NPORT-P false 0000810893 XXXXXXXX S000009700 C000064148 C000026610 C000026612 C000200446 C000026608 C000026606 C000026607 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Real Return Fund S000009700 UBV6ASKZ6D22Z3BEZJ52 2023-03-31 2022-09-30 N 12168973265.920000 2154228072.500000 10014745193.420000 0.000000 0.000000 963922140.860000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 53203880.998397 0.000000 0.000000 34418243.950000 MXN CAD AUD EUR ARS JPY DKK NZD PEN USD GBP N Bloomberg US Treasury Inflation Total Return Unhedged Index LBUTTRUU N/A N/A 000000000 1.000000 NC -5251786.550000 -0.0524405 N/A DFE GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 153915000.000000 GBP 166709953.950000 USD 2022-11-02 -5251786.550000 N N N N/A N/A 000000000 1.000000 NC 72586.850000 0.0007248 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2857467126.000000 JPY 19869117.000000 USD 2022-11-02 72586.850000 N N N N/A N/A 000000000 1.000000 NC -65810.580000 -0.0006571 N/A DFE MX N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 128076006.610000 MXN 6270244.130000 USD 2022-10-24 -65810.580000 N N N N/A N/A 000000000 1.000000 NC 767065.950000 0.0076594 N/A DFE NZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 12929461.690000 NZD 8003039.410000 USD 2022-10-04 767065.950000 N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAR2 143000.000000 PA USD 112066.300000 0.0011190 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 120605.510000 0.0012043 N/A DFE CA N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 2633836.970000 CAD 2027315.000000 USD 2022-10-04 120605.510000 N N N N/A N/A 000000000 1.000000 NC 9908950.440000 0.0989436 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 445832967.090000 USD 465019000.000000 EUR 2022-10-04 9908950.440000 N N N N/A N/A 000000000 1.000000 NC 3611998.630000 0.0360668 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 137423000.000000 EUR 138293423.540000 USD 2022-10-04 3611998.630000 N N N N/A N/A 000000000 1.000000 NC -9913217.990000 -0.0989862 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 465019000.000000 EUR 446737987.060000 USD 2022-11-02 -9913217.990000 N N N BABSON CLO LTD 2015-IA N/A 056162AN0 3600000.000000 PA USD 3535681.640000 0.0353048 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 3.69986 N N N N N N BABSON CLO LTD 2016-2A N/A 06761CAL3 3370000.000000 PA USD 3280810.590000 0.0327598 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 3.77986 N N N N N N N/A N/A 000000000 1.000000 NC -63854.080000 -0.0006376 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3107889.690000 USD 3106000.000000 EUR 2022-10-04 -63854.080000 N N N N/A N/A 000000000 1.000000 NC 39994.160000 0.0003994 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 726943.000000 AUD 504983.240000 USD 2022-10-04 39994.160000 N N N N/A N/A 000000000 1.000000 NC -1531606.810000 -0.0152935 N/A DFE DK N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 987475790.910000 DKK 128886670.000000 USD 2022-11-01 -1531606.810000 N N N N/A N/A 000000000 1.000000 NC 17597.450000 0.0001757 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 307358724.000000 KRW 231215.000000 USD 2022-12-14 17597.450000 N N N N/A N/A 000000000 1.000000 NC 40502.230000 0.0004044 N/A DFE SE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 5555000.000000 SEK 542092.900000 USD 2022-11-16 40502.230000 N N N N/A N/A 000000000 1.000000 NC 2075.160000 0.0000207 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1278905.000000 TWD 42335.220000 USD 2022-12-14 2075.160000 N N N N/A N/A 000000000 1.000000 NC 486.060000 0.0000049 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 703759.000000 TWD 22642.000000 USD 2022-12-16 486.060000 N N N N/A N/A 000000000 35670000.000000 NC 15907642.740000 0.1588422 N/A DIR DE N 2 BNP Paribas S.A. N/A Put Purchased BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.19700 11/08/22-30Y LCH 2052-11-08 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.200000 EUR 2022-11-04 XXXX 13202403.600000 N N N N/A N/A 000000000 -106320000.000000 NC -27928365.370000 -0.2788725 N/A DIR DE N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 11/08/22-10Y LCH 2032-11-08 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2022-11-04 XXXX -25298128.520000 N N N N/A N/A 000000000 18730000.000000 NC 8352961.830000 0.0834066 N/A DIR DE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.19700 11/08/22-30Y LCH 2052-11-08 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.200000 EUR 2022-11-04 XXXX 6954867.600000 N N N N/A N/A 000000000 -56780000.000000 NC -14915092.040000 -0.1489313 N/A DIR DE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 11/08/22-10Y LCH 2032-11-08 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2022-11-04 XXXX -13524080.300000 N N N N/A N/A 000000000 318800000.000000 NC USD 863756.720000 0.0086248 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.2 06/02/23 LCH 2028-06-02 0.000000 USD 0.000000 USD N/A USD N/A 2.200000 USD 2023-05-31 XXXX -2961843.280000 N N N N/A N/A 000000000 -176000000.000000 NC USD -1107796.800000 -0.0110617 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.35 06/02/23 LCH 2033-06-02 0.000000 USD 0.000000 USD N/A USD N/A 2.350000 USD 2023-05-31 XXXX 2730025.340000 N N N N/A N/A 000000000 112600000.000000 NC USD 230064.320000 0.0022973 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.2 04/28/23 LCH 2028-04-28 0.000000 USD 0.000000 USD N/A USD N/A 2.200000 USD 2023-04-26 XXXX -971940.680000 N N N N/A N/A 000000000 -62000000.000000 NC USD -310241.800000 -0.0030979 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.35 04/28/23 LCH 2033-04-28 0.000000 USD 0.000000 USD N/A USD N/A 2.350000 USD 2023-04-26 XXXX 914033.560000 N N N N/A N/A 000000000 -328400000.000000 NC USD -24008535.840000 -0.2397319 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 2.30000 11/15/23-5Y LCH N/A N/A 2028-11-15 0.000000 USD 0.000000 USD N/A USD N/A 2.300000 USD 2023-11-13 XXXX -19673655.840000 N N N N/A N/A 000000000 67300000.000000 NC USD 13170058.140000 0.1315067 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 2.28500 11/15/23-30Y LCH N/A N/A 2053-11-15 0.000000 USD 0.000000 USD N/A USD N/A 2.290000 USD 2023-11-13 XXXX 8943289.850000 N N N N/A N/A 000000000 250800000.000000 NC USD 8903.400000 0.0000889 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.4275 02/02/23 LCH 2025-02-02 0.000000 USD 0.000000 USD N/A USD N/A 1.430000 USD 2023-01-31 XXXX -1272506.440000 N N N N/A N/A 000000000 -54800000.000000 NC USD -13875.360000 -0.0001385 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.579 02/02/23 LCH 2033-02-02 0.000000 USD 0.000000 USD N/A USD N/A 1.580000 USD 2023-01-31 XXXX 1267074.640000 N N N N/A N/A 000000000 241600000.000000 NC USD 8866.720000 0.0000885 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.41 02/06/23 LCH 2025-02-06 0.000000 USD 0.000000 USD N/A USD N/A 1.410000 USD 2023-02-02 XXXX -1199133.280000 N N N N/A N/A 000000000 -52800000.000000 NC USD -13580.160000 -0.0001356 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.5575 02/06/23 LCH 2033-02-06 0.000000 USD 0.000000 USD N/A USD N/A 1.560000 USD 2023-02-02 XXXX 1194219.840000 N N N N/A N/A 000000000 -161100000.000000 NC USD -11523756.870000 -0.1150679 N/A DIR 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 DIR US IRS USD R 2.34000 11/21/23-5Y LCH N/A N/A 2028-11-21 0.000000 USD 0.000000 USD N/A USD N/A 2.340000 USD 2023-11-17 XXXX -9493896.870000 N N N N/A N/A 000000000 32700000.000000 NC USD 6637831.860000 0.0662806 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.23650 11/21/23-30Y LCH N/A N/A 2053-11-21 0.000000 USD 0.000000 USD N/A USD N/A 2.240000 USD 2023-11-17 XXXX 4608176.690000 N N N N/A N/A 000000000 31090000.000000 NC 13909962.340000 0.1388948 N/A DIR DE N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.19000 11/04/22-30Y LCH 2052-11-04 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.190000 EUR 2022-11-02 XXXX 11642424.950000 N N N N/A N/A 000000000 -92900000.000000 NC -24389277.300000 -0.2435337 N/A DIR DE N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 11/04/22-10Y LCH 2032-11-04 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2022-11-02 XXXX -22135743.050000 N N N N/A N/A 000000000 443700000.000000 NC USD 25468.380000 0.0002543 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.71 01/27/23 LCH 2025-01-27 0.000000 USD 0.000000 USD N/A USD N/A 1.710000 USD 2023-01-25 XXXX -2681101.620000 N N N N/A N/A 000000000 -98600000.000000 NC USD -38651.200000 -0.0003859 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.785 01/27/23 LCH 2033-01-27 0.000000 USD 0.000000 USD N/A USD N/A 1.780000 USD 2023-01-25 XXXX 2688871.300000 N N N N/A N/A 000000000 34090000.000000 NC 15218019.280000 0.1519561 N/A DIR DE N 2 BNP Paribas S.A. N/A Put Purchased BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.19500 11/04/22-30Y LCH 2052-11-04 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.200000 EUR 2022-11-02 XXXX 15192369.970000 N N N N/A N/A 000000000 -101780000.000000 NC -26720566.670000 -0.2668122 N/A DIR DE N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 11/04/22-10Y LCH 2032-11-04 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2022-11-02 XXXX -26720566.670000 N N N N/A N/A 000000000 416800000.000000 NC USD 46139.760000 0.0004607 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.72 02/27/23 LCH 2025-02-27 0.000000 USD 0.000000 USD N/A USD N/A 1.720000 USD 2023-02-23 XXXX -2246260.240000 N N N N/A N/A 000000000 -92300000.000000 NC USD -59339.670000 -0.0005925 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/1.736 02/27/23 LCH 2033-02-27 0.000000 USD 0.000000 USD N/A USD N/A 1.740000 USD 2023-02-23 XXXX 2225085.330000 N N N BANC OF AMERICA FUNDING CORP 2006-8T2 N/A 05951UAK7 98284.910000 PA USD 84997.470000 0.0008487 Long ABS-MBS CORP US N 2 2036-10-25 Variable 5.7527 Y N N N N N N/A N/A 000000000 1.000000 NC 4432.900000 0.0000443 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2024-01-15 0.000000 EUR -1399.990000 EUR 40000.000000 EUR 5832.890000 N N N N/A N/A 000000000 1.000000 NC -17624813.910000 -0.1759886 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2031-03-15 0.000000 EUR -787840.480000 EUR 109200000.000000 EUR -16836973.430000 N N N N/A N/A 000000000 1.000000 NC 145554.840000 0.0014534 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2030-08-15 0.000000 EUR 0.000000 EUR 15800000.000000 EUR 145554.840000 N N N N/A N/A 000000000 1.000000 NC -111872.210000 -0.0011171 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-05-15 0.000000 EUR 0.000000 EUR 4430000.000000 EUR -111872.210000 N N N N/A N/A 000000000 1.000000 NC 9161.020000 0.0000915 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2032-07-15 0.000000 EUR 0.000000 EUR 15100000.000000 EUR 9161.020000 N N N N/A N/A 000000000 1.000000 NC -201345.770000 -0.0020105 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2037-05-15 36093.550000 EUR 0.000000 EUR 30630000.000000 EUR -237439.320000 N N N N/A N/A 000000000 1.000000 NC 10930.520000 0.0001091 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-04-15 1472.580000 EUR 0.000000 EUR 1150000.000000 EUR 9457.940000 N N N N/A N/A 000000000 1.000000 NC -125318.960000 -0.0012513 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2032-06-15 0.000000 EUR 0.000000 EUR 14400000.000000 EUR -125318.960000 N N N N/A N/A 000000000 1.000000 NC 38589.720000 0.0003853 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-03-15 4452.540000 EUR 0.000000 EUR 5700000.000000 EUR 34137.180000 N N N N/A N/A 000000000 1.000000 NC 78358.390000 0.0007824 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-03-15 0.000000 EUR -206054.970000 EUR 7900000.000000 EUR 284413.360000 N N N N/A N/A 000000000 1.000000 NC 86547.680000 0.0008642 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2032-05-15 168576.250000 EUR 0.000000 EUR 32100000.000000 EUR -82028.570000 N N N N/A N/A 000000000 1.000000 NC -805812.900000 -0.0080463 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2032-06-15 0.000000 EUR -34825.600000 EUR 35300000.000000 EUR -770987.300000 N N N N/A N/A 000000000 1.000000 NC 26564.860000 0.0002653 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2027-05-15 0.000000 EUR 0.000000 EUR 15900000.000000 EUR 26564.860000 N N N N/A N/A 000000000 1.000000 NC 10038.030000 0.0001002 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2024-09-15 0.000000 EUR -47251.510000 EUR 18100000.000000 EUR 57289.540000 N N N N/A N/A 000000000 1.000000 NC 126589.140000 0.0012640 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2024-09-15 0.000000 EUR -62234.640000 EUR 28600000.000000 EUR 188823.780000 N N N N/A N/A 000000000 1.000000 NC 1425975.120000 0.0142388 N/A DIR FR N 2 London Clearing house N/A N/A France CPI Ex Tobacco Y 2024-03-15 0.000000 EUR -760243.350000 EUR 20100000.000000 EUR 2186218.470000 N N N N/A N/A 000000000 1.000000 NC -1122535.250000 -0.0112088 N/A DIR FR N 2 London Clearing house N/A N/A France CPI Ex Tobacco Y 2039-11-15 391581.630000 EUR 0.000000 EUR 4700000.000000 EUR -1514116.880000 N N N N/A N/A 000000000 1.000000 NC -25786.840000 -0.0002575 N/A DIR FR N 2 London Clearing house N/A N/A France CPI Ex Tobacco Y 2038-01-15 52414.380000 EUR 0.000000 EUR 200000.000000 EUR -78201.220000 N N N N/A N/A 000000000 1.000000 NC -3455697.490000 -0.0345061 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-08-15 750696.660000 GBP 0.000000 GBP 15900000.000000 GBP -4206394.150000 N N N N/A N/A 000000000 1.000000 NC -9462432.690000 -0.0944850 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-01-15 1310068.720000 GBP 0.000000 GBP 58600000.000000 GBP -10772501.410000 N N N N/A N/A 000000000 1.000000 NC -4677938.540000 -0.0467105 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-01-15 211004.670000 GBP 0.000000 GBP 22670000.000000 GBP -4888943.210000 N N N N/A N/A 000000000 1.000000 NC -8388440.440000 -0.0837609 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-01-15 735811.710000 GBP 0.000000 GBP 41700000.000000 GBP -9124252.150000 N N N N/A N/A 000000000 1.000000 NC -12947084.380000 -0.1292802 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-08-15 346640.170000 GBP 0.000000 GBP 71800000.000000 GBP -13293724.550000 N N N N/A N/A 000000000 1.000000 NC -2588601.370000 -0.0258479 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2036-03-15 0.000000 GBP 0.000000 GBP 12250000.000000 GBP -2588601.370000 N N N N/A N/A 000000000 1.000000 NC -6365273.670000 -0.0635590 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2036-03-15 0.000000 GBP -159519.340000 GBP 30440000.000000 GBP -6205754.330000 N N N N/A N/A 000000000 1.000000 NC -4377067.040000 -0.0437062 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2031-04-15 0.000000 GBP -3761.100000 GBP 22000000.000000 GBP -4373305.940000 N N N N/A N/A 000000000 1.000000 NC -6500861.110000 -0.0649129 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2024-09-15 3762924.570000 GBP 0.000000 GBP 53400000.000000 GBP -10263785.680000 N N N N/A N/A 000000000 1.000000 NC -2282960.470000 -0.0227960 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2031-09-15 0.000000 GBP 0.000000 GBP 16000000.000000 GBP -2282960.470000 N N N N/A N/A 000000000 1.000000 NC 1341926.370000 0.0133995 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2032-09-15 3351.770000 GBP 0.000000 GBP 38030000.000000 GBP 1338574.600000 N N N N/A N/A 000000000 1.000000 NC 1663891.880000 0.0166144 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2023-09-15 0.000000 GBP 0.000000 GBP 14000000.000000 GBP 1663891.880000 N N N N/A N/A 000000000 1.000000 NC 2986371.300000 0.0298197 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2027-02-15 0.000000 GBP 0.000000 GBP 34800000.000000 GBP 2986371.300000 N N N N/A N/A 000000000 1.000000 NC 3349387.240000 0.0334446 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2027-02-15 33892.950000 GBP 0.000000 GBP 39300000.000000 GBP 3315494.290000 N N N N/A N/A 000000000 1.000000 NC 3878423.090000 0.0387271 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2026-12-15 0.000000 GBP -569835.350000 GBP 42500000.000000 GBP 4448258.440000 N N N N/A N/A 000000000 1.000000 NC 937720.590000 0.0093634 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2024-06-15 0.000000 GBP 0.000000 GBP 30600000.000000 GBP 937720.590000 N N N N/A N/A 000000000 1.000000 NC 769632.350000 0.0076850 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2024-03-15 0.000000 GBP -8166.430000 GBP 15900000.000000 GBP 777798.780000 N N N N/A N/A 000000000 1.000000 NC 286306.430000 0.0028588 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2024-05-15 0.000000 GBP 0.000000 GBP 8200000.000000 GBP 286306.430000 N N N N/A N/A 000000000 1.000000 NC 1231831.110000 0.0123002 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2024-05-15 62193.030000 GBP 0.000000 GBP 39200000.000000 GBP 1169638.080000 N N N N/A N/A 000000000 1.000000 NC 353778.120000 0.0035326 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2032-09-15 0.000000 GBP 0.000000 GBP 9880000.000000 GBP 353778.120000 N N N N/A N/A 000000000 1.000000 NC USD -10640724.910000 -0.1062506 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2029-11-04 0.000000 USD -998670.140000 USD 78400000.000000 USD -9642054.770000 N N N N/A N/A 000000000 1.000000 NC USD -2908840.590000 -0.0290456 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2029-11-20 13805.360000 USD 0.000000 USD 23300000.000000 USD -2922645.950000 N N N N/A N/A 000000000 1.000000 NC USD -1019045.460000 -0.0101755 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2029-07-25 155378.650000 USD 0.000000 USD 9100000.000000 USD -1174424.110000 N N N N/A N/A 000000000 1.000000 NC USD -3254039.600000 -0.0324925 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2029-04-16 1066094.650000 USD 0.000000 USD 32400000.000000 USD -4320134.250000 N N N N/A N/A 000000000 1.000000 NC USD 9853150.640000 0.0983864 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-02-05 0.000000 USD -3342066.920000 USD 116510000.000000 USD 13195217.560000 N N N N/A N/A 000000000 1.000000 NC USD 1116617.010000 0.0111497 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-04-27 0.000000 USD -506401.860000 USD 14183000.000000 USD 1623018.870000 N N N N/A N/A 000000000 1.000000 NC USD 3115079.380000 0.0311049 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2031-02-24 29723.320000 USD 0.000000 USD 34500000.000000 USD 3085356.060000 N N N N/A N/A 000000000 1.000000 NC USD 6323434.010000 0.0631412 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-02-26 0.000000 USD 0.000000 USD 67600000.000000 USD 6323434.010000 N N N N/A N/A 000000000 1.000000 NC USD -1707557.500000 -0.0170504 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2028-06-06 1402068.300000 USD 0.000000 USD 22300000.000000 USD -3109625.800000 N N N N/A N/A 000000000 1.000000 NC USD -1093707.850000 -0.0109210 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2028-07-09 955613.430000 USD 0.000000 USD 14700000.000000 USD -2049321.280000 N N N N/A N/A 000000000 1.000000 NC USD 7008039.490000 0.0699772 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-03-05 0.000000 USD 0.000000 USD 79200000.000000 USD 7008039.490000 N N N N/A N/A 000000000 1.000000 NC USD 478547.000000 0.0047784 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2028-08-26 0.000000 USD 0.000000 USD 9200000.000000 USD 478547.000000 N N N N/A N/A 000000000 1.000000 NC USD 566325.080000 0.0056549 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2028-09-10 0.000000 USD 0.000000 USD 12700000.000000 USD 566325.080000 N N N N/A N/A 000000000 1.000000 NC USD 1425017.960000 0.0142292 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-06-01 0.000000 USD 0.000000 USD 20400000.000000 USD 1425017.960000 N N N N/A N/A 000000000 1.000000 NC USD 1429336.350000 0.0142723 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-05-25 4788.790000 USD 0.000000 USD 20410000.000000 USD 1424547.560000 N N N N/A N/A 000000000 1.000000 NC USD 3074041.850000 0.0306952 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-05-13 0.000000 USD 0.000000 USD 45200000.000000 USD 3074041.850000 N N N N/A N/A 000000000 1.000000 NC USD 1235427.560000 0.0123361 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-05-14 0.000000 USD 0.000000 USD 18800000.000000 USD 1235427.560000 N N N N/A N/A 000000000 1.000000 NC USD -216613.290000 -0.0021629 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-03-08 0.000000 USD 0.000000 USD 19100000.000000 USD -216613.290000 N N N N/A N/A 000000000 1.000000 NC USD 308777.510000 0.0030832 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-05-23 0.000000 USD 0.000000 USD 52800000.000000 USD 308777.510000 N N N N/A N/A 000000000 1.000000 NC USD 431602.490000 0.0043097 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-05-24 0.000000 USD 0.000000 USD 66600000.000000 USD 431602.490000 N N N N/A N/A 000000000 1.000000 NC USD 1428.880000 0.0000143 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-04-29 0.000000 USD 0.000000 USD 2100000.000000 USD 1428.880000 N N N N/A N/A 000000000 1.000000 NC USD -52133.780000 -0.0005206 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-03-21 0.000000 USD 0.000000 USD 10800000.000000 USD -52133.780000 N N N N/A N/A 000000000 1.000000 NC USD -181761.950000 -0.0018149 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-03-21 0.000000 USD 0.000000 USD 40100000.000000 USD -181761.950000 N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAC1 2867794.180000 PA USD 2543079.290000 0.0253933 Long ABS-MBS CORP US N 2 2047-01-20 Variable 3.13119 N N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 91561.930000 PA USD 85645.270000 0.0008552 Long ABS-MBS CORP US N 2 2047-01-20 Floating 3.53539 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-1 N/A 05951FAM6 93609.720000 PA USD 82702.320000 0.0008258 Long ABS-MBS CORP US N 2 2037-01-25 Variable 6.3368 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-3 N/A 059515AH9 71324.270000 PA USD 62754.950000 0.0006266 Long ABS-MBS CORP US N 2 2037-04-25 Variable 6.388 Y N N N N N N/A N/A 000000000 1.000000 NC -10435519.880000 -0.1042016 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 3 Month ACT/360 Y 2023-11-21 0.000000 EUR 0.000000 EUR 339900000.000000 EUR -10435519.880000 N N N N/A N/A 000000000 1.000000 NC -838452.140000 -0.0083722 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2024-08-12 0.000000 EUR -79143.540000 EUR 22800000.000000 EUR -759308.600000 N N N N/A N/A 000000000 1.000000 NC -53420.280000 -0.0005334 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2027-04-12 0.000000 EUR -3261.750000 EUR 600000.000000 EUR -50158.530000 N N N N/A N/A 000000000 1.000000 NC -3105306.730000 -0.0310073 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2027-05-11 0.000000 EUR -256409.720000 EUR 34000000.000000 EUR -2848897.010000 N N N N/A N/A 000000000 1.000000 NC -1430493.050000 -0.0142839 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2027-04-12 0.000000 EUR -80943.630000 EUR 16500000.000000 EUR -1349549.420000 N N N N/A N/A 000000000 1.000000 NC -2697157.780000 -0.0269319 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2027-05-13 0.000000 EUR -131071.300000 EUR 35900000.000000 EUR -2566086.480000 N N N N/A N/A 000000000 1.000000 NC -1215500.180000 -0.0121371 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2027-05-18 0.000000 EUR -60287.080000 EUR 16100000.000000 EUR -1155213.100000 N N N N/A N/A 000000000 1.000000 NC 853961.250000 0.0085270 N/A DIR NZ N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 NZ$ Bank Bill 3M FRA N/A N/A Y 2028-03-21 0.000000 NZD -3595642.140000 NZD 24850000.000000 NZD 4449603.390000 N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 BF2PHRII3 1400000.000000 PA 1257857.650000 0.0125601 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 7259493.000000 0.0724880 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-11-15 0.000000 USD 0.000000 USD 82200000.000000 USD 7259493.000000 N N N N/A N/A 000000000 1.000000 NC USD 3876602.400000 0.0387089 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-11-21 0.000000 USD 0.000000 USD 44000000.000000 USD 3876602.400000 N N N N/A N/A 000000000 1.000000 NC USD -2176327.120000 -0.0217312 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2053-11-21 0.000000 USD 0.000000 USD 8800000.000000 USD -2176327.120000 N N N N/A N/A 000000000 1.000000 NC USD -3963041.280000 -0.0395721 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2053-11-17 0.000000 USD 0.000000 USD 17100000.000000 USD -3963041.280000 N N N N/A N/A 000000000 1.000000 NC -23390.640000 -0.0002336 N/A DIR JP N 2 London Clearing house N/A N/A BOJ Overnight Call Rate TONAR Y 2029-03-21 0.000000 JPY -790271.840000 JPY 2225400000.000000 JPY 766881.200000 N N N N/A N/A 000000000 1.000000 NC 27985.480000 0.0002794 N/A DIR JP N 2 London Clearing house N/A N/A BOJ Overnight Call Rate TONAR Y 2028-03-21 0.000000 JPY -251720.110000 JPY 1141690000.000000 JPY 279705.590000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BF8PC7II6 800000.000000 PA 705810.130000 0.0070477 Long DBT CORP ES N 2 2023-09-29 Floating 5.25 N N N N Y BANCO SANTANDER SA EUR XXXX N N N N/A N/A 000000000 1.000000 NC -233221.500000 -0.0023288 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 19346684.000000 USD 26402419.650000 CAD 2022-10-04 -233221.500000 N N N N/A N/A 000000000 1.000000 NC 621705.760000 0.0062079 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 10506753.000000 AUD 7342350.140000 USD 2022-10-04 621705.760000 N N N N/A N/A 000000000 1.000000 NC 570169.650000 0.0056933 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 12401064.580000 CAD 9547653.000000 USD 2022-10-04 570169.650000 N N N N/A N/A 000000000 1.000000 NC 232450.490000 0.0023211 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 26405708.590000 CAD 19346684.000000 USD 2022-11-02 232450.490000 N N N N/A N/A 000000000 1.000000 NC -356722.090000 -0.0035620 N/A DFE DK N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 933275000.000000 DKK 122903127.330000 USD 2022-11-01 -356722.090000 N N N N/A N/A 000000000 1.000000 NC 2643418.530000 0.0263953 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 6372708298.000000 JPY 46675121.000000 USD 2022-10-04 2643418.530000 N N N N/A N/A 000000000 1.000000 NC -20383.920000 -0.0002035 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 1606003.310000 USD 2478886.000000 AUD 2022-10-04 -20383.920000 N N N N/A N/A 000000000 1.000000 NC 142508.490000 0.0014230 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 12698195.130000 USD 13076000.000000 EUR 2022-11-02 142508.490000 N N N N/A N/A 000000000 1.000000 NC -113249.670000 -0.0011308 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 26869874.000000 USD 3872486240.000000 JPY 2022-10-04 -113249.670000 N N N N/A N/A 000000000 1.000000 NC -88587.610000 -0.0008846 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 27279327.020000 USD 3935315715.000000 JPY 2022-10-04 -88587.610000 N N N N/A N/A 000000000 1.000000 NC 20403.970000 0.0002037 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 2478886.000000 AUD 1606523.880000 USD 2022-11-02 20403.970000 N N N N/A N/A 000000000 1.000000 NC -142595.090000 -0.0014239 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 13076000.000000 EUR 12672540.020000 USD 2022-10-04 -142595.090000 N N N N/A N/A 000000000 1.000000 NC 8154474.510000 0.0814247 N/A DFE GB N 2 UBS AG BFM8T61CT2L1QCEMIK50 173599000.000000 GBP 201986429.280000 USD 2022-10-04 8154474.510000 N N N N/A N/A 000000000 1.000000 NC -80184.620000 -0.0008007 N/A DFE GB N 2 UBS AG BFM8T61CT2L1QCEMIK50 2511000.000000 GBP 2725233.500000 USD 2022-11-02 -80184.620000 N N N N/A N/A 000000000 1.000000 NC 113110.560000 0.0011294 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 3862119843.000000 JPY 26869874.000000 USD 2022-11-02 113110.560000 N N N N/A N/A 000000000 1.000000 NC 88318.720000 0.0008819 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 3924799535.000000 JPY 27279327.020000 USD 2022-11-02 88318.720000 N N N N/A N/A 000000000 -5600000.000000 NC USD -244168.960000 -0.0024381 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% NOV 30YR N/A 99.410000 USD 2022-11-07 XXXX -200418.960000 N N N N/A N/A 000000000 -69.000000 NC 1053268.490000 0.0105172 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2022-12-28 -7426843.650000 GBP 1053268.490000 N N N N/A N/A 000000000 1.000000 NC USD -1798796.200000 -0.0179615 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2022-10-14 0.000000 USD 0.000000 USD 150000000.000000 USD -1798796.200000 N N N N/A N/A 000000000 1.000000 NC USD -3355018.430000 -0.0335008 N/A DCR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2022-10-06 0.000000 USD 0.000000 USD 72200000.000000 USD -3355018.430000 N N N N/A N/A 000000000 1.000000 NC USD -6976701.000000 -0.0696643 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2022-10-06 0.000000 USD 0.000000 USD 150000000.000000 USD -6976701.000000 N N N N/A N/A 000000000 1.000000 NC USD 191876.100000 0.0019159 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2022-10-06 0.000000 USD 0.000000 USD 100000000.000000 USD 191876.100000 N N N N/A N/A 000000000 1.000000 NC USD -3587373.600000 -0.0358209 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-01-20 0.000000 USD 0.000000 USD 100000000.000000 USD -3587373.600000 N N N N/A N/A 000000000 1.000000 NC USD -23623627.330000 -0.2358885 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-01-20 0.000000 USD 0.000000 USD 339000000.000000 USD -23623627.330000 N N N N/A N/A 000000000 1.000000 NC USD -6490159.290000 -0.0648060 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2022-10-20 0.000000 USD 0.000000 USD 225000000.000000 USD -6490159.290000 N N N N/A N/A 000000000 1.000000 NC USD -5384881.600000 -0.0537695 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2022-10-20 0.000000 USD 0.000000 USD 199000000.000000 USD -5384881.600000 N N N N/A N/A 000000000 1.000000 NC USD -4501659.270000 -0.0449503 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2022-10-20 0.000000 USD 0.000000 USD 100000000.000000 USD -4501659.270000 N N N N/A N/A 000000000 1.000000 NC USD -6783439.740000 -0.0677345 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2022-10-20 0.000000 USD 0.000000 USD 100000000.000000 USD -6783439.740000 N N N N/A N/A 000000000 1.000000 NC USD -3415597.350000 -0.0341057 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2022-10-20 0.000000 USD 0.000000 USD 100000000.000000 USD -3415597.350000 N N N N/A N/A 000000000 1.000000 NC USD -4609432.120000 -0.0460265 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2022-10-20 0.000000 USD 0.000000 USD 100000000.000000 USD -4609432.120000 N N N N/A N/A 000000000 1.000000 NC USD -9459723.690000 -0.0944580 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2022-10-20 0.000000 USD 0.000000 USD 150000000.000000 USD -9459723.690000 N N N N/A N/A 000000000 -12663.000000 NC USD 70429519.890000 0.7032582 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-12-20 -1418948514.140000 USD 70429519.890000 N N N N/A N/A 000000000 1488.000000 NC USD -11455431.070000 -0.1143856 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-12-20 176362875.740000 USD -11455431.070000 N N N N/A N/A 000000000 -1651.000000 NC USD 5430168.710000 0.0542217 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-12-30 -338977386.310000 USD 5430168.710000 N N N N/A N/A 000000000 8252.000000 NC USD -32539330.490000 -0.3249142 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-12-30 886670955.190000 USD -32539330.490000 N N N N/A N/A 000000000 -3627.000000 NC USD 36911413.540000 0.3685707 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-12-20 -458985515.630000 USD 36911413.540000 N N N N/A N/A 000000000 1624.000000 NC USD -20766882.210000 -0.2073631 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-12-20 221955125.000000 USD -20766882.210000 N N N BANK OF AMERICA MTGE SEC 2005-F N/A 05949CCA2 142587.140000 PA USD 132778.160000 0.0013258 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.94138 Y N N N N N BANK OF AMERICA MTGE SECS-2005-J N/A 05949CKT2 281316.880000 PA USD 254633.050000 0.0025426 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.44747 Y N N N N N BASTILLE FUNDING 20-3A N/A ACI1S2JN8 1000000.000000 PA 945318.480000 0.0094393 Long ABS-CBDO CORP IE N 2 2034-01-15 Floating 1.15 N N N N N N BCAP LLC TRUST 2006-AA2 N/A 05530MAA7 811294.000000 PA USD 708612.570000 0.0070757 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.424 Y N N N N N BCAP LLC TRUST 2011-RR5 N/A 05533YBC3 1442873.130000 PA USD 1234535.670000 0.0123272 Long ABS-MBS CORP US N 2 2036-04-26 Floating 3.09498 N N N N N N BDS 2022-FL11 LLC N/A 054980AA5 6100000.000000 PA USD 5950709.210000 0.0594195 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 4.81842 N N N N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MB68 242668.610000 PA USD 230090.470000 0.0022975 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.81962 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 31192.590000 PA USD 29700.100000 0.0002966 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.75447 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-2 N/A 07388DAS7 525634.170000 PA USD 477104.470000 0.0047640 Long ABS-MBS CORP US N 2 2036-07-25 Floating 3.43856 Y N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-3 N/A 073881AA2 438231.730000 PA USD 402214.560000 0.0040162 Long ABS-MBS CORP US N 2 2047-05-25 Floating 3.2334 Y N N N N N BEAR STEARNS ADJUST RT MTGE TR 2000- N/A 07384MAA0 40689.390000 PA USD 38780.210000 0.0003872 Long ABS-MBS CORP US N 2 2030-11-25 Floating 2.78061 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZS4 80535.780000 PA USD 76722.030000 0.0007661 Long ABS-MBS CORP US N 2 2034-01-25 Floating 2.08248 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 261758.910000 PA USD 255980.630000 0.0025560 Long ABS-MBS CORP US N 2 2034-01-25 Floating 2.99936 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-10 N/A 07387AET8 201045.200000 PA USD 194583.790000 0.0019430 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.47645 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AGE9 82750.410000 PA USD 76619.660000 0.0007651 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.84245 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSZ5 21961.000000 PA USD 20851.700000 0.0002082 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.99885 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 40680.290000 PA USD 26355.070000 0.0002632 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.53139 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AN5 225476.150000 PA USD 153813.220000 0.0015359 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.339 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AV3 560853.770000 PA USD 352677.810000 0.0035216 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.47885 N N N N N N BEAR STEARNS ALT-A TRUST 2006-R1 N/A 073866BN4 370439.120000 PA USD 285094.870000 0.0028468 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.34145 Y N N N N N BEAR STEARNS ALT-A TRUST II 2007-1 N/A 07389KAA9 2942138.100000 PA USD 1623164.060000 0.0162077 Long ABS-MBS CORP US N 2 2047-09-25 Floating 3.49377 Y N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE8 N/A 07388JAQ8 23840.880000 PA USD 23788.290000 0.0002375 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.604 N N N N N N BEAST MORTGAGE TRUST 2022-1700 N/A 055742AA8 3200000.000000 PA USD 3095191.040000 0.0309063 Long ABS-MBS CORP US N 2 2037-02-15 Floating 4.146 N N N N N N BENEFIT STREET PARTNERS CLO XII LTD 2017-12A N/A 08179HAE0 6850000.000000 PA USD 6731673.100000 0.0672176 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 3.462 N N N N N N BENEFIT STREET PARTNERS CLO XVI LTD N/A 08181VAN5 3050000.000000 PA USD 2966644.080000 0.0296228 Long ABS-CBDO CORP KY N 2 2032-01-17 Floating 3.77029 N N N N N N BENEFIT STREET PARTNERS CLO XVII LTD N/A 08182BAL2 800000.000000 PA USD 777865.260000 0.0077672 Long ABS-CBDO CORP KY N 2 2032-07-15 Floating 3.592 N N N N N N BGCLO 19A N/A 09075JAL3 5100000.000000 PA USD 5007694.280000 0.0500032 Long ABS-CBDO CORP KY N 2 2031-06-15 Floating 4.42257 N N N N N N BLACK DIAMOND CLO 2017-2 DAC N/A ACI1XBRF0 1114290.880000 PA 1070856.200000 0.0106928 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 0.907 N N N N N N BLACKROCK EUROPEAN CLO IV DAC 4A N/A ACI0Y3WK2 5693945.210000 PA 5457709.460000 0.0544967 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 0.85 N N N N N N BLACKROCK EUROPEAN CLO IX DAC 9A N/A ACI1G0FC3 2400000.000000 PA 2243870.490000 0.0224057 Long ABS-CBDO CORP IE N 2 2032-12-15 Floating 1.9 N N N N N N BLACKROCK EUROPEAN CLO VII DAC 7A N/A ACI1W2WD0 9300000.000000 PA 8760533.990000 0.0874764 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.62 N N N N N N BLUEMOUNTAIN CLO XXII LTD 2018-22A N/A 09629PAA4 5300000.000000 PA USD 5194066.570000 0.0518642 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 3.592 N N N N N N BLUEMOUNTAIN EUR CLO 5A N/A ACI1GHFQ5 900000.000000 PA 844797.100000 0.0084355 Long ABS-CBDO CORP IE N 2 2033-01-15 Floating 0.91 N N N N N N BOSPHORUS CLO V DAC 5A N/A ACI1MK5S8 2750000.000000 PA 2598669.580000 0.0259484 Long ABS-CBDO CORP IE N 2 2032-12-12 Floating 1.846 N N N N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 4300000.000000 PA 4062277.280000 0.0405630 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.78 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087VS0 36603840.000000 PA 29415303.990000 0.2937199 Long DBT NUSS CA N 2 2026-12-01 Fixed 4.25 N N N N N N CAPITAL FOUR US CLO 2022-1A N/A 14016CAA4 5800000.000000 PA USD 5699845.600000 0.0569145 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 5.81352 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO 2014-3R LTD 2014-3RA N/A 14315LAA2 1983665.400000 PA USD 1948201.790000 0.0194533 Long ABS-CBDO CORP KY N 2 2031-07-27 Floating 3.81929 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2012-4A N/A 14309YBQ6 2000000.000000 PA USD 1950000.000000 0.0194713 Long ABS-CBDO CORP KY N 2 2032-04-22 Floating 3.839 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2013-1A N/A 14310BAU5 10700000.000000 PA USD 10548781.720000 0.1053325 Long ABS-CBDO CORP KY N 2 2030-08-14 Floating 3.87157 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A N/A 14310MAW7 996968.840000 PA USD 967807.500000 0.0096638 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 3.71029 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2015-4A N/A 14311NAL8 1000000.000000 PA USD 975593.200000 0.0097416 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 4.04986 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A N/A ACI1XGH29 6660000.000000 PA 6314989.290000 0.0630569 Long ABS-CBDO CORP IE N 2 2031-11-15 Floating 1.071 N N N N N N CARLYLE US CLO LTD 2017-1A N/A 14314BAL1 5300000.000000 PA USD 5153805.970000 0.0514622 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 3.70986 N N N N N N CARLYLE US CLO LTD 2017-4 N/A 14315BAA4 2500000.000000 PA USD 2447705.950000 0.0244410 Long ABS-CBDO CORP KY N 2 2030-01-15 Floating 3.692 N N N N N N CARRINGTON MORTGAGE LOAN TRUST SERIES 2006-NC2 2006-NC2 N/A 14453FAD1 5154731.640000 PA USD 4978452.700000 0.0497112 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.564 N N N N N N CARRINGTON MTGE LOAN TRUST 2006-NC1 N/A 144531EY2 2000000.000000 PA USD 1944074.800000 0.0194121 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.684 N N N N N N CATAMARAN CLO LTD 2014-1A N/A 14889DAJ7 10147943.380000 PA USD 10011387.480000 0.0999665 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 3.859 N N N N N N CBAM 2018-5 LTD 5A N/A 12481QAC9 1000000.000000 PA USD 982283.900000 0.0098084 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 3.76029 N N N N N N CBAM 2018-6 LTD 2019-10A N/A 12482NAN1 1500000.000000 PA USD 1463850.750000 0.0146170 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 3.82986 N N N N N N CBAM LTD 2017-1A N/A 12480VAC9 3100000.000000 PA USD 3057464.590000 0.0305296 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 3.95986 N N N N N N CEDAR FUNDING V CLO LTD 2016-5A N/A 15032AAN7 2600000.000000 PA USD 2531033.960000 0.0252731 Long ABS-CBDO CORP KY N 2 2031-07-17 Floating 3.84029 N N N N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPB9 112090.750000 PA USD 103306.430000 0.0010315 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.8846 Y N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AA6 15144.550000 PA USD 14831.000000 0.0001481 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.09404 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AL2 30790.100000 PA USD 29541.440000 0.0002950 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.14574 N N N N N N CHASEFLEX TRUST 2005-2 N/A 16165TBC6 184126.650000 PA USD 60125.620000 0.0006004 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.584 Y N N N N N CHEVY CHASE MORTGAGE FUND CORP 2005-3A N/A 16678RDT1 185422.600000 PA USD 168006.730000 0.0016776 Long ABS-MBS CORP US N 2 2036-07-25 Floating 3.264 N N N N N N CIFC EUROPEAN FUNDING CLO 3A N/A ACI27MSP0 2300000.000000 PA 2158444.440000 0.0215527 Long ABS-CBDO CORP IE N 2 2034-01-15 Floating 1.05 N N N N N N CIFC FUNDING 2018-III LTD 2018-3A N/A 12551YAA1 1300000.000000 PA USD 1266786.950000 0.0126492 Long ABS-CBDO CORP KY N 2 2031-07-18 Floating 3.84029 N N N N N N CIFC FUNDING LTD 2014-5A N/A 12550AAT3 500000.000000 PA USD 487764.610000 0.0048705 Long ABS-CBDO CORP KY N 2 2031-10-17 Floating 3.94029 N N N N N N CIFC FUNDING LTD 2017-1A N/A 12551AAL9 2749517.920000 PA USD 2719759.530000 0.0271576 Long ABS-CBDO CORP KY N 2 2029-04-23 Floating 3.74171 N N N N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 12600000.000000 PA USD 12399019.290000 0.1238076 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 3.733 N N N N N N CIM TRUST 2019-INV1 N/A 12555DAB1 163110.820000 PA USD 162414.480000 0.0016218 Long ABS-MBS CORP US N 2 2049-02-25 Floating 4.084 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAF9 12029000.000000 PA USD 11247248.520000 0.1123069 Long ABS-MBS CORP US N 2 2037-10-25 Floating 4.584 N N N N N N CITIGROUP MORTGAGE LOAN TR 2004-HYB2 N/A 17307GEC8 52639.850000 PA USD 50240.700000 0.0005017 Long ABS-MBS CORP US N 2 2034-03-25 Floating 2.35902 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3 N/A 17309QAG9 17188000.000000 PA USD 16499321.530000 0.1647503 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.579 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR7 N/A 172987AD1 398089.580000 PA USD 364789.670000 0.0036425 Long ABS-MBS CORP US N 2 2046-07-25 Floating 3.62881 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-HE3 N/A 17310VAD2 2973614.100000 PA USD 2169999.650000 0.0216680 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.544 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 142226.100000 PA USD 128842.720000 0.0012865 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.87751 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-WFH2 N/A 17312BAF9 2070058.960000 PA USD 2026493.120000 0.0202351 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.759 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 45848.290000 PA USD 43461.930000 0.0004340 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.95 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXR4 48646.680000 PA USD 46441.750000 0.0004637 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.44 N N N N N N CONTEGO CLO IV DAC 4A N/A ACI25QZ00 3794816.880000 PA 3619748.970000 0.0361442 Long ABS-CBDO CORP IE N 2 2030-01-23 Floating 0.785 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-41CB N/A 02149CAJ0 3153645.410000 PA USD 1890015.650000 0.0188723 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 Y N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA17 N/A 12668PAA0 2672102.520000 PA USD 2200304.880000 0.0219707 Long ABS-MBS CORP US N 2 2046-12-20 Floating 3.18843 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-29CB N/A 12667GUG6 91328.310000 PA USD 57237.000000 0.0005715 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-46CB N/A 12667G7F4 76031.970000 PA USD 53459.600000 0.0005338 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.784 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-50CB N/A 12668ALH6 17533.270000 PA USD 14527.490000 0.0001451 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACG8 230668.990000 PA USD 215224.710000 0.0021491 Long ABS-MBS CORP US N 2 2035-11-20 Floating 3.63343 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-62 N/A 12668ATT2 437896.390000 PA USD 371408.390000 0.0037086 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.10402 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J1 N/A 12667FU29 22633.850000 PA USD 22533.410000 0.0002250 Long ABS-MBS CORP US N 2 2032-08-25 Fixed 6.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB N/A 12668BSJ3 974525.660000 PA USD 434778.580000 0.0043414 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 5.75 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19 N/A 12668RAA6 46426.960000 PA USD 35903.770000 0.0003585 Long ABS-MBS CORP US N 2 2047-02-20 Floating 3.17343 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13 N/A 02149DAN9 1301118.370000 PA USD 1191856.040000 0.0119010 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.19641 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9 N/A 02146YAC0 2528404.000000 PA USD 1926780.630000 0.0192394 Long ABS-MBS CORP US N 2 2046-07-20 Floating 3.20343 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8 N/A 23245LAB6 62046.570000 PA USD 29658.730000 0.0002962 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1 N/A 126694A32 110684.200000 PA USD 86487.160000 0.0008636 Long ABS-MBS CORP US N 2 2046-03-20 Floating 3.41343 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB N/A 02148FBX2 1086703.790000 PA USD 933366.630000 0.0093199 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673BR2 254960.890000 PA USD 240649.170000 0.0024029 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.864 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-7 N/A 126673EG3 2533187.600000 PA USD 2295789.920000 0.0229241 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.809 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AA9 621738.940000 PA USD 596159.730000 0.0059528 Long ABS-MBS CORP US N 2 2047-08-25 Floating 3.824 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-2 N/A 12668NAA5 167516.040000 PA USD 149947.910000 0.0014973 Long ABS-MBS CORP US N 2 2037-08-25 Floating 3.224 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAE0 629945.530000 PA USD 608174.800000 0.0060728 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.334 N N N N N N COUNTRYWIDE ASSET-BACKED CERTI 2006-19 N/A 12667CAD4 10032818.780000 PA USD 9498313.340000 0.0948433 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.334 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8 N/A 12669WAA4 7832632.470000 PA USD 7227228.720000 0.0721659 Long ABS-MBS CORP US N 2 2037-11-25 Floating 3.274 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-13 N/A 126670GR3 489579.160000 PA USD 412926.440000 0.0041232 Long ABS-MBS CORP US N 2 2036-04-25 Variable 5.805 Y N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 5269.760000 PA USD 4976.430000 0.0000497 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.77833 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB8 N/A 12669GGF2 18065.840000 PA USD 17628.530000 0.0001760 Long ABS-MBS CORP US N 2 2035-01-20 Floating 3.24889 N N N N N N COUNTRYWIDE HOME LOANS 2005-11 N/A 12669GUL3 37010.870000 PA USD 30080.500000 0.0003004 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.13293 Y N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 5363.600000 PA USD 4854.020000 0.0000485 Long ABS-MBS CORP US N 2 2035-03-25 Floating 3.724 N N N N N N COUNTRYWIDE HOME LOANS 2005-24 N/A 126694JR0 73855.580000 PA USD 44315.850000 0.0004425 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A 12669GTQ4 220586.760000 PA USD 194277.510000 0.0019399 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.664 N N N N N N COUNTRYWIDE HOME LOANS 2005-HY10 N/A 126694VR6 28223.550000 PA USD 23235.040000 0.0002320 Long ABS-MBS CORP US N 2 2036-02-20 Floating 3.18717 Y N N N N N COUNTRYWIDE HOME LOANS 2005-HYB6 N/A 126694BH0 10429570.090000 PA USD 9874614.750000 0.0986008 Long ABS-MBS CORP US N 2 2035-10-20 Floating 3.61661 N N N N N N COUNTRYWIDE HOME LOANS 2006-6 N/A 126694K64 1257218.490000 PA USD 720669.070000 0.0071961 Long ABS-MBS CORP US N 2 2036-04-25 Fixed 6 N N N N N N COUNTRYWIDE HOME LOANS 2006-HYB2 N/A 126694D54 17925.550000 PA USD 15378.160000 0.0001536 Long ABS-MBS CORP US N 2 2036-04-20 Floating 2.89752 Y N N N N N COUNTRYWIDE HOME LOANS 2007-1 N/A 170255AA1 3591112.110000 PA USD 1904323.660000 0.0190152 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N COUNTRYWIDE HOME LOANS 2007-HY7 N/A 12544HAY6 1053483.660000 PA USD 977824.150000 0.0097638 Long ABS-MBS CORP US N 2 2037-11-25 Variable 3.47557 N N N N N N COUNTRYWIDE HOME LOANS 2007-HYB1 N/A 22239EAG1 86363.650000 PA USD 76040.930000 0.0007593 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.2267 Y N N N N N COUNTRYWIDE HOME LOANS 2007-HYB2 N/A 125438AB7 120717.680000 PA USD 104599.880000 0.0010445 Long ABS-MBS CORP US N 2 2047-02-25 Floating 2.87895 Y N N N N N COUNTRYWIDE HOME LOANS 2008-1 N/A 12544YAD5 120717.900000 PA USD 115241.520000 0.0011507 Long ABS-MBS CORP US N 2 2038-04-25 Fixed 5.5 N N N N N N CQS US CLO 2022-2A LTD N/A 12664BAA5 13550000.000000 PA USD 13495687.540000 0.1347582 Long ABS-CBDO CORP JE N 2 2031-07-20 Floating 5.99695 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-3 N/A 12638PAJ8 360188.410000 PA USD 109565.860000 0.0010940 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 5.5789 Y N N N N N CRESTLINE DENALI CLO XIV LTD 2016-1A N/A 22615MAW2 1000000.000000 PA USD 977244.010000 0.0097581 Long ABS-CBDO CORP KY N 2 2031-10-23 Floating 3.923 N N N N N N CRESTLINE DENALI CLO XV 2017-1A N/A 22616CAJ2 2613211.050000 PA USD 2581119.830000 0.0257732 Long ABS-CBDO CORP KY N 2 2030-04-20 Floating 3.73986 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR18 N/A 22541QFC1 2745.850000 PA USD 2656.090000 0.0000265 Long ABS-MBS CORP US N 2 2033-07-25 Floating 2.59872 N N N N N N CSAB MORTGAGE BACKED TR 2006-4 N/A 12628LAJ9 167727.410000 PA USD 39139.460000 0.0003908 Long ABS-MBS CORP US N 2 2036-12-25 Variable 6.1837 Y N N N N N CSMC 2021-NQM8 N/A 12659FAA3 8707636.100000 PA USD 7329477.660000 0.0731869 Long ABS-MBS CORP US N 2 2066-10-25 Variable 1.841 N N N N N N CVC CORDATUS LOAN FUND III LTD CORDA-A N/A ACI12W091 600000.000000 PA 572177.000000 0.0057133 Long ABS-CBDO CORP IE N 2 2032-08-15 Floating 1.101 N N N N N N CVC CORDATUS LOAN FUND VII DAC 7A N/A ACI1W2TC6 700000.000000 PA 664390.780000 0.0066341 Long ABS-CBDO CORP IE N 2 2031-09-15 Floating 1.63 N N N N N N CVC CORDATUS LOAN FUND XI DAC 21-1 N/A ACI1W60L8 15000000.000000 PA 14192621.500000 0.1417173 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.65 N N N N N N DENALI CAPITAL CLO XII LTD 2016-1A N/A 24824TAQ3 1897527.640000 PA USD 1854411.070000 0.0185168 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 3.562 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2005-AR2 N/A 251510GZ0 12445.050000 PA USD 12301.100000 0.0001228 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.91795 N N N N N N DISCOVERY COMMUNICATIONS LLC L2Z2MO2EQURH3BREWI15 25470DAQ2 105000.000000 PA USD 104106.070000 0.0010395 Long DBT CORP US N 2 2023-03-20 Fixed 2.95 N N N N N N DRYDEN 35 EURO CLO 2014 BV 14-35A N/A ACI2878B5 1100000.000000 PA 1036262.880000 0.0103474 Long ABS-CBDO CORP IE N 2 2033-01-17 Floating 0.982 N N N N N N DRYDEN 36 SENIOR LOAN FUND 2014-36A N/A 26249KAZ4 13942147.980000 PA USD 13797460.130000 0.1377715 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 3.532 N N N N N N DRYDEN 44 EURO CLO 2015 BV 15-44A N/A ACI1VYV26 900000.000000 PA 840311.390000 0.0083907 Long ABS-CBDO CORP IE N 2 2034-04-15 Floating 0.88 N N N N N N DRYDEN 52 EURO CLO 2017 17-52A N/A ACI1YL2T4 9600000.000000 PA 9092318.370000 0.0907893 Long ABS-CBDO CORP IE N 2 2034-05-15 Floating 1.181 N N N N N N DRYDEN 60 CLO LTD N/A 26251NAB6 1200000.000000 PA USD 1166559.360000 0.0116484 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 3.562 N N N N N N DRYDEN CLO LTD 2018-64A N/A 26251LAC8 1900000.000000 PA USD 1871777.440000 0.0186902 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 3.71029 N N N N N N DRYDEN XXVII-R EURO CLO BV 2017-27A N/A ACI1W43B2 14800000.000000 PA 14020889.420000 0.1400025 Long ABS-CBDO CORP IE N 2 2033-04-15 Floating 0.66 N N N N N N EURO-GALAXY III CLO BV 13-3A N/A ACI1W6FF5 1600000.000000 PA 1513986.570000 0.0151176 Long ABS-CBDO CORP IE N 2 2034-04-24 Floating 0.765 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040WAD0 300000.000000 PA USD 287899.260000 0.0028748 Long DBT CORP US N 2 2024-10-01 Fixed 2.9 N N N N N N FANNIE MAE 2006-118 N/A 31396L4T4 38833.580000 PA USD 38406.090000 0.0003835 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 2.50371 N N N N N N FANNIE MAE 2006-15 N/A 31395BVE0 45822.140000 PA USD 45595.380000 0.0004553 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 2.49328 N N N N N N FANNIE MAE 2006-30 N/A 31395B6R9 19769.030000 PA USD 19604.230000 0.0001958 Long ABS-MBS USGSE US N 2 2036-05-25 Floating 3.524 N N N N N N FANNIE MAE 2006-5 N/A 31394VL73 5962.020000 PA USD 6013.510000 0.0000600 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 2.78821 N N N N N N FANNIE MAE 2007-4 N/A 31396PMC2 107518.000000 PA USD 106468.250000 0.0010631 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 3.529 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 22615.430000 PA USD 22319.980000 0.0002229 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 3.434 N N N N N N FANNIE MAE 2007-73 N/A 31396V4Q8 134421.260000 PA USD 131540.060000 0.0013135 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 2.42547 N N N N N N FANNIE MAE WHOLE LOAN N/A 31359UPD1 10508.970000 PA USD 10611.320000 0.0001060 Long ABS-MBS USGSE US N 2 2028-06-25 Fixed 6.5 N N N N N N FANNIEMAE WHOLE LOAN 2003-W-8 N/A 31393CX40 67774.200000 PA USD 67078.060000 0.0006698 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 3.434 N N N N N N FHLMC PASS THRU POOLS N/A 3128NFFX0 39856.280000 PA USD 40930.130000 0.0004087 Long ABS-MBS USGSE US N 2 2036-07-01 Floating 3.567 N N N N N N FHLMC PASS THRU POOLS N/A 3128NHPT4 14285.270000 PA USD 14481.800000 0.0001446 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 3.491 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRAN6 42351.540000 PA USD 41774.170000 0.0004171 Long ABS-MBS USGSE US N 2 2034-01-01 Floating 2.302 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRAR7 139370.590000 PA USD 136732.330000 0.0013653 Long ABS-MBS USGSE US N 2 2034-01-01 Floating 2.338 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRLD6 68016.410000 PA USD 67502.310000 0.0006740 Long ABS-MBS USGSE US N 2 2033-06-01 Floating 2.85 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRN77 17744.030000 PA USD 17625.520000 0.0001760 Long ABS-MBS USGSE US N 2 2036-10-01 Floating 3.029 N N N N N N FHLMC PASS THRU POOLS N/A 31334XR35 440869.680000 PA USD 411338.650000 0.0041073 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133KHPQ3 240186.650000 PA USD 227992.940000 0.0022766 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DMH32 1510860.020000 PA USD 1432007.420000 0.0142990 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31329QDG3 73376.760000 PA USD 69016.210000 0.0006891 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31329QWF4 335347.730000 PA USD 316818.800000 0.0031635 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31329QZJ3 31283.210000 PA USD 29524.460000 0.0002948 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131XWLS0 689197.540000 PA USD 647805.540000 0.0064685 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131XYWF2 25502033.730000 PA USD 24045949.470000 0.2401055 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131Y1W55 68154.770000 PA USD 64387.170000 0.0006429 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132A5JD8 15341.790000 PA USD 14472.330000 0.0001445 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132A5JR7 152715.060000 PA USD 144059.460000 0.0014385 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132A5JX4 110949.240000 PA USD 104902.500000 0.0010475 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 319000.010000 PA USD 329589.410000 0.0032910 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 2.05917 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-32 N/A 3133TSQG1 82421.610000 PA USD 80900.350000 0.0008078 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 3.344 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-35 N/A 313398VT3 188269.050000 PA USD 187248.930000 0.0018697 Long ABS-MBS USGSE US N 2 2031-09-25 Floating 3.364 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-61 N/A 31395A3J2 62172.060000 PA USD 64985.690000 0.0006489 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 2.50402 N N N N N N FIDELITY GRAND HARBOUR CLO 2019-1 DAC 19-1A N/A ACI280L41 4474000.000000 PA 4113137.270000 0.0410708 Long ABS-CBDO CORP IE N 2 2032-03-15 Floating 2.2 N N N N N N FIRST FRANKLIN MTG LOAN 2005-FF12 N/A 32027NXX4 14394638.620000 PA USD 13836772.960000 0.1381640 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.789 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF14 N/A 32027LAA3 1406533.280000 PA USD 1227796.660000 0.0122599 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.189 N N N N N N FIRST HORIZON ALT MTG SEC 2006-FA8 N/A 32052DAG6 675432.150000 PA USD 303357.310000 0.0030291 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N FIRST HORIZON ALT MTGE SEC 2004-AA1 N/A 32051D3G5 203011.250000 PA USD 194192.910000 0.0019391 Long ABS-MBS CORP US N 2 2034-06-25 Fixed 3.11171 N N N N N N FIRST HORIZON ALT MTGE SEC 2004-AA3 N/A 32051D6B3 45531.900000 PA USD 41986.150000 0.0004192 Long ABS-MBS CORP US N 2 2034-09-25 Floating 3.72912 N N N N N N FIRST HORIZON ALTER MTGE SEC 2007-FA4 N/A 32052WAH2 149413.210000 PA USD 68384.160000 0.0006828 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6.25 Y N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR3 N/A 32051GQL2 212908.670000 PA USD 151589.210000 0.0015137 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.87479 Y N N N N N FNMA PASS THRU POOLS N/A 31385HJD5 4750.790000 PA USD 5003.430000 0.0000500 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 4.996 N N N N N N FNMA PASS THRU POOLS N/A 31385HJE3 8451.650000 PA USD 8612.940000 0.0000860 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 3.961 N N N N N N FNMA PASS THRU POOLS N/A 31388UKH2 3717.080000 PA USD 3590.150000 0.0000358 Long ABS-MBS USGSE US N 2 2032-02-01 Floating 2.525 N N N N N N FNMA PASS THRU POOLS N/A 31390JX89 6317.220000 PA USD 6323.670000 0.0000631 Long ABS-MBS USGSE US N 2 2027-04-01 Floating 4.185 N N N N N N FNMA PASS THRU POOLS N/A 31390JX97 9986.240000 PA USD 9992.090000 0.0000998 Long ABS-MBS USGSE US N 2 2032-04-01 Floating 3.765 N N N N N N FNMA PASS THRU POOLS N/A 31391MCP6 14499.590000 PA USD 14002.130000 0.0001398 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 1.84 N N N N N N FNMA PASS THRU POOLS N/A 31401GY24 71455.760000 PA USD 71702.800000 0.0007160 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 2.18 N N N N N N FNMA PASS THRU POOLS N/A 31402LPB2 11864.930000 PA USD 12034.060000 0.0001202 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 2.303 N N N N N N FNMA PASS THRU POOLS N/A 31402XTR7 2275.490000 PA USD 2197.480000 0.0000219 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 1.893 N N N N N N FNMA PASS THRU POOLS N/A 31404GHQ7 10773.820000 PA USD 10402.020000 0.0001039 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 1.934 N N N N N N FNMA PASS THRU POOLS N/A 31405YPX3 144569.010000 PA USD 146804.550000 0.0014659 Long ABS-MBS USGSE US N 2 2044-09-01 Floating 2.304 N N N N N N FNMA PASS THRU POOLS N/A 31406DAF3 193191.920000 PA USD 196189.250000 0.0019590 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 2.304 N N N N N N FNMA PASS THRU POOLS N/A 31406KAM2 19734.460000 PA USD 19599.900000 0.0001957 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 3.61 N N N N N N FNMA PASS THRU POOLS N/A 31406VGS9 5306.330000 PA USD 5243.220000 0.0000524 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 3.85 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 89314.560000 PA USD 867155.060000 0.0086588 Long STIV RF US N 1 N N N AT&T MOBILITY II LLC N/A 04651L206 2004101.000000 NS USD 51006655.130000 0.5093156 Long EP CORP US Y 3 N N N FNMA PASS THRU POOLS N/A 3140H1V98 1227212.770000 PA USD 1154626.570000 0.0115293 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140H5ZE4 332401.740000 PA USD 314346.870000 0.0031388 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HJYY1 20015.510000 PA USD 18843.680000 0.0001882 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HMN26 3454631.510000 PA USD 3258369.130000 0.0325357 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HNVL3 78263.370000 PA USD 74024.710000 0.0007392 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GR2 210535.520000 PA USD 198670.940000 0.0019838 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JRZU8 76974.050000 PA USD 72488.180000 0.0007238 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140K9T74 505134.580000 PA USD 478161.260000 0.0047746 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9UA9 134558.390000 PA USD 127356.710000 0.0012717 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140X5Y72 55380.750000 PA USD 52255.050000 0.0005218 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CZF4 18779.430000 PA USD 17704.160000 0.0001768 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418DNK4 397798.840000 PA USD 372411.500000 0.0037186 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 4 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540XAB9 9800000.000000 PA USD 9808036.000000 0.0979360 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1N4959 76249586.000000 PA 76091514.480000 0.7597948 Long DBT NUSS FR N 2 2026-03-01 Fixed 0.1 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1VB392 15140064.000000 PA 14606916.680000 0.1458541 Long DBT NUSS FR N 2 2031-07-25 Fixed 0.1 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI25Z7H4 42300648.000000 PA 37759538.150000 0.3770394 Long DBT NUSS FR N 2 2038-07-25 Fixed 0.1 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI04Z888 55801725.000000 PA 56491336.420000 0.5640816 Long DBT NUSS FR N 2 2024-07-25 Fixed 0.25 N N N N N N FREDDIE MAC 2264 N/A 3133TPWN5 10120.290000 PA USD 10723.560000 0.0001071 Long ABS-MBS USGSE US N 2 2030-10-15 Fixed 7 N N N N N N FREDDIE MAC STRUCTURED P/T CERT T-11 N/A 3133TDPX8 3674.340000 PA USD 3668.390000 0.0000366 Long ABS-MBS USGSE US N 2 2028-01-25 Fixed 6.5 N N N N N N FREDDIE MAC-3262 N/A 31397EM44 2426.070000 PA USD 2356.230000 0.0000235 Long ABS-MBS USGSE US N 2 2037-01-15 Floating 3.08771 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAA0 2176455.200000 PA USD 1951502.670000 0.0194863 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.219 N N N N N N GALLATIN CLO IX LTD 2018-1A N/A 36361WAC0 313318.480000 PA USD 312001.620000 0.0031154 Long ABS-CBDO CORP KY N 2 2028-01-21 Floating 3.78171 N N N N N N GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A N/A 36361UAL4 6100000.000000 PA USD 5976591.510000 0.0596779 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 3.602 N N N N N N GNMA PASS THRU POOLS N/A 36225DRX4 5805.500000 PA USD 5718.780000 0.0000571 Long ABS-MBS USGSE US N 2 2035-07-20 Floating 1.625 N N N N N N GNMA PASS THRU POOLS N/A 36225DWT7 165837.980000 PA USD 162843.100000 0.0016260 Long ABS-MBS USGSE US N 2 2035-12-20 Floating 1.75 N N N N N N GOLDENTREE LOAN MANAGEMENT US CLO 2 LTD 2017-2A N/A 38136MAU2 2400000.000000 PA USD 2341569.600000 0.0233812 Long ABS-CBDO CORP KY N 2 2030-11-20 Floating 3.61986 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15 N/A 38380LJY0 10000517.110000 PA USD 9720444.630000 0.0970613 Long ABS-MBS USGSE US N 2 2068-08-20 Floating 3.85771 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-HJUN N/A 950BFTII9 13200000.000000 PA USD 13215767.660000 0.1319631 Long ABS-MBS USGSE US N 3 2072-09-01 Floating 3.18471 N N N N N N GOVERNMENT NATL MTGE ASSOC 2010-H01 N/A 38376T5N8 7360195.980000 PA USD 7345480.000000 0.0733466 Long ABS-MBS USGSE US N 2 2060-01-20 Floating 3.31343 N N N N N N GREAT HALL MORTGAGES PLC 2006-1 N/A 991XUKII4 165308.850000 PA 182509.130000 0.0018224 Long ABS-MBS CORP GB N 2 2038-06-18 Floating 2.22214 N N N N N N GREAT HALL MORTGAGES PLC 2007-1 N/A B1S83ZII1 218625.800000 PA 241408.520000 0.0024105 Long ABS-MBS CORP GB N 2 2039-03-18 Floating 2.9959 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR1 N/A 39538RAB5 350016.060000 PA USD 324315.220000 0.0032384 Long ABS-MBS CORP US N 2 2045-06-25 Floating 3.524 N N N N N N GRIFONAS FINANCE NO.1 PLC GRIF-1 N/A B1DFQWII3 108381.390000 PA 98648.160000 0.0009850 Long ABS-MBS CORP GB N 2 2039-08-28 Floating 1.264 N N N N N N GS MORTGAGE SECURITIES CORP II 2022-GTWY N/A 36266DAA2 1900000.000000 PA USD 1907259.900000 0.0190445 Long ABS-MBS CORP US N 2 2027-09-15 Floating 6.246 N N N N N N GSAA HOME EQUITY TRUST 2006-7 N/A 362334ND2 1289994.580000 PA USD 787953.970000 0.0078679 Long ABS-MBS CORP US N 2 2046-03-25 Variable 6.72 N N N N N N GSAMP TRUST 2005-HE2 N/A 36242DA60 2498149.810000 PA USD 2261357.430000 0.0225803 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.059 Y N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAA9 1806627.900000 PA USD 1008607.110000 0.0100712 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.224 N N N N N N GSAMP TRUST 2007-HE2 N/A 362440AE9 3000000.000000 PA USD 2487197.700000 0.0248354 Long ABS-MBS CORP US N 2 2047-03-25 Floating 3.454 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR2 N/A 36242DH55 28710.770000 PA USD 26679.770000 0.0002664 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.1935 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR4 N/A 362341FR5 72759.220000 PA USD 69571.170000 0.0006947 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.65222 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341WZ8 87750.810000 PA USD 87024.020000 0.0008690 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.05831 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XE4 329147.000000 PA USD 285801.660000 0.0028538 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.70965 Y N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 16293.880000 PA USD 15164.170000 0.0001514 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.19341 N N N N N N HALSEYPOINT CLO 3 LTD 2020-3A N/A 40638UAA7 900000.000000 PA USD 878709.600000 0.0087742 Long ABS-CBDO CORP KY N 2 2032-11-30 Floating 4.23229 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-10 N/A 41161PTN3 512554.980000 PA USD 402964.110000 0.0040237 Long ABS-MBS CORP US N 2 2035-11-19 Floating 3.61343 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 3391.730000 PA USD 3078.860000 0.0000307 Long ABS-MBS CORP US N 2 2035-05-19 Floating 3.43343 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-9 N/A 41161PSK0 150057.460000 PA USD 137421.660000 0.0013722 Long ABS-MBS CORP US N 2 2035-06-20 Floating 3.67343 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-1 N/A 41161PA86 397133.060000 PA USD 355831.700000 0.0035531 Long ABS-MBS CORP US N 2 2036-03-19 Floating 3.47343 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2007-5 N/A 41165AAB8 144961.950000 PA USD 128292.410000 0.0012810 Long ABS-MBS CORP US N 2 2037-09-19 Floating 3.18343 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2004-1 N/A 41161PCY7 53409.410000 PA USD 49433.630000 0.0004936 Long ABS-MBS CORP US N 2 2034-04-19 Floating 3.13723 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A 41161PYZ0 1023085.300000 PA USD 640908.410000 0.0063996 Long ABS-MBS CORP US N 2 2036-01-19 Floating 3.49343 Y N N N N N HARBORVIEW MTGE LOAN TRUST 2004-10 N/A 41161PJN4 171102.100000 PA USD 161951.100000 0.0016171 Long ABS-MBS CORP US N 2 2035-01-19 Floating 3.30289 N N N N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 1500000.000000 PA 1422116.830000 0.0142002 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.64 N N N N N N HARVEST CLO XVIII DAC 8A N/A ACI278F26 1498351.180000 PA 1433439.260000 0.0143133 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 0.73 N N N N N N HARVEST CLO XX DAC 20A N/A ACI1WC7B0 13000000.000000 PA 12337044.290000 0.1231888 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 0.727 N N N N N N HARVEST CLO XXI DAC 21A N/A ACI1WSV44 2000000.000000 PA 1881960.140000 0.0187919 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 0.76 N N N N N N HOME EQUITY ASSET TRUST 2005-9 N/A 437084QY5 1105690.460000 PA USD 1088833.210000 0.0108723 Long ABS-MBS CORP US N 2 2036-04-25 Floating 3.699 N N N N N N HOME EQUITY PASS-THRU CERTS 2005-8 N/A 437084QA7 10070986.750000 PA USD 9757460.820000 0.0974309 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.759 N N N N N N HOMEBANC MORTGAGE TRUST 2006-1 N/A 43739ECR6 514859.570000 PA USD 467908.240000 0.0046722 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.79286 Y N N N N N HOMEWARD OPPORTUNITIES FUND I TRUST 2020-2 N/A 43789XAA2 78548.440000 PA USD 77931.670000 0.0007782 Long ABS-MBS CORP US N 2 2065-05-25 Variable 1.657 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT3 N/A 40430HFM5 1561197.330000 PA USD 1540107.270000 0.0153784 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.624 N N N N N N ICG US CLO 2018-1 LTD N/A 449258AA0 750000.000000 PA USD 734234.030000 0.0073315 Long ABS-CBDO CORP KY N 2 2031-04-21 Floating 3.79171 N N N N N N IMPAC CMB TRUST 2003-8 N/A 45254NFG7 5679.450000 PA USD 5617.990000 0.0000561 Long ABS-MBS CORP US N 2 2033-10-25 Floating 3.984 N N N N N N INDYMAC INDA MORTGAGE LOAN TR 2005-AR1 N/A 45660LZK8 2575.010000 PA USD 2471.410000 0.0000247 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.13571 Y N N N N N INDYMAC INDA MORTGAGE LOAN TR 2005-AR1 N/A 45660LZM4 136899.160000 PA USD 106127.050000 0.0010597 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.85893 Y N N N N N INDYMAC INDA MTGE LOAN TRUST 2006-AR1 N/A 45662BAD1 293018.620000 PA USD 245320.110000 0.0024496 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.40225 N N N N N N INDYMAC INDB MORTGAGE LOAN TR 2006-1 N/A 45661JAA1 3960384.160000 PA USD 1278916.160000 0.0127703 Long ABS-MBS CORP US N 2 2036-07-25 Floating 3.224 N N N N N N INDYMAC INDB MTGE LOAN TRUST 2005-1 N/A 45660LYW3 125653.660000 PA USD 77425.840000 0.0007731 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.684 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR14 N/A 45660LRU5 231267.240000 PA USD 173506.070000 0.0017325 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.644 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR31 N/A 45660LW70 52925.020000 PA USD 49233.390000 0.0004916 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.75514 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR6 N/A 456612AC4 995230.460000 PA USD 854475.910000 0.0085322 Long ABS-MBS CORP US N 2 2046-06-25 Floating 3.484 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2007-AR7 N/A 45670CAA5 273086.530000 PA USD 112887.140000 0.0011272 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.384 Y N N N N N INDYMAC INDX MTGE LOAN TR 2004-AR6 N/A 45660NX83 247798.440000 PA USD 239068.530000 0.0023872 Long ABS-MBS CORP US N 2 2034-10-25 Floating 3.68179 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR11 N/A 45660N6S9 38117.100000 PA USD 36765.690000 0.0003671 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.97481 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR11 N/A 45660LQJ1 110630.930000 PA USD 91839.330000 0.0009170 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.19025 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR11 N/A 45660LQL6 88563.910000 PA USD 73465.980000 0.0007336 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.19025 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR19 N/A 45660LXA2 94881.180000 PA USD 78458.030000 0.0007834 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.04666 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR15 N/A 456610AA2 562366.760000 PA USD 518056.760000 0.0051729 Long ABS-MBS CORP US N 2 2036-07-25 Floating 3.324 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR9 N/A 45661EGK4 156504.920000 PA USD 138390.100000 0.0013819 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.07458 N N N N N N ING BANK NV/AMSTERDAM BRANCH 3TK20IVIUJ8J3ZU0QE75 44986L2A6 14800000.000000 PA USD 14761897.550000 0.1474016 Long DBT CORP NL N 2 2022-12-05 Fixed 2.625 N N N N N N INVESCO EURO CLO I DAC 1A N/A ACI1VT7W8 1000000.000000 PA 951354.990000 0.0094995 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 0.65 N N N N N N INVESCO EURO CLO III DAC 3A N/A ACI269JN5 600000.000000 PA 561950.460000 0.0056112 Long ABS-CBDO CORP IE N 2 2032-07-15 Floating 0.92 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 6580000.000000 NS USD 5670249.200000 0.0566190 Long EP CORP US N 2 N N N ITALY GOVT 815600DE60799F5A9309 ACI1MHM64 279222234.860000 PA 273251128.410000 2.7284881 Long DBT NUSS IT N 2 2025-05-26 Fixed 1.4 N N N N N N ITALY GOVT 815600DE60799F5A9309 BK5MSXII1 33963786.600000 PA 29098706.410000 0.2905586 Long DBT NUSS IT N 2 2030-05-15 Fixed 0.4 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A 46651QAA5 3234389.380000 PA USD 3206679.070000 0.0320196 Long ABS-MBS CORP US N 2 2031-12-15 Floating 4.268 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 3991565871.000000 PA 28999734.080000 0.2895704 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1BXN03 3343697500.000000 PA 24373667.260000 0.2433778 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1XV2Q9 2332071400.000000 PA 17120333.470000 0.1709513 Long DBT NUSS JP N 2 2031-03-10 Fixed 0.005 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A1 N/A 46627MCS4 1669498.360000 PA USD 1577360.920000 0.0157504 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.544 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A7 N/A 466286AD3 12392908.130000 PA USD 11245764.790000 0.1122921 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.544 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2008-R4 N/A 466309AA9 112622.650000 PA USD 61865.980000 0.0006177 Long ABS-MBS CORP US N 2 2036-12-27 Fixed 6 Y N N N N N JP MORGAN MORTGAGE TRUST 2005-A3 N/A 466247PW7 3226.650000 PA USD 3214.930000 0.0000321 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.82576 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 62548.890000 PA USD 62748.410000 0.0006266 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.08193 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A8 N/A 466247YH0 109109.800000 PA USD 91855.020000 0.0009172 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.1836 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A4 N/A 46628LAG3 15588.280000 PA USD 11843.040000 0.0001183 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.74133 Y N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAA3 17665.060000 PA USD 17319.060000 0.0001729 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.1982 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAH8 47418.690000 PA USD 44839.010000 0.0004477 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.31381 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A2 N/A 466247NZ2 1699.570000 PA USD 1700.260000 0.0000170 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.78083 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A6 N/A 466247TQ6 121148.190000 PA USD 115475.090000 0.0011531 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.23708 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 243360.410000 PA USD 239434.620000 0.0023908 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.294 N N N N N N JP MORGAN MTGE TRUST 2005-A5 N/A 466247SL8 85311.250000 PA USD 82058.070000 0.0008194 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.60818 N N N N N N JP MORGAN MTGE TRUST 2005-ALT1 N/A 466247XK4 62162.870000 PA USD 50573.390000 0.0005050 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.45392 Y N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2TB8 6500000.000000 PA 6189424.580000 0.0618031 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 0.65 N N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2W24 1800000.000000 PA 1679206.110000 0.0167673 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 0.65 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1TRDT5 44379693.940000 PA 4262650.150000 0.0425637 Long DBT CORP DK N 2 2043-10-01 Fixed 0.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI09QH00 7510.500000 PA 854.600000 0.0000085 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1PMG75 143974535.430000 PA 11992026.490000 0.1197437 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1W77N5 98482296.380000 PA 8932791.490000 0.0891964 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1X8QV3 37542930.020000 PA 3603557.140000 0.0359825 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1CPNN9 352148383.180000 PA 32013869.160000 0.3196673 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N KKR CLO 11 LTD N/A 48250MAK3 2600000.000000 PA USD 2554500.000000 0.0255074 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 3.692 N N N N N N KKR CLO 9 LTD N/A 48250LAW9 7000000.000000 PA USD 6917288.910000 0.0690710 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 3.462 N N N N N N 522 FUNDING CLO I LTD 2018-3A N/A 33835NAA9 8300000.000000 PA USD 8110285.410000 0.0809834 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 3.74986 N N N N N N LAURELIN 2016-1 DAC 16-1A N/A ACI1WVS58 4700000.000000 PA 4446808.680000 0.0444026 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 0.767 N N N N N N LCM XV LP 15A N/A 50184NAR3 4000000.000000 PA USD 3935296.080000 0.0392950 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 3.70986 N N N N N N LCM XXV LTD 25A N/A 50189PAY8 3000000.000000 PA USD 2950877.700000 0.0294653 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 3.5773 N N N N N N LEHMAN ABS MANUFACTURED HOUSING 2001-B N/A 52519SAM5 3981843.100000 PA USD 2678749.510000 0.0267481 Long ABS-O CORP US N 2 2040-04-15 Variable 7.17 Y N N N N N LEHMAN XS TRUST 2005-4 N/A 525221CA3 15260.280000 PA USD 15245.180000 0.0001522 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.884 N N N N N N LEHMAN XS TRUST 2006-18N N/A 52522GAC8 922412.200000 PA USD 885688.020000 0.0088438 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.444 N N N N N N LEHMAN XS TRUST 2006-7 N/A 52522EAA7 2684609.180000 PA USD 2910221.860000 0.0290594 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.404 N N N N N N LEHMAN XS TRUST 2006-8 N/A 52522HAM4 4137491.230000 PA USD 4010875.310000 0.0400497 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.9 N N N N N N LEHMAN XS TRUST 2007-15N N/A 52524VAG4 2265628.950000 PA USD 2076673.680000 0.0207362 Long ABS-MBS CORP US N 2 2037-08-25 Floating 3.584 N N N N N N LEHMAN XS TRUST SERIES 2007-20N N/A 52525AAA2 10315409.280000 PA USD 10409236.180000 0.1039391 Long ABS-MBS CORP US N 2 2037-12-25 Floating 5.384 Y N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI080964 700000.000000 PA 608996.760000 0.0060810 Long DBT CORP GB N 2 2025-06-27 Floating 4.947 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LOANCORE 2022-CRE7 ISSUER LTD N/A 53946PAA8 11600000.000000 PA USD 11261568.840000 0.1124499 Long ABS-CBDO CORP KY N 2 2037-01-17 Floating 3.83436 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAL3 200000.000000 PA USD 199657.890000 0.0019936 Long DBT CORP US N 2 2022-11-06 Fixed 2.9 N N N N N N LUMINENT MORTGAGE TRUST 2006-7 N/A 55028BAA5 238096.820000 PA USD 218054.470000 0.0021773 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.444 Y N N N N N M360 2021-CRE3 LLC N/A 55379AAA2 1900000.000000 PA USD 1861027.960000 0.0185829 Long ABS-CBDO CORP KY N 2 2038-11-22 Floating 4.55186 N N N N N N MADISON PARK EURO FUNDING IX DAC 9A N/A ACI1YKP79 1331000.000000 PA 1215462.940000 0.0121367 Long ABS-CBDO CORP IE N 2 2035-07-15 Floating 0.88 N N N N N N MADISON PARK FUNDING XXV LTD 2017-25A N/A 55820RAJ1 1483995.320000 PA USD 1458262.690000 0.0145612 Long ABS-CBDO CORP KY N 2 2029-04-25 Floating 3.753 N N N N N N MADISON PARK FUNDING XXVI LTD 2017-26A N/A 55819YAA8 3000000.000000 PA USD 2964656.160000 0.0296029 Long ABS-CBDO CORP KY N 2 2030-07-29 Floating 4.00586 N N N N N N MADISON PARK FUNDING XXX LTD 2018-30A N/A 55821TAA5 4812955.660000 PA USD 4740761.330000 0.0473378 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 3.262 N N N N N N MAGNETITE XVIII LTD 2016-18A N/A 55953TAS6 7452494.450000 PA USD 7293588.640000 0.0728285 Long ABS-CBDO CORP KY N 2 2028-11-15 Floating 3.78514 N N N N N N MAN GLG EURO CLO II DAC 2A N/A ACI1DJHC3 2504134.760000 PA 2421349.850000 0.0241778 Long ABS-CBDO CORP IE N 2 2030-01-15 Floating 0.87 N N N N N N MAN GLG EURO CLO IV DAC 4A N/A ACI26HCW4 699609.390000 PA 670408.620000 0.0066942 Long ABS-CBDO CORP IE N 2 2031-05-15 Floating 1.021 N N N N N N MAN GLG EURO CLO V DAC 5A N/A ACI1WBHS4 8600000.000000 PA 8127269.800000 0.0811530 Long ABS-CBDO CORP IE N 2 2031-12-15 Floating 1.69 N N N N N N MARATHON STATIC CLO 2022-18A LTD N/A 56586PAA6 4200000.000000 PA USD 4166380.260000 0.0416025 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 5.0696 N N N N N N MARBLE POINT CLO X LTD 2017-1A N/A 566061AL1 6700000.000000 PA USD 6595888.770000 0.0658618 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 3.552 N N N N N N MASTER ADJUSTABLE RATE MTGE TR 2003-6 N/A 576433GC4 186047.470000 PA USD 170051.650000 0.0016980 Long ABS-MBS CORP US N 2 2033-12-25 Floating 2.11281 N N N N N N MASTER ADJUSTABLE RATE MTGE TR 2003-6 N/A 576433GF7 8740.910000 PA USD 8581.810000 0.0000857 Long ABS-MBS CORP US N 2 2033-12-25 Floating 2.18954 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1 N/A 576433G42 814980.430000 PA USD 721025.900000 0.0071996 Long ABS-MBS CORP US N 2 2046-04-25 Floating 3.294 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UM6 117092.310000 PA USD 111177.110000 0.0011101 Long ABS-MBS CORP US N 2 2034-11-21 Floating 3.8186 N N N N N N MASTR ALT LN TR 2006-2 N/A 5764342H6 917830.160000 PA USD 82563.320000 0.0008244 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.484 Y N N N N N ACE SECURITIES CORP 2002-HE3 N/A 004421BH5 5627.920000 PA USD 5965.210000 0.0000596 Long ABS-MBS CORP US N 2 2032-10-25 Floating 4.884 N N N N N N MELLON RES FUND CORP 1999-TBC3 N/A 585525DF2 26277.370000 PA USD 25633.020000 0.0002560 Long ABS-MBS CORP US N 2 2029-10-20 Floating 3.0172 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC2 N/A 585525ED6 26854.570000 PA USD 25802.840000 0.0002576 Long ABS-MBS CORP US N 2 2030-06-15 Floating 3.29771 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 52976.880000 PA USD 50241.330000 0.0005017 Long ABS-MBS CORP US N 2 2030-12-15 Floating 3.25771 N N N N N N MELLON RESIDENTIAL FUND CORP 2002-TBC1 N/A 585525FN3 18967.360000 PA USD 18766.800000 0.0001874 Long ABS-MBS CORP US N 2 2030-09-15 Floating 3.55771 N N N N N N MELLON RESIDENTIAL FUND CORP 2002-TBC2 N/A 585525FX1 72268.010000 PA USD 66000.390000 0.0006590 Long ABS-MBS CORP US N 2 2032-08-15 Floating 3.67771 N N N N N N MELLON RESIDENTIAL FUNDING CO 2001-TBC1 N/A 585525FC7 33708.710000 PA USD 32709.240000 0.0003266 Long ABS-MBS CORP US N 2 2031-11-15 Floating 3.51771 N N N N N N ACE SECURITIES CORP 2004-FM2 N/A 004421GK3 16621.650000 PA USD 16986.730000 0.0001696 Long ABS-MBS CORP US N 2 2034-06-25 Floating 4.884 Y N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE2 N/A 59024LAB7 108592.420000 PA USD 36773.640000 0.0003672 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.324 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 62913.870000 PA USD 53048.630000 0.0005297 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.84354 Y N N N N N MERRILL LYNCH MORTGAGE INVESTO-2006-RM4 N/A 59023QAB7 71748.780000 PA USD 16037.850000 0.0001601 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.244 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A2 N/A 589929M70 333949.270000 PA USD 313620.340000 0.0031316 Long ABS-MBS CORP US N 2 2033-02-25 Floating 2.72386 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A2 N/A 59020USH9 134575.750000 PA USD 128056.990000 0.0012787 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.76633 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A9 N/A 59020UW68 46747.060000 PA USD 36129.510000 0.0003608 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.14904 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE6 N/A 59023XAC0 10098269.030000 PA USD 3755916.860000 0.0375039 Long ABS-MBS CORP US N 2 2037-11-25 Floating 3.384 N N N N N N MERRILL LYNCH MTGE INVESTORS 2004-A1 N/A 59020UAC9 473924.300000 PA USD 457293.210000 0.0045662 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.72554 N N N N N N ACE SECURITIES CORP 2005-WF1 N/A 004421QR7 660611.990000 PA USD 659605.350000 0.0065863 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.774 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 975UCXII2 206976000.000000 PA 9132246.260000 0.0911880 Long DBT NUSS MX N 2 2031-05-29 Fixed 7.75 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI08N0F3 1260315.070000 PA 58039.760000 0.0005795 Long DBT NUSS MX N 2 2046-11-08 Fixed 4 N N N N N N MF1 2021-FL6 LTD N/A 55283TAA6 2000000.000000 PA USD 1941655.200000 0.0193880 Long ABS-CBDO CORP KY N 2 2036-07-16 Floating 4.03914 N N N N N N MF1 2021-FL7 LTD N/A 55284AAA6 2300000.000000 PA USD 2208000.000000 0.0220475 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 4.07343 N N N N N N MF1 2022-FL9 LLC N/A 55285AAA5 10200000.000000 PA USD 10010804.280000 0.0999606 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 5.17438 N N N N N N MIDOCEAN CREDIT CLO II 2013-2A N/A 59863KAS6 6107216.830000 PA USD 6023116.790000 0.0601425 Long ABS-CBDO CORP KY N 2 2030-01-29 Floating 3.83586 N N N N N N MIDOCEAN CREDIT CLO V 2016-5A N/A 59801TAL7 575692.600000 PA USD 568613.370000 0.0056778 Long ABS-CBDO CORP KY N 2 2028-07-19 Floating 3.85757 N N N N N N MIDOCEAN CREDIT CLO VIII 2018-8A N/A 59801MAL2 6100000.000000 PA USD 5976941.710000 0.0596814 Long ABS-CBDO CORP KY N 2 2031-02-20 Floating 4.034 N N N N N N MLCC MORTGAGE INVESTORS INC 2004-1 N/A 59020UNP6 163257.710000 PA USD 156275.390000 0.0015605 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.78417 N N N N N N MLCC MORTGAGE INVESTORS INC 2004-E N/A 59020UJQ9 5730.810000 PA USD 5428.940000 0.0000542 Long ABS-MBS CORP US N 2 2029-11-25 Floating 4.88271 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL78 171678.660000 PA USD 162497.170000 0.0016226 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.584 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-A N/A 59020UTC9 16531.900000 PA USD 14728.770000 0.0001471 Long ABS-MBS CORP US N 2 2030-03-25 Floating 4.68271 N N N N N N MLCC MORTGAGE INVESTORS INC 2006-2 N/A 590219AG6 37685.720000 PA USD 34115.050000 0.0003406 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.90864 N N N N N N MLCC MORTGAGE INVESTORS INC 2007-2 N/A 59024WAB3 130255.230000 PA USD 122603.950000 0.0012242 Long ABS-MBS CORP US N 2 2037-06-25 Floating 2.75287 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC5 N/A 61744CRW8 6500000.000000 PA USD 5907122.000000 0.0589842 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.134 Y N N N N N ADAGIO V CLO DAC V-A N/A ACI1WGSL6 1800000.000000 PA 1713633.780000 0.0171111 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.72 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAF9 1604214.490000 PA USD 795739.800000 0.0079457 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.304 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC5 N/A 61749BAF0 119017.780000 PA USD 66466.000000 0.0006637 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.314 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAE6 440447.310000 PA USD 207310.530000 0.0020701 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.424 N N N N N N MORGAN STANLEY DEAN WITT CAP I 2003-NC2 N/A 61746WA75 325219.680000 PA USD 317314.400000 0.0031685 Long ABS-MBS CORP US N 2 2033-02-25 Floating 4.434 N N N N N N MORGAN STANLEY MTGE LN TR 2007-10XS N/A 61751MAA2 87838.890000 PA USD 60036.940000 0.0005995 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N MORGAN STANLEY MTGE LN TR 2007-6XS N/A 61751JAM3 189251.890000 PA USD 77674.200000 0.0007756 Long ABS-MBS CORP US N 2 2047-02-25 Variable 5.70097 N N N N N N MORGAN STANLEY MTGE LN TR 2007-8XS N/A 61754PAA2 107313.430000 PA USD 55381.190000 0.0005530 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 5.75 Y N N N N N MP CLO VII LTD 2015-1A N/A 55320RAQ0 5482389.260000 PA USD 5389361.830000 0.0538143 Long ABS-CBDO CORP KY N 2 2028-10-18 Floating 3.63029 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-7 N/A 007036MX1 145077.380000 PA USD 138784.500000 0.0013858 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.34499 Y N N N N N ADJUSTABLE RATE MORTGAGE TR 2005-4 N/A 007036KD7 66491.180000 PA USD 64334.340000 0.0006424 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.3146 Y N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 10700000.000000 PA USD 10679712.160000 0.1066399 Long DBT CORP GB N 2 2024-06-25 Floating 5.19143 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 6900000.000000 PA USD 6820281.540000 0.0681024 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2004-4 N/A 64352VJJ1 769529.830000 PA USD 732366.310000 0.0073129 Long ABS-MBS CORP US N 2 2035-02-25 Floating 3.849 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A N/A 64830KAA5 2820859.800000 PA USD 2727193.430000 0.0272318 Long ABS-MBS CORP US N 2 2058-05-25 Variable 4.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 20531843.900000 PA USD 19320621.150000 0.1929217 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N AEGIS ASSET BACKED SECURITIES TR 2005-5 N/A 00764MHE0 2350000.000000 PA USD 2242002.230000 0.0223870 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.729 N N N N N N NEW YORK MORTGAGE TRUST 2006-1 N/A 649603AQ0 73206.310000 PA USD 64028.170000 0.0006393 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.96834 Y N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI02MK69 19448637.000000 PA 10976988.940000 0.1096083 Long DBT NUSS NZ N 2 2025-09-20 Fixed 2 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 654740BL2 100000.000000 PA USD 98264.380000 0.0009812 Long DBT CORP US N 2 2023-09-21 Fixed 3.875 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2006-AR1 N/A 65535VSE9 59373.060000 PA USD 49805.250000 0.0004973 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.28569 Y N N N N N NOMURA ASSET ACCEPTANCE CORP 2007-1 N/A 65538PAE8 188514.470000 PA USD 172818.760000 0.0017256 Long ABS-MBS CORP US N 2 2047-03-25 Variable 6.138 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2007-1 N/A 65538PAG3 203475.540000 PA USD 186586.090000 0.0018631 Long ABS-MBS CORP US N 2 2047-03-25 Variable 5.82 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-WF1 N/A 65536RAF3 2325371.880000 PA USD 2273778.620000 0.0227043 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.519 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1RSH20 18151506.050000 PA 1745812.880000 0.0174324 Long DBT CORP DK N 2 2043-10-01 Fixed 0.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI0CR3W9 3548.600000 PA 403.590000 0.0000040 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1N7374 12114259.160000 PA 1088774.330000 0.0108717 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1WZT66 171997953.200000 PA 15591019.900000 0.1556806 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1Z8QZ2 10700000.000000 PA 917902.460000 0.0091655 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 55354159.660000 PA 5316013.140000 0.0530819 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI22CN07 8895627.930000 PA 883864.150000 0.0088256 Long DBT CORP DK N 2 2053-10-01 Fixed 2 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BK99HJII9 263542968.460000 PA 23968462.660000 0.2393317 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NOVASTAR HOME EQUITY LOAN 2005-1 N/A 66987XGJ8 1133377.900000 PA USD 1122780.700000 0.0112113 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.164 N N N N N N NOVASTAR HOME EQUITY LOAN 2005-3 N/A 66987XGY5 831798.030000 PA USD 824803.770000 0.0082359 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.789 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-5 N/A 66988YAD4 1318656.210000 PA USD 465405.730000 0.0046472 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.424 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1RMVS0 131847820.430000 PA 12647762.650000 0.1262914 Long DBT CORP DK N 2 2043-10-01 Fixed 0.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI09WV27 20294.270000 PA 2309.100000 0.0000231 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BK9CXBII1 1148013290.690000 PA 104219299.220000 1.0406585 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N7309 47051884.750000 PA 4226265.840000 0.0422004 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N9610 662043.670000 PA 55133.800000 0.0005505 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1NN643 455714845.710000 PA 41283145.700000 0.4122236 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 260621558.510000 PA 25008882.670000 0.2497206 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1X30Y6 2496600.630000 PA 214164.990000 0.0021385 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N OAK HILL EUROPEAN CREDIT PARTNERS VII DAC 18-7A N/A ACI1WXMN1 10500000.000000 PA 9967551.100000 0.0995288 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 0.787 N N N N N N OAKTREE CLO 2019-1A N/A 67401XAS0 3450000.000000 PA USD 3379080.940000 0.0337411 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 3.869 N N N N N N OCP EURO CLO DAC 2017-2A N/A ACI0YSL94 800000.000000 PA 768211.640000 0.0076708 Long ABS-CBDO CORP IE N 2 2032-01-15 Floating 0.82 N N N N N N OCTAGON INVESTMENT PARTNERS XXI LTD 2014-1A N/A 67590QBK2 4800000.000000 PA USD 4690568.400000 0.0468366 Long ABS-CBDO CORP KY N 2 2031-02-14 Floating 3.90514 N N N N N N OCTAGON LOAN FUNDING LTD 2014-1A N/A 67590RAY1 320000.000000 PA USD 312588.410000 0.0031213 Long ABS-CBDO CORP KY N 2 2031-11-18 Floating 4.14057 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-3 N/A 68402BAD8 6952599.700000 PA USD 3500684.010000 0.0349553 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.324 N N N N N N OSD CLO 2021-23A LTD N/A 671026AA0 2490640.830000 PA USD 2422570.370000 0.0241900 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 3.61029 N N N N N N OZLM VIII LTD 2014-8A N/A 67107FBL0 7548882.920000 PA USD 7422130.380000 0.0741120 Long ABS-CBDO CORP KY N 2 2029-10-17 Floating 3.72029 N N N N N N OZLM XI LTD 2015-11A N/A 67109UAS1 791349.500000 PA USD 780445.730000 0.0077930 Long ABS-CBDO CORP KY N 2 2030-10-30 Floating 4.03229 N N N N N N OZLM XXIV LTD 2019-24A N/A 67113DAW4 4600000.000000 PA USD 4462736.920000 0.0445617 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 3.86986 N N N N N N PALMER SQUARE CLO LTD 2018-2 N/A 69688MAA3 2600000.000000 PA USD 2531275.240000 0.0252755 Long ABS-CBDO CORP KY N 2 2031-07-16 Floating 3.84029 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 22-2A N/A ACI24FF23 6200000.000000 PA 5938659.700000 0.0592992 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 1.05 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 22-3A N/A ACI28QN42 40900000.000000 PA 39966662.560000 0.3990782 Long ABS-CBDO CORP IE N 3 2032-04-12 Floating 3.013 N N N N N N PALMER SQUARE LOAN FUNDING 2021-2 LTD N/A 69702DAA5 358713.960000 PA USD 354695.830000 0.0035417 Long ABS-CBDO CORP KY N 2 2029-05-20 Floating 3.784 N N N N N N PALMER SQUARE LOAN FUNDING 2021-3 N/A 69702BAA9 15570923.280000 PA USD 15388875.360000 0.1536622 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 3.50986 N N N N N N PARK PLACE SEC INC 2005-WHQ2 N/A 70069FHX8 8391000.000000 PA USD 7729913.390000 0.0771853 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.014 N N N N N N PARK PLACE SEC INC 2005-WHQ4 N/A 70069FMT1 2551364.610000 PA USD 2476375.410000 0.0247273 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.819 N N N N N N PARK PLACE SECURITIES INC 2004-WCW2 N/A 70069FAZ0 3328861.260000 PA USD 3268858.870000 0.0326405 Long ABS-MBS CORP US N 2 2034-10-25 Floating 4.134 N N N N N N PARK PLACE SECURITIES INC 2004-WHQ1 N/A 70069FBS5 45713.260000 PA USD 45595.780000 0.0004553 Long ABS-MBS CORP US N 2 2034-09-25 Floating 4.074 N N N N N N PARK PLACE SECURITIES INC 2004-WHQ2 N/A 70069FEM5 1635736.510000 PA USD 1461368.960000 0.0145922 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.809 N N N N N N PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP N/A 709599AN4 100000.000000 PA USD 99822.720000 0.0009968 Long DBT CORP US N 2 2023-01-17 Fixed 4.25 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BX9 17700000.000000 PA 3910155.130000 0.0390440 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94 N N N N N N ALLEGRO CLO IX LTD 2018-3A N/A 01750NAA7 2800000.000000 PA USD 2749016.870000 0.0274497 Long ABS-CBDO CORP KY N 2 2031-10-16 Floating 3.90529 N N N N N N ALLIANCE BANCORP TRUST 2007-OA1 N/A 01852TAA1 3529981.930000 PA USD 2986676.410000 0.0298228 Long ABS-MBS CORP US N 2 2037-07-25 Floating 3.564 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI122SK2 4000000.000000 PA USD 3989840.000000 0.0398397 Long DBT NUSS QA N 2 2023-04-23 Fixed 3.875 N N N N N N RAD CLO LTD 2019-5A N/A 74923EAA6 2500000.000000 PA USD 2428941.250000 0.0242537 Long ABS-CBDO CORP KY N 2 2032-07-24 Floating 3.903 N N N N N N RALI SERIES 2005-QO1 TRUST N/A 761118EN4 42187.560000 PA USD 32610.050000 0.0003256 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.384 N N N N N N ALME LOAN FUNDING III DAC 3A N/A ACI26NDV2 699703.400000 PA 666462.830000 0.0066548 Long ABS-CBDO CORP IE N 2 2032-04-15 Floating 0.75 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI0B2V53 8705.790000 PA 985.180000 0.0000098 Long DBT CORP DK N 2 2047-04-01 Fixed 2.5 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BKDSHLII7 350708907.390000 PA 31861741.280000 0.3181483 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BL63VKII4 30668428.390000 PA 2752740.570000 0.0274869 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BL63VNII8 15122860.590000 PA 1259504.150000 0.0125765 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI1WVDP0 7776296.390000 PA 703951.370000 0.0070291 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 64799304.150000 PA 6215232.540000 0.0620608 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N REGATTA VIII FUNDING LTD 2017-1A N/A 75888KAA2 13900000.000000 PA USD 13686131.820000 0.1366598 Long ABS-CBDO CORP KY N 2 2030-10-17 Floating 3.99029 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 31600761.800000 PA USD 15294917.230000 0.1527240 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.184 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO6 N/A 75114NAA2 2477067.870000 PA USD 600528.200000 0.0059964 Long ABS-MBS CORP US N 2 2046-06-25 Floating 3.444 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 3166169.870000 PA USD 2842045.890000 0.0283786 Long ABS-MBS CORP US N 2 2037-10-25 Variable 1.77847 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO2 N/A 761118HU5 94360.460000 PA USD 84336.670000 0.0008421 Long ABS-MBS CORP US N 2 2045-09-25 Floating 2.46402 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO4 N/A 761118NN4 654781.550000 PA USD 495434.300000 0.0049470 Long ABS-MBS CORP US N 2 2045-12-25 Floating 3.644 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-EMX7 N/A 74924TAD6 4471353.990000 PA USD 3935235.520000 0.0392944 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.572 N N N N N N RESIDENTIAL ASSET SEC TRUST 2003-A5 N/A 45660NQA6 53647.850000 PA USD 51171.270000 0.0005110 Long ABS-MBS CORP US N 2 2033-06-25 Fixed 5.5 N N N N N N RESIDENTIAL ASSET SEC TRUST 2005-A5 N/A 45660LJZ3 4317589.060000 PA USD 2991647.530000 0.0298724 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.484 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-R1 N/A 76113MAB1 56261.940000 PA USD 18355.020000 0.0001833 Long ABS-MBS CORP US N 2 2046-01-25 Floating 3.484 Y N N N N N RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A6 N/A 76114CAG1 1779254.440000 PA USD 464407.650000 0.0046372 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6.5 N N N N N N RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A N/A ACI1PKR28 10420142.210000 PA 11698745.040000 0.1168152 Long ABS-MBS CORP GB N 2 2070-06-20 Floating 3.21584 N N N N N N AMBAC ASSURANCE CORPORATION 549300RYYRVPPB8NC636 023138AA8 1.000000 PA USD 1.030000 0.0000000 Long DBT CORP US N 2 2099-12-31 Fixed 5.1 N N N N N N ROMARK CLO LTD 2017-1A N/A 77587UAL6 7100000.000000 PA USD 6970523.690000 0.0696026 Long ABS-CBDO CORP KY N 2 2030-10-23 Floating 3.813 N N N N N N SALOMON BROTHERS MTGE SEC VII 2003-1 N/A 79549AYP8 188646.140000 PA USD 133520.380000 0.0013332 Long ABS-MBS CORP US N 2 2033-09-25 Fixed 6.5 N N N N N N SARANAC CLO II LTD 2014-2A N/A 80317EAA7 2163238.050000 PA USD 2145772.740000 0.0214261 Long ABS-CBDO CORP JE N 2 2029-11-20 Floating 4.214 N N N N N N SARANAC CLO LTD 2018-6A N/A 80317LAJ2 1500000.000000 PA USD 1469272.170000 0.0146711 Long ABS-CBDO CORP JE N 2 2031-08-13 Floating 4.38543 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAH2 9570000.000000 PA USD 9377126.220000 0.0936332 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SAXON ASSET SECURITIES TRUST 2005-1 N/A 805564RN3 431387.370000 PA USD 413911.910000 0.0041330 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.804 N N N N N N SAXON ASSET SECURITIES TRUST 2005-4 N/A 805564TL5 1915000.000000 PA USD 1678518.950000 0.0167605 Long ABS-MBS CORP US N 2 2037-11-25 Floating 3.804 Y N N N N N SECURITIZED ASSET BACKED REC 2006-HE1 N/A 81376YAD3 3138427.430000 PA USD 1231367.650000 0.0122955 Long ABS-MBS CORP US N 2 2036-07-25 Floating 3.404 N N N N N N SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A N/A ACI1YTXT3 3900000.000000 PA 3687280.180000 0.0368185 Long ABS-CBDO CORP IE N 2 2032-07-20 Floating 0.927 N N N N N N SEQUOIA MORTGAGE TRUST 10 N/A 81743VAA1 20844.180000 PA USD 20316.320000 0.0002029 Long ABS-MBS CORP US N 2 2027-10-20 Floating 3.79343 N N N N N N SEQUOIA MORTGAGE TRUST 10 N/A 81743VAB9 12337.750000 PA USD 11882.090000 0.0001186 Long ABS-MBS CORP US N 2 2027-10-20 Floating 3.75343 N N N N N N SEQUOIA MORTGAGE TRUST 11 N/A 81744AAA6 20468.300000 PA USD 18974.600000 0.0001895 Long ABS-MBS CORP US N 2 2032-12-20 Floating 3.89343 N N N N N N SEQUOIA MORTGAGE TRUST 2004-3 N/A 81744FAZ0 86873.010000 PA USD 86411.900000 0.0008628 Long ABS-MBS CORP US N 2 2034-05-20 Floating 2.05671 N N N N N N SEQUOIA MORTGAGE TRUST 2007-3 N/A 81744MAA0 474323.570000 PA USD 415519.500000 0.0041491 Long ABS-MBS CORP US N 2 2036-07-20 Floating 3.39343 N N N N N N SEQUOIA MORTGAGE TRUST 5 N/A 81743WAA9 10883.790000 PA USD 10514.340000 0.0001050 Long ABS-MBS CORP US N 2 2026-10-19 Floating 3.69343 N N N N N N SIGNAL PEAK CLO 6 LTD 2018-5A N/A 56844YAA5 1650000.000000 PA USD 1614952.500000 0.0161257 Long ABS-CBDO CORP KY N 2 2031-04-25 Floating 3.893 N N N N N N SLM STUDENT LOAN TRUST 2008-7 N/A 78445FAD7 5988360.060000 PA USD 5811750.750000 0.0580319 Long ABS-O CORP US N 2 2023-07-25 Floating 3.683 N N N N N N SLM STUDENT LOAN TRUST 2008-9 N/A 78445JAA5 26186964.380000 PA USD 25999512.850000 0.2596123 Long ABS-O CORP US N 2 2023-04-25 Floating 4.283 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-1 N/A 02660WAC0 253800.140000 PA USD 209682.750000 0.0020937 Long ABS-MBS CORP US N 2 2046-05-25 Floating 3.274 Y N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-4 N/A 02660LAB6 4508540.260000 PA USD 2520034.600000 0.0251632 Long ABS-MBS CORP US N 2 2046-10-25 Floating 3.294 N N N N N N SOUND POINT CLO IX LTD 2015-2A N/A 83609GBN4 7700000.000000 PA USD 7556709.310000 0.0754558 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 3.91986 N N N N N N SOUND POINT CLO XII LTD 2016-2A N/A 83610CAW1 10404171.270000 PA USD 10351388.000000 0.1033615 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 3.75986 N N N N N N SOUND POINT CLO XIV LTD 2016-3A N/A 83609NAN0 16231448.140000 PA USD 16108673.300000 0.1608496 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 3.773 N N N N N N SOUND POINT CLO XV LTD 2017-1A N/A 83609RAL5 7164532.830000 PA USD 7097411.470000 0.0708696 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 3.683 N N N N N N SOUND POINT CLO XVI LTD 2017-2A N/A 83610KAJ2 9600000.000000 PA USD 9429203.230000 0.0941532 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 3.763 N N N N N N SOUNDS POINT CLO IV-R LTD 2013-3RA N/A 83609YAC0 2287000.000000 PA USD 2230739.800000 0.0222746 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 3.89029 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2 N/A 83613DAD8 3127415.870000 PA USD 2850342.770000 0.0284615 Long ABS-MBS CORP US N 2 2037-07-25 Floating 3.264 N N N N N N ST PAULS CLO 4A N/A ACI217GH0 3892629.780000 PA 3722403.440000 0.0371692 Long ABS-CBDO CORP IE N 2 2030-04-25 Floating 0.975 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2019-FL1 N/A 78485WAA7 16345027.540000 PA USD 16271511.370000 0.1624755 Long ABS-CBDO CORP KY N 2 2038-07-15 Floating 4.11644 N N N N N N STRATUS CLO 2021-2A LTD N/A 86315TAA3 3014427.930000 PA USD 2952809.100000 0.0294846 Long ABS-CBDO CORP KY N 2 2029-12-28 Floating 3.60986 N N N N N N STRATUS CLO 2021-3A LTD N/A 86315WAA6 8372327.930000 PA USD 8229887.000000 0.0821777 Long ABS-CBDO CORP KY N 2 2029-12-29 Floating 3.65986 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 12087.170000 PA USD 10311.170000 0.0001030 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.50402 Y N N N N N STRUCTURED ADJ RATE MTGE LOAN 2005-21 N/A 863579B49 43170.060000 PA USD 39128.350000 0.0003907 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.07073 Y N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-8 N/A 86361JAB6 331935.280000 PA USD 261641.310000 0.0026126 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.64485 Y N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGF2 1323.060000 PA USD 1258.740000 0.0000126 Long ABS-MBS CORP US N 2 2034-02-25 Floating 3.62357 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGG0 96583.340000 PA USD 92515.210000 0.0009238 Long ABS-MBS CORP US N 2 2034-02-25 Floating 3.62357 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-4 N/A 86359BNU1 1787.230000 PA USD 1775.240000 0.0000177 Long ABS-MBS CORP US N 2 2034-04-25 Floating 3.14217 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VM7 52324.160000 PA USD 46619.300000 0.0004655 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.58821 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-18 N/A 863579XK9 159876.440000 PA USD 146567.240000 0.0014635 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.84092 Y N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-9 N/A 86364JAA5 167382.730000 PA USD 152889.900000 0.0015266 Long ABS-MBS CORP US N 2 2037-10-25 Floating 5.09543 Y N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 318652.240000 PA USD 296112.020000 0.0029568 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.404 N N N N N N STRUCTURED ASSEET MTGE INV INC 2002-AR3 N/A 86358HNX3 52864.540000 PA USD 51006.240000 0.0005093 Long ABS-MBS CORP US N 2 2032-09-19 Floating 3.65343 N N N N N N STRUCTURED ASSET INVESTMENT LN TR 2004-2 N/A 86358EGW0 179401.220000 PA USD 168086.190000 0.0016784 Long ABS-MBS CORP US N 2 2034-03-25 Floating 3.789 N N N N N N STRUCTURED ASSET MORTGAGE INV 2005-AR4 N/A 86359LLZ0 120026.010000 PA USD 98510.770000 0.0009837 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.704 Y N N N N N STRUCTURED ASSET MTG INV INC 2004-AR1 N/A 86359LAQ2 79085.430000 PA USD 74591.080000 0.0007448 Long ABS-MBS CORP US N 2 2034-03-19 Floating 3.69343 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR5 N/A 86359LDX4 28241.540000 PA USD 26815.230000 0.0002678 Long ABS-MBS CORP US N 2 2034-10-19 Floating 3.65343 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPD5 59384.850000 PA USD 53966.230000 0.0005389 Long ABS-MBS CORP US N 2 2035-07-19 Floating 3.49343 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPE3 27482.630000 PA USD 25850.060000 0.0002581 Long ABS-MBS CORP US N 2 2035-07-19 Floating 3.49343 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPF0 240457.840000 PA USD 221422.570000 0.0022110 Long ABS-MBS CORP US N 2 2035-07-19 Floating 3.49343 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR1 N/A 86359LTG4 235401.670000 PA USD 212229.930000 0.0021192 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.544 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAA6 255823.500000 PA USD 224772.490000 0.0022444 Long ABS-MBS CORP US N 2 2036-04-25 Floating 3.504 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR2 N/A 86363DAH4 73793.490000 PA USD 25629.890000 0.0002559 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.344 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 1394878.360000 PA USD 1082509.580000 0.0108092 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.504 N N N N N N STRUCTURED ASSET SEC CORP 2003-40A N/A 86359BEF4 1115.210000 PA USD 1088.690000 0.0000109 Long ABS-MBS CORP US N 2 2034-01-25 Floating 3.4935 N N N N N N STRUCTURED ASSET SEC CORP 2005-7XS N/A 86359B7K1 55499.120000 PA USD 54362.090000 0.0005428 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.064 N N N N N N STRUCTURED ASSET SEC CORP 2006-GEL4 N/A 86361NAD3 1791660.160000 PA USD 1750880.180000 0.0174830 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.654 N N N N N N STRUCTURED ASSET SECUR CORP 2006-OPT1 N/A 86359UAG4 18594174.740000 PA USD 15996507.170000 0.1597295 Long ABS-MBS CORP US N 2 2036-04-25 Floating 3.384 N N N N N N AMERIQUEST MORTGAGE SEC 2005-R3 N/A 03072SA21 1252210.100000 PA USD 1243143.350000 0.0124131 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.014 N N N N N N SYDNEY AIRPORT FINANCE COMPANY PTY LIMITED 549300MJAANHLHOVTO40 87124VAD1 200000.000000 PA USD 198125.480000 0.0019783 Long DBT CORP AU N 2 2023-03-22 Fixed 3.9 N N N N N N SYMPHONY CLO XIV LTD 2014-14A N/A 87159QBV9 487790.250000 PA USD 485878.050000 0.0048516 Long ABS-CBDO CORP KY N 2 2026-07-14 Floating 3.433 N N N N N N SYMPHONY CLO XVII LTD 2016-17A N/A 87165UAN1 999242.730000 PA USD 993484.540000 0.0099202 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 3.392 N N N N N N TBW MTGE BACKED PASS THRU CERT 2006-4 N/A 872224AG5 1230257.810000 PA USD 46529.330000 0.0004646 Long ABS-MBS CORP US N 2 2036-09-25 Variable 6.47 Y N N N N N AMMC CLO 22 LTD 2018-22A N/A 00177HAA7 4500000.000000 PA USD 4410317.700000 0.0440382 Long ABS-CBDO CORP KY N 2 2031-04-25 Floating 3.813 N N N N N N THL CREDIT WIND RIVER 2019-3 CLO LTD N/A 97314JAA3 10300000.000000 PA USD 10011600.000000 0.0999686 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 3.592 N N N N N N AMMC CLO XII LTD 2013-12A N/A 00176CAW1 5200000.000000 PA USD 5126929.960000 0.0511938 Long ABS-CBDO CORP KY N 2 2030-11-10 Floating 3.86157 N N N N N N TICP CLO II LTD 2018-IIA N/A 87249TAC8 1873489.480000 PA USD 1854636.970000 0.0185191 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 3.54986 N N N N N N TICP CLO III-2 LTD 2018-3R N/A 87249FAC8 2288207.620000 PA USD 2268294.220000 0.0226495 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 3.54986 N N N N N N TORO EUROPEAN CLO 5 DAC 5A N/A ACI2773P0 2644000.000000 PA 2528545.120000 0.0252482 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 0.74 N N N N N N TORO EUROPEAN CLO 5 DAC 5A N/A ACI1RL4C7 4900000.000000 PA 4686032.920000 0.0467913 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 0.74 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 17992198.220000 PA 20049795.140000 0.2002027 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 2.7705 N N N N N N TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5 N/A 87277JAA9 9300000.000000 PA USD 9058317.180000 0.0904498 Long ABS-CBDO CORP KY N 2 2039-02-15 Floating 3.93503 N N N N N N TRALEE CLO VII LTD N/A 89288CAA7 5100000.000000 PA USD 4947579.560000 0.0494029 Long ABS-CBDO CORP KY N 2 2034-04-25 Floating 4.103 N N N N N N ANCHORAGE CAPITAL CLO 11 LTD 2019-11A N/A 03330NAJ3 1000000.000000 PA USD 973964.590000 0.0097253 Long ABS-CBDO CORP KY N 2 2032-07-22 Floating 3.899 N N N N N N ANCHORAGE CAPITAL CLO LTD 2015-6A N/A 03328QAY7 8500000.000000 PA USD 8387491.200000 0.0837514 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 3.562 N N N N N N UMBS PASS THRU POOLS N/A 01F0226B6 5500000.000000 PA USD 4604853.500000 0.0459807 Long ABS-MBS USGSE US N 2 2051-11-10 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0306A1 30200000.000000 PA USD 26294054.610000 0.2625534 Long ABS-MBS USGSE US N 2 2052-10-13 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F0306B9 81300000.000000 PA USD 70768608.570000 0.7066441 Long ABS-MBS USGSE US N 2 2052-11-14 Fixed 3 N N N N N N ANCHORAGE CAPITAL CLO LTD 2016-9A N/A 03328WAS7 400000.000000 PA USD 392717.680000 0.0039214 Long ABS-CBDO CORP KY N 2 2032-07-15 Floating 3.652 N N N N N N UMBS PASS THRU POOLS N/A 01F0406A0 79200000.000000 PA USD 73510593.550000 0.7340236 Long ABS-MBS USGSE US N 2 2052-10-13 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F0406B8 179130000.000000 PA USD 166129079.570000 1.6588448 Long ABS-MBS USGSE US N 2 2052-11-14 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F0426A6 18100000.000000 PA USD 17247320.400000 0.1722193 Long ABS-MBS USGSE US N 2 2052-10-13 Fixed 4.5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 37100000.000000 PA USD 37417736.640000 0.3736264 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B85SFQII4 95720924.000000 PA 109141737.870000 1.0898104 Long DBT NUSS GB N 2 2024-03-22 Fixed 0.125 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BP9DLZII8 18512286.000000 PA 24175474.060000 0.2413988 Long DBT NUSS GB N 2 2058-03-22 Fixed 0.125 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B1Z5HQII4 42728960.000000 PA 48080254.430000 0.4800946 Long DBT NUSS GB N 2 2022-11-22 Fixed 1.875 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B128DHII8 24497880.000000 PA 29117702.110000 0.2907483 Long DBT NUSS GB N 2 2027-11-22 Fixed 1.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796V71 655000.000000 PA USD 653878.320000 0.0065292 Long DBT UST US N 2 2022-10-27 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796W54 1402000.000000 PA USD 1398006.150000 0.0139595 Long DBT UST US N 2 2022-11-10 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796X79 363000.000000 PA USD 360932.160000 0.0036040 Long DBT UST US N 2 2022-12-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828UH1 99838369.650000 PA USD 98842751.480000 0.9869722 Long DBT UST US N 2 2023-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828B25 104532168.750000 PA USD 102089655.460000 1.0193934 Long DBT UST US N 2 2024-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 102196079.000000 PA USD 97817563.620000 0.9767354 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FR4 237142433.520000 PA USD 238089013.630000 2.3773846 Long DBT UST US N 2 2025-01-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N71 156932316.800000 PA USD 149838927.430000 1.4961831 Long DBT UST US N 2 2026-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FS2 153325761.950000 PA USD 152888958.320000 1.5266385 Long DBT UST US N 2 2026-01-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828V49 239345342.500000 PA USD 223667013.870000 2.2333770 Long DBT UST US N 2 2027-01-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PS1 2536470.210000 PA USD 2575761.020000 0.0257197 Long DBT UST US N 2 2027-01-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 441134071.920000 PA USD 409609065.110000 4.0900598 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PV4 307955541.180000 PA USD 305089275.780000 3.0464008 Long DBT UST US N 2 2028-01-15 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285W6 214245496.550000 PA USD 201588331.100000 2.0129152 Long DBT UST US N 2 2029-01-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PZ5 165421687.440000 PA USD 171270531.820000 1.7101836 Long DBT UST US N 2 2029-01-15 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Z37 323352432.000000 PA USD 286069269.290000 2.8564808 Long DBT UST US N 2 2030-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBF7 286371718.080000 PA USD 250374223.240000 2.5000559 Long DBT UST US N 2 2031-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDX6 166784679.500000 PA USD 144316089.600000 1.4410361 Long DBT UST US N 2 2032-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QF8 117173080.750000 PA USD 122145277.080000 1.2196544 Long DBT UST US N 2 2040-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QP6 120100991.700000 PA USD 124060530.440000 1.2387787 Long DBT UST US N 2 2041-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QV3 215089571.480000 PA USD 173230949.110000 1.7297589 Long DBT UST US N 2 2042-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 72964085.440000 PA USD 56193618.740000 0.5611088 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 384979293.200000 PA USD 343184632.200000 3.4267934 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 185691834.400000 PA USD 143459892.220000 1.4324867 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 218063014.440000 PA USD 177125497.400000 1.7686471 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RW0 167177343.500000 PA USD 131353542.490000 1.3116014 Long DBT UST US N 2 2047-02-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 60672023.550000 PA USD 49265592.720000 0.4919306 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 41573523.160000 PA USD 33921729.970000 0.3387179 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SM1 83260177.500000 PA USD 54702520.270000 0.5462198 Long DBT UST US N 2 2050-02-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SV1 110503145.840000 PA USD 69527289.790000 0.6942492 Long DBT UST US N 2 2051-02-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TE8 52043781.000000 PA USD 32985662.740000 0.3293710 Long DBT UST US N 2 2052-02-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284H0 538352226.000000 PA USD 530304710.820000 5.2952392 Long DBT UST US N 2 2023-04-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZJ2 96692943.000000 PA USD 91738662.510000 0.9160359 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCA7 90019145.860000 PA USD 84094394.450000 0.8397058 Long DBT UST US N 2 2026-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEJ6 115215336.000000 PA USD 106276728.610000 1.0612025 Long DBT UST US N 2 2027-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FD5 445976149.480000 PA USD 484916690.760000 4.8420272 Long DBT UST US N 2 2028-04-15 Fixed 3.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FH6 257892635.780000 PA USD 288980396.400000 2.8855492 Long DBT UST US N 2 2029-04-15 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FQ6 13019292.000000 PA USD 14853623.790000 0.1483175 Long DBT UST US N 2 2032-04-15 Fixed 3.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828VM9 82027106.100000 PA USD 80742061.250000 0.8062318 Long DBT UST US N 2 2023-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828WU0 170317875.000000 PA USD 164518811.940000 1.6427658 Long DBT UST US N 2 2024-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XL9 61562477.840000 PA USD 58845581.640000 0.5875894 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828S50 128192777.150000 PA USD 119886709.470000 1.1971019 Long DBT UST US N 2 2026-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282L3 232591166.400000 PA USD 217104595.290000 2.1678494 Long DBT UST US N 2 2027-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Y38 380198555.670000 PA USD 357472221.220000 3.5694590 Long DBT UST US N 2 2028-07-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128287D6 311027189.000000 PA USD 280633985.320000 2.8022079 Long DBT UST US N 2 2029-07-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZZ6 326073099.000000 PA USD 287301801.060000 2.8687879 Long DBT UST US N 2 2030-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCM1 466792534.800000 PA USD 407351182.750000 4.0675142 Long DBT UST US N 2 2031-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 338642370.000000 PA USD 307541200.760000 3.0708839 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YL8 73732064.500000 PA USD 70917044.320000 0.7081263 Long DBT UST US N 2 2024-10-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAQ4 90776280.000000 PA USD 85777385.490000 0.8565109 Long DBT UST US N 2 2025-10-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDC2 187570060.000000 PA USD 174791913.440000 1.7453456 Long DBT UST US N 2 2026-10-15 Fixed 0.125 N N N N N N APIDOS CLO 2017-27A N/A 03767JAF2 10900000.000000 PA USD 10683669.230000 0.1066794 Long ABS-CBDO CORP KY N 2 2030-07-17 Floating 3.67029 N N N N N N APIDOS CLO XXIV 2016-24A N/A 03759CAS9 1200000.000000 PA USD 1165526.760000 0.0116381 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 3.65986 N N N N N N APIDOS CLO XXVI LLC 2017-26A N/A 03766GAL6 4000000.000000 PA USD 3923126.080000 0.0391735 Long ABS-CBDO CORP KY N 2 2029-07-18 Floating 3.64029 N N N N N N US AIRWAYS 2011-1 CLASS A PASS THRU TRUST N/A 903436AA1 1249505.060000 PA USD 1242249.060000 0.0124042 Long DBT CORP US N 2 2025-04-22 Fixed 7.125 N N N N N N VENTURE CLO LTD 2013-4A N/A 92328GBA3 8331552.470000 PA USD 8208162.180000 0.0819608 Long ABS-CBDO CORP KY N 2 2029-08-28 Floating 4.07314 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 3835654.970000 PA USD 3758941.870000 0.0375341 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 3.392 N N N N N N VENTURE CLO LTD 2018-33A N/A 92330YAN3 1300000.000000 PA USD 1274212.000000 0.0127234 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 3.572 N N N N N N VENTURE XXI CLO LTD 2015-21A N/A 92330MAL3 617099.660000 PA USD 617497.440000 0.0061659 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 3.392 N N N N N N VENTURE XXIV CLO LTD 2016-24A N/A 92330WBJ5 1523780.240000 PA USD 1491780.850000 0.0148958 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 3.60986 N N N N N N VENTURE XXIX CLO LTD 2017-29A N/A 92331EAF3 5300000.000000 PA USD 5207981.930000 0.0520031 Long ABS-CBDO CORP KY N 2 2030-09-07 Floating 3.89514 N N N N N N VENTURE XXVI CLO LTD 2017-26A N/A 92331MAE8 6373952.910000 PA USD 6299564.990000 0.0629029 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 3.80986 N N N N N N AQUEDUCT EUROPEAN CLO 1-2017 DAC N/A ACI1VHTC4 1364622.960000 PA 1311359.050000 0.0130943 Long ABS-CBDO CORP IE N 2 2030-07-20 Floating 0.687 N N N N N N AQUEDUCT EUROPEAN CLO DAC 2019-4A N/A ACI26MGN9 2000000.000000 PA 1877414.940000 0.0187465 Long ABS-CBDO CORP IE N 2 2032-07-15 Floating 0.91 N N N N N N VIBRANT CLO IV LTD 2016-4A N/A 92557WAW3 500000.000000 PA USD 485703.600000 0.0048499 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 3.82986 N N N N N N VIBRANT CLO VI LTD 2017-6A N/A 92558EAJ1 754324.240000 PA USD 747194.470000 0.0074609 Long ABS-CBDO CORP KY N 2 2029-06-20 Floating 4.47714 N N N N N N VIBRANT CLO VII LTD N/A 92558BAJ7 12300000.000000 PA USD 12090553.260000 0.1207275 Long ABS-CBDO CORP KY N 2 2030-09-15 Floating 3.74986 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1 N/A 03880XAA4 6100000.000000 PA USD 5948391.210000 0.0593963 Long ABS-CBDO CORP KY N 2 2037-01-15 Floating 3.73503 N N N N N N VMC FINANCE 2022-FL5 LLC N/A 91835BAA3 500000.000000 PA USD 482547.250000 0.0048184 Long ABS-CBDO CORP US N 2 2039-02-18 Floating 4.18436 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AC9 1900000.000000 PA USD 1753284.930000 0.0175070 Long DBT CORP US N 2 2027-08-21 Fixed 3.9 N N N N N N VOYA CLO 2017-2A N/A 92915UAG9 1300000.000000 PA USD 1279885.840000 0.0127800 Long ABS-CBDO CORP KY N 2 2030-06-07 Floating 3.492 N N N N N N VOYA CLO LTD 2013-1A N/A 92917CAE2 3186849.520000 PA USD 3162526.910000 0.0315787 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 3.722 N N N N N N VOYA CLO LTD 2015-1A N/A 92914NAJ0 8311391.040000 PA USD 8222475.200000 0.0821037 Long ABS-CBDO CORP KY N 2 2029-01-18 Floating 3.64029 N N N N N N VOYA CLO LTD 2019-1A N/A 92917NAJ7 3300000.000000 PA USD 3241636.330000 0.0323686 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 3.572 N N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAA8 936353.780000 PA USD 831413.620000 0.0083019 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.7807 Y N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAJ9 200741.960000 PA USD 186209.990000 0.0018594 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.20835 Y N N N N N WAMU MTGE P/T CERT 2007-HY5 N/A 92990GAC7 965497.700000 PA USD 781155.030000 0.0078000 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.34619 Y N N N N N WAMU MTGE P/T CERTIFICATES 2007-HY4 N/A 933636AA0 507984.830000 PA USD 461537.590000 0.0046086 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.74011 Y N N N N N WASHINGTON MUTUAL 2002 AR2 N/A 929227LE4 295677.480000 PA USD 279291.950000 0.0027888 Long ABS-MBS CORP US N 2 2034-02-27 Floating 2.119 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 20410.260000 PA USD 18758.360000 0.0001873 Long ABS-MBS CORP US N 2 2042-11-25 Floating 2.30402 N N N N N N WASHINGTON MUTUAL 2002-AR6 N/A 929227QB5 29803.280000 PA USD 27395.850000 0.0002736 Long ABS-MBS CORP US N 2 2042-06-25 Floating 2.50402 N N N N N N WASHINGTON MUTUAL 2003-AR5 N/A 929227R65 135716.860000 PA USD 129410.820000 0.0012922 Long ABS-MBS CORP US N 2 2033-06-25 Floating 3.20624 N N N N N N WASHINGTON MUTUAL 2004-AR1 N/A 92922FLD8 28027.930000 PA USD 27752.920000 0.0002771 Long ABS-MBS CORP US N 2 2034-03-25 Floating 2.48158 N N N N N N WASHINGTON MUTUAL 2004-AR10 N/A 92922FWZ7 521596.100000 PA USD 477837.060000 0.0047713 Long ABS-MBS CORP US N 2 2044-07-25 Floating 4.184 N N N N N N WASHINGTON MUTUAL 2004-AR12 N/A 92922FZE1 135149.060000 PA USD 120325.830000 0.0012015 Long ABS-MBS CORP US N 2 2044-10-25 Floating 3.884 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X65 422624.820000 PA USD 396966.040000 0.0039638 Long ABS-MBS CORP US N 2 2045-01-25 Floating 3.764 N N N N N N WASHINGTON MUTUAL 2005-AR10 N/A 92922FW53 113197.420000 PA USD 104676.680000 0.0010452 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.8355 N N N N N N WASHINGTON MUTUAL 2005-AR14 N/A 92922F4B1 996988.340000 PA USD 954494.200000 0.0095309 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.99214 N N N N N N WASHINGTON MUTUAL 2005-AR14 N/A 92922F4F2 190783.140000 PA USD 179287.940000 0.0017902 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.06618 N N N N N N WASHINGTON MUTUAL 2005-AR16 N/A 92922F6W3 16949.520000 PA USD 15828.540000 0.0001581 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.75775 N N N N N N WASHINGTON MUTUAL 2005-AR3 N/A 939336Z48 34293.360000 PA USD 33859.190000 0.0003381 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.82787 N N N N N N WASHINGTON MUTUAL 2005-AR8 N/A 92922FR75 13101.390000 PA USD 12173.800000 0.0001216 Long ABS-MBS CORP US N 2 2045-07-25 Floating 3.664 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAA1 475531.750000 PA USD 427341.220000 0.0042671 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.73872 Y N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAA8 1161378.560000 PA USD 997203.650000 0.0099574 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.67916 Y N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AA8 765807.190000 PA USD 685095.400000 0.0068409 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.56864 Y N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 310520.190000 PA USD 279178.390000 0.0027877 Long ABS-MBS CORP US N 2 2046-02-25 Floating 2.10402 N N N N N N WASHINGTON MUTUAL 2006-AR5 N/A 93362YAB8 38190.490000 PA USD 36001.130000 0.0003595 Long ABS-MBS CORP US N 2 2046-06-25 Floating 2.08402 N N N N N N WASHINGTON MUTUAL 2006-AR8 N/A 93362FAJ2 79823.140000 PA USD 72886.380000 0.0007278 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.7649 Y N N N N N WASHINGTON MUTUAL 2007-OA2 N/A 933635AA2 2533545.790000 PA USD 2219790.970000 0.0221652 Long ABS-MBS CORP US N 2 2047-03-25 Floating 1.80402 Y N N N N N WASHINGTON MUTUAL 2007-OA4 N/A 93364CAA6 391375.260000 PA USD 345851.550000 0.0034534 Long ABS-MBS CORP US N 2 2047-05-25 Floating 1.87402 N N N N N N ARES EUROPEAN CLO VI BV 2013-6A N/A ACI248306 4708651.030000 PA 4495663.980000 0.0448904 Long ABS-CBDO CORP IE N 2 2030-04-15 Floating 0.61 N N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-4 N/A 93936NAC7 4678794.110000 PA USD 3537367.200000 0.0353216 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 N N N N N N ARES EUROPEAN CLO X BV 10A N/A ACI1Y2RR3 5900000.000000 PA 5589490.150000 0.0558126 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.78 N N N N N N WASHINGTON MUTUAL MTGE P/T 2006-AR3 N/A 93934FQP0 811043.730000 PA USD 657499.360000 0.0065653 Long ABS-MBS CORP US N 2 2046-05-25 Floating 2.07402 Y N N N N N WELLFLEET CLO LTD 2015-1 N/A 949496BJ1 3992611.940000 PA USD 3939805.260000 0.0393400 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 3.59986 N N N N N N WELLFLEET CLO LTD 2016-1A N/A 94949RAS6 1798473.590000 PA USD 1787368.610000 0.0178474 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 3.61986 N N N N N N WELLFLEET CLO LTD 2017-1A N/A 94950GAL1 7737288.660000 PA USD 7670216.040000 0.0765892 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 3.59986 N N N N N N WELLFLEET CLO X LTD 2019-XA N/A 94949WAM8 475000.000000 PA USD 459212.660000 0.0045854 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 3.87986 N N N N N N ARES L CLO LTD 2018-50A N/A 04018LAJ4 4000000.000000 PA USD 3900888.200000 0.0389514 Long ABS-CBDO CORP KY N 2 2032-01-15 Floating 3.562 N N N N N N ARES LII CLO LTD 2019-52A N/A 04009AAL4 1800000.000000 PA USD 1752418.100000 0.0174984 Long ABS-CBDO CORP KY N 2 2031-04-22 Floating 3.809 N N N N N N WELLS FARGO HOME EQUITY TRUST 2005-2 N/A 94981PAM2 400000.000000 PA USD 395474.760000 0.0039489 Long ABS-MBS CORP US N 2 2034-12-25 Floating 5.484 N N N N N N WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2007-AR7 N/A 94986KAA4 1594667.120000 PA USD 1462353.280000 0.0146020 Long ABS-MBS CORP US N 2 2037-12-28 Variable 3.2404 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR15 N/A 94985AAA7 11444.790000 PA USD 10802.620000 0.0001079 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.41151 Y N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR4 N/A 94983PAF5 402292.210000 PA USD 382128.360000 0.0038157 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.87341 Y N N N N N ARES XXXIX CLO LTD 2016-39A N/A 04015WBA1 800000.000000 PA USD 781751.140000 0.0078060 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 3.79029 N N N N N N WIND RIVER CLO LTD 2014-1A N/A 88432CBB1 1693032.730000 PA USD 1659577.100000 0.0165713 Long ABS-CBDO CORP KY N 2 2031-07-18 Floating 3.79029 N N N N N N WMALT MTGE PASS-THRU CERT 2005-7 N/A 93934FBT8 172843.260000 PA USD 137245.530000 0.0013704 Long ABS-MBS CORP US N 2 2035-08-25 Fixed 6.5 Y N N N N N ARGENT SECURITIES INC 2005-W1 N/A 040104MX6 1400291.270000 PA USD 1248485.970000 0.0124665 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.564 N N N N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAM1 2939578.070000 PA USD 2570207.740000 0.0256642 Long ABS-MBS CORP US N 2 2036-07-25 Floating 3.384 N N N N N N N/A N/A 000000000 -195074255.000000 PA -191233307.420000 -1.9095175 Short RA GB N 2 Reverse repurchase N 0.5000000 2022-10-13 189334888.000000 EUR 188557663.690000 EUR N N N ARGENT SECURITIES INC 2006-W4 N/A 040104TG6 1154348.150000 PA USD 305797.680000 0.0030535 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.404 N N N N N N N/A N/A 000000000 -40738549.000000 PA -45526244.550000 -0.4545921 Short RA GB N 2 Reverse repurchase N 2.4600000 2022-11-08 40080228.000000 GBP 40392102.670000 GBP N N N N/A N/A 000000000 -725996250.000000 PA USD -726178354.060000 -7.2510917 Short RA US N 2 Reverse repurchase N 3.0100000 2022-10-03 675000000.000000 USD 647321839.250000 USD UST N N N N/A N/A 000000000 -52.000000 NC 71648.240000 0.0007154 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Short N/A AUSTRALIA GOVT 2022-12-15 -3895505.170000 AUD 71648.240000 N N N N/A N/A 000000000 -190.000000 NC 131436.050000 0.0013124 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Short N/A AUSTRALIA GOVT 2022-12-15 -12950871.940000 AUD 131436.050000 N N N N/A N/A 000000000 1.000000 NC -45653.760000 -0.0004559 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2445796.460000 USD 2449000.000000 EUR 2022-10-04 -45653.760000 N N N N/A N/A 000000000 1.000000 NC -95186.940000 -0.0009505 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2052499.000000 USD 1753000.000000 GBP 2022-10-04 -95186.940000 N N N N/A N/A 000000000 1.000000 NC 4038035.770000 0.0403209 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1194505541.000000 DKK 161489501.000000 USD 2022-10-03 4038035.770000 N N N N/A N/A 000000000 1.000000 NC -877892.900000 -0.0087660 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 612296171.040000 DKK 79989519.000000 USD 2022-11-01 -877892.900000 N N N N/A N/A 000000000 1.000000 NC 30360.240000 0.0003032 N/A DFE NO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2635000.000000 NOK 272506.560000 USD 2022-11-16 30360.240000 N N N N/A N/A 000000000 1.000000 NC 4480.820000 0.0000447 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BARCLAYS BANK PLC BARCLAYS BANK PLC GOV GTD Y Single Leg Swap 2022-12-21 32555.670000 EUR 0.000000 EUR 4900000.000000 EUR -28074.850000 N N N N/A N/A 000000000 1.000000 NC 1032205.310000 0.0103069 N/A DFE DK N 2 BNP Paribas S.A. N/A 40245360.780000 USD 313152255.150000 DKK 2022-10-03 1032205.310000 N N N N/A N/A 000000000 1.000000 NC 77250.540000 0.0007714 N/A DFE N/A N 2 BNP Paribas S.A. N/A 4475082.180000 USD 4645000.000000 EUR 2022-10-04 77250.540000 N N N N/A N/A 000000000 1.000000 NC -310829.000000 -0.0031037 N/A DFE GB N 2 BNP Paribas S.A. N/A 8948459.410000 USD 7736000.000000 GBP 2022-10-04 -310829.000000 N N N N/A N/A 000000000 1.000000 NC -52951.250000 -0.0005287 N/A DFE GB N 2 BNP Paribas S.A. N/A 1738941.670000 USD 1510000.000000 GBP 2022-10-04 -52951.250000 N N N N/A N/A 000000000 1.000000 NC -71049.120000 -0.0007094 N/A DFE GB N 2 BNP Paribas S.A. N/A 1806167.740000 USD 1554000.000000 GBP 2022-10-04 -71049.120000 N N N N/A N/A 000000000 1.000000 NC 129455.860000 0.0012927 N/A DFE GB N 2 BNP Paribas S.A. N/A 3887890.860000 USD 3598000.000000 GBP 2022-10-04 129455.860000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 P0761DAQ6 6900000.000000 PA 6305.210000 0.0000630 Long DBT NUSS AR N 2 2022-10-04 Floating 47.3312 N N N N N N N/A N/A 000000000 1.000000 NC -37474.720000 -0.0003742 N/A DFE JP N 2 BNP Paribas S.A. N/A 1171310.140000 USD 164100000.000000 JPY 2022-10-04 -37474.720000 N N N N/A N/A 000000000 1.000000 NC -513.150000 -0.0000051 N/A DFE JP N 2 BNP Paribas S.A. N/A 1805253.010000 USD 261200000.000000 JPY 2022-10-04 -513.150000 N N N N/A N/A 000000000 1.000000 NC -230774.450000 -0.0023043 N/A DFE NZ N 2 BNP Paribas S.A. N/A 11370329.900000 USD 19904503.000000 NZD 2022-10-04 -230774.450000 N N N N/A N/A 000000000 1.000000 NC -21501.850000 -0.0002147 N/A DFE PL N 2 BNP Paribas S.A. N/A 331149.000000 USD 1537996.160000 PLN 2022-10-17 -21501.850000 N N N N/A N/A 000000000 1.000000 NC -1030962.200000 -0.0102944 N/A DFE DK N 2 BNP Paribas S.A. N/A 312528049.600000 DKK 40245360.780000 USD 2022-11-01 -1030962.200000 N N N N/A N/A 000000000 1.000000 NC 720496.460000 0.0071944 N/A DFE NZ N 2 BNP Paribas S.A. N/A 13869041.310000 NZD 8482305.670000 USD 2022-10-04 720496.460000 N N N N/A N/A 000000000 1.000000 NC 229253.420000 0.0022892 N/A DFE NZ N 2 BNP Paribas S.A. N/A 19904503.000000 NZD 11369633.240000 USD 2022-11-02 229253.420000 N N N ARMADA EURO CLO III DAC 3A N/A ACI1WGZB0 3100000.000000 PA 2932867.520000 0.0292855 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 0.72 N N N N N N N/A N/A OP001VGZ6 -28000000.000000 NC USD -27421.240000 -0.0002738 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 1.400000 USD 2022-11-16 XXXX 4298.760000 N N N N/A N/A OP001W3G0 -10300000.000000 NC USD -24163.290000 -0.0002413 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 1.350000 USD 2022-12-21 XXXX -11545.790000 N N N N/A N/A OP001VPN3 -14200000.000000 NC USD -16573.100000 -0.0001655 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 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 2022-11-16 XXXX 892.900000 N N N N/A N/A OP001WKR7 -27400000.000000 NC USD -45391.390000 -0.0004532 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 1.500000 USD 2022-12-21 XXXX -2907.690000 N N N N/A N/A OP001SYF7 -14600000.000000 NC USD -905.780000 -0.0000090 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 1.600000 USD 2022-10-19 XXXX 20702.220000 N N N N/A N/A OP001W6V4 -15800000.000000 NC USD -32914.560000 -0.0003287 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 2022-12-21 XXXX -9807.060000 N N N N/A N/A OP001WXH5 -6900000.000000 NC USD -9186.800000 -0.0000917 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 1.600000 USD 2022-12-21 XXXX 1163.200000 N N N N/A N/A 000000000 1.000000 NC -96941.750000 -0.0009680 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2409316.700000 USD 2071000.000000 GBP 2022-10-04 -96941.750000 N N N N/A N/A 000000000 1.000000 NC -45967.120000 -0.0004590 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1323300.260000 USD 1144000.000000 GBP 2022-10-04 -45967.120000 N N N N/A N/A 000000000 1.000000 NC 11185.990000 0.0001117 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1993021.170000 USD 1795000.000000 GBP 2022-10-04 11185.990000 N N N N/A N/A 000000000 1.000000 NC -50866.030000 -0.0005079 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1890251.980000 USD 7327561.790000 PEN 2022-10-03 -50866.030000 N N N N/A N/A 000000000 1.000000 NC -50847.410000 -0.0005077 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1874727.980000 USD 7327561.790000 PEN 2022-12-15 -50847.410000 N N N N/A N/A 000000000 1.000000 NC 7495424.420000 0.0748439 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 342421000.000000 EUR 343085159.770000 USD 2022-10-04 7495424.420000 N N N N/A N/A 000000000 1.000000 NC 621929.750000 0.0062101 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16676000.000000 EUR 16965245.220000 USD 2022-10-04 621929.750000 N N N N/A N/A 000000000 1.000000 NC -263982.990000 -0.0026359 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9000000.000000 GBP 9791279.100000 USD 2022-11-02 -263982.990000 N N N N/A N/A 000000000 1.000000 NC -25869.260000 -0.0002583 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2251000.000000 GBP 2489063.510000 USD 2022-11-02 -25869.260000 N N N ASSET BACKED FUNDING CERTS 2004-OPT5 N/A 04542BJY9 2339096.930000 PA USD 2187374.450000 0.0218415 Long ABS-MBS CORP US N 2 2034-06-25 Floating 3.784 N N N N N N N/A N/A 000000000 1.000000 NC 1501098.190000 0.0149889 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4468412228.000000 JPY 32375224.000000 USD 2022-10-04 1501098.190000 N N N N/A N/A 000000000 1.000000 NC -451.200000 -0.0000045 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 38751993.390000 MXN 1900726.340000 USD 2022-12-09 -451.200000 N N N N/A N/A 000000000 1.000000 NC 49160.900000 0.0004909 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7327561.790000 PEN 1888546.850000 USD 2022-10-03 49160.900000 N N N N/A N/A 000000000 1.000000 NC USD -186961.610000 -0.0018669 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 CMBX.NA.AAA.12 N/A N/A Y Single Leg Swap 2061-08-18 0.000000 USD -26134.630000 USD 12300000.000000 USD -160826.980000 N N N N/A N/A 000000000 1.000000 NC -205.540000 -0.0000021 N/A DFE MX N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 141000.000000 MXN 6766.010000 USD 2022-10-27 -205.540000 N N N N/A N/A 000000000 4412.000000 NC -33218485.630000 -0.3316958 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A EUIB 2023-03-13 1050727393.180000 EUR -33218485.630000 N N N N/A N/A 000000000 -700.000000 NC 4248816.690000 0.0424256 N/A DIR DE N 1 Eurex N/A Short N/A FRANCE GOVT 2022-12-08 -90638953.460000 EUR 4248816.690000 N N N N/A N/A 000000000 1.000000 NC USD 18539.350000 0.0001851 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2023-12-21 0.000000 USD -4205.680000 USD 4100000.000000 USD 22745.030000 N N N N/A N/A 000000000 -1452.000000 NC 4676085.190000 0.0466920 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-12-08 -170408171.270000 EUR 4676085.190000 N N N N/A N/A 000000000 -509.000000 NC 1590623.530000 0.0158828 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-12-08 -69085113.430000 EUR 1590623.530000 N N N N/A N/A 000000000 -754.000000 NC 10077258.880000 0.1006242 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-12-08 -108360768.200000 EUR 10077258.880000 N N N N/A N/A 000000000 -8241.000000 NC 8616027.090000 0.0860334 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-12-08 -865528075.500000 EUR 8616027.090000 N N N N/A N/A 000000000 -491.000000 NC USD 1686699.230000 0.0168422 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A Gold 2022-12-28 -82095200.000000 USD 1686699.230000 N N N N/A N/A 000000000 1.000000 NC -41112.070000 -0.0004105 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1858124.960000 USD 1854000.000000 EUR 2022-10-04 -41112.070000 N N N ATLAS SENIOR LOAN FUND LTD 2018-10A N/A 04942JAC5 1375082.830000 PA USD 1349656.830000 0.0134767 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 3.602 N N N N N N N/A N/A 000000000 1.000000 NC 1083835.610000 0.0108224 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 385024213.680000 DKK 51835066.570000 USD 2022-10-03 1083835.610000 N N N N/A N/A 000000000 1.000000 NC 4174867.250000 0.0416872 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1531165000.000000 DKK 206002455.730000 USD 2022-10-03 4174867.250000 N N N N/A N/A 000000000 1.000000 NC 57622.030000 0.0005754 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 27571208.720000 PEN 6925003.450000 USD 2022-12-06 57622.030000 N N N N/A N/A 000000000 1.000000 NC -92560.570000 -0.0009242 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 11164751.300000 USD 15294592.810000 CAD 2022-10-04 -92560.570000 N N N N/A N/A 000000000 1.000000 NC -135555.310000 -0.0013536 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 10614250.980000 USD 10692000.000000 EUR 2022-10-04 -135555.310000 N N N N/A N/A 000000000 1.000000 NC 87699.130000 0.0008757 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5126167.400000 USD 5320000.000000 EUR 2022-10-04 87699.130000 N N N N/A N/A 000000000 1.000000 NC 295922.960000 0.0029549 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 12519212.150000 USD 13076000.000000 EUR 2022-10-04 295922.960000 N N N N/A N/A 000000000 1.000000 NC -52638.720000 -0.0005256 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1184820.370000 USD 1014000.000000 GBP 2022-10-04 -52638.720000 N N N N/A N/A 000000000 1.000000 NC 197619.570000 0.0019733 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3549522.060000 USD 3356000.000000 GBP 2022-10-04 197619.570000 N N N N/A N/A 000000000 1.000000 NC -10477.080000 -0.0001046 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2799808.940000 USD 403700000.000000 JPY 2022-10-04 -10477.080000 N N N N/A N/A 000000000 1.000000 NC -348422.640000 -0.0034791 N/A DFE NZ N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4206649.860000 USD 6894000.000000 NZD 2022-10-04 -348422.640000 N N N ATRIUM XII 12A N/A 04965CAJ7 3368151.250000 PA USD 3319870.650000 0.0331498 Long ABS-CBDO CORP KY N 2 2027-04-22 Floating 3.589 N N N N N N N/A N/A 000000000 1.000000 NC 92442.450000 0.0009231 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 15296044.220000 CAD 11164751.300000 USD 2022-11-02 92442.450000 N N N N/A N/A 000000000 1.000000 NC 51718.340000 0.0005164 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1183000.000000 GBP 1372596.930000 USD 2022-10-04 51718.340000 N N N N/A N/A 000000000 1.000000 NC 23390.900000 0.0002336 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1308000.000000 GBP 1483838.230000 USD 2022-10-04 23390.900000 N N N N/A N/A 000000000 -182300000.000000 NC USD -1804.770000 -0.0000180 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written US CPI Urban Consumers NSA N/A N/A N/A 4.000000 USD 2024-04-22 XXXX 1324427.730000 N N N N/A N/A 000000000 -27400000.000000 NC USD -474.020000 -0.0000047 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written US CPI Urban Consumers NSA N/A N/A N/A 4.000000 USD 2024-05-16 XXXX 189955.980000 N N N N/A N/A 000000000 -46100000.000000 NC -734498.560000 -0.0073342 N/A DIR DE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Eurostat Eurozone HICP Ex Tob N/A N/A N/A 3.000000 EUR 2035-06-22 XXXX 1362774.420000 N N N N/A N/A 000000000 -2037.000000 NC 9609270.180000 0.0959512 N/A DIR DE N 1 Eurex N/A Short N/A ITALY GOVT 2022-12-08 -223552622.810000 EUR 9609270.180000 N N N N/A N/A 000000000 -1398.000000 NC 1862212.720000 0.0185947 N/A DIR DE N 1 Eurex N/A Short N/A ITALY GOVT 2022-12-08 -144299989.420000 EUR 1862212.720000 N N N N/A N/A OP001X4R3 -6600000.000000 NC -12398.690000 -0.0001238 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN37 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.000000 EUR 2022-12-21 XXXX 4097.580000 N N N N/A N/A OP001WWJ2 -5600000.000000 NC -5419.780000 -0.0000541 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN37 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.900000 EUR 2022-11-16 XXXX 1486.310000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 B4RNSXII1 14589652.000000 PA 9779307.940000 0.0976491 Long DBT NUSS AU N 2 2025-09-20 Fixed 3 N N N N N N N/A N/A OP001XNK7 -12400000.000000 NC -12459.360000 -0.0001244 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 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 3.000000 EUR 2023-03-15 XXXX 9492.360000 N N N N/A N/A OP001WWK9 -5600000.000000 NC -5419.780000 -0.0000541 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 MAIN37 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.900000 EUR 2022-11-16 XXXX -257.650000 N N N N/A N/A OP001WV20 -5400000.000000 NC -5226.220000 -0.0000522 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 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 1.900000 EUR 2022-11-16 XXXX 1239.200000 N N N N/A N/A 000000000 -626.000000 NC 200651.350000 0.0020036 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE N/A Short N/A JAPAN GOVT 2022-12-13 -641441304.500000 JPY 200651.350000 N N N N/A N/A 000000000 1.000000 NC -710107.090000 -0.0070906 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 30389801.280000 USD 225165000.000000 DKK 2022-10-03 -710107.090000 N N N N/A N/A 000000000 1.000000 NC -48741.900000 -0.0004867 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2297956.880000 USD 2295000.000000 EUR 2022-10-04 -48741.900000 N N N N/A N/A 000000000 1.000000 NC 17079.480000 0.0001705 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1100177.630000 USD 1140000.000000 EUR 2022-10-04 17079.480000 N N N N/A N/A 000000000 1.000000 NC 892605.940000 0.0089129 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 18252978.210000 CAD 14106456.000000 USD 2022-10-04 892605.940000 N N N N/A N/A 000000000 1.000000 NC 3603.320000 0.0000360 N/A DFE SG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 256000.000000 SGD 181862.200000 USD 2022-10-14 3603.320000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAF8 100000.000000 PA USD 96774.220000 0.0009663 Long DBT CORP US N 2 2024-01-30 Fixed 4.375 N N N N N N N/A N/A 000000000 1.000000 NC 11264.480000 0.0001125 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 228321094.000000 KRW 169950.050000 USD 2022-12-14 11264.480000 N N N N/A N/A 000000000 1.000000 NC 2920.870000 0.0000292 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4312970.000000 TWD 138703.000000 USD 2022-12-16 2920.870000 N N N N/A N/A 000000000 1.000000 NC -118224.510000 -0.0011805 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 8036777.240000 USD 12379509.000000 AUD 2022-10-04 -118224.510000 N N N N/A N/A 000000000 1.000000 NC 5240798.050000 0.0523308 N/A DFE GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 166612987.500000 USD 153915000.000000 GBP 2022-10-04 5240798.050000 N N N N/A N/A 000000000 1.000000 NC -72760.540000 -0.0007265 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 19869117.000000 USD 2865126671.000000 JPY 2022-10-04 -72760.540000 N N N N/A N/A 000000000 1.000000 NC 372814.760000 0.0037227 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6694944.000000 AUD 4655235.580000 USD 2022-10-04 372814.760000 N N N N/A N/A 000000000 1.000000 NC 118757.900000 0.0011858 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 12379509.000000 AUD 8039810.220000 USD 2022-11-02 118757.900000 N N N N/A N/A 000000000 1.000000 NC 324927.440000 0.0032445 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 8409132.690000 CAD 6412537.760000 USD 2022-10-04 324927.440000 N N N 2022-11-03 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer