NPORT-P false 0000810893 XXXXXXXX S000009687 C000026559 C000064140 C000026560 C000026562 C000200443 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO StocksPLUS International Fund (U.S. Dollar-Hedged) S000009687 549300VONR8FK9YHCU32 2023-03-31 2022-06-30 N 3242436798.040000 1401987830.330000 1840448967.710000 0.000000 0.000000 114438841.840000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 30345251.810000 ILS DKK EUR USD CAD GBP N N/A N/A 000000000 1.000000 NC -2541116.780000 -0.1380705 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 660062961.300000 USD 627436275.000000 EUR 2022-07-05 -2541116.780000 N N N N/A N/A 000000000 1.000000 NC -352804.800000 -0.0191695 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 220404878.000000 AUD 151812675.920000 USD 2022-08-02 -352804.800000 N N N N/A N/A 000000000 1.000000 NC -421.750000 -0.0000229 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 651524.010000 CNY 97083.000000 USD 2023-05-10 -421.750000 N N N N/A N/A 000000000 1.000000 NC -281.940000 -0.0000153 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 646943.250000 CNY 96343.000000 USD 2022-08-10 -281.940000 N N N N/A N/A 000000000 1.000000 NC 169973.480000 0.0092354 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 20330000.000000 DKK 3034342.170000 USD 2022-07-01 169973.480000 N N N N/A N/A 000000000 1.000000 NC 1533114.040000 0.0833011 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 50355188.000000 EUR 54302833.320000 USD 2022-07-05 1533114.040000 N N N N/A N/A 000000000 1.000000 NC 2532987.680000 0.1376288 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 627436275.000000 EUR 661263246.890000 USD 2022-08-02 2532987.680000 N N N N/A N/A 000000000 1.000000 NC -115166.810000 -0.0062575 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3288123431.000000 JPY 24159596.000000 USD 2022-08-02 -115166.810000 N N N N/A N/A 000000000 1.000000 NC 35230.870000 0.0019143 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 6555000.000000 NOK 700733.370000 USD 2022-07-05 35230.870000 N N N N/A N/A 000000000 1.000000 NC 51368.490000 0.0027911 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 10995000.000000 SEK 1126174.810000 USD 2022-07-05 51368.490000 N N N AURIUM CLO IV DAC #N/A FIELD NOT APPLICABLE-4A N/A ACI21GDS9 9100000.000000 PA 9369358.830000 0.5090801 Long ABS-CBDO CORP IE N 2 2031-01-16 Floating 0.73 N N N N N N N/A N/A OP001R5Z7 -900000.000000 NC -10084.780000 -0.0005480 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 XOV37 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 7.000000 EUR 2022-08-17 XXXX -1845.720000 N N N N/A N/A OP001R3R7 -2000000.000000 NC -22410.620000 -0.0012177 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV37 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 7.000000 EUR 2022-08-17 XXXX -4660.720000 N N N N/A N/A 000000000 1.000000 NC -780240.100000 -0.0423940 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE CROSSOVER SERIES 37 Y Single Leg Swap 2027-06-22 1619956.580000 EUR 0.000000 EUR 25200000.000000 EUR -2400196.680000 N N N N/A N/A 000000000 1.000000 NC 8368.540000 0.0004547 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 34 Y Single Leg Swap 2025-12-21 128242.910000 EUR 0.000000 EUR 4300000.000000 EUR -119874.370000 N N N N/A N/A OP001JRT5 -7400000.000000 NC -28280.930000 -0.0015366 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.100000 EUR 2022-07-20 XXXX -199.550000 N N N N/A N/A OP001JTX4 -3400000.000000 NC -7383.060000 -0.0004012 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 8322.920000 N N N N/A N/A OP001JTY2 -3000000.000000 NC -6514.470000 -0.0003540 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 7097.740000 N N N N/A N/A OP001R6R4 -9400000.000000 NC -30793.780000 -0.0016732 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 -4070.660000 N N N N/A N/A 000000000 1.000000 NC -143056.050000 -0.0077729 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 37 Y Single Leg Swap 2027-06-22 98178.560000 EUR 0.000000 EUR 16000000.000000 EUR -241234.610000 N N N N/A N/A 000000000 1.000000 NC 163293.400000 0.0088725 N/A DFE NZ N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5417333.000000 NZD 3546688.370000 USD 2022-07-05 163293.400000 N N N N/A N/A 000000000 1.000000 NC 225850.010000 0.0122715 N/A DFE SG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 29502008.230000 SGD 21462312.000000 USD 2022-08-10 225850.010000 N N N N/A N/A 000000000 1.000000 NC -161.400000 -0.0000088 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 223743.040000 CNY 33256.000000 USD 2022-08-10 -161.400000 N N N N/A N/A 000000000 1.000000 NC -18.280000 -0.0000010 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 50000.000000 CNY 7449.530000 USD 2022-08-10 -18.280000 N N N N/A N/A 000000000 1.000000 NC 766.810000 0.0000417 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 82618198.000000 KRW 64903.450000 USD 2022-08-10 766.810000 N N N N/A N/A 000000000 1.000000 NC -60868.880000 -0.0033073 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3359894.600000 USD 23415000.000000 DKK 2022-07-01 -60868.880000 N N N N/A N/A 000000000 1.000000 NC -107042.230000 -0.0058161 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 12343421.000000 USD 86848310.160000 DKK 2022-07-01 -107042.230000 N N N N/A N/A 000000000 1.000000 NC 200908.330000 0.0109163 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 57998389.000000 USD 7896480662.000000 JPY 2022-07-05 200908.330000 N N N N/A N/A 000000000 1.000000 NC 1743013.390000 0.0947059 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 229715105.910000 DKK 34108422.000000 USD 2022-07-01 1743013.390000 N N N N/A N/A 000000000 1.000000 NC 973432.020000 0.0528910 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 135484769.810000 DKK 20062381.000000 USD 2022-07-01 973432.020000 N N N N/A N/A 000000000 1.000000 NC 146853.820000 0.0079792 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 16580000.000000 DKK 2482871.180000 USD 2022-07-01 146853.820000 N N N N/A N/A 000000000 1.000000 NC 109708.930000 0.0059610 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 86672416.410000 DKK 12343421.000000 USD 2022-08-01 109708.930000 N N N N/A N/A 000000000 1.000000 NC -203426.640000 -0.0110531 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 7883692017.000000 JPY 57998389.000000 USD 2022-08-02 -203426.640000 N N N N/A N/A 000000000 1.000000 NC 939.070000 0.0000510 N/A DFE KR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 106933860.000000 KRW 83952.000000 USD 2022-08-10 939.070000 N N N N/A N/A 000000000 1.000000 NC USD -82073359.090000 -4.4594205 N/A DE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2022-11-09 0.000000 USD 0.000000 USD 467169924.200000 USD -82073359.090000 N N N N/A N/A 000000000 1.000000 NC USD -49435626.570000 -2.6860634 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2022-11-09 0.000000 USD 0.000000 USD 306579450.270000 USD -49435626.570000 N N N N/A N/A 000000000 1.000000 NC USD -14419102.210000 -0.7834557 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2022-07-20 0.000000 USD 0.000000 USD 153326784.300000 USD -14419102.210000 N N N N/A N/A 000000000 1.000000 NC USD -17109832.820000 -0.9296554 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2023-05-24 0.000000 USD 0.000000 USD 197453855.080000 USD -17109832.820000 N N N N/A N/A 000000000 1.000000 NC USD -15305617.010000 -0.8316241 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2023-05-24 0.000000 USD 0.000000 USD 176632531.930000 USD -15305617.010000 N N N N/A N/A 000000000 1.000000 NC USD -79199867.980000 -4.3032906 N/A DE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2022-11-16 0.000000 USD 0.000000 USD 379573400.520000 USD -79199867.980000 N N N N/A N/A 000000000 1.000000 NC USD -8756564.460000 -0.4757841 N/A DE US N 2 HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2022-11-16 0.000000 USD 0.000000 USD 93518899.680000 USD -8756564.460000 N N N N/A N/A 000000000 1.000000 NC USD -1381927.380000 -0.0750864 N/A DE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2022-07-13 0.000000 USD 0.000000 USD 14757523.890000 USD -1381927.380000 N N N N/A N/A 000000000 1.000000 NC USD -3570259.290000 -0.1939885 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2023-05-24 0.000000 USD 0.000000 USD 38159422.620000 USD -3570259.290000 N N N N/A N/A 000000000 1.000000 NC USD -9144770.350000 -0.4968771 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2023-04-26 0.000000 USD 0.000000 USD 97748980.500000 USD -9144770.350000 N N N N/A N/A 000000000 1.000000 NC USD -8299522.420000 -0.4509510 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2023-05-10 0.000000 USD 0.000000 USD 88729356.560000 USD -8299522.420000 N N N N/A N/A 000000000 799.000000 NC USD -589257.780000 -0.0320171 N/A DE US N 1 New York Futures Exchange N/A Long MSCI EAFE INDEX N/A N/A 2022-09-16 74171170.000000 USD -589257.780000 N N N N/A N/A 000000000 1.000000 NC 285441.510000 0.0155093 N/A DFE CA N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 14878000.000000 CAD 11843862.890000 USD 2022-07-05 285441.510000 N N N N/A N/A 000000000 1.000000 NC -142229.980000 -0.0077280 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ROLLS-ROYCE PLC ROLLS-ROYCE PLC Y Single Leg Swap 2024-06-21 74978.150000 EUR 0.000000 EUR 6600000.000000 EUR -217208.130000 N N N N/A N/A 000000000 1.000000 NC 84305.900000 0.0045807 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 7574916.650000 USD 155863000.000000 MXN 2022-09-08 84305.900000 N N N N/A N/A 000000000 1.000000 NC 127767.270000 0.0069422 N/A DFE ZA N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 53831291.900000 ZAR 3422351.450000 USD 2022-08-16 127767.270000 N N N N/A N/A 000000000 1.000000 NC 85484.480000 0.0046448 N/A DFE GB N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 346468545.390000 USD 284690670.000000 GBP 2022-07-05 85484.480000 N N N N/A N/A 000000000 1.000000 NC 17125664.430000 0.9305156 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 637637373.000000 EUR 685337749.600000 USD 2022-07-05 17125664.430000 N N N N/A N/A 000000000 1.000000 NC -91170.120000 -0.0049537 N/A DFE GB N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 284690670.000000 GBP 346629680.310000 USD 2022-08-02 -91170.120000 N N N N/A N/A 000000000 1.000000 NC 334404.430000 0.0181697 N/A DFE SE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 81432762.830000 SEK 8294790.840000 USD 2022-07-05 334404.430000 N N N N/A N/A 000000000 1.000000 NC -69983.490000 -0.0038025 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1731415.760000 USD 2407000.000000 AUD 2022-07-05 -69983.490000 N N N N/A N/A 000000000 1.000000 NC 8994.110000 0.0004887 N/A DFE CH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1943553.940000 USD 1864000.000000 CHF 2022-07-05 8994.110000 N N N N/A N/A 000000000 1.000000 NC 152845.590000 0.0083048 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 45082804.000000 USD 6137572936.000000 JPY 2022-07-05 152845.590000 N N N N/A N/A 000000000 1.000000 NC -44563.650000 -0.0024213 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 14335000.000000 CAD 11092011.860000 USD 2022-07-05 -44563.650000 N N N N/A N/A 000000000 1.000000 NC -46917.630000 -0.0025492 N/A DFE CH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 20777284.290000 CHF 21717377.440000 USD 2022-07-05 -46917.630000 N N N N/A N/A 000000000 1.000000 NC -122257.930000 -0.0066428 N/A DFE CH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 51362592.810000 CHF 53773022.310000 USD 2022-08-02 -122257.930000 N N N N/A N/A 000000000 1.000000 NC 16.620000 0.0000009 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 740393.950000 CNY 110599.000000 USD 2022-08-10 16.620000 N N N N/A N/A 000000000 1.000000 NC -104.230000 -0.0000057 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 407209.430000 CNY 60715.000000 USD 2022-08-10 -104.230000 N N N N/A N/A 000000000 1.000000 NC -274340.980000 -0.0149062 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 54309286.000000 EUR 56743672.590000 USD 2022-08-02 -274340.980000 N N N N/A N/A 000000000 1.000000 NC 301359.640000 0.0163742 N/A DFE IL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 29542507.240000 ILS 8762942.260000 USD 2022-07-15 301359.640000 N N N N/A N/A 000000000 1.000000 NC -154731.000000 -0.0084072 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 6127623161.000000 JPY 45082804.000000 USD 2022-08-02 -154731.000000 N N N N/A N/A 000000000 1.000000 NC 1124199.040000 0.0610829 N/A DFE SE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 245662310.500000 SEK 25138697.000000 USD 2022-07-05 1124199.040000 N N N N/A N/A 000000000 1.000000 NC -56288.740000 -0.0030584 N/A DFE SE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 64477092.440000 SEK 6252546.630000 USD 2022-08-02 -56288.740000 N N N N/A N/A 000000000 1.000000 NC 524035.130000 0.0284732 N/A DCR NL N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 STELLANTIS NV FIAT CHRYSLER AUTOMOBILE SR UNSEC Y Single Leg Swap 2026-12-22 968256.050000 EUR 0.000000 EUR 4200000.000000 EUR -444220.920000 N N N N/A N/A 000000000 160000000.000000 NC USD 3886336.000000 0.2111624 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 2350336.000000 N N N N/A N/A 000000000 -320100000.000000 NC USD -4365267.720000 -0.2371849 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 -2829012.450000 N N N N/A N/A 000000000 1.000000 NC -420385.380000 -0.0228415 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-09-15 30059.660000 GBP 0.000000 GBP 3200000.000000 GBP -450445.040000 N N N N/A N/A 000000000 1.000000 NC -727740.780000 -0.0395415 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 177193.140000 GBP 0.000000 GBP 6300000.000000 GBP -904933.920000 N N N N/A N/A 000000000 1.000000 NC -276374.130000 -0.0150167 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 68501.200000 GBP 0.000000 GBP 2400000.000000 GBP -344875.330000 N N N N/A N/A 000000000 1.000000 NC -855060.780000 -0.0464594 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 224061.270000 GBP 0.000000 GBP 7500000.000000 GBP -1079122.050000 N N N N/A N/A 000000000 1.000000 NC 58819.350000 0.0031959 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2031-11-15 21945.980000 GBP 0.000000 GBP 1100000.000000 GBP 36873.370000 N N N N/A N/A 000000000 1.000000 NC -2060970.420000 -0.1119819 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 1732644.330000 CAD 0.000000 CAD 17250000.000000 CAD -3793614.750000 N N N BANC OF AMERICA FUNDING CORP 2006-H N/A 05950PAU7 203771.670000 PA USD 159612.660000 0.0086725 Long ABS-MBS CORP US N 2 2036-10-20 Floating 1.99229 N N N N N N N/A N/A 000000000 1.000000 NC -8090234.570000 -0.4395794 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 -3948188.570000 EUR 42000000.000000 EUR -4142046.000000 N N N N/A N/A 000000000 1.000000 NC 5443956.210000 0.2957950 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2052-09-23 1846026.180000 EUR 0.000000 EUR 15300000.000000 EUR 3597930.030000 N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 10737.440000 PA USD 10118.820000 0.0005498 Long ABS-MBS CORP US N 2 2047-01-20 Floating 3.4611 Y N N N N N N/A N/A 000000000 1.000000 NC USD -1110455.360000 -0.0603361 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-06-17 378237.460000 USD 0.000000 USD 3900000.000000 USD -1488692.820000 N N N N/A N/A 000000000 1.000000 NC USD 4369938.240000 0.2374387 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-20 0.000000 USD -4195118.000000 USD 99700000.000000 USD 8565056.240000 N N N N/A N/A 000000000 1.000000 NC USD 17852.450000 0.0009700 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-05-30 0.000000 USD -292391.860000 USD 4300000.000000 USD 310244.310000 N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 BF2PHRII3 1200000.000000 PA 1210983.350000 0.0657983 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 -3475680.520000 -0.1888496 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-06-15 0.000000 USD -1022088.810000 USD 30900000.000000 USD -2453591.710000 N N N N/A N/A 000000000 1.000000 NC -7216212.610000 -0.3920898 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 -3977319.450000 GBP 41000000.000000 GBP -3238893.160000 N N N N/A N/A 000000000 1.000000 NC 6811344.550000 0.3700915 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 3857398.890000 GBP 0.000000 GBP 17700000.000000 GBP 2953945.660000 N N N N/A N/A 000000000 1.000000 NC USD -3894809.990000 -0.2116228 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -828914.240000 USD 28800000.000000 USD -3065895.750000 N N N N/A N/A 000000000 1.000000 NC USD -640681.610000 -0.0348112 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-12-15 46518.490000 USD 0.000000 USD 7500000.000000 USD -687200.100000 N N N N/A N/A 000000000 1.000000 NC USD -629274.690000 -0.0341914 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-12-15 128780.610000 USD 0.000000 USD 6200000.000000 USD -758055.300000 N N N N/A N/A 000000000 1.000000 NC 62925.140000 0.0034190 N/A DFE GB N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 17993456.290000 USD 14826000.000000 GBP 2022-08-02 62925.140000 N N N N/A N/A 000000000 1.000000 NC 12361191.610000 0.6716400 N/A DFE GB N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 284690670.000000 GBP 358915221.480000 USD 2022-07-05 12361191.610000 N N N N/A N/A 000000000 1.000000 NC 28333191.430000 1.5394717 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 55750767442.000000 JPY 439232126.000000 USD 2022-07-05 28333191.430000 N N N N/A N/A 000000000 1.000000 NC 851282.000000 0.0462540 N/A DFE SE N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 193598922.520000 SEK 19776370.350000 USD 2022-07-05 851282.000000 N N N N/A N/A 000000000 1.000000 NC 5440492.820000 0.2956068 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 226330878.000000 AUD 161665430.180000 USD 2022-07-05 5440492.820000 N N N N/A N/A 000000000 1.000000 NC -506.300000 -0.0000275 N/A DFE HK N 2 UBS AG BFM8T61CT2L1QCEMIK50 118064989.690000 HKD 15075797.140000 USD 2022-09-09 -506.300000 N N N N/A N/A 000000000 1.000000 NC 162068.540000 0.0088059 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 155134183.000000 MXN 7785476.490000 USD 2022-09-08 162068.540000 N N N N/A N/A 000000000 1.000000 NC 626968.440000 0.0340661 N/A DFE NO N 2 UBS AG BFM8T61CT2L1QCEMIK50 138547517.330000 NOK 14693134.650000 USD 2022-07-05 626968.440000 N N N N/A N/A 000000000 1.000000 NC 7890.460000 0.0004287 N/A DFE TR N 2 UBS AG BFM8T61CT2L1QCEMIK50 1420948.340000 TRY 84432.000000 USD 2022-10-24 7890.460000 N N N N/A N/A 000000000 1.000000 NC 5260.300000 0.0002858 N/A DFE TR N 2 UBS AG BFM8T61CT2L1QCEMIK50 947298.900000 TRY 56288.000000 USD 2022-10-24 5260.300000 N N N N/A N/A 000000000 1.000000 NC 7513.240000 0.0004082 N/A DFE TR N 2 UBS AG BFM8T61CT2L1QCEMIK50 1443823.620000 TRY 85287.000000 USD 2022-10-24 7513.240000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKN8 3900000.000000 PA USD 3850647.180000 0.2092233 Long DBT CORP US N 2 2026-04-02 Floating 2.85003 N N N N N N N/A N/A 000000000 4009.000000 NC USD -6706555.490000 -0.3643978 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-09-21 474408775.440000 USD -6706555.490000 N N N N/A N/A 000000000 -75.000000 NC USD 58331.850000 0.0031694 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-09-30 -15737402.400000 USD 58331.850000 N N N N/A N/A 000000000 -1752.000000 NC USD 853159.170000 0.0463560 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-09-30 -196436156.690000 USD 853159.170000 N N N N/A N/A 000000000 -1568.000000 NC USD 3662008.940000 0.1989737 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-09-21 -216555500.000000 USD 3662008.940000 N N N N/A N/A 000000000 50.000000 NC USD -138980.400000 -0.0075514 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-09-21 7658593.750000 USD -138980.400000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBA2 1000000.000000 PA USD 985000.000000 0.0535195 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 200000.000000 PA USD 153872.710000 0.0083606 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 ACI1CH093 1720000.000000 PA 2014193.720000 0.1094403 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 1300000.000000 PA USD 1288761.800000 0.0700243 Long DBT CORP GB N 2 2026-01-12 Fixed 4.375 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAE5 400000.000000 PA USD 391863.200000 0.0212917 Long DBT CORP GB N 2 2025-03-16 Fixed 3.65 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBC8 6500000.000000 PA USD 6498535.880000 0.3530951 Long DBT CORP GB N 2 2024-05-16 Floating 2.79129 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBH7 900000.000000 PA USD 886135.270000 0.0481478 Long DBT CORP GB N 2 2025-05-07 Floating 3.932 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 1400000.000000 PA USD 1377268.170000 0.0748333 Long DBT CORP GB N 2 2029-05-16 Floating 4.972 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBK0 400000.000000 PA USD 377933.900000 0.0205349 Long DBT CORP GB N 2 2030-06-20 Floating 5.088 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAZ8 291000.000000 PA USD 283159.420000 0.0153853 Long DBT CORP US N 2 2024-08-15 Fixed 3.222 N N N N N N BAT INTERNATIONAL FINANCE PLC 21380041YBGOQDFAC823 05530QAK6 972000.000000 PA USD 954209.340000 0.0518466 Long DBT CORP GB N 2 2025-06-15 Fixed 3.95 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSY8 44998.030000 PA USD 43301.590000 0.0023528 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.75158 N N N N N N BEAR STEARNS ALT-A TRUST 2005-5 N/A 07386HUJ8 2110358.430000 PA USD 1595457.350000 0.0866885 Long ABS-MBS CORP US N 2 2035-07-25 Variable 2.92537 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-R1 N/A 073866BN4 382646.340000 PA USD 304622.000000 0.0165515 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.23515 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD4 N/A 07389NAA3 190407.440000 PA USD 183861.920000 0.0099901 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.06547 N N N N N N BEAR STEARNS ASSETBACKED SEC 2006-3 N/A 07388GAD3 2000366.790000 PA USD 1989835.260000 0.1081168 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.29857 N N N N N N BNPP AM EURO CLO 2019 BV 19-1A N/A ACI21M4V9 6000000.000000 PA 6103435.180000 0.3316275 Long ABS-CBDO CORP IE N 2 2032-07-22 Floating 0.82 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DA0 1300000.000000 PA USD 1209158.300000 0.0656991 Long DBT CORP US N 2 2026-02-01 Fixed 2.75 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 105756CB4 5058000.000000 PA USD 3442125.550000 0.1870264 Long DBT NUSS BR N 2 2050-01-14 Fixed 4.75 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBH3 1500000.000000 PA USD 1206654.620000 0.0655631 Long DBT CORP US N 2 2031-02-15 Fixed 2.45 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBJ9 800000.000000 PA USD 604664.250000 0.0328542 Long DBT CORP US N 2 2041-02-15 Fixed 3.5 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBG5 300000.000000 PA USD 222742.110000 0.0121026 Long DBT CORP US N 2 2051-02-15 Fixed 3.75 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBK6 2100000.000000 PA USD 1738841.220000 0.0944792 Long DBT CORP US N 2 2033-04-15 Fixed 3.419 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBL4 1900000.000000 PA USD 1548872.890000 0.0841573 Long DBT CORP US N 2 2034-04-15 Fixed 3.469 N N N N N N CAIXABANK SA (AKA: LA CAIXA) 7CUNS533WID6K7DGFI87 ACI2080P8 200000.000000 PA 144913.670000 0.0078738 Long DBT CORP ES N 2 2028-09-14 Floating 3.625 N N N N Y CAIXABANK SA (AKA: LA CAIXA) EUR XXXX N N N CALIFORNIA STATE PUBLIC WORKS BOARD N/A 130685C81 1265000.000000 PA USD 1590985.820000 0.0864455 Long DBT MUN US N 2 2035-03-01 Fixed 7.804 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -16100000.000000 PA -11565448.880000 -0.6284037 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 3500000.000000 PA 3558373.330000 0.1933427 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 3650000.000000 PA 3737116.800000 0.2030546 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 913494.450000 PA USD 910546.790000 0.0494742 Long ABS-O CORP US N 2 2024-07-15 Fixed 3.44 N N N N N N CCG RECEIVABLES TRUST 2022-1 N/A 12511JAA3 7000000.000000 PA USD 6984853.400000 0.3795190 Long ABS-O CORP US N 2 2023-06-14 Fixed 1.842 N N N N N N CHARTER COMMUNICATIONS (CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CO) N/A 1248EPCL5 500000.000000 PA USD 395085.000000 0.0214668 Long DBT CORP US N 2 2033-06-01 Fixed 4.5 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175CA0 2300000.000000 PA USD 1601114.180000 0.0869958 Long DBT CORP US N 2 2052-06-01 Fixed 3.9 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175AY0 1260000.000000 PA USD 1264633.520000 0.0687133 Long DBT CORP US N 2 2025-07-23 Fixed 4.908 N N N N N N CHENIERE CORPUS CHRISTI HOLDINGS LLC 549300I7CIEWU1BBLQ53 16412XAJ4 1200000.000000 PA USD 1098833.150000 0.0597046 Long DBT CORP US N 2 2029-11-15 Fixed 3.7 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAA0 1411037.740000 PA USD 1405209.030000 0.0763514 Long ABS-MBS CORP US N 2 2037-10-25 Floating 2.97357 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2012-GC8 N/A 17318UAK0 1232664.770000 PA USD 40.060000 0.0000022 Long ABS-MBS CORP US N 2 2045-09-10 Variable 1.47488 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-WFH2 N/A 17309MAF0 13796000.000000 PA USD 13461525.640000 0.7314262 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.04357 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 1875638.580000 PA USD 1708329.560000 0.0928213 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.3957 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-AR1 N/A 17310UAB8 3734619.480000 PA USD 3275876.000000 0.1779933 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.94357 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486D22 149000.000000 PA USD 159676.760000 0.0086760 Long DBT MUN US N 2 2042-01-01 Fixed 7.75 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J3 N/A 12667GDA8 1064725.030000 PA USD 816818.070000 0.0443815 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.17357 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4 N/A 02150QAA4 263889.970000 PA USD 224363.950000 0.0121907 Long ABS-MBS CORP US N 2 2037-06-25 Variable 3.04376 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9 N/A 02146YAC0 275966.010000 PA USD 212467.170000 0.0115443 Long ABS-MBS CORP US N 2 2046-07-20 Floating 1.82229 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1 N/A 126694A32 480664.520000 PA USD 379929.210000 0.0206433 Long ABS-MBS CORP US N 2 2046-03-20 Floating 2.03229 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-45 N/A 12667G6K4 175373.670000 PA USD 130624.360000 0.0070974 Long ABS-MBS CORP US N 2 2035-10-20 Floating 2.5259 N N N N N N COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3 N/A 23246LAA7 1295282.350000 PA USD 1247444.460000 0.0677794 Long ABS-MBS CORP US N 2 2047-11-25 Floating 1.80357 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-22 N/A 12666BAA3 3153912.280000 PA USD 2937780.350000 0.1596230 Long ABS-MBS CORP US N 2 2035-06-25 Floating 1.76357 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-BC5 N/A 12666SAA6 2189137.120000 PA USD 2148299.420000 0.1167269 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.90357 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-5 N/A 126670YE2 1079234.960000 PA USD 1071612.540000 0.0582256 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.02357 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-10 N/A 23246BAK7 2168360.820000 PA USD 2077981.370000 0.1129062 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.87357 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAD2 623222.190000 PA USD 640531.310000 0.0348030 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.84357 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAA8 2339656.380000 PA USD 2104274.780000 0.1143349 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.82357 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICAT 2007-3 N/A 12668UAG6 3767289.930000 PA USD 3570939.910000 0.1940255 Long ABS-MBS CORP US N 2 2047-05-25 Floating 1.83357 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-8 N/A 1266735Z1 4948000.000000 PA USD 4782357.780000 0.2598473 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.65857 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-13 N/A 126670HJ0 1221157.790000 PA USD 1219133.970000 0.0662411 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.28357 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 27318.660000 PA USD 25099.750000 0.0013638 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.26357 N N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A 12669GTQ4 45967.690000 PA USD 40432.920000 0.0021969 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.20357 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB1 N/A 81375WHJ8 6932513.410000 PA USD 5706900.500000 0.3100820 Long ABS-MBS CORP US N 2 2036-01-25 Variable 6.12 N N N N N N CREDIT SUISSE AG/ ZURICH BRANCH ANGGYXNX0JLX3X63JN86 22546DAA4 200000.000000 PA USD 200500.000000 0.0108941 Long DBT CORP CH N 2 2023-08-08 Fixed 6.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225436AA2 1300000.000000 PA USD 1187472.000000 0.0645208 Long DBT CORP CH N 2 2024-12-18 Floating 6.25 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 22546DAB2 3700000.000000 PA USD 3534032.800000 0.1920201 Long DBT CORP CH N 2 2023-12-11 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AJ7 2800000.000000 PA USD 2590000.000000 0.1407265 Long DBT CORP CH N 2 2023-07-17 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AL2 2500000.000000 PA USD 2071870.080000 0.1125742 Long DBT CORP CH N 2 2026-08-21 Floating 6.375 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 ACI07D348 800000.000000 PA USD 764115.200000 0.0415179 Long DBT CORP CH N 2 2023-12-11 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 ACI0S3RH2 200000.000000 PA USD 199886.000000 0.0108607 Long DBT CORP CH N 2 2022-07-29 Floating 7.125 N N N N Y CREDIT SUISSE GROUP AG CHF XXXX N N N CREDIT SUISSE MORTGAGE CAP CERT 2009-3R N/A 22943YUN7 874413.020000 PA USD 624394.640000 0.0339262 Long ABS-MBS CORP US N 2 2037-01-27 Floating 1.92357 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823QGC9 9500000.000000 PA USD 9493296.140000 0.5158141 Long DBT CORP US N 2 2022-07-12 None 0 N N N N N N CROWN POINT CLO 10 LTD N/A 22846FAE8 2150000.000000 PA USD 2028337.990000 0.1102089 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 2.76271 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR15 N/A 22541QCT7 12219.880000 PA USD 11669.440000 0.0006341 Long ABS-MBS CORP US N 2 2033-06-25 Floating 2.85741 N N N N N N CSMC 2021-RPL7 TRUST N/A 12598JAC5 4413981.260000 PA USD 4122740.160000 0.2240073 Long ABS-MBS CORP US N 2 2061-07-27 Fixed 1.92598 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650DJ6 2332000.000000 PA USD 2183606.680000 0.1186453 Long DBT CORP US N 2 2030-04-01 Fixed 3.75 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAH7 1500000.000000 PA USD 1421488.430000 0.0772360 Long DBT CORP US N 2 2024-02-15 Fixed 1.625 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAF1 1000000.000000 PA USD 931320.000000 0.0506029 Long DBT CORP US N 2 2025-03-20 Fixed 2.625 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAG9 1100000.000000 PA USD 969135.200000 0.0526575 Long DBT CORP US N 2 2028-03-20 Fixed 3.375 N N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2005-1 N/A 251510DG5 210531.610000 PA USD 202353.640000 0.0109948 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.12357 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI1J0CL3 300000.000000 PA 281920.350000 0.0153180 Long DBT CORP DE N 2 2027-01-20 Fixed 1.625 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI1QTHL7 100000.000000 PA 97494.690000 0.0052973 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 9036000.000000 PA USD 9026927.310000 0.4904742 Long DBT CORP DE N 2 2023-02-27 Floating 2.78286 N N N N N N DSLA MORTGAGE LOAN TRUST 2004-AR3 N/A 23332UBF0 11129.910000 PA USD 10379.850000 0.0005640 Long ABS-MBS CORP US N 2 2044-07-19 Floating 2.69947 N N N N N N DSLA MORTGAGE LOAN TRUST 2005-AR4 N/A 23332UEM2 118782.920000 PA USD 104838.130000 0.0056963 Long ABS-MBS CORP US N 2 2045-08-19 Floating 2.13229 N N N N N N ENTERPRISE FLEET FINANCING LLC 2022-2 N/A 29374JAA3 20200000.000000 PA USD 20223557.240000 1.0988383 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 1921000.000000 NS USD 1823986.910000 0.0991055 Long EP CORP US N 2 N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 2235000.000000 PA USD 2158282.440000 0.1172693 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N EUROPEAN LOAN CONDUIT 36A N/A ACI1G9KP9 3482885.250000 PA 3602477.530000 0.1957391 Long ABS-MBS CORP IE N 2 2030-02-17 Floating 1 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 48128BAG6 1555000.000000 NS USD 1317117.750000 0.0715650 Long EP CORP US N 2 N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 2100000.000000 PA 2038893.660000 0.1107824 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FANNIE MAE 1994-77 N/A 31359HA87 2735.430000 PA USD 2755.380000 0.0001497 Long ABS-MBS USGSE US N 2 2024-04-25 Floating 3.12357 N N N N N N FANNIE MAE 2004-11 N/A 31393T7H3 749.920000 PA USD 747.190000 0.0000406 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 1.74357 N N N N N N FANNIE MAE 2006-15 N/A 31395BVE0 34351.280000 PA USD 34175.290000 0.0018569 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 1.06688 N N N N N N FANNIE MAE-1993-202 N/A 31359FDB1 2340.690000 PA USD 2310.650000 0.0001255 Long ABS-MBS USGSE US N 2 2023-11-25 Floating 2.375 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 82745.820000 PA USD 81739.580000 0.0044413 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 3128NHK36 10467.630000 PA USD 10639.120000 0.0005781 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 1.618 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWE64 50299.070000 PA USD 50396.530000 0.0027383 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-61 N/A 31395A3J2 89641.390000 PA USD 93237.980000 0.0050660 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 1.8759 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-62 N/A 31395HHV5 20472.850000 PA USD 21050.220000 0.0011438 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 1.6759 N N N N N N FIRST FRANKLIN MTG LN ABS CERT 2004-FF7 N/A 32027NLA7 107283.280000 PA USD 106944.330000 0.0058108 Long ABS-MBS CORP US N 2 2034-09-25 Floating 2.49357 N N N N N N FIRST HORIZON ALT MTGE SEC 2005-AA1 N/A 32051GGD1 35244.280000 PA USD 23847.300000 0.0012957 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.80092 Y N N N N N FNMA PASS THRU POOLS N/A 31388JK53 251.030000 PA USD 249.980000 0.0000136 Long ABS-MBS USGSE US N 2 2031-09-01 Floating 2.644 N N N N N N FNMA PASS THRU POOLS N/A 31390NF56 6669.330000 PA USD 6661.060000 0.0003619 Long ABS-MBS USGSE US N 2 2032-07-01 Floating 3.903 N N N N N N FNMA PASS THRU POOLS N/A 31402C7G1 18254.420000 PA USD 18441.230000 0.0010020 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 1.996 N N N N N N FNMA PASS THRU POOLS N/A 31402RN62 8785.790000 PA USD 8709.240000 0.0004732 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 1.952 N N N N N N FNMA PASS THRU POOLS N/A 31406J3J0 10638.900000 PA USD 10581.830000 0.0005750 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 2.175 N N N N N N FNMA PASS THRU POOLS N/A 31406L3C0 15749.570000 PA USD 15658.950000 0.0008508 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 2.3 N N N N N N FNMA PASS THRU POOLS N/A 31407EYE7 91969.990000 PA USD 92054.980000 0.0050018 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 2.322 N N N N N N FNMA PASS THRU POOLS N/A 31407PL97 34698.860000 PA USD 34415.650000 0.0018700 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 1.908 N N N N N N FNMA PASS THRU POOLS N/A 31407UMR5 32329.270000 PA USD 33618.160000 0.0018266 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 2.525 N N N N N N FNMA PASS THRU POOLS N/A 31408GB71 36561.160000 PA USD 36234.340000 0.0019688 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 2.047 N N N N N N FNMA PASS THRU POOLS N/A 31410B4N1 14497.340000 PA USD 14511.390000 0.0007885 Long ABS-MBS USGSE US N 2 2036-08-01 Floating 2.56 N N N N N N FNMA PASS THRU POOLS N/A 31414AGW6 1959.510000 PA USD 2037.740000 0.0001107 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31419FVG8 71899.800000 PA USD 73150.840000 0.0039746 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 4 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 8306124.040000 PA USD 81217280.910000 4.4129059 Long STIV RF US N 1 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 1880620.130000 PA USD 18249537.780000 0.9915808 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140JANZ7 1921624.020000 PA USD 1880014.790000 0.1021498 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZQ9 200000.000000 PA USD 199376.000000 0.0108330 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 1800000.000000 PA USD 1794078.000000 0.0974805 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 800000.000000 PA USD 795756.270000 0.0432371 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 200000.000000 PA USD 190307.540000 0.0103403 Long DBT CORP US N 2 2024-11-01 Fixed 4.063 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B28 500000.000000 PA USD 451810.000000 0.0245489 Long DBT CORP US N 2 2025-11-13 Fixed 3.375 N N N N N N FORT CRE 2022-FL3 N/A 34706CAA7 10800000.000000 PA USD 10664290.440000 0.5794396 Long ABS-CBDO CORP US N 2 2039-02-23 Floating 2.75331 N N N N N N FREDDIE MAC REMICS 4273 N/A 3137B66E6 893033.680000 PA USD 890202.500000 0.0483688 Long ABS-MBS USGSE US N 2 2043-11-15 Floating 1.724 N N N N N N FREMONT HOME LOAN TRUST 2005-E N/A 35729PNC0 275027.150000 PA USD 267081.640000 0.0145118 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.28357 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAA0 2190877.390000 PA USD 1991286.710000 0.1081957 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.75857 N N N N N N GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A N/A 36361UAQ3 3100000.000000 PA USD 2985365.100000 0.1622085 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 2.69429 N N N N N N GE-WMC MORTGAGE SECURITIES LLC 2006-1 N/A 36829JAA9 6145.160000 PA USD 3013.230000 0.0001637 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.70357 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XDC7 100000.000000 PA USD 98595.190000 0.0053571 Long DBT CORP US N 2 2023-11-17 Floating 2.2264 N N N N N N GLG EURO CLO III DAC A N/A ACI1VVSK6 1095569.840000 PA 1124824.860000 0.0611169 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 0.68 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2022-2A N/A 36265NAA1 4800000.000000 PA USD 4775769.600000 0.2594894 Long ABS-O CORP US N 2 2023-06-15 Fixed 1.723 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2022-2A N/A 36265NAB9 8900000.000000 PA USD 8857720.550000 0.4812804 Long ABS-O CORP US N 2 2026-01-15 Fixed 3.55 N N N N N N GNMA PASS THRU POOLS N/A 36202KP33 4927.880000 PA USD 4916.350000 0.0002671 Long ABS-MBS USGSE US N 2 2024-11-20 Floating 1.75 N N N N N N GNMA PASS THRU POOLS N/A 21H050672 9600000.000000 PA USD 9840000.000000 0.5346522 Long ABS-MBS USGSE US N 2 2052-07-21 Fixed 5 N N N N N N STICHTING AK RABOBANK CERTIFICATEN N/A BJBQCWII7 949200.000000 NS 968632.740000 0.0526302 Long EP CORP NL N 2 N N N GNMA PASS THRU POOLS N/A 36183XMV9 832940.360000 PA USD 830377.640000 0.0451182 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 36183XQ86 1033667.490000 PA USD 1030487.870000 0.0559911 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122NB76 795000.000000 PA USD 699416.280000 0.0380025 Long DBT MUN US N 2 2046-06-01 Fixed 3 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZS6 5500000.000000 PA USD 5456261.090000 0.2964636 Long DBT CORP US N 2 2028-03-15 Floating 3.22323 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H18 N/A 38375BUL4 645828.260000 PA USD 642759.800000 0.0349241 Long ABS-MBS USGSE US N 2 2062-08-20 Floating 1.32329 N N N N N N GREENPOINT MORTGAGE FUND TRUST 2006-OH1 N/A 39539GAA0 4968684.060000 PA USD 4392835.440000 0.2386828 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.80357 N N N N N N GRIFFITH PARK CLO DAC 1A N/A ACI21WN53 6850000.000000 PA 7027915.200000 0.3818587 Long ABS-CBDO CORP IE N 2 2031-11-21 Floating 0.72 N N N N N N GSAA HOME EQUITY TRUST 2005-10 N/A 362341JL4 3786201.980000 PA USD 3702209.630000 0.2011580 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.68857 Y N N N N N GSAMP TRUST 2005-HE3 N/A 362341BT5 6730000.000000 PA USD 6571830.190000 0.3570776 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.42357 N N N N N N GSAMP TRUST 2006-HE2 N/A 362334LJ1 5544142.350000 PA USD 5440988.590000 0.2956338 Long ABS-MBS CORP US N 2 2046-03-25 Floating 2.10357 N N N N N N GSAMP TRUST 2006-HE3 N/A 36244KAE5 12290000.000000 PA USD 11579386.060000 0.6291609 Long ABS-MBS CORP US N 2 2046-05-25 Floating 2.12357 N N N N N N GSAMP TRUST 2006-S1 N/A 3623413A5 45698.860000 PA USD 5865.480000 0.0003187 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.80357 N N N N N N GSMSC PASS-THROUGH TRUST 2009-4R N/A 36190GAE8 2903298.150000 PA USD 1813299.570000 0.0985248 Long ABS-MBS CORP US N 2 2036-12-26 Floating 1.45571 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 15173.390000 PA USD 14774.160000 0.0008027 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.93849 N N N N N N HALSEYPOINT CLO 2 LTD N/A 40638TAC6 1500000.000000 PA USD 1478708.550000 0.0803450 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 2.50271 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAD1 4997501.020000 PA USD 4720327.620000 0.2564770 Long ABS-MBS CORP US N 2 2036-12-19 Floating 1.85229 Y N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2007-4 N/A 41164YAB7 5583870.910000 PA USD 5132532.770000 0.2788740 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 2000000.000000 PA 2047342.400000 0.1112415 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.64 N N N N N N HOME EQUITY LOAN TRUST 2007-FRE1 N/A 43710XAE8 10740000.000000 PA USD 9551253.840000 0.5189633 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.96357 N N N N N N HOMEBANC MORTGAGE TRUST 2006-1 N/A 43739ECR6 303948.690000 PA USD 282507.150000 0.0153499 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.76315 Y N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BN8 500000.000000 PA USD 491000.000000 0.0266783 Long DBT CORP GB N 2 2023-03-23 Floating 6.25 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BP3 200000.000000 PA USD 181617.280000 0.0098681 Long DBT CORP GB N 2 2028-03-23 Floating 6.5 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AW9 1000000.000000 PA USD 991359.090000 0.0538651 Long DBT CORP GB N 2 2026-03-08 Fixed 4.3 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 600000.000000 PA USD 507495.950000 0.0275746 Long DBT CORP GB N 2 2031-06-04 Floating 2.848 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 1300000.000000 PA USD 1272069.010000 0.0691173 Long DBT CORP GB N 2 2026-09-12 Floating 4.292 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT4 N/A 40430KAH4 14748340.300000 PA USD 13376316.950000 0.7267964 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.08857 N N N N N N HSI ASSET SEC CORP TRUST 2006-WMC1 N/A 40430MAC1 3980346.250000 PA USD 1952511.880000 0.1060889 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.82357 N N N N N N HSI ASSET SECUR CORP TRUST 2007-OPT1 N/A 40431JAA1 9565687.090000 PA USD 8271405.620000 0.4494233 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.76357 N N N N N N HYATT HOTELS CORPORATION T27JQIMTYSH41TCD5186 448579AN2 3400000.000000 PA USD 3216482.420000 0.1747662 Long DBT CORP US N 2 2024-10-01 Fixed 1.8 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 452152GS4 3500000.000000 PA USD 3821756.400000 0.2076535 Long DBT MUN US N 2 2035-07-01 Fixed 7.35 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAA1 300000.000000 PA USD 290726.600000 0.0157965 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 400000.000000 PA USD 375398.800000 0.0203971 Long DBT CORP GB N 2 2026-07-26 Fixed 3.5 N N N N N N INDYMAC IMSC MORTGAGE LOAN TRUST 2007-AR2 N/A 45670EAA1 13064609.070000 PA USD 9074188.840000 0.4930421 Long ABS-MBS CORP US N 2 2047-03-25 Floating 1.77357 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR4 N/A 45661EAV6 463779.250000 PA USD 421248.700000 0.0228884 Long ABS-MBS CORP US N 2 2046-05-25 Floating 2.04357 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2007-AR7 N/A 45670CAA5 161981.720000 PA USD 70914.870000 0.0038531 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.92357 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR10 N/A 45660N2Y0 3141.280000 PA USD 2835.350000 0.0001541 Long ABS-MBS CORP US N 2 2034-05-25 Floating 2.40357 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR11 N/A 45660N6S9 6297.910000 PA USD 6186.580000 0.0003361 Long ABS-MBS CORP US N 2 2034-12-25 Floating 3.01555 N N N N N N INEOS FINANCE PLC 2138002D68XDR4LZCG32 ACI0YJHL2 3400000.000000 PA 3216785.430000 0.1747826 Long DBT CORP GB N 2 2025-11-15 Fixed 2.125 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AZ6 600000.000000 PA USD 410639.530000 0.0223119 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 INTERCONTINENTAL HOTELS GROUP PLC 2138007ZFQYRUSLU3J98 ACI168Q27 800000.000000 PA 773100.380000 0.0420061 Long DBT CORP GB N 2 2027-05-15 Fixed 2.125 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI0Y1P99 7600000.000000 PA 2193000.190000 0.1191557 Long DBT NUSS IL N 2 2022-11-30 Fixed 1.25 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI22SVD5 21000000.000000 PA 5982650.770000 0.3250647 Long DBT MUN IL N 2 2023-01-04 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI201R74 2200000.000000 PA 629840.110000 0.0342221 Long DBT MUN IL N 2 2022-08-03 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI20YST3 2100000.000000 PA 599768.100000 0.0325881 Long DBT MUN IL N 2 2022-10-07 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI21KLL6 14200000.000000 PA 4057404.200000 0.2204573 Long DBT MUN IL N 2 2022-11-02 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI229M05 27600000.000000 PA 7880691.120000 0.4281939 Long DBT MUN IL N 2 2022-12-07 None 0 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A 46651QAA5 1749751.730000 PA USD 1733335.910000 0.0941801 Long ABS-MBS CORP US N 2 2031-12-15 Floating 2.774 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP N/A 466317AG9 6200000.000000 PA USD 5836531.820000 0.3171254 Long ABS-MBS CORP US N 2 2037-04-15 Floating 2.38545 N N N N N N JFIN CLO LTD 2017-2A N/A 46593CAC3 3500000.000000 PA USD 3361747.200000 0.1826591 Long ABS-CBDO CORP KY N 2 2029-09-20 Floating 3.69586 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2008-R4 N/A 466309AA9 1958251.760000 PA USD 1169516.320000 0.0635452 Long ABS-MBS CORP US N 2 2036-12-27 Fixed 6 Y N N N N N JP MORGAN MORTGAGE ACQI CORP 2006-CW1 N/A 46628MAG1 1386806.050000 PA USD 1355150.950000 0.0736315 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.02857 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZY2 259225.810000 PA USD 149477.330000 0.0081218 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 6 Y N N N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 8304.900000 PA USD 7943.980000 0.0004316 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.49641 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-HE2 N/A 46625SAF3 5812000.000000 PA USD 5245796.700000 0.2850281 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.07357 Y N N N N N JP MORGAN MTGE ACQUIS CORP 2007-CH3 N/A 46630XAF5 232344.650000 PA USD 229064.320000 0.0124461 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.88357 N N N N N N JUBILEE CLO 2014-XI BV 14-11A N/A ACI1W2T93 900000.000000 PA 931679.350000 0.0506224 Long ABS-CBDO CORP IE N 2 2030-04-15 Floating 0.61 N N N N N N KKR CLO LTD 13 N/A 48250VAW7 3065000.000000 PA USD 3013642.860000 0.1637450 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 2500000.000000 PA USD 2460000.000000 0.1336630 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 4300000.000000 PA USD 4148568.490000 0.2254107 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 2.64429 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAL0 70000.000000 PA USD 67871.360000 0.0036878 Long DBT CORP US N 2 2035-07-15 Fixed 5 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAM8 194000.000000 PA USD 179952.700000 0.0097777 Long DBT CORP US N 2 2045-07-15 Fixed 5.2 N N N N N N KREF 2022-FL3 LTD N/A 48275EAA4 2600000.000000 PA USD 2522989.040000 0.1370855 Long ABS-CBDO CORP KY N 2 2039-02-17 Floating 2.95684 N N N N N N LCM LP 13A N/A 50184KBN7 3700000.000000 PA USD 3588380.620000 0.1949731 Long ABS-CBDO CORP KY N 2 2027-07-19 Floating 2.54429 N N N N N N LCM XXII LTD 22A N/A 50189GAG7 5550000.000000 PA USD 5353251.950000 0.2908666 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 2.51271 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-SL2 N/A 52476TAA0 2439652.910000 PA USD 2339496.380000 0.1271155 Long ABS-MBS CORP US N 2 2068-10-25 Fixed 1.875 N N N N N N LEHMAN XS TRUST 2006-14N N/A 52522CAE3 6322284.440000 PA USD 5836126.060000 0.3171034 Long ABS-MBS CORP US N 2 2046-09-25 Floating 2.02357 N N N N N N LEHMAN XS TRUST 2006-7 N/A 52522EAA7 2454478.040000 PA USD 2723673.660000 0.1479896 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.94357 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AU3 4200000.000000 PA USD 4104122.780000 0.2229957 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 LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI1GWB29 1900000.000000 PA 2133044.830000 0.1158981 Long DBT CORP GB N 2 2024-12-27 Floating 5.125 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AM1 1200000.000000 PA USD 1178574.410000 0.0640373 Long DBT CORP GB N 2 2025-12-10 Fixed 4.582 N N N N N N LOANCORE 2022-CRE7 ISSUER LTD N/A 53946PAA8 1000000.000000 PA USD 971980.300000 0.0528121 Long ABS-CBDO CORP KY N 2 2037-01-17 Floating 2.32924 N N N N N N LONDON WALL MORTGAGE CAPITAL PLC 17-FL1 N/A ACI0WP8J5 275233.050000 PA 334947.660000 0.0181992 Long ABS-MBS CORP GB N 2 2049-11-15 Floating 1.98 N N N N N N LONG BEACH MORTGAGE LOAD TR 2005-WL2 N/A 542514NC4 971.020000 PA USD 989.630000 0.0000538 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.35857 N N N N N N LONG BEACH MORTGAGE LOAD TR 2005-WL2 N/A 542514NE0 1800000.000000 PA USD 1606981.140000 0.0873146 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.53857 Y N N N N N LONG BEACH MORTGAGE LOAD TR 2005-WL3 N/A 542514PR9 154507.090000 PA USD 152140.040000 0.0082665 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.26857 N N N N N N LONG BEACH MORTGAGE LOAN TR 2005-3 N/A 542514NT7 814278.790000 PA USD 787748.530000 0.0428020 Long ABS-MBS CORP US N 2 2045-08-25 Floating 2.14357 N N N N N N LONG BEACH MORTGAGE LOAN TRUST 2006-11 N/A 542512AD0 9413951.110000 PA USD 3896635.820000 0.2117220 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.79357 N N N N N N LOS ANGELES COUNTY PUBLIC WORKS FINANCING AUTHORITY N/A 54473ENV2 1070000.000000 PA USD 1107382.380000 0.0601691 Long DBT MUN US N 2 2023-08-01 Fixed 6.466 N N N N N N M360 2021-CRE3 LLC N/A 55379AAC8 3100000.000000 PA USD 3057806.210000 0.1661446 Long ABS-CBDO CORP KY N 2 2038-11-22 Floating 3.87629 N N N N N N MADISON PARK EURO FUNDING X DAC 10A N/A ACI216KN4 2000000.000000 PA 2050644.590000 0.1114209 Long ABS-CBDO CORP IE N 2 2030-10-25 Floating 0.74 N N N N N N MAGALLANES INC 549300DXR29GD4N0A520 55903VAJ2 1000000.000000 PA USD 916698.470000 0.0498084 Long DBT CORP US N 2 2029-03-15 Fixed 4.054 N N N N N N MAGALLANES INC 549300DXR29GD4N0A520 55903VAL7 3600000.000000 PA USD 3220919.320000 0.1750073 Long DBT CORP US N 2 2032-03-15 Fixed 4.279 N N N N N N MAN GLG EURO 6A N/A ACI22ZH37 5500000.000000 PA 5432397.270000 0.2951670 Long ABS-CBDO CORP IE N 2 2032-10-15 Floating 1.7 N N N N N N MAN GLG EURO 6A N/A ACI22ZH11 2500000.000000 PA 2323085.080000 0.1262238 Long ABS-CBDO CORP IE N 2 2032-10-15 Fixed 1.97 N N N N N N AAMES MORTGAGE INVESTMENT TRUST 2004-1 N/A 00252FAK7 2413545.300000 PA USD 2352639.480000 0.1278297 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.64857 Y N N N N N AAMES MORTGAGE INVESTMENT TRUST 2005-2 N/A 126673L42 2316291.830000 PA USD 2285438.820000 0.1241783 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.61357 Y N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAA9 3017460.740000 PA USD 2511751.520000 0.1364749 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 3364403.060000 PA USD 2968033.990000 0.1612668 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-HE4 N/A 576449AB8 17691959.940000 PA USD 6672296.230000 0.3625363 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.84357 N N N N N N MASTR ASSET BACKED SECUR TR 2005-FRE1 N/A 57643LMA1 8995942.890000 PA USD 8559308.610000 0.4650663 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.37357 Y N N N N N MERRILL LYNCH ALTERNATIVE NOTE ASSET 2007-OAR3 N/A 59024JAA4 2630349.610000 PA USD 2301892.860000 0.1250724 Long ABS-MBS CORP US N 2 2047-07-25 Floating 1.81357 N N N N N N MERRILL LYNCH MORTGAGE INV 2006-MLN1 N/A 59023AAC0 13427497.540000 PA USD 6362529.750000 0.3457053 Long ABS-MBS CORP US N 2 2037-07-25 Floating 1.73357 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAC6 4912705.680000 PA USD 2745652.250000 0.1491838 Long ABS-MBS CORP US N 2 2037-08-25 Floating 1.84357 N N N N N N MF1 2022-FL8 LTD N/A 55284JAC3 7000000.000000 PA USD 6668267.900000 0.3623175 Long ABS-CBDO CORP KY N 2 2037-02-19 Floating 2.54224 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2019-GS2 N/A 59981TAC9 2293438.610000 PA USD 2229943.390000 0.1211630 Long ABS-MBS CORP US N 2 2059-08-25 Fixed 2.75 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-HE1 N/A 61744CKP0 837940.360000 PA USD 796189.400000 0.0432606 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.32857 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAE5 910946.150000 PA USD 428640.610000 0.0232900 Long ABS-MBS CORP US N 2 2036-09-25 Floating 1.78357 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAA0 719748.430000 PA USD 649635.290000 0.0352977 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.75357 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-WMC1 N/A 61744CXN1 3683627.000000 PA USD 3060989.420000 0.1663175 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.19357 Y N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC2 N/A 61753NAA8 3118627.610000 PA USD 2805005.630000 0.1524088 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.75357 N N N N N N ACE SECURITIES CORP 2007-ASP1 N/A 00442JAA2 3823964.530000 PA USD 1990478.700000 0.1081518 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.94357 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBQ2 1500000.000000 PA USD 1253568.920000 0.0681121 Long DBT CORP US N 2 2030-08-15 Fixed 2.65 N N N N N N ACE SECURITIES CORP 2007-HE2 N/A 00443PAD1 11277777.360000 PA USD 6770401.620000 0.3678668 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.86357 N N N N N N NASSAU LTD 2017-IA N/A 631707AL0 4441808.480000 PA USD 4421434.040000 0.2402367 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 2.19429 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780099CK1 1200000.000000 PA USD 1190376.000000 0.0646786 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 3800000.000000 PA USD 3723333.780000 0.2023057 Long DBT CORP GB N 2 2030-01-27 Floating 5.076 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BA8 1100000.000000 PA USD 1097748.970000 0.0596457 Long DBT CORP GB N 2 2026-04-05 Fixed 4.8 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 2600000.000000 PA USD 2522209.430000 0.1370432 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BL4 400000.000000 PA USD 376957.460000 0.0204818 Long DBT CORP GB N 2 2030-05-08 Floating 4.445 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 4400000.000000 PA USD 4405117.510000 0.2393502 Long DBT CORP GB N 2 2024-06-25 Floating 3.74729 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 3000000.000000 PA USD 2993809.020000 0.1626673 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 ACI1BLJV6 2400000.000000 PA 2275284.730000 0.1236266 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 4391325.760000 PA USD 4255919.230000 0.2312435 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 654740AZ2 4906000.000000 PA USD 4905269.200000 0.2665257 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 680000.000000 PA USD 676726.820000 0.0367697 Long DBT CORP US N 2 2022-09-28 Fixed 2.6 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AA9 1100000.000000 PA USD 1082115.070000 0.0587963 Long DBT CORP JP N 2 2023-09-15 Fixed 3.043 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AB7 2200000.000000 PA USD 2084832.270000 0.1132785 Long DBT CORP JP N 2 2025-09-17 Fixed 3.522 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 2800000.000000 PA USD 2572462.310000 0.1397736 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 800000.000000 PA USD 711472.220000 0.0386575 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAR0 2300000.000000 PA USD 2109232.200000 0.1146042 Long DBT CORP JP N 2 2025-07-16 Fixed 1.851 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAS8 1900000.000000 PA USD 1555876.350000 0.0845379 Long DBT CORP JP N 2 2030-07-16 Fixed 2.679 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-HE2 N/A 65536MAE7 5107000.000000 PA USD 4749261.800000 0.2580491 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.11857 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 23062678.000000 PA 2673952.050000 0.1452880 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N AEGIS ASSET BACKED SECURITIES TR 2005-4 N/A 00764MGG6 87282.250000 PA USD 87171.410000 0.0047364 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.29857 N N N N N N AEGIS ASSET BACKED SECURITIES TR 2005-4 N/A 00764MGH4 9230000.000000 PA USD 8860410.490000 0.4814266 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.32857 N N N N N N NOVASTAR HOME EQUITY LOAN 2005-1 N/A 66987XGJ8 1713158.430000 PA USD 1697814.870000 0.0922500 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.70357 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 109764328.580000 PA 12723138.710000 0.6913062 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAX3 1000000.000000 PA USD 801520.340000 0.0435503 Long DBT CORP IE N 2 2032-01-30 Fixed 3.3 N N N N N N ONE 2021-PARK MORTGAGE TRUST N/A 682413AA7 2800000.000000 PA USD 2694934.200000 0.1464281 Long ABS-MBS CORP US N 2 2036-03-15 Floating 2.024 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2006-1 N/A 68389FKR4 7578000.000000 PA USD 7092657.900000 0.3853765 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.16357 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAW5 1000000.000000 PA USD 843263.510000 0.0458184 Long DBT CORP IE N 2 2028-10-29 Fixed 3 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JW8 1000000.000000 PA USD 862732.860000 0.0468762 Long DBT CORP US N 2 2028-06-15 Fixed 3 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JM0 1400000.000000 PA USD 1245313.050000 0.0676635 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 2400000.000000 PA USD 2390372.520000 0.1298799 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 2400000.000000 PA USD 2314121.590000 0.1257368 Long DBT CORP US N 2 2023-11-15 Fixed 1.7 N N N N N N PAGAYA AI DEBT TRUST 2022-2 N/A 69546VAA5 3200000.000000 PA USD 3179746.240000 0.1727701 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 5998792.810000 PA 6209371.790000 0.3373835 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 0.78 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2021-2 DAC 21-2A N/A ACI216JK2 5157721.230000 PA 5299668.770000 0.2879552 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 0.73 N N N N N N PARK PLACE SEC INC 2004-WCW1 N/A 70069FAF4 5700000.000000 PA USD 5320750.500000 0.2891007 Long ABS-MBS CORP US N 2 2034-09-25 Floating 3.79857 N N N N N N PARK PLACE SECURITIES INC 2004-MHQ1 N/A 70069FCY1 1174213.970000 PA USD 1161334.130000 0.0631006 Long ABS-MBS CORP US N 2 2034-12-25 Floating 3.42357 N N N N N N PARK PLACE SECURITIES INC 2004-WCW2 N/A 70069FAZ0 1277671.290000 PA USD 1255535.380000 0.0682190 Long ABS-MBS CORP US N 2 2034-10-25 Floating 2.67357 N N N N N N PARK PLACE SECURITIES INC 2004-WHQ1 N/A 70069FBV8 3625390.270000 PA USD 3542629.500000 0.1924872 Long ABS-MBS CORP US N 2 2034-09-25 Floating 3.42357 N N N N N N PENNSYLVANIA ECONOMIC DEVELOPMENT FINANCING AUTHORITY N/A 70869PFT9 95000.000000 PA USD 111706.560000 0.0060695 Long DBT MUN US N 2 2039-06-15 Fixed 6.532 N N N N N N PERRIGO FINANCE UNLIMITED CO (AKA: PERRIGO FINANCE PLC) 549300E86RB6YCTMRM83 71429MAC9 1500000.000000 PA USD 1340671.470000 0.0728448 Long DBT CORP IE N 2 2030-06-15 Variable 4.15 N N N N N N AKER BP ASA 549300NFTY73920OYK69 00973RAG8 970000.000000 PA USD 918188.120000 0.0498894 Long DBT CORP NO N 2 2026-01-15 Fixed 2.875 N N N N N N PRET 2021-NPL5 LLC N/A 74143KAA6 3806463.740000 PA USD 3578691.420000 0.1944467 Long ABS-MBS CORP US N 2 2051-10-25 Fixed 2.487 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2 N/A 74143FAA7 1990147.830000 PA USD 1867236.300000 0.1014555 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 5368650.910000 PA USD 5048670.730000 0.2743173 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 4357626.080000 PA USD 4287022.080000 0.2329335 Long ABS-MBS CORP US N 2 2052-04-25 Fixed 5.24 N N N N N N PROVIDUS CLO II DAC 2A N/A ACI1WP1H4 2300000.000000 PA 2347825.990000 0.1275681 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 0.75 N N N N N N RALI TRUST 2006-QA10 N/A 74922NAA7 67967.450000 PA USD 56409.790000 0.0030650 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.99357 N N N N N N READYCAP COMMERCIAL MORTGAGE TRUST 2022-FL9 N/A 000000000 3500000.000000 PA USD 3491030.200000 0.1896836 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 7200000.000000 PA USD 7181488.800000 0.3902031 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 28916077.000000 PA 3356237.610000 0.1823597 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-1 N/A 75970JAF3 12593057.630000 PA USD 4241582.340000 0.2304645 Long ABS-MBS CORP US N 2 2037-04-25 Variable 5.612 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2021-2A N/A 76088LAA6 2195083.560000 PA USD 2090789.320000 0.1136021 Long ABS-O CORP US N 2 2030-03-25 Fixed 2.65 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 1600000.000000 PA USD 1574751.040000 0.0855634 Long ABS-O CORP US N 2 2030-09-25 Fixed 4.32 N N N N N N RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4 N/A 74923HAK7 1735130.870000 PA USD 1489594.760000 0.0809365 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2004-QA4 N/A 76110HZE2 1581752.010000 PA USD 1590393.750000 0.0864134 Long ABS-MBS CORP US N 2 2034-09-25 Floating 3.02221 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO10 N/A 751153AA5 4092586.490000 PA USD 3675709.900000 0.1997181 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.94357 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAC7 2828807.740000 PA USD 2437065.960000 0.1324169 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.96357 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QS12 N/A 751151AQ4 142537.630000 PA USD 116555.340000 0.0063330 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 5 Y N N N N N RESIDENTIAL ACCREDIT LOANS INC 2007-QH9 N/A 749241AA3 4494786.480000 PA USD 4074176.050000 0.2213686 Long ABS-MBS CORP US N 2 2037-11-25 Floating 1.57165 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2007-QO1 N/A 75115YAA7 2021698.500000 PA USD 1787352.710000 0.0971150 Long ABS-MBS CORP US N 2 2047-02-25 Floating 1.92357 N N N N N N RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1 N/A 76112BR36 576685.710000 PA USD 525483.460000 0.0285519 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.06357 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC5 N/A 76112BH60 4299762.460000 PA USD 4269345.940000 0.2319731 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.31357 N N N N N N RESIDENTIAL ASSET SEC TRUST 2005-A10 N/A 45660LXN4 2688287.700000 PA USD 1551375.620000 0.0842933 Long ABS-MBS CORP US N 2 2035-09-25 Fixed 5.5 Y N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS10 N/A 75405WAG7 4492791.000000 PA USD 4313413.620000 0.2343675 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.32857 N N N N N N RESIDENTIAL ASSET SECURITIES 2006-KS6 N/A 75406WAE1 14574000.000000 PA USD 14086320.440000 0.7653741 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.89357 N N N N N N RIO OIL FINANCE TRUST SERIES 2014-1 549300V5D1W52HY8NO65 76716XAA0 614150.220000 PA USD 637039.600000 0.0346133 Long DBT CORP US N 2 2024-07-06 Variable 9.25 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAF2 5000000.000000 PA USD 4202825.000000 0.2283587 Long DBT CORP KY N 2 2025-08-08 Variable 5.125 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 3600000.000000 PA USD 2781540.000000 0.1511338 Long DBT CORP KY N 2 2028-08-08 Variable 5.4 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAP0 200000.000000 PA USD 141856.000000 0.0077077 Long DBT CORP KY N 2 2029-03-08 Variable 3.1 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAJ4 3900000.000000 PA USD 3902178.890000 0.2120232 Long DBT CORP GB N 2 2024-11-15 Floating 4.796 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAE8 3200000.000000 PA USD 2853377.820000 0.1550371 Long DBT CORP DE N 2 2027-05-15 Fixed 6 N N Y N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 ACI1C5ZK6 3000000.000000 PA 2748963.580000 0.1493637 Long DBT CORP DE N 2 2025-05-15 Fixed 3.625 N N Y N N N SCULPTOR EUROPEAN CLO V DAC 5A N/A ACI21JK97 8800000.000000 PA 8904015.780000 0.4837959 Long ABS-CBDO CORP IE N 2 2032-01-14 Floating 0.79 N N N N N N SEC ASSET BACKED REC LLC 2005-FR2 N/A 81375WEG7 1840146.980000 PA USD 1777930.510000 0.0966031 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.67357 N N N N N N SEC ASSET BACKED REC LLC 2006-FR4 N/A 81377GAB5 619213.340000 PA USD 229399.590000 0.0124643 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.96357 Y N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 5756806.100000 PA USD 2774807.600000 0.1507680 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.10357 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005-FR5 N/A 81375WFU5 1441729.840000 PA USD 1093498.160000 0.0594148 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.28357 Y N N N N N SL GREEN REALTY CORP 549300VQZPJU97H3GT17 75625AAD6 4469000.000000 PA USD 4475181.340000 0.2431570 Long DBT CORP US N 2 2022-12-01 Fixed 4.5 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83367TBF5 2100000.000000 PA USD 2062851.760000 0.1120842 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 5622535.410000 PA USD 5392967.850000 0.2930246 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 4566000.000000 PA USD 4322460.060000 0.2348590 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-NS1 N/A 83612QAD0 14004000.000000 PA USD 13084413.340000 0.7109359 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.92357 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1 N/A 83612NAD7 653751.350000 PA USD 200525.280000 0.0108955 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.80357 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587DE4 3595000.000000 PA USD 3339334.530000 0.1814413 Long DBT CORP US N 2 2030-04-30 Fixed 3.7 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-1 N/A 02660WAC0 359305.310000 PA USD 301098.460000 0.0163601 Long ABS-MBS CORP US N 2 2046-05-25 Floating 1.81357 Y N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-4 N/A 02660LAB6 159967.820000 PA USD 92526.110000 0.0050274 Long ABS-MBS CORP US N 2 2046-10-25 Floating 1.83357 N N N N N N SPRINT CORP (SPRINT COMMUNICATIONS INC) 549300JKU50UT08ZWD77 852061AS9 486000.000000 PA USD 489575.750000 0.0266009 Long DBT CORP US N 2 2022-11-15 Fixed 6 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAF2 874000.000000 PA USD 903716.000000 0.0491030 Long DBT CORP US N 2 2023-09-15 Fixed 7.875 N N N N N N STELLANTIS FINANCE US INC 549300QZ0AI8Q7LNON33 85855CAB6 4600000.000000 PA USD 3647051.580000 0.1981610 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 605.590000 PA USD 604.310000 0.0000328 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 54552.720000 PA USD 47593.360000 0.0025860 Long ABS-MBS CORP US N 2 2035-01-25 Floating 1.8759 Y N N N N N STRUCTURED ASSET INVEST LN TR 2006-BNC3 N/A 86361KAC1 725308.680000 PA USD 706293.700000 0.0383762 Long ABS-MBS CORP US N 2 2036-09-25 Floating 1.77357 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2003-BC9 N/A 86358EDG8 7795676.930000 PA USD 7559627.730000 0.4107491 Long ABS-MBS CORP US N 2 2033-08-25 Floating 2.57357 N N N N N N STRUCTURED ASSET INVST LN TR 2005-5 N/A 86358ETJ5 9716000.000000 PA USD 9386023.260000 0.5099855 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.55357 N N N N N N STRUCTURED ASSET INVST LN TR 2006-4 N/A 86360WAB8 998317.810000 PA USD 777876.360000 0.0422656 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.75357 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPD5 6102.850000 PA USD 5622.410000 0.0003055 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-AR5 N/A 86359LPE3 5278.300000 PA USD 4988.770000 0.0002711 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-AR5 N/A 86359LPF0 21285.220000 PA USD 19860.720000 0.0010791 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 156669.740000 PA USD 144081.500000 0.0078286 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.18357 Y N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRY7 652745.710000 PA USD 623973.530000 0.0339033 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.56716 Y N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAE8 70885.700000 PA USD 60671.990000 0.0032966 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.06357 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR7 N/A 86361HAB0 6621865.260000 PA USD 6129261.390000 0.3330308 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.74357 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAN1 325079.350000 PA USD 105423.070000 0.0057281 Long ABS-MBS CORP US N 2 2046-05-25 Floating 2.06357 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR6 N/A 86360UAC0 1983719.140000 PA USD 1540871.100000 0.0837226 Long ABS-MBS CORP US N 2 2046-07-25 Floating 2.00357 Y N N N N N STRUCTURED ASSET SEC CORP 2005-7XS N/A 86359B7K1 63766.010000 PA USD 62904.450000 0.0034179 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.56171 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC1 N/A 86359YAD3 319281.600000 PA USD 297792.480000 0.0161804 Long ABS-MBS CORP US N 2 2036-03-25 Floating 1.78357 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC5 N/A 86359SAD6 783783.310000 PA USD 768986.190000 0.0417825 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.96357 N N N N N N STRUCTURED ASSET SECURITIES CRP 2003-22A N/A 86359AYX5 3944.610000 PA USD 3832.820000 0.0002083 Long ABS-MBS CORP US N 2 2033-06-25 Floating 3.39441 N N N N N N STWD 2022-FL3 LTD N/A 78485KAE5 10800000.000000 PA USD 10288860.840000 0.5590408 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 1992409.210000 PA USD 1956588.680000 0.1063104 Long ABS-CBDO CORP KY N 2 2029-10-25 Floating 2.014 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABW4 1000000.000000 PA USD 865465.000000 0.0470247 Long DBT CORP US N 2 2031-04-15 Fixed 3.5 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACQ6 1500000.000000 PA USD 1260293.390000 0.0684775 Long DBT CORP US N 2 2032-03-15 Fixed 2.7 N N N N N N TAKEDA PHARMACEUTICAL COMPANY LIMITED 549300ZLMVP4X0OGR454 874060AZ9 2400000.000000 PA USD 1800226.800000 0.0978145 Long DBT CORP JP N 2 2050-07-09 Fixed 3.175 N N N N N N TAKEDA PHARMACEUTICAL COMPANY LIMITED 549300ZLMVP4X0OGR454 874060BD7 1800000.000000 PA USD 1317335.780000 0.0715769 Long DBT CORP JP N 2 2060-07-09 Fixed 3.375 N N N N N N TAURUS 2021-1 UK DAC 21-UK1A N/A ACI1W1MF8 694896.160000 PA 817390.550000 0.0444126 Long ABS-MBS CORP IE N 2 2031-05-17 Floating 1.86202 N N N N N N TCI-SYMPHONY CLO LTD 2016-1A N/A 87229WAS0 5000000.000000 PA USD 4705493.000000 0.2556709 Long ABS-CBDO CORP KY N 2 2032-10-13 Floating 2.57143 N N N N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2022-2 N/A 03065WAA3 10700000.000000 PA USD 10696444.390000 0.5811867 Long ABS-O CORP US N 2 2023-06-19 Fixed 2.192 N N N N N N AMERIQUEST MORTGAGE SEC INC 2004-R10 N/A 03072SVS1 2887280.460000 PA USD 2756939.960000 0.1497971 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.74857 N N N N N N TICP CLO III-2 LTD 2018-3R N/A 87249FAC8 1737130.910000 PA USD 1725949.120000 0.0937787 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.90271 N N N N N N TIKEHAU CLO BV N/A ACI1ZJMY5 4300000.000000 PA 4393079.760000 0.2386961 Long ABS-CBDO CORP IE N 2 2034-08-04 Floating 0.87 N N N N N N AMERIQUEST MTGE SEC INC 2004-R9 N/A 03072SUQ6 1281689.420000 PA USD 1267832.430000 0.0688871 Long ABS-MBS CORP US N 2 2034-10-25 Floating 2.64357 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 15066904.800000 PA 18316161.340000 0.9952007 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 1.81833 N N N N N N AMERIQUEST MTGE SECURITIES INC 2005-R8 N/A 03072SM28 3002422.610000 PA USD 2990152.010000 0.1624686 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.38857 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY3 N/A 89177XAA5 2364814.300000 PA USD 2329545.700000 0.1265749 Long ABS-MBS CORP US N 2 2059-10-25 Floating 2.62357 N N N N N N TRALEE CLO VI LTD 2019 6A N/A 89289EBA1 2100000.000000 PA USD 2048889.570000 0.1113255 Long ABS-CBDO CORP KY N 2 2032-10-25 Floating 2.634 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 6000000.000000 PA USD 5998800.000000 0.3259422 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UBS AG / STAMFORD BRANCH BFM8T61CT2L1QCEMIK50 90261AAB8 4700000.000000 PA USD 4714007.880000 0.2561336 Long DBT CORP CH N 2 2022-08-17 Fixed 7.625 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AP3 6800000.000000 PA USD 6736292.980000 0.3660136 Long DBT CORP CH N 2 2028-05-12 Floating 4.751 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90351DAB3 800000.000000 PA USD 794843.920000 0.0431875 Long DBT CORP CH N 2 2025-09-24 Fixed 4.125 N N N N N N UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C5 N/A 90270YAC3 18725978.700000 PA USD 26175.170000 0.0014222 Long ABS-MBS CORP US N 2 2046-03-10 Variable 1.01418 N N N N N N UMBS PASS THRU POOLS N/A 01F020471 -21100000.000000 PA USD -19700476.670000 -1.0704169 Short ABS-MBS USGSE US N 2 2037-07-18 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F020687 -55500000.000000 PA USD -48128906.250000 -2.6150633 Short ABS-MBS USGSE US N 2 2052-08-11 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F022683 -39000000.000000 PA USD -35044010.040000 -1.9041012 Short ABS-MBS USGSE US N 2 2052-08-11 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F042673 50400000.000000 PA USD 50606718.620000 2.7496942 Long ABS-MBS USGSE US N 2 2052-07-14 Fixed 4.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796XV6 99700000.000000 PA USD 99382754.600000 5.3999191 Long DBT UST US N 2 2022-09-13 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796K57 20500000.000000 PA USD 20492151.170000 1.1134322 Long DBT UST US N 2 2022-07-14 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796R68 60500000.000000 PA USD 60492487.720000 3.2868332 Long DBT UST US N 2 2022-07-07 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796S42 11000000.000000 PA USD 10993827.790000 0.5973449 Long DBT UST US N 2 2022-07-21 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796X38 100500000.000000 PA USD 100428986.700000 5.4567656 Long DBT UST US N 2 2022-07-26 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796U64 92900000.000000 PA USD 92520271.250000 5.0270490 Long DBT UST US N 2 2022-09-29 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 1587906.750000 PA USD 1405571.480000 0.0763711 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 14038120.020000 PA USD 14383625.390000 0.7815281 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 2577771.000000 PA USD 2312571.960000 0.1256526 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 9244995.520000 PA USD 8777604.320000 0.4769273 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 920161.300000 PA USD 880154.850000 0.0478228 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBQ3 22100000.000000 PA USD 20148121.150000 1.0947395 Long DBT UST US N 2 2026-02-28 Fixed 0.5 N N N N N N ANGLOGOLD ASHANTI HOLDINGS PLC 213800745ZIXC4L6A131 03512TAF8 2000000.000000 PA USD 1695898.160000 0.0921459 Long DBT CORP IM N 2 2028-11-01 Fixed 3.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828VB3 1330000.000000 PA USD 1317068.180000 0.0715623 Long DBT UST US N 2 2023-05-15 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282P4 49391800.000000 PA USD 49421574.860000 2.6852999 Long DBT UST US N 2 2022-07-31 Fixed 1.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XQ8 32146700.000000 PA USD 32169390.110000 1.7479099 Long DBT UST US N 2 2022-07-31 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 874400.000000 PA USD 826615.400000 0.0449138 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285J5 15086200.000000 PA USD 15065574.300000 0.8185815 Long DBT UST US N 2 2025-10-31 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828M80 42124200.000000 PA USD 42059247.430000 2.2852710 Long DBT UST US N 2 2022-11-30 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810ST6 20100000.000000 PA USD 14483777.390000 0.7869698 Long DBT UST US N 2 2040-11-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SS8 500000.000000 PA USD 351884.770000 0.0191195 Long DBT UST US N 2 2050-11-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YW4 64803900.000000 PA USD 64575000.960000 3.5086548 Long DBT UST US N 2 2022-12-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828V23 3800000.000000 PA USD 3760218.750000 0.2043099 Long DBT UST US N 2 2023-12-31 Fixed 2.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YY0 19272600.000000 PA USD 18681247.440000 1.0150375 Long DBT UST US N 2 2024-12-31 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBC4 5400000.000000 PA USD 4921910.140000 0.2674299 Long DBT UST US N 2 2025-12-31 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285T3 22057800.000000 PA USD 21752351.090000 1.1819046 Long DBT UST US N 2 2025-12-31 Fixed 2.625 N N N N N N UPSTART PASS-THROUGH TRUST SERIES 2022-ST3 N/A 91681EAA2 2780913.250000 PA USD 2738297.420000 0.1487842 Long ABS-O CORP US N 2 2030-05-20 Fixed 4.3 N N N N N N UPSTART SECURITIZATION TRUST 2022-2 N/A 91679TAA3 3600000.000000 PA USD 3559906.440000 0.1934260 Long ABS-O CORP US N 2 2032-05-20 Fixed 4.37 N N N N N N UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A N/A 91680YAY7 1917809.460000 PA USD 1883719.050000 0.1023511 Long ABS-O CORP US N 2 2030-06-17 Fixed 4.25 N N N N N N US INTERNATIONAL DEVELOPMENT FINANCE CORPORATION 254900QI8QTIK0FY6E92 690353RQ2 711100.000000 PA USD 731952.850000 0.0397703 Long DBT NUSS US N 2 2030-05-15 Fixed 4.14 N N N N N N VENTURE 38 CLO LTD N/A 92332NAU9 3500000.000000 PA USD 3363838.450000 0.1827727 Long ABS-CBDO CORP KY N 2 2032-07-30 Floating 2.686 N N N N N N VENTURE 38 CLO LTD N/A 92332NAW5 4100000.000000 PA USD 3848008.260000 0.2090799 Long ABS-CBDO CORP KY N 2 2032-07-30 Floating 3.036 N N N N N N VENTURE CDO LTD 2016-25A N/A 92329VAS1 4716084.910000 PA USD 4654775.810000 0.2529152 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 2.08271 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 3260251.790000 PA USD 3225093.530000 0.1752341 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 1.92429 N N N N N N VMC FINANCE 2022-FL5 LLC N/A 91835BAA3 7300000.000000 PA USD 7179733.230000 0.3901077 Long ABS-CBDO CORP US N 2 2039-02-18 Floating 2.69224 N N N N N N WAMU ASSET-BACKED CERTIFICATES 2007-HE3 N/A 93364EAA2 3867966.850000 PA USD 3608116.450000 0.1960454 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.84857 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X40 21297.280000 PA USD 20239.690000 0.0010997 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 399060.920000 PA USD 381835.460000 0.0207469 Long ABS-MBS CORP US N 2 2045-10-25 Floating 2.20357 N N N N N N WASHINGTON MUTUAL 2005-AR17 N/A 92922F7Q5 7208697.690000 PA USD 6562825.050000 0.3565883 Long ABS-MBS CORP US N 2 2045-12-25 Floating 2.20357 N N N N N N WASHINGTON MUTUAL 2005-AR2 N/A 92922FD21 16016.240000 PA USD 15526.940000 0.0008436 Long ABS-MBS CORP US N 2 2045-01-25 Floating 2.24357 N N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 4132507.980000 PA USD 3774413.350000 0.2050811 Long ABS-MBS CORP US N 2 2046-02-25 Floating 1.4759 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL2 N/A 03881JAE6 3400000.000000 PA USD 3374382.700000 0.1833456 Long ABS-CBDO CORP US N 2 2037-05-15 Floating 3.67865 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL2 N/A 03881JAG1 3400000.000000 PA USD 3374257.240000 0.1833388 Long ABS-CBDO CORP US N 2 2037-05-15 Floating 4.17865 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2022-2A N/A 96042VAA7 4400000.000000 PA USD 4398715.640000 0.2390023 Long ABS-O CORP US N 2 2023-06-15 Fixed 1.808 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2022-2A N/A 96042VAC3 3200000.000000 PA USD 3200974.720000 0.1739236 Long ABS-O CORP US N 2 2025-08-15 Floating 0 N N N N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166BY9 3886000.000000 PA USD 3661918.630000 0.1989688 Long DBT CORP US N 2 2030-04-15 Fixed 4 N N N N N N WMALT MTGE PASS-THRU CERT 2006-AR8 N/A 93935LAB4 3221098.600000 PA USD 2743240.570000 0.1490528 Long ABS-MBS CORP US N 2 2046-10-25 Floating 1.3259 Y N N N N N WMALT MTGE PASS-THRU CERT 2006-AR9 N/A 939346AA0 2183511.750000 PA USD 1874488.070000 0.1018495 Long ABS-MBS CORP US N 2 2046-11-25 Floating 1.3059 N N N N N N WPC EUROBOND BV 5493005XDMOLBARL5M14 ACI15F7Y3 5538000.000000 PA 5462465.390000 0.2968007 Long DBT CORP NL N 2 2026-04-09 Fixed 2.25 N N N N N N AREIT TRUST 2022-CRE7 N/A 00217VAA8 8400000.000000 PA USD 8339293.200000 0.4531119 Long ABS-MBS CORP US N 2 2039-06-17 Floating 3.242 N N N N N N AREIT TRUST 2022-CRE7 N/A 00217VAC4 7461000.000000 PA USD 7473121.890000 0.4060489 Long ABS-MBS CORP US N 2 2039-06-17 Floating 3.794 N N N N N N N/A N/A 000000000 23602000.000000 PA USD 23602000.000000 1.2824045 Long RA US N 2 Repurchase N 0.4000000 2022-07-01 24100500.000000 USD 24074134.050000 USD UST N N N ARES EUROPEAN CLO XII BV 12A N/A ACI20RGN4 4600000.000000 PA 4695282.900000 0.2551162 Long ABS-CBDO CORP IE N 2 2032-04-20 Floating 0.85 N N N N N N N/A N/A 000000000 40000000.000000 PA USD 40000000.000000 2.1733827 Long RA US N 2 Repurchase N 1.4500000 2022-07-07 40816000.000000 USD 40342509.910000 USD UST N N N ARGENT SECURITIES INC 2005-W1 N/A 040104MX6 2245315.170000 PA USD 2017905.160000 0.1096420 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.10357 N N N N N N N/A N/A 000000000 1.000000 NC -315722.040000 -0.0171546 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 12486324.900000 USD 15666000.000000 CAD 2022-07-05 -315722.040000 N N N N/A N/A 000000000 1.000000 NC 55678.600000 0.0030253 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 11508180.940000 USD 14885000.000000 CAD 2022-07-05 55678.600000 N N N N/A N/A 000000000 1.000000 NC 45890.080000 0.0024934 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 11094569.830000 USD 14340000.000000 CAD 2022-07-05 45890.080000 N N N N/A N/A 000000000 1.000000 NC -323665.410000 -0.0175862 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 36551017.000000 USD 257125439.290000 DKK 2022-07-01 -323665.410000 N N N N/A N/A 000000000 1.000000 NC -229896.770000 -0.0124913 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 22306272.370000 USD 156688179.640000 DKK 2022-07-01 -229896.770000 N N N N/A N/A 000000000 1.000000 NC 7033.510000 0.0003822 N/A DFE NZ N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3376361.460000 USD 5417333.000000 NZD 2022-07-05 7033.510000 N N N N/A N/A 000000000 1.000000 NC -51820.070000 -0.0028156 N/A DFE SE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1205318.440000 USD 11800000.000000 SEK 2022-07-05 -51820.070000 N N N N/A N/A 000000000 1.000000 NC -73334.970000 -0.0039846 N/A DFE CH N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 71019379.780000 CHF 74319772.220000 USD 2022-07-05 -73334.970000 N N N N/A N/A 000000000 1.000000 NC 331832.060000 0.0180300 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 256602759.750000 DKK 36551017.000000 USD 2022-08-01 331832.060000 N N N N/A N/A 000000000 1.000000 NC 234624.470000 0.0127482 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 156371430.570000 DKK 22306272.370000 USD 2022-08-01 234624.470000 N N N N/A N/A 000000000 1.000000 NC -7284.440000 -0.0003958 N/A DFE NZ N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 5417333.000000 NZD 3375385.260000 USD 2022-08-02 -7284.440000 N N N N/A N/A 000000000 1.000000 NC -64086.480000 -0.0034821 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 289841764.000000 USD 39317035286.000000 JPY 2022-07-05 -64086.480000 N N N N/A N/A 000000000 1.000000 NC -69628.600000 -0.0037832 N/A DFE NO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 14796565.270000 USD 145055908.140000 NOK 2022-07-05 -69628.600000 N N N N/A N/A 000000000 1.000000 NC -18511.580000 -0.0010058 N/A DFE SE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2773415.680000 USD 28181980.230000 SEK 2022-07-05 -18511.580000 N N N N/A N/A 000000000 1.000000 NC -253735.130000 -0.0137866 N/A DFE CH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 141210175.400000 CHF 147919508.460000 USD 2022-08-02 -253735.130000 N N N N/A N/A 000000000 1.000000 NC 52852.420000 0.0028717 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 39253183145.000000 JPY 289841764.000000 USD 2022-08-02 52852.420000 N N N N/A N/A 000000000 1.000000 NC 68479.650000 0.0037208 N/A DFE NO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 144992282.910000 NOK 14796565.270000 USD 2022-08-02 68479.650000 N N N N/A N/A 000000000 1.000000 NC 18200.660000 0.0009889 N/A DFE SE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 28158644.710000 SEK 2773415.680000 USD 2022-08-02 18200.660000 N N N N/A N/A 000000000 1.000000 NC 15621.630000 0.0008488 N/A DFE SG N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3675750.830000 SGD 2661541.260000 USD 2022-08-10 15621.630000 N N N N/A N/A 000000000 1.000000 NC USD 38191.650000 0.0020751 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BERKSHIRE HATHAWAY INC BERKSHIRE HATHAWAY INC SR UNSEC Y Single Leg Swap 2023-12-21 86679.790000 USD 0.000000 USD 3100000.000000 USD -48488.140000 N N N N/A N/A 000000000 1.000000 NC 24899.940000 0.0013529 N/A DFE CH N 2 BNP Paribas S.A. N/A 5340417.190000 USD 5122000.000000 CHF 2022-07-05 24899.940000 N N N N/A N/A 000000000 1.000000 NC -38098.110000 -0.0020700 N/A DFE N/A N 2 BNP Paribas S.A. N/A 1570201.010000 USD 1462000.000000 EUR 2022-07-05 -38098.110000 N N N N/A N/A 000000000 1.000000 NC -176536.040000 -0.0095920 N/A DFE N/A N 2 BNP Paribas S.A. N/A 8375696.840000 USD 7824000.000000 EUR 2022-07-05 -176536.040000 N N N N/A N/A 000000000 1.000000 NC 4818.020000 0.0002618 N/A DFE GB N 2 BNP Paribas S.A. N/A 18042875.800000 USD 14826000.000000 GBP 2022-07-05 4818.020000 N N N N/A N/A 000000000 1.000000 NC -68584.700000 -0.0037265 N/A DFE JP N 2 BNP Paribas S.A. N/A 1544852.390000 USD 200300000.000000 JPY 2022-07-05 -68584.700000 N N N N/A N/A 000000000 1.000000 NC -16669.830000 -0.0009057 N/A DFE ZA N 2 BNP Paribas S.A. N/A 821323.000000 USD 13147492.190000 ZAR 2022-08-16 -16669.830000 N N N N/A N/A 000000000 1.000000 NC -15501.980000 -0.0008423 N/A DFE ZA N 2 BNP Paribas S.A. N/A 860577.000000 USD 13807957.970000 ZAR 2022-08-16 -15501.980000 N N N N/A N/A 000000000 1.000000 NC -21174.380000 -0.0011505 N/A DFE ZA N 2 BNP Paribas S.A. N/A 869660.000000 USD 13863684.890000 ZAR 2022-08-16 -21174.380000 N N N N/A N/A 000000000 1.000000 NC -10627.390000 -0.0005774 N/A DFE ZA N 2 BNP Paribas S.A. N/A 321506.000000 USD 5122233.590000 ZAR 2022-11-08 -10627.390000 N N N N/A N/A 000000000 1.000000 NC -23561.630000 -0.0012802 N/A DFE ZA N 2 BNP Paribas S.A. N/A 819932.000000 USD 13012156.850000 ZAR 2022-08-16 -23561.630000 N N N N/A N/A 000000000 1.000000 NC -3609.160000 -0.0001961 N/A DFE ZA N 2 BNP Paribas S.A. N/A 175476.000000 USD 2831787.420000 ZAR 2022-11-08 -3609.160000 N N N N/A N/A 000000000 1.000000 NC 203787.280000 0.0110727 N/A DFE CA N 2 BNP Paribas S.A. N/A 15645000.000000 CAD 12358075.660000 USD 2022-07-05 203787.280000 N N N N/A N/A 000000000 1.000000 NC 11920.330000 0.0006477 N/A DFE CA N 2 BNP Paribas S.A. N/A 697000.000000 CAD 553405.720000 USD 2022-07-05 11920.330000 N N N N/A N/A 000000000 1.000000 NC -1946.620000 -0.0001058 N/A DFE CA N 2 BNP Paribas S.A. N/A 546000.000000 CAD 422229.890000 USD 2022-07-05 -1946.620000 N N N N/A N/A 000000000 1.000000 NC -96663.180000 -0.0052522 N/A DFE CA N 2 BNP Paribas S.A. N/A 14305000.000000 CAD 11016605.930000 USD 2022-07-05 -96663.180000 N N N N/A N/A 000000000 1.000000 NC 12108.610000 0.0006579 N/A DFE DK N 2 BNP Paribas S.A. N/A 13360000.000000 DKK 1894448.290000 USD 2022-07-01 12108.610000 N N N N/A N/A 000000000 1.000000 NC 402380.510000 0.0218632 N/A DFE JP N 2 BNP Paribas S.A. N/A 1091400000.000000 JPY 8446307.400000 USD 2022-07-05 402380.510000 N N N N/A N/A 000000000 1.000000 NC 624076.080000 0.0339089 N/A DFE SE N 2 BNP Paribas S.A. N/A 151974803.680000 SEK 15480236.170000 USD 2022-07-05 624076.080000 N N N N/A N/A 000000000 1.000000 NC USD -70280.480000 -0.0038187 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 -7706.670000 USD 1500000.000000 USD -62573.810000 N N N N/A N/A 000000000 1.000000 NC USD -118716.440000 -0.0064504 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 -8348.340000 USD 2100000.000000 USD -110368.100000 N N N N/A N/A 000000000 1.000000 NC USD -401528.430000 -0.0218169 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.34 Y Single Leg Swap 2025-12-21 0.000000 USD -109990.000000 USD 3000000.000000 USD -291538.430000 N N N N/A N/A 000000000 1.000000 NC USD -766457.350000 -0.0416451 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.36 Y Single Leg Swap 2026-12-22 0.000000 USD -210760.000000 USD 5900000.000000 USD -555697.350000 N N N N/A N/A 000000000 1.000000 NC USD -22022.150000 -0.0011966 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.38 Y Single Leg Swap 2027-06-22 43539.210000 USD 0.000000 USD 792000.000000 USD -65561.360000 N N N N/A N/A 000000000 1.000000 NC USD 4636.330000 0.0002519 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.36 Y Single Leg Swap 2026-06-21 24483.880000 USD 0.000000 USD 1000000.000000 USD -19847.550000 N N N N/A N/A 000000000 1.000000 NC USD 1980.260000 0.0001076 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.37 Y Single Leg Swap 2026-12-22 17824.900000 USD 0.000000 USD 800000.000000 USD -15844.640000 N N N N/A N/A OP001PKY7 -15500000.000000 NC USD -17616.990000 -0.0009572 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG38 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.400000 USD 2022-08-17 XXXX 11988.010000 N N N N/A N/A OP001NKT3 -9900000.000000 NC USD -15808.020000 -0.0008589 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 6466.980000 N N N N/A N/A OP001P4Y5 -7000000.000000 NC USD -9413.040000 -0.0005115 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 6546.960000 N N N N/A N/A OP001NG50 -2900000.000000 NC USD -1569.390000 -0.0000853 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 3143.110000 N N N N/A N/A OP001NKS5 -4000000.000000 NC USD -472.160000 -0.0000257 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 3927.840000 N N N N/A N/A 000000000 1.000000 NC USD -4003.790000 -0.0002175 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.38 Y Single Leg Swap 2027-06-22 3855408.620000 USD 0.000000 USD 348800000.000000 USD -3859412.410000 N N N N/A N/A 000000000 1.000000 NC -103198.500000 -0.0056072 N/A DFE CH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 37316814.430000 CHF 38986325.860000 USD 2022-07-05 -103198.500000 N N N N/A N/A 000000000 1.000000 NC 78200.160000 0.0042490 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3039000.000000 EUR 3262920.210000 USD 2022-07-05 78200.160000 N N N N/A N/A 000000000 1.000000 NC 71672.670000 0.0038943 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2200770.000000 ILS 702739.730000 USD 2022-08-03 71672.670000 N N N N/A N/A 000000000 1.000000 NC 65974.310000 0.0035847 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2101050.000000 ILS 671605.290000 USD 2022-10-07 65974.310000 N N N N/A N/A 000000000 1.000000 NC 310063.060000 0.0168471 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9805880.000000 ILS 3142104.590000 USD 2022-11-02 310063.060000 N N N N/A N/A 000000000 1.000000 NC 139980.880000 0.0076058 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4402640.000000 ILS 1411509.730000 USD 2022-11-02 139980.880000 N N N N/A N/A 000000000 1.000000 NC 487713.310000 0.0264997 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14102820.000000 ILS 4571416.530000 USD 2022-12-07 487713.310000 N N N N/A N/A 000000000 1.000000 NC 298077.030000 0.0161959 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8401680.000000 ILS 2730921.500000 USD 2022-12-07 298077.030000 N N N N/A N/A 000000000 1.000000 NC 84512.490000 0.0045919 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3099070.000000 ILS 981899.120000 USD 2022-12-07 84512.490000 N N N N/A N/A 000000000 1.000000 NC 44984.200000 0.0024442 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1619680.000000 ILS 513743.780000 USD 2022-11-30 44984.200000 N N N N/A N/A 000000000 1.000000 NC 171344.110000 0.0093099 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6073500.000000 ILS 1929105.720000 USD 2022-11-30 171344.110000 N N N N/A N/A 000000000 1.000000 NC 23759.130000 0.0012909 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 139424.390000 0.0075756 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5298940.000000 ILS 1677038.960000 USD 2023-01-04 139424.390000 N N N N/A N/A 000000000 1.000000 NC 240663.290000 0.0130763 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8999100.000000 ILS 2851968.050000 USD 2023-01-04 240663.290000 N N N N/A N/A 000000000 1.000000 NC 176253.470000 0.0095767 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6698660.000000 ILS 2120030.380000 USD 2023-01-04 176253.470000 N N N ASSET BACK SEC CORP HM EQ LN TR 2005-HE2 N/A 04541GQD7 641222.900000 PA USD 633475.070000 0.0344196 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.71857 N N N N N N N/A N/A 000000000 1.000000 NC -2330.650000 -0.0001266 N/A DFE ZA N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 47000.000000 USD 738454.600000 ZAR 2022-12-12 -2330.650000 N N N N/A N/A 000000000 1.000000 NC -353749.470000 -0.0192208 N/A DFE CH N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 71436843.280000 CHF 74476652.540000 USD 2022-07-05 -353749.470000 N N N N/A N/A 000000000 1.000000 NC 573954.880000 0.0311856 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 83226972.300000 DKK 12300110.000000 USD 2022-07-01 573954.880000 N N N N/A N/A 000000000 1.000000 NC 207178.290000 0.0112569 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 25431385.510000 DKK 3790300.000000 USD 2022-07-01 207178.290000 N N N N/A N/A 000000000 1.000000 NC 28874.610000 0.0015689 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1100000.000000 ILS 347397.680000 USD 2022-12-07 28874.610000 N N N N/A N/A 000000000 1.000000 NC USD -59037.980000 -0.0032078 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-21 23904.860000 USD 0.000000 USD 2100000.000000 USD -82942.840000 N N N N/A N/A 000000000 1.000000 NC USD 520213.530000 0.0282656 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SRUNSEC Y Single Leg Swap 2026-12-22 1099275.830000 USD 0.000000 USD 5500000.000000 USD -579062.300000 N N N N/A N/A 000000000 -89.000000 NC 400478.870000 0.0217598 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-09-08 -13876346.090000 EUR 400478.870000 N N N N/A N/A 000000000 -20.000000 NC 147740.830000 0.0080274 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-09-08 -3428054.040000 EUR 147740.830000 N N N N/A N/A 000000000 1.000000 NC -19277.670000 -0.0010474 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2886659.650000 USD 15006300.200000 BRL 2022-07-05 -19277.670000 N N N N/A N/A 000000000 1.000000 NC 153027.460000 0.0083147 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 15006300.200000 BRL 3020409.440000 USD 2022-07-05 153027.460000 N N N N/A N/A 000000000 1.000000 NC 21122.050000 0.0011477 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 15006300.200000 BRL 2863934.390000 USD 2022-08-02 21122.050000 N N N N/A N/A 000000000 1.000000 NC 1348.290000 0.0000733 N/A DFE HK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 325528749.290000 HKD 41569727.000000 USD 2022-09-09 1348.290000 N N N N/A N/A 000000000 1.000000 NC -375959.280000 -0.0204276 N/A DFE SE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 580353034.280000 SEK 56409351.810000 USD 2022-08-02 -375959.280000 N N N N/A N/A 000000000 1.000000 NC 8578.410000 0.0004661 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5122233.590000 ZAR 319457.020000 USD 2022-11-08 8578.410000 N N N N/A N/A 000000000 1.000000 NC -112645.950000 -0.0061206 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2541636.460000 USD 3519000.000000 AUD 2022-07-05 -112645.950000 N N N N/A N/A 000000000 1.000000 NC 341675.100000 0.0185648 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 151792839.480000 USD 220404878.000000 AUD 2022-07-05 341675.100000 N N N N/A N/A 000000000 1.000000 NC -231633.580000 -0.0125857 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 12117121.460000 USD 15299000.000000 CAD 2022-07-05 -231633.580000 N N N 2022-08-12 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX