NPORT-P false 0000810893 XXXXXXXX S000014410 C000039229 C000039231 C000064167 C000200458 C000039232 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO StocksPLUS International Fund (Unhedged) S000014410 549300788EIV7LQVH379 2023-03-31 2022-06-30 N 459370440.790000 151002746.310000 308367694.480000 0.000000 0.000000 21945427.800000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 6280720.820000 DKK EUR GBP ILS USD CAD N N/A N/A 000000000 1.000000 NC -75.710000 -0.0000246 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 116959.310000 CNY 17428.000000 USD 2023-05-10 -75.710000 N N N N/A N/A 000000000 1.000000 NC -50.620000 -0.0000164 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 116142.640000 CNY 17296.000000 USD 2022-08-10 -50.620000 N N N AURIUM CLO IV DAC #N/A FIELD NOT APPLICABLE-4A N/A ACI21GDS9 1700000.000000 PA 1750319.780000 0.5676080 Long ABS-CBDO CORP IE N 2 2031-01-16 Floating 0.73 N N N N N N N/A N/A OP001HSQ4 -200000.000000 NC -3980.940000 -0.0012910 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 XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 5.250000 EUR 2022-07-20 XXXX -1901.970000 N N N N/A N/A OP001R5Z7 -200000.000000 NC -2241.060000 -0.0007267 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 -410.160000 N N N N/A N/A OP001R3R7 -300000.000000 NC -3361.590000 -0.0010901 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 OP001JTX4 -600000.000000 NC -1302.900000 -0.0004225 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 1468.740000 N N N N/A N/A OP001JTY2 -200000.000000 NC -434.300000 -0.0001408 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 473.180000 N N N N/A N/A OP001R6R4 -1800000.000000 NC -5896.680000 -0.0019122 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 -779.480000 N N N N/A N/A 000000000 1.000000 NC -8941.060000 -0.0028995 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 37 Y Single Leg Swap 2027-06-22 1632.180000 EUR 0.000000 EUR 1000000.000000 EUR -10573.240000 N N N N/A N/A 000000000 1.000000 NC -21.940000 -0.0000071 N/A DFE SG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 23000.000000 SGD 16534.170000 USD 2022-08-10 -21.940000 N N N N/A N/A 000000000 1.000000 NC -45.320000 -0.0000147 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 124000.000000 CNY 18474.840000 USD 2022-08-10 -45.320000 N N N N/A N/A 000000000 1.000000 NC -5680.060000 -0.0018420 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 313532.770000 USD 2185000.000000 DKK 2022-07-01 -5680.060000 N N N N/A N/A 000000000 1.000000 NC -5365.540000 -0.0017400 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 618719.000000 USD 4353306.880000 DKK 2022-07-01 -5365.540000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAH4 400000.000000 PA USD 396838.250000 0.1286900 Long DBT CORP US N 2 2024-12-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 97433.640000 0.0315966 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 12840968.080000 DKK 1906645.000000 USD 2022-07-01 97433.640000 N N N N/A N/A 000000000 1.000000 NC 54414.410000 0.0176460 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 7573537.190000 DKK 1121478.000000 USD 2022-07-01 54414.410000 N N N N/A N/A 000000000 1.000000 NC 7041.550000 0.0022835 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 795000.000000 DKK 119052.030000 USD 2022-07-01 7041.550000 N N N N/A N/A 000000000 1.000000 NC 5499.200000 0.0017833 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4344490.140000 DKK 618719.000000 USD 2022-08-01 5499.200000 N N N N/A N/A 000000000 1.000000 NC USD -11080545.250000 -3.5932899 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 2022-09-14 0.000000 USD 0.000000 USD 75249019.910000 USD -11080545.250000 N N N N/A N/A 000000000 1.000000 NC USD -15826173.830000 -5.1322412 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 2022-07-06 0.000000 USD 0.000000 USD 85154720.060000 USD -15826173.830000 N N N N/A N/A 000000000 1.000000 NC USD -15874558.540000 -5.1479318 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2022-07-06 0.000000 USD 0.000000 USD 85154720.060000 USD -15874558.540000 N N N N/A N/A 000000000 1.000000 NC USD -4869245.940000 -1.5790389 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 2022-08-10 0.000000 USD 0.000000 USD 51777553.780000 USD -4869245.940000 N N N N/A N/A 000000000 1.000000 NC USD -62990.710000 -0.0204271 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 2023-03-22 0.000000 USD 0.000000 USD 27882137.330000 USD -62990.710000 N N N N/A N/A 000000000 1.000000 NC USD -40209.840000 -0.0130396 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 MSCI DAILY TR NET EAFE USD FUND INDEX N/A N/A Y 2023-03-22 0.000000 USD 0.000000 USD 17798428.410000 USD -40209.840000 N N N N/A N/A 000000000 1.000000 NC USD -686810.860000 -0.2227246 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 7334414.330000 USD -686810.860000 N N N N/A N/A 000000000 1.000000 NC USD -506119.810000 -0.1641287 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 2023-04-05 0.000000 USD 0.000000 USD 5410409.820000 USD -506119.810000 N N N N/A N/A 000000000 1.000000 NC USD -544367.000000 -0.1765318 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 5819772.480000 USD -544367.000000 N N N N/A N/A 000000000 34.000000 NC USD -23032.630000 -0.0074692 N/A DE US N 1 New York Futures Exchange N/A Long MSCI EAFE INDEX N/A N/A 2022-09-16 3156220.000000 USD -23032.630000 N N N N/A N/A 000000000 1.000000 NC 70065.360000 0.0227214 N/A DFE CA N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 3652000.000000 CAD 2907231.300000 USD 2022-07-05 70065.360000 N N N N/A N/A 000000000 1.000000 NC -4584.770000 -0.0014868 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 177991.440000 USD 165000.000000 EUR 2022-08-16 -4584.770000 N N N N/A N/A 000000000 1.000000 NC 13901.610000 0.0045081 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 1249064.450000 USD 25701000.000000 MXN 2022-09-08 13901.610000 N N N N/A N/A 000000000 1.000000 NC 19112.010000 0.0061978 N/A DFE ZA N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 8052327.760000 ZAR 511930.790000 USD 2022-08-16 19112.010000 N N N N/A N/A 000000000 -34.000000 NC USD 63686.200000 0.0206527 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short S&P 500 INDEX N/A N/A 2022-09-16 -6442150.000000 USD 63686.200000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAR2 325000.000000 PA USD 265206.460000 0.0860033 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N N/A N/A 000000000 1.000000 NC -10958.280000 -0.0035536 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3525000.000000 CAD 2727543.900000 USD 2022-07-05 -10958.280000 N N N N/A N/A 000000000 1.000000 NC 2.980000 0.0000010 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 132917.310000 CNY 19855.000000 USD 2022-08-10 2.980000 N N N N/A N/A 000000000 1.000000 NC 99816.220000 0.0323692 N/A DCR NL N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 STELLANTIS NV FIAT CHRYSLER AUTOMOBILE SR UNSEC Y Single Leg Swap 2026-12-22 184515.360000 EUR 0.000000 EUR 800000.000000 EUR -84699.140000 N N N BAIDU INC 254900AL64IANZYI1E02 056752AR9 1000000.000000 PA USD 919572.030000 0.2982063 Long DBT CORP KY N 2 2030-04-07 Fixed 3.425 N N N N N N N/A N/A 000000000 30200000.000000 NC USD 733545.920000 0.2378803 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 443625.920000 N N N N/A N/A 000000000 -60400000.000000 NC USD -823686.880000 -0.2671119 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 -533809.280000 N N N N/A N/A 000000000 1.000000 NC -333952.080000 -0.1082967 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 291802.680000 GBP 0.000000 GBP 2900000.000000 GBP -625754.760000 N N N N/A N/A 000000000 1.000000 NC -495827.670000 -0.1607911 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 677800.560000 CAD 0.000000 CAD 4150000.000000 CAD -1173628.230000 N N N N/A N/A 000000000 1.000000 NC -1309847.500000 -0.4247681 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 -615671.060000 EUR 6800000.000000 EUR -694176.440000 N N N N/A N/A 000000000 1.000000 NC 889535.330000 0.2884658 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2052-09-23 276022.320000 EUR 0.000000 EUR 2500000.000000 EUR 613513.010000 N N N N/A N/A 000000000 1.000000 NC USD -6690061.050000 -2.1695078 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-08-05 75713.980000 USD 0.000000 USD 114900000.000000 USD -6765775.030000 N N N N/A N/A 000000000 1.000000 NC USD -4654263.730000 -1.5093227 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-07-22 162936.660000 USD 0.000000 USD 82400000.000000 USD -4817200.390000 N N N N/A N/A 000000000 1.000000 NC USD -2237493.930000 -0.7255928 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-16 0.000000 USD -945536.690000 USD 16000000.000000 USD -1291957.240000 N N N N/A N/A 000000000 1.000000 NC USD -671535.100000 -0.2177709 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-03-16 0.000000 USD -14277.180000 USD 7600000.000000 USD -657257.920000 N N N N/A N/A 000000000 1.000000 NC USD 319243.460000 0.1035269 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-12-16 0.000000 USD -358142.630000 USD 34200000.000000 USD 677386.090000 N N N N/A N/A 000000000 1.000000 NC USD -186601.690000 -0.0605127 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-12-16 63272.170000 USD 0.000000 USD 2700000.000000 USD -249873.860000 N N N N/A N/A 000000000 1.000000 NC USD 694508.860000 0.2252210 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-03-17 30243.000000 USD 0.000000 USD 4600000.000000 USD 664265.860000 N N N N/A N/A 000000000 1.000000 NC USD 4342418.450000 1.4081950 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-08-04 55621.100000 USD 0.000000 USD 29400000.000000 USD 4286797.350000 N N N N/A N/A 000000000 1.000000 NC USD 1752326.520000 0.5682588 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-06-16 1058115.860000 USD 0.000000 USD 5200000.000000 USD 694210.660000 N N N N/A N/A 000000000 1.000000 NC USD -7731351.520000 -2.5071860 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 983363.640000 USD 0.000000 USD 60200000.000000 USD -8714715.160000 N N N N/A N/A 000000000 1.000000 NC USD 7731482.060000 2.5072283 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 -5034591.440000 USD 144500000.000000 USD 12766073.500000 N N N N/A N/A 000000000 1.000000 NC USD -6012584.730000 -1.9498102 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-06-17 2374637.640000 USD 0.000000 USD 71900000.000000 USD -8387222.370000 N N N N/A N/A 000000000 1.000000 NC USD 2509203.360000 0.8137050 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 -165734.250000 USD 18200000.000000 USD 2674937.610000 N N N N/A N/A 000000000 1.000000 NC USD -313205.350000 -0.1015688 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-06-17 0.000000 USD -24625.840000 USD 1100000.000000 USD -288579.510000 N N N N/A N/A 000000000 1.000000 NC USD 1071916.610000 0.3476099 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-18 0.000000 USD -1159648.350000 USD 26600000.000000 USD 2231564.960000 N N N N/A N/A 000000000 1.000000 NC USD 42294.340000 0.0137156 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-12-03 0.000000 USD -146931.590000 USD 1700000.000000 USD 189225.930000 N N N N/A N/A 000000000 1.000000 NC USD 598323.250000 0.1940292 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 0.000000 USD -2509922.010000 USD 21400000.000000 USD 3108245.260000 N N N N/A N/A 000000000 1.000000 NC USD 102547.780000 0.0332550 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 -2664681.760000 USD 24700000.000000 USD 2767229.540000 N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 BF2PHRII3 200000.000000 PA 201830.560000 0.0654513 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 -629896.810000 -0.2042681 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-06-15 0.000000 USD -185108.890000 USD 5600000.000000 USD -444787.920000 N N N N/A N/A 000000000 1.000000 NC -1126433.190000 -0.3652890 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 -620849.870000 GBP 6400000.000000 GBP -505583.320000 N N N N/A N/A 000000000 1.000000 NC 1077500.830000 0.3494208 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 609791.050000 GBP 0.000000 GBP 2800000.000000 GBP 467709.780000 N N N N/A N/A 000000000 1.000000 NC USD -730276.910000 -0.2368202 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 0.000000 USD -156501.260000 USD 5400000.000000 USD -573775.650000 N N N N/A N/A 000000000 1.000000 NC USD -119592.760000 -0.0387825 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-12-15 8683.450000 USD 0.000000 USD 1400000.000000 USD -128276.210000 N N N N/A N/A 000000000 1.000000 NC USD -121794.120000 -0.0394964 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-12-15 24925.280000 USD 0.000000 USD 1200000.000000 USD -146719.400000 N N N N/A N/A 000000000 1.000000 NC 26665.940000 0.0086474 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 25525000.000000 MXN 1280983.230000 USD 2022-09-08 26665.940000 N N N N/A N/A 000000000 53.000000 NC USD -36096.030000 -0.0117055 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-09-21 6271804.710000 USD -36096.030000 N N N N/A N/A 000000000 2.000000 NC USD -1682.230000 -0.0005455 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-09-30 419664.060000 USD -1682.230000 N N N N/A N/A 000000000 -463.000000 NC USD 225463.870000 0.0731153 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-09-30 -51912066.520000 USD 225463.870000 N N N N/A N/A 000000000 -170.000000 NC USD 213433.980000 0.0692141 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-09-21 -23478593.750000 USD 213433.980000 N N N N/A N/A 000000000 -46.000000 NC USD 127881.790000 0.0414706 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-09-21 -7045906.250000 USD 127881.790000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBA2 200000.000000 PA USD 197000.000000 0.0638848 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 06738EBG9 300000.000000 PA USD 295500.000000 0.0958272 Long DBT CORP GB N 2 2024-06-15 Floating 8 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBT1 200000.000000 PA USD 153872.710000 0.0498991 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 700000.000000 PA 819730.000000 0.2658288 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 06738EBC8 1000000.000000 PA USD 999774.750000 0.3242151 Long DBT CORP GB N 2 2024-05-16 Floating 2.79129 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAZ8 100000.000000 PA USD 97305.640000 0.0315551 Long DBT CORP US N 2 2024-08-15 Fixed 3.222 N N N N N N BAT INTERNATIONAL FINANCE PLC 21380041YBGOQDFAC823 05530QAK6 30000.000000 PA USD 29450.910000 0.0095506 Long DBT CORP GB N 2 2025-06-15 Fixed 3.95 N N N N N N BCAP LLC TRUST 2010-RR11 N/A 05533JBE2 183905.480000 PA USD 155867.840000 0.0505461 Long ABS-MBS CORP US N 2 2037-03-27 Floating 3.27707 N N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HXZ9 1369899.480000 PA USD 1267622.100000 0.4110749 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.77137 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAA8 274924.080000 PA USD 241761.090000 0.0784003 Long ABS-MBS CORP US N 2 2046-06-25 Floating 1.94357 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAX8 6827.350000 PA USD 6345.610000 0.0020578 Long ABS-MBS CORP US N 2 2034-02-25 Floating 1.94357 N N N N N N BEAR STEARNS ALT-A TRUST 2007-2 N/A 073870AA5 211994.820000 PA USD 194779.650000 0.0631647 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.96357 N N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE7 N/A 07388HAP4 106088.810000 PA USD 100919.100000 0.0327269 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.94357 N N N N N N BERKSHIRE HATHAWAY ENERGY COMPANY 549300JD0S5IZJE9LY15 084659AX9 700000.000000 PA USD 639885.320000 0.2075072 Long DBT CORP US N 2 2050-10-15 Fixed 4.25 N N N N N N BLUEMOUNTAIN FUJI EUR CLO II DAC 17-2A N/A ACI1VBS38 1119896.490000 PA 1155764.360000 0.3748007 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 0.65 N N N N N N BNPP AM EURO CLO 2019 BV 19-1A N/A ACI21M4V9 1100000.000000 PA 1118963.120000 0.3628665 Long ABS-CBDO CORP IE N 2 2032-07-22 Floating 0.82 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DA0 200000.000000 PA USD 186024.350000 0.0603255 Long DBT CORP US N 2 2026-02-01 Fixed 2.75 N N N N N N BPCRE HOLDER LLC 2022-FL2 N/A 05602FAA5 700000.000000 PA USD 690224.780000 0.2238317 Long ABS-CBDO CORP BM N 2 2037-01-18 Floating 3.90684 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 105756CB4 582000.000000 PA USD 396069.010000 0.1284405 Long DBT NUSS BR N 2 2050-01-14 Fixed 4.75 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBK6 700000.000000 PA USD 579613.740000 0.1879619 Long DBT CORP US N 2 2033-04-15 Fixed 3.419 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBL4 600000.000000 PA USD 489117.760000 0.1586151 Long DBT CORP US N 2 2034-04-15 Fixed 3.469 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 200000.000000 PA USD 152153.510000 0.0493416 Long DBT CORP US N 2 2035-11-15 Fixed 3.137 N N N N N N CAIRN CLO IV BV 14-4A N/A ACI1W1H64 599694.930000 PA 620213.450000 0.2011279 Long ABS-CBDO CORP IE N 2 2031-04-30 Floating 0.6 N N N N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 400000.000000 PA 408516.540000 0.1324771 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.78 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -3900000.000000 PA -2801568.370000 -0.9085155 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 700000.000000 PA 711674.670000 0.2307877 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 700000.000000 PA 716707.330000 0.2324197 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 166089.900000 PA USD 165553.960000 0.0536872 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 1200000.000000 PA USD 1197403.440000 0.3883038 Long ABS-O CORP US N 2 2023-06-14 Fixed 1.842 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175CA0 400000.000000 PA USD 278454.640000 0.0902995 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 132000.000000 PA USD 132485.420000 0.0429635 Long DBT CORP US N 2 2025-07-23 Fixed 4.908 N N N N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 1024241.200000 PA USD 965442.180000 0.3130815 Long ABS-MBS CORP US N 2 2037-07-25 Floating 1.92357 N N N N N N CHENIERE CORPUS CHRISTI HOLDINGS LLC 549300I7CIEWU1BBLQ53 16412XAJ4 200000.000000 PA USD 183138.860000 0.0593898 Long DBT CORP US N 2 2029-11-15 Fixed 3.7 N N N N N N CHEVY CHASE MORTGAGE FUND CORP 2005-3A N/A 16678RDU8 100805.380000 PA USD 93122.260000 0.0301984 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.85357 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAA0 175608.250000 PA USD 174882.850000 0.0567124 Long ABS-MBS CORP US N 2 2037-10-25 Floating 2.97357 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR3 N/A 17306SAA1 20784.270000 PA USD 19812.060000 0.0064248 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.2603 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-NC2 N/A 17309TAC2 988264.220000 PA USD 756797.520000 0.2454205 Long ABS-MBS CORP US N 2 2036-09-25 Floating 1.94357 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486D22 21000.000000 PA USD 22504.780000 0.0072980 Long DBT MUN US N 2 2042-01-01 Fixed 7.75 N N N N N N CONSOLIDATED EDISON COMPANY OF NEW YORK INC VZFZPMWDHTQCFKYOBP05 209111FY4 1700000.000000 PA USD 1478210.570000 0.4793662 Long DBT CORP US N 2 2050-04-01 Fixed 3.95 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA22 N/A 23245PAA9 8525.710000 PA USD 7588.970000 0.0024610 Long ABS-MBS CORP US N 2 2047-02-25 Floating 1.94357 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDE0 5502.250000 PA USD 4983.010000 0.0016159 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.4759 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1 N/A 02150GAN8 555604.480000 PA USD 215769.560000 0.0699715 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.97357 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY3 N/A 02148DAA8 1356877.600000 PA USD 1138546.090000 0.3692170 Long ABS-MBS CORP US N 2 2047-03-25 Floating 4.39571 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OH2 N/A 02151RAC7 1075715.390000 PA USD 921268.580000 0.2987565 Long ABS-MBS CORP US N 2 2047-08-25 Floating 2.10357 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7 N/A 126680AA5 51878.310000 PA USD 45070.280000 0.0146158 Long ABS-MBS CORP US N 2 2047-05-25 Floating 1.98357 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-27CB N/A 12667FWU5 653975.270000 PA USD 611064.420000 0.1981610 Long ABS-MBS CORP US N 2 2034-12-25 Fixed 6 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-16 N/A 126670PJ1 1220831.940000 PA USD 1203920.000000 0.3904170 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.34357 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-6 N/A 126673W65 408351.470000 PA USD 402630.670000 0.1305684 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.68857 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-13 N/A 23242EAL3 4180000.000000 PA USD 3778971.220000 1.2254757 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.91357 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-5 N/A 12668KAA1 373375.540000 PA USD 352812.370000 0.1144129 Long ABS-MBS CORP US N 2 2047-09-25 Floating 1.82357 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-8 N/A 1266735Z1 770000.000000 PA USD 744223.020000 0.2413427 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 136524.180000 PA USD 136297.920000 0.0441998 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.28357 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KJ6 81468.860000 PA USD 78328.020000 0.0254009 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.10357 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 2025.330000 PA USD 1952.800000 0.0006333 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.71141 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 538.900000 PA USD 539.480000 0.0001749 Long ABS-MBS CORP US N 2 2035-02-20 Floating 2.52038 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225436AA2 200000.000000 PA USD 182688.000000 0.0592436 Long DBT CORP CH N 2 2024-12-18 Floating 6.25 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 22546DAB2 400000.000000 PA USD 382057.600000 0.1238968 Long DBT CORP CH N 2 2023-12-11 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AJ7 200000.000000 PA USD 185000.000000 0.0599933 Long DBT CORP CH N 2 2023-07-17 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AK4 264000.000000 PA USD 229415.770000 0.0743968 Long DBT CORP CH N 2 2025-09-12 Floating 7.25 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AL2 200000.000000 PA USD 165749.610000 0.0537506 Long DBT CORP CH N 2 2026-08-21 Floating 6.375 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225433AC5 484000.000000 PA USD 469448.420000 0.1522366 Long DBT CORP CH N 2 2025-03-26 Fixed 3.75 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823QGC9 1600000.000000 PA USD 1598870.930000 0.5184950 Long DBT CORP US N 2 2022-07-12 None 0 N N N N N N CSMC 2021-JR2 TRUST N/A 12659NAA6 194549.970000 PA USD 186750.340000 0.0605609 Long ABS-MBS CORP US N 2 2061-11-25 Variable 2.215 N N N N N N CVC CORDATUS LOAN FUND VII DAC 7A N/A ACI1W2TC6 500000.000000 PA 512262.180000 0.1661206 Long ABS-CBDO CORP IE N 2 2031-09-15 Floating 0.63 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650DH0 1400000.000000 PA USD 1364985.050000 0.4426485 Long DBT CORP US N 2 2027-04-01 Fixed 3.625 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAH7 400000.000000 PA USD 379063.580000 0.1229258 Long DBT CORP US N 2 2024-02-15 Fixed 1.625 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAF1 200000.000000 PA USD 186264.000000 0.0604032 Long DBT CORP US N 2 2025-03-20 Fixed 2.625 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAG9 200000.000000 PA USD 176206.400000 0.0571417 Long DBT CORP US N 2 2028-03-20 Fixed 3.375 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-AR2 N/A 25151UAA5 301592.170000 PA USD 296495.620000 0.0961500 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.92357 Y N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI1J0CL3 800000.000000 PA 751787.590000 0.2437958 Long DBT CORP DE N 2 2027-01-20 Fixed 1.625 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI0ZWMV4 100000.000000 PA 91477.860000 0.0296652 Long DBT CORP DE N 2 2028-01-17 Fixed 1.75 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI1QTHL7 500000.000000 PA 487473.440000 0.1580819 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 1188000.000000 PA USD 1186807.180000 0.3848675 Long DBT CORP DE N 2 2023-02-27 Floating 2.78286 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CD9 150000.000000 PA USD 125717.550000 0.0407687 Long DBT CORP DE N 2 2031-09-18 Floating 3.547 N N N N N N ELLINGTON LOAN ACQUISITION TRUST 2007-2 N/A 288547AA0 387023.350000 PA USD 377906.200000 0.1225505 Long ABS-MBS CORP US N 2 2037-05-25 Floating 2.67357 N N N N N N ENTERPRISE FLEET FINANCING LLC 2022-2 N/A 29374JAA3 3400000.000000 PA USD 3403965.080000 1.1038657 Long ABS-O CORP US N 2 2023-06-20 Fixed 2.764 N N N N N N EQUINOR ASA OW6OFBNCKXC4US5C7523 29446MAF9 1400000.000000 PA USD 1299381.450000 0.4213741 Long DBT CORP NO N 2 2030-04-06 Fixed 3.125 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HHA1 225000.000000 NS USD 213637.200000 0.0692800 Long EP CORP US N 2 N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 1400000.000000 PA USD 1351944.260000 0.4384196 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N ERSTE GROUP BANK AG PQOH26KWDF7CG10L6792 BDRXT5II9 400000.000000 PA 408952.010000 0.1326183 Long DBT CORP AT N 2 2024-04-15 Floating 6.5 N N N N N N EXELON CORPORATION 3SOUA6IRML7435B56G12 30161NAX9 2100000.000000 PA USD 2017315.860000 0.6541917 Long DBT CORP US N 2 2030-04-15 Fixed 4.05 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2022-3A N/A 30166YAA0 1800000.000000 PA USD 1799100.720000 0.5834271 Long ABS-O CORP US N 2 2023-06-15 Fixed 1.865 N N N N N N EXPEDIA GROUP INC N/A 30212PAS4 44000.000000 PA USD 45371.170000 0.0147133 Long DBT CORP US N 2 2025-05-01 Fixed 6.25 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 286000.000000 PA 277677.900000 0.0900477 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FANNIE MAE 2005-79 N/A 31394FHD0 5661.250000 PA USD 5650.330000 0.0018323 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 2.03357 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 789.880000 PA USD 784.830000 0.0002545 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 1.97357 N N N N N N FANNIE MAE 2007-65 N/A 31396WLX2 1323.450000 PA USD 1317.040000 0.0004271 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 2.00357 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 9650.050000 PA USD 9768.410000 0.0031678 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 2.34357 N N N N N N FANNIE MAE REMICS 2012-31 N/A 3136A5JJ6 493000.000000 PA USD 500098.120000 0.1621759 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 4 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 2854.460000 PA USD 2845.780000 0.0009229 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 2.02357 N N N N N N FHLMC PASS THRU POOLS N/A 31297MW95 33083.090000 PA USD 34499.500000 0.0111878 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LDVR2 362.340000 PA USD 377.380000 0.0001224 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7KG7 431.800000 PA USD 450.270000 0.0001460 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5R93 256.400000 PA USD 275.930000 0.0000895 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6YJ1 117710.520000 PA USD 124265.960000 0.0402980 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N FIRST HORIZON MTGE PT TR 2007-AR3 N/A 32056JAE4 126303.490000 PA USD 113979.460000 0.0369622 Long ABS-MBS CORP US N 2 2037-11-25 Floating 3.00937 Y N N N N N FNMA PASS THRU POOLS N/A 31368HL35 68.240000 PA USD 73.150000 0.0000237 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371PCJ7 2201.770000 PA USD 2366.570000 0.0007675 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31385XQ59 270.540000 PA USD 289.910000 0.0000940 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31391WFK2 178.180000 PA USD 190.590000 0.0000618 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31400BZL3 117.580000 PA USD 124.590000 0.0000404 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31400JSC4 63.410000 PA USD 67.980000 0.0000220 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402DP79 20846.300000 PA USD 22355.100000 0.0072495 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402QV57 3192.490000 PA USD 3285.940000 0.0010656 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31402RCR8 909.070000 PA USD 975.540000 0.0003164 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DBL2 152.240000 PA USD 163.470000 0.0000530 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DDX4 344.780000 PA USD 369.970000 0.0001200 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404ABA1 94.940000 PA USD 101.320000 0.0000329 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31406PG78 15568.290000 PA USD 16514.570000 0.0053555 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407FHF0 172.300000 PA USD 184.910000 0.0000600 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407HKP0 1096.860000 PA USD 1165.950000 0.0003781 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407RTA2 176.660000 PA USD 188.800000 0.0000612 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407WUV3 7269.240000 PA USD 7631.990000 0.0024750 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31407YXM6 3962.650000 PA USD 4248.760000 0.0013778 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31408AEN6 180.150000 PA USD 192.890000 0.0000626 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31408GY92 470.020000 PA USD 490.590000 0.0001591 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409AJ42 1640.100000 PA USD 1725.340000 0.0005595 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409BBV8 2201.380000 PA USD 2364.820000 0.0007669 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409EN80 319.770000 PA USD 343.490000 0.0001114 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410E3F3 1192.680000 PA USD 1255.540000 0.0004072 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410FCT0 822.920000 PA USD 856.430000 0.0002777 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410FVW2 44044.470000 PA USD 46613.530000 0.0151162 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410FVY8 3948.090000 PA USD 4242.270000 0.0013757 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410FYE9 191.620000 PA USD 205.670000 0.0000667 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GF99 2010.720000 PA USD 2160.090000 0.0007005 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KNN0 631.170000 PA USD 691.830000 0.0002244 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411DS75 155.110000 PA USD 166.580000 0.0000540 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411JF43 1637.510000 PA USD 1759.040000 0.0005704 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412MNZ7 269.830000 PA USD 285.730000 0.0000927 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412NEZ5 24248.250000 PA USD 25987.580000 0.0084275 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412N6Z4 9089.520000 PA USD 9769.180000 0.0031680 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412QXQ7 12232.130000 PA USD 12727.860000 0.0041275 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412V5F1 3558.180000 PA USD 3852.960000 0.0012495 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412XES9 4414.590000 PA USD 4838.420000 0.0015690 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413DRT6 16860.370000 PA USD 17742.380000 0.0057536 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413TJV5 131.660000 PA USD 142.870000 0.0000463 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413TVD1 12917.220000 PA USD 13747.740000 0.0044582 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31413UW47 230.850000 PA USD 230.930000 0.0000749 Long ABS-MBS USGSE US N 2 2022-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415MM28 2717.990000 PA USD 2910.800000 0.0009439 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415P3Z9 1895.140000 PA USD 2029.140000 0.0006580 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415P6P8 23899.750000 PA USD 25692.980000 0.0083319 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415YFZ7 1068.800000 PA USD 1111.870000 0.0003606 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416AVY3 2808.680000 PA USD 2954.780000 0.0009582 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416CBU9 1367.660000 PA USD 1480.760000 0.0004802 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416JH53 178.610000 PA USD 182.730000 0.0000593 Long ABS-MBS USGSE US N 2 2023-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416J5B3 2938.750000 PA USD 3148.150000 0.0010209 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416Q6N0 1339.650000 PA USD 1383.480000 0.0004486 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418P3W3 3933.150000 PA USD 4096.290000 0.0013284 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418TWY9 5578.650000 PA USD 5804.640000 0.0018824 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418T2H9 3423.610000 PA USD 3462.580000 0.0011229 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418V3Z3 7261.900000 PA USD 7344.570000 0.0023818 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419ARE9 484.690000 PA USD 519.850000 0.0001686 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31419AVJ3 13938.250000 PA USD 15285.780000 0.0049570 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31419A3K1 379.070000 PA USD 415.790000 0.0001348 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31419JSV1 11571.290000 PA USD 11918.460000 0.0038650 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ABYE3 4172.420000 PA USD 4309.190000 0.0013974 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ARNJ9 10266.340000 PA USD 10515.110000 0.0034099 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EGE26 19886.290000 PA USD 21812.620000 0.0070736 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EGSJ4 136461.400000 PA USD 146664.460000 0.0475616 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EHPD8 93780.830000 PA USD 96839.680000 0.0314040 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EKSM8 43789.370000 PA USD 47076.750000 0.0152664 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EKW35 19820.180000 PA USD 21633.310000 0.0070154 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138EK2L8 3715.530000 PA USD 4075.380000 0.0013216 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138ELCT8 38939.110000 PA USD 42710.740000 0.0138506 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 6 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 1021901.810000 PA USD 9992155.940000 3.2403381 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140GQ6E1 75407.680000 PA USD 73759.010000 0.0239192 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H1FD7 38980.700000 PA USD 38132.140000 0.0123658 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H4B45 41303.360000 PA USD 40404.440000 0.0131027 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5LT6 28906.950000 PA USD 28278.340000 0.0091703 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5MJ7 36951.290000 PA USD 36036.250000 0.0116861 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5M32 24132.840000 PA USD 23536.280000 0.0076325 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5NN7 33464.650000 PA USD 32735.950000 0.0106159 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5N64 15080.250000 PA USD 14706.900000 0.0047693 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HBJZ2 37497.170000 PA USD 36544.060000 0.0118508 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 6666.700000 PA USD 64693.700000 0.0209794 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140Q9HE6 47208.740000 PA USD 46181.250000 0.0149760 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CS47 205181.510000 PA USD 200598.090000 0.0650516 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CUA0 65143.650000 PA USD 63705.980000 0.0206591 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 1667692.530000 PA USD 1630352.160000 0.5287039 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CV27 43144.740000 PA USD 42286.590000 0.0137130 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CWS9 38303.990000 PA USD 37433.560000 0.0121393 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CXM1 34662.760000 PA USD 33868.450000 0.0109831 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CYL2 180829.260000 PA USD 176741.440000 0.0573152 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CZG2 30903.810000 PA USD 30102.140000 0.0097618 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397XU2 200000.000000 PA USD 184731.000000 0.0599061 Long DBT CORP US N 2 2026-01-08 Fixed 4.389 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540XAB9 600000.000000 PA USD 598026.000000 0.1939328 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZU0 200000.000000 PA USD 198939.070000 0.0645136 Long DBT CORP US N 2 2022-11-01 Fixed 3.35 N N N N N N FORT CRE 2022-FL3 N/A 34706CAA7 1800000.000000 PA USD 1777381.740000 0.5763839 Long ABS-CBDO CORP US N 2 2039-02-23 Floating 2.75331 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 8590.910000 PA USD 8690.230000 0.0028181 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 2.024 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 5508.630000 PA USD 5576.330000 0.0018083 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 2.044 N N N N N N FREDDIE MAC 3368 N/A 31397KL82 5173.970000 PA USD 5238.100000 0.0016987 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 2.044 N N N N N N FREDDIE MAC 3898 N/A 3137ADX44 45682.330000 PA USD 45887.100000 0.0148806 Long ABS-MBS USGSE US N 2 2041-06-15 Floating 1.894 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 1441.280000 PA USD 1458.450000 0.0004730 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 2.034 N N N N N N FREDDIE MAC REMICS 4077 N/A 3137ASAN4 427000.000000 PA USD 431455.830000 0.1399160 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 4 N N N N N N GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A N/A 36361UAQ3 600000.000000 PA USD 577812.600000 0.1873778 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 2.69429 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2022-2A N/A 36265NAA1 800000.000000 PA USD 795961.600000 0.2581209 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 1600000.000000 PA USD 1592399.200000 0.5163962 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 21H050672 4900000.000000 PA USD 5022500.000000 1.6287374 Long ABS-MBS USGSE US N 2 2052-07-21 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295GWA6 15095.960000 PA USD 16356.400000 0.0053042 Long ABS-MBS USGSE US N 2 2037-08-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36296UNU0 16366.470000 PA USD 17361.450000 0.0056301 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N STICHTING AK RABOBANK CERTIFICATEN N/A BJBQCWII7 113250.000000 NS 115568.540000 0.0374775 Long EP CORP NL N 2 N N N GNMA PASS THRU POOLS N/A 3620A2UY0 13260.350000 PA USD 14062.650000 0.0045604 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241KUL0 840.560000 PA USD 891.780000 0.0002892 Long ABS-MBS USGSE US N 2 2038-08-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36241KZ35 6074.490000 PA USD 6431.840000 0.0020858 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36177MGP1 5006.910000 PA USD 4991.600000 0.0016187 Long ABS-MBS USGSE US N 2 2042-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36177TAG2 738.410000 PA USD 728.220000 0.0002362 Long ABS-MBS USGSE US N 2 2042-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178CLZ4 22653.030000 PA USD 22358.870000 0.0072507 Long ABS-MBS USGSE US N 2 2042-06-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178NB65 4324.270000 PA USD 4321.700000 0.0014015 Long ABS-MBS USGSE US N 2 2042-08-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36180DSZ1 6685.140000 PA USD 6598.780000 0.0021399 Long ABS-MBS USGSE US N 2 2043-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183BCF3 45810.190000 PA USD 45214.900000 0.0146627 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184BZF7 7990.810000 PA USD 7986.040000 0.0025898 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 36184BZJ9 14621.030000 PA USD 14504.180000 0.0047035 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184EA27 1000.000000 PA USD 987.000000 0.0003201 Long ABS-MBS USGSE US N 2 2045-05-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184KHZ3 40435.230000 PA USD 40411.120000 0.0131048 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184NBT7 64667.490000 PA USD 64468.960000 0.0209065 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36185BRF5 8762.670000 PA USD 8757.440000 0.0028399 Long ABS-MBS USGSE US N 2 2045-06-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36186SMU9 38892.880000 PA USD 38508.500000 0.0124879 Long ABS-MBS USGSE US N 2 2045-06-15 Fixed 3.5 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZS6 1000000.000000 PA USD 992047.470000 0.3217093 Long DBT CORP US N 2 2028-03-15 Floating 3.22323 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H31 N/A 38375BC59 224290.730000 PA USD 223090.460000 0.0723456 Long ABS-MBS USGSE US N 2 2062-11-20 Floating 2.48 N N N N N N GSAMP TRUST 2006-HE8 N/A 3622M8AE6 902000.000000 PA USD 789535.570000 0.2560371 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.85357 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAB7 4325.240000 PA USD 2294.380000 0.0007440 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.69357 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RT8 8328.880000 PA USD 8189.420000 0.0026557 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.93279 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 454.980000 PA USD 430.270000 0.0001395 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.6685 N N N N N N GSR MORTGAGE LOAN TRUST 2006-9F N/A 3622X7AE6 88986.350000 PA USD 83525.750000 0.0270864 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.25 Y N N N N N GSR MORTGAGE LOAN TRUST 2007-2F N/A 362636AT9 1245.880000 PA USD 772.370000 0.0002505 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N HALSEYPOINT CLO 2 LTD N/A 40638TAC6 300000.000000 PA USD 295741.710000 0.0959055 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 2.50271 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 ACI09CXQ6 200000.000000 PA 207095.880000 0.0671587 Long DBT CORP GB N 2 2022-09-16 Floating 5.25 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AW9 220000.000000 PA USD 218099.000000 0.0707269 Long DBT CORP GB N 2 2026-03-08 Fixed 4.3 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CF4 800000.000000 PA USD 791126.420000 0.2565530 Long DBT CORP ZA N 2 2030-03-31 Fixed 4.95 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 200000.000000 PA USD 169165.320000 0.0548583 Long DBT CORP GB N 2 2031-06-04 Floating 2.848 N N N N N N HSI ASSET SECUR CORP TRUST 2007-HE1 N/A 40430FAA0 505619.160000 PA USD 404228.410000 0.1310865 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.76357 N N N N N N IDAHO POWER COMPANY TN0LL73P2C8X3W6KM391 45138LBF9 1000000.000000 PA USD 907604.890000 0.2943255 Long DBT CORP US N 2 2048-03-01 Fixed 4.2 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAB9 200000.000000 PA USD 187699.400000 0.0608687 Long DBT CORP GB N 2 2026-07-26 Fixed 3.5 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR27 N/A 45661LAC2 156393.180000 PA USD 78151.560000 0.0253436 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.16357 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR14 N/A 45668GAD4 657941.560000 PA USD 630845.090000 0.2045756 Long ABS-MBS CORP US N 2 2046-11-25 Floating 2.02357 Y N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AZ6 300000.000000 PA USD 205319.760000 0.0665828 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 ING GROEP NV 549300NYKK9MWM7GGW15 456837AR4 300000.000000 PA USD 274750.500000 0.0890983 Long DBT CORP NL N 2 2026-11-16 Floating 5.75 N N N N Y ING GROEP NV EUR XXXX N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 ACI0RSP49 300000.000000 PA 299176.630000 0.0970194 Long DBT CORP IT N 2 2027-01-11 Floating 7.75 N N N N N N IRVINE RANCH WATER DISTRICT 2ZRS7W19IBMY48SFBI68 4636324P1 350000.000000 PA USD 426329.190000 0.1382535 Long DBT MUN US N 2 2040-05-01 Fixed 6.622 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 BJGTFKII9 6500000.000000 PA 1873545.280000 0.6075686 Long DBT NUSS IL N 2 2022-07-31 Fixed 0.75 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI22SVD5 600000.000000 PA 170932.880000 0.0554315 Long DBT MUN IL N 2 2023-01-04 None 0 N N N N N N JFIN CLO LTD 2017-2A N/A 46593CAC3 700000.000000 PA USD 672349.440000 0.2180350 Long ABS-CBDO CORP KY N 2 2029-09-20 Floating 3.69586 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A3 N/A 46628KAT7 7865.680000 PA USD 7648.380000 0.0024803 Long ABS-MBS CORP US N 2 2034-08-25 Floating 2.76619 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAH8 153417.350000 PA USD 147252.930000 0.0477524 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.94688 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 152.660000 PA USD 146.030000 0.0000474 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.49641 N N N N N N KKR CLO LTD 18 N/A 48251JAL7 400000.000000 PA USD 393600.000000 0.1276398 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 800000.000000 PA USD 771826.700000 0.2502943 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 2.64429 N N N N N N KKR CLO LTD 21 N/A 48252KAC3 400000.000000 PA USD 381924.950000 0.1238537 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 2.44429 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAL0 16000.000000 PA USD 15513.450000 0.0050308 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 22000.000000 PA USD 20407.010000 0.0066178 Long DBT CORP US N 2 2045-07-15 Fixed 5.2 N N N N N N LCM LP 13A N/A 50184KBN7 700000.000000 PA USD 678882.820000 0.2201537 Long ABS-CBDO CORP KY N 2 2027-07-19 Floating 2.54429 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AU3 1000000.000000 PA USD 977172.090000 0.3168854 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 539439AT6 2800000.000000 PA USD 2738818.260000 0.8881664 Long DBT CORP GB N 2 2028-08-16 Fixed 4.55 N N N N N N LUMINENT MORTGAGE TRUST 2006-6 N/A 55027YAD0 2763233.520000 PA USD 2517148.510000 0.8162815 Long ABS-MBS CORP US N 2 2046-10-25 Floating 2.02357 N N N N N N MADISON PARK EURO FUNDING X DAC 10A N/A ACI216KN4 400000.000000 PA 410128.920000 0.1330000 Long ABS-CBDO CORP IE N 2 2030-10-25 Floating 0.74 N N N N N N MAGALLANES INC 549300DXR29GD4N0A520 55903VAJ2 200000.000000 PA USD 183339.690000 0.0594549 Long DBT CORP US N 2 2029-03-15 Fixed 4.054 N N N N N N MAGALLANES INC 549300DXR29GD4N0A520 55903VAL7 700000.000000 PA USD 626289.870000 0.2030984 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 1000000.000000 PA 987708.590000 0.3203022 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 500000.000000 PA 464617.020000 0.1506698 Long ABS-CBDO CORP IE N 2 2032-10-15 Fixed 1.97 N N N N N N MASTR ASSET BACKED SEC TR 2007-WMC1 N/A 55275TAB4 5534.290000 PA USD 1873.540000 0.0006076 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.67357 N N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE2 N/A 59024LAD3 2034290.880000 PA USD 698914.600000 0.2266497 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.14357 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 16058.240000 PA USD 13719.910000 0.0044492 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.9962 Y N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAD4 1152189.980000 PA USD 647435.830000 0.2099558 Long ABS-MBS CORP US N 2 2037-08-25 Floating 1.92357 N N N N N N MF1 2022-FL8 LTD N/A 55284JAC3 1300000.000000 PA USD 1238392.610000 0.4015961 Long ABS-CBDO CORP KY N 2 2037-02-19 Floating 2.54224 N N N N N N ACE SECURITIES CORP 2005-SD2 N/A 004421QH9 691000.000000 PA USD 642042.930000 0.2082069 Long ABS-MBS CORP US N 2 2040-08-25 Floating 6.12357 Y N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAC4 2150396.600000 PA USD 1143116.210000 0.3706991 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.75357 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAA4 1562099.690000 PA USD 684027.520000 0.2218220 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.83857 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-11AR N/A 61748HTG6 301120.580000 PA USD 176498.460000 0.0572364 Long ABS-MBS CORP US N 2 2036-01-25 Floating 1.90357 Y N N N N N ACE SECURITIES CORP 2006-NC2 N/A 00441XAA2 352788.190000 PA USD 278354.960000 0.0902672 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.90357 N N N N N N MOUNTAIN VIEW CLO LLC 2017-1A N/A 62432HAJ9 776588.950000 PA USD 766881.590000 0.2486906 Long ABS-CBDO CORP KY N 2 2029-10-16 Floating 2.13429 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBQ2 300000.000000 PA USD 250713.780000 0.0813035 Long DBT CORP US N 2 2030-08-15 Fixed 2.65 N N N N N N NASSAU LTD 2017-IA N/A 631707AL0 543894.920000 PA USD 541400.090000 0.1755697 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 2.19429 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAC1 374000.000000 PA USD 374572.500000 0.1214694 Long DBT CORP GB N 2 2024-08-01 Floating 4.363 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 396000.000000 PA USD 384151.900000 0.1245759 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 1800000.000000 PA USD 1802093.530000 0.5843976 Long DBT CORP GB N 2 2024-06-25 Floating 3.74729 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 1100000.000000 PA USD 1097729.970000 0.3559809 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 654740AZ2 800000.000000 PA USD 799880.830000 0.2593919 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 300000.000000 PA USD 298555.950000 0.0968182 Long DBT CORP US N 2 2022-09-28 Fixed 2.6 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 600000.000000 PA USD 551241.920000 0.1787612 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 200000.000000 PA USD 177868.050000 0.0576805 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AP2 N/A 65535VLL0 1731.480000 PA USD 986.740000 0.0003200 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.476 Y N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 4274548.000000 PA 495603.170000 0.1607183 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-4 N/A 66988XAD6 1139959.910000 PA USD 541857.260000 0.1757179 Long ABS-MBS CORP US N 2 2036-09-25 Floating 2.12357 N N N N N N AEP TRANSMISSION COMPANY LLC 549300X123Z1I0LA3Y84 00115AAM1 1200000.000000 PA USD 993529.090000 0.3221897 Long DBT CORP US N 2 2050-04-01 Fixed 3.65 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 19866847.170000 PA 2302830.580000 0.7467807 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 200000.000000 PA USD 160304.070000 0.0519847 Long DBT CORP IE N 2 2032-01-30 Fixed 3.3 N N N N N N OPTION ONE MORTGAGE LOAN TR 2005-1 N/A 68389FGK4 980151.590000 PA USD 949707.590000 0.3079790 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.40357 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2006-1 N/A 68389FKR4 814000.000000 PA USD 761866.390000 0.2470643 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.16357 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-3 N/A 68402BAA4 452768.200000 PA USD 336101.020000 0.1089936 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.84357 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAW5 200000.000000 PA USD 168652.700000 0.0546921 Long DBT CORP IE N 2 2028-10-29 Fixed 3 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-4 N/A 68403FAA4 346245.710000 PA USD 259055.780000 0.0840087 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.84357 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-5 N/A 68403HAA0 462928.730000 PA USD 311986.370000 0.1011735 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.84357 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JW8 200000.000000 PA USD 172546.570000 0.0559548 Long DBT CORP US N 2 2028-06-15 Fixed 3 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JM0 200000.000000 PA USD 177901.860000 0.0576915 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 500000.000000 PA USD 497994.280000 0.1614937 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 500000.000000 PA USD 482108.670000 0.1563421 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 600000.000000 PA USD 596202.420000 0.1933414 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 1107469.440000 PA 1146345.560000 0.3717463 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 973154.950000 PA 999937.500000 0.3242679 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 0.73 N N N N N N PERRIGO FINANCE UNLIMITED CO (AKA: PERRIGO FINANCE PLC) 549300E86RB6YCTMRM83 71429MAC9 300000.000000 PA USD 268134.290000 0.0869528 Long DBT CORP IE N 2 2030-06-15 Variable 4.15 N N N N N N AKER BP ASA 549300NFTY73920OYK69 00973RAG8 150000.000000 PA USD 141987.850000 0.0460450 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 725040.710000 PA USD 681655.510000 0.2210528 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 480380.510000 PA USD 450712.210000 0.1461606 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 968117.390000 PA USD 910416.040000 0.2952372 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 774689.080000 PA USD 762137.260000 0.2471521 Long ABS-MBS CORP US N 2 2052-04-25 Fixed 5.24 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-NPL3 N/A 74143NAA0 1400000.000000 PA USD 1405057.510000 0.4556435 Long ABS-MBS CORP US N 3 2052-06-25 Variable 6.1704 N N N N N N PRIMA CAPITAL CRE SECURITIZATION 2019-RK1 LTD N/A 74166HAE7 1100000.000000 PA USD 1111240.020000 0.3603620 Long ABS-MBS CORP KY N 2 2038-04-15 Fixed 3.5 N N N N N N PROVIDUS CLO II DAC 2A N/A ACI1WP1H4 400000.000000 PA 408317.560000 0.1324126 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 0.75 N N N N N N PUBLIC POWER GENERATION AGENCY N/A 744434CW9 20000.000000 PA USD 24248.380000 0.0078635 Long DBT MUN US N 2 2041-01-01 Fixed 7.242 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 5365870.000000 PA 622806.980000 0.2019689 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAF3 206795.270000 PA USD 86322.550000 0.0279934 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.586 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2021-2A N/A 76088LAA6 457309.070000 PA USD 435581.100000 0.1412538 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 500000.000000 PA USD 492109.700000 0.1595854 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 799599.480000 PA USD 686449.200000 0.2226074 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 77790.130000 PA USD 72143.370000 0.0233952 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.99357 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAC7 270817.090000 PA USD 233313.530000 0.0756608 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.96357 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO2 N/A 761118HU5 7144.650000 PA USD 6496.670000 0.0021068 Long ABS-MBS CORP US N 2 2045-09-25 Floating 1.8359 N N N N N N RESIDENTIAL ASSET SECS CORP 2005-KS12 N/A 753910AF5 2200000.000000 PA USD 2133820.480000 0.6919728 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.34357 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 400000.000000 PA USD 309060.000000 0.1002245 Long DBT CORP KY N 2 2028-08-08 Variable 5.4 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAP0 400000.000000 PA USD 283712.000000 0.0920044 Long DBT CORP KY N 2 2029-03-08 Variable 3.1 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAR6 400000.000000 PA USD 264924.000000 0.0859117 Long DBT CORP KY N 2 2031-08-08 Variable 3.25 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAJ4 440000.000000 PA USD 440245.820000 0.1427665 Long DBT CORP GB N 2 2024-11-15 Floating 4.796 N N N N N N SCULPTOR EUROPEAN CLO V DAC 5A N/A ACI21JK97 1700000.000000 PA 1720093.960000 0.5578061 Long ABS-CBDO CORP IE N 2 2032-01-14 Floating 0.79 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 323196.010000 PA USD 155782.000000 0.0505183 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.10357 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-FRE1 N/A 81879MAV1 1663034.430000 PA USD 997393.260000 0.3234429 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.98357 N N N N N N SHELTER GROWTH CRE 2022-FL4 ISSUER LTD N/A 82286DAA2 1100000.000000 PA USD 1096455.910000 0.3555677 Long ABS-MBS CORP BM N 2 2037-06-19 Floating 3.416 N N N N N N SHELTER GROWTH CRE 2022-FL4 ISSUER LTD N/A 82286DAC8 700000.000000 PA USD 694418.060000 0.2251916 Long ABS-MBS CORP BM N 2 2037-06-19 Floating 4.313 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2007-20L N/A 83162CRL9 1269.670000 PA USD 1302.440000 0.0004224 Long ABS-O CORP US N 2 2027-12-01 Fixed 5.29 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20L N/A 83162CSE4 1352.550000 PA USD 1434.680000 0.0004652 Long ABS-O CORP US N 2 2028-12-01 Fixed 6.22 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2009-20E N/A 83162CSN4 6239.670000 PA USD 6280.980000 0.0020368 Long ABS-O CORP US N 2 2029-05-01 Fixed 4.43 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83367TBF5 200000.000000 PA USD 196462.070000 0.0637103 Long DBT CORP FR N 2 2023-12-18 Floating 7.875 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 F8586CRW4 200000.000000 PA USD 196462.070000 0.0637103 Long DBT CORP FR N 2 2023-12-18 Floating 7.875 N N N N N N SOUND POINT CLO XIV LTD 2016-3A N/A 83609NAN0 1007516.400000 PA USD 995426.200000 0.3228050 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 2.174 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAB8 2203.600000 PA USD 1591.450000 0.0005161 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.70357 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAD4 535117.580000 PA USD 386715.350000 0.1254072 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.83357 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1 N/A 83612NAC9 1524636.140000 PA USD 461733.460000 0.1497347 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.73357 N N N N N N SOUNDVIEW HOME EQUITY LOAN TRUST 2007-1 N/A 83612PAA8 133926.990000 PA USD 126399.440000 0.0409898 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.77357 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-4 N/A 02660LAA8 2182389.130000 PA USD 1257746.870000 0.4078724 Long ABS-MBS CORP US N 2 2046-10-25 Floating 1.81357 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAF2 600000.000000 PA USD 620400.000000 0.2011884 Long DBT CORP US N 2 2023-09-15 Fixed 7.875 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BZ2 900000.000000 PA USD 794755.850000 0.2577299 Long DBT CORP GB N 2 2027-01-14 Floating 1.456 N N N N N N STELLANTIS FINANCE US INC 549300QZ0AI8Q7LNON33 85855CAB6 800000.000000 PA USD 634269.840000 0.2056862 Long DBT CORP US N 2 2031-09-15 Fixed 2.691 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-1 N/A 86362TAA5 121464.430000 PA USD 118429.090000 0.0384052 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.92357 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR2 N/A 86363DAH4 3781.730000 PA USD 1368.040000 0.0004436 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.88357 N N N N N N STRUCTURED ASSET SEC CORP 2007-WF1 N/A 86358BAT9 386771.550000 PA USD 365035.490000 0.1183767 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.04357 N N N N N N STRUCTURED ASSET SECURITIES CO-2007-BC3 N/A 86363WAC3 574017.830000 PA USD 554604.950000 0.1798518 Long ABS-MBS CORP US N 2 2047-05-25 Floating 1.85357 N N N N N N STWD 2022-FL3 LTD N/A 78485KAE5 2000000.000000 PA USD 1905344.600000 0.6178807 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 2.57924 N N N N N N SYMPHONY CLO XVII LTD 2016-17A N/A 87165UAN1 237245.960000 PA USD 235205.330000 0.0762743 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 1.92429 N N N N N N SYMPHONY STATIC CLO 2021-1A N/A 87190TAA1 379506.520000 PA USD 372683.560000 0.1208569 Long ABS-CBDO CORP KY N 2 2029-10-25 Floating 2.014 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABR5 200000.000000 PA USD 180350.640000 0.0584856 Long DBT CORP US N 2 2026-02-15 Fixed 2.25 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABV6 300000.000000 PA USD 263371.500000 0.0854083 Long DBT CORP US N 2 2029-04-15 Fixed 3.375 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABW4 200000.000000 PA USD 173093.000000 0.0561320 Long DBT CORP US N 2 2031-04-15 Fixed 3.5 N N N N N N TAURUS 2021-1 UK DAC 21-UK1A N/A ACI1W1MF8 297812.640000 PA 350310.230000 0.1136015 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 1000000.000000 PA USD 941098.600000 0.3051872 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 1800000.000000 PA USD 1799401.860000 0.5835248 Long ABS-O CORP US N 2 2023-06-19 Fixed 2.192 N N N N N N THEOREM FUNDING TRUST 2022-1A N/A 88339XAA2 949443.530000 PA USD 931311.150000 0.3020132 Long ABS-O CORP US N 2 2028-02-15 Fixed 1.85 N N N N N N TIAA CLO IV LTD 2018-1A N/A 88631YAE7 1600000.000000 PA USD 1525979.360000 0.4948571 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 2.76271 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 3268312.720000 PA USD 3174090.860000 1.0293202 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N TRALEE CLO VI LTD 2019 6A N/A 89289EBA1 400000.000000 PA USD 390264.680000 0.1265582 Long ABS-CBDO CORP KY N 2 2032-10-25 Floating 2.634 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 462000.000000 PA USD 461907.600000 0.1497912 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UBS AG / STAMFORD BRANCH BFM8T61CT2L1QCEMIK50 90261AAB8 363000.000000 PA USD 364081.890000 0.1180675 Long DBT CORP CH N 2 2022-08-17 Fixed 7.625 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AP3 1200000.000000 PA USD 1188757.580000 0.3855000 Long DBT CORP CH N 2 2028-05-12 Floating 4.751 N N N N N N UMBS PASS THRU POOLS N/A 01F020471 -3900000.000000 PA USD -3641320.330000 -1.1808372 Short ABS-MBS USGSE US N 2 2037-07-18 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F020679 -10500000.000000 PA USD -9115312.500000 -2.9559881 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 -7100000.000000 PA USD -6387226.600000 -2.0713021 Short ABS-MBS USGSE US N 2 2052-07-14 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F032682 100000.000000 PA USD 96085.570000 0.0311594 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 01F042681 5300000.000000 PA USD 5310144.520000 1.7220171 Long ABS-MBS USGSE US N 2 2052-08-11 Fixed 4.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796K57 18400000.000000 PA USD 18392955.190000 5.9646181 Long DBT UST US N 2 2022-07-14 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796S42 39000000.000000 PA USD 38978116.710000 12.6401427 Long DBT UST US N 2 2022-07-21 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796S59 2600000.000000 PA USD 2597908.610000 0.8424711 Long DBT UST US N 2 2022-07-28 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796W88 2000000.000000 PA USD 1999807.960000 0.6485141 Long DBT UST US N 2 2022-07-05 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796X20 30000000.000000 PA USD 29984737.500000 9.7236961 Long DBT UST US N 2 2022-07-19 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796S67 3500000.000000 PA USD 3496107.720000 1.1337464 Long DBT UST US N 2 2022-08-04 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796U64 13300000.000000 PA USD 13245636.250000 4.2954033 Long DBT UST US N 2 2022-09-29 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 125725.000000 PA USD 111288.320000 0.0360895 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 868189.000000 PA USD 889556.820000 0.2884728 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 491004.000000 PA USD 440489.900000 0.1428457 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 3556394.120000 PA USD 3401770.460000 1.1031540 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBQ3 3400000.000000 PA USD 3099710.950000 1.0051996 Long DBT UST US N 2 2026-02-28 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QE1 1807000.000000 PA USD 2151953.480000 0.6978531 Long DBT UST US N 2 2040-02-15 Fixed 4.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 6800000.000000 PA USD 6483109.390000 2.1023958 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N ANGLOGOLD ASHANTI HOLDINGS PLC 213800745ZIXC4L6A131 03512TAF8 400000.000000 PA USD 339179.630000 0.1099919 Long DBT CORP IM N 2 2028-11-01 Fixed 3.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X70 300000.000000 PA USD 294832.030000 0.0956105 Long DBT UST US N 2 2024-04-30 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XB1 1711000.000000 PA USD 1669494.890000 0.5413975 Long DBT UST US N 2 2025-05-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286T2 7000000.000000 PA USD 6707011.710000 2.1750047 Long DBT UST US N 2 2029-05-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282P4 8352000.000000 PA USD 8357034.840000 2.7100877 Long DBT UST US N 2 2022-07-31 Fixed 1.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XQ8 2970000.000000 PA USD 2972096.320000 0.9638157 Long DBT UST US N 2 2022-07-31 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828D56 3862000.000000 PA USD 3812065.540000 1.2362078 Long DBT UST US N 2 2024-08-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SD1 154000.000000 PA USD 145584.140000 0.0472112 Long DBT UST US N 2 2048-08-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285D8 12460000.000000 PA USD 12452455.840000 4.0381843 Long DBT UST US N 2 2023-09-30 Fixed 2.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285C0 600000.000000 PA USD 599296.870000 0.1943449 Long DBT UST US N 2 2025-09-30 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285J5 600000.000000 PA USD 599179.690000 0.1943069 Long DBT UST US N 2 2025-10-31 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285P1 1180000.000000 PA USD 1178732.420000 0.3822490 Long DBT UST US N 2 2023-11-30 Fixed 2.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810ST6 2100000.000000 PA USD 1513230.470000 0.4907228 Long DBT UST US N 2 2040-11-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YY0 2100000.000000 PA USD 2035564.460000 0.6601095 Long DBT UST US N 2 2024-12-31 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBC4 800000.000000 PA USD 729171.870000 0.2364618 Long DBT UST US N 2 2025-12-31 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285T3 200000.000000 PA USD 197230.470000 0.0639595 Long DBT UST US N 2 2025-12-31 Fixed 2.625 N N N N N N UPSTART SECURITIZATION TRUST 2022-2 N/A 91679TAA3 600000.000000 PA USD 593317.740000 0.1924059 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 287671.420000 PA USD 282557.860000 0.0916302 Long ABS-O CORP US N 2 2030-06-17 Fixed 4.25 N N N N N N VENTURE 38 CLO LTD N/A 92332NAU9 700000.000000 PA USD 672767.690000 0.2181706 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 800000.000000 PA USD 750830.880000 0.2434856 Long ABS-CBDO CORP KY N 2 2032-07-30 Floating 3.036 N N N N N N VENTURE CLO LTD 2013-4A N/A 92328GBA3 1244941.520000 PA USD 1236824.250000 0.4010875 Long ABS-CBDO CORP KY N 2 2029-08-28 Floating 2.62786 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AB9 400000.000000 PA USD 382524.000000 0.1240480 Long DBT CORP US N 2 2028-02-15 Fixed 4.75 N N N N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 ACI1C4MC1 500000.000000 PA 424055.060000 0.1375160 Long DBT CORP GB N 2 2039-05-24 Fixed 2.5 N N N N N N WACHOVIA MORTGAGE LN TRUST LLC 2005-B N/A 92977YBR1 29877.880000 PA USD 28303.420000 0.0091785 Long ABS-MBS CORP US N 2 2035-10-20 Floating 2.31733 Y N N N N N WAMU ASSET-BACKED CERTIFICATES 2007-HE2 N/A 92926SAE6 4357582.020000 PA USD 1859181.540000 0.6029106 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.98357 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 9404.160000 PA USD 8799.650000 0.0028536 Long ABS-MBS CORP US N 2 2042-11-25 Floating 1.6759 N N N N N N AQUEDUCT EUROPEAN CLO 1-2017 DAC N/A ACI1VHTC4 1032060.240000 PA 1065891.910000 0.3456562 Long ABS-CBDO CORP IE N 2 2030-07-20 Floating 0.64 N N N N N N WASHINGTON MUTUAL 2006-AR11 N/A 93363TAD4 745216.960000 PA USD 680928.430000 0.2208170 Long ABS-MBS CORP US N 2 2046-09-25 Floating 1.3959 Y N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AE0 52343.980000 PA USD 45625.550000 0.0147958 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.57691 Y N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 14880.600000 PA USD 13591.150000 0.0044074 Long ABS-MBS CORP US N 2 2046-02-25 Floating 1.4759 N N N N N N WASHINGTON MUTUAL 2006-AR8 N/A 93362FAD5 344869.870000 PA USD 322823.960000 0.1046880 Long ABS-MBS CORP US N 2 2046-08-25 Floating 2.85293 Y N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL2 N/A 03881JAE6 600000.000000 PA USD 595479.300000 0.1931069 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 600000.000000 PA USD 595457.160000 0.1930997 Long ABS-CBDO CORP US N 2 2037-05-15 Floating 4.17865 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2S1 5800000.000000 PA USD 5198700.370000 1.6858771 Long DBT CORP US N 2 2028-06-02 Floating 2.393 N N N N N N WELLS FARGO HOME EQUITY TRUST 2005-4 N/A 9497EMAJ4 701000.000000 PA USD 683849.190000 0.2217642 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.37357 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2022-2A N/A 96042VAA7 700000.000000 PA USD 699795.670000 0.2269355 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 600000.000000 PA USD 600182.760000 0.1946322 Long ABS-O CORP US N 2 2025-08-15 Floating 0 N N N N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166BY9 900000.000000 PA USD 848102.620000 0.2750297 Long DBT CORP US N 2 2030-04-15 Fixed 4 N N N N N N XCEL ENERGY INC LGJNMI9GH8XIDG5RCM61 98389BAY6 1100000.000000 PA USD 1011928.700000 0.3281565 Long DBT CORP US N 2 2030-06-01 Fixed 3.4 N N N N N N AREIT TRUST 2022-CRE7 N/A 00217VAA8 1500000.000000 PA USD 1489159.500000 0.4829168 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 1300000.000000 PA USD 1302112.110000 0.4222596 Long ABS-MBS CORP US N 2 2039-06-17 Floating 3.794 N N N N N N N/A N/A 000000000 1333000.000000 PA USD 1333000.000000 0.4322762 Long RA US N 2 Repurchase N 0.4000000 2022-07-01 1361200.000000 USD 1359710.850000 USD UST N N N ARES EUROPEAN CLO X BV 10A N/A ACI1Y2RR3 1300000.000000 PA 1332134.350000 0.4319954 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.78 N N N N N N ARES EUROPEAN CLO XII BV 12A N/A ACI20RGN4 950000.000000 PA 969678.000000 0.3144551 Long ABS-CBDO CORP IE N 2 2032-04-20 Floating 0.85 N N N N N N ARGENT SECURITIES INC 2003-W10 N/A 040104EN7 390387.040000 PA USD 368946.480000 0.1196450 Long ABS-MBS CORP US N 2 2034-01-25 Floating 2.70357 N N N N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAM1 549892.430000 PA USD 487096.310000 0.1579596 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.92357 N N N N N N ARGENT SECURITIES INC 2006-W4 N/A 040104TG6 2937076.060000 PA USD 800980.590000 0.2597485 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.94357 N N N N N N N/A N/A 000000000 1.000000 NC -76481.880000 -0.0248022 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3024741.670000 USD 3795000.000000 CAD 2022-07-05 -76481.880000 N N N N/A N/A 000000000 1.000000 NC 13181.830000 0.0042747 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2724543.470000 USD 3524000.000000 CAD 2022-07-05 13181.830000 N N N N/A N/A 000000000 1.000000 NC 11251.700000 0.0036488 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2720258.550000 USD 3516000.000000 CAD 2022-07-05 11251.700000 N N N N/A N/A 000000000 1.000000 NC -16223.860000 -0.0052612 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1832135.000000 USD 12888520.080000 DKK 2022-07-01 -16223.860000 N N N N/A N/A 000000000 1.000000 NC -11523.660000 -0.0037370 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1118110.500000 USD 7854055.400000 DKK 2022-07-01 -11523.660000 N N N N/A N/A 000000000 1.000000 NC -1759.620000 -0.0005706 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 224560.920000 USD 212000.000000 EUR 2022-08-16 -1759.620000 N N N N/A N/A 000000000 1.000000 NC 16633.220000 0.0053940 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 12862320.550000 DKK 1832135.000000 USD 2022-08-01 16633.220000 N N N N/A N/A 000000000 1.000000 NC 11760.640000 0.0038138 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7838178.230000 DKK 1118110.500000 USD 2022-08-01 11760.640000 N N N N/A N/A 000000000 1.000000 NC 174.490000 0.0000566 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 87000.000000 EUR 91607.100000 USD 2022-08-16 174.490000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HX1 53996.000000 PA USD 12729.560000 0.0041280 Long DBT NUSS AR N 2 2029-07-09 Fixed 1 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HS2 256193.000000 PA USD 56618.650000 0.0183608 Long DBT NUSS AR N 2 2030-07-09 Variable 0.5 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HT0 469366.000000 PA USD 99270.910000 0.0321924 Long DBT NUSS AR N 2 2035-07-09 Variable 1.125 N N N N N N N/A N/A 000000000 1.000000 NC -2493.540000 -0.0008086 N/A DFE ZA N 2 BNP Paribas S.A. N/A 122857.000000 USD 1966658.000000 ZAR 2022-08-16 -2493.540000 N N N N/A N/A 000000000 1.000000 NC -2318.860000 -0.0007520 N/A DFE ZA N 2 BNP Paribas S.A. N/A 128729.000000 USD 2065456.810000 ZAR 2022-08-16 -2318.860000 N N N N/A N/A 000000000 1.000000 NC -3167.370000 -0.0010271 N/A DFE ZA N 2 BNP Paribas S.A. N/A 130088.000000 USD 2073797.850000 ZAR 2022-08-16 -3167.370000 N N N N/A N/A 000000000 1.000000 NC -3093.190000 -0.0010031 N/A DFE ZA N 2 BNP Paribas S.A. N/A 93577.000000 USD 1490868.760000 ZAR 2022-11-08 -3093.190000 N N N N/A N/A 000000000 1.000000 NC -3524.450000 -0.0011429 N/A DFE ZA N 2 BNP Paribas S.A. N/A 122649.000000 USD 1946415.100000 ZAR 2022-08-16 -3524.450000 N N N N/A N/A 000000000 1.000000 NC -630.730000 -0.0002045 N/A DFE ZA N 2 BNP Paribas S.A. N/A 30666.000000 USD 494880.170000 ZAR 2022-11-08 -630.730000 N N N N/A N/A 000000000 1.000000 NC 49367.450000 0.0160093 N/A DFE CA N 2 BNP Paribas S.A. N/A 3790000.000000 CAD 2993742.840000 USD 2022-07-05 49367.450000 N N N N/A N/A 000000000 1.000000 NC 2838.980000 0.0009206 N/A DFE CA N 2 BNP Paribas S.A. N/A 166000.000000 CAD 131801.070000 USD 2022-07-05 2838.980000 N N N N/A N/A 000000000 1.000000 NC -23407.290000 -0.0075907 N/A DFE CA N 2 BNP Paribas S.A. N/A 3464000.000000 CAD 2667705.200000 USD 2022-07-05 -23407.290000 N N N N/A N/A 000000000 1.000000 NC -272.230000 -0.0000883 N/A DFE CH N 2 BNP Paribas S.A. N/A 56000.000000 CHF 58388.010000 USD 2022-07-05 -272.230000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HV5 1629000.000000 PA USD 423540.000000 0.1373490 Long DBT NUSS AR N 2 2041-07-09 Variable 2.5 N N N N N N N/A N/A 000000000 1.000000 NC 44284.300000 0.0143609 N/A DFE GB N 2 BNP Paribas S.A. N/A 1042000.000000 GBP 1312711.180000 USD 2022-07-05 44284.300000 N N N N/A N/A 000000000 1.000000 NC -2972.970000 -0.0009641 N/A DFE GB N 2 BNP Paribas S.A. N/A 1042000.000000 GBP 1266064.490000 USD 2022-08-02 -2972.970000 N N N N/A N/A 000000000 1.000000 NC USD -14056.100000 -0.0045582 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 -1541.330000 USD 300000.000000 USD -12514.770000 N N N N/A N/A 000000000 1.000000 NC USD -22612.650000 -0.0073330 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 -1690.440000 USD 400000.000000 USD -20922.210000 N N N N/A N/A OP001PGL0 -400000.000000 NC USD -6093.000000 -0.0019759 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX HY38 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 USD 0.000000 USD N/A USD N/A 95.000000 USD 2022-08-17 XXXX -1253.000000 N N N N/A N/A OP001PKY7 -2700000.000000 NC USD -3068.770000 -0.0009952 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 2088.230000 N N N N/A N/A OP001NKT3 -1700000.000000 NC USD -2714.510000 -0.0008803 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 1110.490000 N N N N/A N/A OP001P4Y5 -1400000.000000 NC USD -1882.610000 -0.0006105 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 1309.390000 N N N N/A N/A OP001NG50 -500000.000000 NC USD -270.590000 -0.0000877 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 541.910000 N N N N/A N/A OP001NKS5 -700000.000000 NC USD -82.630000 -0.0000268 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 687.370000 N N N N/A N/A 000000000 1.000000 NC USD -470.630000 -0.0001526 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.38 Y Single Leg Swap 2027-06-22 466666.170000 USD 0.000000 USD 41000000.000000 USD -467136.800000 N N N N/A N/A 000000000 1.000000 NC 142620.020000 0.0462500 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6595550.000000 ILS 2033655.030000 USD 2022-08-01 142620.020000 N N N N/A N/A 000000000 1.000000 NC 16247.690000 0.0052689 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 599880.000000 ILS 190317.260000 USD 2023-01-04 16247.690000 N N N ASSET BACKED SEC CORP HM EQ 2005-HE6 N/A 04541GTN2 19172.370000 PA USD 19132.770000 0.0062045 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.58357 N N N N N N N/A N/A 000000000 1.000000 NC 32083.790000 0.0104044 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 4652346.150000 DKK 687570.000000 USD 2022-07-01 32083.790000 N N N N/A N/A 000000000 1.000000 NC 11581.170000 0.0037556 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1421602.570000 DKK 211876.000000 USD 2022-07-01 11581.170000 N N N N/A N/A 000000000 1.000000 NC 214107.750000 0.0694326 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 19637000.000000 EUR 20851603.430000 USD 2022-08-16 214107.750000 N N N N/A N/A 000000000 1.000000 NC USD -11245.330000 -0.0036467 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-21 4553.310000 USD 0.000000 USD 400000.000000 USD -15798.640000 N N N N/A N/A 000000000 1.000000 NC USD 122959.560000 0.0398743 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SRUNSEC Y Single Leg Swap 2026-12-22 259478.600000 USD 0.000000 USD 1300000.000000 USD -136519.040000 N N N N/A N/A 000000000 -7.000000 NC 29817.610000 0.0096695 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-09-08 -1091398.010000 EUR 29817.610000 N N N N/A N/A 000000000 -3.000000 NC 22402.150000 0.0072648 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-09-08 -514208.110000 EUR 22402.150000 N N N N/A N/A 000000000 1.000000 NC -5809.920000 -0.0018841 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 869984.070000 USD 4522612.210000 BRL 2022-07-05 -5809.920000 N N N N/A N/A 000000000 1.000000 NC 46119.550000 0.0149560 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4522612.210000 BRL 910293.700000 USD 2022-07-05 46119.550000 N N N N/A N/A 000000000 1.000000 NC 6365.780000 0.0020643 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4522612.210000 BRL 863135.110000 USD 2022-08-02 6365.780000 N N N N/A N/A 000000000 1.000000 NC 2496.820000 0.0008097 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1490868.760000 ZAR 92980.630000 USD 2022-11-08 2496.820000 N N N N/A N/A 000000000 1.000000 NC 26714.240000 0.0086631 N/A DCR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 HOCHTIEF AG HOCHTIEF AG Y Single Leg Swap 2025-12-21 69415.030000 EUR 0.000000 EUR 300000.000000 EUR -42700.790000 N N N N/A N/A 000000000 1.000000 NC -55429.150000 -0.0179750 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2899587.010000 USD 3661000.000000 CAD 2022-07-05 -55429.150000 N N N 2022-08-12 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX