NPORT-P false 0000810893 XXXXXXXX S000023716 C000126843 C000126844 C000069770 C000069768 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO RAE PLUS EMG Fund S000023716 E5LPIUVQZNA4IY7QBQ29 2023-03-31 2023-03-31 N 220113465.190000 18327591.240000 201785873.950000 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 3338124.980000 DKK EUR JPY USD N MSCI Emerging Markets Value Net Total Return Index M1EF000V BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BHP3 N/A 05891HAA1 1000000.000000 PA USD 984925.000000 0.4881040 Long ABS-MBS CORP US N 2 2037-03-15 Floating 6.584 N N N N N N N/A N/A 000000000 1.000000 NC USD 41387.990000 0.0205108 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2051-12-07 20692.310000 USD 0.000000 USD 1300000.000000 USD 20695.680000 N N N N/A N/A 000000000 1.000000 NC 0.000000 0.0000000 N/A DIR CN N 2 London Clearing house N/A CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2026-03-17 0.000000 CNY -29772.180000 CNY 0.000000 CNY 29772.180000 N N N BANC OF AMERICA FUNDING CORP 2005-A N/A 05946XQX4 29841.500000 PA USD 24721.250000 0.0122512 Long ABS-MBS CORP US N 2 2035-02-20 Floating 4.13639 N N N N N N N/A N/A 000000000 1.000000 NC -8530.940000 -0.0042277 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2053-09-20 45933.530000 EUR 0.000000 EUR 1700000.000000 EUR -54464.470000 N N N N/A N/A 000000000 1.000000 NC 17214.240000 0.0085309 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2033-09-20 0.000000 EUR -37847.900000 EUR 3800000.000000 EUR 55062.140000 N N N N/A N/A 000000000 1.000000 NC USD 933133.950000 0.4624377 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 933971.410000 USD 0.000000 USD 7300000.000000 USD -837.460000 N N N N/A N/A 000000000 1.000000 NC USD -1321293.310000 -0.6547997 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2024-06-15 0.000000 USD -1177876.280000 USD 28600000.000000 USD -143417.030000 N N N N/A N/A 000000000 1.000000 NC USD 73502.090000 0.0364258 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-06-15 69698.890000 USD 0.000000 USD 300000.000000 USD 3803.200000 N N N N/A N/A 000000000 1.000000 NC USD -554403.270000 -0.2747483 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-06-15 0.000000 USD -530142.980000 USD 7000000.000000 USD -24260.290000 N N N N/A N/A 000000000 1.000000 NC USD 18894.600000 0.0093637 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 38420.140000 USD 0.000000 USD 1500000.000000 USD -19525.540000 N N N N/A N/A 000000000 1.000000 NC USD 17240.160000 0.0085438 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-06-21 6741.530000 USD 0.000000 USD 1600000.000000 USD 10498.630000 N N N N/A N/A 000000000 1.000000 NC USD 1454.880000 0.0007210 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-21 0.000000 USD -12249.310000 USD 2100000.000000 USD 13704.190000 N N N N/A N/A 000000000 1.000000 NC 128.720000 0.0000638 N/A DFE ZA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 169691.560000 ZAR 9651.840000 USD 2023-04-13 128.720000 N N N N/A N/A 000000000 1.000000 NC -2190.190000 -0.0010854 N/A DFE ZA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1252109.510000 ZAR 68046.760000 USD 2023-04-18 -2190.190000 N N N N/A N/A 000000000 1.000000 NC 133.640000 0.0000662 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 22251.000000 USD 30252.460000 CAD 2023-04-04 133.640000 N N N N/A N/A 000000000 1.000000 NC 17449.550000 0.0086476 N/A DFE ID N 2 UBS AG BFM8T61CT2L1QCEMIK50 627198.180000 USD 9652266391.000000 IDR 2023-06-28 17449.550000 N N N N/A N/A 000000000 1.000000 NC -2767.550000 -0.0013715 N/A DFE KR N 2 UBS AG BFM8T61CT2L1QCEMIK50 2322000.000000 USD 3028446673.000000 KRW 2023-04-14 -2767.550000 N N N N/A N/A 000000000 1.000000 NC 22167.760000 0.0109858 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 717779.070000 USD 13368000.000000 MXN 2023-04-17 22167.760000 N N N N/A N/A 000000000 1.000000 NC 2232.740000 0.0011065 N/A DFE TR N 2 UBS AG BFM8T61CT2L1QCEMIK50 169008.730000 USD 3284325.690000 TRY 2023-04-03 2232.740000 N N N N/A N/A 000000000 1.000000 NC -133.860000 -0.0000663 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 30240.330000 CAD 22251.000000 USD 2023-05-02 -133.860000 N N N N/A N/A 000000000 1.000000 NC 459.490000 0.0002277 N/A DFE HK N 2 UBS AG BFM8T61CT2L1QCEMIK50 1374000.000000 HKD 175596.080000 USD 2023-04-14 459.490000 N N N N/A N/A 000000000 1.000000 NC 831.490000 0.0004121 N/A DFE HK N 2 UBS AG BFM8T61CT2L1QCEMIK50 7991000.000000 HKD 1019402.450000 USD 2023-04-14 831.490000 N N N N/A N/A 000000000 1.000000 NC -1516.680000 -0.0007516 N/A DFE IN N 2 UBS AG BFM8T61CT2L1QCEMIK50 15330358.000000 INR 185000.000000 USD 2023-04-19 -1516.680000 N N N N/A N/A 000000000 1.000000 NC 165944.650000 0.0822380 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 540000000.000000 JPY 4244689.030000 USD 2023-04-24 165944.650000 N N N N/A N/A 000000000 1.000000 NC 131.320000 0.0000651 N/A DFE TR N 2 UBS AG BFM8T61CT2L1QCEMIK50 3332893.050000 TRY 173905.040000 USD 2023-04-03 131.320000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLE7 1300000.000000 PA USD 1296929.840000 0.6427258 Long DBT CORP US N 2 2027-01-20 Floating 5.08 N N N N N N N/A N/A 000000000 66.000000 NC USD 22626.340000 0.0112130 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-06-21 7593609.410000 USD 22626.340000 N N N N/A N/A 000000000 23.000000 NC USD -34564.220000 -0.0171292 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-06-30 4751925.760000 USD -34564.220000 N N N N/A N/A 000000000 -25.000000 NC USD -6532.800000 -0.0032375 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-06-30 -2741113.280000 USD -6532.800000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKN8 200000.000000 PA USD 200539.510000 0.0993823 Long DBT CORP US N 2 2026-04-02 Floating 6.1631 N N N N N N N/A N/A 000000000 -4.000000 NC USD -16654.720000 -0.0082537 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-06-21 -566687.500000 USD -16654.720000 N N N BANK OF AMERICA MTG SEC 2005-3 N/A 05949A6C9 15971.550000 PA USD 13230.160000 0.0065565 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.31066 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AE5 1185462.890000 PA USD 977911.220000 0.4846282 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.16529 Y N N N N N BHG SECURITIZATION TRUST 2022-C N/A 08860DAB9 1100000.000000 PA USD 1100191.400000 0.5452272 Long ABS-O CORP US N 2 2035-10-17 Fixed 5.93 N N N N N N BLUEMOUNTAIN CLO XXII LTD 2018-22A N/A 09629PAA4 500000.000000 PA USD 494304.240000 0.2449647 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 5.87243 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2022-AHP N/A 05610FAC1 1000000.000000 PA USD 967770.600000 0.4796027 Long ABS-MBS CORP US N 2 2039-01-17 Floating 6.66709 N N N N N N CAPITAL FOUR US CLO 2022-1A N/A 14016CAA4 600000.000000 PA USD 599702.700000 0.2971976 Long ABS-CBDO CORP JE N 2 2030-10-20 Floating 5.81352 N N N N N N CAPITAL ONE PRIME AUTO RECEIVABLES TRUST 2023-1 N/A 14043KAB1 898119.530000 PA USD 897920.330000 0.4449867 Long ABS-O CORP US N 2 2024-03-15 Fixed 4.9 N N N N N N CARMAX AUTO OWNER TRUST 2022-4 N/A 14318UAC5 700000.000000 PA USD 701099.700000 0.3474474 Long ABS-O CORP US N 2 2025-12-15 Floating 5.45804 N N N N N N CARNOW AUTO RECEIVABLES TRUST 2022-1A N/A 14367LAA9 7740.750000 PA USD 7732.060000 0.0038318 Long ABS-O CORP US N 2 2024-07-15 Fixed 3.44 N N N N N N CARNOW AUTO RECEIVABLES TRUST 2023-1A N/A 14367RAA6 402341.600000 PA USD 402815.400000 0.1996252 Long ABS-O CORP US N 2 2024-12-16 Fixed 6.62 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2019-1A N/A 146868AG9 500000.000000 PA USD 497520.250000 0.2465585 Long ABS-O CORP US N 2 2026-01-15 Fixed 5.64 N N N N N N CBAM 2018-5 LTD 5A N/A 12481QAC9 900000.000000 PA USD 886950.000000 0.4395501 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 5.81243 N N N N N N CHL MORTGAGE PASS-THROUGH TRUST 2006-12 N/A 125432AE4 848533.960000 PA USD 479378.580000 0.2375680 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 N N N N N N CHL MORTGAGE PASS-THROUGH TRUST 2007-19 N/A 12544PAA0 1293037.410000 PA USD 605628.720000 0.3001343 Long ABS-MBS CORP US N 2 2037-12-25 Fixed 6.5 N N N N N N CITIBANK CREDIT CARD ISSUANCE TRUST 2018-A4 N/A 17305EGN9 1700000.000000 PA USD 1700247.180000 0.8425997 Long ABS-MBS CORP US N 2 2025-06-09 Floating 5.04914 N N N N N N CITIGROUP MORTGAGE LOAN TR 2006-WF2 N/A 17309BAL1 1031865.930000 PA USD 545519.970000 0.2703460 Long ABS-MBS CORP US N 2 2036-05-25 Variable 7.25 Y N N N N N CITIGROUP MORTGAGE LOAN TRUST 2022-A N/A 17330VAA4 956516.230000 PA USD 951948.870000 0.4717619 Long ABS-MBS CORP US N 2 2062-09-25 Fixed 6.17 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR1 N/A 17307G3C0 84111.580000 PA USD 75347.000000 0.0373401 Long ABS-MBS CORP US N 2 2036-03-25 Floating 6.38 Y N N N N N CLNC 2019-FL1 LTD N/A 12565DAA1 204712.890000 PA USD 201169.460000 0.0996945 Long ABS-CBDO CORP KY N 2 2035-08-20 Floating 6.0556 N N N N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A 12564NAA0 1000000.000000 PA USD 954449.200000 0.4730010 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.07048 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21037DRC0 500000.000000 PA USD 499087.000000 0.2473350 Long DBT CORP US N 2 2023-04-12 None 0 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA3 N/A 12668BB44 243662.420000 PA USD 202237.420000 0.1002238 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.24529 N N N N N N COUNTRYWIDE ASSET BACKED CERT 2007-QH2 N/A 12668JAA4 806541.390000 PA USD 657222.830000 0.3257031 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.32529 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-5 N/A 126670YH5 1395.210000 PA USD 1394.280000 0.0006910 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.42529 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670LE6 7621.960000 PA USD 6786.210000 0.0033631 Long ABS-MBS CORP US N 2 2036-02-20 Floating 6.53729 Y N N N N N CQS US CLO 2022-2A LTD N/A 12664BAE7 600000.000000 PA USD 596338.620000 0.2955304 Long ABS-CBDO CORP JE N 2 2031-07-20 Floating 8.03904 N N N N N N CREDIT SUISSE AG/ LONDON BRANCH ANGGYXNX0JLX3X63JN86 ACI2018R1 600000.000000 PA 644975.080000 0.3196334 Long DBT CORP CH N 2 2023-09-01 Floating 3.716 N N N N N N CREDIT SUISSE AG/NEW YORK BRANCH 549300D0YARF5HYP1809 22550L2L4 400000.000000 PA USD 407104.000000 0.2017505 Long DBT CORP CH N 2 2025-01-09 Fixed 7.95 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-6 N/A 12639PAA6 763032.530000 PA USD 480296.170000 0.2380227 Long ABS-MBS CORP US N 2 2037-10-25 Variable 6.4205 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-NET N/A 126438AE0 1200000.000000 PA USD 1088665.080000 0.5395150 Long ABS-MBS CORP US N 2 2037-08-15 Fixed 2.8159 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAH7 500000.000000 PA USD 478517.500000 0.2371412 Long DBT CORP US N 2 2024-02-15 Fixed 1.625 N N N N N N DAIMLER TRUCK FINANCE NORTH AMERICA LLC 5493003HSDTSCZRXBA58 233853AN0 200000.000000 PA USD 200436.920000 0.0993315 Long DBT CORP US N 2 2025-01-17 Fixed 5.2 N N N N N N DBGS MORTGAGE TRUST 2018-5BP N/A 33830CAC4 600000.000000 PA USD 542185.440000 0.2686935 Long ABS-MBS CORP US N 2 2033-06-15 Floating 5.664 N N N N N N DELL EQUIPMENT FINANCE TRUST 2020-2 N/A 24704GAC7 252867.460000 PA USD 252167.170000 0.1249677 Long ABS-O CORP US N 2 2023-10-23 Fixed 0.57 N N N N N N DISCOVER CARD EXECUTION NOTE TRUST 2018-A6 N/A 254683CJ2 600000.000000 PA USD 599949.180000 0.2973197 Long ABS-MBS CORP US N 2 2026-03-15 Floating 5.07443 N N N N N N DSLA MORTGAGE LOAN TRUST 2004-AR1 N/A 23332UAC8 79245.770000 PA USD 69604.520000 0.0344942 Long ABS-MBS CORP US N 2 2044-09-19 Floating 5.58143 N N N N N N ENTERPRISE FLEET FINANCING LLC 2023-1 N/A 29375CAA7 456619.730000 PA USD 456788.950000 0.2263731 Long ABS-O CORP US N 2 2024-03-20 Fixed 5.33 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBL9 200000.000000 PA USD 169525.280000 0.0840125 Long DBT CORP US N 2 2028-03-15 Fixed 1.55 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 11659.630000 PA USD 11428.630000 0.0056637 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 5.19529 N N N N N N FANNIE MAE 2007-65 N/A 31396WLX2 20078.120000 PA USD 19708.630000 0.0097671 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 5.22529 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 141282.350000 PA USD 140830.780000 0.0697922 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 5.56529 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 36685.180000 PA USD 36072.460000 0.0178766 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 5.24529 N N N N N N FANNIE MAE-ACES 2020-M33 N/A 3136BBAR3 2307732.300000 PA USD 212750.880000 0.1054340 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.24117 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 3130AUQ56 4300000.000000 PA USD 4299991.870000 2.1309677 Long DBT USGSE US N 2 2023-05-04 Floating 4.87 N N N N N N FIDELITY GRAND HARBOUR CLO 2022-1 DESIGNATED ACTIVITY CO 22-1A N/A ACI27G891 1300000.000000 PA 1397920.730000 0.6927743 Long ABS-CBDO CORP IE N 2 2036-10-15 Fixed 6.25 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR4 N/A 32051GTX3 209099.680000 PA USD 194181.590000 0.0962315 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.9777 Y N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 108090.490000 PA USD 1037452.510000 0.5141354 Long STIV RF US N 1 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 12651.450000 PA USD 122997.430000 0.0609544 Long STIV RF US N 1 N N N FREDDIE MAC 3355 N/A 31397KC90 130041.770000 PA USD 129343.850000 0.0640996 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 5.38443 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 72894.880000 PA USD 72629.850000 0.0359935 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 5.40443 N N N N N N FREDDIE MAC 3368 N/A 31397KL82 76921.730000 PA USD 76625.550000 0.0379737 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 5.40443 N N N N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 20424.940000 PA USD 20335.370000 0.0100777 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 5.39443 N N N N N N FREDDIE MAC-3891 N/A 3137ADTZ0 109009.140000 PA USD 107158.130000 0.0531049 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 5.23443 N N N N N N FREED ABS TRUST 2022-3FP N/A 35634EAA7 150200.290000 PA USD 149882.780000 0.0742781 Long ABS-O CORP US N 2 2029-08-20 Fixed 4.5 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAA3 2097496.930000 PA USD 1068647.210000 0.5295947 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.98529 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XDC7 600000.000000 PA USD 597117.840000 0.2959166 Long DBT CORP US N 2 2023-11-17 Floating 5.84353 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2022-2A N/A 36265NAB9 491009.160000 PA USD 485875.360000 0.2407876 Long ABS-O CORP US N 2 2026-01-15 Fixed 3.55 N N N N N N GOLDENTTREE LOAN MANAGEMENT US CLO LTD 2022-14A N/A 38136RAE7 1000000.000000 PA USD 985154.800000 0.4882179 Long ABS-CBDO CORP JE N 2 2035-07-20 Floating 7.13904 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZS6 200000.000000 PA USD 200284.260000 0.0992558 Long DBT CORP US N 2 2028-03-15 Floating 6.57187 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19 N/A 38380VEU1 525538.940000 PA USD 499431.110000 0.2475055 Long ABS-MBS USGSE US N 2 2047-08-20 Floating 2.69785 N N N N N N GREYSTONE COMMERCIAL REAL ESTATE NOTES 2019-FL2 N/A 39809LAA2 531061.020000 PA USD 525361.150000 0.2603558 Long ABS-CBDO CORP KY N 2 2037-09-15 Floating 5.86443 N N N N N N GS MORTGAGE SECURITIES CORP II 2022-GTWY N/A 36266DAA2 1200000.000000 PA USD 1194863.280000 0.5921442 Long ABS-MBS CORP US N 2 2039-08-15 Floating 8.228 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2018-HULA N/A 36259AAA7 640340.810000 PA USD 625773.380000 0.3101175 Long ABS-MBS CORP US N 2 2025-07-15 Floating 5.604 N N N N N N GSAA HOME EQUITY TRUST 2006-7 N/A 362334NB6 4678774.090000 PA USD 1857204.280000 0.9203837 Long ABS-MBS CORP US N 2 2046-03-25 Fixed 5.99494 Y N N N N N GSAA HOME EQUITY TRUST 2007-4 N/A 3622EBAB4 4852868.430000 PA USD 1450781.520000 0.7189708 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.24529 N N N N N N GSPA MONETIZATION TRUST N/A 36298GAA7 608262.610000 PA USD 592257.890000 0.2935081 Long DBT CORP US N 2 2029-10-09 Fixed 6.422 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RT8 16675.540000 PA USD 16090.940000 0.0079743 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.32377 N N N N N N GSRPM MORTGAGE LOAN TRUST 2006-1 N/A 362334NW0 3189000.000000 PA USD 3087343.930000 1.5300099 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.74529 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-9 N/A 41161PSK0 357058.880000 PA USD 313702.040000 0.1554628 Long ABS-MBS CORP US N 2 2035-06-20 Floating 5.44143 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A 41161PYZ0 1629882.560000 PA USD 998551.300000 0.4948569 Long ABS-MBS CORP US N 2 2036-01-19 Floating 5.26143 Y N N N N N HILTON ORLANDO TRUST 2018-ORL N/A 432885AG6 900000.000000 PA USD 873877.770000 0.4330718 Long ABS-MBS CORP US N 2 2034-12-15 Floating 5.98443 N N N N N N HOMEBANC MORTGAGE TRUST 2005-1 N/A 43739EAQ0 461455.990000 PA USD 385802.730000 0.1911941 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.46529 N N N N N N IMPAC CMB TR 2004-10 N/A 45254NLJ4 311695.810000 PA USD 278995.180000 0.1382630 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.48529 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR10 N/A 45660LKW8 103189.790000 PA USD 79333.030000 0.0393155 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.36529 N N N N N N INTERNATIONAL FLAVORS & FRAGRANCES INC BZLRL03D3GPGMOGFO832 4595A3R41 350000.000000 PA USD 349802.250000 0.1733532 Long DBT CORP US N 2 2023-04-04 None 0 N N N N N N IXIS REAL ESTATE CAPITAL TRUST 2006-HE1 N/A 45071KDD3 641436.170000 PA USD 323346.560000 0.1602424 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.24529 Y N N N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849CJL6 300000.000000 PA USD 297926.380000 0.1476448 Long DBT CORP US N 2 2024-06-28 Floating 5.98513 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2CD3K2 540000000.000000 PA 4067380.460000 2.0156914 Long DBT NUSS JP N 2 2023-04-24 None 0 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2CL1X8 550000000.000000 PA 4142938.430000 2.0531360 Long DBT NUSS JP N 2 2023-05-08 None 0 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2CRL21 540000000.000000 PA 4067730.220000 2.0158647 Long DBT NUSS JP N 2 2023-05-15 None 0 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT N/A 46645WBA0 800000.000000 PA USD 693600.000000 0.3437307 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 4.5487 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 10491.670000 PA USD 5301.640000 0.0026274 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 Y N N N N N JP MORGAN MORTGAGE TRUST-2005-A6 N/A 466247UG6 68267.980000 PA USD 55606.780000 0.0275573 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.01481 Y N N N N N LCCM 2021-FL2 TRUST N/A 50202KAA4 1100000.000000 PA USD 1066120.330000 0.5283424 Long ABS-CBDO CORP US N 2 2038-12-13 Floating 5.88443 N N N N N N LCRT 2019-2 N/A 52604MAA0 27587.010000 PA USD 27485.770000 0.0136213 Long ABS-O CORP US N 2 2025-08-15 Fixed 4 N N N N N N LCRT 2019-7 N/A 52605FAA4 97074.270000 PA USD 96025.010000 0.0475876 Long ABS-O CORP US N 2 2027-01-15 Fixed 3.75 N N N N N N LEHMAN MORTGAGE TRUST 2006-7 N/A 52520QAB0 1031695.200000 PA USD 517347.790000 0.2563845 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.49529 Y N N N N N LEHMAN XS TRUST 2006 GP4 N/A 525161AN5 1471221.290000 PA USD 1372848.960000 0.6803494 Long ABS-MBS CORP US N 2 2046-08-25 Floating 5.29529 N N N N N N LENDINGCLUB RECEIVABLES TRUST SERIES 2019-5 N/A 52605CAA1 55617.780000 PA USD 55017.950000 0.0272655 Long ABS-O CORP US N 2 2045-12-15 Fixed 3.75 N N N N N N LIBERTY LENDING ABS TRUST 2022-1A N/A 50203YAA3 602746.950000 PA USD 592647.200000 0.2937010 Long ABS-O CORP US N 2 2029-11-15 Fixed 3.76 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAR4 300000.000000 PA USD 285695.250000 0.1415834 Long DBT CORP GB N 2 2026-03-18 Floating 3.511 N N N N N N LOANCORE ISSUER LTD 2021-CRE6 N/A 53948HAA4 1100000.000000 PA USD 1079939.520000 0.5351908 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 5.98443 N N N N N N M360 2021-CRE3 LLC N/A 55379AAA2 900000.000000 PA USD 887653.710000 0.4398988 Long ABS-CBDO CORP KY N 2 2038-11-22 Floating 6.25229 N N N N N N MARLETTE FUNDING TRUST 2022-3A N/A 57109NAA7 401416.300000 PA USD 398532.080000 0.1975025 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 400000.000000 PA USD 393024.440000 0.1947730 Long ABS-O CORP US N 2 2032-11-15 Fixed 5.95 N N N N N N MARLETTE FUNDING TRUST 2023-1A N/A 57110PAA9 1200000.000000 PA USD 1199729.520000 0.5945558 Long ABS-O CORP US N 2 2033-04-15 Fixed 6.07 N N N N N N MASTR SPECIALIZED LOAN TRUST 2005-3 N/A 576436CP2 2063073.790000 PA USD 1917096.880000 0.9500650 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.97029 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 84011.840000 PA USD 66979.930000 0.0331936 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.90918 Y N N N N N MF1 2021-FL6 LTD N/A 55283TAA6 600000.000000 PA USD 586951.320000 0.2908783 Long ABS-CBDO CORP KY N 2 2036-07-16 Floating 5.80857 N N N N N N MF1 2021-FL7 LTD N/A 55284AAA6 600000.000000 PA USD 581550.000000 0.2882015 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 5.84143 N N N N N N MF1 2022-FL10 LLC N/A 55285BAA3 500000.000000 PA USD 495854.800000 0.2457332 Long ABS-CBDO CORP US N 2 2037-09-17 Floating 7.39117 N N N N N N MF1 2022-FL9 LLC N/A 55285AAA5 1400000.000000 PA USD 1387247.400000 0.6874849 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 6.90617 N N N N N N MF1 2022-FL9 LLC N/A 55285AAC1 1500000.000000 PA USD 1483724.700000 0.7352966 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 7.40617 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEZ4 800000.000000 PA USD 798397.100000 0.3956655 Long DBT CORP US N 2 2027-01-28 Floating 5.05 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A 617526AB4 1375787.660000 PA USD 777381.660000 0.3852508 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.92529 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAC0 3168299.640000 PA USD 1417088.550000 0.7022734 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.02529 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-3AR N/A 61745M4P5 214660.620000 PA USD 182801.270000 0.0905917 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.99896 Y N N N N N MORGAN STANLEY MTGE LN TR 2006-7 N/A 61749JAT3 3038849.670000 PA USD 936568.300000 0.4641397 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.315 Y N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KBP4 300000.000000 PA USD 305346.110000 0.1513218 Long DBT CORP US N 2 2025-03-01 Fixed 6.051 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAM7 300000.000000 PA USD 286795.640000 0.1421287 Long DBT CORP IE N 2 2024-08-14 Fixed 2.875 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 14200973.300000 PA 1604820.480000 0.7953086 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NYMT LOAN TRUST 2022-SP1 N/A 62956BAA7 570463.390000 PA USD 539605.540000 0.2674149 Long ABS-MBS CORP US N 2 2062-07-25 Variable 5.25 N N N N N N OCTAGON 66 LTD 2022-1A N/A 67577WAC5 1500000.000000 PA USD 1486785.450000 0.7368134 Long ABS-CBDO CORP KY N 2 2033-08-16 Floating 7.36868 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-5 N/A 68403HAA0 1493321.040000 PA USD 884119.080000 0.4381472 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.06529 N N N N N N PAGAYA AI DEBT TRUST 2022-2 N/A 69546VAA5 194957.950000 PA USD 192182.610000 0.0952409 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 1351487.180000 PA USD 1343511.650000 0.6658106 Long ABS-O CORP US N 2 2030-03-15 Fixed 6.06 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-NPL2 N/A 693971AA1 341334.290000 PA USD 326141.190000 0.1616274 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-NPL4 N/A 69381RAA2 974905.900000 PA USD 959347.080000 0.4754283 Long ABS-MBS CORP US N 2 2052-08-25 Fixed 6.5594 N N N N N N PRIME MORTGAGE TRUST 2006-1 N/A 74161BAH8 21667.830000 PA USD 20985.100000 0.0103997 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 Y N N N N N PUBLIC POWER GENERATION AGENCY N/A 744434CW9 70000.000000 PA USD 82780.650000 0.0410240 Long DBT MUN US N 2 2041-01-01 Fixed 7.242 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 400239.340000 PA USD 369327.900000 0.1830296 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 541901.540000 PA USD 532063.750000 0.2636774 Long ABS-O CORP US N 2 2030-11-25 Fixed 5.38 N N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QA13 N/A 761118PE2 1337782.520000 PA USD 1057726.710000 0.5241827 Long ABS-MBS CORP US N 2 2035-12-25 Variable 4.64976 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QS10 N/A 761118CX4 1627462.330000 PA USD 1132127.240000 0.5610538 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.34529 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA8 N/A 74922QAB8 1012262.700000 PA USD 896097.460000 0.4440833 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.20529 N N N N N N RESIDENTIAL ASSET SEC TRUST 2007-A1 N/A 761136AA8 2827274.740000 PA USD 887392.200000 0.4397692 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N RESIMAC BASTILLE TRUST SERIES 2018-1NC N/A 76118VAA8 23205.630000 PA USD 23205.180000 0.0114999 Long ABS-MBS CORP AU N 2 2059-12-05 Floating 5.55143 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-4 N/A 80285VAC3 1015.160000 PA USD 1013.300000 0.0005022 Long ABS-O CORP US N 2 2025-08-15 Fixed 0.51 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 1038239.820000 PA USD 428116.940000 0.2121640 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.32529 N N N N N N SEQUOIA MORTGAGE TRUST 2004-6 N/A 81744FCH8 371332.590000 PA USD 323813.200000 0.1604737 Long ABS-MBS CORP US N 2 2034-07-20 Floating 5.32143 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAA1 1100000.000000 PA USD 988182.470000 0.4897184 Long ABS-MBS CORP US N 2 2038-05-15 Floating 5.834 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20L N/A 83162CSE4 4338.190000 PA USD 4381.240000 0.0021712 Long ABS-O CORP US N 2 2028-12-01 Fixed 6.22 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83368RBQ4 600000.000000 PA USD 600298.600000 0.2974929 Long DBT CORP FR N 2 2027-01-12 Floating 6.447 N N N N N N SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3 N/A 84751XAC6 1002353.890000 PA USD 697453.070000 0.3456402 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.14529 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2007-3 N/A 026935AH9 411950.580000 PA USD 363294.070000 0.1800394 Long ABS-MBS CORP US N 2 2046-11-25 Variable 6.75 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-11 N/A 86364YAA2 1578643.700000 PA USD 1311687.310000 0.6500392 Long ABS-MBS CORP US N 2 2037-12-25 Floating 7.14529 Y N N N N N TAURUS 2021-1 UK DAC 21-UK1A N/A ACI1W1MF8 595625.280000 PA 715328.450000 0.3544988 Long ABS-MBS CORP IE N 2 2031-05-17 Floating 4.84854 N N N N N N THEOREM FUNDING TRUST 2022-1A N/A 88339XAA2 166254.440000 PA USD 162545.970000 0.0805537 Long ABS-O CORP US N 2 2028-02-15 Fixed 1.85 N N N N N N THEOREM FUNDING TRUST 2022-2A N/A 88339FAA1 620903.900000 PA USD 615397.720000 0.3049756 Long ABS-O CORP US N 2 2028-12-15 Fixed 6.06 N N N N N N TOYOTA AUTO RECEIVABLES 2023-A OWNER TRUST N/A 891940AA6 760070.700000 PA USD 759999.630000 0.3766367 Long ABS-O CORP US N 2 2024-01-15 Fixed 4.842 N N N N N N TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5 N/A 87277JAA9 1162500.000000 PA USD 1143642.740000 0.5667606 Long ABS-CBDO CORP KY N 2 2039-02-15 Floating 6.20806 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AP3 500000.000000 PA USD 480115.980000 0.2379334 Long DBT CORP CH N 2 2028-05-12 Floating 4.751 N N N N N N UMBS PASS THRU POOLS N/A 01F050650 2500000.000000 PA USD 2493261.700000 1.2355977 Long ABS-MBS USGSE US N 2 2053-05-11 Fixed 5 N N N N N N AMMC CLO 22 LTD 2018-22A N/A 00177HAA7 500000.000000 PA USD 494957.100000 0.2452883 Long ABS-CBDO CORP KY N 2 2031-04-25 Floating 5.84771 N N N N N N UMBS PASS THRU POOLS N/A 01F062648 5400000.000000 PA USD 5568328.150000 2.7595233 Long ABS-MBS USGSE US N 2 2053-04-13 Fixed 6.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796YN3 785000.000000 PA USD 784698.270000 0.3888767 Long DBT UST US N 2 2023-04-06 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797FD4 727000.000000 PA USD 723744.860000 0.3586697 Long DBT UST US N 2 2023-05-09 None 0 N N N N N N UPSTART SECURITIZATION TRUST 2022-3 N/A 91683TAB5 674568.950000 PA USD 661400.890000 0.3277736 Long ABS-O CORP US N 2 2032-06-20 Fixed 5.5 N N N N N N UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A N/A 91680YAY7 140441.230000 PA USD 135194.720000 0.0669991 Long ABS-O CORP US N 2 2030-06-17 Fixed 4.25 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AB9 200000.000000 PA USD 189782.980000 0.0940517 Long DBT CORP US N 2 2028-02-15 Fixed 4.75 N N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAP5 423306.260000 PA USD 375082.870000 0.1858816 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.42422 Y N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAE4 911395.470000 PA USD 805521.120000 0.3991960 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.22963 Y N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VAL7 400000.000000 PA USD 357407.550000 0.1771222 Long DBT CORP US N 2 2032-03-15 Fixed 4.279 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VAJ2 100000.000000 PA USD 93092.110000 0.0461341 Long DBT CORP US N 2 2029-03-15 Fixed 4.054 N N N N N N WASHING MUTUAL MTGE P/T 2006-7 N/A 93935HAH0 2305485.900000 PA USD 669516.100000 0.3317953 Long ABS-MBS CORP US N 2 2036-09-25 Variable 6.922 Y N N N N N WASHINGTON MUTUAL 2006-AR13 N/A 93363RAB2 1844526.780000 PA USD 1620403.680000 0.8030313 Long ABS-MBS CORP US N 2 2046-10-25 Floating 4.63795 N N N N N N WASHINGTON MUTUAL 2006-AR15 N/A 93363QAC2 1529316.550000 PA USD 1301068.350000 0.6447767 Long ABS-MBS CORP US N 2 2046-11-25 Floating 4.63795 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAJ2 97933.560000 PA USD 82354.090000 0.0408126 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.59835 Y N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AE0 157616.890000 PA USD 127109.650000 0.0629923 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.0562 Y N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1 N/A 03880XAA4 500000.000000 PA USD 493287.750000 0.2444610 Long ABS-CBDO CORP KY N 2 2037-01-15 Floating 6.00804 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 2013-C14 N/A 92890PAD6 293130.320000 PA USD 292371.960000 0.1448922 Long ABS-MBS CORP US N 2 2046-06-15 Fixed 3.073 N N N N N N N/A N/A 000000000 954000.000000 PA USD 954000.000000 0.4727784 Long RA US N 2 Repurchase N 2.2000000 2023-04-03 788300.000000 USD 973141.380000 USD UST N N N AREIT TRUST 2022-CRE6 N/A 04002VAA9 749351.460000 PA USD 727192.010000 0.3603781 Long ABS-MBS CORP KY N 2 2037-01-16 Floating 5.80906 N N N N N N N/A N/A 000000000 100000.000000 PA USD 100000.000000 0.0495575 Long RA US N 2 Repurchase N 4.9600000 2023-04-03 109000.000000 USD 102021.450000 USD UST N N N N/A N/A 000000000 72600000.000000 PA USD 72600000.000000 35.9787326 Long RA US N 2 Repurchase N 4.9100000 2023-04-03 81004200.000000 USD 73903675.590000 USD UST N N N N/A N/A 000000000 12200000.000000 PA USD 12200000.000000 6.0460129 Long RA US N 2 Repurchase N 4.9200000 2023-04-03 15229000.000000 USD 12471718.130000 USD UST N N N N/A N/A 000000000 1.000000 NC USD -11240.850000 -0.0055707 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -290712.790000 USD 1126375.230000 USD 279471.940000 N N N N/A N/A 000000000 1.000000 NC 3095.720000 0.0015342 N/A DFE CL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 133000.000000 USD 109142460.000000 CLP 2023-06-22 3095.720000 N N N N/A N/A 000000000 1.000000 NC 2237.720000 0.0011090 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 118426.390000 USD 111000.000000 EUR 2023-05-16 2237.720000 N N N N/A N/A 000000000 1.000000 NC -226.160000 -0.0001121 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 172000.000000 USD 224301760.000000 KRW 2023-04-14 -226.160000 N N N N/A N/A 000000000 1.000000 NC 1115.200000 0.0005527 N/A DFE MX N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 217253.280000 USD 3935000.000000 MXN 2023-04-03 1115.200000 N N N N/A N/A 000000000 1.000000 NC -2.880000 -0.0000014 N/A DFE TR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2535.130000 USD 48567.360000 TRY 2023-04-03 -2.880000 N N N N/A N/A 000000000 1.000000 NC -177.000000 -0.0000877 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 112000.000000 USD 3387810.000000 TWD 2023-06-20 -177.000000 N N N N/A N/A 000000000 1.000000 NC 457.350000 0.0002267 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 184000.000000 CNY 27249.890000 USD 2023-04-14 457.350000 N N N N/A N/A 000000000 1.000000 NC -15996.270000 -0.0079273 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 5374986.580000 DKK 766463.000000 USD 2023-04-03 -15996.270000 N N N N/A N/A 000000000 1.000000 NC -1405.400000 -0.0006965 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 86000.000000 EUR 92082.110000 USD 2023-05-16 -1405.400000 N N N N/A N/A 000000000 1.000000 NC 509.880000 0.0002527 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 142000.000000 EUR 154872.980000 USD 2023-05-16 509.880000 N N N N/A N/A 000000000 1.000000 NC -509.560000 -0.0002525 N/A DFE IN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 52727570.300000 INR 641000.000000 USD 2023-04-19 -509.560000 N N N N/A N/A 000000000 1.000000 NC 5583.600000 0.0027671 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 188578500.000000 KRW 150000.000000 USD 2023-04-14 5583.600000 N N N N/A N/A 000000000 1.000000 NC -4047.290000 -0.0020057 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 451867500.000000 KRW 342000.000000 USD 2023-04-14 -4047.290000 N N N N/A N/A 000000000 1.000000 NC -6530.710000 -0.0032365 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 875576960.000000 KRW 664000.000000 USD 2023-04-14 -6530.710000 N N N N/A N/A 000000000 1.000000 NC -1223.940000 -0.0006066 N/A DFE MX N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3935000.000000 MXN 213490.890000 USD 2023-06-30 -1223.940000 N N N N/A N/A 000000000 1.000000 NC -252.420000 -0.0001251 N/A DFE PH N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 5332180.000000 PHP 98000.000000 USD 2023-04-14 -252.420000 N N N N/A N/A 000000000 1.000000 NC 4724.430000 0.0023413 N/A DFE TR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 6964870.180000 TRY 357614.860000 USD 2023-04-27 4724.430000 N N N N/A N/A 000000000 1.000000 NC 1163.520000 0.0005766 N/A DFE TR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2363151.550000 TRY 120897.780000 USD 2023-04-27 1163.520000 N N N N/A N/A 000000000 1.000000 NC -3072.730000 -0.0015228 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 12666008.000000 TWD 415000.000000 USD 2023-06-20 -3072.730000 N N N N/A N/A 000000000 1.000000 NC -327.290000 -0.0001622 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1176087.000000 TWD 38497.120000 USD 2023-06-21 -327.290000 N N N N/A N/A 000000000 1.000000 NC 1644.370000 0.0008149 N/A DFE BR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 697441.400000 USD 3543281.280000 BRL 2023-04-04 1644.370000 N N N N/A N/A 000000000 1.000000 NC 366.810000 0.0001818 N/A DFE CN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 318377.080000 USD 2189000.000000 CNY 2023-04-14 366.810000 N N N N/A N/A 000000000 1.000000 NC -4367.790000 -0.0021646 N/A DFE HK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 614415.730000 USD 4786012.220000 HKD 2023-04-14 -4367.790000 N N N N/A N/A 000000000 1.000000 NC -615.820000 -0.0003052 N/A DFE HK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 235788.320000 USD 1845000.000000 HKD 2023-04-14 -615.820000 N N N N/A N/A 000000000 1.000000 NC -19.430000 -0.0000096 N/A DFE PH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 94000.000000 USD 5100346.000000 PHP 2023-04-14 -19.430000 N N N N/A N/A 000000000 1.000000 NC -27085.770000 -0.0134230 N/A DFE BR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3543281.280000 BRL 672000.000000 USD 2023-04-04 -27085.770000 N N N N/A N/A 000000000 1.000000 NC -835.290000 -0.0004139 N/A DFE CL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 80063280.000000 CLP 99000.000000 USD 2023-06-22 -835.290000 N N N N/A N/A 000000000 1.000000 NC 1135.890000 0.0005629 N/A DFE DK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2713560.850000 DKK 396883.630000 USD 2023-05-02 1135.890000 N N N N/A N/A 000000000 1.000000 NC 706.460000 0.0003501 N/A DFE HK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2159000.000000 HKD 275902.890000 USD 2023-04-14 706.460000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1T4 1531000.000000 PA USD 386577.500000 0.1915781 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 135047.520000 0.0669262 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 550000000.000000 JPY 4297762.760000 USD 2023-05-08 135047.520000 N N N N/A N/A 000000000 1.000000 NC 165781.050000 0.0821569 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 540000000.000000 JPY 4256983.030000 USD 2023-05-15 165781.050000 N N N N/A N/A 000000000 1.000000 NC -3136.120000 -0.0015542 N/A DFE MY N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1267752.200000 MYR 286000.000000 USD 2023-06-21 -3136.120000 N N N N/A N/A 000000000 1.000000 NC 133.790000 0.0000663 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 335000.000000 PLN 77673.360000 USD 2023-04-19 133.790000 N N N N/A N/A 000000000 1.000000 NC -7062.510000 -0.0035000 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4019636.310000 ZAR 217883.000000 USD 2023-05-15 -7062.510000 N N N N/A N/A 000000000 1.000000 NC 21572.390000 0.0106907 N/A DFE BR N 2 BNP Paribas S.A. N/A 617000.000000 USD 3236572.220000 BRL 2023-04-04 21572.390000 N N N N/A N/A 000000000 1.000000 NC 194.460000 0.0000964 N/A DFE CN N 2 BNP Paribas S.A. N/A 54118.680000 USD 373000.000000 CNY 2023-04-14 194.460000 N N N N/A N/A 000000000 1.000000 NC 1558.060000 0.0007721 N/A DFE DK N 2 BNP Paribas S.A. N/A 730573.000000 USD 5029264.530000 DKK 2023-04-03 1558.060000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1M9 1103000.000000 PA USD 271349.030000 0.1344737 Long DBT NUSS AR N 2 2035-07-09 Variable 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 813.250000 0.0004030 N/A DFE N/A N 2 BNP Paribas S.A. N/A 174204.060000 USD 161000.000000 EUR 2023-05-16 813.250000 N N N N/A N/A 000000000 1.000000 NC 23.320000 0.0000116 N/A DFE ID N 2 BNP Paribas S.A. N/A 14285.000000 USD 214143578.000000 IDR 2023-06-21 23.320000 N N N N/A N/A 000000000 1.000000 NC 18018.680000 0.0089296 N/A DFE MX N 2 BNP Paribas S.A. N/A 2799936.160000 USD 50939238.560000 MXN 2023-04-20 18018.680000 N N N N/A N/A 000000000 1.000000 NC 2947.410000 0.0014607 N/A DFE TH N 2 BNP Paribas S.A. N/A 201000.000000 USD 6964446.990000 THB 2023-04-17 2947.410000 N N N N/A N/A 000000000 1.000000 NC 1324.080000 0.0006562 N/A DFE TH N 2 BNP Paribas S.A. N/A 315000.000000 USD 10801913.850000 THB 2023-04-17 1324.080000 N N N N/A N/A 000000000 1.000000 NC 5870.610000 0.0029093 N/A DFE TH N 2 BNP Paribas S.A. N/A 1301000.000000 USD 44627344.340000 THB 2023-04-17 5870.610000 N N N N/A N/A 000000000 1.000000 NC -8581.700000 -0.0042529 N/A DFE TW N 2 BNP Paribas S.A. N/A 1521000.000000 USD 45820502.000000 TWD 2023-06-20 -8581.700000 N N N N/A N/A 000000000 1.000000 NC 1274.910000 0.0006318 N/A DFE TW N 2 BNP Paribas S.A. N/A 182572.090000 USD 5569179.000000 TWD 2023-06-21 1274.910000 N N N N/A N/A 000000000 1.000000 NC -39.550000 -0.0000196 N/A DFE TW N 2 BNP Paribas S.A. N/A 22830.660000 USD 690399.000000 TWD 2023-06-21 -39.550000 N N N N/A N/A 000000000 1.000000 NC 20055.990000 0.0099392 N/A DFE ZA N 2 BNP Paribas S.A. N/A 756379.850000 USD 13841470.640000 ZAR 2023-04-18 20055.990000 N N N N/A N/A 000000000 1.000000 NC -3985.700000 -0.0019752 N/A DFE BR N 2 BNP Paribas S.A. N/A 998412.160000 BRL 193000.000000 USD 2023-04-04 -3985.700000 N N N N/A N/A 000000000 1.000000 NC -1038.690000 -0.0005147 N/A DFE BR N 2 BNP Paribas S.A. N/A 2238160.060000 BRL 440548.000000 USD 2023-04-04 -1038.690000 N N N N/A N/A 000000000 1.000000 NC -210.680000 -0.0001044 N/A DFE CA N 2 BNP Paribas S.A. N/A 46000.000000 CAD 33826.010000 USD 2023-04-04 -210.680000 N N N N/A N/A 000000000 1.000000 NC -1534.890000 -0.0007607 N/A DFE DK N 2 BNP Paribas S.A. N/A 5019913.200000 DKK 730573.000000 USD 2023-05-02 -1534.890000 N N N N/A N/A 000000000 1.000000 NC -27977.150000 -0.0138648 N/A DFE N/A N 2 BNP Paribas S.A. N/A 2043000.000000 EUR 2192894.710000 USD 2023-05-16 -27977.150000 N N N N/A N/A 000000000 1.000000 NC -6942.310000 -0.0034404 N/A DFE ID N 2 BNP Paribas S.A. N/A 3052274660.000000 IDR 197000.000000 USD 2023-06-21 -6942.310000 N N N N/A N/A 000000000 1.000000 NC -14996.280000 -0.0074318 N/A DFE ID N 2 BNP Paribas S.A. N/A 7706144076.000000 IDR 499675.410000 USD 2023-06-28 -14996.280000 N N N N/A N/A 000000000 1.000000 NC 10978.370000 0.0054406 N/A DFE KR N 2 BNP Paribas S.A. N/A 220707929.000000 KRW 180000.000000 USD 2023-04-14 10978.370000 N N N N/A N/A 000000000 1.000000 NC -609.440000 -0.0003020 N/A DFE MX N 2 BNP Paribas S.A. N/A 270284.950000 MXN 14164.690000 USD 2023-06-21 -609.440000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HS2 150000.000000 PA USD 43500.000000 0.0215575 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 -18542.350000 -0.0091891 N/A DFE MX N 2 BNP Paribas S.A. N/A 51653222.280000 MXN 2799936.160000 USD 2023-06-30 -18542.350000 N N N N/A N/A 000000000 1.000000 NC 4149.450000 0.0020564 N/A DFE TH N 2 BNP Paribas S.A. N/A 7473363.320000 THB 223000.000000 USD 2023-04-17 4149.450000 N N N N/A N/A 000000000 1.000000 NC 1220.010000 0.0006046 N/A DFE TH N 2 BNP Paribas S.A. N/A 2451161.150000 THB 73000.000000 USD 2023-04-17 1220.010000 N N N N/A N/A 000000000 1.000000 NC -540.610000 -0.0002679 N/A DFE TH N 2 BNP Paribas S.A. N/A 3501582.480000 THB 102000.000000 USD 2023-04-17 -540.610000 N N N N/A N/A 000000000 1.000000 NC -5993.580000 -0.0029703 N/A DFE TH N 2 BNP Paribas S.A. N/A 41387459.760000 THB 1206000.000000 USD 2023-04-17 -5993.580000 N N N N/A N/A 000000000 1.000000 NC 266.120000 0.0001319 N/A DFE TW N 2 BNP Paribas S.A. N/A 3688072.000000 TWD 122000.000000 USD 2023-06-20 266.120000 N N N N/A N/A 000000000 1.000000 NC 12383.550000 0.0061370 N/A DFE TW N 2 BNP Paribas S.A. N/A 45129693.000000 TWD 1502000.000000 USD 2023-06-20 12383.550000 N N N N/A N/A 000000000 1.000000 NC -755.690000 -0.0003745 N/A DFE TW N 2 BNP Paribas S.A. N/A 2905856.000000 TWD 95171.000000 USD 2023-06-21 -755.690000 N N N N/A N/A 000000000 1.000000 NC USD 1559.610000 0.0007729 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 -1196.190000 USD 200000.000000 USD 2755.800000 N N N N/A N/A 000000000 1.000000 NC USD 38463.610000 0.0190616 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.39 Y Single Leg Swap 2027-12-20 39848.180000 USD 0.000000 USD 3200000.000000 USD -1384.570000 N N N N/A N/A 000000000 1.000000 NC USD 462397.590000 0.2291526 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.40 Y Single Leg Swap 2028-06-20 309440.200000 USD 0.000000 USD 39100000.000000 USD 152957.390000 N N N N/A N/A 000000000 1.000000 NC 3337.650000 0.0016541 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 102000.000000 USD 533898.600000 BRL 2023-04-04 3337.650000 N N N N/A N/A 000000000 1.000000 NC 2250.500000 0.0011153 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 954520.600000 USD 4849346.460000 BRL 2023-04-04 2250.500000 N N N N/A N/A 000000000 1.000000 NC 24328.940000 0.0120568 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 678210.030000 USD 3598582.420000 BRL 2023-06-02 24328.940000 N N N N/A N/A 000000000 1.000000 NC -581.610000 -0.0002882 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 508949.000000 USD 3492153.560000 DKK 2023-04-03 -581.610000 N N N N/A N/A 000000000 1.000000 NC 14.530000 0.0000072 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7386.000000 USD 110759053.000000 IDR 2023-06-21 14.530000 N N N N/A N/A 000000000 1.000000 NC 212.720000 0.0001054 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 179804.210000 USD 14796124.400000 INR 2023-04-19 212.720000 N N N N/A N/A 000000000 1.000000 NC 15503.450000 0.0076831 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 675886.530000 USD 12648615.510000 MXN 2023-06-21 15503.450000 N N N N/A N/A 000000000 1.000000 NC -3996.700000 -0.0019807 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 887419.750000 BRL 171090.310000 USD 2023-04-04 -3996.700000 N N N N/A N/A 000000000 1.000000 NC -4910.850000 -0.0024337 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 633104.400000 BRL 120000.000000 USD 2023-04-04 -4910.850000 N N N N/A N/A 000000000 1.000000 NC -2607.620000 -0.0012923 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 302118.250000 BRL 57000.000000 USD 2023-04-04 -2607.620000 N N N N/A N/A 000000000 1.000000 NC -24293.230000 -0.0120391 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3560602.660000 BRL 678210.030000 USD 2023-04-04 -24293.230000 N N N N/A N/A 000000000 1.000000 NC -20179.520000 -0.0100005 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5868735.680000 DKK 834156.870000 USD 2023-04-03 -20179.520000 N N N N/A N/A 000000000 1.000000 NC 604.510000 0.0002996 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3485613.570000 DKK 508949.000000 USD 2023-05-02 604.510000 N N N N/A N/A 000000000 1.000000 NC -684.130000 -0.0003390 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 67000.000000 EUR 72149.160000 USD 2023-05-16 -684.130000 N N N N/A N/A 000000000 1.000000 NC -35.310000 -0.0000175 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6256.330000 MXN 309.520000 USD 2023-05-09 -35.310000 N N N N/A N/A 000000000 1.000000 NC -20045.580000 -0.0099341 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 13027000.000000 MXN 692862.880000 USD 2023-06-15 -20045.580000 N N N N/A N/A 000000000 1.000000 NC 10816.870000 0.0053606 N/A DFE TR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 25971000.000000 TRY 1326694.560000 USD 2023-04-27 10816.870000 N N N N/A N/A 000000000 1.000000 NC -7148.080000 -0.0035424 N/A DFE ZA N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 4047000.000000 ZAR 219867.960000 USD 2023-04-18 -7148.080000 N N N N/A N/A 000000000 1.000000 NC 21904.990000 0.0108556 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 421264.780000 USD 2246183.810000 BRL 2023-04-04 21904.990000 N N N N/A N/A 000000000 1.000000 NC 59.810000 0.0000296 N/A DFE CL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 11652.160000 USD 9392457.000000 CLP 2023-06-22 59.810000 N N N N/A N/A 000000000 1.000000 NC -1059.550000 -0.0005251 N/A DFE ZA N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 20750.550000 USD 355855.420000 ZAR 2023-09-19 -1059.550000 N N N N/A N/A 000000000 1.000000 NC -1042.420000 -0.0005166 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2246183.810000 BRL 442127.350000 USD 2023-04-04 -1042.420000 N N N N/A N/A 000000000 1.000000 NC -21486.720000 -0.0106483 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2282538.960000 BRL 421264.780000 USD 2023-07-05 -21486.720000 N N N N/A N/A 000000000 1.000000 NC USD 1030590.300000 0.5107346 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2023-10-11 0.000000 USD 0.000000 USD 40897108.240000 USD 1030590.300000 N N N N/A N/A 000000000 1.000000 NC USD 649026.630000 0.3216413 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2024-02-14 0.000000 USD 0.000000 USD 44588194.140000 USD 649026.630000 N N N N/A N/A 000000000 1.000000 NC USD 4264147.940000 2.1132044 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2023-11-22 0.000000 USD 0.000000 USD 30343748.500000 USD 4264147.940000 N N N N/A N/A 000000000 1.000000 NC USD 12743.920000 0.0063156 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS) Y 2023-04-05 0.000000 USD 0.000000 USD 74342357.820000 USD 12743.920000 N N N N/A N/A 000000000 1.000000 NC USD 4714.640000 0.0023365 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-20 4553.310000 USD 0.000000 USD 400000.000000 USD 161.330000 N N N N/A N/A 000000000 -7.000000 NC -31663.730000 -0.0156917 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2023-06-08 -1031229.260000 EUR -31663.730000 N N N N/A N/A 000000000 -3.000000 NC -28156.420000 -0.0139536 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2023-06-08 -458287.970000 EUR -28156.420000 N N N N/A N/A 000000000 1.000000 NC 25547.590000 0.0126607 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 675994.250000 USD 3555729.760000 BRL 2023-04-04 25547.590000 N N N N/A N/A 000000000 1.000000 NC 537.370000 0.0002663 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 84433.000000 USD 2574278.000000 TWD 2023-06-20 537.370000 N N N N/A N/A 000000000 1.000000 NC 312.590000 0.0001549 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 50691.000000 USD 1545214.000000 TWD 2023-06-20 312.590000 N N N N/A N/A 000000000 1.000000 NC -15115.700000 -0.0074910 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1167372.060000 BRL 215205.610000 USD 2023-04-04 -15115.700000 N N N N/A N/A 000000000 1.000000 NC -11242.540000 -0.0055715 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2312442.500000 BRL 445000.000000 USD 2023-04-04 -11242.540000 N N N N/A N/A 000000000 1.000000 NC -35.230000 -0.0000175 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 75915.200000 BRL 14942.760000 USD 2023-04-04 -35.230000 N N N N/A N/A 000000000 1.000000 NC -25090.730000 -0.0124343 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3614338.460000 BRL 675994.250000 USD 2023-07-05 -25090.730000 N N N N/A N/A 000000000 1.000000 NC 759.620000 0.0003764 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 887000.000000 CNY 129917.150000 USD 2023-04-14 759.620000 N N N N/A N/A 000000000 1.000000 NC -2078.850000 -0.0010302 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 355500.000000 MYR 79000.000000 USD 2023-06-21 -2078.850000 N N N N/A N/A 000000000 1.000000 NC 82694.040000 0.0409811 N/A DCR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 HOCHTIEF AG HOCHTIEF AG Y Single Leg Swap 2025-12-20 161968.440000 EUR 0.000000 EUR 700000.000000 EUR -79274.400000 N N N N/A N/A 000000000 1.000000 NC -1530.370000 -0.0007584 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 73590.000000 USD 493862.490000 CNY 2023-05-10 -1530.370000 N N N N/A N/A 000000000 1.000000 NC 1429.360000 0.0007084 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 78753.500000 USD 1200045833.000000 IDR 2023-06-21 1429.360000 N N N N/A N/A 000000000 1.000000 NC 19122.240000 0.0094765 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 766000.000000 USD 11750424680.000000 IDR 2023-06-21 19122.240000 N N N N/A N/A 000000000 1.000000 NC -7334.410000 -0.0036347 N/A DFE TR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 483107.120000 USD 9390153.090000 TRY 2023-04-27 -7334.410000 N N N N/A N/A 000000000 1.000000 NC 1111.830000 0.0005510 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 716000.000000 CNY 105369.770000 USD 2023-04-14 1111.830000 N N N N/A N/A 000000000 1.000000 NC -1718.970000 -0.0008519 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1569000.000000 CNY 226745.700000 USD 2023-04-14 -1718.970000 N N N N/A N/A 000000000 1.000000 NC -14878.640000 -0.0073735 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 572000.000000 GBP 690740.160000 USD 2023-04-04 -14878.640000 N N N N/A N/A 000000000 1.000000 NC 675.940000 0.0003350 N/A DFE HK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1993000.000000 HKD 254713.220000 USD 2023-04-14 675.940000 N N N N/A N/A 000000000 1.000000 NC -16701.630000 -0.0082769 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 187950779.000000 INR 2270000.000000 USD 2023-04-19 -16701.630000 N N N N/A N/A 000000000 1.000000 NC -5627.620000 -0.0027889 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3935000.000000 MXN 212740.860000 USD 2023-04-03 -5627.620000 N N N N/A N/A 000000000 1.000000 NC -5585.880000 -0.0027682 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 9048000.000000 MXN 495922.940000 USD 2023-04-10 -5585.880000 N N N N/A N/A 000000000 1.000000 NC -1044.180000 -0.0005175 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 593000.000000 CNY 85303.530000 USD 2023-04-14 -1044.180000 N N N N/A N/A 000000000 1.000000 NC 392.900000 0.0001947 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 244976784.000000 KRW 188000.000000 USD 2023-04-14 392.900000 N N N N/A N/A 000000000 1.000000 NC 3735.090000 0.0018510 N/A DFE CL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 102000.000000 USD 84794640.000000 CLP 2023-06-22 3735.090000 N N N N/A N/A 000000000 1.000000 NC 1157.680000 0.0005737 N/A DFE IN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 169000.000000 USD 13985764.000000 INR 2023-04-19 1157.680000 N N N N/A N/A 000000000 1.000000 NC 19623.480000 0.0097249 N/A DFE IN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2278000.000000 USD 188848478.000000 INR 2023-04-19 19623.480000 N N N N/A N/A 000000000 1.000000 NC -6038.130000 -0.0029923 N/A DFE KR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 123010.000000 USD 152741517.000000 KRW 2023-04-14 -6038.130000 N N N N/A N/A 000000000 1.000000 NC 417.990000 0.0002071 N/A DFE MX N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 119399.620000 USD 2192000.000000 MXN 2023-06-21 417.990000 N N N N/A N/A 000000000 1.000000 NC 1222.710000 0.0006059 N/A DFE MY N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 82000.000000 USD 364900.000000 MYR 2023-06-21 1222.710000 N N N N/A N/A 000000000 1.000000 NC 591.770000 0.0002933 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 72087.110000 USD 314000.000000 PLN 2023-04-19 591.770000 N N N N/A N/A 000000000 1.000000 NC -4900.720000 -0.0024287 N/A DFE TR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1314951.680000 USD 25856000.000000 TRY 2023-04-27 -4900.720000 N N N N/A N/A 000000000 1.000000 NC 31362.580000 0.0155425 N/A DFE ZA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 776555.880000 USD 14437000.000000 ZAR 2023-05-15 31362.580000 N N N N/A N/A 000000000 1.000000 NC -4002.850000 -0.0019837 N/A DFE CL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 117087520.000000 CLP 142000.000000 USD 2023-06-22 -4002.850000 N N N N/A N/A 000000000 1.000000 NC -1993.310000 -0.0009878 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 912848000.000000 IDR 59000.000000 USD 2023-06-21 -1993.310000 N N N N/A N/A 000000000 1.000000 NC -14873.060000 -0.0073707 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 10743949000.000000 IDR 703000.000000 USD 2023-06-21 -14873.060000 N N N N/A N/A 000000000 1.000000 NC 4594.970000 0.0022772 N/A DFE KR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3015614056.000000 KRW 2314000.000000 USD 2023-04-14 4594.970000 N N N N/A N/A 000000000 1.000000 NC -3655.080000 -0.0018114 N/A DFE MX N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1351000.000000 MXN 71082.140000 USD 2023-04-20 -3655.080000 N N N N/A N/A 000000000 1.000000 NC -6813.640000 -0.0033767 N/A DFE TH N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 8189216.050000 THB 233000.000000 USD 2023-04-17 -6813.640000 N N N N/A N/A 000000000 1.000000 NC -7715.510000 -0.0038236 N/A DFE TH N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 11805579.500000 THB 338000.000000 USD 2023-04-17 -7715.510000 N N N N/A N/A 000000000 1.000000 NC -8862.660000 -0.0043921 N/A DFE ZA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 8542361.130000 ZAR 470320.190000 USD 2023-04-18 -8862.660000 N N N N/A N/A 000000000 1.000000 NC -7461.780000 -0.0036979 N/A DFE ZA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5515164.110000 ZAR 301175.950000 USD 2023-05-15 -7461.780000 N N N N/A N/A 000000000 1.000000 NC -4844.890000 -0.0024010 N/A DFE ZA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4726638.870000 ZAR 259665.660000 USD 2023-05-15 -4844.890000 N N N N/A N/A 000000000 36.000000 NC USD 63174.680000 0.0313078 N/A DE US N 1 New York Futures Exchange N/A Long MSCI EMERGING MARKETS INDEX N/A N/A 2023-06-16 1791900.000000 USD 63174.680000 N N N N/A N/A 000000000 1.000000 NC 2473.100000 0.0012256 N/A DFE CN N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 2187000.000000 CNY 320925.770000 USD 2023-04-14 2473.100000 N N N N/A N/A 000000000 1.000000 NC -738.760000 -0.0003661 N/A DFE HK N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 619070.350000 USD 4851000.000000 HKD 2023-04-14 -738.760000 N N N N/A N/A 000000000 1.000000 NC -3783.510000 -0.0018750 N/A DFE HK N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 3466746.330000 USD 27168000.000000 HKD 2023-04-14 -3783.510000 N N N N/A N/A 000000000 1.000000 NC 893.380000 0.0004427 N/A DFE KR N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 379000.000000 USD 496063625.000000 KRW 2023-04-14 893.380000 N N N N/A N/A 000000000 1.000000 NC 104318.210000 0.0516975 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 2474532.790000 USD 46842410.810000 MXN 2023-05-15 104318.210000 N N N N/A N/A 000000000 1.000000 NC 7715.640000 0.0038237 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 164064.320000 USD 3156777.990000 MXN 2023-07-14 7715.640000 N N N N/A N/A 000000000 1.000000 NC 1108.780000 0.0005495 N/A DFE HK N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 2436000.000000 HKD 311612.960000 USD 2023-04-14 1108.780000 N N N N/A N/A 000000000 1.000000 NC 2929.750000 0.0014519 N/A DFE HK N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 19624000.000000 HKD 2504298.360000 USD 2023-04-14 2929.750000 N N N N/A N/A 000000000 1.000000 NC 311.570000 0.0001544 N/A DFE HK N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 2363000.000000 HKD 301510.820000 USD 2023-04-14 311.570000 N N N N/A N/A 000000000 1.000000 NC 1904.800000 0.0009440 N/A DFE HK N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 30022000.000000 HKD 3828652.070000 USD 2023-04-14 1904.800000 N N N N/A N/A 000000000 1.000000 NC 11647.790000 0.0057724 N/A DFE KR N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 2047949548.000000 KRW 1580000.000000 USD 2023-04-14 11647.790000 N N N N/A N/A 000000000 1.000000 NC -349575.790000 -0.1732410 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 49390003.080000 MXN 2382675.460000 USD 2023-04-20 -349575.790000 N N N N/A N/A 000000000 1.000000 NC -507.870000 -0.0002517 N/A DFE CN N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 60063.030000 USD 409000.000000 CNY 2023-04-14 -507.870000 N N N N/A N/A 000000000 1.000000 NC -2531.250000 -0.0012544 N/A DFE HK N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 3823032.750000 USD 29973000.000000 HKD 2023-04-14 -2531.250000 N N N N/A N/A 000000000 1.000000 NC -8967.580000 -0.0044441 N/A DFE KR N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 2190000.000000 USD 2847985500.000000 KRW 2023-04-14 -8967.580000 N N N N/A N/A 000000000 1.000000 NC -3288.180000 -0.0016295 N/A DFE TH N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 199000.000000 USD 6683216.000000 THB 2023-04-17 -3288.180000 N N N N/A N/A 000000000 1.000000 NC 682.180000 0.0003381 N/A DFE HK N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 3822000.000000 HKD 487852.520000 USD 2023-04-14 682.180000 N N N N/A N/A 000000000 1.000000 NC 26962.970000 0.0133622 N/A DFE BR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 731000.000000 USD 3841697.400000 BRL 2023-04-04 26962.970000 N N N N/A N/A 000000000 1.000000 NC 1822.830000 0.0009033 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 305272.130000 USD 2109000.000000 CNY 2023-04-14 1822.830000 N N N N/A N/A 000000000 1.000000 NC -420.670000 -0.0002085 N/A DFE HK N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 287598.790000 USD 2253000.000000 HKD 2023-04-14 -420.670000 N N N N/A N/A 000000000 1.000000 NC 101.640000 0.0000504 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 7153.500000 USD 108583000.000000 IDR 2023-06-21 101.640000 N N N N/A N/A 000000000 1.000000 NC -870.210000 -0.0004313 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 441616.000000 USD 36226202.100000 INR 2023-04-19 -870.210000 N N N N/A N/A 000000000 1.000000 NC -6907.640000 -0.0034233 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 124953.000000 USD 154143270.000000 KRW 2023-04-14 -6907.640000 N N N N/A N/A 000000000 1.000000 NC -6289.860000 -0.0031171 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 114523.480000 USD 141331136.000000 KRW 2023-04-14 -6289.860000 N N N N/A N/A 000000000 1.000000 NC 3.340000 0.0000017 N/A DFE MY N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 226.580000 USD 1012.000000 MYR 2023-04-19 3.340000 N N N N/A N/A 000000000 1.000000 NC -8220.550000 -0.0040739 N/A DFE TH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 245543.250000 USD 8104154.970000 THB 2023-04-17 -8220.550000 N N N N/A N/A 000000000 1.000000 NC -892.090000 -0.0004421 N/A DFE TR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 104325.750000 USD 2041432.640000 TRY 2023-04-27 -892.090000 N N N N/A N/A 000000000 1.000000 NC 56.330000 0.0000279 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 8954.000000 USD 272945.000000 TWD 2023-06-21 56.330000 N N N N/A N/A 000000000 1.000000 NC 328.410000 0.0001628 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 36571.000000 USD 1117774.000000 TWD 2023-06-21 328.410000 N N N N/A N/A 000000000 1.000000 NC 13.450000 0.0000067 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 36570.000000 USD 1108203.000000 TWD 2023-06-21 13.450000 N N N N/A N/A 000000000 1.000000 NC 282.120000 0.0001398 N/A DFE ZA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 9241.000000 USD 169691.560000 ZAR 2023-04-13 282.120000 N N N N/A N/A 000000000 1.000000 NC -2656.030000 -0.0013163 N/A DFE ZA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 70370.700000 USD 1223738.480000 ZAR 2023-09-19 -2656.030000 N N N N/A N/A 000000000 1.000000 NC -1782.870000 -0.0008835 N/A DFE BR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3841697.400000 BRL 756180.100000 USD 2023-04-04 -1782.870000 N N N N/A N/A 000000000 1.000000 NC -18.900000 -0.0000094 N/A DFE CL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1656422.000000 CLP 2053.000000 USD 2023-05-24 -18.900000 N N N N/A N/A 000000000 1.000000 NC 2625.330000 0.0013010 N/A DFE ZA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1579593.900000 ZAR 90031.000000 USD 2023-09-19 2625.330000 N N N N/A N/A 000000000 1.000000 NC 2633.860000 0.0013053 N/A DFE MY N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 286000.000000 USD 1265550.000000 MYR 2023-06-21 2633.860000 N N N 2023-05-12 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer