NPORT-P false 0000810893 XXXXXXXX S000013233 C000035569 C000064165 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Extended Duration Fund S000013233 DEDTN79GLWZ1KEDURI73 2023-03-31 2022-06-30 N 1289621027.850000 636472399.680000 653148628.170000 0.000000 0.000000 535597031.040000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 11939177.370000 ZAR DKK CAD GBP ILS USD EUR N ATLAS SENIOR LOAN FUND LTD 2017-8A N/A 04943AAC3 1496830.370000 PA USD 1481552.210000 0.2268323 Long ABS-CBDO CORP KY N 2 2030-01-16 Floating 2.19429 N N N N N N N/A N/A 000000000 1.000000 NC 945.310000 0.0001447 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 266000.000000 CAD 207600.810000 USD 2022-08-16 945.310000 N N N N/A N/A 000000000 31.000000 NC -93529.290000 -0.0143198 N/A DIR DE N 1 Eurex N/A Long N/A ITALY GOVT 2022-09-08 3999731.720000 EUR -93529.290000 N N N N/A N/A OP001R5Z7 -100000.000000 NC -1120.530000 -0.0001716 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 -205.080000 N N N N/A N/A OP001R3R7 -300000.000000 NC -3361.590000 -0.0005147 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 -649.660000 N N N N/A N/A 000000000 1.000000 NC -65020.010000 -0.0099549 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE CROSSOVER SERIES 37 Y Single Leg Swap 2027-06-22 31216.210000 EUR 0.000000 EUR 2100000.000000 EUR -96236.220000 N N N N/A N/A 000000000 1.000000 NC -8390.650000 -0.0012846 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 36 Y Single Leg Swap 2026-12-22 3977.380000 EUR 0.000000 EUR 1800000.000000 EUR -12368.030000 N N N N/A N/A OP001R6R4 -400000.000000 NC -1310.380000 -0.0002006 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 -173.220000 N N N N/A N/A 000000000 1.000000 NC -642.210000 -0.0000983 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 72255.000000 USD 507356.550000 DKK 2022-08-01 -642.210000 N N N N/A N/A 000000000 1.000000 NC 2821.550000 0.0004320 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 392710.630000 DKK 58152.000000 USD 2022-07-01 2821.550000 N N N N/A N/A 000000000 1.000000 NC 531.440000 0.0000814 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 60000.000000 DKK 8985.060000 USD 2022-07-01 531.440000 N N N N/A N/A 000000000 1.000000 NC 626.600000 0.0000959 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 508386.180000 DKK 72255.000000 USD 2022-07-01 626.600000 N N N N/A N/A 000000000 1.000000 NC USD -213435.090000 -0.0326779 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SOUTH AFRICA GOVT REPUBLIC OF SOUTH AFRICA Y Single Leg Swap 2026-12-21 0.000000 USD -135331.390000 USD 2700000.000000 USD -78103.700000 N N N N/A N/A 000000000 1.000000 NC -14346.840000 -0.0021966 N/A DFE DK N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 525086.460000 USD 3625000.000000 DKK 2022-07-01 -14346.840000 N N N BABSON CLO LTD 2013-IA N/A 06760EAA4 376805.440000 PA USD 372673.240000 0.0570580 Long ABS-CBDO CORP KY N 2 2028-01-20 Floating 1.86271 N N N N N N N/A N/A 000000000 -22600000.000000 NC USD -175421.200000 -0.0268578 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/3.05 08/18/22 LCH 2032-08-18 0.000000 USD 0.000000 USD N/A USD N/A 3.050000 USD 2022-08-16 XXXX 14983.800000 N N N N/A N/A 000000000 -22600000.000000 NC USD -61123.960000 -0.0093584 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.35 08/18/22 LCH 2032-08-18 0.000000 USD 0.000000 USD N/A USD N/A 2.350000 USD 2022-08-16 XXXX 129281.040000 N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT N/A 05525DAA4 1500000.000000 PA USD 1464149.700000 0.2241679 Long ABS-MBS CORP US N 2 2034-03-15 Floating 2.524 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-RLJ N/A 05492HAA4 3200000.000000 PA USD 3136052.160000 0.4801437 Long ABS-MBS CORP US N 2 2036-04-15 Floating 2.374 N N N N N N N/A N/A 000000000 -49900000.000000 NC USD -1966234.650000 -0.3010394 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.39500 10/25/23-5Y CME N/A N/A 2028-10-25 0.000000 USD 0.000000 USD N/A USD N/A 2.400000 USD 2023-10-23 XXXX -1347474.650000 N N N N/A N/A 000000000 10300000.000000 NC USD 1484627.580000 0.2273032 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.33000 10/25/23-30Y CME N/A N/A 2053-10-25 0.000000 USD 0.000000 USD N/A USD N/A 2.330000 USD 2023-10-23 XXXX 858627.580000 N N N N/A N/A 000000000 1.000000 NC -485777.990000 -0.0743748 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2025-03-04 10462.850000 CAD 0.000000 CAD 10800000.000000 CAD -496240.840000 N N N N/A N/A 000000000 1.000000 NC -105754.060000 -0.0161914 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2025-03-03 0.000000 CAD 0.000000 CAD 2400000.000000 CAD -105754.060000 N N N N/A N/A 000000000 1.000000 NC -22020.940000 -0.0033715 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2025-03-03 0.000000 CAD 0.000000 CAD 500000.000000 CAD -22020.940000 N N N N/A N/A 000000000 1.000000 NC USD 3418356.410000 0.5233658 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-03-29 0.000000 USD -66920.000000 USD 23900000.000000 USD 3485276.410000 N N N N/A N/A 000000000 1.000000 NC USD 1823674.280000 0.2792128 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 800734.870000 USD 0.000000 USD 14200000.000000 USD 1022939.410000 N N N N/A N/A 000000000 1.000000 NC USD 861431.560000 0.1318891 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-17 0.000000 USD -63353.500000 USD 16100000.000000 USD 924785.060000 N N N N/A N/A 000000000 1.000000 NC USD 1303125.890000 0.1995144 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-07-21 0.000000 USD -39357.910000 USD 10500000.000000 USD 1342483.800000 N N N N/A N/A 000000000 1.000000 NC USD 1051849.120000 0.1610428 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-07-16 0.000000 USD -36656.250000 USD 8500000.000000 USD 1088505.370000 N N N N/A N/A 000000000 1.000000 NC USD 1261373.790000 0.1931220 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-07-15 0.000000 USD -45577.500000 USD 10300000.000000 USD 1306951.290000 N N N N/A N/A 000000000 1.000000 NC USD 813330.160000 0.1245245 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-06-23 0.000000 USD -15681.250000 USD 6500000.000000 USD 829011.410000 N N N N/A N/A 000000000 1.000000 NC USD 2134380.720000 0.3267833 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-02-25 0.000000 USD -47880.000000 USD 22800000.000000 USD 2182260.720000 N N N N/A N/A 000000000 1.000000 NC USD 660467.990000 0.1011206 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-18 0.000000 USD -4884.500000 USD 2600000.000000 USD 665352.490000 N N N N/A N/A 000000000 1.000000 NC USD 448498.840000 0.0686672 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-24 0.000000 USD -9066.930000 USD 1950000.000000 USD 457565.770000 N N N N/A N/A 000000000 1.000000 NC USD 199041.630000 0.0304742 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-18 0.000000 USD -7919.360000 USD 1100000.000000 USD 206960.990000 N N N N/A N/A 000000000 1.000000 NC USD 224491.580000 0.0343707 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-13 0.000000 USD -4004.030000 USD 1700000.000000 USD 228495.610000 N N N N/A N/A 000000000 1.000000 NC USD 144641.890000 0.0221453 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-20 49269.150000 USD 0.000000 USD 3300000.000000 USD 95372.740000 N N N N/A N/A 000000000 1.000000 NC USD 894973.650000 0.1370245 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-05-13 0.000000 USD -265552.270000 USD 24600000.000000 USD 1160525.920000 N N N N/A N/A 000000000 1.000000 NC USD -1652039.670000 -0.2529347 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-02-06 0.000000 USD -168410.000000 USD 153100000.000000 USD -1483629.670000 N N N N/A N/A 000000000 1.000000 NC USD 43525.000000 0.0066639 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-06-19 0.000000 USD -184252.680000 USD 8900000.000000 USD 227777.680000 N N N N/A N/A 000000000 1.000000 NC USD -2764850.940000 -0.4233111 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-10-23 120666.920000 USD 0.000000 USD 55800000.000000 USD -2885517.860000 N N N N/A N/A 000000000 1.000000 NC USD 1928832.920000 0.2953130 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-10-23 0.000000 USD -194608.530000 USD 11600000.000000 USD 2123441.450000 N N N N/A N/A 000000000 1.000000 NC USD 1601497.840000 0.2451965 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2051-12-15 0.000000 USD -386498.980000 USD 9100000.000000 USD 1987996.820000 N N N N/A N/A 000000000 1.000000 NC 1908.670000 0.0002922 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 1827000.000000 MXN 91688.790000 USD 2022-09-08 1908.670000 N N N N/A N/A 000000000 -2000000.000000 NC USD -10311.800000 -0.0015788 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 3.0% SEP 30YR N/A 94.690000 USD 2022-09-07 XXXX 1563.200000 N N N N/A N/A 000000000 -1157.000000 NC USD 1565074.170000 0.2396199 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-09-21 -136914680.270000 USD 1565074.170000 N N N N/A N/A 000000000 -1125.000000 NC USD 2845118.680000 0.4356005 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-09-21 -142901367.750000 USD 2845118.680000 N N N N/A N/A 000000000 -1098.000000 NC USD 1491777.550000 0.2283979 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-09-30 -230395571.140000 USD 1491777.550000 N N N N/A N/A 000000000 2343.000000 NC USD -2482790.410000 -0.3801264 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-09-30 262699723.240000 USD -2482790.410000 N N N N/A N/A 000000000 -1350.000000 NC USD 2622387.470000 0.4014993 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-09-21 -186447656.250000 USD 2622387.470000 N N N N/A N/A 000000000 122.000000 NC USD -723786.100000 -0.1108149 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-09-21 18686968.750000 USD -723786.100000 N N N BARCLAYS COMMERCIAL MORTGAGE SECURITIES LLC 2015-SRCH N/A 05547HAC5 800000.000000 PA USD 774590.880000 0.1185934 Long ABS-MBS CORP US N 2 2035-08-10 Fixed 4.197 N N N N N N BARCLAYS COMMERCIAL MORTGAGE SECURITIES LLC 2015-SRCH N/A 05547HAN1 600000.000000 PA USD 539673.360000 0.0826264 Long ABS-MBS CORP US N 2 2035-08-10 Variable 5.12177 N N N N N N BDS 2021-FL10 LTD N/A 07335YAA4 700000.000000 PA USD 671957.720000 0.1028798 Long ABS-CBDO CORP KY N 2 2036-12-16 Floating 2.96229 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 119809.360000 PA USD 79563.020000 0.0121815 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.07415 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3 N/A 073888AN9 678.930000 PA USD 673.370000 0.0001031 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.71814 N N N N N N BLACK DIAMOND CLO 2019-1 DAC 19-1A N/A ACI20P3Q5 2200000.000000 PA 2252973.960000 0.3449405 Long ABS-CBDO CORP IE N 2 2032-05-15 Floating 0.98 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 09681MAD0 800000.000000 PA USD 799316.920000 0.1223790 Long DBT CORP SG N 2 2022-09-18 Fixed 2.75 N N N N N N BWAY 2013-1515 MORTGAGE TRUST 2013-1515 N/A 05604FAC9 3000000.000000 PA USD 2880834.900000 0.4410688 Long ABS-MBS CORP US N 2 2033-03-10 Fixed 3.4543 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2012-4A N/A 14309YBQ6 1600000.000000 PA USD 1567295.870000 0.2399601 Long ABS-CBDO CORP KY N 2 2032-04-22 Floating 2.21629 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2013-1A N/A 14310BAU5 3600000.000000 PA USD 3547206.470000 0.5430933 Long ABS-CBDO CORP KY N 2 2030-08-14 Floating 2.36129 N N N N N N CHASEFLEX TRUST 2007-2 N/A 16165WAA4 1574354.000000 PA USD 1547677.830000 0.2369565 Long ABS-MBS CORP US N 2 2037-05-25 Floating 2.18357 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAF9 2230000.000000 PA USD 2088050.020000 0.3196899 Long ABS-MBS CORP US N 2 2037-10-25 Floating 3.12357 N N N N N N CITYLINE COMMERCIAL MORTGAGE TRUST 2016-CLNE N/A 178772AA7 2800000.000000 PA USD 2730604.240000 0.4180678 Long ABS-MBS CORP US N 2 2031-11-10 Variable 2.8707 N N N N N N COMM MORTGAGE TRUST 2018-HOME N/A 20048JAE0 2500000.000000 PA USD 2302140.500000 0.3524681 Long ABS-MBS CORP US N 2 2033-04-10 Variable 3.94224 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-8 N/A 045427AD3 4428204.490000 PA USD 4177666.860000 0.6396196 Long ABS-MBS CORP US N 2 2046-01-25 Floating 2.12357 Y N N N N N COUNTRYWIDE HOME LOANS 2007-HY4 N/A 17025RAA3 93697.890000 PA USD 85518.020000 0.0130932 Long ABS-MBS CORP US N 2 2047-09-25 Floating 2.92035 Y N N N N N CRESTLINE DENALI CLO XIV LTD 2016-1A N/A 22615MAW2 1750000.000000 PA USD 1711500.000000 0.2620384 Long ABS-CBDO CORP KY N 2 2031-10-23 Floating 2.324 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR18 N/A 22541QFC1 140.810000 PA USD 138.970000 0.0000213 Long ABS-MBS CORP US N 2 2033-07-25 Floating 2.59297 N N N N N N DROP MORTGAGE TRUST 2021-FILE N/A 26210YAA4 600000.000000 PA USD 579981.660000 0.0887978 Long ABS-MBS CORP US N 2 2043-10-15 Floating 2.47 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2018-1A N/A 26828HAA5 524966.690000 PA USD 503038.410000 0.0770174 Long ABS-O CORP US N 2 2068-02-27 Floating 2.37357 N N N N N N ELEVATION CLO LTD 2017-8A N/A 28622VAN0 2600000.000000 PA USD 2551217.240000 0.3906029 Long ABS-CBDO CORP KY N 2 2030-10-25 Floating 2.134 N N N N N N ENCORE CREDIT RECEIVABLES TR 2005-1 N/A 126673VP4 130777.640000 PA USD 134564.750000 0.0206025 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.28357 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAA8 1192659.760000 PA USD 1164590.510000 0.1783041 Long ABS-MBS CORP US N 2 2038-07-15 Floating 2.405 N N N N N N FANNIE MAE 2003-24 N/A 31393AE45 5756.130000 PA USD 6118.170000 0.0009367 Long ABS-MBS USGSE US N 2 2033-04-25 Fixed 5.5 N N N N N N FANNIE MAE 2003-76 N/A 31393D6J5 27536.100000 PA USD 28637.210000 0.0043845 Long ABS-MBS USGSE US N 2 2033-08-25 Fixed 5 N N N N N N FANNIE MAE 2005-69 N/A 31394EN46 66384.290000 PA USD 67954.770000 0.0104042 Long ABS-MBS USGSE US N 2 2035-08-25 Fixed 5.5 N N N N N N FANNIE MAE REMICS 2014-43 N/A 3136AKKF9 533651.220000 PA USD 471088.570000 0.0721258 Long ABS-MBS USGSE US N 2 2043-07-25 Fixed 3 N N N N N N FANNIE MAE-2004-94 N/A 31394BLK8 286443.530000 PA USD 325220.250000 0.0497927 Long ABS-MBS USGSE US N 2 2034-12-25 Fixed 6 N N N N N N FANNIE MAE-ACES 2020-M33 N/A 3136BBAR3 2262037.120000 PA USD 265596.180000 0.0406640 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.3581 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 3134A4KY9 3600000.000000 PA USD 2527258.430000 0.3869347 Long DBT USGSE US N 2 2032-07-15 None 0 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 3134A4NS9 250000.000000 PA USD 189867.700000 0.0290696 Long DBT USGSE US N 2 2031-01-15 None 0 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 3134A4CH5 10000000.000000 PA USD 8305625.600000 1.2716287 Long DBT USGSE US N 2 2028-03-15 None 0 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 3134A4AB0 5700000.000000 PA USD 4231782.660000 0.6479050 Long DBT USGSE US N 2 2031-03-15 None 0 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 3134A4NT7 250000.000000 PA USD 187546.360000 0.0287142 Long DBT USGSE US N 2 2031-07-15 None 0 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION (FANNIE MAE) B1V7KEBTPIMZEU4LTD58 31358DDS0 400000.000000 PA USD 301526.080000 0.0461650 Long DBT USGSE US N 2 2030-11-15 None 0 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 2289453.080000 PA USD 22386272.230000 3.4274392 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140HSM24 2000000.000000 PA USD 2036768.800000 0.3118385 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 3.79 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 18676.130000 PA USD 181233.200000 0.0277476 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 31418CZH0 46131.570000 PA USD 46082.240000 0.0070554 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N FORT CRE 2022-FL3 N/A 34706CAA7 2400000.000000 PA USD 2369842.320000 0.3628335 Long ABS-CBDO CORP US N 2 2039-02-23 Floating 2.75331 N N N N N N FREDDIE MAC 2551 N/A 31393JAZ1 77.330000 PA USD 77.190000 0.0000118 Long ABS-MBS USGSE US N 2 2033-01-15 Floating 1.724 N N N N N N FREDDIE MAC 2748 N/A 31394PUB7 8704.000000 PA USD 8748.370000 0.0013394 Long ABS-MBS USGSE US N 2 2024-02-15 Fixed 5.5 N N N N N N FREDDIE MAC 2990 N/A 31395V3Y3 461947.960000 PA USD 533020.960000 0.0816079 Long ABS-MBS USGSE US N 2 2035-06-15 Fixed 6 N N N N N N FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1 N/A 35563CAS7 4829600.240000 PA USD 4821105.460000 0.7381330 Long ABS-MBS USGSE US N 2 2052-11-25 Variable 4.44009 N N N N N N FREDDIE MAC REMICS 4380 N/A 3137BD4R4 1683472.760000 PA USD 1502159.040000 0.2299873 Long ABS-MBS USGSE US N 2 2053-04-15 Fixed 3 N N N N N N FREDDIE MAC REMICS 4398 N/A 3137BERC0 814917.060000 PA USD 804429.000000 0.1231617 Long ABS-MBS USGSE US N 2 2054-09-15 Fixed 4 N N N N N N FREDDIE MAC REMICS 4973 N/A 3137FT2J5 3367781.120000 PA USD 2833929.550000 0.4338874 Long ABS-MBS USGSE US N 2 2041-01-15 None 0 N N N N N N FREMONT HOME LOAN TRUST 2005-1 N/A 35729PJF8 1681864.130000 PA USD 1632760.260000 0.2499830 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.68857 N N N N N N GOVERNEMENT NATIONAL MTG ASSOC 2007-57 N/A 38375LUQ1 223630.220000 PA USD 244664.650000 0.0374593 Long ABS-MBS USGSE US N 2 2037-10-20 Fixed 5.5 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2021-DM N/A 36265AAA9 1750000.000000 PA USD 1684083.980000 0.2578409 Long ABS-MBS CORP US N 2 2036-11-15 Floating 2.21 N N N N N N GS MORTGAGE SECURITIES TRUST 2015-590M N/A 36250WAG5 800000.000000 PA USD 765822.160000 0.1172508 Long ABS-MBS CORP US N 2 2035-10-10 Variable 3.93225 N N N N N N GS MORTGAGE SECURITIES TRUST 2016-GS3 N/A 36251PAZ7 1800000.000000 PA USD 1646078.940000 0.2520221 Long ABS-MBS CORP US N 2 2049-10-10 Variable 3.72177 N N N N N N HILTON USA TRUST 2016-HHV N/A 43300LAJ9 1000000.000000 PA USD 937258.100000 0.1434984 Long ABS-MBS CORP US N 2 2038-11-05 Variable 4.33328 N N N N N N ING INVESTMENT MANAGEMENT CLO LTD 2012-4A N/A 92916GBE3 2700000.000000 PA USD 2654100.000000 0.4063547 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 2.04429 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI22SVD5 4700000.000000 PA 1338974.230000 0.2050030 Long DBT MUN IL N 2 2023-01-04 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI21KLL6 300000.000000 PA 85719.810000 0.0131241 Long DBT MUN IL N 2 2022-11-02 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI229M05 2500000.000000 PA 713830.720000 0.1092907 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 1272546.640000 PA USD 1260607.860000 0.1930047 Long ABS-MBS CORP US N 2 2031-12-15 Floating 2.774 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAV7 25949.440000 PA USD 25503.300000 0.0039047 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.41672 N N N N N N JP MORGAN MORTGAGE TRUST 2019-6 N/A 46651BAL4 113398.700000 PA USD 109826.600000 0.0168149 Long ABS-MBS CORP US N 2 2049-12-25 Floating 2.52357 N N N N N N JP MORGAN MTGGE ACQUIS CORP 2005-OPT2 N/A 46626LEN6 1636094.370000 PA USD 1630915.150000 0.2497005 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.34357 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1W77N5 1.490000 PA 0.160000 0.0000000 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N KKR CLO LTD 18 N/A 48251JAL7 700000.000000 PA USD 688800.000000 0.1054584 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 1.98429 N N N N N N LCM XX LP 20A N/A 50188WAE8 316877.820000 PA USD 314999.840000 0.0482279 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 2.10271 N N N N N N 1166 AVENUE OF THE AMERICAS COMMERCIAL MORTGAGE TRUST 2005-C6A N/A 682439AL8 500000.000000 PA USD 512769.000000 0.0785072 Long ABS-MBS CORP US N 2 2037-10-13 Fixed 5.6896 N N N N N N 1166 AVENUE OF THE AMERICAS COMMERCIAL MORTGAGE TRUST 2005-C6A N/A 682439AQ7 400000.000000 PA USD 399107.720000 0.0611052 Long ABS-MBS CORP US N 2 2037-10-13 Fixed 5.6896 N N N N N N 1166 AVENUE OF THE AMERICAS COMMERCIAL MORTGAGE TRUST 2005-C6A N/A 682439AS3 1300000.000000 PA USD 1286353.510000 0.1969465 Long ABS-MBS CORP US N 2 2037-10-13 Fixed 5.6896 N N N N N N 1166 AVENUE OF THE AMERICAS COMMERCIAL MORTGAGE TRUST 2005-C6A N/A 682439AU8 800000.000000 PA USD 779471.920000 0.1193407 Long ABS-MBS CORP US N 2 2037-10-13 Fixed 5.6896 N N N N N N LFT CRE 2021-FL1 LTD N/A 50203JAA6 2400000.000000 PA USD 2351024.640000 0.3599525 Long ABS-CBDO CORP KY N 2 2039-06-15 Floating 2.494 N N N N N N LOANCORE ISSUER LTD 2019-CRE2 N/A 53946JAA2 231732.770000 PA USD 230863.770000 0.0353463 Long ABS-CBDO CORP KY N 2 2036-05-15 Floating 2.454 N N N N N N MAGNETITE XVIII LTD 2016-18A N/A 55953TAS6 788784.560000 PA USD 776732.170000 0.1189212 Long ABS-CBDO CORP KY N 2 2028-11-15 Floating 2.29129 N N N N N N MASTR ASSET BACKED SEC TR 2004-WMC3 N/A 57643LFN1 1422334.110000 PA USD 1387393.620000 0.2124162 Long ABS-MBS CORP US N 2 2034-10-25 Floating 2.44857 N N N N N N MF1 2022-FL9 LLC N/A 55285AAA5 500000.000000 PA USD 490750.050000 0.0751360 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 2.96 N N N N N N MIDOCEAN CREDIT CLO II 2013-2A N/A 59863KAS6 1411003.970000 PA USD 1392832.070000 0.2132489 Long ABS-CBDO CORP KY N 2 2030-01-29 Floating 2.26886 N N N N N N ACE SECURITIES CORP 2004-RM2 N/A 004421JX2 4473517.760000 PA USD 4179840.710000 0.6399525 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.41857 N N N N N N MOUNTAIN VIEW CLO LLC 2017-2A N/A 62432LAL5 1500000.000000 PA USD 1471500.000000 0.2252933 Long ABS-CBDO CORP KY N 2 2031-01-16 Floating 2.08429 N N N N N N ACREC 2021-FL1 LTD N/A 00500RAA3 1700000.000000 PA USD 1624605.850000 0.2487345 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 2.76229 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 2158540.460000 PA USD 2071179.790000 0.3171070 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N9610 1.730000 PA 0.180000 0.0000000 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1NN643 1.220000 PA 0.130000 0.0000000 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 1.660000 PA 0.190000 0.0000000 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N OZLM IX LTD 2014-9A N/A 67109KBC7 1000000.000000 PA USD 981395.600000 0.1502561 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 2.16271 N N N N N N OZLM XVI LTD 2017-16A N/A 67111KAJ9 1700000.000000 PA USD 1671100.000000 0.2558529 Long ABS-CBDO CORP KY N 2 2030-05-16 Floating 2.44129 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 1.960000 PA 0.230000 0.0000000 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N RESIDENTIAL ASSET SEC CORP 2007-KS2 N/A 74924WAD9 738991.150000 PA USD 694703.340000 0.1063622 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.84357 N N N N N N RESOLUTION FUNDING CORP N/A 76116EHL7 800000.000000 PA USD 646930.880000 0.0990480 Long DBT USGSE US N 2 2028-10-15 None 0 N N N N N N RESOLUTION FUNDING CORP N/A 76116FAC1 4100000.000000 PA USD 3129942.010000 0.4792082 Long DBT USGSE US N 2 2030-04-15 None 0 N N N N N N ROMARK CLO LTD 2017-1A N/A 77587UAL6 2500000.000000 PA USD 2455840.750000 0.3760003 Long ABS-CBDO CORP KY N 2 2030-10-23 Floating 2.214 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 800000.000000 PA USD 618120.000000 0.0946370 Long DBT CORP KY N 2 2028-08-08 Variable 5.4 N N N N N N SARANAC CLO LTD 2018-6A N/A 80317LAJ2 1800000.000000 PA USD 1763100.000000 0.2699386 Long ABS-CBDO CORP JE N 2 2031-08-13 Floating 1.94286 N N N N N N SLM CONSOLIDATION STUD LN TRUST 2004-10 N/A 78442GNK8 485639.690000 PA USD 482242.540000 0.0738335 Long ABS-O CORP US N 2 2029-10-25 Floating 1.784 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2007-20L N/A 83162CRL9 30471.970000 PA USD 31258.520000 0.0047858 Long ABS-O CORP US N 2 2027-12-01 Fixed 5.29 N N N N N N SOUND POINT CLO IX LTD 2015-2A N/A 83609GBN4 1000000.000000 PA USD 974500.000000 0.1492003 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 2.27271 N N N N N N SOUND POINT CLO XV LTD 2017-1A N/A 83609RAL5 1359788.370000 PA USD 1340432.830000 0.2052263 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 2.084 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI08MN29 7800000.000000 PA 401664.950000 0.0614967 Long DBT NUSS ZA N 2 2032-03-31 Fixed 8.25 N N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 282328.850000 PA USD 265852.670000 0.0407032 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.94357 N N N N N N SYMPHONY STATIC CLO 2021-1A N/A 87190TAA1 569259.770000 PA USD 559025.330000 0.0855893 Long ABS-CBDO CORP KY N 2 2029-10-25 Floating 2.014 N N N N N N TENNESSEE VALLEY AUTHORITY (TVA) 549300HE1ISW43LNKM54 880591EJ7 1000000.000000 PA USD 1105670.730000 0.1692832 Long DBT USGA US N 2 2060-09-15 Fixed 4.625 N N N N N N TOWD POINT MORTGAGE FUNDING 19-V2A N/A ACI1GVL46 1386090.680000 PA 1687651.670000 0.2583871 Long ABS-MBS CORP GB N 2 2054-02-20 Floating 2.21635 N N N N N N UMBS PASS THRU POOLS N/A 01F020679 -3000000.000000 PA USD -2604375.000000 -0.3987416 Short ABS-MBS USGSE US N 2 2052-07-14 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F022675 3000000.000000 PA USD 2698828.140000 0.4132028 Long ABS-MBS USGSE US N 2 2052-07-14 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F032682 13700000.000000 PA USD 13163722.950000 2.0154253 Long ABS-MBS USGSE US N 2 2052-08-11 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040677 12700000.000000 PA USD 12527111.340000 1.9179572 Long ABS-MBS USGSE US N 2 2052-07-14 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F042673 5100000.000000 PA USD 5120917.960000 0.7840356 Long ABS-MBS USGSE US N 2 2052-07-14 Fixed 4.5 N N N N N N UNITED AIRLINES 2016-2 CLASS A PASS THROUGH TRUST N/A 90932DAA3 838333.340000 PA USD 718189.190000 0.1099580 Long DBT CORP US N 2 2030-04-07 Fixed 3.1 N N N N N N UNITED AIRLINES 2016-2 CLASS AA PASS THROUGH TRUST N/A 90932EAA1 838333.340000 PA USD 766460.420000 0.1173485 Long DBT CORP US N 2 2030-04-07 Fixed 2.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912803DV2 9500000.000000 PA USD 4814118.070000 0.7370632 Long DBT UST US N 2 2042-02-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912803EF6 51400000.000000 PA USD 24113654.650000 3.6919093 Long DBT UST US N 2 2044-02-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912803EL3 5200000.000000 PA USD 2356905.560000 0.3608529 Long DBT UST US N 2 2045-02-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912803FG3 120600000.000000 PA USD 51632761.410000 7.9052086 Long DBT UST US N 2 2049-02-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912803DX8 9700000.000000 PA USD 4867252.610000 0.7451983 Long DBT UST US N 2 2042-05-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912803EC3 16610000.000000 PA USD 7984466.700000 1.2224579 Long DBT UST US N 2 2043-05-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912803EH2 88500000.000000 PA USD 41157049.790000 6.3013299 Long DBT UST US N 2 2044-05-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912803EN9 7750000.000000 PA USD 3489967.140000 0.5343297 Long DBT UST US N 2 2045-05-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912803FD0 77000000.000000 PA USD 33137124.790000 5.0734432 Long DBT UST US N 2 2048-05-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912803DT7 14800000.000000 PA USD 7691453.880000 1.1775963 Long DBT UST US N 2 2041-08-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912803ED1 92900000.000000 PA USD 44361141.640000 6.7918908 Long DBT UST US N 2 2043-08-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912803EJ8 1500000.000000 PA USD 690860.450000 0.1057738 Long DBT UST US N 2 2044-08-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912803EU3 3500000.000000 PA USD 1528087.790000 0.2339571 Long DBT UST US N 2 2046-08-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912803FE8 153800000.000000 PA USD 65540673.440000 10.0345726 Long DBT UST US N 2 2048-08-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912803FK4 72300000.000000 PA USD 30518773.520000 4.6725618 Long DBT UST US N 2 2049-08-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912803FR9 130900000.000000 PA USD 53656573.660000 8.2150634 Long DBT UST US N 2 2050-08-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912803EK5 4800000.000000 PA USD 2189445.790000 0.3352140 Long DBT UST US N 2 2044-11-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912803FF5 172400000.000000 PA USD 73912902.010000 11.3163986 Long DBT UST US N 2 2048-11-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912803FL2 155500000.000000 PA USD 65573357.910000 10.0395768 Long DBT UST US N 2 2049-11-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128337V6 100300000.000000 PA USD 68948209.950000 10.5562818 Long DBT UST US N 2 2034-05-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912833Y20 52000000.000000 PA USD 33400830.840000 5.1138178 Long DBT UST US N 2 2036-05-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912833Y46 54350000.000000 PA USD 33690163.860000 5.1581160 Long DBT UST US N 2 2037-05-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128334Y3 76520000.000000 PA USD 52144783.560000 7.9836015 Long DBT UST US N 2 2034-08-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128335A4 6870000.000000 PA USD 4518233.090000 0.6917619 Long DBT UST US N 2 2035-08-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912833Z52 9100000.000000 PA USD 5589837.710000 0.8558294 Long DBT UST US N 2 2037-08-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128337W4 34600000.000000 PA USD 23365563.730000 3.5773732 Long DBT UST US N 2 2034-11-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912833Y38 76900000.000000 PA USD 48594954.830000 7.4401067 Long DBT UST US N 2 2036-11-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796X38 374000.000000 PA USD 373735.720000 0.0572206 Long DBT UST US N 2 2022-07-26 None 0 N N N N N N ANCHORAGE CAPITAL CLO 11 LTD 2019-11A N/A 03330NAJ3 4700000.000000 PA USD 4568649.480000 0.6994808 Long ABS-CBDO CORP KY N 2 2032-07-22 Floating 2.27629 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796T41 2021000.000000 PA USD 2017427.300000 0.3088772 Long DBT UST US N 2 2022-08-18 None 0 N N N N N N ANCHORAGE CAPITAL CLO LTD 2015-6A N/A 03328QAY7 2300000.000000 PA USD 2273387.760000 0.3480659 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 2.09429 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TF5 48400000.000000 PA USD 41056812.500000 6.2859831 Long DBT UST US N 2 2042-02-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TD0 75300000.000000 PA USD 61993078.130000 9.4914198 Long DBT UST US N 2 2052-02-15 Fixed 2.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TG3 12300000.000000 PA USD 11620617.130000 1.7791689 Long DBT UST US N 2 2052-05-15 Fixed 2.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TC2 23800000.000000 PA USD 18911703.240000 2.8954670 Long DBT UST US N 2 2041-11-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QT8 45850000.000000 PA USD 44046447.150000 6.7437097 Long DBT UST US N 2 2041-11-15 Fixed 3.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RZ3 1000.000000 PA USD 896.330000 0.0001372 Long DBT UST US N 2 2047-11-15 Fixed 2.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TB4 21600000.000000 PA USD 16213500.000000 2.4823600 Long DBT UST US N 2 2051-11-15 Fixed 1.875 N N N N N N VENTURE 36 CLO LTD N/A 92332LAU3 2200000.000000 PA USD 2152549.100000 0.3295650 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 2.19271 N N N N N N VENTURE XXVIII CLO LTD 2017-28A N/A 92331AAU8 1600000.000000 PA USD 1574400.000000 0.2410477 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 2.05271 N N N N N N VIBRANT CLO IV LTD 2016-4A N/A 92557WAW3 300000.000000 PA USD 291531.870000 0.0446348 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 2.18271 N N N N N N VIBRANT CLO VII LTD N/A 92558BAJ7 1800000.000000 PA USD 1765662.930000 0.2703310 Long ABS-CBDO CORP KY N 2 2030-09-15 Floating 2.10271 N N N N N N APIDOS CLO XV 2013-15A N/A 03764QBC5 750000.000000 PA USD 736997.800000 0.1128377 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 2.07271 N N N N N N VNDO TRUST 2016-350P N/A 91831UAA5 3600000.000000 PA USD 3428177.400000 0.5248694 Long ABS-MBS CORP US N 2 2035-01-10 Fixed 3.805 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 2942.940000 PA USD 2706.310000 0.0004143 Long ABS-MBS CORP US N 2 2046-10-25 Floating 1.723 N N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AB4 84371.090000 PA USD 79492.460000 0.0121707 Long ABS-MBS CORP US N 2 2047-01-25 Floating 1.2059 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAB3 2530043.540000 PA USD 2309105.720000 0.3535345 Long ABS-MBS CORP US N 2 2046-08-25 Floating 1.723 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1 N/A 03880XAA4 1950000.000000 PA USD 1895032.040000 0.2901379 Long ABS-CBDO CORP KY N 2 2037-01-15 Floating 2.22924 N N N N N N N/A N/A 000000000 8342000.000000 PA USD 8342000.000000 1.2771978 Long RA US N 2 Repurchase N 0.4000000 2022-07-01 8518200.000000 USD 8508881.090000 USD UST N N N N/A N/A 000000000 -326643125.000000 PA USD -326657007.320000 -50.0126607 Short RA US N 2 Reverse repurchase N 1.5300000 2022-07-01 715300000.000000 USD 329267204.170000 USD UST N N N ARES LII CLO LTD 2019-52A N/A 04009AAL4 700000.000000 PA USD 682951.930000 0.1045630 Long ABS-CBDO CORP KY N 2 2031-04-22 Floating 2.18629 N N N N N N N/A N/A 000000000 4322500.000000 PA USD 4322500.000000 0.6617942 Long RA US N 2 Repurchase N 1.1500000 2022-07-15 5200000.000000 USD 4411062.500000 USD UST N N N N/A N/A 000000000 8502000.000000 PA USD 8502000.000000 1.3016945 Long RA US N 2 Repurchase N 1.1700000 2022-07-07 10900000.000000 USD 8661242.240000 USD UST N N N N/A N/A 000000000 -7344000.000000 PA USD -7346772.360000 -1.1248240 Short RA US N 2 Reverse repurchase N 1.5100000 2022-07-06 10200000.000000 USD 7656375.000000 USD UST N N N N/A N/A 000000000 -37742250.000000 PA USD -37755176.720000 -5.7804878 Short RA US N 2 Reverse repurchase N 1.3700000 2022-07-06 47400000.000000 USD 39023531.250000 USD UST N N N N/A N/A 000000000 -5581500.000000 PA USD -5582220.940000 -0.8546632 Short RA US N 2 Reverse repurchase N 1.5500000 2022-07-12 6100000.000000 USD 5763070.280000 USD UST N N N N/A N/A 000000000 -10401875.000000 PA USD -10405801.720000 -1.5931752 Short RA US N 2 Reverse repurchase N 1.5100000 2022-07-06 13550000.000000 USD 10622552.730000 USD UST N N N N/A N/A 000000000 -48236000.000000 PA USD -48280732.260000 -7.3919978 Short RA US N 2 Reverse repurchase N 1.1500000 2022-07-15 55100000.000000 USD 46908871.090000 USD UST N N N N/A N/A 000000000 -5673000.000000 PA USD -5675363.750000 -0.8689238 Short RA US N 2 Reverse repurchase N 1.5000000 2022-07-05 6200000.000000 USD 5857546.840000 USD UST N N N N/A N/A 000000000 -22982625.000000 PA USD -22998355.330000 -3.5211519 Short RA US N 2 Reverse repurchase N 1.1200000 2022-07-15 27900000.000000 USD 22969546.880000 USD UST N N N N/A N/A 000000000 -68238000.000000 PA USD -68291225.640000 -10.4556946 Short RA US N 2 Reverse repurchase N 1.1700000 2022-07-07 76900000.000000 USD 68112968.820000 USD UST N N N N/A N/A 000000000 1.000000 NC -1942.460000 -0.0002974 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 213960.000000 USD 1502084.780000 DKK 2022-08-01 -1942.460000 N N N N/A N/A 000000000 1.000000 NC -1373.440000 -0.0002103 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 130575.910000 USD 915363.240000 DKK 2022-08-01 -1373.440000 N N N N/A N/A 000000000 1.000000 NC 1894.650000 0.0002901 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1505144.410000 DKK 213960.000000 USD 2022-07-01 1894.650000 N N N N/A N/A 000000000 1.000000 NC 1345.760000 0.0002060 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 917217.420000 DKK 130575.910000 USD 2022-07-01 1345.760000 N N N N/A N/A 000000000 1.000000 NC 7276.630000 0.0011141 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 549286.000000 GBP 676431.100000 USD 2022-08-16 7276.630000 N N N N/A N/A 000000000 1.000000 NC 18884.080000 0.0028912 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 630000.000000 GBP 786366.440000 USD 2022-08-16 18884.080000 N N N N/A N/A 000000000 1.000000 NC 7317.520000 0.0011203 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 299970.000000 ILS 93952.020000 USD 2022-11-02 7317.520000 N N N N/A N/A 000000000 1.000000 NC 3790.780000 0.0005804 N/A DFE N/A N 2 BNP Paribas S.A. N/A 136000.000000 EUR 146311.980000 USD 2022-07-05 3790.780000 N N N N/A N/A 000000000 1.000000 NC -24.950000 -0.0000038 N/A DFE N/A N 2 BNP Paribas S.A. N/A 107000.000000 EUR 112105.700000 USD 2022-07-05 -24.950000 N N N N/A N/A 000000000 1.000000 NC 868.480000 0.0001330 N/A DFE ZA N 2 BNP Paribas S.A. N/A 681416.400000 ZAR 42225.000000 USD 2022-11-08 868.480000 N N N N/A N/A 000000000 1.000000 NC USD -49549.830000 -0.0075863 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.38 Y Single Leg Swap 2027-06-22 90000.900000 USD 0.000000 USD 1782000.000000 USD -139550.730000 N N N N/A N/A OP001KDW0 -300000.000000 NC USD -122.630000 -0.0000188 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 1.200000 USD 2022-07-20 XXXX 420.370000 N N N N/A N/A OP001PKY7 -15500000.000000 NC USD -17616.990000 -0.0026972 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 -3100000.000000 NC USD -4949.990000 -0.0007579 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 2025.010000 N N N N/A N/A OP001PZ21 -2100000.000000 NC USD -1569.920000 -0.0002404 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG38 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.200000 USD 2022-07-20 XXXX 1580.080000 N N N N/A N/A 000000000 1.000000 NC 1597.280000 0.0002446 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 108208.700000 BRL 22273.640000 USD 2022-07-05 1597.280000 N N N N/A N/A 000000000 1.000000 NC 60805.190000 0.0093095 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2363000.000000 EUR 2537111.040000 USD 2022-07-05 60805.190000 N N N N/A N/A 000000000 1.000000 NC 17294.800000 0.0026479 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 500100.000000 ILS 162106.970000 USD 2022-12-07 17294.800000 N N N N/A N/A 000000000 1.000000 NC 10645.610000 0.0016299 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 300060.000000 ILS 97532.910000 USD 2022-12-07 10645.610000 N N N N/A N/A 000000000 1.000000 NC 2926.910000 0.0004481 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 100030.000000 ILS 31892.240000 USD 2022-12-07 2926.910000 N N N N/A N/A 000000000 1.000000 NC 21809.670000 0.0033392 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 799760.000000 ILS 253393.320000 USD 2022-12-07 21809.670000 N N N N/A N/A 000000000 1.000000 NC 22334.840000 0.0034196 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 799840.000000 ILS 253941.650000 USD 2022-12-07 22334.840000 N N N N/A N/A 000000000 1.000000 NC 78919.470000 0.0120829 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2999400.000000 ILS 949267.340000 USD 2023-01-04 78919.470000 N N N N/A N/A 000000000 1.000000 NC 26740.370000 0.0040941 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 999900.000000 ILS 316885.340000 USD 2023-01-04 26740.370000 N N N N/A N/A 000000000 1.000000 NC 13539.740000 0.0020730 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 499900.000000 ILS 158597.720000 USD 2023-01-04 13539.740000 N N N N/A N/A 000000000 1.000000 NC 5433.800000 0.0008319 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 199730.000000 ILS 63390.250000 USD 2023-01-04 5433.800000 N N N N/A N/A 000000000 1.000000 NC 1663.660000 0.0002547 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 241241.030000 DKK 35653.000000 USD 2022-07-01 1663.660000 N N N N/A N/A 000000000 1.000000 NC -139.010000 -0.0000213 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 20815.370000 USD 108208.700000 BRL 2022-07-05 -139.010000 N N N N/A N/A 000000000 1.000000 NC 152.310000 0.0000233 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 108208.700000 BRL 20651.500000 USD 2022-08-02 152.310000 N N N N/A N/A 000000000 1.000000 NC 51.080000 0.0000078 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 181571.530000 ZAR 10865.000000 USD 2023-05-12 51.080000 N N N 2022-08-12 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX