NPORT-P false 0000810893 XXXXXXXX S000009681 C000026531 C000026532 C000064135 C000200440 C000026529 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO RAE PLUS Fund S000009681 FI3TYFAC6Z35DQG3Y659 2023-03-31 2022-12-31 N 1629051781.620000 562350274.910000 1066701506.710000 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 82693614.330000 ARS DKK EUR GBP HUF JPY USD N Russell 1000 Value Index RLV BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BOC N/A 05551JAE0 2400000.000000 PA USD 2027905.920000 0.1901100 Long ABS-MBS CORP US N 2 2032-01-15 Fixed 2.829 N N N N N N BANC OF AMERICA FUNDING CORP 2004-A N/A 06051GAX7 880.240000 PA USD 813.840000 0.0000763 Long ABS-MBS CORP US N 2 2034-09-20 Floating 4.49602 N N N N N N BANC OF AMERICA FUNDING CORP 2006-7 N/A 05951KBD4 1939858.450000 PA USD 1699921.630000 0.1593624 Long ABS-MBS CORP US N 2 2036-10-25 Variable 6.4117 Y N N N N N BANC OF AMERICA FUNDING CORP 2006-I N/A 05951VAV1 98211.900000 PA USD 80402.050000 0.0075374 Long ABS-MBS CORP US N 2 2046-12-20 Floating 4.73286 Y N N N N N N/A N/A 000000000 1.000000 NC 1671645.780000 0.1567117 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2053-03-15 1104835.740000 EUR 0.000000 EUR 7600000.000000 EUR 566810.040000 N N N N/A N/A 000000000 1.000000 NC -2496314.590000 -0.2340218 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 -2309161.440000 EUR 18700000.000000 EUR -187153.150000 N N N BANC OF AMERICA FUNDING CORP 2007-B N/A 05952EAA4 3998.510000 PA USD 3135.320000 0.0002939 Long ABS-MBS CORP US N 2 2047-04-20 Floating 4.77286 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-D N/A 05952GAE1 255092.920000 PA USD 209711.120000 0.0196598 Long ABS-MBS CORP US N 2 2047-06-20 Floating 4.91286 Y N N N N N N/A N/A 000000000 1.000000 NC USD -19981124.410000 -1.8731692 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 269700000.000000 USD -19981124.410000 N N N N/A N/A 000000000 1.000000 NC USD -10538146.380000 -0.9879190 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-16 0.000000 USD -3631940.100000 USD 61300000.000000 USD -6906206.280000 N N N N/A N/A 000000000 1.000000 NC USD 1635000.900000 0.1532763 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2036-02-15 0.000000 USD 0.000000 USD 5500000.000000 USD 1635000.900000 N N N N/A N/A 000000000 1.000000 NC USD -4326470.790000 -0.4055934 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-12-16 1363199.350000 USD 0.000000 USD 45900000.000000 USD -5689670.140000 N N N N/A N/A 000000000 1.000000 NC USD 4249375.860000 0.3983660 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-03-15 182328.490000 USD 0.000000 USD 21700000.000000 USD 4067047.370000 N N N N/A N/A 000000000 1.000000 NC USD 8111441.740000 0.7604228 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-06-16 3998597.560000 USD 0.000000 USD 19600000.000000 USD 4112844.180000 N N N N/A N/A 000000000 1.000000 NC USD -11717953.340000 -1.0985222 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 1764164.780000 USD 0.000000 USD 68300000.000000 USD -13482118.120000 N N N N/A N/A 000000000 1.000000 NC USD 1912145.340000 0.1792578 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-17 0.000000 USD -1045304.700000 USD 24800000.000000 USD 2957450.040000 N N N N/A N/A 000000000 1.000000 NC USD 9708833.230000 0.9101734 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-17 0.000000 USD -4143829.760000 USD 125800000.000000 USD 13852662.990000 N N N N/A N/A 000000000 1.000000 NC USD 10970462.120000 1.0284472 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-07-21 0.000000 USD 0.000000 USD 57800000.000000 USD 10970462.120000 N N N N/A N/A 000000000 1.000000 NC USD 978407.420000 0.0917227 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-20 819387.610000 USD 0.000000 USD 11400000.000000 USD 159019.810000 N N N N/A N/A 000000000 1.000000 NC USD -3595588.110000 -0.3370754 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-12-15 0.000000 USD -181176.470000 USD 140000000.000000 USD -3414411.640000 N N N N/A N/A 000000000 1.000000 NC USD 325305.960000 0.0304964 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 0.000000 USD -106925.000000 USD 4700000.000000 USD 432230.960000 N N N N/A N/A 000000000 1.000000 NC USD 1917303.550000 0.1797413 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 0.000000 USD -438776.370000 USD 27700000.000000 USD 2356079.920000 N N N N/A N/A 000000000 1.000000 NC USD 2827145.510000 0.2650362 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-15 0.000000 USD -84477.080000 USD 98900000.000000 USD 2911622.590000 N N N N/A N/A 000000000 1.000000 NC USD -1750166.690000 -0.1640728 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2029-06-05 3405186.480000 USD 0.000000 USD 31700000.000000 USD -5155353.170000 N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 BF2PHRII3 2800000.000000 PA 2887855.640000 0.2707276 Long DBT CORP ES N 2 2023-09-24 Floating 5.875 N N N N Y BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) EUR XXXX N N N BANCO BTG PACTUAL SA/CAYMAN ISLANDS BRANCH 2549002JHJ73KGETOK78 05971AAE1 201000.000000 PA USD 194007.210000 0.0181876 Long DBT CORP BR N 2 2025-01-10 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 9189260.160000 0.8614650 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 8234351.850000 USD 0.000000 USD 61100000.000000 USD 954908.310000 N N N N/A N/A 000000000 1.000000 NC USD -3720136.140000 -0.3487514 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2024-06-15 0.000000 USD -3087876.300000 USD 77700000.000000 USD -632259.840000 N N N N/A N/A 000000000 1.000000 NC USD -1987154.150000 -0.1862896 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-06-15 0.000000 USD -1744461.480000 USD 7100000.000000 USD -242692.670000 N N N N/A N/A 000000000 1.000000 NC USD -2471911.990000 -0.2317342 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-06-15 0.000000 USD -2096501.860000 USD 27700000.000000 USD -375410.130000 N N N N/A N/A 000000000 1.000000 NC -8961.430000 -0.0008401 N/A DFE TR N 2 UBS AG BFM8T61CT2L1QCEMIK50 3084784.980000 TRY 154059.000000 USD 2023-01-18 -8961.430000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHQ5 166000.000000 PA USD 151099.090000 0.0141651 Long DBT CORP US N 2 2030-02-07 Floating 3.974 N N N N N N N/A N/A 000000000 32.000000 NC USD -13543.840000 -0.0012697 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-03-22 3588249.980000 USD -13543.840000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKN8 1300000.000000 PA USD 1289857.300000 0.1209202 Long DBT CORP US N 2 2026-04-02 Floating 5.64052 N N N N N N N/A N/A 000000000 -155.000000 NC USD -29865.090000 -0.0027998 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-03-31 -31774394.570000 USD -29865.090000 N N N N/A N/A 000000000 -231.000000 NC USD 71095.500000 0.0066650 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-03-31 -24907394.590000 USD 71095.500000 N N N N/A N/A 000000000 167.000000 NC USD -301619.860000 -0.0282759 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-03-22 20820203.130000 USD -301619.860000 N N N N/A N/A 000000000 -133.000000 NC USD 61109.110000 0.0057288 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-03-22 -17761734.380000 USD 61109.110000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBA2 2300000.000000 PA USD 2251240.000000 0.2110469 Long DBT CORP GB N 2 2023-09-15 Floating 7.75 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBT1 500000.000000 PA USD 382500.000000 0.0358582 Long DBT CORP GB N 2 2028-03-15 Floating 4.375 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI0SSSH6 1302000.000000 PA 1559855.070000 0.1462316 Long DBT CORP GB N 2 2023-03-15 Floating 7.25 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI1CH093 1200000.000000 PA 1375134.800000 0.1289147 Long DBT CORP GB N 2 2025-06-15 Floating 7.125 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAN5 700000.000000 PA USD 678171.400000 0.0635765 Long DBT CORP GB N 2 2026-01-12 Fixed 4.375 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAE5 700000.000000 PA USD 673033.210000 0.0630948 Long DBT CORP GB N 2 2025-03-16 Fixed 3.65 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBC8 6691000.000000 PA USD 6691308.590000 0.6272897 Long DBT CORP GB N 2 2024-05-16 Floating 6.02386 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBH7 500000.000000 PA USD 485128.000000 0.0454793 Long DBT CORP GB N 2 2025-05-07 Floating 3.932 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 200000.000000 PA USD 188187.810000 0.0176420 Long DBT CORP GB N 2 2029-05-16 Floating 4.972 N N N N N N BAT INTERNATIONAL FINANCE PLC 21380041YBGOQDFAC823 05530QAK6 614000.000000 PA USD 590235.980000 0.0553328 Long DBT CORP GB N 2 2025-06-15 Fixed 3.95 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 96544.270000 PA USD 77645.310000 0.0072790 Long ABS-MBS CORP US N 2 2036-01-26 Floating 3.52348 Y N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-2 N/A 07384MTD4 36162.190000 PA USD 34780.810000 0.0032606 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 3100.160000 PA USD 2904.510000 0.0002723 Long ABS-MBS CORP US N 2 2033-08-25 Floating 4.04525 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4E9 279.640000 PA USD 253.130000 0.0000237 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 217.890000 PA USD 204.250000 0.0000191 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 6353.610000 PA USD 8198.990000 0.0007686 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.88871 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSY8 2349.550000 PA USD 2185.040000 0.0002048 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.11517 N N N N N N BEAR STEARNS ARM 2003-1 N/A 07384MTM4 1424.720000 PA USD 1405.760000 0.0001318 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 6553.130000 PA USD 5816.950000 0.0005453 Long ABS-MBS CORP US N 2 2034-07-25 Floating 3.84394 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSH6 154.590000 PA USD 147.280000 0.0000138 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 2005-HE9 N/A 073879R59 1017901.750000 PA USD 982963.600000 0.0921498 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.40871 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE5 N/A 07388CAC4 15008.330000 PA USD 15003.160000 0.0014065 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.92871 N N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE7 N/A 07388HAP4 769855.900000 PA USD 740972.680000 0.0694639 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.70871 N N N N N N BELLA VISTA MORTGAGE TRUST 2005-1 N/A 07820QBL8 894172.220000 PA USD 761935.420000 0.0714291 Long ABS-MBS CORP US N 2 2045-01-22 Floating 4.96129 N N N N N N BENEFIT STREET PARTNERS CLO XII LTD 2017-12A N/A 08179HAE0 2000000.000000 PA USD 1974641.000000 0.1851165 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 5.02914 N N N N N N BENEFIT STREET PARTNERS CLO XII LTD 2017-12A N/A 08179HAG5 3300000.000000 PA USD 3196491.870000 0.2996613 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 5.57914 N N N N N N BHR 2018-PRME N/A 10482TAA0 2777000.000000 PA USD 2649006.130000 0.2483362 Long ABS-MBS CORP US N 2 2035-06-15 Floating 5.138 N N N N N N BLACK DIAMOND CLO 2019-1 DAC 19-1A N/A ACI20P3Q5 3700000.000000 PA 3840019.230000 0.3599900 Long ABS-CBDO CORP IE N 2 2032-05-15 Floating 2.778 N N N N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122CP1 52000.000000 PA USD 48239.100000 0.0045223 Long DBT CORP US N 2 2029-07-26 Fixed 3.4 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBH3 900000.000000 PA USD 710958.730000 0.0666502 Long DBT CORP US N 2 2031-02-15 Fixed 2.45 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBJ9 500000.000000 PA USD 356828.150000 0.0334515 Long DBT CORP US N 2 2041-02-15 Fixed 3.5 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBG5 200000.000000 PA USD 138936.210000 0.0130248 Long DBT CORP US N 2 2051-02-15 Fixed 3.75 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBK6 2400000.000000 PA USD 1930767.220000 0.1810035 Long DBT CORP US N 2 2033-04-15 Fixed 3.419 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBL4 1100000.000000 PA USD 880771.500000 0.0825696 Long DBT CORP US N 2 2034-04-15 Fixed 3.469 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 300000.000000 PA USD 221496.560000 0.0207646 Long DBT CORP US N 2 2035-11-15 Fixed 3.137 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBQ3 1600000.000000 PA USD 1154274.320000 0.1082097 Long DBT CORP US N 2 2036-11-15 Fixed 3.187 N N N N N N CAIXABANK SA (AKA: LA CAIXA) 7CUNS533WID6K7DGFI87 ACI0VK8S7 400000.000000 PA 418813.360000 0.0392625 Long DBT CORP ES N 2 2024-06-13 Floating 6.75 N N N N Y CAIXABANK SA (AKA: LA CAIXA) EUR XXXX N N N CARNOW AUTO RECEIVABLES TRUST 2022-1A N/A 14367LAA9 240116.730000 PA USD 239387.660000 0.0224419 Long ABS-O CORP US N 2 2024-07-15 Fixed 3.44 N N N N N N CARRINGTON MTGE LOAN TRUST 2007-FRE1 N/A 144527AC2 394868.450000 PA USD 354811.690000 0.0332625 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.64871 N N N N N N CATERPILLAR INCORPORATED WRJR7GS4GTRECRRTVX92 149123CG4 180000.000000 PA USD 158767.540000 0.0148840 Long DBT CORP US N 2 2029-09-19 Fixed 2.6 N N N N N N CC MORTGAGE FUNDING CORP 2005-AA N/A 16678RDC8 129316.770000 PA USD 116665.760000 0.0109371 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.63871 N N N N N N CC MORTGAGE FUNDING CORP 2005-BA N/A 16678REC7 215536.000000 PA USD 194495.380000 0.0182333 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.63871 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BP8 242000.000000 PA USD 243152.420000 0.0227948 Long DBT CORP US N 2 2024-02-01 Floating 6.08957 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175AY0 1670000.000000 PA USD 1638383.430000 0.1535934 Long DBT CORP US N 2 2025-07-23 Fixed 4.908 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AU2 157156.230000 PA USD 153942.830000 0.0144317 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.78829 N N N N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 391938.290000 PA USD 375956.690000 0.0352448 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.68871 N N N N N N CHENIERE CORPUS CHRISTI HOLDINGS LLC 549300I7CIEWU1BBLQ53 16412XAJ4 800000.000000 PA USD 724926.300000 0.0679596 Long DBT CORP US N 2 2029-11-15 Fixed 3.7 N N N N N N CITIBANK CREDIT CARD ISSUANCE TRUST 2018-A2 N/A 17305EGL3 1400000.000000 PA USD 1399859.860000 0.1312326 Long ABS-MBS CORP US N 2 2025-01-20 Floating 4.68286 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2022-A N/A 17330VAA4 6115786.520000 PA USD 5990159.700000 0.5615591 Long ABS-MBS CORP US N 2 2062-09-25 Fixed 6.17 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3 N/A 17307GWU8 4687000.000000 PA USD 4302177.150000 0.4033159 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.28871 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-NC2 N/A 17309TAC2 2806420.480000 PA USD 2018402.870000 0.1892191 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-AMC1 N/A 17311BAB9 364876.530000 PA USD 152586.370000 0.0143045 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.53871 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 10712.730000 PA USD 9941.280000 0.0009320 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.95 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 9036.430000 PA USD 8358.930000 0.0007836 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.41 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486D22 163000.000000 PA USD 165730.980000 0.0155368 Long DBT MUN US N 2 2042-01-01 Fixed 7.75 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-10CB N/A 12667GAW3 3288014.310000 PA USD 2485552.720000 0.2330130 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.88871 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2 N/A 12668AKQ7 5413.780000 PA USD 3407.390000 0.0003194 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 257645.760000 PA USD 204346.680000 0.0191569 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.02871 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 722767.730000 PA USD 587215.320000 0.0550496 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 12055.010000 PA USD 8076.520000 0.0007571 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 6497.310000 PA USD 5663.070000 0.0005309 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 12667GN58 1509978.960000 PA USD 1306297.140000 0.1224614 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.60826 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10 N/A 12668BUK7 238046.570000 PA USD 183527.310000 0.0172051 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.31732 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 393513.940000 PA USD 363689.750000 0.0340948 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.76871 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7 N/A 126680AA5 119832.790000 PA USD 100894.980000 0.0094586 Long ABS-MBS CORP US N 2 2047-05-25 Floating 4.74871 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58 N/A 12668AWH4 47996.010000 PA USD 41898.880000 0.0039279 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 138987.440000 PA USD 83243.020000 0.0078038 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-13 N/A 02150MAA3 3361121.760000 PA USD 1795237.310000 0.1682980 Long ABS-MBS CORP US N 2 2047-06-25 Fixed 6 Y N N N N N COUNTRYWIDE ASSET BACKED CERT 2007-BC2 N/A 12669QAA7 2266994.840000 PA USD 2204225.830000 0.2066394 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.58871 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAD8 4865664.630000 PA USD 4517270.390000 0.4234803 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.90871 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-16 N/A 23242FAA4 1172737.870000 PA USD 1083274.150000 0.1015536 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.66871 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-5 N/A 126670YE2 33415.360000 PA USD 33299.830000 0.0031218 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.78871 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-8 N/A 045427AD3 8331015.170000 PA USD 7791685.240000 0.7304466 Long ABS-MBS CORP US N 2 2046-01-25 Floating 4.88871 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-10 N/A 23246BAK7 1743128.090000 PA USD 1669900.500000 0.1565481 Long ABS-MBS CORP US N 2 2047-06-25 Floating 4.63871 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-7 N/A 12669VAE8 2900000.000000 PA USD 2533386.060000 0.2374972 Long ABS-MBS CORP US N 2 2047-10-25 Floating 4.67871 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-1 N/A 126670TW8 1300291.900000 PA USD 1250716.710000 0.1172509 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.97371 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-2 N/A 126670UW6 18819.900000 PA USD 18629.490000 0.0017465 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 537.320000 PA USD 533.150000 0.0000500 Long ABS-MBS CORP US N 2 2034-08-25 Floating 3.67957 N N N N N N COUNTRYWIDE HOME LOANS 2004-16 N/A 12669FW82 51760.230000 PA USD 47712.710000 0.0044729 Long ABS-MBS CORP US N 2 2034-09-25 Floating 5.18871 N N N N N N COUNTRYWIDE HOME LOANS 2004-29 N/A 12669GJB8 1513.280000 PA USD 1252.860000 0.0001175 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.04871 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JY5 7868.800000 PA USD 6529.520000 0.0006121 Long ABS-MBS CORP US N 2 2036-02-20 Floating 5.90986 Y N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A 12465MAA2 19998.140000 PA USD 9536.580000 0.0008940 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.50871 N N N N N N CREDIT SUISSE AG/ LONDON BRANCH ANGGYXNX0JLX3X63JN86 ACI2018R1 600000.000000 PA 631466.720000 0.0591981 Long DBT CORP CH N 2 2023-09-01 Floating 2.984 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225433AR2 1100000.000000 PA USD 971365.780000 0.0910626 Long DBT CORP CH N 2 2026-04-17 Fixed 4.55 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AP3 250000.000000 PA USD 194554.090000 0.0182389 Long DBT CORP CH N 2 2031-04-01 Floating 4.194 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AH1 2700000.000000 PA USD 2557479.200000 0.2397558 Long DBT CORP CH N 2 2024-06-12 Floating 5.97514 N N N N N N CREDIT SUISSE MORTGAGE TRUST 2020-RPL6 N/A 12656HAC8 880216.210000 PA USD 835941.950000 0.0783670 Long ABS-MBS CORP US N 2 2059-03-25 Variable 2.6875 N N N N N N CSMC 2021-RPL7 TRUST N/A 12598JAC5 3586592.650000 PA USD 3255519.300000 0.3051950 Long ABS-MBS CORP US N 2 2061-07-27 Fixed 1.92598 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAH7 1800000.000000 PA USD 1709523.000000 0.1602625 Long DBT CORP US N 2 2024-02-15 Fixed 1.625 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR1 N/A 251510LD3 1136013.240000 PA USD 1049925.820000 0.0984273 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 227611.210000 PA USD 181301.300000 0.0169964 Long ABS-MBS CORP US N 2 2047-10-25 Floating 5.13871 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BS7 5591000.000000 PA USD 5592590.080000 0.5242882 Long DBT CORP DE N 2 2023-02-27 Floating 5.96629 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CB3 600000.000000 PA USD 573767.020000 0.0537889 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI1J0CL3 3000000.000000 PA 2836385.010000 0.2659024 Long DBT CORP DE N 2 2027-01-20 Fixed 1.625 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI0ZWMV4 400000.000000 PA 366612.250000 0.0343688 Long DBT CORP DE N 2 2028-01-17 Fixed 1.75 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI1QTHL7 1700000.000000 PA 1660272.880000 0.1556455 Long DBT CORP DE N 2 2026-09-03 Floating 1.375 N N N N N N DISCOVER BANK/GREENWOOD BRANCH X05BVSK68TQ7YTOSNR22 25466AAP6 1006000.000000 PA USD 944195.900000 0.0885155 Long DBT CORP US N 2 2028-09-13 Fixed 4.65 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AN7 62000.000000 PA USD 62289.280000 0.0058394 Long DBT CORP US N 2 2027-06-15 Fixed 5.75 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAL7 28000.000000 PA USD 27933.800000 0.0026187 Long DBT CORP US N 2 2023-03-15 Fixed 4.25 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 1869000.000000 PA USD 1784177.250000 0.1672612 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N ERSTE GROUP BANK AG PQOH26KWDF7CG10L6792 BDRXT5II9 800000.000000 PA 837776.590000 0.0785390 Long DBT CORP AT N 2 2024-04-15 Floating 6.5 N N N N N N EUROHOME UK MORTGAGES 2007-1 A N/A B1VBS4II2 17133.550000 PA 19763.230000 0.0018527 Long ABS-MBS CORP GB N 2 2044-06-15 Floating 3.9463 N N N N N N EXPEDIA GROUP INC N/A 30212PAS4 264000.000000 PA USD 266452.020000 0.0249791 Long DBT CORP US N 2 2025-05-01 Fixed 6.25 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 1200000.000000 PA 1124165.750000 0.1053871 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FANNIE MAE 2006-115 N/A 31396LT26 3924.530000 PA USD 4198.160000 0.0003936 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 9.00516 N N N N N N FANNIE MAE 2006-118 N/A 31396L4R8 21905.810000 PA USD 21782.480000 0.0020420 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 4.07614 N N N N N N FANNIE MAE 2006-16 N/A 31394V6K1 69790.340000 PA USD 4930.010000 0.0004622 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 2.31129 N N N N N N FANNIE MAE 2006-5 N/A 31394VL73 5495.330000 PA USD 5460.960000 0.0005119 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 3.25659 N N N N N N FANNIE MAE 2007-14 N/A 31396PZU8 4313.240000 PA USD 4209.730000 0.0003946 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 4.73871 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 10160.640000 PA USD 9949.880000 0.0009328 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 17421.050000 PA USD 17081.500000 0.0016013 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 20543.260000 PA USD 20407.230000 0.0019131 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 5.10871 N N N N N N FANNIE MAE 2009-111 N/A 31398GRA9 5952.750000 PA USD 5937.380000 0.0005566 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 5.13871 N N N N N N FANNIE MAE 2009-47 N/A 31396QFA2 5080.320000 PA USD 5103.210000 0.0004784 Long ABS-MBS USGSE US N 2 2039-07-25 Floating 5.28871 N N N N N N FANNIE MAE 2009-99 N/A 31398F4R9 10744.800000 PA USD 10751.800000 0.0010079 Long ABS-MBS USGSE US N 2 2039-12-25 Floating 5.20871 N N N N N N FANNIE MAE REMICS 2011-17 N/A 31397QZU5 179353.060000 PA USD 12701.160000 0.0011907 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 33567.710000 PA USD 32890.590000 0.0030834 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 4.78871 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 141581.420000 PA USD 138441.330000 0.0129785 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 4.36614 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 3130AT5V5 13700000.000000 PA USD 13700000.000000 1.2843331 Long DBT USGSE US N 2 2023-01-03 Floating 4.31 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 3130AT5W3 13900000.000000 PA USD 13900024.050000 1.3030847 Long DBT USGSE US N 2 2023-01-04 Floating 4.31 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 3130ATF36 11100000.000000 PA USD 11100533.470000 1.0406410 Long DBT USGSE US N 2 2023-01-25 Floating 4.32 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 3130ATFZ5 10600000.000000 PA USD 10600079.610000 0.9937250 Long DBT USGSE US N 2 2023-01-24 Floating 4.33 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 3130ATLQ8 2700000.000000 PA USD 2700085.430000 0.2531247 Long DBT USGSE US N 2 2023-02-10 Floating 4.35 N N N N N N FHLMC PASS THRU POOLS N/A 31296UAX9 122149.750000 PA USD 124339.830000 0.0116565 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128KDFP5 111897.990000 PA USD 114634.790000 0.0107467 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128KLML8 7655.980000 PA USD 7928.850000 0.0007433 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128KYHK8 63591.110000 PA USD 65452.920000 0.0061360 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128L1WN6 20337.610000 PA USD 21062.750000 0.0019746 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128L1WP1 15951.230000 PA USD 16502.260000 0.0015470 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 312927PK6 3058.380000 PA USD 3133.750000 0.0002938 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3129285R1 30950.520000 PA USD 32015.560000 0.0030014 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 312935L98 20980.780000 PA USD 21089.210000 0.0019770 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 31292KYV3 78450.730000 PA USD 81314.930000 0.0076230 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7E66 13150.700000 PA USD 13211.090000 0.0012385 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7MM2 25113.110000 PA USD 25228.470000 0.0023651 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4AX1 89547.730000 PA USD 93686.760000 0.0087828 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4ZV8 1326.260000 PA USD 1378.080000 0.0001292 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5DD9 76584.850000 PA USD 77412.950000 0.0072572 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5R93 23855.300000 PA USD 24787.770000 0.0023238 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5TY6 657.710000 PA USD 678.900000 0.0000636 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5V56 880.480000 PA USD 914.810000 0.0000858 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6E87 76866.060000 PA USD 79870.770000 0.0074876 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6MZ8 80849.500000 PA USD 83997.360000 0.0078745 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6YJ1 987858.040000 PA USD 1010896.760000 0.0947685 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7P75 5593.910000 PA USD 5812.110000 0.0005449 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7ZR0 33872.830000 PA USD 35197.190000 0.0032996 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M75R3 8310.020000 PA USD 8634.100000 0.0008094 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M8AV6 5066.640000 PA USD 5264.270000 0.0004935 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M84A9 34080.060000 PA USD 35409.390000 0.0033195 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJFP0 2011.830000 PA USD 2090.420000 0.0001960 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 1006808.860000 PA USD 965608.980000 0.0905229 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132GDVQ2 80721.640000 PA USD 78745.260000 0.0073821 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWE64 92799.650000 PA USD 88729.420000 0.0083181 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132LAY63 303188.240000 PA USD 289532.840000 0.0271428 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 9957.750000 PA USD 10004.530000 0.0009379 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 2.88917 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-32 N/A 3133TSQG1 24328.480000 PA USD 24151.900000 0.0022642 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 4.64871 N N N N N N FIRST HORIZON ALT MTG SEC 2005-AA6 N/A 32051GQA6 97458.240000 PA USD 83878.560000 0.0078634 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.59227 Y N N N N N FNMA PASS THRU POOLS N/A 31371K3A7 861.130000 PA USD 886.670000 0.0000831 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MFZ5 62037.640000 PA USD 63397.550000 0.0059433 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 3.971 N N N N N N FNMA PASS THRU POOLS N/A 31371NV28 458.310000 PA USD 458.940000 0.0000430 Long ABS-MBS USGSE US N 2 2023-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31371N7L3 359.480000 PA USD 360.780000 0.0000338 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31385XNR4 244.550000 PA USD 250.600000 0.0000235 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31400GV44 5004.370000 PA USD 5022.490000 0.0004708 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31401YYE9 1473.950000 PA USD 1441.720000 0.0001352 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31402LPB2 39678.760000 PA USD 37833.440000 0.0035468 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 3.248 N N N N N N FNMA PASS THRU POOLS N/A 31402RNW5 15496.460000 PA USD 15475.300000 0.0014508 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 3.739 N N N N N N FNMA PASS THRU POOLS N/A 31402RTT6 12965.200000 PA USD 12794.280000 0.0011994 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 3.72 N N N N N N FNMA PASS THRU POOLS N/A 31403DGZ6 29340.420000 PA USD 30416.410000 0.0028514 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DJ75 525.260000 PA USD 544.850000 0.0000511 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403NVY0 38768.600000 PA USD 38041.930000 0.0035663 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 4.273 N N N N N N FNMA PASS THRU POOLS N/A 31403SD78 119497.720000 PA USD 123371.580000 0.0115657 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403VDD8 10652.880000 PA USD 10455.360000 0.0009802 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 4.07 N N N N N N FNMA PASS THRU POOLS N/A 31404BQD7 8084.080000 PA USD 8343.790000 0.0007822 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404RCT2 72727.640000 PA USD 71737.390000 0.0067252 Long ABS-MBS USGSE US N 2 2034-07-01 Floating 3.915 N N N N N N FNMA PASS THRU POOLS N/A 31405PAH3 610.170000 PA USD 598.880000 0.0000561 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 3.465 N N N N N N FNMA PASS THRU POOLS N/A 31405PRS1 6838.410000 PA USD 6512.020000 0.0006105 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 3.249 N N N N N N FNMA PASS THRU POOLS N/A 31405PVB3 1447.400000 PA USD 1497.860000 0.0001404 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31405UV97 1518.700000 PA USD 1497.480000 0.0001404 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 3.566 N N N N N N FNMA PASS THRU POOLS N/A 31406F6N6 21965.060000 PA USD 21450.080000 0.0020109 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 2.883 N N N N N N FNMA PASS THRU POOLS N/A 31406L2T4 1709.490000 PA USD 1666.860000 0.0001563 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 2.55 N N N N N N FNMA PASS THRU POOLS N/A 31406NUU6 595.660000 PA USD 582.720000 0.0000546 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 3.315 N N N N N N FNMA PASS THRU POOLS N/A 31406VP91 25131.870000 PA USD 25543.770000 0.0023947 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407BXK0 9609.870000 PA USD 9483.240000 0.0008890 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 3.805 N N N N N N FNMA PASS THRU POOLS N/A 31407DSV8 8305.960000 PA USD 8467.810000 0.0007938 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407FYD6 30454.790000 PA USD 31083.950000 0.0029140 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 3.764 N N N N N N FNMA PASS THRU POOLS N/A 31407HAS5 26612.650000 PA USD 27055.330000 0.0025364 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407HN85 3663.800000 PA USD 3802.070000 0.0003564 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407JY89 2258.120000 PA USD 2297.350000 0.0002154 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407MWT8 32212.700000 PA USD 31647.950000 0.0029669 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 3.014 N N N N N N FNMA PASS THRU POOLS N/A 31407NGX5 32802.650000 PA USD 32426.460000 0.0030399 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 3.901 N N N N N N FNMA PASS THRU POOLS N/A 31407R2A1 7996.700000 PA USD 7889.160000 0.0007396 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 3.987 N N N N N N FNMA PASS THRU POOLS N/A 31407T6R6 55809.080000 PA USD 56862.760000 0.0053307 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407VFQ3 20638.770000 PA USD 20897.280000 0.0019591 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 3.775 N N N N N N FNMA PASS THRU POOLS N/A 31407VMN2 24961.570000 PA USD 26025.620000 0.0024398 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407YHH5 12843.890000 PA USD 12567.870000 0.0011782 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 3.831 N N N N N N FNMA PASS THRU POOLS N/A 31408DLC6 47391.430000 PA USD 49527.260000 0.0046430 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31408DLF9 10705.520000 PA USD 10919.890000 0.0010237 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31408JTK7 4109.580000 PA USD 4129.250000 0.0003871 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409JBD1 15742.440000 PA USD 15779.280000 0.0014793 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 4.299 N N N N N N FNMA PASS THRU POOLS N/A 31409WLC3 117404.380000 PA USD 121446.180000 0.0113852 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410DJE1 19443.680000 PA USD 19488.570000 0.0018270 Long ABS-MBS USGSE US N 2 2036-07-01 Floating 4.295 N N N N N N FNMA PASS THRU POOLS N/A 31410DXD7 13633.400000 PA USD 13694.660000 0.0012838 Long ABS-MBS USGSE US N 2 2036-08-01 Floating 4.337 N N N N N N FNMA PASS THRU POOLS N/A 31410EKC1 11351.710000 PA USD 11379.150000 0.0010668 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 4.273 N N N N N N FNMA PASS THRU POOLS N/A 31410FVW2 260214.050000 PA USD 265868.970000 0.0249244 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KQX5 15630.580000 PA USD 16223.380000 0.0015209 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410LAV4 435.040000 PA USD 437.330000 0.0000410 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411FL28 2490.500000 PA USD 2501.060000 0.0002345 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412MRT7 1491.900000 PA USD 1488.990000 0.0001396 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31412MTG3 22842.850000 PA USD 23744.220000 0.0022259 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412QUX5 4107.890000 PA USD 4103.830000 0.0003847 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31412TWX7 75536.280000 PA USD 75827.630000 0.0071086 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31412YFP2 55708.230000 PA USD 57544.540000 0.0053946 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414XXE7 4346.980000 PA USD 4329.640000 0.0004059 Long ABS-MBS USGSE US N 2 2023-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415AT68 358.090000 PA USD 357.190000 0.0000335 Long ABS-MBS USGSE US N 2 2023-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31415CNH6 1025.000000 PA USD 1023.000000 0.0000959 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31415LVW4 365.980000 PA USD 365.280000 0.0000342 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31415LW86 5037.960000 PA USD 5059.620000 0.0004743 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BK72 4926.390000 PA USD 5129.810000 0.0004809 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BNK0 68921.140000 PA USD 68035.080000 0.0063781 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416CC61 1820.940000 PA USD 1816.640000 0.0001703 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416KV54 3025.920000 PA USD 3021.440000 0.0002833 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416NBX9 13991.630000 PA USD 13971.230000 0.0013098 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416NSP8 23355.530000 PA USD 23331.890000 0.0021873 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416WH88 65849.300000 PA USD 65785.970000 0.0061672 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416WMP4 5830.800000 PA USD 5825.170000 0.0005461 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416YDH8 10497.900000 PA USD 10255.430000 0.0009614 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31416YKY3 12961.950000 PA USD 12662.560000 0.0011871 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418NBG4 5003.280000 PA USD 5216.540000 0.0004890 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31418RHJ3 5186.760000 PA USD 5179.270000 0.0004855 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418UW59 4926.840000 PA USD 4922.110000 0.0004614 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418VWP3 5729.490000 PA USD 5690.680000 0.0005335 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418WCN8 21738.500000 PA USD 21236.400000 0.0019908 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418WDC1 6678.820000 PA USD 6524.560000 0.0006117 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418XFV5 9549.510000 PA USD 9328.940000 0.0008746 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418XMR6 570273.330000 PA USD 563053.930000 0.0527846 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419BPN9 5301.400000 PA USD 5226.550000 0.0004900 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419CAU7 9818.450000 PA USD 9681.600000 0.0009076 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419CSK0 8783.130000 PA USD 8660.050000 0.0008119 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419FD94 24842.610000 PA USD 24268.810000 0.0022751 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419H2W1 20297.670000 PA USD 19828.850000 0.0018589 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419JTV0 434.050000 PA USD 424.020000 0.0000398 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419J5L8 59794.980000 PA USD 58817.310000 0.0055139 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A2CK3 10152.110000 PA USD 9917.620000 0.0009297 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A2U64 5871.630000 PA USD 5826.230000 0.0005462 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A5XB3 2832.510000 PA USD 2806.520000 0.0002631 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A6E48 12208.930000 PA USD 12034.940000 0.0011282 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A6LJ7 58884.980000 PA USD 57524.900000 0.0053928 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A6TG5 8335.570000 PA USD 8143.040000 0.0007634 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A7G69 9038.320000 PA USD 8829.560000 0.0008277 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A8AB2 12736.360000 PA USD 12442.190000 0.0011664 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A8PX8 15759.200000 PA USD 15395.210000 0.0014433 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A8SR8 6647.050000 PA USD 6493.520000 0.0006087 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A9PQ1 2391.040000 PA USD 2356.970000 0.0002210 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AA6T3 10215.410000 PA USD 10071.420000 0.0009442 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138ADPB5 9556.900000 PA USD 9420.990000 0.0008832 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AGJH2 3101.320000 PA USD 3029.690000 0.0002840 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AHS80 223920.660000 PA USD 222188.200000 0.0208295 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AH5R3 912.350000 PA USD 899.590000 0.0000843 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AJMD1 35185.920000 PA USD 34373.220000 0.0032224 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AJTP7 1555.360000 PA USD 1519.440000 0.0001424 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138AKTS8 1255.230000 PA USD 1237.410000 0.0001160 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138ALKA4 22643.450000 PA USD 22120.450000 0.0020737 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138ANNY5 40092.420000 PA USD 39166.400000 0.0036717 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138EGM68 2338.370000 PA USD 2333.880000 0.0002188 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EJKA5 35535.300000 PA USD 34714.530000 0.0032544 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138EKW35 61785.360000 PA USD 64583.860000 0.0060545 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138LQ2D5 99487.170000 PA USD 98097.040000 0.0091963 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138LTLS5 113942.760000 PA USD 112465.380000 0.0105433 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138LY5M5 3881.090000 PA USD 3803.610000 0.0003566 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WAJ73 29077.920000 PA USD 28619.260000 0.0026830 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WET25 2755.250000 PA USD 2566.910000 0.0002406 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WG6G4 7497.820000 PA USD 6967.350000 0.0006532 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 3.5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 4535.770000 PA USD 44069.560000 0.0041314 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3138YR5Y0 13474.840000 PA USD 12548.140000 0.0011763 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FRCM5 13244.990000 PA USD 12287.230000 0.0011519 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FRH65 12655.910000 PA USD 11757.890000 0.0011023 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GUMA2 1752386.450000 PA USD 1622967.400000 0.1521482 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GVZY4 1567529.390000 PA USD 1451478.670000 0.1360717 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GYJX8 12829.720000 PA USD 11900.730000 0.0011157 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H4B45 10265.350000 PA USD 9516.690000 0.0008922 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HAC99 8457.050000 PA USD 7842.020000 0.0007352 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HATD2 13656.080000 PA USD 12661.500000 0.0011870 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HHHT5 5869.140000 PA USD 5441.710000 0.0005101 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HMGY4 164300.660000 PA USD 151450.240000 0.0141980 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HPUD7 72248.680000 PA USD 66552.900000 0.0062391 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JANZ7 2677817.260000 PA USD 2483915.230000 0.2328594 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JGR64 8626.030000 PA USD 8002.260000 0.0007502 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JJHA0 50046.410000 PA USD 46100.970000 0.0043218 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JKMX1 21328.660000 PA USD 19978.700000 0.0018729 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31417YM95 12217.100000 PA USD 12134.400000 0.0011376 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417Y7A9 37933.690000 PA USD 37057.530000 0.0034740 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418A4P0 49844.250000 PA USD 49126.570000 0.0046055 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CS47 1361537.670000 PA USD 1263820.940000 0.1184793 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 2096872.350000 PA USD 1941489.640000 0.1820087 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CYL2 2147418.570000 PA USD 1989019.840000 0.1864645 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZQ9 300000.000000 PA USD 296715.000000 0.0278161 Long DBT CORP US N 2 2024-03-18 Fixed 5.584 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZX4 300000.000000 PA USD 288681.570000 0.0270630 Long DBT CORP US N 2 2024-11-01 Fixed 4.063 N N N N N N FREDDIE MAC 3181 N/A 31396URJ1 96353.010000 PA USD 8035.890000 0.0007533 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 76862.130000 PA USD 76253.580000 0.0071485 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 5.01786 N N N N N N FREDDIE MAC 3360 N/A 31397KE23 60867.850000 PA USD 60323.730000 0.0056552 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 4.98786 N N N N N N FREDDIE MAC 3404 N/A 31397PST8 37520.250000 PA USD 37413.760000 0.0035074 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 5.17286 N N N N N N FREDDIE MAC 3439 N/A 31397TAL6 1810.010000 PA USD 1767.430000 0.0001657 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 4.64786 N N N N N N FREDDIE MAC 3898 N/A 3137ADX44 214117.590000 PA USD 211561.200000 0.0198332 Long ABS-MBS USGSE US N 2 2041-06-15 Floating 4.88786 N N N N N N FREDDIE MAC REMICS 3816 N/A 3137A6R46 111916.910000 PA USD 109522.840000 0.0102674 Long ABS-MBS USGSE US N 2 2041-01-15 Fixed 4.5 N N N N N N FREDDIE MAC-3136 N/A 31396NH41 15812.990000 PA USD 912.580000 0.0000856 Long ABS-MBS USGSE US N 2 2036-04-15 Floating 2.38214 N N N N N N FREDDIE MAC-3891 N/A 3137ADTZ0 223534.270000 PA USD 219614.460000 0.0205882 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 4.86786 N N N N N N FREMONT HOME LOAN TRUST 2005-E N/A 35729PNC0 55840.640000 PA USD 51729.390000 0.0048495 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.04871 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAB1 11107.970000 PA USD 5074.240000 0.0004757 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.44871 N N N N N N FROST CMBS 2021-1 DAC 21-1A N/A ACI21WKW7 1698076.130000 PA 1719912.210000 0.1612365 Long ABS-MBS CORP IE N 2 2033-11-20 Floating 2.952 N N N N N N FWD SECURITIZATION TRUST 2020-INV1 N/A 302985AA4 66208.010000 PA USD 59146.830000 0.0055448 Long ABS-MBS CORP US N 2 2050-01-25 Variable 2.24 N N N N N N GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A N/A 36361UAQ3 2700000.000000 PA USD 2596771.170000 0.2434393 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 5.72914 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCE4 7000.000000 PA USD 6999.470000 0.0006562 Long DBT CORP US N 2 2023-01-05 Floating 4.73829 N N N N N N GLG EURO CLO III DAC A N/A ACI1VVSK6 750975.430000 PA 785306.940000 0.0736201 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 2.058 N N N N N N STICHTING AK RABOBANK CERTIFICATEN N/A BJBQCWII7 780500.000000 NS 803484.220000 0.0753242 Long EP CORP NL N 2 N N N GNMA PASS THRU POOLS N/A 36179QUQ2 32493.990000 PA USD 31734.180000 0.0029750 Long ABS-MBS USGSE US N 2 2044-11-20 Floating 1.75 N N N N N N GNMA PASS THRU POOLS N/A 36200JSC5 85741.660000 PA USD 80712.880000 0.0075666 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36200NMP3 2265.890000 PA USD 2313.520000 0.0002169 Long ABS-MBS USGSE US N 2 2034-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36291US71 10107.320000 PA USD 10386.100000 0.0009737 Long ABS-MBS USGSE US N 2 2037-05-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36291UTY1 31762.830000 PA USD 32605.910000 0.0030567 Long ABS-MBS USGSE US N 2 2037-07-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36292DXR8 367.010000 PA USD 371.070000 0.0000348 Long ABS-MBS USGSE US N 2 2036-12-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36294YPA6 12186.740000 PA USD 12261.370000 0.0011495 Long ABS-MBS USGSE US N 2 2037-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295NCQ8 180630.110000 PA USD 185069.450000 0.0173497 Long ABS-MBS USGSE US N 2 2038-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QA34 364418.000000 PA USD 372085.680000 0.0348819 Long ABS-MBS USGSE US N 2 2038-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QGF1 36419.810000 PA USD 37178.670000 0.0034854 Long ABS-MBS USGSE US N 2 2038-07-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QJT8 15046.120000 PA USD 15255.580000 0.0014302 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QKC3 84382.680000 PA USD 86138.640000 0.0080752 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36295QKD1 74786.810000 PA USD 76361.020000 0.0071586 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296A6T6 156536.990000 PA USD 159622.300000 0.0149641 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296DKZ0 814.960000 PA USD 825.210000 0.0000774 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296DK23 3156.950000 PA USD 3208.660000 0.0003008 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296DNG9 16402.440000 PA USD 16805.590000 0.0015755 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296JEM3 30754.840000 PA USD 31331.100000 0.0029372 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296LSU5 34287.710000 PA USD 35044.610000 0.0032853 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296P6J5 17872.340000 PA USD 18249.000000 0.0017108 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QZG7 47649.400000 PA USD 48653.670000 0.0045611 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620A2K21 69801.720000 PA USD 70699.780000 0.0066279 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620ASLC1 26249.650000 PA USD 26408.640000 0.0024757 Long ABS-MBS USGSE US N 2 2041-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176EM24 159627.820000 PA USD 150265.780000 0.0140870 Long ABS-MBS USGSE US N 2 2043-09-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36176W5N7 29576.110000 PA USD 27820.990000 0.0026081 Long ABS-MBS USGSE US N 2 2042-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36241KZ35 568.460000 PA USD 581.490000 0.0000545 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36177WD98 60081.730000 PA USD 56575.820000 0.0053038 Long ABS-MBS USGSE US N 2 2042-05-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178LMH3 93549.140000 PA USD 88065.870000 0.0082559 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178UBY8 10884.820000 PA USD 10246.530000 0.0009606 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178UUR2 233401.810000 PA USD 219718.800000 0.0205980 Long ABS-MBS USGSE US N 2 2042-11-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178WDR7 3959.780000 PA USD 3733.020000 0.0003500 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179JXF9 4678.040000 PA USD 4403.690000 0.0004128 Long ABS-MBS USGSE US N 2 2043-06-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36180HG51 9708.390000 PA USD 9139.140000 0.0008568 Long ABS-MBS USGSE US N 2 2043-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36180HHA9 93053.700000 PA USD 87596.710000 0.0082119 Long ABS-MBS USGSE US N 2 2043-05-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36180SNG5 7412.410000 PA USD 6977.590000 0.0006541 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36180WGF6 446390.420000 PA USD 420206.430000 0.0393931 Long ABS-MBS USGSE US N 2 2045-07-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36182CAQ0 87532.660000 PA USD 82398.010000 0.0077246 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36182QB88 97046.690000 PA USD 91353.880000 0.0085641 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36198N2C8 98661.050000 PA USD 92874.730000 0.0087067 Long ABS-MBS USGSE US N 2 2044-06-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36182WBC6 313221.660000 PA USD 294850.030000 0.0276413 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183BCF3 55044.140000 PA USD 51816.330000 0.0048576 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183FTW9 26990.860000 PA USD 25407.630000 0.0023819 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183PM53 101612.920000 PA USD 94936.170000 0.0089000 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183QPH2 156849.170000 PA USD 147649.430000 0.0138417 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183QYH2 34150.310000 PA USD 32147.010000 0.0030137 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183TYC7 180179.730000 PA USD 169610.020000 0.0159004 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183XRC6 19140.660000 PA USD 18017.890000 0.0016891 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183XZ86 2176.860000 PA USD 2049.150000 0.0001921 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183X2J8 22465.940000 PA USD 21148.010000 0.0019826 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184BZL4 9199.220000 PA USD 8661.820000 0.0008120 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184BZ67 96551.050000 PA USD 93342.930000 0.0087506 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184CA47 151120.200000 PA USD 142255.310000 0.0133360 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184HY81 82610.590000 PA USD 77764.280000 0.0072902 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184KB97 143855.570000 PA USD 134446.390000 0.0126039 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184K6K8 139135.670000 PA USD 130974.020000 0.0122784 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184MYF4 52043.090000 PA USD 48990.980000 0.0045928 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36184NEP2 247638.650000 PA USD 233110.710000 0.0218534 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122NB76 705000.000000 PA USD 653206.680000 0.0612361 Long DBT MUN US N 2 2046-06-01 Fixed 3 N N N N N N GOLDENTREE LOAN MANAGEMENT EUR CLO 3 DAC 3A N/A ACI1ZWJ04 14200000.000000 PA 14700677.660000 1.3781435 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 2.356 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZS6 3800000.000000 PA USD 3744706.050000 0.3510547 Long DBT CORP US N 2 2028-03-15 Floating 6.11358 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWZ3 166000.000000 PA USD 154950.580000 0.0145261 Long DBT CORP US N 2 2029-05-01 Floating 4.223 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H09 N/A 38380LFE8 97430.760000 PA USD 95499.210000 0.0089528 Long ABS-MBS USGSE US N 2 2068-04-20 Floating 2.85652 N N N N N N TRUIST FINANCIAL CORPORATION 549300DRQQI75D2JP341 89832QAE9 1300000.000000 NS USD 1249196.000000 0.1171083 Long EP CORP US N 2 N N N GREENPOINT MRGT PASS THRU CER 2003-1 N/A 395387AA1 18335.420000 PA USD 17224.060000 0.0016147 Long ABS-MBS CORP US N 2 2033-10-25 Floating 3.72623 N N N N N N GSAA HOME EQUITY TRUST 2006-9 N/A 362382AE3 70021.860000 PA USD 15927.090000 0.0014931 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.62871 N N N N N N GSAMP TRUST 2006-HE8 N/A 3622M8AE6 4200000.000000 PA USD 3369718.800000 0.3159008 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.61871 N N N N N N GSAMP TRUST 2007-FM2 N/A 3622MHAC0 2321030.860000 PA USD 1410645.270000 0.1322437 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.47871 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAA6 1440617.880000 PA USD 776989.330000 0.0728404 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.51871 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAD0 32589.870000 PA USD 16348.320000 0.0015326 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.53871 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 23377.580000 PA USD 20740.160000 0.0019443 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.7192 N N N N N N GSR MORTGAGE LOAN TRUST 2007-3F N/A 3622MWAR4 231597.050000 PA USD 165941.530000 0.0155565 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 Y N N N N N GSR MTGE LOAN TRUST 2003-2F N/A 36228FNB8 53.390000 PA USD 50.750000 0.0000048 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6 N N N N N N HALSEYPOINT CLO 2 LTD N/A 40638TAC6 1300000.000000 PA USD 1275331.590000 0.1195584 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 5.68257 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-1 N/A 41161PLD3 868468.210000 PA USD 834892.530000 0.0782686 Long ABS-MBS CORP US N 2 2035-03-19 Floating 4.87914 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 57060.650000 PA USD 47053.760000 0.0044111 Long ABS-MBS CORP US N 2 2036-12-19 Floating 4.74914 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A 41161PYZ0 365380.280000 PA USD 222816.750000 0.0208884 Long ABS-MBS CORP US N 2 2036-01-19 Floating 4.83914 Y N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2007-4 N/A 41164YAB7 217086.410000 PA USD 197298.700000 0.0184961 Long ABS-MBS CORP US N 2 2047-07-19 Floating 4.55914 N N N N N N HARVEST CLO XXI DAC 21A N/A ACI1WSV36 800000.000000 PA 773541.500000 0.0725171 Long ABS-CBDO CORP IE N 2 2031-07-15 Fixed 1.04 N N N N N N HOME EQUITY PASS-THRU CERTS 2004-6 N/A 437084EW2 984770.090000 PA USD 964568.220000 0.0904253 Long ABS-MBS CORP US N 2 2034-12-25 Floating 5.98871 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AW9 500000.000000 PA USD 484211.380000 0.0453933 Long DBT CORP GB N 2 2026-03-08 Fixed 4.3 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 300000.000000 PA USD 240075.820000 0.0225064 Long DBT CORP GB N 2 2031-06-04 Floating 2.848 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 1500000.000000 PA USD 1436328.560000 0.1346514 Long DBT CORP GB N 2 2026-09-12 Floating 4.292 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAD0 948332.570000 PA USD 259624.630000 0.0243390 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.60871 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT4 N/A 40430KAH4 10165475.410000 PA USD 9070117.990000 0.8502958 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.85371 N N N N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 ACI2BTZ49 1148000000.000000 PA 3077768.620000 0.2885314 Long DBT MUN HU N 2 2023-01-03 None 0 N N N N N N HYATT HOTELS CORPORATION T27JQIMTYSH41TCD5186 448579AN2 2900000.000000 PA USD 2719232.850000 0.2549198 Long DBT CORP US N 2 2024-10-01 Fixed 1.8 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAA1 598000.000000 PA USD 572034.680000 0.0536265 Long DBT CORP GB N 2 2024-07-26 Fixed 3.125 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAB9 300000.000000 PA USD 275518.770000 0.0258290 Long DBT CORP GB N 2 2026-07-26 Fixed 3.5 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-16IP N/A 45660LUD9 3929.040000 PA USD 3257.550000 0.0003054 Long ABS-MBS CORP US N 2 2045-07-25 Floating 5.02871 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR31 N/A 45660LV97 91132.780000 PA USD 76834.270000 0.0072030 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.21245 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR14 N/A 45668GAD4 9313221.140000 PA USD 8119295.060000 0.7611591 Long ABS-MBS CORP US N 2 2046-11-25 Floating 4.78871 Y N N N N N INEOS FINANCE PLC 2138002D68XDR4LZCG32 ACI0YJHL2 187000.000000 PA 181908.170000 0.0170533 Long DBT CORP GB N 2 2025-11-15 Fixed 2.125 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AY9 2000000.000000 PA USD 1467238.600000 0.1375491 Long DBT CORP NL N 2 2027-05-16 Floating 3.875 N N N N Y ING GROEP NV EUR XXXX N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AZ6 200000.000000 PA USD 137751.260000 0.0129138 Long DBT CORP NL N 2 2031-05-16 Floating 4.25 N N N N Y ING GROEP NV EUR XXXX N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 ACI0RSP49 900000.000000 PA 931877.130000 0.0873606 Long DBT CORP IT N 2 2027-01-11 Floating 7.75 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 ACI0V4P54 700000.000000 PA 723745.030000 0.0678489 Long DBT CORP IT N 2 2024-05-16 Floating 6.25 N N N N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849CJL6 2550000.000000 PA USD 2551053.920000 0.2391535 Long DBT CORP US N 2 2024-06-28 Floating 5.45315 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI28ZYN8 1460000000.000000 PA 11125057.600000 1.0429401 Long DBT NUSS JP N 2 2023-01-11 None 0 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440 N/A 46653DAA2 2705000.000000 PA USD 2593410.910000 0.2431243 Long ABS-MBS CORP US N 2 2036-03-15 Floating 5.618 N N N N N N 280 PARK AVENUE 2017-280P MORTGAGE TRUST N/A 90205FAG5 4000000.000000 PA USD 3804755.200000 0.3566841 Long ABS-MBS CORP US N 2 2034-09-15 Floating 5.317 N N N N N N JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2 N/A 46628TAD3 67531.830000 PA USD 30986.570000 0.0029049 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.68871 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 10491.670000 PA USD 5222.690000 0.0004896 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 Y N N N N N JP MORGAN MORTGAGE TRUST 2007-A2 N/A 46630PAE5 4179.130000 PA USD 3089.630000 0.0002896 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.4797 Y N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2W24 1000000.000000 PA 1020353.490000 0.0956550 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 2.028 N N N N N N KKR CLO LTD 13 N/A 48250VAW7 2500000.000000 PA USD 2455075.500000 0.2301558 Long ABS-CBDO CORP KY N 2 2028-01-16 Floating 5.22914 N N N N N N KKR CLO LTD 18 N/A 48251JAL7 1933420.880000 PA USD 1915475.950000 0.1795700 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 5.13371 N N N N N N KKR CLO LTD 18 N/A 48251JAN3 3700000.000000 PA USD 3594506.970000 0.3369740 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 5.79371 N N N N N N LCM LP 13A N/A 50184KBN7 3100000.000000 PA USD 3042990.070000 0.2852710 Long ABS-CBDO CORP KY N 2 2027-07-19 Floating 5.72657 N N N N N N LCRT 2019-2 N/A 52604MAA0 578341.650000 PA USD 573540.320000 0.0537676 Long ABS-O CORP US N 2 2025-08-15 Fixed 4 N N N N N N LCRT 2019-7 N/A 52605FAA4 1096461.590000 PA USD 1081980.510000 0.1014324 Long ABS-O CORP US N 2 2027-01-15 Fixed 3.75 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS5 N/A 52475XAA2 1494430.280000 PA USD 1345233.980000 0.1261116 Long ABS-MBS CORP US N 2 2067-07-25 Fixed 2.25 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-SL2 N/A 52476TAA0 1883205.330000 PA USD 1695140.160000 0.1589142 Long ABS-MBS CORP US N 2 2068-10-25 Fixed 1.875 N N N N N N LEHMAN XS TRUST 2007-12N N/A 52524YAC7 4245709.640000 PA USD 3990617.640000 0.3741082 Long ABS-MBS CORP US N 2 2047-07-25 Floating 4.78871 Y N N N N N LEHMAN XS TRUST 2007-15N N/A 52524VAG4 65089.560000 PA USD 58241.530000 0.0054600 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.88871 N N N N N N LENDINGCLUB RECEIVABLES TRUST SERIES 2019-5 N/A 52605CAA1 637499.840000 PA USD 628291.350000 0.0589004 Long ABS-O CORP US N 2 2045-12-15 Fixed 3.75 N N N N N N LIBERTY LENDING ABS TRUST 2022-2A N/A 75526GAA9 4094405.410000 PA USD 4080426.700000 0.3825275 Long ABS-O CORP US N 2 2030-05-15 Fixed 6.63 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AU3 2200000.000000 PA USD 2127855.660000 0.1994800 Long DBT CORP GB N 2 2025-09-27 Floating 7.5 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RH9 139610.000000 PA USD 134781.500000 0.0126354 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.82871 N N N N N N LONG BEACH MORTGAGE LOAN TR 2005-2 N/A 542514KV5 93034.890000 PA USD 91728.190000 0.0085992 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.36371 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 17007.470000 PA USD 15578.820000 0.0014605 Long ABS-MBS CORP US N 2 2034-10-25 Floating 4.94871 N N N N N N ACE SECURITIES CORP 2002-HE3 N/A 004421BH5 177.210000 PA USD 193.470000 0.0000181 Long ABS-MBS CORP US N 2 2032-10-25 Floating 6.18871 N N N N N N M360 2021-CRE3 LLC N/A 55379AAC8 2700000.000000 PA USD 2673897.750000 0.2506697 Long ABS-CBDO CORP KY N 2 2038-11-22 Floating 6.61129 N N N N N N MAGALLANES INC 549300DXR29GD4N0A520 55903VAL7 2500000.000000 PA USD 2065668.930000 0.1936501 Long DBT CORP US N 2 2032-03-15 Fixed 4.279 N N N N N N MAGALLANES INC 549300DXR29GD4N0A520 55903VAJ2 700000.000000 PA USD 606928.180000 0.0568977 Long DBT CORP US N 2 2029-03-15 Fixed 4.054 N N N N N N MARLETTE FUNDING TRUST 2022-3A N/A 57109NAA7 3757381.640000 PA USD 3729091.940000 0.3495910 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 2000000.000000 PA USD 1953380.600000 0.1831234 Long ABS-O CORP US N 2 2032-11-15 Fixed 5.95 N N N N N N MASTER CREDIT CARD TRUST II SERIES 2018-1A N/A 576339BM6 3100000.000000 PA USD 3100018.290000 0.2906172 Long ABS-MBS CORP CA N 2 2024-07-21 Floating 4.84386 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2003-4 N/A 576433EU6 53231.750000 PA USD 41611.750000 0.0039010 Long ABS-MBS CORP US N 2 2033-10-25 Floating 3.19954 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAA9 2318083.620000 PA USD 1690521.590000 0.1584812 Long ABS-MBS CORP US N 2 2046-12-25 Floating 2.84826 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAE1 2474988.970000 PA USD 1909249.800000 0.1789863 Long ABS-MBS CORP US N 2 2046-12-25 Floating 2.84826 N N N N N N ACE SECURITIES CORP 2006-NC1 N/A 004421UU5 4500000.000000 PA USD 3978266.400000 0.3729503 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.00371 N N N N N N MASTR ASSET BACKED SEC TR 2006-FRE2 N/A 57643GAE7 48272.980000 PA USD 34093.880000 0.0031962 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 317047.380000 PA USD 167250.320000 0.0156792 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.70871 N N N N N N MDPKE 14A N/A ACI2289F9 1800000.000000 PA 1867053.030000 0.1750305 Long ABS-CBDO CORP IE N 2 2032-07-15 Floating 2.178 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 96672.640000 PA USD 90498.090000 0.0084839 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 464711.650000 PA USD 132780.760000 0.0124478 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.78871 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A3 N/A 589929R26 4125.140000 PA USD 3934.670000 0.0003689 Long ABS-MBS CORP US N 2 2033-05-25 Floating 3.01126 N N N N N N MF1 2021-FL7 LTD N/A 55284AAC2 4600000.000000 PA USD 4358753.830000 0.4086198 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 5.78914 N N N N N N MF1 2021-FL7 LTD N/A 55284AAE8 4600000.000000 PA USD 4391597.280000 0.4116988 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 6.08914 N N N N N N MF1 2022-FL8 LTD N/A 55284JAC3 5900000.000000 PA USD 5632574.240000 0.5280366 Long ABS-CBDO CORP KY N 2 2037-02-19 Floating 5.57571 N N N N N N MF1 2022-FL9 LLC N/A 55285AAC1 11800000.000000 PA USD 11636154.640000 1.0908539 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 506362.730000 PA USD 477628.010000 0.0447762 Long ABS-MBS CORP US N 2 2060-03-25 Fixed 2.3633 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BN2 97000.000000 PA USD 93310.910000 0.0087476 Long DBT CORP US N 2 2029-02-06 Fixed 5.327 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-10 N/A 007036TD8 122969.490000 PA USD 95771.150000 0.0089783 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.7653 Y N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC6 N/A 61744CSY3 186178.480000 PA USD 178923.740000 0.0167736 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.31871 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE5 N/A 61749NAD9 435830.620000 PA USD 230759.720000 0.0216330 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-HE2 N/A 61753EAP5 3287241.730000 PA USD 1358861.910000 0.1273891 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 61753EAC4 261262.820000 PA USD 129434.040000 0.0121340 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-HE5 N/A 61753KAD8 2730509.180000 PA USD 1234708.670000 0.1157502 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.63871 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC2 N/A 61753NAA8 903875.280000 PA USD 810739.700000 0.0760044 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.51871 N N N N N N MORGAN STANLEY CAPITAL I INC 2021-230P N/A 61772WAG2 3500000.000000 PA USD 3193430.800000 0.2993744 Long ABS-MBS CORP US N 2 2023-12-15 Floating 5.76676 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAB1 1742378.320000 PA USD 954311.230000 0.0894638 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.55871 N N N N N N MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS N/A 61752JAA8 752256.110000 PA USD 288258.370000 0.0270233 Long ABS-MBS CORP US N 2 2046-09-25 Variable 6.465 Y N N N N N MORGAN STANLEY MTGE LN TR 2007-7AX N/A 61754HAD4 37589.680000 PA USD 11228.120000 0.0010526 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.10871 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBQ2 1000000.000000 PA USD 812654.340000 0.0761839 Long DBT CORP US N 2 2030-08-15 Fixed 2.65 N N N N N N NAKILAT INC 2549006RMTDJWLLWF072 Y62014AA6 95688.390000 PA USD 98871.630000 0.0092689 Long DBT CORP MH N 2 2033-12-31 Fixed 6.067 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAC1 2200000.000000 PA USD 2171728.500000 0.2035929 Long DBT CORP GB N 2 2024-08-01 Floating 4.363 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780099CK1 900000.000000 PA USD 887467.500000 0.0831974 Long DBT CORP GB N 2 2025-08-10 Floating 8 N N N N Y NATWEST GROUP PLC GBP XXXX N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 78009PEH0 1700000.000000 PA USD 1604873.340000 0.1504520 Long DBT CORP GB N 2 2030-01-27 Floating 5.076 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 1784000.000000 PA USD 1691219.390000 0.1585466 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 2000000.000000 PA USD 2000770.460000 0.1875661 Long DBT CORP GB N 2 2024-06-25 Floating 6.27386 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 1600000.000000 PA USD 1585435.060000 0.1486297 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAX3 800000.000000 PA USD 627365.360000 0.0588136 Long DBT CORP IE N 2 2032-01-30 Fixed 3.3 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAF2 235000.000000 PA USD 233383.230000 0.0218790 Long DBT CORP IE N 2 2023-07-03 Fixed 4.125 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 ACI1BLJV6 1200000.000000 PA 1204035.210000 0.1128746 Long DBT CORP US N 2 2029-11-15 Fixed 3.875 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 2335003.930000 PA USD 2180474.540000 0.2044128 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A N/A 64830TAD0 48718.360000 PA USD 45085.710000 0.0042266 Long ABS-MBS CORP US N 2 2059-10-25 Variable 3.5 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAW5 800000.000000 PA USD 671668.350000 0.0629669 Long DBT CORP IE N 2 2028-10-29 Fixed 3 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 65480CAB1 400000.000000 PA USD 364730.450000 0.0341924 Long DBT CORP US N 2 2024-09-16 Fixed 1.125 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AA9 700000.000000 PA USD 686034.170000 0.0643136 Long DBT CORP JP N 2 2023-09-15 Fixed 3.043 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AB7 1500000.000000 PA USD 1394815.650000 0.1307597 Long DBT CORP JP N 2 2025-09-17 Fixed 3.522 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 2900000.000000 PA USD 2634118.310000 0.2469405 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 900000.000000 PA USD 765778.220000 0.0717894 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-AF1 N/A 65535AAD6 167245.540000 PA USD 37880.030000 0.0035511 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.71871 Y N N N N N NOMURA RESECURITIZATION TRUST 2018-1R N/A 65541JAC1 2235244.540000 PA USD 2110984.610000 0.1978983 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.28871 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 13919795.000000 PA 1546269.850000 0.1449581 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-3 N/A 66988WAD8 234424.910000 PA USD 132522.530000 0.0124236 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.70871 N N N N N N NOVASTAR HOME EQUITY LOAN 2007-1 N/A 669971AA1 5046154.460000 PA USD 3366409.230000 0.3155906 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.51871 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 51877745.130000 PA 5760410.190000 0.5400208 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N OAK HILL EUROPEAN CREDIT PARTNERS IV DESIGNATED ACTIVITY CO 15-4A N/A ACI1WJ2Z7 1868922.560000 PA 1952575.760000 0.1830480 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 2.186 N N N N N N OAKTREE CLO LTD 2019-4A N/A 67402CAQ9 3300000.000000 PA USD 3201286.440000 0.3001108 Long ABS-CBDO CORP KY N 2 2032-10-20 Floating 5.36257 N N N N N N AKER BP ASA 549300NFTY73920OYK69 00973RAG8 450000.000000 PA USD 416202.850000 0.0390177 Long DBT CORP NO N 2 2026-01-15 Fixed 2.875 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2005-4 N/A 68389FJK1 6767000.000000 PA USD 5659002.550000 0.5305142 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.12371 N N N N N N OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5 N/A 69121PBU6 32796.040000 PA USD 30045.350000 0.0028167 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.28871 N N N N N N OZLM XXIV LTD 2019-24A N/A 67113DBA1 2500000.000000 PA USD 2419865.080000 0.2268549 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 5.69257 N N N N N N OZLM XXIV LTD 2019-24A N/A 67113DBC7 1500000.000000 PA USD 1438329.720000 0.1348390 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 5.94257 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JW8 800000.000000 PA USD 693143.470000 0.0649801 Long DBT CORP US N 2 2028-06-15 Fixed 3 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JM0 900000.000000 PA USD 817865.840000 0.0766724 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JY4 2100000.000000 PA USD 2033134.220000 0.1906001 Long DBT CORP US N 2 2023-11-15 Fixed 1.7 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2022-1 N/A 69546MAA5 1692987.040000 PA USD 1626104.740000 0.1524423 Long ABS-O CORP US N 2 2029-10-15 Fixed 2.03 N N N N N N PAGAYA AI DEBT TRUST 2022-2 N/A 69546VAA5 1922015.650000 PA USD 1893970.170000 0.1775539 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 9253831.970000 PA USD 9143924.210000 0.8572149 Long ABS-O CORP US N 2 2030-03-15 Fixed 6.06 N N N N N N PARK PLACE SECURITIES INC 2004-WHQ2 N/A 70069FEM5 3358848.690000 PA USD 2904903.650000 0.2723258 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.11371 N N N N N N PARK PLACE SECURITIES INC 2005-WCW2 N/A 70069FLK1 3200000.000000 PA USD 2438225.600000 0.2285762 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.36371 N N N N N N PERRIGO FINANCE UNLIMITED CO (AKA: PERRIGO FINANCE PLC) 549300E86RB6YCTMRM83 71429MAC9 1000000.000000 PA USD 853377.310000 0.0800015 Long DBT CORP IE N 2 2030-06-15 Variable 4.4 N N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081ET6 166000.000000 PA USD 156899.550000 0.0147089 Long DBT CORP US N 2 2029-03-15 Fixed 3.45 N N N N N N PHH ALTERNATIVE MORTGAGE TRUST 2007-1 N/A 69337BAA2 184681.700000 PA USD 129185.110000 0.0121107 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.70871 N N N N N N PRET 2021-NPL6 LLC N/A 69362GAA9 5392377.410000 PA USD 5007413.430000 0.4694297 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 2.4871 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2 N/A 74143FAA7 1494487.470000 PA USD 1356594.100000 0.1271765 Long ABS-MBS CORP US N 2 2051-07-25 Variable 1.7436 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-NPL2 N/A 693971AA1 3118010.470000 PA USD 3010748.730000 0.2822485 Long ABS-MBS CORP US N 2 2052-04-25 Fixed 5.24 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-NPL3 N/A 74143NAA0 5187029.720000 PA USD 5016339.610000 0.4702665 Long ABS-MBS CORP US N 2 2052-06-25 Variable 5.9266 N N N N N N READY CAPITAL MORTGAGE FINANCING 2022-FL10 LLC N/A 755931AA0 4793185.050000 PA USD 4785942.550000 0.4486675 Long ABS-MBS CORP US N 2 2039-10-25 Floating 6.8745 N N N N N N READYCAP COMMERCIAL MORTGAGE TRUST 2022-FL9 N/A 75574EAA5 2181325.580000 PA USD 2170824.680000 0.2035082 Long ABS-MBS CORP US N 2 2037-06-25 Floating 6.79036 N N N N N N READYCAP COMMERCIAL MORTGAGE TRUST 2022-FL9 N/A 75574EAC1 4700000.000000 PA USD 4695321.150000 0.4401720 Long ABS-MBS CORP US N 2 2037-06-25 Floating 7.43436 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 19996856.000000 PA 2220385.630000 0.2081544 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 1050625.930000 PA USD 1015572.110000 0.0952068 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 4207953.790000 PA USD 4102647.220000 0.3846106 Long ABS-O CORP US N 2 2030-11-25 Fixed 5.38 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 760081.080000 PA USD 668903.200000 0.0627076 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.75871 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAC7 179105.880000 PA USD 145864.620000 0.0136744 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.72871 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC1 N/A 76112BRR3 2000000.000000 PA USD 1870721.400000 0.1753744 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.09136 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A7CB N/A 76113NAC7 366846.350000 PA USD 283395.630000 0.0265675 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6.25 Y N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A9CB N/A 76112HAJ6 910111.220000 PA USD 304120.580000 0.0285104 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6 N N N N N N RESIDENTIAL ASSET SECUR TR 2007-A5 N/A 76114HAM7 345280.960000 PA USD 200632.680000 0.0188087 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 Y N N N N N RESIDENTIAL ASSET SECURITIES 2005-AHL2 N/A 76110W5H5 87049.610000 PA USD 86747.630000 0.0081323 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.01871 N N N N N N RUSSIAN GOVT 5493004EHVGF71PDBU58 X5424XBQ0 200000.000000 PA USD 74000.000000 0.0069373 Long DBT NUSS RU N 2 2047-06-23 Fixed 5.25 Y N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAJ4 2500000.000000 PA USD 2458827.680000 0.2305076 Long DBT CORP GB N 2 2024-11-15 Floating 4.796 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAD0 1564000.000000 PA USD 1324434.240000 0.1241617 Long DBT CORP DE N 2 2029-05-15 Fixed 6.375 N N Y N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 ACI1C5ZK6 152000.000000 PA 148873.560000 0.0139564 Long DBT CORP DE N 2 2025-05-15 Fixed 3.625 N N Y N N N SEC ASSET BACKED REC LLC 2005-OP2 N/A 81375WGW0 304000.000000 PA USD 264731.410000 0.0248178 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.10871 Y N N N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AC8 8280531.250000 PA USD 4508083.510000 0.4226190 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.88871 N N N N N N SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A N/A ACI1YTXT3 3050000.000000 PA 3161191.190000 0.2963520 Long ABS-CBDO CORP IE N 2 2032-07-20 Floating 2.336 N N N N N N SEQUOIA MORTGAGE TRUST 2005-2 N/A 81744FGZ4 586.440000 PA USD 529.120000 0.0000496 Long ABS-MBS CORP US N 2 2035-03-20 Floating 4.00757 N N N N N N SEQUOIA MORTGAGE TRUST 2007-2 N/A 81744LAA2 191956.700000 PA USD 177203.480000 0.0166123 Long ABS-MBS CORP US N 2 2036-06-20 Floating 4.77286 N N N N N N SEQUOIA MORTGAGE TRUST 2007-3 N/A 81744MAA0 163039.080000 PA USD 139558.700000 0.0130832 Long ABS-MBS CORP US N 2 2036-07-20 Floating 4.75286 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAA1 5800000.000000 PA USD 5331632.020000 0.4998242 Long ABS-MBS CORP US N 2 2038-05-15 Floating 5.468 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAC7 4500000.000000 PA USD 4010710.950000 0.3759919 Long ABS-MBS CORP US N 2 2038-05-15 Floating 5.818 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-FRE1 N/A 81879MAV1 9041976.370000 PA USD 5294786.060000 0.4963700 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.74871 N N N N N N AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2 N/A 02660CAF7 31836.290000 PA USD 23725.360000 0.0022242 Long ABS-MBS CORP US N 2 2047-03-25 Variable 6.5 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2007-20L N/A 83162CRL9 30125.950000 PA USD 29946.740000 0.0028074 Long ABS-O CORP US N 2 2027-12-01 Fixed 5.29 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20I N/A 83162CSA2 269855.490000 PA USD 265563.600000 0.0248958 Long ABS-O CORP US N 2 2028-09-01 Fixed 5.6 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83367TBV0 300000.000000 PA USD 287797.850000 0.0269802 Long DBT CORP FR N 2 2023-10-04 Floating 7.375 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 F8586CRW4 1000000.000000 PA USD 992318.590000 0.0930268 Long DBT CORP FR N 2 2023-12-18 Floating 7.875 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAB8 2681066.750000 PA USD 2428496.320000 0.2276641 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54 N N N N N N SOUNDVIEW HOME EQUITY LOAN 2006-1 N/A 83611MKZ0 164429.590000 PA USD 149571.420000 0.0140219 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.85371 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAB8 61635.290000 PA USD 44151.010000 0.0041390 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-WMC1 N/A 83612NAE5 145066.430000 PA USD 42495.090000 0.0039838 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.64871 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GJ6 131000.000000 PA USD 122373.580000 0.0114721 Long DBT CORP US N 2 2028-03-01 Fixed 3.65 N N N N N N SPECIALTY UNDERWRITING & RESID 2006-AB1 N/A 84751PKW8 914617.160000 PA USD 867173.220000 0.0812948 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.98871 N N N N N N SPRINT LLC 549300ZTTY7CXOLJ6539 85207UAH8 35000.000000 PA USD 35760.900000 0.0033525 Long DBT CORP US N 2 2024-06-15 Fixed 7.125 N N N N N N SPRINT LLC 549300ZTTY7CXOLJ6539 85207UAF2 76000.000000 PA USD 77230.140000 0.0072401 Long DBT CORP US N 2 2023-09-15 Fixed 7.875 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 G84228CX4 300000.000000 PA USD 298389.830000 0.0279731 Long DBT CORP GB N 2 2023-04-02 Floating 7.75 N N N N Y STANDARD CHARTERED PLC GBP XXXX N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAW0 194000.000000 PA USD 176411.820000 0.0165381 Long DBT CORP US N 2 2029-08-15 Fixed 3.8 N N N N N N STELLANTIS FINANCE US INC 549300QZ0AI8Q7LNON33 85855CAB6 3800000.000000 PA USD 2908407.330000 0.2726543 Long DBT CORP US N 2 2031-09-15 Fixed 2.691 N N N N N N AMERICAN WATER CAPITAL CORP 5IDHQUFVC8Q2KIBBFF06 03040WAU9 166000.000000 PA USD 151931.060000 0.0142431 Long DBT CORP US N 2 2029-06-01 Fixed 3.45 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 95545.130000 PA USD 79330.840000 0.0074370 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.44826 Y N N N N N STRUCTURED ADJ RATE MTGE LOAN 2005-21 N/A 863579C30 50519.390000 PA USD 45636.130000 0.0042782 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.67536 Y N N N N N STRUCTURED ADJUSTABLE RT MTG LN 2004-20 N/A 863579HD3 35490.850000 PA USD 35028.820000 0.0032838 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.56462 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VM7 50977.110000 PA USD 43479.380000 0.0040761 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.67838 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-18 N/A 863579XK9 36156.550000 PA USD 31969.440000 0.0029970 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.83758 Y N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 1427313.990000 PA USD 1303503.070000 0.1221994 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.70871 N N N N N N STRUCTURED ASSET INVST LN TR 2005-5 N/A 86358ETH9 1102328.720000 PA USD 1103057.800000 0.1034083 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.10871 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR6 N/A 86359LEV7 2209.710000 PA USD 2055.200000 0.0001927 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 41674.840000 PA USD 32247.390000 0.0030231 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.94871 Y N N N N N STRUCTURED ASSET MTGE INVEST 2007-AR7 N/A 86364KAE4 2290705.510000 PA USD 1825088.460000 0.1710965 Long ABS-MBS CORP US N 2 2047-05-25 Floating 3.27751 Y N N N N N STRUCTURED ASSET SEC CORP 2007-WF1 N/A 86358BAT9 1725966.220000 PA USD 1664252.920000 0.1560186 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.80871 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC1 N/A 86359YAD3 1518050.420000 PA USD 1418476.940000 0.1329779 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.54871 N N N N N N STWD 2022-FL3 LTD N/A 78485KAE5 9100000.000000 PA USD 8876584.080000 0.8321526 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 5.60732 N N N N N N SYMPHONY STATIC CLO 2021-1A N/A 87190TAA1 1377561.260000 PA USD 1356670.820000 0.1271837 Long ABS-CBDO CORP KY N 2 2029-10-25 Floating 5.18843 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACQ6 1000000.000000 PA USD 810600.400000 0.0759913 Long DBT CORP US N 2 2032-03-15 Fixed 2.7 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABV6 600000.000000 PA USD 529616.700000 0.0496499 Long DBT CORP US N 2 2029-04-15 Fixed 3.375 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABW4 900000.000000 PA USD 779151.980000 0.0730431 Long DBT CORP US N 2 2031-04-15 Fixed 3.5 N N N N N N TAURUS 2021-1 UK DAC 21-UK1A N/A ACI1W1MF8 794167.040000 PA 904044.810000 0.0847514 Long ABS-MBS CORP IE N 2 2031-05-17 Floating 3.95409 N N N N N N THEOREM FUNDING TRUST 2022-1A N/A 88339XAA2 1684059.550000 PA USD 1642886.820000 0.1540156 Long ABS-O CORP US N 2 2028-02-15 Fixed 1.85 N N N N N N TIAA CLO IV LTD 2018-1A N/A 88631YAE7 6900000.000000 PA USD 6685989.600000 0.6267911 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 5.94257 N N N N N N TORO EUROPEAN CLO 6 DAC 6A N/A ACI1ZW9V7 12200000.000000 PA 12581199.550000 1.1794489 Long ABS-CBDO CORP IE N 2 2032-01-12 Floating 2.239 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 506446.720000 PA 605731.620000 0.0567855 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 3.75493 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 3270000.000000 PA USD 3234497.610000 0.3032242 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AP3 5300000.000000 PA USD 5080165.170000 0.4762499 Long DBT CORP CH N 2 2028-05-12 Floating 4.751 N N N N N N ANGLOGOLD ASHANTI HOLDINGS PLC 213800745ZIXC4L6A131 03512TAF8 1600000.000000 PA USD 1397726.030000 0.1310325 Long DBT CORP IM N 2 2028-11-01 Fixed 3.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796U31 4536000.000000 PA USD 4493831.120000 0.4212829 Long DBT UST US N 2 2023-03-23 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796YB9 39448000.000000 PA USD 39178915.720000 3.6729034 Long DBT UST US N 2 2023-03-02 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBF7 4464603.000000 PA USD 3967982.440000 0.3719862 Long DBT UST US N 2 2031-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 926754.400000 PA USD 748527.120000 0.0701721 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 5340962.820000 PA USD 4965154.570000 0.4654680 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 1898250.000000 PA USD 1536917.580000 0.1440813 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 4013288.790000 PA USD 3412361.720000 0.3198985 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 1058610.960000 PA USD 892071.340000 0.0836290 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TE8 321153.000000 PA USD 208311.080000 0.0195285 Long DBT UST US N 2 2052-02-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZZ6 7903640.000000 PA USD 7081696.220000 0.6638873 Long DBT UST US N 2 2030-07-15 Fixed 0.125 N N N N N N APS RESECURITIZATION TRUST 2015-1 N/A 00191TAG0 2905413.330000 PA USD 2706402.980000 0.2537170 Long ABS-MBS CORP US N 2 2054-08-28 Variable 4.29951 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL2 N/A 03881JAE6 2700000.000000 PA USD 2640207.150000 0.2475113 Long ABS-CBDO CORP US N 2 2037-05-15 Floating 6.73561 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL2 N/A 03881JAG1 2700000.000000 PA USD 2648198.880000 0.2482605 Long ABS-CBDO CORP US N 2 2037-05-15 Floating 7.23561 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AB9 1800000.000000 PA USD 1710967.820000 0.1603980 Long DBT CORP US N 2 2028-02-15 Fixed 4.75 N N N N N N AREIT TRUST 2021-CRE5 N/A 04002PAE4 1500000.000000 PA USD 1424362.500000 0.1335296 Long ABS-MBS CORP KY N 2 2038-11-17 Floating 6.15914 N N N N N N WACHOVIA MTGE LOAN TRUST 2006-A N/A 92977TAC6 21890.890000 PA USD 20661.070000 0.0019369 Long ABS-MBS CORP US N 2 2036-05-20 Floating 3.93714 Y N N N N N WAMU ASSET-BACKED CERTIFICATES 2007-HE3 N/A 93364EAD6 478891.710000 PA USD 393583.860000 0.0368973 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.62871 N N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAE4 1226266.360000 PA USD 1101313.860000 0.1032448 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.22851 Y N N N N N WASHING MUTUAL MTGE P/T 2006-5 N/A 93934NAF2 878832.490000 PA USD 641336.090000 0.0601233 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 Y N N N N N WASHING MUTUAL MTGE P/T 2006-5 N/A 93934NAQ8 390796.410000 PA USD 267897.580000 0.0251146 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 Y N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X40 81548.650000 PA USD 75619.220000 0.0070891 Long ABS-MBS CORP US N 2 2045-01-25 Floating 5.02871 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 12373.110000 PA USD 11443.630000 0.0010728 Long ABS-MBS CORP US N 2 2045-10-25 Floating 4.96871 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 2372167.850000 PA USD 2200662.250000 0.2063053 Long ABS-MBS CORP US N 2 2045-12-25 Floating 4.92871 N N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAA4 408128.620000 PA USD 341231.070000 0.0319894 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 53528.320000 PA USD 47494.710000 0.0044525 Long ABS-MBS CORP US N 2 2046-10-25 Floating 3.54826 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAA1 153752.310000 PA USD 133245.870000 0.0124914 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.51007 Y N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAD2 295828.960000 PA USD 275752.910000 0.0258510 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.03001 N N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AA8 513811.890000 PA USD 441090.240000 0.0413509 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.70953 Y N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 236858.550000 PA USD 208466.130000 0.0195431 Long ABS-MBS CORP US N 2 2046-02-25 Floating 3.04826 N N N N N N WASHINGTON MUTUAL 2006-AR5 N/A 93362YAA0 2847463.790000 PA USD 2551749.830000 0.2392187 Long ABS-MBS CORP US N 2 2046-06-25 Floating 3.03826 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAB3 4541116.260000 PA USD 3466799.410000 0.3250018 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 37176.970000 PA USD 29789.370000 0.0027927 Long ABS-MBS CORP US N 2 2047-07-25 Floating 2.85826 N N N N N N ARGENT SECURITIES INC 2003-W10 N/A 040104EN7 124431.190000 PA USD 112516.490000 0.0105481 Long ABS-MBS CORP US N 2 2034-01-25 Floating 5.46871 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1 N/A 939336PL1 26.740000 PA USD 25.170000 0.0000024 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 170272.300000 PA USD 144123.910000 0.0135112 Long ABS-MBS CORP US N 2 2047-02-25 Floating 2.79826 Y N N N N N ARGENT SECURITIES INC 2004-W3 N/A 040104FW6 742460.480000 PA USD 699413.960000 0.0655679 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.20871 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746RW3 1000000.000000 PA USD 936515.250000 0.0877954 Long DBT CORP US N 2 2026-04-22 Fixed 3 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2G7 900000.000000 PA USD 766387.340000 0.0718465 Long DBT CORP US N 2 2030-10-30 Floating 2.879 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 ACI1M1519 500000.000000 PA 516816.690000 0.0484500 Long DBT CORP US N 2 2025-05-04 Floating 1.338 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 ACI1M15X9 1100000.000000 PA 999563.260000 0.0937060 Long DBT CORP US N 2 2030-05-04 Floating 1.741 N N N N N N WELLS FARGO ALTERNATIVE LOAN 2007-PA4 N/A 94984UAE6 1729706.170000 PA USD 1516604.290000 0.1421770 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 103949.160000 PA USD 87042.860000 0.0081600 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6.25 Y N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC18 N/A 94989AAV7 318989.180000 PA USD 310961.980000 0.0291517 Long ABS-MBS CORP US N 2 2047-12-15 Fixed 3.244 N N N N N N ARGENT SECURITIES INC 2006-M2 N/A 04013BAB8 81542.800000 PA USD 27238.170000 0.0025535 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.49871 N N N N N N N/A N/A 000000000 2651000.000000 PA USD 2651000.000000 0.2485231 Long RA US N 2 Repurchase N 1.9000000 2023-01-03 2767500.000000 USD 2704085.500000 USD UST N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1T4 1198000.000000 PA USD 280032.500000 0.0262522 Long DBT NUSS AR N 2 2030-07-09 Variable 0.5 N N N N N N N/A N/A 000000000 363800000.000000 PA USD 363800000.000000 34.1051360 Long RA US N 2 Repurchase N 4.2800000 2023-01-03 428743400.000000 USD 369651601.050000 USD UST N N N N/A N/A 000000000 380500000.000000 PA USD 380500000.000000 35.6707099 Long RA US N 2 Repurchase N 4.2000000 2023-01-04 429743700.000000 USD 388162640.730000 USD UST N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1M9 818000.000000 PA USD 191207.500000 0.0179251 Long DBT NUSS AR N 2 2035-07-09 Variable 1.5 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0QD081 3616000.000000 PA 3159.460000 0.0002962 Long DBT NUSS AR N 2 2026-10-17 Fixed 15.5 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HX1 287858.000000 PA USD 77002.020000 0.0072187 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 USD -120256.940000 -0.0112737 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 -3036784.190000 USD 12051560.760000 USD 2916527.250000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HS2 1084405.000000 PA USD 296042.570000 0.0277531 Long DBT NUSS AR N 2 2030-07-09 Variable 0.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 490.640000 0.0000460 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-06-20 18958.430000 USD 0.000000 USD 1100000.000000 USD -18467.790000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HT0 2536334.000000 PA USD 645497.000000 0.0605134 Long DBT NUSS AR N 2 2035-07-09 Variable 1.5 N N N N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HV5 8905000.000000 PA USD 2553508.750000 0.2393836 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 -9187.850000 -0.0008613 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 855000.000000 EUR 908682.970000 USD 2023-02-16 -9187.850000 N N N N/A N/A 000000000 1.000000 NC -923270.770000 -0.0865538 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1460000000.000000 JPY 10210468.530000 USD 2023-01-11 -923270.770000 N N N N/A N/A 000000000 1.000000 NC 4128.030000 0.0003870 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 573432.790000 USD 538000.000000 EUR 2023-02-16 4128.030000 N N N N/A N/A 000000000 1.000000 NC -24416.670000 -0.0022890 N/A DFE HU N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 343049036.000000 HUF 895292.000000 USD 2023-01-03 -24416.670000 N N N N/A N/A 000000000 1.000000 NC -18948.260000 -0.0017763 N/A DFE HU N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 250429500.000000 HUF 652449.000000 USD 2023-01-03 -18948.260000 N N N N/A N/A 000000000 1.000000 NC 5228.370000 0.0004901 N/A DFE ZA N 2 BNP Paribas S.A. N/A 99012.670000 USD 1777297.230000 ZAR 2023-02-13 5228.370000 N N N N/A N/A 000000000 1.000000 NC -2025872.630000 -0.1899194 N/A DFE N/A N 2 BNP Paribas S.A. N/A 55355000.000000 EUR 57399553.530000 USD 2023-02-16 -2025872.630000 N N N N/A N/A 000000000 1.000000 NC -24957.350000 -0.0023397 N/A DFE HU N 2 BNP Paribas S.A. N/A 360306765.000000 HUF 941019.000000 USD 2023-01-03 -24957.350000 N N N N/A N/A 000000000 1.000000 NC -4502.380000 -0.0004221 N/A DFE HU N 2 BNP Paribas S.A. N/A 82375522.000000 HUF 216345.000000 USD 2023-01-03 -4502.380000 N N N N/A N/A 000000000 1.000000 NC USD -15946.300000 -0.0014949 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2026-06-20 0.000000 USD -14300.920000 USD 2000000.000000 USD -1645.380000 N N N N/A N/A 000000000 1.000000 NC USD -22351.610000 -0.0020954 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2026-12-20 0.000000 USD -9056.810000 USD 2200000.000000 USD -13294.800000 N N N N/A N/A 000000000 1.000000 NC USD -144218.970000 -0.0135201 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.34 Y Single Leg Swap 2025-12-20 0.000000 USD -111117.600000 USD 3036000.000000 USD -33101.370000 N N N N/A N/A 000000000 1.000000 NC USD -2946.800000 -0.0002763 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.35 Y Single Leg Swap 2026-06-20 0.000000 USD -3404.000000 USD 92000.000000 USD 457.200000 N N N N/A N/A 000000000 1.000000 NC USD -252792.580000 -0.0236985 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.36 Y Single Leg Swap 2026-12-20 0.000000 USD -235290.000000 USD 6532000.000000 USD -17502.580000 N N N N/A N/A 000000000 1.000000 NC USD -139376.160000 -0.0130661 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.38 Y Single Leg Swap 2027-12-20 0.000000 USD -198990.000000 USD 2400000.000000 USD 59613.840000 N N N N/A N/A 000000000 1.000000 NC USD 24627.970000 0.0023088 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.38 Y Single Leg Swap 2027-06-20 6939.900000 USD 0.000000 USD 1089000.000000 USD 17688.070000 N N N N/A N/A 000000000 1.000000 NC USD 58294.380000 0.0054649 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 -206280.000000 USD 7500000.000000 USD 264574.380000 N N N N/A N/A 000000000 1.000000 NC USD 84878.000000 0.0079571 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.38 Y Single Leg Swap 2027-06-20 81929.290000 USD 0.000000 USD 7800000.000000 USD 2948.710000 N N N N/A N/A 000000000 1.000000 NC USD 159696.490000 0.0149711 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.39 Y Single Leg Swap 2027-12-20 25179.430000 USD 0.000000 USD 19100000.000000 USD 134517.060000 N N N ASSET BACKED FUNDING CERT 2004-FF1 N/A 04542BHM7 1638537.250000 PA USD 1547598.600000 0.1450826 Long ABS-MBS CORP US N 2 2034-03-25 Floating 5.43871 Y N N N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAD1 2598361.610000 PA USD 1546190.670000 0.1449506 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.60871 N N N N N N N/A N/A 000000000 1.000000 NC 280.480000 0.0000263 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 248712.730000 BRL 47387.390000 USD 2023-01-04 280.480000 N N N N/A N/A 000000000 1.000000 NC 326322.630000 0.0305917 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10197960.000000 ILS 3227508.940000 USD 2023-01-04 326322.630000 N N N N/A N/A 000000000 1.000000 NC 239958.760000 0.0224954 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7399260.000000 ILS 2344951.510000 USD 2023-01-04 239958.760000 N N N ASSET BACKED SEC CORP HM EQ 2005-HE6 N/A 04541GTN2 61838.680000 PA USD 61567.620000 0.0057718 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.34871 N N N N N N ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2006-HE2 N/A 04541GWF5 11443000.000000 PA USD 9152826.590000 0.8580495 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.96871 N N N N N N N/A N/A 000000000 1.000000 NC -177116.620000 -0.0166041 N/A DFE IL N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 5152592.710000 USD 17489296.000000 ILS 2023-01-04 -177116.620000 N N N N/A N/A 000000000 1.000000 NC -8379.470000 -0.0007855 N/A DFE HU N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 107472000.000000 HUF 279751.150000 USD 2023-01-03 -8379.470000 N N N N/A N/A 000000000 1.000000 NC -132509.420000 -0.0124224 N/A DFE DK N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 43084500.490000 DKK 6072465.000000 USD 2023-01-10 -132509.420000 N N N N/A N/A 000000000 1.000000 NC USD -321895.540000 -0.0301767 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-05-17 0.000000 USD 0.000000 USD 5310523.180000 USD -321895.540000 N N N N/A N/A 000000000 1.000000 NC USD -3512050.380000 -0.3292440 N/A DE US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-05-17 0.000000 USD 0.000000 USD 57932117.200000 USD -3512050.380000 N N N N/A N/A 000000000 1.000000 NC USD -9536029.900000 -0.8939736 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-08-23 0.000000 USD 0.000000 USD 157252996.880000 USD -9536029.900000 N N N N/A N/A 000000000 1.000000 NC USD -4192623.560000 -0.3930456 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-10-18 0.000000 USD 0.000000 USD 69127928.380000 USD -4192623.560000 N N N N/A N/A 000000000 1.000000 NC USD -7995461.130000 -0.7495500 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-12-13 0.000000 USD 0.000000 USD 284995806.480000 USD -7995461.130000 N N N N/A N/A 000000000 1.000000 NC USD -2373161.570000 -0.2224766 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-08-09 0.000000 USD 0.000000 USD 39122926.600000 USD -2373161.570000 N N N N/A N/A 000000000 1.000000 NC USD -3103465.270000 -0.2909404 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-07-05 0.000000 USD 0.000000 USD 67232870.580000 USD -3103465.270000 N N N N/A N/A 000000000 1.000000 NC USD -5805884.820000 -0.5442839 N/A DE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-09-06 0.000000 USD 0.000000 USD 95685290.480000 USD -5805884.820000 N N N N/A N/A 000000000 1.000000 NC USD -74811.520000 -0.0070134 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-04-19 0.000000 USD 0.000000 USD 1232588.140000 USD -74811.520000 N N N N/A N/A 000000000 1.000000 NC USD -961681.570000 -0.0901547 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-04-05 0.000000 USD 0.000000 USD 53451562.800000 USD -961681.570000 N N N N/A N/A 000000000 1.000000 NC USD -15200740.300000 -1.4250229 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI US LARGE STRATEGY (ERAFI US LARGE) Y 2023-01-11 0.000000 USD 0.000000 USD 283140806.400000 USD -15200740.300000 N N N N/A N/A 000000000 1.000000 NC USD 10967.610000 0.0010282 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 FORD MOTOR CREDIT COMPANY LLC FORD MOTOR CREDIT CO LLC Y Single Leg Swap 2025-06-20 7390.390000 USD 0.000000 USD 200000.000000 USD 3577.220000 N N N N/A N/A 000000000 1.000000 NC USD 9640.710000 0.0009038 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-20 21628.200000 USD 0.000000 USD 1900000.000000 USD -11987.490000 N N N N/A N/A 000000000 1.000000 NC USD 564207.410000 0.0528927 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SRUNSEC Y Single Leg Swap 2026-12-20 1034882.440000 USD 0.000000 USD 5200000.000000 USD -470675.030000 N N N N/A N/A 000000000 -70.000000 NC 641417.510000 0.0601309 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2023-03-08 -9960639.570000 EUR 641417.510000 N N N N/A N/A 000000000 -9.000000 NC 246236.950000 0.0230840 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2023-03-08 -1302908.300000 EUR 246236.950000 N N N N/A N/A 000000000 1.000000 NC -791.550000 -0.0000742 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 47898.460000 USD 248712.730000 BRL 2023-01-04 -791.550000 N N N N/A N/A 000000000 1.000000 NC 477.720000 0.0000448 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 75443.000000 USD 524794.270000 CNY 2023-01-19 477.720000 N N N N/A N/A 000000000 1.000000 NC 2494.360000 0.0002338 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 61778.540000 USD 1270000.000000 MXN 2023-03-21 2494.360000 N N N N/A N/A 000000000 1.000000 NC 754.360000 0.0000707 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 248712.730000 BRL 47604.620000 USD 2023-02-02 754.360000 N N N N/A N/A 000000000 1.000000 NC 192.530000 0.0000180 N/A DFE HK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 693392.580000 HKD 89061.000000 USD 2023-01-19 192.530000 N N N N/A N/A 000000000 1.000000 NC 46623.960000 0.0043709 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1557744.530000 USD 11140000.000000 DKK 2023-01-10 46623.960000 N N N N/A N/A 000000000 1.000000 NC 1680.350000 0.0001575 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 538926.860000 CNY 80305.000000 USD 2023-05-10 1680.350000 N N N N/A N/A 000000000 1.000000 NC -107542.410000 -0.0100818 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 38960897.470000 DKK 5503556.000000 USD 2023-01-10 -107542.410000 N N N N/A N/A 000000000 1.000000 NC 35477.520000 0.0033259 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3690000.000000 GBP 4497211.850000 USD 2023-01-10 35477.520000 N N N N/A N/A 000000000 1.000000 NC 822.430000 0.0000771 N/A DFE HK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2877941.270000 HKD 369673.000000 USD 2023-01-19 822.430000 N N N N/A N/A 000000000 1.000000 NC 25261.350000 0.0023682 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 891417.770000 USD 6365000.000000 DKK 2023-01-10 25261.350000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAF8 14000.000000 PA USD 13654.830000 0.0012801 Long DBT CORP US N 2 2024-01-30 Fixed 4.375 N N N N N N N/A N/A 000000000 1.000000 NC 5174.990000 0.0004851 N/A DFE ZA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 98931.210000 USD 1771000.000000 ZAR 2023-01-18 5174.990000 N N N N/A N/A 000000000 1.000000 NC -7352.270000 -0.0006893 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4420000.000000 DKK 629210.450000 USD 2023-01-10 -7352.270000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAH4 400000.000000 PA USD 393226.110000 0.0368637 Long DBT CORP US N 2 2024-12-15 Fixed 5.5 N N N N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAR2 187000.000000 PA USD 149743.660000 0.0140380 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N N/A N/A 000000000 1.000000 NC 413911.860000 0.0388030 N/A DCR NL N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 STELLANTIS NV FIAT CHRYSLER AUTOMOBILE SR UNSEC Y Single Leg Swap 2026-12-20 679310.890000 EUR 0.000000 EUR 3000000.000000 EUR -265399.030000 N N N 2023-02-09 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX