NPORT-P false 0000810893 XXXXXXXX S000032697 C000100908 C000100912 C000100911 C000100907 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO RAE PLUS Small Fund S000032697 UT17HYFPFUE66KKMZM55 2023-03-31 2022-12-31 N 325763735.750000 168454834.490000 157308901.260000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 81454720.970000 USD DKK EUR ARS HUF GBP N Russell 2000 Value Index RUJ BANC OF AMERICA FUNDING CORP 2004-A N/A 06051GAX7 3423.570000 PA USD 3165.300000 0.0020122 Long ABS-MBS CORP US N 2 2034-09-20 Floating 4.49602 N N N N N N N/A N/A 000000000 1.000000 NC USD 77616.740000 0.0493403 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2051-12-07 24000.000000 USD 0.000000 USD 1800000.000000 USD 53616.740000 N N N N/A N/A 000000000 1.000000 NC 241948.730000 0.1538049 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2053-03-15 200939.500000 EUR 0.000000 EUR 1100000.000000 EUR 41009.230000 N N N N/A N/A 000000000 1.000000 NC -360430.450000 -0.2291227 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2033-03-15 0.000000 EUR -281209.290000 EUR 2700000.000000 EUR -79221.160000 N N N BANC OF AMERICA FUNDING CORP 2007-B N/A 05952EAA4 15530.460000 PA USD 12177.770000 0.0077413 Long ABS-MBS CORP US N 2 2047-04-20 Floating 4.77286 Y N N N N N N/A N/A 000000000 1.000000 NC USD -924174.780000 -0.5874905 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-08-04 0.000000 USD -76045.620000 USD 12300000.000000 USD -848129.160000 N N N N/A N/A 000000000 1.000000 NC USD -1904022.610000 -1.2103718 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-07-21 0.000000 USD 0.000000 USD 25700000.000000 USD -1904022.610000 N N N N/A N/A 000000000 1.000000 NC USD 2150699.370000 1.3671822 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 1813352.510000 USD 0.000000 USD 14300000.000000 USD 337346.860000 N N N N/A N/A 000000000 1.000000 NC USD -901310.870000 -0.5729561 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-06-15 0.000000 USD -764428.480000 USD 10100000.000000 USD -136882.390000 N N N N/A N/A 000000000 -12.000000 NC USD 5608.560000 0.0035653 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-03-22 -1345593.740000 USD 5608.560000 N N N N/A N/A 000000000 -4.000000 NC USD -68.380000 -0.0000435 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-03-22 -534187.500000 USD -68.380000 N N N BANK OF AMERICA MTGE SEC 2003-D N/A 05948XBV2 741.010000 PA USD 687.100000 0.0004368 Long ABS-MBS CORP US N 2 2033-05-25 Floating 4.01375 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-A N/A 05948XT27 10025.780000 PA USD 9727.750000 0.0061839 Long ABS-MBS CORP US N 2 2034-02-25 Fixed 2.64149 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-L N/A 05949AZE3 13046.340000 PA USD 12351.090000 0.0078515 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.34841 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-2 N/A 07384MTD4 140504.430000 PA USD 135137.200000 0.0859056 Long ABS-MBS CORP US N 2 2033-01-25 Floating 4.33705 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-6 N/A 07384MXB3 12040.520000 PA USD 11280.630000 0.0071710 Long ABS-MBS CORP US N 2 2033-08-25 Floating 4.04525 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 847.060000 PA USD 787.640000 0.0005007 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.11107 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-1 N/A 07387AGZ2 7043.750000 PA USD 6754.810000 0.0042940 Long ABS-MBS CORP US N 2 2036-02-25 Floating 6.8 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4E9 1095.250000 PA USD 991.440000 0.0006303 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.81002 N N N N N N BEAR STEARNS ALT-A TRUST 2003-3 N/A 07386HCE9 846.880000 PA USD 793.870000 0.0005047 Long ABS-MBS CORP US N 2 2033-10-25 Floating 3.04389 N N N N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HYW5 24650.780000 PA USD 31810.510000 0.0202217 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.88871 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-8 N/A 07386HWZ0 225228.160000 PA USD 190307.980000 0.1209772 Long ABS-MBS CORP US N 2 2035-10-25 Variable 3.35367 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HXZ9 280056.400000 PA USD 246979.950000 0.1570032 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.33552 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-7 N/A 073875AA4 16885.270000 PA USD 14631.800000 0.0093013 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.72871 Y N N N N N BEAR STEARNS ARM 2003-1 N/A 07384MTM4 5529.160000 PA USD 5455.600000 0.0034681 Long ABS-MBS CORP US N 2 2033-04-25 Floating 2.84187 N N N N N N BEAR STEARNS ARM TR 2004-3 N/A 07384MR87 25476.850000 PA USD 22614.790000 0.0143760 Long ABS-MBS CORP US N 2 2034-07-25 Floating 3.84394 N N N N N N BEAR STEARNS ARM TR 2004-8 N/A 07384M2E1 6131.430000 PA USD 5855.520000 0.0037223 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.88717 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSH6 602.260000 PA USD 573.780000 0.0003647 Long ABS-MBS CORP US N 2 2033-02-25 Floating 4.33997 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE5 N/A 073859AC4 356644.470000 PA USD 355650.110000 0.2260839 Long ABS-MBS CORP US N 2 2047-06-25 Floating 4.62871 N N N N N N BHG SECURITIZATION TRUST 2022-C N/A 08860DAA1 729576.360000 PA USD 723875.160000 0.4601616 Long ABS-O CORP US N 2 2035-10-17 Fixed 5.32 N N N N N N BHG SECURITIZATION TRUST 2022-C N/A 08860DAB9 1200000.000000 PA USD 1180947.960000 0.7507191 Long ABS-O CORP US N 2 2035-10-17 Fixed 5.93 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2022-AHP N/A 05610FAC1 1000000.000000 PA USD 949601.200000 0.6036538 Long ABS-MBS CORP US N 2 2039-01-17 Floating 6.17561 N N N N N N CARNOW AUTO RECEIVABLES TRUST 2022-1A N/A 14367LAA9 30014.570000 PA USD 29923.440000 0.0190221 Long ABS-O CORP US N 2 2024-07-15 Fixed 3.44 N N N N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPB9 24389.620000 PA USD 22115.930000 0.0140589 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.8239 Y N N N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAN2 46109.810000 PA USD 38199.460000 0.0242831 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.7074 Y N N N N N CHASE MORTGAGE FINANCE CORP 2006-S3 N/A 16162XAA5 113224.340000 PA USD 51502.470000 0.0327397 Long ABS-MBS CORP US N 2 2036-11-25 Fixed 6 Y N N N N N CHASE MORTGAGE FINANCE CORP 2006-S4 N/A 16162YAE5 59137.890000 PA USD 28981.080000 0.0184230 Long ABS-MBS CORP US N 2 2036-12-25 Fixed 6 N N N N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 183203.150000 PA USD 175732.890000 0.1117120 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.68871 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2022-A N/A 17330VAA4 1067835.760000 PA USD 1045900.920000 0.6648708 Long ABS-MBS CORP US N 2 2062-09-25 Fixed 6.17 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-NC2 N/A 17309TAC2 1958016.840000 PA USD 1408223.330000 0.8951962 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.70871 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 180404.670000 PA USD 155209.190000 0.0986652 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.87113 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL2 N/A 17312TAJ2 957058.170000 PA USD 661277.810000 0.4203690 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.58871 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAB9 1416937.190000 PA USD 592543.720000 0.3766753 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.53871 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAB1 1632357.830000 PA USD 1216936.310000 0.7735966 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.56871 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-4 N/A 17307GWE4 4626.270000 PA USD 4514.910000 0.0028701 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.19429 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486D22 88000.000000 PA USD 89474.400000 0.0568782 Long DBT MUN US N 2 2042-01-01 Fixed 7.75 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACP8 19128.170000 PA USD 17095.770000 0.0108676 Long ABS-MBS CORP US N 2 2035-11-20 Floating 4.95286 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2 N/A 12668AKQ7 20623.930000 PA USD 12980.530000 0.0082516 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668AHE8 1000806.290000 PA USD 793769.890000 0.5045931 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.02871 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDC4 52127.480000 PA USD 47453.130000 0.0301656 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.52826 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 92564.990000 PA USD 75204.770000 0.0478071 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.94871 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB N/A 02152AAB5 46922.960000 PA USD 31437.060000 0.0199843 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.78871 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TRUST 2005-69 N/A 12668AN27 25330.080000 PA USD 22077.740000 0.0140346 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.04826 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GL84 11441.600000 PA USD 10288.240000 0.0065402 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.44826 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 233010.490000 PA USD 215350.760000 0.1368967 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.76871 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA2 N/A 126694S41 15538.160000 PA USD 12859.480000 0.0081747 Long ABS-MBS CORP US N 2 2046-05-20 Floating 4.81286 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB N/A 12667GTQ6 893.250000 PA USD 658.750000 0.0004188 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58 N/A 12668AWH4 186651.140000 PA USD 162940.060000 0.1035797 Long ABS-MBS CORP US N 2 2035-12-20 Floating 4.99286 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB N/A 02146TAG2 539865.790000 PA USD 323339.010000 0.2055440 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N COUNTRYWIDE ASSET BACKED CERT 2007-QH1 N/A 12669HAA7 228095.480000 PA USD 207197.780000 0.1317140 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.78871 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KK3 362723.870000 PA USD 333845.100000 0.2122226 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.92871 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-2 N/A 126670UW6 73298.540000 PA USD 72556.940000 0.0461239 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.98871 N N N N N N COUNTRYWIDE HOME LOANS 2004-12 N/A 12669FN66 5656.440000 PA USD 5612.580000 0.0035679 Long ABS-MBS CORP US N 2 2034-08-25 Floating 3.67957 N N N N N N COUNTRYWIDE HOME LOANS 2004-15 N/A 12669FL50 70946.080000 PA USD 65261.670000 0.0414863 Long ABS-MBS CORP US N 2 2034-10-20 Floating 3.95186 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 52972.300000 PA USD 47869.250000 0.0304301 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.79248 N N N N N N COUNTRYWIDE HOME LOANS 2004-29 N/A 12669GJB8 16724.130000 PA USD 13846.100000 0.0088019 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.04871 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 1009.670000 PA USD 1001.930000 0.0006369 Long ABS-MBS CORP US N 2 2035-02-20 Floating 3.67068 N N N N N N CQS US CLO 2022-2A LTD N/A 12664BAE7 700000.000000 PA USD 695120.510000 0.4418825 Long ABS-CBDO CORP JE N 2 2031-07-20 Floating 6.74695 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225436AA2 200000.000000 PA USD 157674.600000 0.1002325 Long DBT CORP CH N 2 2024-12-18 Floating 6.25 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-2 N/A 126384BX3 68510.630000 PA USD 41018.570000 0.0260752 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 5.75 Y N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP10 N/A 12597FAC4 340541.230000 PA USD 336241.900000 0.2137463 Long ABS-MBS CORP US N 2 2059-12-26 Fixed 2.96335 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-NET N/A 126438AE0 1300000.000000 PA USD 1173937.180000 0.7462624 Long ABS-MBS CORP US N 2 2037-08-15 Fixed 2.8159 N N N N N N CSFB MORTGAGE SECURITIES CORP 2005 8 N/A 225458W87 1003551.690000 PA USD 820514.000000 0.5215941 Long ABS-MBS CORP US N 2 2035-09-25 Fixed 5.25 N N N N N N CVS PASS-THROUGH TRUST N/A 126650BQ2 144657.570000 PA USD 147349.490000 0.0936689 Long DBT CORP US N 2 2030-01-10 Fixed 6.943 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR1 N/A 251510LD3 592486.910000 PA USD 547588.070000 0.3480973 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.04871 N N N N N N DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3 N/A 25151KAC3 884580.700000 PA USD 704603.380000 0.4479107 Long ABS-MBS CORP US N 2 2047-10-25 Floating 5.13871 N N N N N N EUROHOME UK MORTGAGES 2007-1 A N/A B1VBS4II2 66341.100000 PA 76523.180000 0.0486452 Long ABS-MBS CORP GB N 2 2044-06-15 Floating 3.9463 N N N N N N EUROPEAN LOAN CONDUIT 36A N/A ACI1G9KP9 480152.930000 PA 491631.120000 0.3125259 Long ABS-MBS CORP IE N 2 2030-02-17 Floating 2.803 N N N N N N FANNIE MAE 2005-79 N/A 31394FHD0 70259.780000 PA USD 69137.460000 0.0439501 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 4.79871 N N N N N N FANNIE MAE 2006-115 N/A 31396LT26 15276.320000 PA USD 16341.420000 0.0103881 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 9.00516 N N N N N N FANNIE MAE 2006-16 N/A 31394V6K1 271158.920000 PA USD 19154.750000 0.0121765 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 2.31129 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 8628.730000 PA USD 8449.740000 0.0053714 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.73871 N N N N N N FANNIE MAE 2007-65 N/A 31396WLX2 14783.870000 PA USD 14495.720000 0.0092148 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.76871 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 131271.460000 PA USD 130402.250000 0.0828957 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 5.10871 N N N N N N FANNIE MAE REMICS 2011-17 N/A 31397QZU5 696783.450000 PA USD 49343.770000 0.0313674 Long ABS-MBS USGSE US N 2 2041-03-25 Floating 1.46129 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 30453.380000 PA USD 29839.080000 0.0189685 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 4.78871 N N N N N N FANNIE MAE-ACES 2020-M33 N/A 3136BBAR3 469661.260000 PA USD 44973.140000 0.0285891 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.24086 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 5538.050000 PA USD 5415.220000 0.0034424 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 4.36614 N N N N N N FIDELITY GRAND HARBOUR CLO 2022-1 DESIGNATED ACTIVITY CO 22-1A N/A ACI27G891 1500000.000000 PA 1558691.470000 0.9908476 Long ABS-CBDO CORP IE N 2 2036-10-15 Fixed 6.25 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 15021.150000 PA USD 145945.440000 0.0927763 Long STIV RF US N 1 N N N FREDDIE MAC 2764 N/A 31394TYD1 93771.040000 PA USD 94603.200000 0.0601385 Long ABS-MBS USGSE US N 2 2034-03-15 Fixed 5.5 N N N N N N FREDDIE MAC 3181 N/A 31396URJ1 374404.040000 PA USD 31225.480000 0.0198498 Long ABS-MBS USGSE US N 2 2036-07-15 Floating 2.15214 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 184062.200000 PA USD 182604.910000 0.1160805 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 5.01786 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 105233.380000 PA USD 104521.940000 0.0664438 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 5.03786 N N N N N N FREDDIE MAC 3368 N/A 31397KL82 109493.180000 PA USD 108747.880000 0.0691302 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 5.03786 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 30259.080000 PA USD 30037.780000 0.0190948 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 5.02786 N N N N N N FREDDIE MAC REMICS 3844 N/A 3137A8VQ8 245000.000000 PA USD 247482.760000 0.1573228 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 5 N N N N N N FREDDIE MAC REMICS 3848 N/A 3137A9D52 64653.010000 PA USD 65163.060000 0.0414236 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 5 N N N N N N FREDDIE MAC-3136 N/A 31396NH41 61424.050000 PA USD 3544.820000 0.0022534 Long ABS-MBS USGSE US N 2 2036-04-15 Floating 2.38214 N N N N N N FREDDIE MAC-3289 N/A 31397FNM0 135835.950000 PA USD 132851.740000 0.0844528 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 4.69786 N N N N N N FREED ABS TRUST 2022-3FP N/A 35634EAA7 357044.310000 PA USD 355917.260000 0.2262537 Long ABS-O CORP US N 2 2029-08-20 Fixed 4.5 N N N N N N FREMONT HOME LOAN TRUST 2005-E N/A 35729PNC0 264169.180000 PA USD 244719.800000 0.1555664 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.04871 N N N N N N FREMONT HOME LOAN TRUST 2006-B N/A 35729QAD0 4243505.900000 PA USD 1471392.810000 0.9353525 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.70871 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H09 N/A 38380LFE8 379583.170000 PA USD 372058.010000 0.2365143 Long ABS-MBS USGSE US N 2 2068-04-20 Floating 2.85652 N N N N N N GREYSTONE COMMERCIAL REAL ESTATE NOTES 2019-FL2 N/A 39809LAA2 696972.040000 PA USD 686425.930000 0.4363554 Long ABS-CBDO CORP KY N 2 2037-09-15 Floating 5.49786 N N N N N N GS MORTGAGE SECURITIES CORP II 2022-GTWY N/A 36266DAA2 1300000.000000 PA USD 1311857.820000 0.8339374 Long ABS-MBS CORP US N 2 2039-08-15 Floating 7.736 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2018-HULA N/A 36259AAA7 878181.690000 PA USD 855975.200000 0.5441365 Long ABS-MBS CORP US N 2 2025-07-15 Floating 5.238 N N N N N N GSAA HOME EQUITY TRUST 2006-9 N/A 362382AE3 271300.250000 PA USD 61709.630000 0.0392283 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.62871 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAD3 1314757.260000 PA USD 657793.440000 0.4181540 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.55871 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAB4 635455.990000 PA USD 318774.340000 0.2026423 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.43871 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341WZ8 8000.360000 PA USD 7871.480000 0.0050038 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.06109 N N N N N N GSR MORTGAGE LOAN TRUST 2006-1F N/A 3623417Z6 1037543.960000 PA USD 475402.120000 0.3022093 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 6 Y N N N N N GSR MORTGAGE LOAN TRUST 2007-1F N/A 3622MPAN8 33282.700000 PA USD 40777.920000 0.0259222 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 5.5 Y N N N N N GSR MORTGAGE LOAN TRUST 2007-4F N/A 362669AK9 3106.870000 PA USD 2178.610000 0.0013849 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 Y N N N N N GSR MORTGAGE LOAN TRUST 2007-4F N/A 362669BJ1 275778.620000 PA USD 193382.280000 0.1229316 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 Y N N N N N GSR MTGE LOAN TRUST 2003-2F N/A 36228FNB8 207.710000 PA USD 197.450000 0.0001255 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 821696.880000 PA USD 731750.820000 0.4651681 Long ABS-MBS CORP US N 2 2035-05-19 Floating 4.77914 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-3 N/A 41161PMG5 198859.620000 PA USD 186474.440000 0.1185403 Long ABS-MBS CORP US N 2 2035-06-19 Floating 4.81914 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-11 N/A 41162GAA0 26359.260000 PA USD 22713.370000 0.0144387 Long ABS-MBS CORP US N 2 2036-12-19 Floating 4.67914 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAD1 542383.230000 PA USD 491113.860000 0.3121971 Long ABS-MBS CORP US N 2 2036-12-19 Floating 4.81914 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-3 N/A 41161QAD3 272076.800000 PA USD 156188.440000 0.0992877 Long ABS-MBS CORP US N 2 2036-06-19 Floating 3.52881 Y N N N N N HILTON ORLANDO TRUST 2018-ORL N/A 432885AG6 1000000.000000 PA USD 968604.600000 0.6157341 Long ABS-MBS CORP US N 2 2034-12-15 Floating 5.61786 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAD0 3684194.780000 PA USD 1008620.530000 0.6411719 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.60871 N N N N N N HSI ASSET SECURI CORP TRUS 2007-NC1 N/A 40430TAC6 687851.280000 PA USD 478513.990000 0.3041875 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.22357 N N N N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 ACI2BTZ49 165000000.000000 PA 442362.210000 0.2812061 Long DBT MUN HU N 2 2023-01-03 None 0 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-16IP N/A 45660LUD9 15317.560000 PA USD 12699.740000 0.0080731 Long ABS-MBS CORP US N 2 2045-07-25 Floating 5.02871 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR11 N/A 45661KAD2 554120.660000 PA USD 500585.950000 0.3182185 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.21519 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR39 N/A 45660KAA9 306009.140000 PA USD 269074.080000 0.1710482 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.74871 Y N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-E N/A 43709XAF8 116142.340000 PA USD 80957.780000 0.0514642 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.59871 N N N N N N INTOWN 2022-STAY MORTGAGE TRUST N/A 46117NAC6 1200000.000000 PA USD 1195930.200000 0.7602432 Long ABS-MBS CORP US N 2 2039-08-15 Floating 7.6223 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A 46651QAA5 212091.240000 PA USD 202029.290000 0.1284284 Long ABS-MBS CORP US N 2 2031-12-15 Floating 5.768 N N N N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849CJL6 350000.000000 PA USD 350144.660000 0.2225841 Long DBT CORP US N 2 2024-06-28 Floating 5.45315 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A2 N/A 46628GAL3 264456.410000 PA USD 151233.760000 0.0961381 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.13284 Y N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT N/A 46645WBA0 900000.000000 PA USD 801360.450000 0.5094184 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 4.5487 N N N N N N JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2 N/A 46628TAD3 262675.530000 PA USD 120527.060000 0.0766181 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.68871 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 8644.740000 PA USD 8613.400000 0.0054755 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.7084 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 8865.460000 PA USD 4413.170000 0.0028054 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BAG5 132012.980000 PA USD 99923.660000 0.0635207 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.61388 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BBC3 21464.080000 PA USD 15966.470000 0.0101498 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.59004 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAC9 94851.110000 PA USD 87892.480000 0.0558725 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.00057 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A2 N/A 46630PAE5 16245.440000 PA USD 12010.230000 0.0076348 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.4797 Y N N N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 271.920000 PA USD 249.390000 0.0001585 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.67459 N N N N N N LCCM 2021-FL2 TRUST N/A 50202KAA4 1200000.000000 PA USD 1164370.200000 0.7401807 Long ABS-CBDO CORP US N 2 2038-12-13 Floating 5.51786 N N N N N N LCRT 2019-2 N/A 52604MAA0 88975.680000 PA USD 88237.010000 0.0560916 Long ABS-O CORP US N 2 2025-08-15 Fixed 4 N N N N N N LCRT 2019-7 N/A 52605FAA4 171620.100000 PA USD 169353.500000 0.1076567 Long ABS-O CORP US N 2 2027-01-15 Fixed 3.75 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS1 N/A 52474JAA4 800215.290000 PA USD 735170.270000 0.4673418 Long ABS-MBS CORP US N 2 2066-10-25 Fixed 1.892 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-SL1 N/A 52475PAA9 90143.930000 PA USD 88448.930000 0.0562263 Long ABS-MBS CORP US N 2 2060-09-25 Variable 1.991 N N N N N N LEHMAN XS TRUST 2007-15N N/A 52524VAG4 252831.450000 PA USD 226231.230000 0.1438134 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.88871 N N N N N N LEHMAN XS TRUST 2007-16N N/A 52525BAD4 227418.890000 PA USD 189363.090000 0.1203766 Long ABS-MBS CORP US N 2 2047-09-25 Floating 6.08871 N N N N N N LENDINGCLUB RECEIVABLES TRUST SERIES 2019-5 N/A 52605CAA1 100178.540000 PA USD 98731.490000 0.0627628 Long ABS-O CORP US N 2 2045-12-15 Fixed 3.75 N N N N N N LONG BEACH MORTGAGE LOAN TR 2005-2 N/A 542514KV5 361938.360000 PA USD 356854.830000 0.2268497 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.36371 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-4 N/A 54251MAA2 230971.450000 PA USD 134405.890000 0.0854407 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.68871 N N N N N N LONG BEACH MORTGAGE LOAN TRUST 2006-3 N/A 542514UL6 1499951.960000 PA USD 507440.500000 0.3225758 Long ABS-MBS CORP US N 2 2046-05-25 Floating 4.92871 N N N N N N ACE SECURITIES CORP 2002-HE3 N/A 004421BH5 683.520000 PA USD 746.220000 0.0004744 Long ABS-MBS CORP US N 2 2032-10-25 Floating 6.18871 N N N N N N LUMINENT MORTGAGE TRUST 2006-1 N/A 550279AM5 134853.200000 PA USD 110770.550000 0.0704159 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.10871 Y N N N N N M360 2021-CRE3 LLC N/A 55379AAA2 1100000.000000 PA USD 1083687.000000 0.6888911 Long ABS-CBDO CORP KY N 2 2038-11-22 Floating 5.86129 N N N N N N MARLETTE FUNDING TRUST 2022-3A N/A 57109NAA7 667978.960000 PA USD 662949.680000 0.4214318 Long ABS-O CORP US N 2 2032-11-15 Fixed 5.18 N N N N N N MARLETTE FUNDING TRUST 2022-3A N/A 57109NAB5 300000.000000 PA USD 293007.090000 0.1862622 Long ABS-O CORP US N 2 2032-11-15 Fixed 5.95 N N N N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 47886.720000 PA USD 47693.650000 0.0303185 Long ABS-O CORP US N 2 2038-04-25 Floating 5.30843 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2003-4 N/A 576433EU6 206803.630000 PA USD 161660.300000 0.1027661 Long ABS-MBS CORP US N 2 2033-10-25 Floating 3.19954 N N N N N N ACE SECURITIES CORP 2006-HE4 N/A 00442BAB7 2452.870000 PA USD 966.620000 0.0006145 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.50871 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2005-6 N/A 576433C53 37195.260000 PA USD 31807.980000 0.0202201 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.6416 Y N N N N N MASTR ASSET BACKED SEC TR 2006-FRE2 N/A 57643GAE7 187728.270000 PA USD 132587.330000 0.0842847 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.86871 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC3 N/A 55275RAD4 1231700.690000 PA USD 649752.540000 0.4130425 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.70871 N N N N N N MASTR ASSET BACKED SEC TR 2007-WMC1 N/A 55275TAB4 5568321.540000 PA USD 1611498.420000 1.0244166 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.43871 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 4624.820000 PA USD 4329.430000 0.0027522 Long ABS-MBS CORP US N 2 2030-12-15 Floating 4.75786 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAE4 1805754.990000 PA USD 515953.320000 0.3279874 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.78871 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAF1 367803.440000 PA USD 107103.850000 0.0680851 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.98871 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 104127.960000 PA USD 84254.730000 0.0535601 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.82024 Y N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A3 N/A 589929R26 19533.750000 PA USD 18631.830000 0.0118441 Long ABS-MBS CORP US N 2 2033-05-25 Floating 3.01126 N N N N N N MF1 2022-FL9 LLC N/A 55285AAC1 1900000.000000 PA USD 1873618.120000 1.1910439 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 6.97102 N N N N N N MFA LLC 2018-NPL1 N/A 55282YAA6 253181.370000 PA USD 238814.010000 0.1518121 Long ABS-MBS CORP US N 2 2060-03-25 Fixed 2.3633 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-10 N/A 007036TD8 477866.120000 PA USD 372171.880000 0.2365867 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.7653 Y N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE5 N/A 61749NAD9 1693940.320000 PA USD 896892.440000 0.5701473 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.66871 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A 617526AA6 1866647.620000 PA USD 1264810.190000 0.8040296 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.52371 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAC4 1014344.090000 PA USD 502523.310000 0.3194500 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.51871 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAD2 926249.700000 PA USD 459148.920000 0.2918773 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.59871 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE4 N/A 61753VAA0 1236167.840000 PA USD 556314.590000 0.3536447 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.51871 N N N N N N MORGAN STANLEY DEAN WITTER CAP I2002-AM3 N/A 61746WWR7 166447.810000 PA USD 163144.520000 0.1037097 Long ABS-MBS CORP US N 2 2033-02-25 Floating 5.36871 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAP6 6590.810000 PA USD 6293.420000 0.0040007 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.38633 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2006-16AX N/A 617487AC7 132308.440000 PA USD 41075.900000 0.0261116 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.72871 N N N N N N MORGAN STANLEY MTGE LN TR 2007-7AX N/A 61754HAD4 145547.250000 PA USD 43475.300000 0.0276369 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.10871 N N N N N N MORGAN STANLEY RE-REMIC TRUST 2010-R4 N/A 61759FAU5 106555.130000 PA USD 96412.670000 0.0612888 Long ABS-MBS CORP US N 2 2037-02-26 Floating 2.70216 N N N N N N MORGAN STANLEY REREMIC TRUST 2011-R2 N/A 61760JAA8 92278.970000 PA USD 52376.430000 0.0332953 Long ABS-MBS CORP US N 2 2037-05-26 Floating 5.25 N N N N N N MORTGAGE EQUITY CONVER ASSET TR 2007-FF3 N/A 61911GAA2 469979.130000 PA USD 410229.270000 0.2607794 Long ABS-MBS CORP US N 2 2042-05-25 Floating 5.14 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A N/A 64830TAD0 230475.310000 PA USD 213290.100000 0.1355868 Long ABS-MBS CORP US N 2 2059-10-25 Variable 3.5 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AP2 N/A 65535VLL0 10936.880000 PA USD 5705.880000 0.0036272 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.476 Y N N N N N NOMURA HOME EQUITY LOAN INC 2006-AF1 N/A 65535AAD6 649057.620000 PA USD 147007.330000 0.0934514 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.71871 Y N N N N N NOVASTAR HOME EQUITY LOAN 2006-3 N/A 66988WAD8 911110.600000 PA USD 515059.110000 0.3274189 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.70871 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 11362302.970000 PA 1261649.400000 0.8020203 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N OPORTUN ISSUANCE TRUST 2022-2 N/A 68377HAA2 360594.330000 PA USD 357696.850000 0.2273850 Long ABS-O CORP US N 2 2029-10-09 Fixed 5.94 N N N N N N OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5 N/A 69121PBU6 126989.780000 PA USD 116338.800000 0.0739556 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.28871 N N N N N N PAGAYA AI DEBT TRUST 2022-2 N/A 69546VAA5 230641.880000 PA USD 227276.420000 0.1444778 Long ABS-O CORP US N 2 2030-01-15 Fixed 4.97 N N N N N N PAGAYA AI DEBT TRUST 2022-3 N/A 69547MAA4 1796860.580000 PA USD 1775519.270000 1.1286833 Long ABS-O CORP US N 2 2030-03-15 Fixed 6.06 N N N N N N PHH ALTERNATIVE MORTGAGE TRUST 2007-1 N/A 69337BAA2 717463.130000 PA USD 501866.460000 0.3190325 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.70871 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL1 LLC N/A 741389AA8 301477.690000 PA USD 276049.800000 0.1754826 Long ABS-MBS CORP US N 2 2060-09-27 Fixed 2.2395 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-NPL2 N/A 693971AA1 445430.070000 PA USD 430106.960000 0.2734155 Long ABS-MBS CORP US N 2 2052-04-25 Fixed 5.24 N N N N N N PRIME MORTGAGE TRUST 2006-1 N/A 74161BAH8 5650.440000 PA USD 5490.790000 0.0034905 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 Y N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAF3 1602446.830000 PA USD 600012.500000 0.3814231 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.586 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 437760.830000 PA USD 423155.070000 0.2689963 Long ABS-O CORP US N 2 2030-09-25 Fixed 4.32 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST VII 2022-3A N/A 76088TAA9 685015.730000 PA USD 667872.800000 0.4245614 Long ABS-O CORP US N 2 2030-11-25 Fixed 5.38 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA5 N/A 75115BAB5 914603.390000 PA USD 388657.140000 0.2470662 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.74871 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 471421.080000 PA USD 414870.300000 0.2637297 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.75871 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS8 N/A 75115AAA9 57653.300000 PA USD 45191.200000 0.0287277 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA2 N/A 74922PAC8 250297.810000 PA USD 217586.710000 0.1383181 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.68871 N N N N N N SEC ASSET BACKED REC LLC 2006-FR4 N/A 81377GAA7 989925.360000 PA USD 323322.290000 0.2055334 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.54871 Y N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4 N/A 81375WFJ0 633925.190000 PA USD 601262.770000 0.3822179 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.34871 Y N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 483454.590000 PA USD 202614.760000 0.1288006 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.86871 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAA1 860000.000000 PA USD 790552.330000 0.5025477 Long ABS-MBS CORP US N 2 2038-05-15 Floating 5.468 N N N N N N AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2 N/A 02660CAF7 123819.350000 PA USD 92273.880000 0.0586578 Long ABS-MBS CORP US N 2 2047-03-25 Variable 6.5 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2009-20E N/A 83162CSN4 20928.480000 PA USD 20314.690000 0.0129139 Long ABS-O CORP US N 2 2029-05-01 Fixed 4.43 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAB8 239452.240000 PA USD 171526.060000 0.1090377 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.46871 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAA9 1346502.500000 PA USD 1051438.160000 0.6683908 Long ABS-MBS CORP US N 2 2037-10-25 Floating 5.28871 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1 N/A 83612NAE5 565168.310000 PA USD 165557.800000 0.1052438 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.64871 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 4807.110000 PA USD 3991.330000 0.0025373 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.44826 Y N N N N N STRUCTURED ADJ RATE MTG LN 2006-7 N/A 86361BAF4 151259.410000 PA USD 106264.760000 0.0675517 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.68871 Y N N N N N STRUCTURED ADJ RATE MTGE LOAN 2005-21 N/A 863579C30 196367.630000 PA USD 177386.520000 0.1127632 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.67536 Y N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGG0 2371.920000 PA USD 2230.610000 0.0014180 Long ABS-MBS CORP US N 2 2034-02-25 Floating 3.7796 N N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YU6 44.530000 PA USD 44.550000 0.0000283 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.68871 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR6 N/A 86359LEV7 8598.970000 PA USD 7997.710000 0.0050841 Long ABS-MBS CORP US N 2 2035-02-19 Floating 5.03914 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 2334.400000 PA USD 1806.320000 0.0011483 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.94871 Y N N N N N STRUCTURED ASSET MTG INV INC 2006-AR2 N/A 86359LSM2 209245.900000 PA USD 181516.760000 0.1153887 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.84871 Y N N N N N STRUCTURED ASSET SEC CORP 2006-EQ1A N/A 86360RAA1 92162.800000 PA USD 90867.560000 0.0577638 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.52371 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC5 N/A 86359SAD6 58271.830000 PA USD 57006.630000 0.0362387 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.72871 N N N N N N THEOREM FUNDING TRUST 2022-1A N/A 88339XAA2 327456.060000 PA USD 319450.250000 0.2030719 Long ABS-O CORP US N 2 2028-02-15 Fixed 1.85 N N N N N N THEOREM FUNDING TRUST 2022-2A N/A 88339FAA1 723652.420000 PA USD 711843.210000 0.4525130 Long ABS-O CORP US N 2 2028-12-15 Fixed 6.06 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAC5 39478.320000 PA USD 36904.780000 0.0234601 Long ABS-MBS CORP US N 2 2047-06-25 Floating 6.66586 Y N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAE1 284686.690000 PA USD 234215.700000 0.1488890 Long ABS-MBS CORP US N 2 2047-06-25 Floating 6.66586 Y N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAG6 1001.430000 PA USD 955.130000 0.0006072 Long ABS-MBS CORP US N 2 2047-06-25 Floating 6.66586 Y N N N N N TIAA CLO IV LTD 2018-1A N/A 88631YAE7 1000000.000000 PA USD 968984.000000 0.6159753 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 5.94257 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796YB9 3211000.000000 PA USD 3189096.990000 2.0272832 Long DBT UST US N 2 2023-03-02 None 0 N N N N N N UPSTART SECURITIZATION TRUST 2022-3 N/A 91683TAB5 936555.220000 PA USD 913987.520000 0.5810145 Long ABS-O CORP US N 2 2032-06-20 Fixed 5.5 N N N N N N UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A N/A 91680YAY7 158586.040000 PA USD 151915.740000 0.0965716 Long ABS-O CORP US N 2 2030-06-17 Fixed 4.25 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1 N/A 03880XAA4 600000.000000 PA USD 584701.800000 0.3716902 Long ABS-CBDO CORP KY N 2 2037-01-15 Floating 5.25732 N N N N N N AREIT TRUST 2022-CRE6 N/A 04002VAA9 760549.020000 PA USD 726762.620000 0.4619971 Long ABS-MBS CORP KY N 2 2037-01-16 Floating 5.07571 N N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAK6 76352.900000 PA USD 68594.250000 0.0436048 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.21057 Y N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAE4 37375.040000 PA USD 33566.650000 0.0213380 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.22851 Y N N N N N WASHINGTON MUTUAL 2005-AR15 N/A 92922F5U8 18519.540000 PA USD 16057.930000 0.0102079 Long ABS-MBS CORP US N 2 2045-11-25 Floating 4.94871 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAA4 1585791.560000 PA USD 1325859.870000 0.8428384 Long ABS-MBS CORP US N 2 2046-10-25 Floating 2.92826 Y N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 18467.270000 PA USD 16385.680000 0.0104162 Long ABS-MBS CORP US N 2 2046-10-25 Floating 3.54826 N N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAD2 57533.450000 PA USD 53629.020000 0.0340915 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.03001 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAB3 153708.220000 PA USD 117344.620000 0.0745950 Long ABS-MBS CORP US N 2 2046-08-25 Floating 3.09626 N N N N N N WASHINGTON MUTUAL 2007-OA6 N/A 92927BAA0 144334.110000 PA USD 115652.860000 0.0735196 Long ABS-MBS CORP US N 2 2047-07-25 Floating 2.85826 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1 N/A 939336PL1 104.010000 PA USD 97.890000 0.0000622 Long ABS-MBS CORP US N 2 2033-02-25 Floating 2.975 N N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AB9 661325.530000 PA USD 559767.020000 0.3558394 Long ABS-MBS CORP US N 2 2047-02-25 Floating 2.79826 Y N N N N N WELLS FARGO ALTERNATIVE LOAN 2007-PA4 N/A 94984UAE6 12950.590000 PA USD 11355.060000 0.0072183 Long ABS-MBS CORP US N 2 2037-07-25 Floating 3.56256 Y N N N N N WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3 N/A 94985GAH9 403952.060000 PA USD 338253.260000 0.2150249 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6.25 Y N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR19 N/A 949789AA9 84211.540000 PA USD 80206.160000 0.0509864 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.56386 Y N N N N N ARGENT SECURITIES INC 2006-M2 N/A 04013BAB8 316559.680000 PA USD 105742.110000 0.0672194 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.49871 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1L3HY1 57347253.500000 PA 174879.280000 0.1111693 Long DBT NUSS AR N 2 2023-03-25 Fixed 1.4 N N N N N N N/A N/A 000000000 3436000.000000 PA USD 3436000.000000 2.1842375 Long RA US N 2 Repurchase N 1.9000000 2023-01-03 3587000.000000 USD 3504807.480000 USD UST N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1T4 497000.000000 PA USD 116173.750000 0.0738507 Long DBT NUSS AR N 2 2030-07-09 Variable 0.5 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1M9 326000.000000 PA USD 76202.500000 0.0484413 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 USD -20866.500000 -0.0132647 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -528917.300000 USD 2091138.400000 USD 508050.800000 N N N N/A N/A 000000000 1.000000 NC -3509.040000 -0.0022307 N/A DFE HU N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 49301334.000000 HUF 128667.000000 USD 2023-01-03 -3509.040000 N N N N/A N/A 000000000 1.000000 NC -2723.220000 -0.0017311 N/A DFE HU N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 35991355.000000 HUF 93769.000000 USD 2023-01-03 -2723.220000 N N N N/A N/A 000000000 1.000000 NC -647.120000 -0.0004114 N/A DFE HU N 2 BNP Paribas S.A. N/A 11839732.000000 HUF 31095.000000 USD 2023-01-03 -647.120000 N N N N/A N/A 000000000 1.000000 NC -3586.730000 -0.0022801 N/A DFE HU N 2 BNP Paribas S.A. N/A 51781278.000000 HUF 135238.000000 USD 2023-01-03 -3586.730000 N N N N/A N/A 000000000 1.000000 NC -1173.660000 -0.0007461 N/A DFE HU N 2 BNP Paribas S.A. N/A 15459000.000000 HUF 40271.660000 USD 2023-01-03 -1173.660000 N N N N/A N/A 000000000 1.000000 NC USD 1554.520000 0.0009882 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.39 Y Single Leg Swap 2027-12-20 0.000000 USD -450.000000 USD 200000.000000 USD 2004.520000 N N N N/A N/A 000000000 1.000000 NC 1619.130000 0.0010293 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1435754.570000 BRL 273555.220000 USD 2023-01-04 1619.130000 N N N N/A N/A 000000000 1.000000 NC -794.640000 -0.0005051 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 57000.000000 EUR 60246.970000 USD 2023-01-10 -794.640000 N N N N/A N/A 000000000 1.000000 NC USD 1191.060000 0.0007571 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CONSTELLATION ENERGY GENERATION LLC EXELON GENERATION CO LLC SR UNSEC Y Single Leg Swap 2024-12-20 839.720000 USD 0.000000 USD 100000.000000 USD 351.340000 N N N N/A N/A 000000000 1.000000 NC USD 2338874.850000 1.4868039 N/A DE US N 2 Wells Fargo Trust Company, National Association KB1H1DSPRFMYMCUFXT09 N/A ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL) Y 2023-07-26 0.000000 USD 0.000000 USD 63928357.030000 USD 2338874.850000 N N N N/A N/A 000000000 1.000000 NC USD -499628.360000 -0.3176097 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL) Y 2023-05-10 0.000000 USD 0.000000 USD 5831727.380000 USD -499628.360000 N N N N/A N/A 000000000 1.000000 NC USD -1160855.400000 -0.7379464 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL) Y 2023-02-15 0.000000 USD 0.000000 USD 13542630.380000 USD -1160855.400000 N N N N/A N/A 000000000 1.000000 NC USD 1806447.130000 1.1483439 N/A DE US N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL) Y 2023-07-19 0.000000 USD 0.000000 USD 43492122.630000 USD 1806447.130000 N N N N/A N/A 000000000 1.000000 NC USD -1353120.890000 -0.8601680 N/A DE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 N/A ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL) Y 2023-04-05 0.000000 USD 0.000000 USD 15810207.040000 USD -1353120.890000 N N N N/A N/A 000000000 -5.000000 NC 45778.520000 0.0291010 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2023-03-08 -711474.260000 EUR 45778.520000 N N N N/A N/A 000000000 -2.000000 NC 54719.320000 0.0347846 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2023-03-08 -289535.180000 EUR 54719.320000 N N N N/A N/A 000000000 1.000000 NC 2538.480000 0.0016137 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 269397.610000 USD 1435754.570000 BRL 2023-01-04 2538.480000 N N N N/A N/A 000000000 1.000000 NC 79.770000 0.0000507 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 12598.000000 USD 87633.820000 CNY 2023-01-19 79.770000 N N N N/A N/A 000000000 1.000000 NC 19623.110000 0.0124743 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 486010.800000 USD 9991069.850000 MXN 2023-03-21 19623.110000 N N N N/A N/A 000000000 1.000000 NC -2591.710000 -0.0016475 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1435754.570000 BRL 264682.050000 USD 2023-04-04 -2591.710000 N N N N/A N/A 000000000 1.000000 NC 2160.580000 0.0013735 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 422988.890000 USD 397000.000000 EUR 2023-01-10 2160.580000 N N N N/A N/A 000000000 1.000000 NC 284.550000 0.0001809 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 91262.890000 CNY 13599.000000 USD 2023-05-10 284.550000 N N N N/A N/A 000000000 1.000000 NC -35805.030000 -0.0227610 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 8555000.000000 DKK 1196275.080000 USD 2023-01-10 -35805.030000 N N N N/A N/A 000000000 1.000000 NC -53447.300000 -0.0339760 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2340519.000000 EUR 2453027.280000 USD 2023-01-10 -53447.300000 N N N N/A N/A 000000000 1.000000 NC 682.630000 0.0004339 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 71000.000000 GBP 86531.720000 USD 2023-01-10 682.630000 N N N N/A N/A 000000000 1.000000 NC -964.780000 -0.0006133 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 580000.000000 DKK 82566.080000 USD 2023-01-10 -964.780000 N N N N/A N/A 000000000 1.000000 NC -4998.920000 -0.0031778 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ROLLS-ROYCE PLC ROLLS-ROYCE PLC Y Single Leg Swap 2024-06-20 0.000000 EUR -25204.930000 EUR 400000.000000 EUR 20206.010000 N N N N/A N/A 000000000 1.000000 NC 29.280000 0.0000186 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 2197.670000 USD 43953.400000 MXN 2023-03-15 29.280000 N N N N/A N/A 000000000 1.000000 NC -21564.090000 -0.0137081 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 10373270.060000 MXN 500427.910000 USD 2023-04-20 -21564.090000 N N N N/A N/A 000000000 23.000000 NC USD -64703.550000 -0.0411315 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long RUSSELL 2000 INDEX N/A N/A 2023-03-17 2036535.000000 USD -64703.550000 N N N N/A N/A 000000000 44.000000 NC USD -267940.190000 -0.1703274 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long S&P 500 INDEX N/A N/A 2023-03-17 8494200.000000 USD -267940.190000 N N N 2023-02-09 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX