NPORT-P false 0000810893 XXXXXXXX S000033596 C000103224 C000103225 C000103221 C000103220 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Credit Opportunities Bond Fund S000033596 OZ5WCS502FZE6NVLXP08 2023-03-31 2022-09-30 N 336599688.140000 19068018.040000 317531670.100000 0.000000 0.000000 1119495.820000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 4139362.110000 ZAR BRL PEN AUD USD GBP JPY EUR MXN N Fund's Securities Portfolio 0 N/A N/A 000000000 1.000000 NC -117647.710000 -0.0370507 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 7725000.000000 EUR 7468344.600000 USD 2022-11-02 -117647.710000 N N N N/A N/A 000000000 1.000000 NC -21.460000 -0.0000068 N/A DFE MX N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 41756.340000 MXN 2044.270000 USD 2022-10-24 -21.460000 N N N AVOLON TLB BORROWER 1 (US) LLC 635400O84AGITYFZQB55 05400KAH3 589500.000000 PA USD 575646.750000 0.1812880 Long LON CORP US N 2 2027-12-01 Floating 5.2639 N N N N N N N/A N/A 000000000 1.000000 NC -29986.460000 -0.0094436 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ROLLS-ROYCE PLC ROLLS-ROYCE PLC Y Single Leg Swap 2025-06-21 0.000000 EUR -81382.680000 EUR 450000.000000 EUR 51396.220000 N N N N/A N/A 000000000 1.000000 NC -53673.510000 -0.0169034 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ROLLS-ROYCE PLC ROLLS-ROYCE PLC Y Single Leg Swap 2025-12-21 0.000000 EUR -53859.070000 EUR 600000.000000 EUR 185.560000 N N N N/A N/A 000000000 1.000000 NC -17399.250000 -0.0054795 N/A DFE CH N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 467611.610000 USD 442478.000000 CHF 2022-11-16 -17399.250000 N N N N/A N/A 000000000 1.000000 NC 297558.900000 0.0937100 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 11321000.000000 EUR 11392706.080000 USD 2022-10-04 297558.900000 N N N N/A N/A 000000000 -133.000000 NC USD 539830.380000 0.1700084 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2024-03-19 -31834381.250000 USD 539830.380000 N N N N/A N/A 000000000 1.000000 NC -15732.340000 -0.0049546 N/A DFE CL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 539687.730000 USD 508116000.000000 CLP 2022-10-18 -15732.340000 N N N N/A N/A 000000000 1.000000 NC -59453.480000 -0.0187236 N/A DFE CO N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 694247.620000 USD 2950725968.000000 COP 2022-11-16 -59453.480000 N N N N/A N/A 000000000 1.000000 NC -1012.910000 -0.0003190 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 44805.000000 USD 671582145.000000 IDR 2022-11-07 -1012.910000 N N N N/A N/A 000000000 1.000000 NC -944.760000 -0.0002975 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 44899.000000 USD 674068687.000000 IDR 2022-11-07 -944.760000 N N N N/A N/A 000000000 1.000000 NC -1277.360000 -0.0004023 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 58032.000000 USD 870596064.000000 IDR 2022-11-14 -1277.360000 N N N N/A N/A 000000000 1.000000 NC -25883.250000 -0.0081514 N/A DFE NO N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 237040.000000 USD 2297776.160000 NOK 2022-11-16 -25883.250000 N N N N/A N/A 000000000 1.000000 NC 5619.740000 0.0017698 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 103340.330000 CAD 80428.000000 USD 2022-11-16 5619.740000 N N N N/A N/A 000000000 1.000000 NC 61042.880000 0.0192242 N/A DFE ZA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 5482099.870000 ZAR 362970.810000 USD 2022-11-08 61042.880000 N N N N/A N/A 000000000 790000.000000 NC 381420.530000 0.1201205 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 0.00000 03/17/23-30Y LCH 2053-03-17 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2023-03-15 XXXX 291445.300000 N N N N/A N/A 000000000 -2390000.000000 NC -667258.970000 -0.2101393 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 -0.17500 03/17/23-10Y LCH 2033-03-17 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.180000 EUR 2023-03-15 XXXX -578580.300000 N N N N/A N/A 000000000 -600000.000000 NC USD -11.760000 -0.0000037 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/2.83 10/12/22 LCH 2032-10-12 0.000000 USD 0.000000 USD N/A USD N/A 2.830000 USD 2022-10-07 XXXX 3213.240000 N N N N/A N/A 000000000 -600000.000000 NC USD -12345.840000 -0.0038881 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A OIS USD R SOFR/3.33 10/12/22 LCH 2032-10-12 0.000000 USD 0.000000 USD N/A USD N/A 3.330000 USD 2022-10-07 XXXX -9120.840000 N N N N/A N/A 000000000 520000.000000 NC 251061.620000 0.0790666 N/A DIR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 03/17/23-30Y LCH 2053-03-17 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2023-03-15 XXXX 193669.890000 N N N N/A N/A 000000000 -1560000.000000 NC -435533.050000 -0.1371621 N/A DIR DE 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 DIR N/A IRS EUR R -0.17500 03/17/23-10Y LCH 2033-03-17 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.180000 EUR 2023-03-15 XXXX -379138.460000 N N N N/A N/A 000000000 4300000.000000 NC USD 993830.620000 0.3129863 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.06000 10/27/23-30Y LCH N/A N/A 2053-10-27 0.000000 USD 0.000000 USD N/A USD N/A 0.020000 USD 2023-10-25 XXXX 748504.300000 N N N N/A N/A 000000000 -21500000.000000 NC USD -1826390.600000 -0.5751838 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.00000 10/27/23-5Y LCH N/A N/A 2028-10-27 0.000000 USD 0.000000 USD N/A USD N/A 0.020000 USD 2023-10-25 XXXX -1580340.070000 N N N N/A N/A 000000000 -37000000.000000 NC USD -1214957.900000 -0.3826257 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.27000 11/04/22-1Y (WHT) LCH N/A N/A 2023-11-04 0.000000 USD 0.000000 USD N/A USD N/A 1.270000 USD 2022-11-02 XXXX -1139787.900000 N N N N/A N/A 000000000 -37000000.000000 NC USD -3.700000 -0.0000012 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 IRS USD R 0.87000 11/04/22-1Y (WHT) LCH N/A N/A 2023-11-04 0.000000 USD 0.000000 USD N/A USD N/A 0.870000 USD 2022-11-02 XXXX 75166.300000 N N N BANC OF AMERICA FUNDING CORP 2007-8 N/A 05953LAD1 143714.870000 PA USD 98969.100000 0.0311683 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 7 Y N N N N N N/A N/A 000000000 1.000000 NC -120207.560000 -0.0378569 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 -5844.540000 EUR 1600000.000000 EUR -114363.020000 N N N N/A N/A 000000000 1.000000 NC -52847.970000 -0.0166434 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 -2621.180000 EUR 700000.000000 EUR -50226.790000 N N N N/A N/A 000000000 1.000000 NC 650430.540000 0.2048396 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2033-03-15 679246.650000 EUR 0.000000 EUR 5500000.000000 EUR -28816.110000 N N N BANC OF AMERICA FUNDING CORP 2007-E N/A 05954DAR7 377211.970000 PA USD 316006.650000 0.0995197 Long ABS-MBS CORP US N 2 2047-09-20 Floating 3.70737 Y N N N N N N/A N/A 000000000 1.000000 NC -26157.770000 -0.0082378 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2023-03-24 0.000000 MXN -91.690000 MXN 19700000.000000 MXN -26066.080000 N N N N/A N/A 000000000 1.000000 NC -78984.680000 -0.0248746 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2023-06-13 0.000000 MXN 0.000000 MXN 42100000.000000 MXN -78984.680000 N N N N/A N/A 000000000 1.000000 NC -130980.040000 -0.0412494 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2026-03-05 428.230000 MXN 0.000000 MXN 21900000.000000 MXN -131408.270000 N N N N/A N/A 000000000 1.000000 NC -35181.840000 -0.0110798 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2026-05-05 0.000000 MXN -784.010000 MXN 6600000.000000 MXN -34397.830000 N N N N/A N/A 000000000 1.000000 NC 125628.410000 0.0395641 N/A DIR ZA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2027-04-28 0.000000 ZAR 0.000000 ZAR 46700000.000000 ZAR 125628.410000 N N N N/A N/A 000000000 1.000000 NC 27828.620000 0.0087640 N/A DIR JP N 2 London Clearing house N/A N/A BOJ Overnight Call Rate TONAR Y 2027-09-15 0.000000 JPY -820.310000 JPY 292500000.000000 JPY 28648.930000 N N N N/A N/A 000000000 1.000000 NC 287616.860000 0.0905790 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2033-03-15 268175.720000 GBP 0.000000 GBP 1400000.000000 GBP 19441.140000 N N N N/A N/A 000000000 1.000000 NC 122916.290000 0.0387099 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2053-03-17 119028.320000 GBP 0.000000 GBP 400000.000000 GBP 3887.970000 N N N N/A N/A 000000000 1.000000 NC -23541.980000 -0.0074141 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 13400000.000000 BRL -23541.980000 N N N N/A N/A 000000000 1.000000 NC -8896.420000 -0.0028017 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 5500000.000000 BRL -8896.420000 N N N N/A N/A 000000000 1.000000 NC 4513.650000 0.0014215 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 5600000.000000 BRL 4513.650000 N N N N/A N/A 000000000 1.000000 NC USD -27758.580000 -0.0087420 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 TOLL BROTHERS FINANCE CORP TOLL BROS FINANCE CORP Y Single Leg Swap 2026-06-23 0.000000 USD -6325.130000 USD 700000.000000 USD -21433.450000 N N N N/A N/A 000000000 1.000000 NC USD -53035.000000 -0.0167023 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 TYSON FOODS INC TYSON FOODS INC SRUNSEC Y Single Leg Swap 2024-06-21 0.000000 USD -128693.350000 USD 4400000.000000 USD 75658.350000 N N N N/A N/A 000000000 1.000000 NC -2409.840000 -0.0007589 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 35856.500000 USD 52289.000000 AUD 2022-10-04 -2409.840000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKM0 500000.000000 PA USD 472551.170000 0.1488202 Long DBT CORP US N 2 2026-04-02 Floating 3.384 N N N N N N N/A N/A 000000000 1.000000 NC -114.400000 -0.0000360 N/A DFE HK N 2 UBS AG BFM8T61CT2L1QCEMIK50 169413.900000 USD 1328640.710000 HKD 2022-10-14 -114.400000 N N N N/A N/A 000000000 1.000000 NC -1204.610000 -0.0003794 N/A DFE ID N 2 UBS AG BFM8T61CT2L1QCEMIK50 40571.160000 USD 603780003.000000 IDR 2022-11-10 -1204.610000 N N N N/A N/A 000000000 1.000000 NC -4684.010000 -0.0014751 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 35644.000000 USD 562139.960000 ZAR 2022-11-08 -4684.010000 N N N N/A N/A 000000000 1.000000 NC -5002.900000 -0.0015756 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 35661.000000 USD 556658.650000 ZAR 2022-11-08 -5002.900000 N N N N/A N/A 000000000 1.000000 NC 2438.090000 0.0007678 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 395455.230000 ZAR 24207.000000 USD 2022-11-14 2438.090000 N N N N/A N/A 000000000 1.000000 NC 49439.940000 0.0155701 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 16941062.970000 ZAR 984562.000000 USD 2022-10-14 49439.940000 N N N N/A N/A 000000000 1.000000 NC 3561.080000 0.0011215 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 2337871.670000 ZAR 130801.000000 USD 2023-03-27 3561.080000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKY4 4400000.000000 PA USD 4087529.420000 1.2872824 Long DBT CORP US N 2 2033-07-22 Floating 5.015 N N N N N N N/A N/A 000000000 -43.000000 NC USD 164476.010000 0.0517983 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-12-20 -5096507.830000 USD 164476.010000 N N N N/A N/A 000000000 -142.000000 NC USD 507477.330000 0.1598194 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-12-30 -29154929.650000 USD 507477.330000 N N N N/A N/A 000000000 163.000000 NC USD 107796.630000 0.0339483 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-12-30 17514222.700000 USD 107796.630000 N N N N/A N/A 000000000 -120.000000 NC USD 1140339.600000 0.3591263 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-12-20 -15185625.000000 USD 1140339.600000 N N N N/A N/A 000000000 -63.000000 NC USD 847257.140000 0.2668260 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-12-20 -8610328.130000 USD 847257.140000 N N N N/A N/A 000000000 1.000000 NC USD -3935.260000 -0.0012393 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON COMMUNICATIONS SR UNSEC Y Single Leg Swap 2027-12-21 0.000000 USD -2704.940000 USD 200000.000000 USD -1230.320000 N N N N/A N/A 000000000 34977.000000 NC USD 7953.770000 0.0025049 N/A DE US N 1 None N/A Call Purchased VISTRA CORP VISTRA CORP N/A 35.000000 USD 2024-02-02 XXXX -84035.740000 N N N BANK OF AMERICA MTG SEC 2005-I N/A 05949CHV1 398609.050000 PA USD 362922.100000 0.1142948 Long ABS-MBS CORP US N 2 2035-10-25 Variable 3.8973 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECA1 1300000.000000 PA USD 1182721.830000 0.3724737 Long DBT CORP GB N 2 2033-08-09 Floating 5.746 N N N N N N BCAP LLC TRUST 2007-AA3 N/A 05530VAN9 114926.780000 PA USD 110484.070000 0.0347947 Long ABS-MBS CORP US N 2 2047-05-25 Floating 3.524 Y N N N N N BCAP LLC TRUST 2009-RR13 N/A 05532KAB7 200041.790000 PA USD 171159.400000 0.0539031 Long ABS-MBS CORP US N 2 2037-07-26 Variable 6 N N N N N N BEAR STEARNS ABS INC 2004-FR1 N/A 073879DG0 90918.920000 PA USD 83926.520000 0.0264309 Long ABS-MBS CORP US N 2 2034-07-25 Floating 4.884 N N N N N N CONSTELLATION OIL SERVICES HOLDING SA 5493005YJTU769NW5I10 944PZA905 904655.000000 NS USD 98060.980000 0.0308823 Long EC CORP US Y 3 N N N BEAR STEARNS ALT-A TRUST 2007-2 N/A 073870AG2 346005.640000 PA USD 269236.990000 0.0847906 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.32419 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-AC9 N/A 0738794G0 271724.040000 PA USD 144654.960000 0.0455561 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.434 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE4 N/A 07388AAB0 50576.100000 PA USD 50540.270000 0.0159166 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.424 Y N N N N N BGC PARTNERS INC TF1LXM1YNB81WKUH5G19 05541TAP6 100000.000000 PA USD 93507.230000 0.0294482 Long DBT CORP US N 2 2025-12-15 Fixed 4.375 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05565AM34 700000.000000 PA USD 647710.000000 0.2039828 Long DBT CORP FR N 2 2029-08-16 Floating 7.75 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659X2T8 1600000.000000 PA USD 1216135.440000 0.3829966 Long DBT CORP FR N 2 2033-01-20 Floating 3.132 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023CV5 800000.000000 PA USD 700769.710000 0.2206929 Long DBT CORP US N 2 2040-05-01 Fixed 5.705 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023CW3 500000.000000 PA USD 435615.190000 0.1371880 Long DBT CORP US N 2 2050-05-01 Fixed 5.805 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023CX1 500000.000000 PA USD 429393.710000 0.1352286 Long DBT CORP US N 2 2060-05-01 Fixed 5.93 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023CR4 2350000.000000 PA USD 1465820.680000 0.4616298 Long DBT CORP US N 2 2059-08-01 Fixed 3.95 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBQ3 15000.000000 PA USD 10291.350000 0.0032410 Long DBT CORP US N 2 2036-11-15 Fixed 3.187 N N N N N N BUCKEYE PARTNERS LP 549300C1PQJLVEIUBK50 11823LAK1 3175818.650000 PA USD 3102377.840000 0.9770294 Long LON CORP US N 2 2026-11-01 Floating 5.3653 N N N N N N CELLNEX FINANCE COMPANY SA 549300OUROMFTRFA7T23 ACI1Y1169 900000.000000 PA 691978.490000 0.2179242 Long DBT CORP ES N 2 2028-06-08 Fixed 1.5 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175CG7 1200000.000000 PA USD 714430.690000 0.2249951 Long DBT CORP US N 2 2062-06-30 Fixed 3.95 N N N N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAH5 64732.860000 PA USD 57493.030000 0.0181062 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.98863 Y N N N N N CHENIERE ENERGY PARTNERS LP 5493005UEC8AZ34LDV29 16411QAG6 1800000.000000 PA USD 1588851.000000 0.5003756 Long DBT CORP US N 2 2029-10-01 Fixed 4.5 N N N N N N CINEMARK USA INC 54930008H2137JSCPQ09 172441BF3 1500000.000000 PA USD 1156192.500000 0.3641188 Long DBT CORP US N 2 2028-07-15 Fixed 5.25 N N N N N N CINEWORLD GROUP (CROWN FINANCE US INC) N/A 22834KAH4 20605.950000 PA USD 24559.720000 0.0077346 Long LON CORP US N 2 2024-05-23 Fixed 7 N N Y N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NN7 4475000.000000 PA USD 3756997.350000 1.1831882 Long DBT CORP US Y 2 2033-03-17 Floating 3.785 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 956232.770000 PA USD 540686.330000 0.1702779 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.244 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2007-2 N/A 17310SAA5 23684.480000 PA USD 23593.080000 0.0074302 Long ABS-MBS CORP US N 2 2036-11-25 Fixed 6 N N N N N N CITRIX (PICARD MIDCO INC) N/A 88632QAE3 200000.000000 PA USD 169242.000000 0.0532993 Long DBT CORP US N 2 2029-03-31 Fixed 6.5 N N N N N N CONSTELLATION OIL SERVICES HOLDING SA 5493005YJTU769NW5I10 21038MAM5 798975.000000 PA USD 639180.000000 0.2012965 Long DBT CORP LU N 3 2026-12-31 Fixed 3 N N Y N N N CONSTELLATION OIL SERVICES HOLDING SA 5493005YJTU769NW5I10 21038MAP8 340832.000000 PA USD 343037.700000 0.1080326 Long DBT CORP LU N 3 2025-06-30 Fixed 13.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-19CB N/A 12667GFZ1 288961.390000 PA USD 204785.200000 0.0644928 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.384 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-25T1 N/A 12667GRF2 97646.910000 PA USD 64314.180000 0.0202544 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.75 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-46CB N/A 12667G7D9 153465.350000 PA USD 113035.760000 0.0355983 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.384 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668AHA6 104364.190000 PA USD 92800.250000 0.0292255 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.704 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J2 N/A 12667F6H3 280678.780000 PA USD 221050.930000 0.0696154 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.484 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB N/A 02147QAD4 224048.690000 PA USD 141652.500000 0.0446105 Long ABS-MBS CORP US N 2 2036-08-25 Floating 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12 N/A 23243AAB2 104801.530000 PA USD 100428.390000 0.0316278 Long ABS-MBS CORP US N 2 2046-09-20 Floating 3.18343 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1 N/A 02150GAX6 603335.310000 PA USD 310989.250000 0.0979396 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 266320.520000 PA USD 250651.310000 0.0789374 Long ABS-MBS CORP US N 2 2046-09-25 Floating 3.464 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8 N/A 02147CAF0 103620.380000 PA USD 98935.180000 0.0311576 Long ABS-MBS CORP US N 2 2046-07-25 Floating 3.464 Y N N N N N COUNTRYWIDE HOME LOANS 2004-18 N/A 12669F4Z3 4479.660000 PA USD 4181.130000 0.0013168 Long ABS-MBS CORP US N 2 2034-10-25 Fixed 6 N N N N N N COUNTRYWIDE HOME LOANS 2007-9 N/A 12544XAX3 89211.750000 PA USD 46638.160000 0.0146877 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 5.75 Y N N N N N COUNTRYWIDE HOME LOANS 2007-HY5 N/A 12544BAC7 122954.480000 PA USD 113608.450000 0.0357786 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.03299 Y N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AV0 900000.000000 PA USD 838101.630000 0.2639427 Long DBT CORP CH N 2 2028-08-11 Floating 6.442 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AZ1 1300000.000000 PA USD 1170023.220000 0.3684745 Long DBT CORP CH N 2 2033-08-12 Floating 6.537 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-11R N/A 12646QAG2 3937678.160000 PA USD 2671381.500000 0.8412961 Long ABS-MBS CORP US N 2 2037-12-29 Floating 2.99367 N N N N N N CREDIT SUISSE MRTG CAPITAL CERT 2006-6 N/A 22942JAC7 448957.630000 PA USD 249258.270000 0.0784987 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 N N N N N N CREDIT SUISSE MRTG CAPITAL CERT 2006-6 N/A 22942JAH6 176753.370000 PA USD 98132.270000 0.0309047 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VAT8 1000000.000000 PA USD 765116.310000 0.2409575 Long DBT CORP US N 2 2031-01-15 Fixed 2.25 N N N N N N CSN RESOURCES SA 222100ZEX458NMOXZP08 12644VAD0 900000.000000 PA USD 614943.000000 0.1936635 Long DBT CORP LU N 2 2031-06-10 Fixed 4.625 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAJ3 1800000.000000 PA USD 1645940.340000 0.5183547 Long DBT CORP US N 2 2024-08-01 Fixed 1.55 N N N N N N DAE SUKUK (DIFC) LTD 635400AMGMPG1J5EQD94 23302JAA3 1300000.000000 PA USD 1199458.000000 0.3777444 Long DBT CORP AE N 2 2026-02-15 Fixed 3.75 N N N N N N DCP MIDSTREAM OPERATING LP 549300Y6CTBSE0QIPL28 23311VAK3 700000.000000 PA USD 554251.540000 0.1745500 Long DBT CORP US N 2 2032-02-15 Fixed 3.25 N N N N N N DEERE & COMPANY PWFTNG3EI0Y73OXWDH08 244199BF1 -1300000.000000 PA USD -1119495.820000 -0.3525619 Short DBT CORP US N 2 2042-06-09 Fixed 3.9 N N N N N N INTELSAT SA 549300YV2L21F4K80V46 000000000 935.000000 NS USD 26180.000000 0.0082448 Long EC CORP LU Y 3 N N N DEUTSCHE ALT-A SECURITIES INC 2007-OA1 N/A 25151VAA3 1833268.740000 PA USD 1126854.750000 0.3548795 Long ABS-MBS CORP US N 2 2047-02-25 Floating 3.234 N N N N N N DEUTSCHE ALT-A SECURITIES LN TR 2007-1 N/A 25151YAJ8 216641.160000 PA USD 175968.540000 0.0554176 Long ABS-MBS CORP US N 2 2037-08-25 Floating 3.184 Y N N N N N DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO N/A 25277LAC0 1200000.000000 PA USD 88500.000000 0.0278712 Long DBT CORP US N 2 2027-08-15 Fixed 6.625 N N N N N N DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO N/A 25277LAF3 700000.000000 PA USD 140210.000000 0.0441562 Long DBT CORP US N 2 2026-08-15 Fixed 5.375 N N N N N N DISH DBS CORPORATION N/A 25470XBF1 700000.000000 PA USD 530330.500000 0.1670166 Long DBT CORP US N 2 2028-12-01 Fixed 5.75 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CBT1 300000.000000 PA USD 271701.980000 0.0855669 Long DBT CORP US N 2 2032-08-15 Fixed 4.5 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CBU8 300000.000000 PA USD 256322.280000 0.0807234 Long DBT CORP US N 2 2052-08-15 Fixed 5 N N N N N N DUN & BRADSTREET CORP RI37BMPWE56BCJ747E14 26483NAN0 1144101.340000 PA USD 1108777.210000 0.3491863 Long LON CORP US N 2 2026-02-06 Floating 6.3303 N N N N N N ENDEAVOR ENERGY RESOURCES LP / EER FINANCE INC N/A 29260FAE0 850000.000000 PA USD 810351.750000 0.2552034 Long DBT CORP US N 2 2028-01-30 Fixed 5.75 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 292480AJ9 1100000.000000 PA USD 851790.870000 0.2682538 Long DBT CORP US N 2 2044-05-15 Fixed 5 N N N N N N EQM MIDSTREAM PARTNERS LP (AKA: EQT MIDSTREAM PARTNERS LP) 549300NELT611CL6XM83 26885BAK6 250000.000000 PA USD 201836.970000 0.0635644 Long DBT CORP US N 2 2029-01-15 Fixed 4.5 N N N N N N EQM MIDSTREAM PARTNERS LP (AKA: EQT MIDSTREAM PARTNERS LP) 549300NELT611CL6XM83 26885BAL4 825000.000000 PA USD 656782.500000 0.2068400 Long DBT CORP US N 2 2031-01-15 Fixed 4.75 N N N N N N EQM MIDSTREAM PARTNERS LP (AKA: EQT MIDSTREAM PARTNERS LP) 549300NELT611CL6XM83 26885BAN0 100000.000000 PA USD 94656.560000 0.0298101 Long DBT CORP US N 2 2030-06-01 Fixed 7.5 N N N N N N EQT CORPORATION 4NT01YGM4X7ZX86ISY52 26884LAL3 900000.000000 PA USD 841555.340000 0.2650304 Long DBT CORP US N 2 2029-01-15 Fixed 5 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBJ4 1500000.000000 PA USD 922602.000000 0.2905543 Long DBT CORP US N 2 2050-07-15 Fixed 3 N N N N N N EXPEDIA GROUP INC N/A 30212PAR6 1300000.000000 PA USD 1056023.850000 0.3325728 Long DBT CORP US N 2 2030-02-15 Fixed 3.25 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 3130ATJ99 3200000.000000 PA USD 3200076.480000 1.0077976 Long DBT USGSE US N 2 2023-01-06 Floating 3.06 N N N N N N FIRST HORIZON ALT MTG SEC 2005-AA6 N/A 32051GQA6 68385.690000 PA USD 60581.110000 0.0190788 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.47087 Y N N N N N FIRST HORIZON ALT MTG SEC 2006-FA2 N/A 32051G2Z7 6347.660000 PA USD 3129.500000 0.0009856 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 6 Y N N N N N FIRSTENERGY TRANSMISSION LLC (AKA: ALLEGHENY ENERGY TRANSMISSION LLC) 549300AINIIPOLYX2R63 33767BAB5 950000.000000 PA USD 916916.530000 0.2887638 Long DBT CORP US N 2 2025-01-15 Fixed 4.35 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 1453193.390000 PA USD 14109054.640000 4.4433535 Long STIV RF US N 1 N N N FOUNDATION BUILDING MATERIALS INC 549300ZVE6MONHB01I28 350392AA4 450000.000000 PA USD 329297.530000 0.1037054 Long DBT CORP US N 2 2029-03-01 Fixed 6 N N N N N N FOUNDATION BUILDING MATERIALS INC 549300ZVE6MONHB01I28 35039KAB2 1305635.070000 PA USD 1180946.920000 0.3719147 Long LON CORP US N 2 2028-01-31 Floating 6.0559 N N N N N N FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1 N/A 35563CAH1 368476.620000 PA USD 227497.840000 0.0716457 Long ABS-MBS USGSE US N 3 2055-11-25 Floating 6.15629 N N N N N N FREEPORT-MCMORAN INC 549300IRDTHJQ1PVET45 35671DCD5 567000.000000 PA USD 528146.330000 0.1663287 Long DBT CORP US N 2 2029-09-01 Fixed 5.25 N N N N N N GAZPROM PJSC VIA GAZ FINANCE PLC 213800UNP9N6BPNYMQ45 ACI1V9J90 1500000.000000 PA USD 742500.000000 0.2338349 Long DBT CORP GB N 2 2029-01-27 Fixed 2.95 N N N N N N GLOBAL ATLANTIC (FIN) COMPANY N/A 37959GAB3 900000.000000 PA USD 660231.460000 0.2079262 Long DBT CORP US N 2 2031-06-15 Fixed 3.125 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAQ5 1800000.000000 PA USD 1673409.980000 0.5270057 Long DBT CORP US N 2 2032-08-15 Fixed 5.4 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAR3 1700000.000000 PA USD 1502323.250000 0.4731255 Long DBT CORP US N 2 2052-08-15 Fixed 5.95 N N N N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AP4 3400000.000000 PA USD 2846578.670000 0.8964708 Long DBT CORP US N 2 2030-01-15 Fixed 4 N N N N N N STEARNS HOLDINGS LLC 549300B7MV13XJXKBZ36 9353MP906 304919.000000 NS USD 304.920000 0.0000960 Long EC CORP US N 3 N N N GNMA PASS THRU POOLS N/A 21H0206A8 500000.000000 PA USD 416523.440000 0.1311754 Long ABS-MBS USGSE US N 2 2052-10-20 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 21H0226B2 1100000.000000 PA USD 945591.790000 0.2977945 Long ABS-MBS USGSE US N 2 2052-11-21 Fixed 2.5 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZU1 3400000.000000 PA USD 3194003.380000 1.0058850 Long DBT CORP US N 2 2028-08-23 Floating 4.482 N N N N N N GOODMAN US FINANCE FIVE LLC N/A 38239PAA5 50000.000000 PA USD 45889.800000 0.0144520 Long DBT CORP US N 2 2032-05-04 Fixed 4.625 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAC5 431947.240000 PA USD 225849.880000 0.0711267 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.204 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAE8 369726.870000 PA USD 193418.360000 0.0609131 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.314 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CA5 1000000.000000 PA USD 827895.000000 0.2607283 Long DBT CORP US N 2 2030-09-01 Fixed 3.5 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CG2 1975000.000000 PA USD 1487768.740000 0.4685418 Long DBT CORP US N 2 2052-03-15 Fixed 4.625 N N N N N N HILTON GRAND VACATIONS BORROWER LLC 254900HF0EZ734FDVY79 43284MAB4 200000.000000 PA USD 152954.000000 0.0481697 Long DBT CORP US N 2 2031-07-01 Fixed 4.875 N N N N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TAZ9 1300000.000000 PA USD 1038392.470000 0.3270201 Long DBT CORP US N 2 2030-09-15 Fixed 3.5 N N N N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TAY2 200000.000000 PA USD 162282.460000 0.0511075 Long DBT CORP US N 2 2029-12-15 Fixed 3.375 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CN7 900000.000000 PA USD 626391.900000 0.1972691 Long DBT CORP GB N 2 2030-12-17 Floating 4.6 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DH9 700000.000000 PA USD 623362.120000 0.1963149 Long DBT CORP GB N 2 2033-08-11 Floating 5.402 N N N N N N HSI ASSET SECURI CORP TRUS 2005-I1 N/A 40430HCN6 835094.230000 PA USD 798268.660000 0.2513981 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.864 N N N N N N HYATT HOTELS CORPORATION T27JQIMTYSH41TCD5186 448579AG7 400000.000000 PA USD 360367.370000 0.1134902 Long DBT CORP US N 2 2028-09-15 Fixed 4.375 N N N N N N IMPAC SECURED ASSETS CORP 2006-3 N/A 45255RAC1 135398.340000 PA USD 132299.380000 0.0416649 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.384 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAF0 200000.000000 PA USD 197381.670000 0.0621613 Long DBT CORP GB N 2 2027-07-27 Fixed 6.125 N N N N N N INDYMAC IMJA MORTGAGE LN TR 2007-A3 N/A 456669AA8 252308.310000 PA USD 122953.140000 0.0387215 Long ABS-MBS CORP US N 2 2037-11-25 Fixed 6.25 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR23 N/A 45660LF95 276422.050000 PA USD 245518.010000 0.0773208 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.0189 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2007-AR5 N/A 45669EAE6 104792.590000 PA USD 91319.930000 0.0287593 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.01745 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2007-FLX1 N/A 45668WAC1 241271.410000 PA USD 163391.320000 0.0514567 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.334 N N N N N N INEOS QUATTRO FINANCE 2 PLC 213800V48W4Y5MT5Q131 ACI1VBTF0 600000.000000 PA 485231.820000 0.1528137 Long DBT CORP GB N 2 2026-01-15 Fixed 2.5 N N N N N N INGRAM MICRO INC 549300KJMEWPKRQZHX63 45258FAB6 888750.000000 PA USD 867642.190000 0.2732459 Long LON CORP US N 3 2028-06-30 Floating 7.1741 N N N N N N INSTANT BRANDS HOLDINGS INC N/A 45783DAB5 815625.000000 PA USD 559518.750000 0.1762088 Long LON CORP US N 2 2028-04-12 Floating 7.0757 N N N N N N INTELSAT JACKSON HOLDINGS SA 8XJ8KF85PBKK1TLMFN29 45824TBC8 70000.000000 PA USD 59689.000000 0.0187978 Long DBT CORP LU N 2 2030-03-15 Fixed 6.5 N N N N N N INTELSAT JACKSON HOLDINGS SA 8XJ8KF85PBKK1TLMFN29 L5137LAQ8 18664.570000 PA USD 17563.360000 0.0055312 Long LON CORP LU N 2 2029-02-01 Floating 7.4449 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HBS5 600000.000000 PA USD 357146.300000 0.1124758 Long DBT CORP IT N 2 2042-06-01 Floating 4.95 N N N N N N IQVIA INC 549300PLWY28YB00C717 44969CBG4 1000000.000000 PA 955024.520000 0.3007651 Long LON CORP US N 2 2024-03-07 Floating 3.193 N N N N N N JOHN LEWIS PLC 213800JSUFNZLZLCVJ25 ACI0B37S8 700000.000000 PA 466882.120000 0.1470348 Long DBT CORP GB N 2 2034-12-18 Fixed 4.25 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDH6 4900000.000000 PA USD 4525076.160000 1.4250787 Long DBT CORP US N 2 2033-07-25 Floating 4.912 N N N N N N KAISA GROUP HOLDINGS LTD 254900N8L3L7NRJT0120 ACI1NWXF8 500000.000000 PA USD 54853.520000 0.0172750 Long DBT CORP KY N 2 2023-09-28 Fixed 0 Y Y N N N N KIMCO REALTY CORPORATION 549300EA7I6T15IBYS12 49446RBA6 100000.000000 PA USD 90459.360000 0.0284883 Long DBT CORP US N 2 2033-02-01 Fixed 4.6 N N N N N N LEHMAN XS TRUST 2007-3 N/A 525245AP1 796103.700000 PA USD 718134.820000 0.2261616 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.394 N N N N N N LEIDOS INC 5493006I78VIN6J1BQ95 52532XAH8 1000000.000000 PA USD 742153.590000 0.2337258 Long DBT CORP US N 2 2031-02-15 Fixed 2.3 N N N N N N LIFEPOINT HEALTH INC 549300G8ZVHRTBBBSZ90 75915TAD4 3450020.190000 PA USD 3216522.820000 1.0129770 Long LON CORP US N 2 2025-11-16 Floating 6.8706 N N N N N N MAGALLANES INC 549300DXR29GD4N0A520 55903VAQ6 1075000.000000 PA USD 783382.400000 0.2467100 Long DBT CORP US N 2 2052-03-15 Fixed 5.141 N N N N N N MANITOWOC COMPANY INC 2RTSLGQ89VMY18RHX631 563571AL2 900000.000000 PA USD 820246.500000 0.2583196 Long DBT CORP US N 2 2026-04-01 Fixed 9 N N N N N N MARRIOTT INTERNATIONAL INC 225YDZ14ZO8E1TXUSU86 571903BE2 159000.000000 PA USD 143933.810000 0.0453290 Long DBT CORP US N 2 2030-06-15 Fixed 4.625 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-15 N/A 576433VS2 69400.150000 PA USD 65591.670000 0.0206567 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.93441 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC2 N/A 55275BAC1 519160.050000 PA USD 220406.180000 0.0694123 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.304 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC2 N/A 55275BAD9 1174885.200000 PA USD 498779.770000 0.1570803 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.384 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAD6 1868993.520000 PA USD 559852.710000 0.1763140 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.304 N N N N N N MGM CHINA HOLDINGS LIMITED 529900VZFN87OS7WJM66 55300RAE1 200000.000000 PA USD 167753.800000 0.0528306 Long DBT CORP KY N 2 2025-06-18 Fixed 5.25 N N N N N N MGM CHINA HOLDINGS LIMITED 529900VZFN87OS7WJM66 G60744AE2 500000.000000 PA USD 419384.510000 0.1320764 Long DBT CORP KY N 2 2025-06-18 Fixed 5.25 N N N N N N MILEAGE PLUS HOLDINGS LLC / MILEAGE PLUS INTELLECTUAL PROPERTY ASSETS LTD N/A 599191AA1 95000.000000 PA USD 93160.800000 0.0293391 Long DBT CORP US N 2 2027-06-20 Fixed 6.5 N N N N N N ACE SECURITIES CORP 2006-SD2 N/A 00442MAB3 582986.110000 PA USD 482578.240000 0.1519780 Long ABS-MBS CORP US N 2 2045-12-25 Floating 3.909 Y N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822CK8 1600000.000000 PA USD 1496938.080000 0.4714295 Long DBT CORP JP N 2 2033-07-20 Floating 5.133 N N N N N N MOODY'S CORPORATION 549300GCEDD8YCF5WU84 615369AX3 1200000.000000 PA USD 734322.830000 0.2312597 Long DBT CORP US N 2 2061-11-29 Fixed 3.1 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEU5 4900000.000000 PA USD 4544621.470000 1.4312341 Long DBT CORP US N 2 2033-07-20 Floating 4.889 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAF2 723448.960000 PA USD 331506.380000 0.1044010 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.544 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAE2 663812.930000 PA USD 329197.780000 0.1036740 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.224 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC4 N/A 61748LAD4 161128.560000 PA USD 140809.200000 0.0443449 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.384 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC5 N/A 61749BAE3 1696003.190000 PA USD 945411.030000 0.2977376 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.234 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAP5 3438829.240000 PA USD 1413570.650000 0.4451747 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.214 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE3 N/A 617538AC7 95882.670000 PA USD 51831.320000 0.0163232 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.234 N N N N N N ADEVINTA ASA 529900W8V3YLHRSZH763 ACI1SD251 400000.000000 PA 358698.340000 0.1129646 Long DBT CORP NO N 2 2025-11-15 Fixed 2.625 N N N N N N MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS N/A 61752JAA8 1076565.740000 PA USD 438723.790000 0.1381669 Long ABS-MBS CORP US N 2 2046-09-25 Variable 6.465 Y N N N N N MORGAN STANLEY MTGE LN TRUST 2007-15AR N/A 61756XAG0 266437.040000 PA USD 203022.520000 0.0639377 Long ABS-MBS CORP US N 2 2037-11-25 Floating 2.99529 N N N N N N MORRISON (MARKET BIDCO FINCO PLC) 549300UGYX6EBVHRVG53 ACI261ZG9 2100000.000000 PA 1646484.170000 0.5185260 Long DBT CORP GB N 2 2027-11-04 Fixed 4.75 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBU3 600000.000000 PA USD 545824.240000 0.1718960 Long DBT CORP US N 2 2032-09-01 Fixed 4.95 N N N N N N MSCI INC 549300HTIN2PD78UB763 55354GAM2 3800000.000000 PA USD 3053715.450000 0.9617042 Long DBT CORP US N 2 2031-11-01 Fixed 3.625 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAU0 4175000.000000 PA USD 3933413.630000 1.2387469 Long DBT CORP US N 2 2029-11-15 Fixed 5.375 N N N N N N NEW CENTURY HOME EQUITY LOAN TRUST 2003-2 N/A 64352VCS8 67830.600000 PA USD 57817.890000 0.0182085 Long ABS-MBS CORP US N 2 2033-01-25 Floating 6.084 Y N N N N N ADVANTAGE SALES & MARKETING INC 549300T4O24KQDED1182 00769EAZ3 995.580000 PA USD 894.260000 0.0002816 Long LON CORP US N 2 2027-10-28 Floating 7.0534 N N N N N N NEWELL BRANDS INC 549300LWGYFM1TVO1Z12 651229AW6 950000.000000 PA USD 875368.000000 0.2756790 Long DBT CORP US N 2 2026-04-01 Variable 4.45 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HBA6 1000000.000000 PA USD 758077.340000 0.2387407 Long DBT CORP JP N 2 2032-01-22 Fixed 2.999 N N N N N N NXP BV / NXP FUNDING LLC / NXP USA INC N/A 62954HAU2 2300000.000000 PA USD 1513574.060000 0.4766687 Long DBT CORP NL N 2 2041-05-11 Fixed 3.25 N N N N N N NXP BV / NXP FUNDING LLC / NXP USA INC N/A 62954HBE7 100000.000000 PA USD 94478.780000 0.0297541 Long DBT CORP NL N 2 2027-06-01 Fixed 4.4 N N N N N N ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED 549300L7LF2PIRAWID66 G6711KAC9 42983.640000 PA USD 42038.000000 0.0132390 Long DBT CORP KY N 2 2022-12-01 Fixed 6.72 N N N N N N AIR CANADA 4B4HI3CGXMBDC0G6BM51 008911BK4 2980000.000000 PA USD 2562800.000000 0.8071006 Long DBT CORP CA N 2 2026-08-15 Fixed 3.875 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JP3 1100000.000000 PA USD 989389.730000 0.3115877 Long DBT CORP US N 2 2026-01-01 Fixed 3.15 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JG3 400000.000000 PA USD 291550.720000 0.0918178 Long DBT CORP US N 2 2031-02-01 Fixed 2.5 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JM0 400000.000000 PA USD 343240.920000 0.1080966 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HY6 1200000.000000 PA USD 764862.010000 0.2408774 Long DBT CORP US N 2 2047-12-01 Fixed 3.95 N N N N N N PEOPLE'S FINANCE REALTY MTGE SEC 2006-1 N/A 71103XAS3 3576413.570000 PA USD 1075759.450000 0.3387881 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.224 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI16QTC2 200000.000000 PA 44182.540000 0.0139144 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638CL4 400000.000000 PA 91864.350000 0.0289308 Long DBT NUSS PE N 2 2028-08-12 Fixed 6.35 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AC3 8100000.000000 PA 1860253.030000 0.5858480 Long DBT NUSS PE N 2 2028-08-12 Fixed 6.35 N N N N N N PRIME HEALTHCARE SERVICES INC N/A 74165HAB4 500000.000000 PA USD 446940.000000 0.1407545 Long DBT CORP US N 2 2025-11-01 Fixed 7.25 N N N N N N PRIMESOURCE BUILDING PRODUCTS (PARK RIVER HOLDINGS INC) N/A 70082LAA5 2050000.000000 PA USD 1334281.720000 0.4202043 Long DBT CORP US N 2 2029-02-01 Fixed 5.625 N N N N N N ALLEGHANY CORPORATION 549300DCJE6AYX159479 017175AF7 575000.000000 PA USD 388826.130000 0.1224527 Long DBT CORP US N 2 2051-08-15 Fixed 3.25 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAE8 700000.000000 PA USD 389820.260000 0.1227658 Long DBT CORP NL N 2 2051-02-08 Fixed 3.832 N N N N N N ALLSTATE CORP OBT0W1ED8G0NWVOLOJ77 020002BB6 300000.000000 PA USD 276530.470000 0.0870875 Long DBT CORP US N 2 2053-08-15 Floating 5.75 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-2 N/A 75970QAJ9 2098613.560000 PA USD 681995.890000 0.2147804 Long ABS-MBS CORP US N 2 2037-06-25 Variable 5.879 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2004-QA6 N/A 76110HG94 233975.830000 PA USD 98793.180000 0.0311129 Long ABS-MBS CORP US N 2 2034-12-26 Floating 3.54076 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QA7 N/A 76110H7D5 21253.340000 PA USD 19445.900000 0.0061241 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.58357 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS12 N/A 761118DV7 400195.010000 PA USD 337091.460000 0.1061599 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.434 Y N N N N N RESIDENTIAL ASSET MGTE PROD INC 2005-EFC7 N/A 76112BR85 1076581.480000 PA USD 922525.040000 0.2905301 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.552 N N N N N N RESIDENTIAL ASSET SEC CORP 2004-KS7 N/A 76110WB54 192531.220000 PA USD 183636.780000 0.0578326 Long ABS-MBS CORP US N 2 2034-08-25 Floating 3.964 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2006-S10 N/A 74958DAD0 14269.670000 PA USD 12072.260000 0.0038019 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6 Y N N N N N RIO OIL FINANCE TRUST SERIES 2018-1 N/A 76716XAC6 702213.600000 PA USD 705176.550000 0.2220807 Long DBT CORP US N 2 2028-04-06 Fixed 8.2 N N N N N N ROYAL CARIBBEAN CRUISES LTD K2NEH8QNVW44JIWK7Z55 780153AY8 1000000.000000 PA USD 1023125.000000 0.3222120 Long DBT CORP LR N 2 2023-06-01 Fixed 10.875 N N N N N N AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST N/A 02377AAA6 12280.490000 PA USD 10478.750000 0.0033001 Long DBT CORP US N 2 2028-04-01 Fixed 3.7 N N N N N N AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST N/A 023770AA8 130213.410000 PA USD 108629.310000 0.0342105 Long DBT CORP US N 2 2028-11-01 Fixed 3.375 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAK1 200000.000000 PA USD 170643.590000 0.0537407 Long DBT CORP KY N 2 2026-01-08 Variable 4.05 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 3300000.000000 PA USD 2781091.500000 0.8758470 Long DBT CORP KY N 2 2028-08-08 Variable 5.65 N N N N N N SANTOS FINANCE LTD 213800BKUBSWG53XNS94 803014AA7 3200000.000000 PA USD 2491511.300000 0.7846497 Long DBT CORP AU N 2 2031-04-29 Fixed 3.649 N N N N N N SBA COMMUNICATIONS CORPORATION 5299001HX8ZN8Y8QIT49 78410GAG9 1000000.000000 PA USD 806455.000000 0.2539762 Long DBT CORP US N 2 2029-02-01 Fixed 3.125 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 ACI1C5ZK6 500000.000000 PA 431222.040000 0.1358044 Long DBT CORP DE N 2 2025-05-15 Fixed 3.625 N N Y N N N SEALED AIR CORPORATION Q0M0CZB4YN6JZ65WXI09 81211KAZ3 1000000.000000 PA USD 838464.720000 0.2640570 Long DBT CORP US N 2 2026-10-15 Fixed 1.573 N N N N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AC8 787149.590000 PA USD 446386.630000 0.1405802 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.584 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-FR2 N/A 81376VAC1 1268556.290000 PA USD 816501.050000 0.2571400 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.584 N N N N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 81761LAA0 1400000.000000 PA USD 1310750.000000 0.4127935 Long DBT CORP US N 2 2025-09-15 Fixed 7.5 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-FRE1 N/A 81879MAV1 1047393.660000 PA USD 618784.250000 0.1948732 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.444 N N N N N N AMERICAN ASSETS TRUST LP 549300V1TI0SMG9Z6U69 02401LAA2 400000.000000 PA USD 318266.030000 0.1002313 Long DBT CORP US N 2 2031-02-01 Fixed 3.375 N N N N N N SITKA HOLDINGS LLC N/A 82987VAA4 450000.000000 PA USD 430500.600000 0.1355772 Long DBT CORP KY N 2 2026-07-06 Floating 8.17414 N N N N N N SKYMILES IP LTD 2549008L7P4I8VB90936 24736CBS2 1000000.000000 PA USD 1005390.000000 0.3166267 Long LON CORP US N 2 2027-10-20 Floating 6.4599 N N N N N N SOCIETA PER AZIONI ESERCIZI AEROPORTUALI SEA 815600DF2DE50E2BFE25 ACI1RYGQ5 800000.000000 PA 754942.260000 0.2377534 Long DBT CORP IT N 2 2025-10-09 Fixed 3.5 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83368RBJ0 1200000.000000 PA USD 898120.720000 0.2828445 Long DBT CORP FR N 2 2033-01-21 Floating 3.337 N N N N N N SOLERA LLC (POLARIS NEWCO LLC) 254900LEPDAG7EDOA064 73108RAB4 99497.480000 PA USD 92076.960000 0.0289977 Long LON CORP US N 2 2028-06-02 Floating 7.6741 N N N N N N AMERICAN HOME MTGE INV TRUST 2005-4 N/A 02660TGW7 35276.560000 PA USD 17405.760000 0.0054816 Long ABS-MBS CORP US N 2 2045-11-25 Floating 5.34543 Y N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 S69124FF7 78100000.000000 PA 4468267.170000 1.4071879 Long DBT NUSS ZA N 2 2026-12-21 Fixed 10.5 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GT4 1100000.000000 PA USD 755806.740000 0.2380256 Long DBT CORP US N 2 2050-02-01 Fixed 3.65 N N N N N N AMERICAN HOMES 4 RENT LP 549300N4PXZ37U8QKI55 02666TAD9 1800000.000000 PA USD 1113642.270000 0.3507185 Long DBT CORP US N 2 2051-07-15 Fixed 3.375 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAH8 100000.000000 PA USD 101661.000000 0.0320160 Long DBT CORP US N 2 2024-06-15 Fixed 7.125 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAF2 200000.000000 PA USD 202374.000000 0.0637335 Long DBT CORP US N 2 2023-09-15 Fixed 7.875 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBK5 3775000.000000 PA USD 2273177.740000 0.7158901 Long DBT CORP US N 2 2051-01-15 Fixed 2.95 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC2 N/A 86358EAN6 35363.350000 PA USD 33698.900000 0.0106128 Long ABS-MBS CORP US N 2 2033-04-25 Floating 4.464 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPS9 1023554.770000 PA USD 870100.980000 0.2740202 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.209 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPT7 1102402.850000 PA USD 837932.550000 0.2638894 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.659 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPU4 857046.650000 PA USD 297929.040000 0.0938266 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.809 Y N N N N N STUDIO CITY FINANCE LIMITED 254900D6R731QAUIG324 86389QAG7 1300000.000000 PA USD 579531.160000 0.1825113 Long DBT CORP VG N 2 2029-01-15 Fixed 5 N N N N N N SYSCO CORPORATION 5RGWIFLMGH3YS7KWI652 871829BR7 1100000.000000 PA USD 698358.160000 0.2199334 Long DBT CORP US N 2 2051-12-14 Fixed 3.15 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACV5 300000.000000 PA USD 287202.900000 0.0904486 Long DBT CORP US N 2 2033-01-15 Fixed 5.2 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACW3 100000.000000 PA USD 94703.090000 0.0298248 Long DBT CORP US N 2 2053-01-15 Fixed 5.65 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABU8 1025000.000000 PA USD 930074.750000 0.2929077 Long DBT CORP US N 2 2026-04-15 Fixed 2.625 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABY0 2300000.000000 PA USD 1482628.650000 0.4669231 Long DBT CORP US N 2 2060-11-15 Fixed 3.6 N N N N N N TAKE-TWO INTERACTIVE SOFTWARE BOMSTHHJK882EWYX3334 874054AH2 900000.000000 PA USD 782492.510000 0.2464298 Long DBT CORP US N 2 2032-04-14 Fixed 4 N N N N N N TIBCO SOFTWARE INC 04EEB871XLHVNY4RZJ65 950BETII0 100000.000000 PA USD 89982.000000 0.0283380 Long LON CORP US N 2 2029-03-20 Floating 7.02223 N N N N N N TIME WARNER ENTERTAINMENT COMPANY LP N/A 88731EAJ9 200000.000000 PA USD 213766.180000 0.0673212 Long DBT CORP US N 2 2033-07-15 Fixed 8.375 N N N N N N TRAVEL + LEISURE CO (AKA: WYNDHAM DESTINATIONS INC/WYNDHAM WORLDWIDE CORP) T4VNTWMFQ7JQB65L7T35 98310WAN8 900000.000000 PA USD 812938.310000 0.2560180 Long DBT CORP US N 2 2027-04-01 Variable 6 N N N N N N TRAVEL + LEISURE CO (AKA: WYNDHAM DESTINATIONS INC/WYNDHAM WORLDWIDE CORP) T4VNTWMFQ7JQB65L7T35 98310WAS7 200000.000000 PA USD 187617.280000 0.0590862 Long DBT CORP US N 2 2026-07-31 Fixed 6.625 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AT5 1400000.000000 PA USD 1260003.990000 0.3968121 Long DBT CORP CH N 2 2033-08-05 Floating 4.988 N N N N N N UMBS PASS THRU POOLS N/A 01F0206B0 300000.000000 PA USD 242953.130000 0.0765130 Long ABS-MBS USGSE US N 2 2052-11-14 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F0226B6 100000.000000 PA USD 83724.610000 0.0263673 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 01F0306B9 200000.000000 PA USD 174092.520000 0.0548268 Long ABS-MBS USGSE US N 2 2052-11-14 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F0406B8 2900000.000000 PA USD 2689523.420000 0.8470095 Long ABS-MBS USGSE US N 2 2052-11-14 Fixed 4 N N N N N N UNITED AIRLINES INC K1OQBWM7XEOO08LDNP29 90932LAG2 400000.000000 PA USD 357696.000000 0.1126489 Long DBT CORP US N 2 2026-04-15 Fixed 4.375 N N N N N N UNITED AIRLINES INC K1OQBWM7XEOO08LDNP29 90932RAJ3 1580000.000000 PA USD 1514714.400000 0.4770278 Long LON CORP US N 2 2028-04-21 Floating 6.533 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796V63 5200000.000000 PA USD 5193741.380000 1.6356609 Long DBT UST US N 2 2022-10-20 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796YC7 1300000.000000 PA USD 1299912.930000 0.4093806 Long DBT UST US N 2 2022-10-04 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796YE3 7700000.000000 PA USD 7691894.130000 2.4224022 Long DBT UST US N 2 2022-10-18 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796W70 17600000.000000 PA USD 17527222.240000 5.5198344 Long DBT UST US N 2 2022-11-25 None 0 N N N N N N ANTARES HOLDINGS LP 5493008EAIGV4283RM42 03666HAE1 250000.000000 PA USD 202150.480000 0.0636631 Long DBT CORP US N 2 2027-07-15 Fixed 3.75 N N N N N N API GROUP DE INC 549300XP4G7B4QYA0G83 001877AA7 600000.000000 PA USD 476667.000000 0.1501164 Long DBT CORP US N 2 2029-07-15 Fixed 4.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CFH9 4825000.000000 PA USD 4628984.380000 1.4578024 Long DBT UST US N 2 2027-08-31 Fixed 3.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CFF3 10600000.000000 PA USD 9694031.250000 3.0529337 Long DBT UST US N 2 2032-08-15 Fixed 2.75 N N N N N N USI INC/NY N/A 90351NAF2 486264.210000 PA USD 470054.590000 0.1480339 Long LON CORP US N 2 2026-12-02 Floating 6.9241 N N N N N N USI INC/NY N/A 90351NAE5 2204390.810000 PA USD 2150890.250000 0.6773782 Long LON CORP US N 2 2024-05-16 Floating 6.4241 N N N N N N VENTURE GLOBAL CALCASIEU PASS LLC 549300GKHS6RS20NLH85 92328MAA1 1900000.000000 PA USD 1633658.000000 0.5144866 Long DBT CORP US N 2 2029-08-15 Fixed 3.875 N N N N N N VICI PROPERTIES LP / VICI NOTE CO INC N/A 92564RAL9 4250000.000000 PA USD 3574270.400000 1.1256422 Long DBT CORP US N 2 2029-02-15 Fixed 3.875 N N N N N N VIRGIN AUSTRALIA HOLDINGS PTY LIMITED 254900SNPW6V9967CJ18 92765YAH0 900000.000000 PA USD 52875.000000 0.0166519 Long DBT CORP AU N 2 2024-11-15 Fixed 8.125 Y Y N N N N VIRGIN MEDIA (VMED O2 UK FINANCING I PLC) 213800MRR46ECNGZ7L69 ACI1RCNW2 1175000.000000 PA 874155.250000 0.2752970 Long DBT CORP GB N 2 2031-01-31 Fixed 3.25 N N N N N N ARBYS RESTAURANT (IRB HOLDING CORP) 549300HVW4WNWYBXN830 44988LAF4 877779.200000 PA USD 850208.160000 0.2677554 Long LON CORP US N 2 2025-02-05 Floating 5.8653 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAA1 107462.340000 PA USD 96572.070000 0.0304134 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.73872 Y N N N N N WASHINGTON MUTUAL 2007-OA6 N/A 92927BAC6 58173.640000 PA USD 50542.570000 0.0159173 Long ABS-MBS CORP US N 2 2047-07-25 Floating 1.90202 Y N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2V4 200000.000000 PA USD 181340.450000 0.0571094 Long DBT CORP US N 2 2028-03-24 Floating 3.526 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3B7 6400000.000000 PA USD 5908932.100000 1.8608954 Long DBT CORP US N 2 2033-07-25 Floating 4.897 N N N N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166BR4 142000.000000 PA USD 153455.130000 0.0483275 Long DBT CORP US N 2 2032-03-15 Fixed 7.375 N N N N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166CB8 3025000.000000 PA USD 2223325.780000 0.7001902 Long DBT CORP US N 2 2052-03-09 Fixed 4 N N N N N N WHITE CAP PARENT LLC N/A 96351CAA4 950000.000000 PA USD 806679.180000 0.2540468 Long DBT CORP US N 2 2026-03-15 Fixed 8.25 N N Y N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 98313RAH9 300000.000000 PA USD 200418.000000 0.0631175 Long DBT CORP KY N 2 2028-08-26 Fixed 5.625 N N N N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 98313RAD8 1000000.000000 PA USD 691900.000000 0.2178995 Long DBT CORP KY N 2 2027-10-01 Fixed 5.5 N N N N N N YANGO JUSTICE INTERNATIONAL LIMITED 3003007ELD2HAYCXPT77 ACI1HZL46 600000.000000 PA USD 38612.410000 0.0121602 Long DBT CORP HK N 2 2023-04-15 Fixed 9.25 Y Y N N N N YANGO JUSTICE INTERNATIONAL LIMITED 3003007ELD2HAYCXPT77 ACI1NX2H6 700000.000000 PA USD 37832.050000 0.0119144 Long DBT CORP HK N 2 2024-04-15 Fixed 7.5 Y Y N N N N YANGO JUSTICE INTERNATIONAL LIMITED 3003007ELD2HAYCXPT77 ACI1K5H01 200000.000000 PA USD 10959.190000 0.0034514 Long DBT CORP HK N 2 2023-11-25 Fixed 8.25 Y Y N N N N ARGENT SECURITIES INC 2005-W5 N/A 040104QN4 428278.750000 PA USD 395754.750000 0.1246347 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.544 N N N N N N N/A N/A 000000000 1144000.000000 PA USD 1144000.000000 0.3602790 Long RA US N 2 Repurchase N 1.1500000 2022-10-03 918500.000000 USD 1167003.780000 USD UST N N N N/A N/A 000000000 64600000.000000 PA USD 64600000.000000 20.3444274 Long RA US N 2 Repurchase N 2.8500000 2022-10-03 69924800.000000 USD 65846763.990000 USD UST N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1T4 233000.000000 PA USD 40775.000000 0.0128412 Long DBT NUSS AR N 2 2030-07-09 Variable 0.5 N N N N N N N/A N/A 000000000 1202500.000000 PA USD 1202500.000000 0.3787024 Long RA US N 2 Repurchase N 2.9000000 2022-10-03 1300000.000000 USD 1119495.820000 USD CDS N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1M9 153000.000000 PA USD 29253.600000 0.0092128 Long DBT NUSS AR N 2 2035-07-09 Variable 1.5 N N N N N N N/A N/A 000000000 1.000000 NC -23049.810000 -0.0072591 N/A DCR BE N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ANHEUSER-BUSCH INBEV SA/NV ANHEUSER-BUSCH INBEV NV Y Single Leg Swap 2023-12-21 0.000000 EUR -68524.090000 EUR 3300000.000000 EUR 45474.280000 N N N N/A N/A 000000000 1.000000 NC USD -1566.190000 -0.0004932 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2027-06-22 0.000000 USD -1004.650000 USD 100000.000000 USD -561.540000 N N N N/A N/A 000000000 1.000000 NC USD -55149.720000 -0.0173683 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 AUTOZONE INC AUTOZONE INC Y Single Leg Swap 2024-06-21 0.000000 USD -118242.570000 USD 4400000.000000 USD 63092.850000 N N N N/A N/A 000000000 1.000000 NC -8631.630000 -0.0027184 N/A DFE CH N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 204438.400000 USD 192442.940000 CHF 2022-11-16 -8631.630000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HX1 28570.000000 PA USD 5578.290000 0.0017568 Long DBT NUSS AR N 2 2029-07-09 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC -16684.410000 -0.0052544 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 893829.250000 USD 895000.000000 EUR 2022-10-04 -16684.410000 N N N N/A N/A 000000000 1.000000 NC -14189.870000 -0.0044688 N/A DFE PE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 525761.550000 USD 2050470.040000 PEN 2022-11-21 -14189.870000 N N N N/A N/A 000000000 1.000000 NC -3776.680000 -0.0011894 N/A DFE ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 30096.000000 USD 477879.460000 ZAR 2022-11-08 -3776.680000 N N N N/A N/A 000000000 1.000000 NC 48368.870000 0.0152328 N/A DFE ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 22543949.780000 ZAR 1276771.240000 USD 2023-03-13 48368.870000 N N N N/A N/A 000000000 1.000000 NC 1014.420000 0.0003195 N/A DFE ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 587111.480000 ZAR 33175.030000 USD 2023-01-09 1014.420000 N N N N/A N/A 000000000 1.000000 NC 1847.750000 0.0005819 N/A DFE ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1239597.000000 ZAR 69750.000000 USD 2023-01-09 1847.750000 N N N N/A N/A 000000000 1.000000 NC 95792.230000 0.0301678 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 8004485.430000 ZAR 536641.130000 USD 2022-11-08 95792.230000 N N N N/A N/A 000000000 1.000000 NC USD 27785.670000 0.0087505 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BATH & BODY WORKS INC BATH BODY WORKS INC SR UNSEC Y Single Leg Swap 2023-12-21 81279.620000 USD 0.000000 USD 1050000.000000 USD -53493.950000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HV5 1800000.000000 PA USD 387900.000000 0.1221610 Long DBT NUSS AR N 2 2041-07-09 Variable 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -22589.550000 -0.0071141 N/A DFE N/A N 2 BNP Paribas S.A. N/A 1103584.810000 USD 1103000.000000 EUR 2022-10-04 -22589.550000 N N N N/A N/A 000000000 1.000000 NC -2496.240000 -0.0007861 N/A DFE ID N 2 BNP Paribas S.A. N/A 91465.000000 USD 1364749265.000000 IDR 2022-11-14 -2496.240000 N N N N/A N/A 000000000 1.000000 NC 325.220000 0.0001024 N/A DFE MX N 2 BNP Paribas S.A. N/A 65083.840000 USD 1338000.000000 MXN 2022-12-30 325.220000 N N N N/A N/A 000000000 1.000000 NC -31401.550000 -0.0098893 N/A DFE NO N 2 BNP Paribas S.A. N/A 284470.000000 USD 2753852.940000 NOK 2022-11-16 -31401.550000 N N N N/A N/A 000000000 1.000000 NC -37012.500000 -0.0116563 N/A DFE NO N 2 BNP Paribas S.A. N/A 301859.000000 USD 2882019.900000 NOK 2022-11-16 -37012.500000 N N N N/A N/A 000000000 1.000000 NC -4046.810000 -0.0012745 N/A DFE ZA N 2 BNP Paribas S.A. N/A 33024.000000 USD 526138.370000 ZAR 2022-11-08 -4046.810000 N N N N/A N/A 000000000 1.000000 NC -8371.540000 -0.0026364 N/A DFE ZA N 2 BNP Paribas S.A. N/A 75277.000000 USD 1214801.230000 ZAR 2022-11-08 -8371.540000 N N N N/A N/A 000000000 1.000000 NC 23103.240000 0.0072759 N/A DFE GB N 2 BNP Paribas S.A. N/A 575000.000000 GBP 665119.460000 USD 2022-10-04 23103.240000 N N N N/A N/A 000000000 1.000000 NC -4977.890000 -0.0015677 N/A DFE GB N 2 BNP Paribas S.A. N/A 154000.000000 GBP 166970.800000 USD 2022-10-04 -4977.890000 N N N N/A N/A 000000000 1.000000 NC -293.240000 -0.0000923 N/A DFE MX N 2 BNP Paribas S.A. N/A 1338000.000000 MXN 66107.050000 USD 2022-10-07 -293.240000 N N N N/A N/A 000000000 1.000000 NC -19498.210000 -0.0061406 N/A DFE PE N 2 BNP Paribas S.A. N/A 3241373.410000 PEN 794045.570000 USD 2022-10-05 -19498.210000 N N N N/A N/A 000000000 1.000000 NC 45267.700000 0.0142561 N/A DFE ZA N 2 BNP Paribas S.A. N/A 3843656.680000 ZAR 256957.990000 USD 2022-11-08 45267.700000 N N N N/A N/A 000000000 1.000000 NC USD -4770.770000 -0.0015025 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BOMBARDIER INC BOMBARDIER INC SR UNSEC REGS Y Single Leg Swap 2024-12-21 0.000000 USD -12000.000000 USD 400000.000000 USD 7229.230000 N N N N/A N/A 000000000 1.000000 NC USD 4179.820000 0.0013163 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 CDX.NA.HY.31 N/A N/A Y Single Leg Swap 2023-12-21 11650.000000 USD 0.000000 USD 100000.000000 USD -7470.180000 N N N N/A N/A 000000000 1.000000 NC USD 8359.630000 0.0026327 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 CDX.NA.HY.31 N/A N/A Y Single Leg Swap 2023-12-21 20700.000000 USD 0.000000 USD 200000.000000 USD -12340.370000 N N N N/A N/A 000000000 1.000000 NC USD 16719.290000 0.0052654 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CDX.NA.HY.31 N/A N/A Y Single Leg Swap 2023-12-21 47560.000000 USD 0.000000 USD 400000.000000 USD -30840.710000 N N N N/A N/A 000000000 1.000000 NC USD 37618.370000 0.0118471 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 CDX.NA.HY.31 N/A N/A Y Single Leg Swap 2023-12-21 111970.000000 USD 0.000000 USD 900000.000000 USD -74351.630000 N N N N/A N/A 000000000 1.000000 NC USD 4179.820000 0.0013163 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CDX.NA.HY.31 N/A N/A Y Single Leg Swap 2023-12-21 11880.000000 USD 0.000000 USD 100000.000000 USD -7700.180000 N N N N/A N/A 000000000 1.000000 NC USD -74239.430000 -0.0233802 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.38 Y Single Leg Swap 2027-06-22 66953.700000 USD 0.000000 USD 3564000.000000 USD -141193.130000 N N N N/A N/A 000000000 1.000000 NC USD -58850.640000 -0.0185338 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.39 Y Single Leg Swap 2027-12-21 0.000000 USD -66520.000000 USD 1500000.000000 USD 7669.360000 N N N N/A N/A OP001VGZ6 -400000.000000 NC USD -391.730000 -0.0001234 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 20.270000 N N N N/A N/A OP001W3G0 -700000.000000 NC USD -1642.170000 -0.0005172 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 -784.670000 N N N N/A N/A OP001VPN3 -500000.000000 NC USD -583.560000 -0.0001838 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 31.440000 N N N N/A N/A OP001WKR7 -800000.000000 NC USD -1325.300000 -0.0004174 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 -84.900000 N N N N/A N/A OP001SYF7 -400000.000000 NC USD -24.820000 -0.0000078 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 567.180000 N N N N/A N/A OP001W6V4 -500000.000000 NC USD -1041.600000 -0.0003280 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 -310.350000 N N N N/A N/A OP001WXH5 -200000.000000 NC USD -266.280000 -0.0000839 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 33.720000 N N N N/A N/A 000000000 5979.000000 NC 26.710000 0.0000084 N/A DE GB Y 3 None N/A Call Purchased CINEWORLD GROUP PLC CINEWORLD GROUP PLC N/A 0.410000 GBP 2025-11-23 XXXX 26.710000 N N N N/A N/A 000000000 1.000000 NC -7873.670000 -0.0024796 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 316965.270000 USD 1667348.260000 BRL 2022-10-04 -7873.670000 N N N N/A N/A 000000000 1.000000 NC -14969.740000 -0.0047144 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 317680.910000 USD 1667348.260000 BRL 2023-01-04 -14969.740000 N N N N/A N/A 000000000 1.000000 NC 4541.220000 0.0014302 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1336167.320000 USD 1368000.000000 EUR 2022-10-04 4541.220000 N N N N/A N/A 000000000 1.000000 NC 90.820000 0.0000286 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 382574.070000 USD 7799917.170000 MXN 2022-12-09 90.820000 N N N N/A N/A 000000000 1.000000 NC -4810.350000 -0.0015149 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 181157.570000 USD 708000.000000 PEN 2022-12-06 -4810.350000 N N N N/A N/A 000000000 1.000000 NC -16088.520000 -0.0050667 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 829632.300000 USD 3241373.410000 PEN 2022-10-05 -16088.520000 N N N ASSET BACKED FUNDING CERT 2004-FF1 N/A 04542BHM7 455918.900000 PA USD 436101.750000 0.1373412 Long ABS-MBS CORP US N 2 2034-03-25 Floating 4.134 Y N N N N N N/A N/A 000000000 1.000000 NC 14979.980000 0.0047176 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1667348.260000 BRL 324071.580000 USD 2022-10-04 14979.980000 N N N ASSET BACKED FUNDING CERT 2007-WMC1 N/A 04545EAC7 299883.230000 PA USD 248981.440000 0.0784115 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.084 N N N N N N N/A N/A 000000000 1.000000 NC -156430.230000 -0.0492644 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14699138.600000 PEN 3504801.760000 USD 2022-12-06 -156430.230000 N N N N/A N/A 000000000 1.000000 NC 16487.990000 0.0051925 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3241373.410000 PEN 820850.240000 USD 2023-01-25 16487.990000 N N N N/A N/A 000000000 1.000000 NC 334.530000 0.0001054 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 27000.000000 PLN 5770.480000 USD 2022-10-17 334.530000 N N N N/A N/A 000000000 1.000000 NC 1248.420000 0.0003932 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 526488.980000 ZAR 30049.540000 USD 2023-01-25 1248.420000 N N N N/A N/A 000000000 1.000000 NC USD -4187.470000 -0.0013188 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CONOCOPHILLIPS CONOCOPHILLIPS GLBL CO GTD Y Single Leg Swap 2024-12-21 0.000000 USD 0.000000 USD 300000.000000 USD -4187.470000 N N N N/A N/A 000000000 1.100000 NC USD 0.000000 0.0000000 N/A DE US Y 3 None N/A Call Purchased CONSTELLATION OIL SERVICES HOLDING SA CONSTELLATION CLASS D EQUITY PLACEHOLDER N/A 0.010000 USD 2071-06-10 XXXX 0.000000 N N N N/A N/A 000000000 1.000000 NC 212379.710000 0.0668846 N/A DFE ZA N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 24327475.510000 ZAR 1548357.000000 USD 2022-12-12 212379.710000 N N N N/A N/A 000000000 1.000000 NC USD 50.230000 0.0000158 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 DISH DBS CORPORATION DISH DBS CORP COMPANY GUARNT Y Single Leg Swap 2022-12-21 22969.780000 USD 0.000000 USD 400000.000000 USD -22919.550000 N N N N/A N/A 000000000 -1.000000 NC 6271.480000 0.0019751 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-12-08 -135727.140000 EUR 6271.480000 N N N N/A N/A 000000000 1.000000 NC 1033.150000 0.0003254 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 65367.140000 USD 1338000.000000 MXN 2022-10-07 1033.150000 N N N N/A N/A 000000000 1.000000 NC -13995.140000 -0.0044075 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1681932.880000 USD 6696447.550000 PEN 2022-12-06 -13995.140000 N N N N/A N/A 000000000 1.000000 NC -3653.780000 -0.0011507 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 31524.000000 USD 506039.010000 ZAR 2022-11-08 -3653.780000 N N N N/A N/A 000000000 1.000000 NC 2025.310000 0.0006378 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 358898.320000 ZAR 21476.000000 USD 2023-05-12 2025.310000 N N N N/A N/A 000000000 1461.000000 NC USD 0.000000 0.0000000 N/A DE US N 3 None N/A Call Purchased GUARANTEED RATE INC GUARANTEED RATE INC N/A 0.010000 USD 2060-12-31 XXXX -191824.460000 N N N N/A N/A 000000000 1.000000 NC USD -16298.370000 -0.0051328 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 HUARONG FINANCE 2019 CO LTD HUARONG FINANCE 2019 Y Single Leg Swap 2024-12-21 0.000000 USD -4006.010000 USD 200000.000000 USD -12292.360000 N N N N/A N/A 000000000 1.000000 NC USD 110356.800000 0.0347546 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A US SOFR COMPOUNDED INDEX Y 2023-03-20 1115.220000 USD 0.000000 USD 5900000.000000 USD 109241.580000 N N N N/A N/A 000000000 97.000000 NC USD 485.000000 0.0001527 N/A DE LU N 3 Luxembourg Stock Exchange N/A Call Purchased INTELSAT JACKSON HOLDINGS SA INTELSAT JACKSON HOLDINGS SA N/A 0.000000 USD 2025-12-05 XXXX 485.000000 N N N N/A N/A 000000000 97.000000 NC USD 412.250000 0.0001298 N/A DE LU N 3 Luxembourg Stock Exchange N/A Call Purchased INTELSAT JACKSON HOLDINGS SA INTELSAT JACKSON HOLDINGS SA N/A 0.000000 USD 2025-12-05 XXXX 412.250000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 BMGX73II0 900000.000000 PA 449024.390000 0.1414109 Long DBT NUSS AU N 2 2031-11-21 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC USD 7121.760000 0.0022429 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2024-12-21 1700.350000 USD 0.000000 USD 600000.000000 USD 5421.410000 N N N N/A N/A 000000000 1.000000 NC USD 17804.390000 0.0056071 N/A DCR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2024-12-21 3538.610000 USD 0.000000 USD 1500000.000000 USD 14265.780000 N N N N/A N/A OP001X4R3 -300000.000000 NC -563.580000 -0.0001775 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 186.250000 N N N N/A N/A OP001WWJ2 -300000.000000 NC -290.350000 -0.0000914 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 79.620000 N N N N/A N/A OP001T5G5 -400000.000000 NC -256.320000 -0.0000807 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 1.600000 EUR 2022-10-19 XXXX 1178.910000 N N N N/A N/A OP001XNK7 -500000.000000 NC -502.390000 -0.0001582 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 382.760000 N N N N/A N/A OP001WWK9 -300000.000000 NC -290.350000 -0.0000914 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 -13.810000 N N N N/A N/A OP001WV20 -300000.000000 NC -290.350000 -0.0000914 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 68.840000 N N N N/A N/A 000000000 1.000000 NC USD -66478.090000 -0.0209359 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 JOHNSON CONTROLS INTERNATIONAL PUBLIC LIMITED COMPANY JOHNSON CONTROLS INTL PL SR UNSEC Y Single Leg Swap 2024-12-21 0.000000 USD -153273.420000 USD 4200000.000000 USD 86795.330000 N N N N/A N/A 000000000 1.000000 NC -4744.310000 -0.0014941 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 230155.830000 USD 230000.000000 EUR 2022-10-04 -4744.310000 N N N N/A N/A 000000000 1.000000 NC 631.860000 0.0001990 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 160417.040000 USD 164000.000000 EUR 2022-11-02 631.860000 N N N N/A N/A 000000000 1.000000 NC -1024.080000 -0.0003225 N/A DFE ZA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 105349.330000 USD 1890000.000000 ZAR 2022-10-14 -1024.080000 N N N N/A N/A 000000000 1.000000 NC -1257.930000 -0.0003962 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 59967.920000 USD 900358351.000000 IDR 2022-11-07 -1257.930000 N N N N/A N/A 000000000 1.000000 NC USD -18510.760000 -0.0058296 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 LOWE`S COMPANIES INC LOWE'S COMPANIES INC Y Single Leg Swap 2023-12-21 0.000000 USD -45967.120000 USD 1900000.000000 USD 27456.360000 N N N N/A N/A 000000000 1.000000 NC USD 2356.310000 0.0007421 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 METLIFE INC METLIFE INC SR UNSEC Y Single Leg Swap 2024-12-21 3369.440000 USD 0.000000 USD 200000.000000 USD -1013.130000 N N N N/A N/A 000000000 1.000000 NC USD -4656.280000 -0.0014664 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2023-12-21 63704.350000 USD 0.000000 USD 5700000.000000 USD -68360.630000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAA9 1200000.000000 PA USD 998261.540000 0.3143817 Long DBT CORP US N 2 2027-11-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -19064.390000 -0.0060039 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 238051.760000 USD 342355.000000 AUD 2022-10-04 -19064.390000 N N N N/A N/A 000000000 1.000000 NC 117807.020000 0.0371009 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 7453080.000000 USD 7725000.000000 EUR 2022-10-04 117807.020000 N N N N/A N/A 000000000 1.000000 NC -1710.260000 -0.0005386 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 48273.000000 USD 714150762.000000 IDR 2022-11-10 -1710.260000 N N N 2022-11-03 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer