730000 0.0869353 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.79357 N N N N N N MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS N/A 61752JAA8 761702.660000 PA USD 336007.910000 0.0283187 Long ABS-MBS CORP US N 2 2046-09-25 Variable 6.465 Y N N N N N ACE SECURITIES CORP 2006-NC1 N/A 004421UU5 4500000.000000 PA USD 4309683.750000 0.3632192 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.23857 N N N N N N MORGAN STANLEY MTGE LN TR 2007-7AX N/A 61754HAD4 38775.960000 PA USD 14041.880000 0.0011834 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.34357 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBQ2 1000000.000000 PA USD 835712.610000 0.0704337 Long DBT CORP US N 2 2030-08-15 Fixed 2.65 N N N N N N NAKILAT INC 2549006RMTDJWLLWF072 Y62014AA6 98542.150000 PA USD 105278.000000 0.0088728 Long DBT CORP MH N 2 2033-12-31 Fixed 6.067 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAC1 2200000.000000 PA USD 2203367.630000 0.1856994 Long DBT CORP GB N 2 2024-08-01 Floating 4.363 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780099CK1 900000.000000 PA USD 892782.000000 0.0752435 Long DBT CORP GB N 2 2025-08-10 Floating 8 N N N N Y NATWEST GROUP PLC GBP XXXX N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 78009PEH0 1700000.000000 PA USD 1665701.960000 0.1403850 Long DBT CORP GB N 2 2030-01-27 Floating 5.076 N N N N N N ADAGIO V CLO DAC V-A N/A ACI1WGSL6 2400000.000000 PA 2466108.630000 0.2078431 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.72 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 1784000.000000 PA USD 1730623.700000 0.1458566 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 2000000.000000 PA USD 2002326.140000 0.1687556 Long DBT CORP GB N 2 2024-06-25 Floating 3.74729 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 1600000.000000 PA USD 1596698.140000 0.1345694 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 ACI1BLJV6 1200000.000000 PA 1137642.360000 0.0958803 Long DBT CORP US N 2 2029-11-15 Fixed 3.875 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 2601011.680000 PA USD 2520809.480000 0.2124533 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A N/A 64830TAD0 53683.510000 PA USD 51724.420000 0.0043593 Long ABS-MBS CORP US N 2 2059-10-25 Variable 3.5 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-10 N/A 007036TD8 128189.810000 PA USD 105193.620000 0.0088657 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.71719 Y N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-5 N/A 007036LJ3 1349.480000 PA USD 1207.910000 0.0001018 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.92497 Y N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 654740AZ2 1407000.000000 PA USD 1406790.410000 0.1185640 Long DBT CORP US N 2 2022-07-13 Fixed 2.65 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 654740BD0 590000.000000 PA USD 587160.040000 0.0494857 Long DBT CORP US N 2 2022-09-28 Fixed 2.6 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 65480CAB1 400000.000000 PA USD 367939.580000 0.0310099 Long DBT CORP US N 2 2024-09-16 Fixed 1.125 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AA9 700000.000000 PA USD 688618.680000 0.0580366 Long DBT CORP JP N 2 2023-09-15 Fixed 3.043 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AB7 1500000.000000 PA USD 1421476.550000 0.1198017 Long DBT CORP JP N 2 2025-09-17 Fixed 3.522 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 2900000.000000 PA USD 2664335.970000 0.2245497 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 900000.000000 PA USD 800406.240000 0.0674581 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-AF1 N/A 65535AAD6 168941.490000 PA USD 40340.910000 0.0033999 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.95357 Y N N N N N NOMURA RESECURITIZATION TRUST 2018-1R N/A 65541JAC1 2362742.190000 PA USD 2224254.310000 0.1874597 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.52357 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 18788130.000000 PA 2178348.880000 0.1835908 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-3 N/A 66988WAD8 239557.730000 PA USD 145866.250000 0.0122936 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.94357 N N N N N N NOVASTAR HOME EQUITY LOAN 2007-1 N/A 669971AA1 5253612.400000 PA USD 3724519.090000 0.3139017 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.75357 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 81056734.950000 PA 9395548.580000 0.7918549 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N OAK HILL EUROPEAN CREDIT PARTNERS IV DESIGNATED ACTIVITY CO 15-4A N/A ACI1WJ2Z7 1898599.230000 PA 1955760.550000 0.1648311 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 0.73 N N N N N N OAKTREE CLO LTD 2019-4A N/A 67402CAQ9 3300000.000000 PA USD 3205969.470000 0.2701984 Long ABS-CBDO CORP KY N 2 2032-10-20 Floating 2.18271 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAX3 800000.000000 PA USD 641216.270000 0.0540416 Long DBT CORP IE N 2 2032-01-30 Fixed 3.3 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAF2 235000.000000 PA USD 232751.160000 0.0196162 Long DBT CORP IE N 2 2023-07-03 Fixed 4.125 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2005-4 N/A 68389FJK1 6767000.000000 PA USD 5749757.490000 0.4845884 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.35857 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAW5 800000.000000 PA USD 674610.810000 0.0568561 Long DBT CORP IE N 2 2028-10-29 Fixed 3 N N N N N N OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5 N/A 69121PBU6 34398.870000 PA USD 32654.410000 0.0027521 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.52357 N N N N N N OZLM XXIV LTD 2019-24A N/A 67113DBA1 2500000.000000 PA USD 2418081.980000 0.2037954 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 2.51271 N N N N N N OZLM XXIV LTD 2019-24A N/A 67113DBC7 1500000.000000 PA USD 1424109.480000 0.1200236 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 2.76271 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JW8 800000.000000 PA USD 690186.290000 0.0581688 Long DBT CORP US N 2 2028-06-15 Fixed 3 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JM0 900000.000000 PA USD 800558.390000 0.0674709 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JX6 2100000.000000 PA USD 2091575.960000 0.1762776 Long DBT CORP US N 2 2022-11-14 Floating 2.34153 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JY4 2100000.000000 PA USD 2024856.390000 0.1706545 Long DBT CORP US N 2 2023-11-15 Fixed 1.7 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2022-1 N/A 69546MAA5 2246813.390000 PA USD 2170728.870000 0.1829486 Long ABS-O CORP US N 2 2029-10-15 Fixed 2.03 N N N N N N PAGAYA AI DEBT TRUST 2022-2 N/A 69546VAA5 2500000.000000 PA USD 2484176.750000 0.2093659 Long ABS-O CORP US N 2 2030-01-15 Fixed 4.97 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2021-1 DAC 21-1A N/A ACI1ZMCH6 4983612.480000 PA 5158555.010000 0.4347619 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 0.78 N N N N N N PARK PLACE SECURITIES INC 2004-WHQ2 N/A 70069FEM5 3358848.690000 PA USD 3046534.880000 0.2567613 Long ABS-MBS CORP US N 2 2035-02-25 Floating 3.34857 N N N N N N PARK PLACE SECURITIES INC 2005-WCW2 N/A 70069FLK1 3200000.000000 PA USD 2739751.360000 0.2309057 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.59857 N N N N N N PERRIGO FINANCE UNLIMITED CO (AKA: PERRIGO FINANCE PLC) 549300E86RB6YCTMRM83 71429MAC9 1000000.000000 PA USD 893780.980000 0.0753277 Long DBT CORP IE N 2 2030-06-15 Variable 4.15 N N N N N N AKER BP ASA 549300NFTY73920OYK69 00973RAG8 450000.000000 PA USD 425963.560000 0.0359001 Long DBT CORP NO N 2 2026-01-15 Fixed 2.875 N N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081ET6 166000.000000 PA USD 161316.820000 0.0135957 Long DBT CORP US N 2 2029-03-15 Fixed 3.45 N N N N N N PHH ALTERNATIVE MORTGAGE TRUST 2007-1 N/A 69337BAA2 194984.080000 PA USD 145938.930000 0.0122997 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.94357 N N N N N N PRET 2021-NPL6 LLC N/A 69362GAA9 6481691.470000 PA USD 6090652.320000 0.5133189 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 2.4871 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2 N/A 74143FAA7 1647018.900000 PA USD 1545299.010000 0.1302375 Long ABS-MBS CORP US N 2 2051-07-25 Variable 1.7436 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3 N/A 74143JAA9 4664565.560000 PA USD 4386549.990000 0.3696975 Long ABS-MBS CORP US N 2 2051-09-25 Variable 1.8429 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-NPL2 N/A 693971AA1 3389264.730000 PA USD 3334350.510000 0.2810184 Long ABS-MBS CORP US N 2 2052-04-25 Fixed 5.24 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-NPL3 N/A 74143NAA0 5700000.000000 PA USD 5720591.310000 0.4821302 Long ABS-MBS CORP US N 3 2052-06-25 Variable 6.1704 N N N N N N PRIMA CAPITAL CRE SECURITIZATION 2019-RK1 LTD N/A 74166HAE7 4800000.000000 PA USD 4849047.360000 0.4086767 Long ABS-MBS CORP KY N 2 2038-04-15 Fixed 3.5 N N N N N N RAAC SERIES 2006-SP3 N/A 74919QAD9 1845.660000 PA USD 1848.920000 0.0001558 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.13357 N N N N N N READYCAP COMMERCIAL MORTGAGE TRUST 2022-FL9 N/A 000000000 2300000.000000 PA USD 2294105.560000 0.1933467 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.717 N N N N N N READYCAP COMMERCIAL MORTGAGE TRUST 2022-FL9 N/A 000000000 4700000.000000 PA USD 4687916.300000 0.3950966 Long ABS-MBS CORP KY N 2 2037-06-25 Floating 4.361 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 23947679.000000 PA 2779564.490000 0.2342611 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 1200000.000000 PA USD 1181063.280000 0.0995398 Long ABS-O CORP US N 2 2030-09-25 Fixed 4.32 N N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QA13 N/A 761118PE2 304333.100000 PA USD 258716.860000 0.0218046 Long ABS-MBS CORP US N 2 2035-12-25 Variable 4.0844 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 806913.850000 PA USD 748340.220000 0.0630700 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.99357 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAC7 195887.470000 PA USD 168760.390000 0.0142231 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.96357 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC1 N/A 76112BRR3 2000000.000000 PA USD 1895379.000000 0.1597421 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.68857 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC6 N/A 76112BK41 227994.110000 PA USD 223188.090000 0.0188102 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.29857 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A7CB N/A 76113NAC7 377238.000000 PA USD 323030.600000 0.0272250 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6.25 Y N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A9CB N/A 76112HAJ6 909571.810000 PA USD 342840.170000 0.0288945 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6 N N N N N N RESIDENTIAL ASSET SECUR TR 2007-A5 N/A 76114HAM7 352802.730000 PA USD 233919.530000 0.0197147 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 Y N N N N N RESIDENTIAL ASSET SECURITIES 2005-AHL2 N/A 76110W5H5 140990.670000 PA USD 140624.800000 0.0118518 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.25357 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 1700000.000000 PA USD 1313505.000000 0.1107019 Long DBT CORP KY N 2 2028-08-08 Variable 5.4 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAM7 1400000.000000 PA USD 1021909.000000 0.0861263 Long DBT CORP KY N 2 2027-03-08 Variable 2.55 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAP0 1600000.000000 PA USD 1134848.000000 0.0956448 Long DBT CORP KY N 2 2029-03-08 Variable 3.1 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAR6 1600000.000000 PA USD 1059696.000000 0.0893110 Long DBT CORP KY N 2 2031-08-08 Variable 3.25 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAJ4 2500000.000000 PA USD 2501396.730000 0.2108172 Long DBT CORP GB N 2 2024-11-15 Floating 4.796 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAD0 1564000.000000 PA USD 1363808.000000 0.1149415 Long DBT CORP DE N 2 2029-05-15 Fixed 6.375 N N Y N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 ACI1C5ZK6 152000.000000 PA 139280.820000 0.0117386 Long DBT CORP DE N 2 2025-05-15 Fixed 3.625 N N Y N N N SEC ASSET BACKED REC LLC 2005-OP2 N/A 81375WGW0 304000.000000 PA USD 271985.580000 0.0229229 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.34357 Y N N N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AC8 8607343.650000 PA USD 5058553.080000 0.4263338 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.12357 N N N N N N SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A N/A ACI1YTXT3 3050000.000000 PA 3106649.230000 0.2618277 Long ABS-CBDO CORP IE N 2 2032-07-20 Floating 0.88 N N N N N N SEQUOIA MORTGAGE TRUST 2005-2 N/A 81744FGZ4 606.210000 PA USD 559.780000 0.0000472 Long ABS-MBS CORP US N 2 2035-03-20 Floating 1.27357 N N N N N N SEQUOIA MORTGAGE TRUST 2007-2 N/A 81744LAA2 215004.290000 PA USD 204646.930000 0.0172476 Long ABS-MBS CORP US N 2 2036-06-20 Floating 2.01514 N N N N N N SEQUOIA MORTGAGE TRUST 2007-3 N/A 81744MAA0 180171.630000 PA USD 160461.830000 0.0135237 Long ABS-MBS CORP US N 2 2036-07-20 Floating 1.99514 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAC7 4500000.000000 PA USD 4265790.300000 0.3595199 Long ABS-MBS CORP US N 2 2038-05-15 Floating 2.824 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-FRE1 N/A 81879MAV1 9103210.240000 PA USD 5459586.620000 0.4601328 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.98357 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2007-20L N/A 83162CRL9 35550.630000 PA USD 36468.270000 0.0030735 Long ABS-O CORP US N 2 2027-12-01 Fixed 5.29 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20I N/A 83162CSA2 330201.630000 PA USD 335604.260000 0.0282847 Long ABS-O CORP US N 2 2028-09-01 Fixed 5.6 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83367TBV0 300000.000000 PA USD 289153.270000 0.0243698 Long DBT CORP FR N 2 2023-10-04 Floating 7.375 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 F8586CRW4 1000000.000000 PA USD 982310.360000 0.0827889 Long DBT CORP FR N 2 2023-12-18 Floating 7.875 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAB8 3037263.920000 PA USD 2913252.740000 0.2455283 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54 N N N N N N SOUNDVIEW HOME EQUITY LOAN 2006-1 N/A 83611MKZ0 170000.000000 PA USD 160932.590000 0.0135634 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.08857 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAA0 118334.550000 PA USD 87536.460000 0.0073776 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-OPT1 N/A 83612TAB8 63992.480000 PA USD 46215.730000 0.0038951 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.70357 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1 N/A 83612NAE5 148641.000000 PA USD 46249.770000 0.0038979 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.88357 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GJ6 131000.000000 PA USD 124188.740000 0.0104666 Long DBT CORP US N 2 2028-03-01 Fixed 3.65 N N N N N N SPECIALTY UNDERWRITING & RESID 2006-AB1 N/A 84751PKW8 1078430.160000 PA USD 1019637.710000 0.0859349 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.22357 N N N N N N SPRINT CORP (SPRINT COMMUNICATIONS INC) 549300JKU50UT08ZWD77 852061AS9 14000.000000 PA USD 14103.010000 0.0011886 Long DBT CORP US N 2 2022-11-15 Fixed 6 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAH8 35000.000000 PA USD 36027.250000 0.0030364 Long DBT CORP US N 2 2024-06-15 Fixed 7.125 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAF2 76000.000000 PA USD 78584.000000 0.0066230 Long DBT CORP US N 2 2023-09-15 Fixed 7.875 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 G84228CX4 300000.000000 PA USD 296676.830000 0.0250039 Long DBT CORP GB N 2 2023-04-02 Floating 7.75 N N N N Y STANDARD CHARTERED PLC GBP XXXX N N N AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2 N/A 02660CAF7 33127.570000 PA USD 27213.090000 0.0022935 Long ABS-MBS CORP US N 2 2047-03-25 Variable 6.5 N N N N N N STELLANTIS FINANCE US INC 549300QZ0AI8Q7LNON33 85855CAB6 3800000.000000 PA USD 3012781.740000 0.2539166 Long DBT CORP US N 2 2031-09-15 Fixed 2.691 N N N N N N AMERICAN HOME MTGE INV TRUST 2004-4 N/A 02660TCS0 117.910000 PA USD 117.660000 0.0000099 Long ABS-MBS CORP US N 2 2045-02-25 Floating 4.08614 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 99810.570000 PA USD 87077.620000 0.0073389 Long ABS-MBS CORP US N 2 2035-01-25 Floating 1.8759 Y N N N N N STRUCTURED ADJ RATE MTGE LOAN 2005-21 N/A 863579C30 59777.940000 PA USD 55459.140000 0.0046741 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.45141 Y N N N N N STRUCTURED ADJUSTABLE RT MTG LN 2004-20 N/A 863579HD3 42032.600000 PA USD 41843.070000 0.0035265 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.03214 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VM7 56091.470000 PA USD 51855.380000 0.0043704 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.96138 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-18 N/A 863579XK9 37925.540000 PA USD 35226.870000 0.0029689 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.85282 Y N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 1537792.270000 PA USD 1448049.630000 0.1220413 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.94357 N N N N N N STRUCTURED ASSET INVST LN TR 2005-5 N/A 86358ETH9 2872842.180000 PA USD 2862839.230000 0.2412795 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.34357 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR6 N/A 86359LEV7 2278.100000 PA USD 2199.890000 0.0001854 Long ABS-MBS CORP US N 2 2035-02-19 Floating 2.29514 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPD5 32039.820000 PA USD 29517.510000 0.0024877 Long ABS-MBS CORP US N 2 2035-07-19 Floating 2.09514 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 67182.570000 PA USD 61784.520000 0.0052072 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.18357 Y N N N N N STRUCTURED ASSET MTGE INVEST 2007-AR7 N/A 86364KAE4 2333913.300000 PA USD 1941461.110000 0.1636259 Long ABS-MBS CORP US N 2 2047-05-25 Floating 3.07902 Y N N N N N STRUCTURED ASSET SEC CORP 2007-WF1 N/A 86358BAT9 1906321.790000 PA USD 1799188.980000 0.1516353 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.04357 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC1 N/A 86359YAD3 1643004.530000 PA USD 1532422.770000 0.1291523 Long ABS-MBS CORP US N 2 2036-03-25 Floating 1.78357 N N N N N N STWD 2022-FL3 LTD N/A 78485KAE5 9100000.000000 PA USD 8669317.930000 0.7306483 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 2.57924 N N N N N N SYMPHONY STATIC CLO 2021-1A N/A 87190TAA1 1470587.750000 PA USD 1444148.790000 0.1217126 Long ABS-CBDO CORP KY N 2 2029-10-25 Floating 2.014 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABR5 500000.000000 PA USD 450876.610000 0.0379998 Long DBT CORP US N 2 2026-02-15 Fixed 2.25 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABV6 600000.000000 PA USD 526743.000000 0.0443938 Long DBT CORP US N 2 2029-04-15 Fixed 3.375 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABW4 900000.000000 PA USD 778918.500000 0.0656471 Long DBT CORP US N 2 2031-04-15 Fixed 3.5 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACQ6 1000000.000000 PA USD 840195.590000 0.0708115 Long DBT CORP US N 2 2032-03-15 Fixed 2.7 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAW0 194000.000000 PA USD 178251.980000 0.0150230 Long DBT CORP US N 2 2029-08-15 Fixed 3.8 N N N N N N TAURUS 2021-1 UK DAC 21-UK1A N/A ACI1W1MF8 794167.040000 PA 934160.620000 0.0787309 Long ABS-MBS CORP IE N 2 2031-05-17 Floating 1.86202 N N N N N N AMERICAN WATER CAPITAL CORP 5IDHQUFVC8Q2KIBBFF06 03040WAU9 166000.000000 PA USD 156337.660000 0.0131761 Long DBT CORP US N 2 2029-06-01 Fixed 3.45 N N N N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2022-2 N/A 03065WAA3 7100000.000000 PA USD 7097640.670000 0.5981877 Long ABS-O CORP US N 2 2023-06-19 Fixed 2.192 N N N N N N THEOREM FUNDING TRUST 2022-1A N/A 88339XAA2 2848330.590000 PA USD 2793933.460000 0.2354721 Long ABS-O CORP US N 2 2028-02-15 Fixed 1.85 N N N N N N TIAA CLO IV LTD 2018-1A N/A 88631YAE7 6900000.000000 PA USD 6580785.990000 0.5546273 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 2.76271 N N N N N N TORO EUROPEAN CLO 6 DAC 6A N/A ACI1ZW9V7 12200000.000000 PA 12418959.960000 1.0466673 Long ABS-CBDO CORP IE N 2 2032-01-12 Floating 0.92 N N N N N N TORO EUROPEAN CLO 7 DAC 7A N/A ACI227LV2 4200000.000000 PA 4253970.550000 0.3585237 Long ABS-CBDO CORP IE N 2 2034-02-15 Floating 0.81 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 564859.100000 PA 686673.910000 0.0578727 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 1.81833 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 1402321.600000 PA USD 1387690.900000 0.1169543 Long ABS-MBS CORP US N 2 2058-05-25 Floating 2.62357 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 3270000.000000 PA USD 3269346.000000 0.2755398 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UBS AG / STAMFORD BRANCH BFM8T61CT2L1QCEMIK50 90261AAB8 3350000.000000 PA USD 3359984.340000 0.2831788 Long DBT CORP CH N 2 2022-08-17 Fixed 7.625 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AP3 5300000.000000 PA USD 5250346.000000 0.4424981 Long DBT CORP CH N 2 2028-05-12 Floating 4.751 N N N N N N UMBS PASS THRU POOLS N/A 01F020471 -17800000.000000 PA USD -16619359.460000 -1.4006761 Short ABS-MBS USGSE US N 2 2037-07-18 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F040479 1000000.000000 PA USD 1008998.650000 0.0850382 Long ABS-MBS USGSE US N 2 2037-07-18 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F042475 1000000.000000 PA USD 1021029.900000 0.0860522 Long ABS-MBS USGSE US N 2 2037-07-18 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F020687 -38600000.000000 PA USD -33473437.500000 -2.8211343 Short ABS-MBS USGSE US N 2 2052-08-11 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F022675 -32000000.000000 PA USD -28787500.160000 -2.4262045 Short ABS-MBS USGSE US N 2 2052-07-14 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F032682 400000.000000 PA USD 384342.280000 0.0323923 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 01F042673 21250000.000000 PA USD 21337158.150000 1.7982912 Long ABS-MBS USGSE US N 2 2052-07-14 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F042681 5950000.000000 PA USD 5961388.660000 0.5024246 Long ABS-MBS USGSE US N 2 2052-08-11 Fixed 4.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796K57 62900000.000000 PA USD 62875917.480000 5.2991691 Long DBT UST US N 2 2022-07-14 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796S42 121400000.000000 PA USD 121331881.250000 10.2258255 Long DBT UST US N 2 2022-07-21 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796S59 16500000.000000 PA USD 16486727.730000 1.3894980 Long DBT UST US N 2 2022-07-28 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796X20 47800000.000000 PA USD 47775681.750000 4.0265244 Long DBT UST US N 2 2022-07-19 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796X38 64000000.000000 PA USD 63954777.600000 5.3900952 Long DBT UST US N 2 2022-07-26 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796S67 23000000.000000 PA USD 22974422.160000 1.9362795 Long DBT UST US N 2 2022-08-04 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796U64 8000000.000000 PA USD 7967300.000000 0.6714824 Long DBT UST US N 2 2022-09-29 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 898933.750000 PA USD 795711.490000 0.0670624 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 6916985.790000 PA USD 7087226.230000 0.5973099 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 1841265.000000 PA USD 1651837.110000 0.1392165 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 5478705.630000 PA USD 5201723.480000 0.4384002 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 8411563.680000 PA USD 8045848.660000 0.6781024 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828B66 9000000.000000 PA USD 8971171.920000 0.7560885 Long DBT UST US N 2 2024-02-15 Fixed 2.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBQ3 11800000.000000 PA USD 10757820.340000 0.9066668 Long DBT UST US N 2 2026-02-28 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QE1 8790000.000000 PA USD 10467997.290000 0.8822406 Long DBT UST US N 2 2040-02-15 Fixed 4.625 N N N N N N ANGLOGOLD ASHANTI HOLDINGS PLC 213800745ZIXC4L6A131 03512TAF8 1600000.000000 PA USD 1356718.530000 0.1143440 Long DBT CORP IM N 2 2028-11-01 Fixed 3.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 22987000.000000 PA USD 21915769.940000 1.8470565 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286T2 22100000.000000 PA USD 21174994.110000 1.7846241 Long DBT UST US N 2 2029-05-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XQ8 27603000.000000 PA USD 27622483.030000 2.3280171 Long DBT UST US N 2 2022-07-31 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828D56 18300000.000000 PA USD 18063386.670000 1.5223784 Long DBT UST US N 2 2024-08-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 628000.000000 PA USD 593680.780000 0.0500353 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285C0 35731000.000000 PA USD 35689127.560000 3.0078722 Long DBT UST US N 2 2025-09-30 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YM6 1741000.000000 PA USD 1682445.280000 0.1417961 Long DBT UST US N 2 2024-10-31 Fixed 1.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285J5 14531000.000000 PA USD 14511133.360000 1.2229953 Long DBT UST US N 2 2025-10-31 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810ST6 16300000.000000 PA USD 11745550.820000 0.9899126 Long DBT UST US N 2 2040-11-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SS8 700000.000000 PA USD 492638.670000 0.0415195 Long DBT UST US N 2 2050-11-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YY0 10300000.000000 PA USD 9983959.020000 0.8414460 Long DBT UST US N 2 2024-12-31 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBC4 2800000.000000 PA USD 2552101.550000 0.2150906 Long DBT UST US N 2 2025-12-31 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285T3 14245000.000000 PA USD 14047740.080000 1.1839406 Long DBT UST US N 2 2025-12-31 Fixed 2.625 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AB9 1800000.000000 PA USD 1721358.000000 0.1450757 Long DBT CORP US N 2 2028-02-15 Fixed 4.75 N N N N N N WACHOVIA MTGE LOAN TRUST 2006-A N/A 92977TAC6 59615.840000 PA USD 59477.050000 0.0050127 Long ABS-MBS CORP US N 2 2036-05-20 Floating 2.5476 Y N N N N N WAMU ASSET-BACKED CERTIFICATES 2007-HE3 N/A 93364EAD6 499531.530000 PA USD 435752.790000 0.0367252 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.86357 N N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAE4 1291816.170000 PA USD 1200966.100000 0.1012172 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.2127 Y N N N N N WASHING MUTUAL MTGE P/T 2006-5 N/A 93934NAF2 948454.940000 PA USD 777260.530000 0.0655074 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 Y N N N N N WASHING MUTUAL MTGE P/T 2006-5 N/A 93934NAQ8 411450.540000 PA USD 316410.030000 0.0266670 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 Y N N N N N WASHINGTON MUTUAL 2002 AR2 N/A 929227LE4 36430.700000 PA USD 35607.610000 0.0030010 Long ABS-MBS CORP US N 2 2034-02-27 Floating 1.473 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 18470.580000 PA USD 17283.280000 0.0014566 Long ABS-MBS CORP US N 2 2042-11-25 Floating 1.6759 N N N N N N APS RESECURITIZATION TRUST 2015-1 N/A 00191TAG0 3709186.900000 PA USD 3512912.680000 0.2960675 Long ABS-MBS CORP US N 2 2054-08-28 Variable 1.28914 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X40 87642.990000 PA USD 83290.770000 0.0070197 Long ABS-MBS CORP US N 2 2045-01-25 Floating 2.26357 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 13922.790000 PA USD 13321.810000 0.0011228 Long ABS-MBS CORP US N 2 2045-10-25 Floating 2.20357 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 2536672.470000 PA USD 2449483.990000 0.2064420 Long ABS-MBS CORP US N 2 2045-12-25 Floating 2.16357 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAA4 426390.020000 PA USD 375900.960000 0.0316809 Long ABS-MBS CORP US N 2 2046-10-25 Floating 1.3559 Y N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 58858.720000 PA USD 54126.060000 0.0045617 Long ABS-MBS CORP US N 2 2046-10-25 Floating 1.723 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAA1 160526.250000 PA USD 148339.840000 0.0125021 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.71323 Y N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAD2 326861.050000 PA USD 316719.430000 0.0266930 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.82416 N N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AA8 534859.790000 PA USD 486603.510000 0.0410108 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.55009 Y N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 257930.400000 PA USD 235579.930000 0.0198546 Long ABS-MBS CORP US N 2 2046-02-25 Floating 1.4759 N N N N N N WASHINGTON MUTUAL 2006-AR5 N/A 93362YAA0 3061974.390000 PA USD 2838728.290000 0.2392474 Long ABS-MBS CORP US N 2 2046-06-25 Floating 1.4659 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAB3 4592833.380000 PA USD 4191760.990000 0.3532807 Long ABS-MBS CORP US N 2 2046-08-25 Floating 1.723 N N N N N N WASHINGTON MUTUAL 2007-OA6 N/A 92927BAA0 38116.820000 PA USD 32137.370000 0.0027085 Long ABS-MBS CORP US N 2 2047-07-25 Floating 1.2859 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1 N/A 939336PL1 41.210000 PA USD 40.040000 0.0000034 Long ABS-MBS CORP US N 2 2033-02-25 Floating 1.975 N N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AB9 179916.530000 PA USD 166875.350000 0.0140642 Long ABS-MBS CORP US N 2 2047-02-25 Floating 1.2259 Y N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL2 N/A 03881JAE6 2700000.000000 PA USD 2679656.850000 0.2258409 Long ABS-CBDO CORP US N 2 2037-05-15 Floating 3.67865 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGH7 62000.000000 PA USD 60663.930000 0.0051127 Long DBT CORP US N 2 2025-02-19 Fixed 3 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746RW3 1000000.000000 PA USD 953265.020000 0.0803410 Long DBT CORP US N 2 2026-04-22 Fixed 3 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL2 N/A 03881JAG1 2700000.000000 PA USD 2679557.220000 0.2258325 Long ABS-CBDO CORP US N 2 2037-05-15 Floating 4.17865 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2G7 900000.000000 PA USD 792188.130000 0.0667654 Long DBT CORP US N 2 2030-10-30 Floating 2.879 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 ACI1M1519 500000.000000 PA 511514.350000 0.0431103 Long DBT CORP US N 2 2025-05-04 Floating 1.338 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 ACI1M15X9 1100000.000000 PA 1026188.580000 0.0864870 Long DBT CORP US N 2 2030-05-04 Floating 1.741 N N N N N N WELLS FARGO ALTERNATIVE LOAN 2007-PA4 N/A 94984UAE6 1923489.120000 PA USD 1723698.810000 0.1452730 Long ABS-MBS CORP US N 2 2037-07-25 Floating 3.41104 Y N N N N N WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3 N/A 94985GAH9 128093.950000 PA USD 115418.530000 0.0097274 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6.25 Y N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC18 N/A 94989AAV7 406196.170000 PA USD 402385.810000 0.0339130 Long ABS-MBS CORP US N 2 2047-12-15 Fixed 3.244 N N N N N N WPC EUROBOND BV 5493005XDMOLBARL5M14 ACI15F7Y3 201000.000000 PA 198258.500000 0.0167092 Long DBT CORP NL N 2 2026-04-09 Fixed 2.25 N N N N N N AREIT TRUST 2021-CRE5 N/A 04002PAE4 1500000.000000 PA USD 1427425.950000 0.1203032 Long ABS-MBS CORP US N 2 2026-07-17 Floating 3.34343 N N N N N N ARES EUROPEAN CLO 7A N/A ACI1WSXP5 4491831.020000 PA 4622440.690000 0.3895783 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 0.66 N N N N N N N/A N/A 000000000 13741000.000000 PA USD 13741000.000000 1.1580886 Long RA US N 2 Repurchase N 0.4000000 2022-07-01 14031200.000000 USD 14015849.870000 USD UST N N N ARGENT SECURITIES INC 2003-W10 N/A 040104EN7 130291.680000 PA USD 123135.890000 0.0103779 Long ABS-MBS CORP US N 2 2034-01-25 Floating 2.70357 N N N N N N ARGENT SECURITIES INC 2004-W3 N/A 040104FW6 791533.860000 PA USD 746114.380000 0.0628824 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.44357 N N N N N N ARGENT SECURITIES INC 2006-M2 N/A 04013BAB8 82984.820000 PA USD 30348.150000 0.0025577 Long ABS-MBS CORP US N 2 2036-09-25 Floating 1.73357 N N N N N N N/A N/A 000000000 1.000000 NC USD 43182.330000 0.0036394 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-26 0.000000 USD -3205707.540000 USD 12906868.850000 USD 3248889.870000 N N N N/A N/A 000000000 1.000000 NC USD -5422.760000 -0.0004570 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-06-21 18958.430000 USD 0.000000 USD 1100000.000000 USD -24381.190000 N N N N/A N/A 000000000 1.000000 NC -205765.480000 -0.0173419 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 8137710.790000 USD 10210000.000000 CAD 2022-07-05 -205765.480000 N N N N/A N/A 000000000 1.000000 NC 35356.010000 0.0029798 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7307714.220000 USD 9452000.000000 CAD 2022-07-05 35356.010000 N N N N/A N/A 000000000 1.000000 NC 29943.760000 0.0025237 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7239322.870000 USD 9357000.000000 CAD 2022-07-05 29943.760000 N N N N/A N/A 000000000 1.000000 NC -67498.430000 -0.0056888 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7622490.000000 USD 53621930.400000 DKK 2022-07-01 -67498.430000 N N N N/A N/A 000000000 1.000000 NC -47943.560000 -0.0040407 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 4651836.290000 USD 32676358.840000 DKK 2022-07-01 -47943.560000 N N N N/A N/A 000000000 1.000000 NC -12732.330000 -0.0010731 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1624888.890000 USD 1534000.000000 EUR 2022-08-16 -12732.330000 N N N N/A N/A 000000000 1.000000 NC -4697.370000 -0.0003959 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 729852.540000 USD 690000.000000 EUR 2022-08-16 -4697.370000 N N N N/A N/A 000000000 1.000000 NC -18437.620000 -0.0015539 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 740439.940000 USD 687000.000000 EUR 2022-08-16 -18437.620000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI24ZDF2 94800000.000000 PA 317774.620000 0.0267820 Long DBT NUSS AR N 2 2022-09-30 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 69201.540000 0.0058323 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 53512928.800000 DKK 7622490.000000 USD 2022-08-01 69201.540000 N N N N/A N/A 000000000 1.000000 NC 48929.490000 0.0041238 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 32610302.760000 DKK 4651836.290000 USD 2022-08-01 48929.490000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1T4 1198000.000000 PA USD 254575.000000 0.0214555 Long DBT NUSS AR N 2 2030-07-09 Variable 0.5 N N N N N N N/A N/A 000000000 1.000000 NC 638919.820000 0.0538480 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 13569000.000000 GBP 17156467.200000 USD 2022-07-05 638919.820000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1M9 818000.000000 PA USD 173906.800000 0.0146568 Long DBT NUSS AR N 2 2035-07-09 Variable 1.125 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0QD081 3616000.000000 PA 4716.640000 0.0003975 Long DBT NUSS AR N 2 2026-10-17 Fixed 15.5 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HX1 287858.000000 PA USD 67862.520000 0.0057194 Long DBT NUSS AR N 2 2029-07-09 Fixed 1 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HS2 1084405.000000 PA USD 239653.510000 0.0201979 Long DBT NUSS AR N 2 2030-07-09 Variable 0.5 N N N N N N N/A N/A 000000000 1.000000 NC -26526.400000 -0.0022356 N/A DFE GB N 2 BNP Paribas S.A. N/A 1018626.120000 USD 815000.000000 GBP 2022-07-05 -26526.400000 N N N N/A N/A 000000000 1.000000 NC 2913.040000 0.0002455 N/A DFE GB N 2 BNP Paribas S.A. N/A 10908966.590000 USD 8964000.000000 GBP 2022-07-05 2913.040000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HT0 2536334.000000 PA USD 536434.640000 0.0452106 Long DBT NUSS AR N 2 2035-07-09 Variable 1.125 N N N N N N N/A N/A 000000000 1.000000 NC -16064.150000 -0.0013539 N/A DFE ZA N 2 BNP Paribas S.A. N/A 791481.000000 USD 12669790.400000 ZAR 2022-08-16 -16064.150000 N N N N/A N/A 000000000 1.000000 NC -14938.760000 -0.0012590 N/A DFE ZA N 2 BNP Paribas S.A. N/A 829310.000000 USD 13306278.950000 ZAR 2022-08-16 -14938.760000 N N N N/A N/A 000000000 1.000000 NC -20405.040000 -0.0017197 N/A DFE ZA N 2 BNP Paribas S.A. N/A 838062.000000 USD 13359965.370000 ZAR 2022-08-16 -20405.040000 N N N N/A N/A 000000000 1.000000 NC -4638.910000 -0.0003910 N/A DFE ZA N 2 BNP Paribas S.A. N/A 140339.000000 USD 2235880.950000 ZAR 2022-11-08 -4638.910000 N N N N/A N/A 000000000 1.000000 NC -22705.550000 -0.0019136 N/A DFE ZA N 2 BNP Paribas S.A. N/A 790141.000000 USD 12539379.640000 ZAR 2022-08-16 -22705.550000 N N N N/A N/A 000000000 1.000000 NC -3140.520000 -0.0002647 N/A DFE ZA N 2 BNP Paribas S.A. N/A 152691.000000 USD 2464088.830000 ZAR 2022-11-08 -3140.520000 N N N N/A N/A 000000000 1.000000 NC 132888.320000 0.0111998 N/A DFE CA N 2 BNP Paribas S.A. N/A 10202000.000000 CAD 8058618.590000 USD 2022-07-05 132888.320000 N N N N/A N/A 000000000 1.000000 NC 9149.740000 0.0007711 N/A DFE CA N 2 BNP Paribas S.A. N/A 535000.000000 CAD 424780.570000 USD 2022-07-05 9149.740000 N N N N/A N/A 000000000 1.000000 NC -63079.400000 -0.0053163 N/A DFE CA N 2 BNP Paribas S.A. N/A 9335000.000000 CAD 7189095.860000 USD 2022-07-05 -63079.400000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HV5 8905000.000000 PA USD 2315300.000000 0.1951330 Long DBT NUSS AR N 2 2041-07-09 Variable 2.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -93707.310000 -0.0078976 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2026-06-23 0.000000 USD -14300.920000 USD 2000000.000000 USD -79406.390000 N N N N/A N/A 000000000 1.000000 NC USD -124369.590000 -0.0104818 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2026-12-22 0.000000 USD -9056.810000 USD 2200000.000000 USD -115312.780000 N N N N/A N/A 000000000 1.000000 NC USD -441681.270000 -0.0372248 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.34 Y Single Leg Swap 2025-12-21 0.000000 USD -120780.000000 USD 3300000.000000 USD -320901.270000 N N N N/A N/A 000000000 1.000000 NC USD -11781.530000 -0.0009929 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.35 Y Single Leg Swap 2026-06-21 0.000000 USD -3700.000000 USD 100000.000000 USD -8081.530000 N N N N/A N/A 000000000 1.000000 NC USD -1325061.870000 -0.1116759 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.36 Y Single Leg Swap 2026-12-22 0.000000 USD -362800.000000 USD 10200000.000000 USD -962261.870000 N N N N/A N/A OP001PGL0 -2000000.000000 NC USD -30465.020000 -0.0025676 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 -6265.020000 N N N N/A N/A 000000000 1.000000 NC USD -236738.070000 -0.0199522 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.38 Y Single Leg Swap 2027-06-22 264623.540000 USD 0.000000 USD 8514000.000000 USD -501361.610000 N N N ARMADA EURO CLO III DAC 3A N/A ACI1WGZB0 6100000.000000 PA 6228065.710000 0.5249001 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 0.72 N N N N N N N/A N/A OP001NKT3 -7800000.000000 NC USD -12454.810000 -0.0010497 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 5095.190000 N N N N/A N/A OP001P4Y5 -6000000.000000 NC USD -8068.320000 -0.0006800 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 5611.680000 N N N N/A N/A OP001NG50 -2300000.000000 NC USD -1244.690000 -0.0001049 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 2492.810000 N N N N/A N/A OP001NKS5 -3100000.000000 NC USD -365.920000 -0.0000308 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 3044.080000 N N N N/A N/A 000000000 1.000000 NC USD -2051.240000 -0.0001729 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.38 Y Single Leg Swap 2027-06-22 2434990.840000 USD 0.000000 USD 178700000.000000 USD -2437042.080000 N N N N/A N/A 000000000 1.000000 NC 104441.190000 0.0088023 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6593600.000000 ILS 1994917.100000 USD 2022-08-01 104441.190000 N N N N/A N/A 000000000 1.000000 NC 262604.420000 0.0221322 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8304980.000000 ILS 2661170.210000 USD 2022-11-02 262604.420000 N N N N/A N/A 000000000 1.000000 NC 117711.190000 0.0099207 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3702220.000000 ILS 1186951.360000 USD 2022-11-02 117711.190000 N N N N/A N/A 000000000 1.000000 NC 285170.350000 0.0240341 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9401880.000000 ILS 3007639.160000 USD 2022-12-07 285170.350000 N N N N/A N/A 000000000 1.000000 NC 175861.640000 0.0148216 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5800000.000000 ILS 1855346.920000 USD 2022-12-07 175861.640000 N N N N/A N/A 000000000 1.000000 NC 421993.080000 0.0355655 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12202440.000000 ILS 3955410.050000 USD 2022-12-07 421993.080000 N N N N/A N/A 000000000 1.000000 NC 251946.060000 0.0212340 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7101420.000000 ILS 2308278.890000 USD 2022-12-07 251946.060000 N N N N/A N/A 000000000 1.000000 NC 196102.750000 0.0165275 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6702010.000000 ILS 2136779.850000 USD 2022-12-07 196102.750000 N N N N/A N/A 000000000 1.000000 NC 73607.650000 0.0062036 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2699190.000000 ILS 855202.460000 USD 2022-12-07 73607.650000 N N N N/A N/A 000000000 1.000000 NC 39361.170000 0.0033174 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1417220.000000 ILS 449525.800000 USD 2022-11-30 39361.170000 N N N N/A N/A 000000000 1.000000 NC 142786.760000 0.0120340 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5061250.000000 ILS 1607588.100000 USD 2022-11-30 142786.760000 N N N N/A N/A 000000000 1.000000 NC 23759.130000 0.0020024 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 899820.000000 ILS 284316.790000 USD 2022-12-07 23759.130000 N N N N/A N/A 000000000 1.000000 NC 268326.180000 0.0226145 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10197960.000000 ILS 3227508.940000 USD 2023-01-04 268326.180000 N N N N/A N/A 000000000 1.000000 NC 197878.700000 0.0166772 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7399260.000000 ILS 2344951.510000 USD 2023-01-04 197878.700000 N N N ASSET BACKED FUNDING CERT 2004-FF1 N/A 04542BHM7 1723255.560000 PA USD 1656225.400000 0.1395863 Long ABS-MBS CORP US N 2 2034-03-25 Floating 2.67357 Y N N N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAD1 2674683.260000 PA USD 1657008.540000 0.1396523 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.84357 N N N N N N ASSET BACKED SEC CORP HM EQ 2005-HE6 N/A 04541GTN2 127815.690000 PA USD 127551.690000 0.0107500 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.58357 N N N N N N N/A N/A 000000000 1.000000 NC -2027.960000 -0.0001709 N/A DFE ZA N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 40896.000000 USD 642549.770000 ZAR 2022-12-12 -2027.960000 N N N N/A N/A 000000000 1.000000 NC 134732.840000 0.0113553 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 19537086.370000 DKK 2887385.000000 USD 2022-07-01 134732.840000 N N N N/A N/A 000000000 1.000000 NC 48633.960000 0.0040989 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 5969877.350000 DKK 889752.000000 USD 2022-07-01 48633.960000 N N N N/A N/A 000000000 1.000000 NC 1214473.010000 0.1023555 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 111386000.000000 EUR 118275535.980000 USD 2022-08-16 1214473.010000 N N N N/A N/A 000000000 1.000000 NC 20999.710000 0.0017699 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 800000.000000 ILS 252652.850000 USD 2022-12-07 20999.710000 N N N ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2006-HE2 N/A 04541GWF5 11443000.000000 PA USD 9565013.750000 0.8061374 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.20357 N N N N N N N/A N/A 000000000 1.000000 NC USD -6293674.560000 -0.5304296 N/A DE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2022-09-14 0.000000 USD 0.000000 USD 154662468.570000 USD -6293674.560000 N N N N/A N/A 000000000 1.000000 NC USD -7947325.480000 -0.6697989 N/A DE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2022-09-01 0.000000 USD 0.000000 USD 195262414.230000 USD -7947325.480000 N N N N/A N/A 000000000 1.000000 NC USD -630807.220000 -0.0531643 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2022-09-21 0.000000 USD 0.000000 USD 5148842.130000 USD -630807.220000 N N N N/A N/A 000000000 1.000000 NC USD -4703139.240000 -0.3963796 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2022-08-24 0.000000 USD 0.000000 USD 38475734.040000 USD -4703139.240000 N N N N/A N/A 000000000 1.000000 NC USD -17570219.030000 -1.4808144 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2022-11-16 0.000000 USD 0.000000 USD 143625959.550000 USD -17570219.030000 N N N N/A N/A 000000000 1.000000 NC USD -8291525.620000 -0.6988080 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-07-05 0.000000 USD 0.000000 USD 67232870.580000 USD -8291525.620000 N N N N/A N/A 000000000 1.000000 NC USD -10388675.270000 -0.8755554 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-04-19 0.000000 USD 0.000000 USD 84882037.860000 USD -10388675.270000 N N N N/A N/A 000000000 1.000000 NC USD -5199844.160000 -0.4382418 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-04-05 0.000000 USD 0.000000 USD 53451562.800000 USD -5199844.160000 N N N N/A N/A 000000000 1.000000 NC USD -38342173.860000 -3.2314704 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-01-11 0.000000 USD 0.000000 USD 294569802.000000 USD -38342173.860000 N N N N/A N/A 000000000 1.000000 NC USD -34510475.870000 -2.9085357 N/A DE US N 2 HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2022-11-16 0.000000 USD 0.000000 USD 284784242.160000 USD -34510475.870000 N N N N/A N/A 000000000 1.000000 NC USD -53415.310000 -0.0045018 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-21 21628.200000 USD 0.000000 USD 1900000.000000 USD -75043.510000 N N N N/A N/A 000000000 1.000000 NC USD 491838.250000 0.0414520 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SRUNSEC Y Single Leg Swap 2026-12-22 1034882.440000 USD 0.000000 USD 5200000.000000 USD -543044.190000 N N N N/A N/A 000000000 -82.000000 NC 368984.540000 0.0310979 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-09-08 -12784948.080000 EUR 368984.540000 N N N N/A N/A 000000000 -15.000000 NC 111046.650000 0.0093590 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-09-08 -2571040.530000 EUR 111046.650000 N N N N/A N/A 000000000 1.000000 NC -37274.690000 -0.0031415 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5581551.150000 USD 29015693.660000 BRL 2022-07-05 -37274.690000 N N N N/A N/A 000000000 1.000000 NC 295888.920000 0.0249375 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 29015693.660000 BRL 5840165.380000 USD 2022-07-05 295888.920000 N N N N/A N/A 000000000 1.000000 NC 40840.900000 0.0034421 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 29015693.660000 BRL 5537610.320000 USD 2022-08-02 40840.900000 N N N N/A N/A 000000000 1.000000 NC 11.640000 0.0000010 N/A DFE HK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2810466.250000 HKD 358894.000000 USD 2022-09-09 11.640000 N N N N/A N/A 000000000 1.000000 NC 3744.520000 0.0003156 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2235880.950000 ZAR 139444.610000 USD 2022-11-08 3744.520000 N N N N/A N/A 000000000 1.000000 NC -146907.680000 -0.0123813 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7684974.800000 USD 9703000.000000 CAD 2022-07-05 -146907.680000 N N N 2022-08-12 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX