NPORT-P false 0000810893 XXXXXXXX S000009700 C000026612 C000026608 C000026610 C000064148 C000026607 C000200446 C000026606 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Real Return Fund S000009700 UBV6ASKZ6D22Z3BEZJ52 2024-03-31 2023-06-30 N 10754455573.730000 1392502869.140000 9361952704.590000 0.000000 0.000000 101860963.110000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 11830534.190000 NZD CAD DKK USD GBP JPY EUR AUD N Bloomberg US Treasury Inflation Total Return Unhedged Index LBUTTRUU N/A N/A 000000000 1.000000 NC -53544.410000 -0.0005719 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 4215040.000000 AUD 2754305.240000 USD 2023-07-05 -53544.410000 N N N N/A N/A 000000000 1.000000 NC -395.840000 -0.0000042 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 171004.000000 AUD 113609.240000 USD 2023-08-02 -395.840000 N N N N/A N/A 000000000 1.000000 NC -86592.810000 -0.0009249 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 13234081.000000 NZD 8035160.950000 USD 2023-07-05 -86592.810000 N N N N/A N/A 000000000 1.000000 NC 366.290000 0.0000039 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 589211.000000 TWD 19326.000000 USD 2023-09-20 366.290000 N N N N/A N/A 000000000 1.000000 NC 556.560000 0.0000059 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 895311.000000 TWD 29366.000000 USD 2023-09-20 556.560000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAF8 100000.000000 PA USD 98384.230000 0.0010509 Long DBT CORP US N 2 2024-01-30 Fixed 4.375 N N N N N N N/A N/A 000000000 -325400000.000000 NC USD -375771.920000 -0.0040138 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75000 09/14/23-2Y LCH 2025-09-14 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2023-09-12 XXXX 535348.080000 N N N N/A N/A 000000000 -232900000.000000 NC USD -268952.920000 -0.0028728 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75000 09/14/23-2Y LCH 2025-09-14 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2023-09-12 XXXX 392099.580000 N N N N/A N/A 000000000 -556100000.000000 NC USD -2378328.480000 -0.0254042 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.42000 09/25/23-2Y LCH 2025-09-25 0.000000 USD 0.000000 USD N/A USD N/A 4.420000 USD 2023-09-21 XXXX 785880.520000 N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAR2 143000.000000 PA USD 120717.920000 0.0012895 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N N/A N/A 000000000 -328400000.000000 NC USD -24895806.960000 -0.2659254 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.30000 11/15/23-5Y LCH N/A N/A 2028-11-15 0.000000 USD 0.000000 USD N/A USD N/A 2.300000 USD 2023-11-13 XXXX -20560926.960000 N N N N/A N/A 000000000 67300000.000000 NC USD 14203833.250000 0.1517187 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.28500 11/15/23-30Y LCH N/A N/A 2053-11-15 0.000000 USD 0.000000 USD N/A USD N/A 2.290000 USD 2023-11-13 XXXX 9977064.960000 N N N N/A N/A 000000000 -161100000.000000 NC USD -11882897.100000 -0.1269275 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.34000 11/21/23-5Y LCH N/A N/A 2028-11-21 0.000000 USD 0.000000 USD N/A USD N/A 2.340000 USD 2023-11-17 XXXX -9853037.100000 N N N N/A N/A 000000000 32700000.000000 NC USD 7174527.150000 0.0766349 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.23650 11/21/23-30Y LCH N/A N/A 2053-11-21 0.000000 USD 0.000000 USD N/A USD N/A 2.240000 USD 2023-11-17 XXXX 5144871.980000 N N N N/A N/A 000000000 1.000000 NC 5692.360000 0.0000608 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2024-01-15 0.000000 EUR -1399.990000 EUR 40000.000000 EUR 7092.350000 N N N N/A N/A 000000000 1.000000 NC -25122636.070000 -0.2683482 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2031-03-15 0.000000 EUR -787840.480000 EUR 109200000.000000 EUR -24334795.590000 N N N N/A N/A 000000000 1.000000 NC 793338.770000 0.0084741 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2030-08-15 0.000000 EUR 0.000000 EUR 15800000.000000 EUR 793338.770000 N N N N/A N/A 000000000 1.000000 NC -730419.750000 -0.0078020 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-05-15 0.000000 EUR 0.000000 EUR 4430000.000000 EUR -730419.750000 N N N N/A N/A 000000000 1.000000 NC 731430.610000 0.0078128 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2032-07-15 0.000000 EUR 0.000000 EUR 15100000.000000 EUR 731430.610000 N N N N/A N/A 000000000 1.000000 NC -2299352.190000 -0.0245606 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2037-05-15 36093.550000 EUR 0.000000 EUR 30630000.000000 EUR -2335445.740000 N N N N/A N/A 000000000 1.000000 NC 319499.430000 0.0034127 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2028-03-15 0.000000 EUR 0.000000 EUR 39300000.000000 EUR 319499.430000 N N N N/A N/A 000000000 1.000000 NC -147245.370000 -0.0015728 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-04-15 1472.580000 EUR 0.000000 EUR 1150000.000000 EUR -148717.950000 N N N N/A N/A 000000000 1.000000 NC 556479.880000 0.0059441 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2032-06-15 0.000000 EUR 0.000000 EUR 14400000.000000 EUR 556479.880000 N N N N/A N/A 000000000 1.000000 NC -752796.370000 -0.0080410 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-03-15 4452.540000 EUR 0.000000 EUR 5700000.000000 EUR -757248.910000 N N N N/A N/A 000000000 1.000000 NC -1016272.560000 -0.0108553 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-03-15 0.000000 EUR -206054.970000 EUR 7900000.000000 EUR -810217.590000 N N N N/A N/A 000000000 1.000000 NC -858623.250000 -0.0091714 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-12-15 0.000000 EUR 0.000000 EUR 15100000.000000 EUR -858623.250000 N N N N/A N/A 000000000 1.000000 NC 1666982.800000 0.0178059 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2032-05-15 168576.250000 EUR 0.000000 EUR 32100000.000000 EUR 1498406.550000 N N N N/A N/A 000000000 1.000000 NC -72667.390000 -0.0007762 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2053-04-15 70847.910000 EUR 0.000000 EUR 10600000.000000 EUR -143515.300000 N N N N/A N/A 000000000 1.000000 NC 794745.860000 0.0084891 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2032-06-15 0.000000 EUR -34825.600000 EUR 35300000.000000 EUR 829571.460000 N N N N/A N/A 000000000 1.000000 NC 461716.870000 0.0049318 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2027-05-15 0.000000 EUR 0.000000 EUR 15900000.000000 EUR 461716.870000 N N N N/A N/A 000000000 1.000000 NC -241912.120000 -0.0025840 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2024-09-15 0.000000 EUR -47251.510000 EUR 18100000.000000 EUR -194660.610000 N N N N/A N/A 000000000 1.000000 NC -258499.370000 -0.0027612 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2024-09-15 0.000000 EUR -62234.640000 EUR 28600000.000000 EUR -196264.730000 N N N N/A N/A 000000000 1.000000 NC 1915806.870000 0.0204638 N/A DIR FR N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A France CPI Ex Tobacco Y 2024-03-15 0.000000 EUR -760243.350000 EUR 20100000.000000 EUR 2676050.220000 N N N N/A N/A 000000000 1.000000 NC -1475280.540000 -0.0157583 N/A DIR FR N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A France CPI Ex Tobacco Y 2039-11-15 391581.630000 EUR 0.000000 EUR 4700000.000000 EUR -1866862.170000 N N N N/A N/A 000000000 1.000000 NC -37436.880000 -0.0003999 N/A DIR FR N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A France CPI Ex Tobacco Y 2038-01-15 52414.380000 EUR 0.000000 EUR 200000.000000 EUR -89851.260000 N N N N/A N/A 000000000 1.000000 NC USD -11896229.050000 -0.1270700 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2029-11-04 0.000000 USD -998670.140000 USD 78400000.000000 USD -10897558.910000 N N N N/A N/A 000000000 1.000000 NC USD -3276816.990000 -0.0350014 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2029-11-20 13805.360000 USD 0.000000 USD 23300000.000000 USD -3290622.350000 N N N N/A N/A 000000000 1.000000 NC USD -1152694.530000 -0.0123125 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2029-07-25 155378.650000 USD 0.000000 USD 9100000.000000 USD -1308073.180000 N N N N/A N/A 000000000 1.000000 NC USD -3693446.800000 -0.0394517 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2029-04-16 1066094.650000 USD 0.000000 USD 32400000.000000 USD -4759541.450000 N N N N/A N/A 000000000 1.000000 NC USD 3723548.200000 0.0397732 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2031-02-24 29723.320000 USD 0.000000 USD 34500000.000000 USD 3693824.880000 N N N N/A N/A 000000000 1.000000 NC USD 6669858.230000 0.0712443 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-02-26 0.000000 USD 0.000000 USD 67600000.000000 USD 6669858.230000 N N N N/A N/A 000000000 1.000000 NC USD -1936585.270000 -0.0206857 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2028-06-06 1402068.300000 USD 0.000000 USD 22300000.000000 USD -3338653.570000 N N N N/A N/A 000000000 1.000000 NC USD -1246921.640000 -0.0133190 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2028-07-09 955613.430000 USD 0.000000 USD 14700000.000000 USD -2202535.070000 N N N N/A N/A 000000000 1.000000 NC USD 7410284.630000 0.0791532 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-03-05 0.000000 USD 0.000000 USD 79200000.000000 USD 7410284.630000 N N N N/A N/A 000000000 1.000000 NC USD 567549.260000 0.0060623 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2028-08-26 0.000000 USD 0.000000 USD 9200000.000000 USD 567549.260000 N N N N/A N/A 000000000 1.000000 NC USD 687949.650000 0.0073484 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2028-09-10 0.000000 USD 0.000000 USD 12700000.000000 USD 687949.650000 N N N N/A N/A 000000000 1.000000 NC USD 1527743.110000 0.0163186 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-06-01 0.000000 USD 0.000000 USD 20400000.000000 USD 1527743.110000 N N N N/A N/A 000000000 1.000000 NC USD 1531803.840000 0.0163620 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-05-25 4788.790000 USD 0.000000 USD 20410000.000000 USD 1527015.050000 N N N N/A N/A 000000000 1.000000 NC USD 3297836.010000 0.0352259 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-05-13 0.000000 USD 0.000000 USD 45200000.000000 USD 3297836.010000 N N N N/A N/A 000000000 1.000000 NC USD 1327848.180000 0.0141835 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-05-14 0.000000 USD 0.000000 USD 18800000.000000 USD 1327848.180000 N N N BABSON CLO LTD 2015-IA N/A 056162AN0 3521256.340000 PA USD 3491515.740000 0.0372947 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 6.24043 N N N N N N BABSON CLO LTD 2016-2A N/A 06761CAL3 3370000.000000 PA USD 3327547.740000 0.0355433 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 6.32043 N N N N N N N/A N/A 000000000 1.000000 NC -8699664.540000 -0.0929257 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 3 Month ACT/360 Y 2023-11-21 0.000000 EUR 0.000000 EUR 339900000.000000 EUR -8699664.540000 N N N N/A N/A 000000000 1.000000 NC 16189163.920000 0.1729251 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2052-11-04 1924635.580000 EUR 0.000000 EUR 31090000.000000 EUR 14264528.340000 N N N N/A N/A 000000000 1.000000 NC 17712787.730000 0.1891997 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2052-11-04 21328.020000 EUR 0.000000 EUR 34090000.000000 EUR 17691459.710000 N N N N/A N/A 000000000 1.000000 NC 28230387.780000 0.3015438 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2052-11-08 3376944.350000 EUR 0.000000 EUR 54400000.000000 EUR 24853443.430000 N N N N/A N/A 000000000 1.000000 NC -1103525.270000 -0.0117873 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2024-08-10 0.000000 EUR -79143.540000 EUR 22800000.000000 EUR -1024381.730000 N N N N/A N/A 000000000 1.000000 NC -67094.520000 -0.0007167 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-04-12 0.000000 EUR -3261.750000 EUR 600000.000000 EUR -63832.770000 N N N N/A N/A 000000000 1.000000 NC -3802358.360000 -0.0406150 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-11 0.000000 EUR -256409.720000 EUR 34000000.000000 EUR -3545948.640000 N N N N/A N/A 000000000 1.000000 NC -1813398.040000 -0.0193699 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-04-11 0.000000 EUR -80943.630000 EUR 16500000.000000 EUR -1732454.410000 N N N N/A N/A 000000000 1.000000 NC -3503634.020000 -0.0374242 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-13 0.000000 EUR -131071.300000 EUR 35900000.000000 EUR -3372562.720000 N N N N/A N/A 000000000 1.000000 NC -1572075.070000 -0.0167922 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-18 0.000000 EUR -60287.080000 EUR 16100000.000000 EUR -1511787.990000 N N N N/A N/A 000000000 1.000000 NC 134695.500000 0.0014388 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2053-09-20 402236.120000 EUR 0.000000 EUR 46400000.000000 EUR -267540.620000 N N N N/A N/A 000000000 1.000000 NC -130010.950000 -0.0013887 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2032-08-15 0.000000 EUR 0.000000 EUR 10500000.000000 EUR -130010.950000 N N N N/A N/A 000000000 1.000000 NC -1035564.620000 -0.0110614 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2032-08-15 0.000000 EUR 0.000000 EUR 112100000.000000 EUR -1035564.620000 N N N N/A N/A 000000000 1.000000 NC 652482.650000 0.0069695 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-09-20 22496.210000 EUR 0.000000 EUR 400100000.000000 EUR 629986.440000 N N N N/A N/A 000000000 1.000000 NC -10473.710000 -0.0001119 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2028-03-20 0.000000 JPY -251878.940000 JPY 1141690000.000000 JPY 241405.230000 N N N N/A N/A 000000000 1.000000 NC -101078.930000 -0.0010797 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2029-03-20 0.000000 JPY -790764.610000 JPY 2225400000.000000 JPY 689685.680000 N N N N/A N/A 000000000 1.000000 NC -494090.290000 -0.0052776 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2031-12-15 427746.480000 JPY 0.000000 JPY 21652000000.000000 JPY -921836.770000 N N N BANC OF AMERICA FUNDING CORP 2006-8T2 N/A 05951UAK7 87451.230000 PA USD 76034.580000 0.0008122 Long ABS-MBS CORP US N 2 2036-10-25 Variable 5.7527 Y N N N N N N/A N/A 000000000 1.000000 NC USD 6163828.650000 0.0658391 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-02-13 2987214.360000 USD 0.000000 USD 144900000.000000 USD 3176614.290000 N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAC1 2586032.620000 PA USD 2207013.340000 0.0235743 Long ABS-MBS CORP US N 2 2047-01-20 Variable 3.8256 N N N N N N N/A N/A 000000000 1.000000 NC USD -8376465.800000 -0.0894735 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-13 0.000000 USD -2510049.440000 USD 325750000.000000 USD -5866416.360000 N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 84198.030000 PA USD 78126.910000 0.0008345 Long ABS-MBS CORP US N 2 2047-01-20 Floating 4.41632 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-1 N/A 05951FAM6 85242.760000 PA USD 75620.050000 0.0008077 Long ABS-MBS CORP US N 2 2037-01-25 Variable 6.3368 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-3 N/A 059515AH9 67421.400000 PA USD 57977.720000 0.0006193 Long ABS-MBS CORP US N 2 2037-04-25 Variable 6.388 Y N N N N N N/A N/A 000000000 1.000000 NC USD 758499.300000 0.0081019 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-12-20 0.000000 USD -1663149.900000 USD 403500000.000000 USD 2421649.200000 N N N N/A N/A 000000000 1.000000 NC USD 7860079.080000 0.0839577 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-11-15 0.000000 USD -11609.200000 USD 82200000.000000 USD 7871688.280000 N N N N/A N/A 000000000 1.000000 NC USD -2482594.400000 -0.0265179 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-21 3137.170000 USD 0.000000 USD 8800000.000000 USD -2485731.570000 N N N N/A N/A 000000000 1.000000 NC USD 4188918.800000 0.0447441 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-11-21 0.000000 USD -9117.810000 USD 44000000.000000 USD 4198036.610000 N N N N/A N/A 000000000 1.000000 NC USD -4557951.990000 -0.0486859 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-15 4921.650000 USD 0.000000 USD 17100000.000000 USD -4562873.640000 N N N N/A N/A 000000000 1.000000 NC 1189.050000 0.0000127 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 138998.920000 USD 210445.000000 AUD 2023-07-05 1189.050000 N N N N/A N/A 000000000 1.000000 NC -48360.330000 -0.0005166 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 23296491.000000 USD 30797961.100000 CAD 2023-07-05 -48360.330000 N N N N/A N/A 000000000 1.000000 NC 12820.060000 0.0001369 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 6931989.890000 USD 9200136.980000 CAD 2023-07-05 12820.060000 N N N N/A N/A 000000000 1.000000 NC -16891.430000 -0.0001804 N/A DFE GB N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 30632764.900000 USD 24107000.000000 GBP 2023-07-05 -16891.430000 N N N N/A N/A 000000000 1.000000 NC -177197.450000 -0.0018927 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 86673578.820000 USD 12480995350.000000 JPY 2023-07-05 -177197.450000 N N N N/A N/A 000000000 1.000000 NC 88229.450000 0.0009424 N/A DFE NZ N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 11432605.970000 USD 18772752.000000 NZD 2023-07-05 88229.450000 N N N N/A N/A 000000000 1.000000 NC -16338.990000 -0.0001745 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1350310.000000 AUD 883170.260000 USD 2023-07-05 -16338.990000 N N N N/A N/A 000000000 1.000000 NC -1187.500000 -0.0000127 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 210445.000000 AUD 139112.140000 USD 2023-08-02 -1187.500000 N N N N/A N/A 000000000 1.000000 NC 48176.650000 0.0005146 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 30785730.440000 CAD 23296491.000000 USD 2023-08-02 48176.650000 N N N N/A N/A 000000000 1.000000 NC -12880.510000 -0.0001376 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 9196490.760000 CAD 6931989.890000 USD 2023-08-02 -12880.510000 N N N N/A N/A 000000000 1.000000 NC 17433.100000 0.0001862 N/A DFE GB N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 24107000.000000 GBP 30639442.540000 USD 2023-08-02 17433.100000 N N N N/A N/A 000000000 1.000000 NC 179983.400000 0.0019225 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 12428063795.000000 JPY 86673578.820000 USD 2023-08-02 179983.400000 N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 BF2PHRII3 1400000.000000 PA 1515550.700000 0.0161884 Long DBT CORP ES N 2 2023-09-24 Floating 5.875 N N N N Y BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) EUR XXXX N N N N/A N/A 000000000 1.000000 NC -88077.810000 -0.0009408 N/A DFE NZ N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 18772752.000000 NZD 11431423.280000 USD 2023-08-02 -88077.810000 N N N N/A N/A 000000000 1.000000 NC 471.890000 0.0000050 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 67126.370000 USD 101476.000000 AUD 2023-07-05 471.890000 N N N N/A N/A 000000000 1.000000 NC -3554.590000 -0.0000380 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 309090.000000 AUD 202345.770000 USD 2023-07-05 -3554.590000 N N N N/A N/A 000000000 1.000000 NC -471.440000 -0.0000050 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 101476.000000 AUD 67180.660000 USD 2023-08-02 -471.440000 N N N N/A N/A 000000000 1.000000 NC USD -347734.960000 -0.0037143 N/A DCR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-14 0.000000 USD 0.000000 USD 72200000.000000 USD -347734.960000 N N N N/A N/A 000000000 1.000000 NC USD -4190303.920000 -0.0447589 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 150000000.000000 USD -4190303.920000 N N N N/A N/A 000000000 1.000000 NC USD -701433.840000 -0.0074924 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 225000000.000000 USD -701433.840000 N N N N/A N/A 000000000 1.000000 NC USD -842566.720000 -0.0089999 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 199000000.000000 USD -842566.720000 N N N N/A N/A 000000000 1.000000 NC USD -846800.720000 -0.0090451 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 200000000.000000 USD -846800.720000 N N N N/A N/A 000000000 1.000000 NC USD -1528759.580000 -0.0163295 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 100000000.000000 USD -1528759.580000 N N N N/A N/A 000000000 1.000000 NC USD -2464468.130000 -0.0263243 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 100000000.000000 USD -2464468.130000 N N N N/A N/A 000000000 1.000000 NC USD -3810394.070000 -0.0407008 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 150000000.000000 USD -3810394.070000 N N N N/A N/A 000000000 1.000000 NC USD -7317298.220000 -0.0781600 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 250000000.000000 USD -7317298.220000 N N N N/A N/A 000000000 1.000000 NC USD -890522.950000 -0.0095121 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 100000000.000000 USD -890522.950000 N N N N/A N/A 000000000 1.000000 NC USD -890522.950000 -0.0095121 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 100000000.000000 USD -890522.950000 N N N N/A N/A 000000000 1.000000 NC USD -1640713.970000 -0.0175253 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 100000000.000000 USD -1640713.970000 N N N N/A N/A 000000000 1.000000 NC USD -9418448.090000 -0.1006035 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 339000000.000000 USD -9418448.090000 N N N N/A N/A 000000000 1.000000 NC USD -3398210.660000 -0.0362981 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-24 0.000000 USD 0.000000 USD 150000000.000000 USD -3398210.660000 N N N N/A N/A 000000000 1.000000 NC USD -1502319.250000 -0.0160471 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2023-07-06 0.000000 USD 0.000000 USD 150000000.000000 USD -1502319.250000 N N N N/A N/A 000000000 1.000000 NC USD -358537.190000 -0.0038297 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2024-02-23 0.000000 USD 0.000000 USD 45000000.000000 USD -358537.190000 N N N N/A N/A 000000000 1.000000 NC USD -673771.190000 -0.0071969 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2024-02-23 0.000000 USD 0.000000 USD 100000000.000000 USD -673771.190000 N N N N/A N/A 000000000 1.000000 NC USD -64625.470000 -0.0006903 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2024-02-23 0.000000 USD 0.000000 USD 40000000.000000 USD -64625.470000 N N N N/A N/A 000000000 -1472.000000 NC USD -1638615.680000 -0.0175029 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 09/20/23 2023-09-21 N/A USD N/A 113.000000 USD 2023-07-21 XXXX -600423.200000 N N N N/A N/A 000000000 -8545.000000 NC USD 15071192.470000 0.1609834 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-09-20 -959643558.960000 USD 15071192.470000 N N N N/A N/A 000000000 3338.000000 NC USD -3417505.710000 -0.0365042 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-09-20 395631236.040000 USD -3417505.710000 N N N N/A N/A 000000000 -392.000000 NC USD -58907.410000 -0.0006292 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 2YR CBT 09/29/23 2023-09-30 N/A USD N/A 103.000000 USD 2023-08-25 XXXX 216209.950000 N N N N/A N/A 000000000 887.000000 NC USD -2318526.870000 -0.0247654 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-09-29 180404018.870000 USD -2318526.870000 N N N N/A N/A 000000000 1647.000000 NC USD -3105326.210000 -0.0331696 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-09-29 176454176.190000 USD -3105326.210000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BF8PC7II6 800000.000000 PA 838600.560000 0.0089575 Long DBT CORP ES N 2 2023-09-29 Floating 5.25 N N N N Y BANCO SANTANDER SA EUR XXXX N N N N/A N/A 000000000 -3877.000000 NC USD -57938.410000 -0.0006189 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-09-20 -492924203.130000 USD -57938.410000 N N N N/A N/A 000000000 368.000000 NC USD 603279.780000 0.0064440 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-09-20 50272250.000000 USD 603279.780000 N N N BANK OF AMERICA MTGE SEC 2005-F N/A 05949CCA2 124303.180000 PA USD 114073.530000 0.0012185 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.36999 Y N N N N N BANK OF AMERICA MTGE SECS-2005-J N/A 05949CKT2 252078.170000 PA USD 219313.520000 0.0023426 Long ABS-MBS CORP US N 3 2035-11-25 Floating 3.90156 Y N N N N N BARINGS CLO LTD 2018-I N/A 06760GAA9 26100000.000000 PA USD 25775796.760000 0.2753250 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.21029 N N N N N N BASTILLE FUNDING 20-3A N/A ACI1S2JN8 1000000.000000 PA 1063101.930000 0.0113556 Long ABS-CBDO CORP IE N 2 2034-01-15 Floating 4.327 N N N N N N BCAP LLC TRUST 2006-AA2 N/A 05530MAA7 763498.150000 PA USD 703076.970000 0.0075099 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.49043 Y N N N N N BCAP LLC TRUST 2011-RR5 N/A 05533YBC3 1333475.810000 PA USD 1139106.910000 0.0121674 Long ABS-MBS CORP US N 2 2036-04-26 Floating 3.79747 N N N N N N BDS 2022-FL11 LLC N/A 054980AA5 6100000.000000 PA USD 6033205.000000 0.0644439 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 6.87629 N N N N N N BEAR STEARNS ADJ RATE MTGE 2003-9 N/A 07384MB68 218049.670000 PA USD 201261.260000 0.0021498 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.43926 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 26361.920000 PA USD 23914.620000 0.0002554 Long ABS-MBS CORP US N 3 2034-11-25 Floating 4.03285 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-2 N/A 07388DAS7 503129.730000 PA USD 445582.610000 0.0047595 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.22243 Y N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-3 N/A 073881AA2 386827.410000 PA USD 346703.850000 0.0037033 Long ABS-MBS CORP US N 2 2047-05-25 Floating 3.88704 Y N N N N N BEAR STEARNS ADJUST RT MTGE TR 2000- N/A 07384MAA0 35346.700000 PA USD 33318.240000 0.0003559 Long ABS-MBS CORP US N 2 2030-11-25 Floating 2.7845 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZS4 75924.890000 PA USD 71812.260000 0.0007671 Long ABS-MBS CORP US N 2 2034-01-25 Floating 3.90737 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 250536.650000 PA USD 244226.660000 0.0026087 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.20055 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-10 N/A 07387AET8 181596.490000 PA USD 174244.170000 0.0018612 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.58599 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AGE9 77803.100000 PA USD 69972.170000 0.0007474 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.52395 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSZ5 20248.200000 PA USD 19150.050000 0.0002046 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.19478 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 38737.880000 PA USD 24096.640000 0.0002574 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.20184 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AN5 211664.530000 PA USD 139837.270000 0.0014937 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.1645 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AV3 539795.550000 PA USD 306508.980000 0.0032740 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.78095 N N N N N N BEAR STEARNS ALT-A TRUST 2006-R1 N/A 073866BN4 356804.210000 PA USD 248486.730000 0.0026542 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.93167 Y N N N N N BEAR STEARNS ALT-A TRUST II 2007-1 N/A 07389KAA9 2813592.760000 PA USD 1452394.870000 0.0155138 Long ABS-MBS CORP US N 2 2047-09-25 Floating 3.83901 Y N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE8 N/A 07388JAQ8 12774.710000 PA USD 12449.400000 0.0001330 Long ABS-MBS CORP US N 3 2036-10-25 Floating 5.67043 N N N N N N BEAST MORTGAGE TRUST 2022-1700 N/A 055742AA8 3200000.000000 PA USD 2896623.360000 0.0309404 Long ABS-MBS CORP US N 2 2037-02-15 Floating 6.447 N N N N N N BENEFIT STREET PARTNERS CLO XII LTD 2017-12A N/A 08179HAE0 6464894.020000 PA USD 6412798.290000 0.0684985 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.21029 N N N N N N BENEFIT STREET PARTNERS CLO XVI LTD N/A 08181VAN5 3050000.000000 PA USD 3016450.000000 0.0322203 Long ABS-CBDO CORP KY N 2 2032-01-17 Floating 6.29029 N N N N N N BENEFIT STREET PARTNERS CLO XVII LTD N/A 08182BAL2 800000.000000 PA USD 792321.750000 0.0084632 Long ABS-CBDO CORP KY N 2 2032-07-15 Floating 6.34029 N N N N N N BGCLO 19A N/A 09075JAL3 5100000.000000 PA USD 5055613.880000 0.0540017 Long ABS-CBDO CORP KY N 2 2031-06-15 Floating 6.682 N N N N N N BLACK DIAMOND CLO 2017-2 DAC N/A ACI1XBRF0 962232.270000 PA 1035330.670000 0.0110589 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 4.06 N N N N N N BLACKROCK EUROPEAN CLO IV DAC 4A N/A ACI0Y3WK2 5473405.350000 PA 5889641.740000 0.0629104 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 4.027 N N N N N N BLACKROCK EUROPEAN CLO IX DAC 9A N/A ACI1G0FC3 2400000.000000 PA 2551387.810000 0.0272527 Long ABS-CBDO CORP IE N 2 2032-12-15 Floating 4.426 N N N N N N BLACKROCK EUROPEAN CLO VII DAC 7A N/A ACI1W2WD0 9300000.000000 PA 9915770.250000 0.1059156 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.797 N N N N N N BLUEMOUNTAIN CLO XXII LTD 2018-22A N/A 09629PAA4 5300000.000000 PA USD 5230771.510000 0.0558727 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.34029 N N N N N N BLUEMOUNTAIN EUR CLO 5A N/A ACI1GHFQ5 900000.000000 PA 957528.300000 0.0102279 Long ABS-CBDO CORP IE N 2 2033-01-15 Floating 4.087 N N N N N N BOSPHORUS CLO V DAC 5A N/A ACI1MK5S8 2750000.000000 PA 2934350.910000 0.0313434 Long ABS-CBDO CORP IE N 2 2032-12-12 Floating 4.496 N N N N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 4300000.000000 PA 4599140.780000 0.0491259 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.957 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087VS0 37401210.000000 PA 30425058.110000 0.3249862 Long DBT NUSS CA N 2 2026-12-01 Fixed 4.25 N N N N N N CAPITAL FOUR US CLO 2022-1A N/A 14016CAA4 5537089.100000 PA USD 5554646.270000 0.0593321 Long ABS-CBDO CORP JE N 2 2030-10-20 Floating 7.18845 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO 2014-3R LTD 2014-3RA N/A 14315LAA2 1983665.400000 PA USD 1965651.140000 0.0209962 Long ABS-CBDO CORP KY N 2 2031-07-27 Floating 6.34157 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2012-4A N/A 14309YBQ6 2000000.000000 PA USD 1977500.000000 0.0211227 Long ABS-CBDO CORP KY N 2 2032-04-22 Floating 6.35271 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2013-1A N/A 14310BAU5 9738083.470000 PA USD 9674432.050000 0.1033378 Long ABS-CBDO CORP KY N 2 2030-08-14 Floating 6.27071 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A N/A 14310MAW7 996968.840000 PA USD 988457.940000 0.0105582 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 6.23029 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2015-4A N/A 14311NAL8 1000000.000000 PA USD 991250.000000 0.0105881 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.59043 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A N/A ACI1XGH29 6660000.000000 PA 7130365.380000 0.0761632 Long ABS-CBDO CORP IE N 2 2031-11-15 Floating 4.073 N N N N N N CARLYLE US CLO LTD 2017-1A N/A 14314BAL1 5300000.000000 PA USD 5234155.720000 0.0559088 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.25043 N N N N N N CARLYLE US CLO LTD 2017-4 N/A 14315BAA4 2471763.630000 PA USD 2450906.200000 0.0261794 Long ABS-CBDO CORP KY N 2 2030-01-15 Floating 6.44029 N N N N N N CARRINGTON MORTGAGE LOAN TRUST SERIES 2006-NC2 2006-NC2 N/A 14453FAD1 4480576.900000 PA USD 4247094.490000 0.0453655 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.63043 N N N N N N CARRINGTON MTGE LOAN TRUST 2006-NC1 N/A 144531EY2 1772661.980000 PA USD 1691826.640000 0.0180713 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.75043 N N N N N N CATAMARAN CLO LTD 2014-1A N/A 14889DAJ7 8997124.640000 PA USD 8943321.830000 0.0955284 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 6.37271 N N N N N N CBAM 2018-5 LTD 5A N/A 12481QAC9 1000000.000000 PA USD 988227.980000 0.0105558 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 6.28029 N N N N N N CBAM 2018-6 LTD 2019-10A N/A 12482NAN1 1500000.000000 PA USD 1481216.940000 0.0158217 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 6.37043 N N N N N N CBAM LTD 2017-1A N/A 12480VAC9 2889467.420000 PA USD 2878679.940000 0.0307487 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 6.50043 N N N N N N CEDAR FUNDING V CLO LTD 2016-5A N/A 15032AAN7 2600000.000000 PA USD 2578256.900000 0.0275397 Long ABS-CBDO CORP KY N 2 2031-07-17 Floating 6.36029 N N N N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPB9 97592.380000 PA USD 89194.830000 0.0009527 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.88294 Y N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AA6 13012.930000 PA USD 12743.940000 0.0001361 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.48266 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AL2 28067.490000 PA USD 26127.050000 0.0002791 Long ABS-MBS CORP US N 3 2037-02-25 Floating 4.31128 N N N N N N CHASEFLEX TRUST 2005-2 N/A 16165TBC6 172925.990000 PA USD 53645.000000 0.0005730 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.65043 Y N N N N N CHEVY CHASE MORTGAGE FUND CORP 2005-3A N/A 16678RDT1 158591.740000 PA USD 143370.200000 0.0015314 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.33043 N N N N N N CIFC EUROPEAN FUNDING CLO 3A N/A ACI27MSP0 2300000.000000 PA 2461773.910000 0.0262955 Long ABS-CBDO CORP IE N 2 2034-01-15 Floating 4.227 N N N N N N CIFC FUNDING 2018-III LTD 2018-3A N/A 12551YAA1 1300000.000000 PA USD 1288950.000000 0.0137680 Long ABS-CBDO CORP KY N 2 2031-07-18 Floating 6.36171 N N N N N N CIFC FUNDING LTD 2014-5A N/A 12550AAT3 500000.000000 PA USD 495358.750000 0.0052912 Long ABS-CBDO CORP KY N 2 2031-10-17 Floating 6.46029 N N N N N N CIFC FUNDING LTD 2017-1A N/A 12551AAL9 2319128.470000 PA USD 2304578.050000 0.0246164 Long ABS-CBDO CORP KY N 2 2029-04-23 Floating 6.27143 N N N N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 11995278.660000 PA USD 11911554.010000 0.1272336 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 6.22271 N N N N N N CIM TRUST 2019-INV1 N/A 12555DAB1 135013.880000 PA USD 129886.710000 0.0013874 Long ABS-MBS CORP US N 2 2049-02-25 Floating 6.138 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAF9 12029000.000000 PA USD 11710482.910000 0.1250859 Long ABS-MBS CORP US N 2 2037-10-25 Floating 6.65043 N N N N N N CITIGROUP MORTGAGE LOAN TR 2004-HYB2 N/A 17307GEC8 49669.260000 PA USD 46887.590000 0.0005008 Long ABS-MBS CORP US N 2 2034-03-25 Floating 4.32088 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3 N/A 17309QAG9 17188000.000000 PA USD 16470150.060000 0.1759264 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.64543 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR7 N/A 172987AD1 375358.730000 PA USD 341635.900000 0.0036492 Long ABS-MBS CORP US N 2 2046-07-25 Floating 4.13244 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-HE3 N/A 17310VAD2 2865466.130000 PA USD 1867044.600000 0.0199429 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.61043 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 131832.220000 PA USD 115764.460000 0.0012365 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.97438 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-WFH2 N/A 17312BAF9 1789110.090000 PA USD 1750759.080000 0.0187008 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.82543 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 29315.090000 PA USD 28522.660000 0.0003047 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.98 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXR4 30112.220000 PA USD 29672.740000 0.0003170 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.43 N N N N N N CONTEGO CLO IV DAC 4A N/A ACI25QZ00 3789943.290000 PA 4053702.780000 0.0432998 Long ABS-CBDO CORP IE N 2 2030-01-23 Floating 3.851 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-41CB N/A 02149CAJ0 3025867.100000 PA USD 1724658.310000 0.0184220 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 Y N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA17 N/A 12668PAA0 2506379.650000 PA USD 2100428.360000 0.0224358 Long ABS-MBS CORP US N 2 2046-12-20 Floating 5.35157 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-29CB N/A 12667GUG6 83987.620000 PA USD 50364.150000 0.0005380 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-46CB N/A 12667G7F4 70689.780000 PA USD 46880.330000 0.0005008 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-50CB N/A 12668ALH6 16735.680000 PA USD 13711.190000 0.0001465 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACG8 200916.430000 PA USD 185696.230000 0.0019835 Long ABS-MBS CORP US N 2 2035-11-20 Floating 5.80271 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-62 N/A 12668ATT2 411486.860000 PA USD 346576.490000 0.0037020 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.9762 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J1 N/A 12667FU29 20519.750000 PA USD 19826.730000 0.0002118 Long ABS-MBS CORP US N 3 2032-08-25 Fixed 6.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB N/A 12668BSJ3 968582.000000 PA USD 408777.250000 0.0043664 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 5.75 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19 N/A 12668RAA6 43537.160000 PA USD 33967.430000 0.0003628 Long ABS-MBS CORP US N 2 2047-02-20 Floating 5.33657 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13 N/A 02149DAN9 1152158.820000 PA USD 990159.640000 0.0105764 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.94014 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9 N/A 02146YAC0 2278821.740000 PA USD 1832506.750000 0.0195740 Long ABS-MBS CORP US N 2 2046-07-20 Floating 5.36657 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8 N/A 23245LAB6 59116.110000 PA USD 27053.190000 0.0002890 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1 N/A 126694A32 101361.320000 PA USD 83021.860000 0.0008868 Long ABS-MBS CORP US N 2 2046-03-20 Floating 5.57657 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB N/A 02148FBX2 1010475.520000 PA USD 863042.900000 0.0092186 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673BR2 254960.890000 PA USD 242205.040000 0.0025871 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.93043 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-7 N/A 126673EG3 2533187.600000 PA USD 2191804.090000 0.0234118 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.87543 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AA9 563839.230000 PA USD 536543.890000 0.0057311 Long ABS-MBS CORP US N 2 2047-08-25 Floating 5.89043 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-2 N/A 12668NAA5 156862.870000 PA USD 137997.930000 0.0014740 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.29043 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAE0 572741.240000 PA USD 535805.790000 0.0057232 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.40043 N N N N N N COUNTRYWIDE ASSET-BACKED CERTI 2006-19 N/A 12667CAD4 9261821.640000 PA USD 8733812.600000 0.0932905 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.65043 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8 N/A 12669WAA4 7168589.200000 PA USD 6589291.920000 0.0703837 Long ABS-MBS CORP US N 2 2037-11-25 Floating 5.34043 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-13 N/A 126670GR3 405119.070000 PA USD 355767.990000 0.0038001 Long ABS-MBS CORP US N 2 2036-04-25 Variable 5.805 Y N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 4747.580000 PA USD 4318.910000 0.0000461 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.80962 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB8 N/A 12669GGF2 17322.470000 PA USD 16492.570000 0.0001762 Long ABS-MBS CORP US N 3 2035-01-20 Floating 6.12374 N N N N N N COUNTRYWIDE HOME LOANS 2005-11 N/A 12669GUL3 35485.890000 PA USD 27322.060000 0.0002918 Long ABS-MBS CORP US N 3 2035-04-25 Floating 4.01998 Y N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 5070.610000 PA USD 4748.010000 0.0000507 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.79043 N N N N N N COUNTRYWIDE HOME LOANS 2005-24 N/A 126694JR0 72534.890000 PA USD 42340.850000 0.0004523 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A 12669GTQ4 203781.330000 PA USD 188301.260000 0.0020113 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.73043 N N N N N N COUNTRYWIDE HOME LOANS 2005-HY10 N/A 126694VR6 13452.690000 PA USD 10306.910000 0.0001101 Long ABS-MBS CORP US N 3 2036-02-20 Floating 3.91136 Y N N N N N COUNTRYWIDE HOME LOANS 2005-HYB6 N/A 126694BH0 9323064.370000 PA USD 8797624.850000 0.0939721 Long ABS-MBS CORP US N 2 2035-10-20 Floating 3.85083 N N N N N N COUNTRYWIDE HOME LOANS 2006-6 N/A 126694K64 1200554.980000 PA USD 649502.170000 0.0069377 Long ABS-MBS CORP US N 2 2036-04-25 Fixed 6 N N N N N N COUNTRYWIDE HOME LOANS 2006-HYB2 N/A 126694D54 3252.160000 PA USD 3062.570000 0.0000327 Long ABS-MBS CORP US N 3 2036-04-20 Floating 3.73435 Y N N N N N COUNTRYWIDE HOME LOANS 2007-1 N/A 170255AA1 3460715.480000 PA USD 1748207.760000 0.0186735 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N COUNTRYWIDE HOME LOANS 2007-HY7 N/A 12544HAY6 1017192.370000 PA USD 930248.060000 0.0099365 Long ABS-MBS CORP US N 2 2037-11-25 Variable 3.88422 N N N N N N COUNTRYWIDE HOME LOANS 2007-HYB1 N/A 22239EAG1 84101.240000 PA USD 73611.680000 0.0007863 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.08471 Y N N N N N COUNTRYWIDE HOME LOANS 2007-HYB2 N/A 125438AB7 108889.060000 PA USD 94553.860000 0.0010100 Long ABS-MBS CORP US N 2 2047-02-25 Floating 3.61256 Y N N N N N COUNTRYWIDE HOME LOANS 2008-1 N/A 12544YAD5 75250.300000 PA USD 70466.070000 0.0007527 Long ABS-MBS CORP US N 3 2038-04-25 Fixed 5.5 N N N N N N CQS US CLO 2022-2A LTD N/A 12664BAA5 13125396.240000 PA USD 13209593.560000 0.1410987 Long ABS-CBDO CORP JE N 2 2031-07-20 Floating 7.69845 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-3 N/A 12638PAJ8 352977.180000 PA USD 99114.300000 0.0010587 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6.0789 Y N N N N N CRESTLINE DENALI CLO XIV LTD 2016-1A N/A 22615MAW2 996441.230000 PA USD 984053.420000 0.0105112 Long ABS-CBDO CORP KY N 2 2031-10-23 Floating 6.41271 N N N N N N CRESTLINE DENALI CLO XV 2017-1A N/A 22616CAJ2 1976603.960000 PA USD 1959333.640000 0.0209287 Long ABS-CBDO CORP KY N 2 2030-04-20 Floating 6.28043 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR18 N/A 22541QFC1 2559.000000 PA USD 2390.580000 0.0000255 Long ABS-MBS CORP US N 3 2033-07-25 Floating 4.26015 N N N N N N CSAB MORTGAGE BACKED TR 2006-4 N/A 12628LAJ9 162471.110000 PA USD 32669.090000 0.0003490 Long ABS-MBS CORP US N 2 2036-12-25 Variable 6.1837 Y N N N N N CSMC 2021-NQM8 N/A 12659FAA3 8163524.700000 PA USD 6741673.810000 0.0720114 Long ABS-MBS CORP US N 2 2066-10-25 Variable 1.841 N N N N N N CVC CORDATUS LOAN FUND III LTD CORDA-A N/A ACI12W091 596800.420000 PA 638966.190000 0.0068251 Long ABS-CBDO CORP IE N 2 2032-08-15 Floating 4.103 N N N N N N CVC CORDATUS LOAN FUND VII DAC 7A N/A ACI1W2TC6 699824.730000 PA 747329.730000 0.0079826 Long ABS-CBDO CORP IE N 2 2031-09-15 Floating 4.156 N N N N N N CVC CORDATUS LOAN FUND XI DAC 21-1 N/A ACI1W60L8 15000000.000000 PA 16060532.160000 0.1715511 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.827 N N N N N N DENALI CAPITAL CLO XII LTD 2016-1A N/A 24824TAQ3 1892069.000000 PA USD 1866376.770000 0.0199358 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.31029 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2005-AR2 N/A 251510GZ0 4687.030000 PA USD 4663.480000 0.0000498 Long ABS-MBS CORP US N 3 2035-10-25 Floating 2.90657 N N N N N N DRYDEN 35 EURO CLO 2014 BV 14-35A N/A ACI2878B5 1100000.000000 PA 1169153.700000 0.0124884 Long ABS-CBDO CORP IE N 2 2033-01-17 Floating 4.157 N N N N N N DRYDEN 36 SENIOR LOAN FUND 2014-36A N/A 26249KAZ4 12187953.350000 PA USD 12125583.810000 0.1295198 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 6.26793 N N N N N N DRYDEN 44 EURO CLO 2015 BV 15-44A N/A ACI1VYV26 900000.000000 PA 952840.930000 0.0101778 Long ABS-CBDO CORP IE N 2 2034-04-15 Floating 4.057 N N N N N N DRYDEN 52 EURO CLO 2017 17-52A N/A ACI1YL2T4 9600000.000000 PA 10250968.920000 0.1094961 Long ABS-CBDO CORP IE N 2 2034-05-15 Floating 4.183 N N N N N N DRYDEN 60 CLO LTD N/A 26251NAB6 1200000.000000 PA USD 1191049.750000 0.0127222 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.31029 N N N N N N DRYDEN CLO LTD 2018-64A N/A 26251LAC8 1900000.000000 PA USD 1881950.000000 0.0201021 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 6.23171 N N N N N N DRYDEN XXVII-R EURO CLO BV 2017-27A N/A ACI1W43B2 14800000.000000 PA 15797876.220000 0.1687455 Long ABS-CBDO CORP IE N 2 2033-04-15 Floating 3.837 N N N N N N EURO-GALAXY III CLO BV 13-3A N/A ACI1W6FF5 1600000.000000 PA 1700214.790000 0.0181609 Long ABS-CBDO CORP IE N 2 2034-04-24 Floating 3.831 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040WAD0 300000.000000 PA USD 288863.870000 0.0030855 Long DBT CORP US N 2 2024-10-01 Fixed 2.9 N N N N N N FANNIE MAE 2006-118 N/A 31396L4T4 36151.240000 PA USD 35078.550000 0.0003747 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 5.5236 N N N N N N FANNIE MAE 2006-15 N/A 31395BVE0 42941.140000 PA USD 42013.050000 0.0004488 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 5.10337 N N N N N N FANNIE MAE 2006-30 N/A 31395B6R9 19052.100000 PA USD 18757.460000 0.0002004 Long ABS-MBS USGSE US N 2 2036-05-25 Floating 5.59043 N N N N N N FANNIE MAE 2006-5 N/A 31394VL73 5006.010000 PA USD 5093.520000 0.0000544 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 4.08199 N N N N N N FANNIE MAE 2007-4 N/A 31396PMC2 97540.500000 PA USD 95289.450000 0.0010178 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 5.59543 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 20970.190000 PA USD 20539.810000 0.0002194 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 5.50043 N N N N N N FANNIE MAE 2007-73 N/A 31396V4Q8 128152.560000 PA USD 124222.610000 0.0013269 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 5.03556 N N N N N N FANNIE MAE WHOLE LOAN N/A 31359UPD1 7727.830000 PA USD 7648.830000 0.0000817 Long ABS-MBS USGSE US N 2 2028-06-25 Fixed 6.5 N N N N N N FANNIEMAE WHOLE LOAN 2003-W-8 N/A 31393CX40 61703.980000 PA USD 61148.220000 0.0006532 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 5.50043 N N N N N N FHLMC PASS THRU POOLS N/A 3128NFFX0 35352.450000 PA USD 36080.180000 0.0003854 Long ABS-MBS USGSE US N 2 2036-07-01 Floating 6.049 N N N N N N FHLMC PASS THRU POOLS N/A 3128NHPT4 13150.100000 PA USD 13088.830000 0.0001398 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 3.759 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRAN6 38781.930000 PA USD 37941.470000 0.0004053 Long ABS-MBS USGSE US N 2 2034-01-01 Floating 4.301 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRAR7 131530.020000 PA USD 127448.570000 0.0013613 Long ABS-MBS USGSE US N 2 2034-01-01 Floating 4.338 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRLD6 57893.780000 PA USD 56940.630000 0.0006082 Long ABS-MBS USGSE US N 2 2033-06-01 Floating 4.885 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRN77 16913.610000 PA USD 16680.330000 0.0001782 Long ABS-MBS USGSE US N 2 2036-10-01 Floating 3.928 N N N N N N FHLMC PASS THRU POOLS N/A 31334XR35 203675.460000 PA USD 194184.820000 0.0020742 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133KHPQ3 213489.660000 PA USD 203941.350000 0.0021784 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DMH32 1395603.420000 PA USD 1331886.820000 0.0142266 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31329QDG3 66927.670000 PA USD 64229.960000 0.0006861 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31329QWF4 295728.230000 PA USD 282162.930000 0.0030139 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31329QZJ3 27459.950000 PA USD 26188.990000 0.0002797 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131XWLS0 627502.310000 PA USD 598979.680000 0.0063980 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131XYWF2 24276427.800000 PA USD 23086074.430000 0.2465946 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131Y1W55 62673.040000 PA USD 59741.440000 0.0006381 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132A5JD8 14107.680000 PA USD 13425.210000 0.0001434 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132A5JR7 138447.490000 PA USD 131783.090000 0.0014076 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132A5JX4 102136.270000 PA USD 97441.210000 0.0010408 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 291419.190000 PA USD 280787.310000 0.0029992 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 5.1762 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-32 N/A 3133TSQG1 71557.930000 PA USD 71752.630000 0.0007664 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 5.28043 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-35 N/A 313398VT3 161440.130000 PA USD 160682.090000 0.0017163 Long ABS-MBS USGSE US N 2 2031-09-25 Floating 5.43043 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-61 N/A 31395A3J2 56391.280000 PA USD 52417.920000 0.0005599 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 5.3762 N N N N N N FIDELITY GRAND HARBOUR CLO 2019-1 DAC 19-1A N/A ACI280L41 4474000.000000 PA 4798960.140000 0.0512602 Long ABS-CBDO CORP IE N 2 2032-03-15 Floating 4.726 N N N N N N FIRST FRANKLIN MTG LOAN 2005-FF12 N/A 32027NXX4 12737206.820000 PA USD 12161519.460000 0.1299037 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.85543 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF14 N/A 32027LAA3 1301498.440000 PA USD 1112085.120000 0.0118788 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.25543 N N N N N N FIRST HORIZON ALT MTG SEC 2006-FA8 N/A 32052DAG6 660677.600000 PA USD 285734.140000 0.0030521 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N FIRST HORIZON ALT MTGE SEC 2004-AA1 N/A 32051D3G5 185812.810000 PA USD 174633.330000 0.0018654 Long ABS-MBS CORP US N 2 2034-06-25 Fixed 6.22679 N N N N N N FIRST HORIZON ALT MTGE SEC 2004-AA3 N/A 32051D6B3 35206.500000 PA USD 31298.820000 0.0003343 Long ABS-MBS CORP US N 3 2034-09-25 Floating 5.18403 N N N N N N FIRST HORIZON ALTER MTGE SEC 2007-FA4 N/A 32052WAH2 145933.960000 PA USD 63934.210000 0.0006829 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6.25 Y N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR3 N/A 32051GQL2 207290.300000 PA USD 148105.440000 0.0015820 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.71505 Y N N N N N FNMA PASS THRU POOLS N/A 31385HJD5 3304.780000 PA USD 3328.920000 0.0000356 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 5.386 N N N N N N FNMA PASS THRU POOLS N/A 31385HJE3 5160.870000 PA USD 5117.920000 0.0000547 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 4.559 N N N N N N FNMA PASS THRU POOLS N/A 31388UKH2 3461.970000 PA USD 3277.650000 0.0000350 Long ABS-MBS USGSE US N 2 2032-02-01 Floating 3.525 N N N N N N FNMA PASS THRU POOLS N/A 31390JX89 5347.340000 PA USD 5351.360000 0.0000572 Long ABS-MBS USGSE US N 2 2027-04-01 Floating 6.67 N N N N N N FNMA PASS THRU POOLS N/A 31390JX97 8208.350000 PA USD 8201.200000 0.0000876 Long ABS-MBS USGSE US N 2 2032-04-01 Floating 6.515 N N N N N N FNMA PASS THRU POOLS N/A 31391MCP6 13634.160000 PA USD 12943.190000 0.0001383 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 2.84 N N N N N N FNMA PASS THRU POOLS N/A 31401GY24 64822.590000 PA USD 64733.850000 0.0006915 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 4.091 N N N N N N FNMA PASS THRU POOLS N/A 31402LPB2 10541.220000 PA USD 10211.500000 0.0001091 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 5.176 N N N N N N FNMA PASS THRU POOLS N/A 31402XTR7 2144.900000 PA USD 2031.790000 0.0000217 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 2.893 N N N N N N FNMA PASS THRU POOLS N/A 31404GHQ7 4196.730000 PA USD 3964.830000 0.0000424 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 2.884 N N N N N N FNMA PASS THRU POOLS N/A 31405YPX3 123737.530000 PA USD 119620.750000 0.0012777 Long ABS-MBS USGSE US N 2 2044-09-01 Floating 5.177 N N N N N N FNMA PASS THRU POOLS N/A 31406DAF3 166471.780000 PA USD 160911.910000 0.0017188 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 5.177 N N N N N N FNMA PASS THRU POOLS N/A 31406KAM2 18862.060000 PA USD 18386.280000 0.0001964 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 5.61 N N N N N N FNMA PASS THRU POOLS N/A 31406VGS9 4127.130000 PA USD 4040.670000 0.0000432 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 5.85 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 2326200.550000 PA USD 22617647.930000 0.2415911 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140H1V98 1127727.960000 PA USD 1073108.100000 0.0114624 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140H5ZE4 301962.930000 PA USD 288084.540000 0.0030772 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HJYY1 16633.980000 PA USD 16061.090000 0.0001716 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HMN26 3166165.000000 PA USD 3021854.710000 0.0322780 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HNVL3 75829.980000 PA USD 72344.600000 0.0007728 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GR2 192786.750000 PA USD 183925.700000 0.0019646 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JRZU8 42563.140000 PA USD 40368.240000 0.0004312 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140K9T74 498180.600000 PA USD 478047.000000 0.0051063 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9UA9 117716.370000 PA USD 112341.650000 0.0012000 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140X5Y72 50387.860000 PA USD 47902.450000 0.0005117 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CZF4 16843.510000 PA USD 16237.370000 0.0001734 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418DNK4 355261.870000 PA USD 336699.770000 0.0035965 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 4 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1N4959 80124114.000000 PA 85688077.290000 0.9152800 Long DBT NUSS FR N 2 2026-03-01 Fixed 0.1 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1VB392 15909280.000000 PA 16879160.310000 0.1802953 Long DBT NUSS FR N 2 2031-07-25 Fixed 0.1 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI25Z7H4 44450046.000000 PA 45185753.230000 0.4826531 Long DBT NUSS FR N 2 2038-07-25 Fixed 0.1 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI04Z888 58637145.000000 PA 63391732.920000 0.6771208 Long DBT NUSS FR N 2 2024-07-25 Fixed 0.25 N N N N N N FREDDIE MAC 2264 N/A 3133TPWN5 8794.980000 PA USD 9155.840000 0.0000978 Long ABS-MBS USGSE US N 2 2030-10-15 Fixed 7 N N N N N N FREDDIE MAC REMICS 4687 N/A 3137BY3C2 2426055.900000 PA USD 2334825.280000 0.0249395 Long ABS-MBS USGSE US N 2 2047-01-15 Floating 5.54329 N N N N N N FREDDIE MAC STRUCTURED P/T CERT T-11 N/A 3133TDPX8 2555.040000 PA USD 2507.150000 0.0000268 Long ABS-MBS USGSE US N 2 2028-01-25 Fixed 6.5 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAA0 2078485.930000 PA USD 1830578.260000 0.0195534 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.28543 N N N N N N GALLATIN CLO IX LTD 2018-1A N/A 36361WAC0 156657.320000 PA USD 156523.320000 0.0016719 Long ABS-CBDO CORP KY N 2 2028-01-21 Floating 6.31143 N N N N N N GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A N/A 36361UAL4 6100000.000000 PA USD 5982969.730000 0.0639073 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.35029 N N N N N N GNMA PASS THRU POOLS N/A 36225DRX4 5407.220000 PA USD 5220.420000 0.0000558 Long ABS-MBS USGSE US N 2 2035-07-20 Floating 2.625 N N N N N N GNMA PASS THRU POOLS N/A 36225DWT7 153264.310000 PA USD 147644.170000 0.0015771 Long ABS-MBS USGSE US N 2 2035-12-20 Floating 2.75 N N N N N N GOLDENTREE LOAN MANAGEMENT US CLO 2 LTD 2017-2A N/A 38136MAU2 2400000.000000 PA USD 2385913.200000 0.0254852 Long ABS-CBDO CORP KY N 2 2030-11-20 Floating 6.16043 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15 N/A 38380LJY0 9340294.880000 PA USD 9097635.890000 0.0971767 Long ABS-MBS USGSE US N 2 2068-08-20 Floating 3.85771 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H22 N/A 38382YB36 13298808.470000 PA USD 13176118.980000 0.1407411 Long ABS-MBS USGSE US N 2 2072-10-20 Floating 5.96629 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11 N/A 38382Y5C3 2106617.110000 PA USD 2108703.710000 0.0225242 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 6.16629 N N N N N N GOVERNMENT NATL MTGE ASSOC 2010-H01 N/A 38376T5N8 5590141.870000 PA USD 5584887.140000 0.0596552 Long ABS-MBS USGSE US N 2 2060-01-20 Floating 5.98 N N N N N N GREAT HALL MORTGAGES PLC 2006-1 N/A 991XUKII4 77620.680000 PA 97836.990000 0.0010450 Long ABS-MBS CORP GB N 2 2038-06-18 Floating 4.96513 N N N N N N GREAT HALL MORTGAGES PLC 2007-1 N/A B1S83ZII1 121375.200000 PA 152866.930000 0.0016329 Long ABS-MBS CORP GB N 2 2039-03-18 Floating 4.94513 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR1 N/A 39538RAB5 330549.190000 PA USD 308228.030000 0.0032923 Long ABS-MBS CORP US N 2 2045-06-25 Floating 5.59043 N N N N N N GRIFONAS FINANCE NO.1 PLC GRIF-1 N/A B1DFQWII3 98194.220000 PA 102045.060000 0.0010900 Long ABS-MBS CORP GB N 2 2039-08-28 Floating 3.513 N N N N N N GS MORTGAGE SECURITIES CORP II 2022-GTWY N/A 36266DAA2 1900000.000000 PA USD 1901926.600000 0.0203155 Long ABS-MBS CORP US N 2 2039-08-15 Floating 8.547 N N N N N N GSAA HOME EQUITY TRUST 2006-7 N/A 362334ND2 1222119.290000 PA USD 700443.620000 0.0074818 Long ABS-MBS CORP US N 2 2046-03-25 Variable 6.72 N N N N N N GSAMP TRUST 2005-HE2 N/A 36242DA60 2357676.090000 PA USD 2101282.350000 0.0224449 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.12543 Y N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAA9 1756880.730000 PA USD 950472.300000 0.0101525 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.29043 N N N N N N GSAMP TRUST 2007-HE2 N/A 362440AE9 3000000.000000 PA USD 2250240.900000 0.0240360 Long ABS-MBS CORP US N 2 2047-03-25 Floating 5.52043 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR2 N/A 36242DH55 23009.920000 PA USD 20506.230000 0.0002190 Long ABS-MBS CORP US N 3 2035-04-25 Floating 3.81842 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR4 N/A 362341FR5 70299.660000 PA USD 65621.950000 0.0007009 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.65954 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341WZ8 77815.710000 PA USD 77234.700000 0.0008250 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.48133 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XE4 251202.440000 PA USD 209168.180000 0.0022342 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.9656 Y N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 13502.350000 PA USD 12054.550000 0.0001288 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.65721 N N N N N N HALSEYPOINT CLO 3 LTD 2020-3A N/A 40638UAA7 900000.000000 PA USD 892485.180000 0.0095331 Long ABS-CBDO CORP KY N 2 2032-11-30 Floating 6.74914 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-10 N/A 41161PTN3 253264.070000 PA USD 182593.520000 0.0019504 Long ABS-MBS CORP US N 2 2035-11-19 Floating 5.77657 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 3311.100000 PA USD 3031.060000 0.0000324 Long ABS-MBS CORP US N 2 2035-05-19 Floating 5.59657 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-9 N/A 41161PSK0 138860.530000 PA USD 126579.940000 0.0013521 Long ABS-MBS CORP US N 2 2035-06-20 Floating 5.83657 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-1 N/A 41161PA86 380119.100000 PA USD 345264.500000 0.0036880 Long ABS-MBS CORP US N 2 2036-03-19 Floating 5.62629 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2007-5 N/A 41165AAB8 136176.240000 PA USD 119321.730000 0.0012745 Long ABS-MBS CORP US N 2 2037-09-19 Floating 5.34657 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2004-1 N/A 41161PCY7 50363.650000 PA USD 45179.790000 0.0004826 Long ABS-MBS CORP US N 3 2034-04-19 Floating 4.55342 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A 41161PYZ0 998289.630000 PA USD 618807.400000 0.0066098 Long ABS-MBS CORP US N 2 2036-01-19 Floating 5.65657 Y N N N N N HARBORVIEW MTGE LOAN TRUST 2004-10 N/A 41161PJN4 152309.450000 PA USD 136764.230000 0.0014609 Long ABS-MBS CORP US N 3 2035-01-19 Floating 4.25527 N N N N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 1500000.000000 PA 1597926.500000 0.0170683 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.817 N N N N N N HARVEST CLO XVIII DAC 8A N/A ACI278F26 1418939.240000 PA 1525533.020000 0.0162950 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 3.907 N N N N N N HARVEST CLO XX DAC 20A N/A ACI1WC7B0 13000000.000000 PA 13896927.400000 0.1484405 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 3.88 N N N N N N HARVEST CLO XXI DAC 21A N/A ACI1WSV44 2000000.000000 PA 2129931.630000 0.0227509 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 3.937 N N N N N N HOME EQUITY ASSET TRUST 2005-9 N/A 437084QY5 823656.240000 PA USD 808231.960000 0.0086332 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.76543 N N N N N N HOME EQUITY PASS-THRU CERTS 2005-8 N/A 437084QA7 9015813.180000 PA USD 8665107.960000 0.0925566 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.88343 N N N N N N HOMEBANC MORTGAGE TRUST 2006-1 N/A 43739ECR6 430802.920000 PA USD 376966.170000 0.0040266 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.91211 Y N N N N N HSI ASSET SEC CORP TRUST 2006-OPT3 N/A 40430HFM5 1368674.570000 PA USD 1341667.610000 0.0143311 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.69043 N N N N N N ICG US CLO 2018-1 LTD N/A 449258AA0 750000.000000 PA USD 741394.800000 0.0079192 Long ABS-CBDO CORP KY N 2 2031-04-21 Floating 6.32143 N N N N N N IMPAC CMB TRUST 2003-8 N/A 45254NFG7 3850.980000 PA USD 3709.100000 0.0000396 Long ABS-MBS CORP US N 3 2033-10-25 Floating 6.05043 N N N N N N INDYMAC INDA MORTGAGE LOAN TR 2005-AR1 N/A 45660LZK8 2481.450000 PA USD 2385.740000 0.0000255 Long ABS-MBS CORP US N 3 2035-11-25 Floating 4.2571 Y N N N N N INDYMAC INDA MORTGAGE LOAN TR 2005-AR1 N/A 45660LZM4 129033.200000 PA USD 94288.480000 0.0010071 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.30804 Y N N N N N INDYMAC INDA MTGE LOAN TRUST 2006-AR1 N/A 45662BAD1 263601.600000 PA USD 206547.510000 0.0022062 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.44561 N N N N N N INDYMAC INDB MORTGAGE LOAN TR 2006-1 N/A 45661JAA1 3857262.040000 PA USD 1207984.150000 0.0129031 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.29043 N N N N N N INDYMAC INDB MTGE LOAN TRUST 2005-1 N/A 45660LYW3 122843.840000 PA USD 74840.570000 0.0007994 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.75043 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR14 N/A 45660LRU5 216171.260000 PA USD 157189.230000 0.0016790 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.71043 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR31 N/A 45660LW70 41475.940000 PA USD 37992.440000 0.0004058 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.09311 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR6 N/A 456612AC4 920042.170000 PA USD 736117.550000 0.0078629 Long ABS-MBS CORP US N 2 2046-06-25 Floating 5.55043 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2007-AR7 N/A 45670CAA5 267925.660000 PA USD 105996.990000 0.0011322 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.45043 Y N N N N N INDYMAC INDX MTGE LOAN TR 2004-AR6 N/A 45660NX83 230789.570000 PA USD 219340.540000 0.0023429 Long ABS-MBS CORP US N 2 2034-10-25 Floating 4.00868 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR11 N/A 45660N6S9 34768.900000 PA USD 33017.420000 0.0003527 Long ABS-MBS CORP US N 2 2034-12-25 Floating 3.91643 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR11 N/A 45660LQJ1 104273.190000 PA USD 79732.910000 0.0008517 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.48208 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR11 N/A 45660LQL6 83378.480000 PA USD 64073.440000 0.0006844 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.48208 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR19 N/A 45660LXA2 89000.940000 PA USD 70680.450000 0.0007550 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.28132 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 6580000.000000 NS USD 6018002.200000 0.0642815 Long EP CORP US N 2 N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR15 N/A 456610AA2 523990.780000 PA USD 494140.340000 0.0052782 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.39043 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR9 N/A 45661EGK4 142286.620000 PA USD 113341.310000 0.0012107 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.36685 N N N N N N INVESCO EURO CLO I DAC 1A N/A ACI1VT7W8 1000000.000000 PA 1065117.820000 0.0113771 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 3.827 N N N N N N INVESCO EURO CLO III DAC 3A N/A ACI269JN5 600000.000000 PA 638868.710000 0.0068241 Long ABS-CBDO CORP IE N 2 2032-07-15 Floating 4.097 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI1MHM64 273368353.480000 PA 295373321.380000 3.1550397 Long DBT NUSS IT N 2 2025-05-26 Fixed 1.4 N N N N N N ITALY GOVT 815600DE60799F5A9309 BK5MSXII1 35689448.100000 PA 35623943.720000 0.3805183 Long DBT NUSS IT N 2 2030-05-15 Fixed 0.4 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A 46651QAA5 1936458.990000 PA USD 1726910.700000 0.0184461 Long ABS-MBS CORP US N 2 2031-12-15 Floating 6.643 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 9465046437.000000 PA 69137246.230000 0.7384917 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1BXN03 12018136500.000000 PA 88161041.510000 0.9416950 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1XV2Q9 2390243800.000000 PA 17765941.130000 0.1897675 Long DBT NUSS JP N 2 2031-03-10 Fixed 0.005 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A1 N/A 46627MCS4 834563.340000 PA USD 755779.730000 0.0080729 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.61043 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A7 N/A 466286AD3 11138634.980000 PA USD 9917049.740000 0.1059293 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.61043 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2008-R4 N/A 466309AA9 108458.610000 PA USD 60076.570000 0.0006417 Long ABS-MBS CORP US N 2 2036-12-27 Fixed 6 Y N N N N N JP MORGAN MORTGAGE TRUST 2005-A3 N/A 466247PW7 15.270000 PA USD 14.840000 0.0000002 Long ABS-MBS CORP US N 3 2035-06-25 Floating 4.19485 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 23905.350000 PA USD 23605.210000 0.0002521 Long ABS-MBS CORP US N 3 2035-07-25 Floating 4.68327 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A8 N/A 466247YH0 102649.890000 PA USD 84269.060000 0.0009001 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.92054 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A4 N/A 46628LAG3 14857.890000 PA USD 11022.360000 0.0001177 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.2818 Y N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAA3 11333.320000 PA USD 10770.710000 0.0001150 Long ABS-MBS CORP US N 3 2035-07-25 Floating 4.36727 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAH8 43474.200000 PA USD 40563.410000 0.0004333 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.18611 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A2 N/A 466247NZ2 1452.940000 PA USD 1424.220000 0.0000152 Long ABS-MBS CORP US N 3 2035-04-25 Floating 4.14468 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A6 N/A 466247TQ6 101420.300000 PA USD 94823.110000 0.0010129 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.35649 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 188665.730000 PA USD 185725.600000 0.0019838 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.36043 N N N N N N JP MORGAN MTGE TRUST 2005-A5 N/A 466247SL8 54564.210000 PA USD 51572.430000 0.0005509 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.92832 N N N N N N JP MORGAN MTGE TRUST 2005-ALT1 N/A 466247XK4 56085.080000 PA USD 42818.220000 0.0004574 Long ABS-MBS CORP US N 3 2035-10-25 Floating 3.58465 Y N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2TB8 6500000.000000 PA 6917255.370000 0.0738869 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 3.827 N N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2W24 1800000.000000 PA 1917638.490000 0.0204833 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 3.827 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1TRDT5 42739827.890000 PA 4726905.330000 0.0504906 Long DBT CORP DK N 2 2043-10-01 Fixed 0.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI09QH00 7320.140000 PA 945.170000 0.0000101 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1PMG75 77655053.160000 PA 7549389.030000 0.0806390 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1W77N5 98215172.250000 PA 10186972.380000 0.1088125 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1X8QV3 36758162.550000 PA 4056353.600000 0.0433281 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1CPNN9 58215316.980000 PA 6145476.240000 0.0656431 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N KKR CLO 11 LTD N/A 48250MAK3 2514834.790000 PA USD 2491184.650000 0.0266097 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 6.44029 N N N N N N KKR CLO 9 LTD N/A 48250LAW9 5619295.900000 PA USD 5575646.780000 0.0595565 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 6.21029 N N N N N N LAURELIN 2016-1 DAC 16-1A N/A ACI1WVS58 4700000.000000 PA 5035918.850000 0.0537913 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 3.92 N N N N N N LCM XV LP 15A N/A 50184NAR3 3339506.720000 PA USD 3317236.850000 0.0354332 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 6.25043 N N N N N N LCM XXV LTD 25A N/A 50189PAY8 2579419.900000 PA USD 2565620.000000 0.0274048 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 6.14845 N N N N N N LEHMAN ABS MANUFACTURED HOUSING 2001-B N/A 52519SAM5 3908092.630000 PA USD 2808482.380000 0.0299989 Long ABS-O CORP US N 2 2040-04-15 Variable 7.17 Y N N N N N LEHMAN XS TRUST 2006-18N N/A 52522GAC8 859064.820000 PA USD 833161.700000 0.0088994 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.51043 N N N N N N LEHMAN XS TRUST 2006-7 N/A 52522EAA7 2399241.920000 PA USD 2068138.380000 0.0220909 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.47043 N N N N N N LEHMAN XS TRUST 2006-8 N/A 52522HAM4 3510832.420000 PA USD 3294639.570000 0.0351918 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.9 N N N N N N LEHMAN XS TRUST 2007-15N N/A 52524VAG4 1899190.930000 PA USD 1733311.990000 0.0185144 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.65043 N N N N N N LEHMAN XS TRUST SERIES 2007-20N N/A 52525AAA2 9608342.870000 PA USD 9735078.830000 0.1039856 Long ABS-MBS CORP US N 2 2037-12-25 Floating 7.45043 Y N N N N N 522 FUNDING CLO I LTD 2018-3A N/A 33835NAA9 8300000.000000 PA USD 8187367.920000 0.0874536 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 6.29043 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI080964 700000.000000 PA 698283.650000 0.0074587 Long DBT CORP GB N 2 2025-06-27 Floating 4.947 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LOANCORE 2022-CRE7 ISSUER LTD N/A 53946PAA8 11600000.000000 PA USD 11413964.300000 0.1219186 Long ABS-CBDO CORP KY N 2 2037-01-17 Floating 6.61629 N N N N N N LUMINENT MORTGAGE TRUST 2006-7 N/A 55028BAA5 212890.640000 PA USD 193921.320000 0.0020714 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.51043 Y N N N N N M360 2021-CRE3 LLC N/A 55379AAA2 1900000.000000 PA USD 1867072.540000 0.0199432 Long ABS-CBDO CORP KY N 2 2038-11-22 Floating 6.65414 N N N N N N MADISON PARK EURO FUNDING IX DAC 9A N/A ACI1YKP79 1331000.000000 PA 1409493.700000 0.0150556 Long ABS-CBDO CORP IE N 2 2035-07-15 Floating 4.057 N N N N N N MADISON PARK FUNDING XXV LTD 2017-25A N/A 55820RAJ1 1463255.540000 PA USD 1453462.340000 0.0155252 Long ABS-CBDO CORP KY N 2 2029-04-25 Floating 6.22514 N N N N N N MADISON PARK FUNDING XXVI LTD 2017-26A N/A 55819YAA8 2963443.180000 PA USD 2953626.600000 0.0315493 Long ABS-CBDO CORP KY N 2 2030-07-29 Floating 6.49914 N N N N N N MADISON PARK FUNDING XXX LTD 2018-30A N/A 55821TAA5 4749721.420000 PA USD 4698599.740000 0.0501882 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 6.01029 N N N N N N MAGNETITE XVIII LTD 2016-18A N/A 55953TAS6 6437756.970000 PA USD 6396958.910000 0.0683293 Long ABS-CBDO CORP KY N 2 2028-11-15 Floating 6.20071 N N N N N N MAN GLG EURO CLO II DAC 2A N/A ACI1DJHC3 1824553.980000 PA 1966518.950000 0.0210054 Long ABS-CBDO CORP IE N 2 2030-01-15 Floating 4.047 N N N N N N MAN GLG EURO CLO IV DAC 4A N/A ACI26HCW4 698721.510000 PA 748963.370000 0.0080001 Long ABS-CBDO CORP IE N 2 2031-05-15 Floating 4.023 N N N N N N MAN GLG EURO CLO V DAC 5A N/A ACI1WBHS4 8591658.380000 PA 9205037.810000 0.0983239 Long ABS-CBDO CORP IE N 2 2031-12-15 Floating 4.216 N N N N N N MARATHON STATIC CLO 2022-18A LTD N/A 56586PAA6 3922651.340000 PA USD 3927478.240000 0.0419515 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 7.26845 N N N N N N MARBLE POINT CLO X LTD 2017-1A N/A 566061AL1 5713705.410000 PA USD 5675310.740000 0.0606210 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.30029 N N N N N N MASTER ADJUSTABLE RATE MTGE TR 2003-6 N/A 576433GC4 171969.910000 PA USD 151225.370000 0.0016153 Long ABS-MBS CORP US N 3 2033-12-25 Floating 3.7252 N N N N N N MASTER ADJUSTABLE RATE MTGE TR 2003-6 N/A 576433GF7 6083.100000 PA USD 5724.890000 0.0000612 Long ABS-MBS CORP US N 3 2033-12-25 Floating 3.4563 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1 N/A 576433G42 746704.670000 PA USD 663878.550000 0.0070912 Long ABS-MBS CORP US N 2 2046-04-25 Floating 5.36043 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UM6 104029.070000 PA USD 98386.560000 0.0010509 Long ABS-MBS CORP US N 2 2034-11-21 Floating 4.56041 N N N N N N MASTR ALT LN TR 2006-2 N/A 5764342H6 916642.580000 PA USD 92802.270000 0.0009913 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.55043 Y N N N N N MELLON RES FUND CORP 1999-TBC3 N/A 585525DF2 23587.280000 PA USD 23868.650000 0.0002550 Long ABS-MBS CORP US N 2 2029-10-20 Floating 5.63207 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC2 N/A 585525ED6 21821.330000 PA USD 21314.810000 0.0002277 Long ABS-MBS CORP US N 2 2030-06-15 Floating 5.67329 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 46695.340000 PA USD 44043.310000 0.0004705 Long ABS-MBS CORP US N 2 2030-12-15 Floating 5.63329 N N N N N N MELLON RESIDENTIAL FUND CORP 2002-TBC1 N/A 585525FN3 13097.730000 PA USD 12913.710000 0.0001379 Long ABS-MBS CORP US N 2 2030-09-15 Floating 5.93329 N N N N N N MELLON RESIDENTIAL FUND CORP 2002-TBC2 N/A 585525FX1 51501.600000 PA USD 47905.770000 0.0005117 Long ABS-MBS CORP US N 2 2032-08-15 Floating 6.05329 N N N N N N MELLON RESIDENTIAL FUNDING CO 2001-TBC1 N/A 585525FC7 26921.680000 PA USD 25665.470000 0.0002741 Long ABS-MBS CORP US N 2 2031-11-15 Floating 5.89329 N N N N N N ACE SECURITIES CORP 2002-HE3 N/A 004421BH5 297.830000 PA USD 402.290000 0.0000043 Long ABS-MBS CORP US N 3 2032-10-25 Floating 6.95043 N N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE2 N/A 59024LAB7 105443.590000 PA USD 31741.440000 0.0003390 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.39043 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 57168.090000 PA USD 46426.310000 0.0004959 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.03343 Y N N N N N MERRILL LYNCH MORTGAGE INVESTO-2006-RM4 N/A 59023QAB7 70797.510000 PA USD 15366.940000 0.0001641 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.31043 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A2 N/A 589929M70 307096.370000 PA USD 285965.780000 0.0030546 Long ABS-MBS CORP US N 2 2033-02-25 Floating 4.38644 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A2 N/A 59020USH9 125646.500000 PA USD 115389.350000 0.0012325 Long ABS-MBS CORP US N 3 2035-02-25 Floating 4.15894 N N N N N N ACE SECURITIES CORP 2004-FM2 N/A 004421GK3 693.520000 PA USD 768.240000 0.0000082 Long ABS-MBS CORP US N 3 2034-06-25 Floating 6.95043 Y N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE6 N/A 59023XAC0 9663689.560000 PA USD 3396698.940000 0.0362819 Long ABS-MBS CORP US N 2 2037-11-25 Floating 5.45043 N N N N N N MERRILL LYNCH MTGE INVESTORS 2004-A1 N/A 59020UAC9 449526.540000 PA USD 415082.920000 0.0044337 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.05894 N N N N N N MF1 2021-FL6 LTD N/A 55283TAA6 2000000.000000 PA USD 1953264.240000 0.0208639 Long ABS-CBDO CORP KY N 2 2036-07-16 Floating 6.31636 N N N N N N MF1 2021-FL7 LTD N/A 55284AAA6 2300000.000000 PA USD 2245375.000000 0.0239840 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 6.23657 N N N N N N MF1 2022-FL9 LLC N/A 55285AAA5 13500000.000000 PA USD 13462200.000000 0.1437969 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 7.22629 N N N N N N ACE SECURITIES CORP 2005-WF1 N/A 004421QR7 205880.080000 PA USD 200780.890000 0.0021446 Long ABS-MBS CORP US N 3 2035-05-25 Floating 5.84043 N N N N N N MIDOCEAN CREDIT CLO II 2013-2A N/A 59863KAS6 4020750.260000 PA USD 3998445.710000 0.0427095 Long ABS-CBDO CORP KY N 2 2030-01-29 Floating 6.32914 N N N N N N MIDOCEAN CREDIT CLO V 2016-5A N/A 59801TAL7 71399.060000 PA USD 71434.680000 0.0007630 Long ABS-CBDO CORP KY N 2 2028-07-19 Floating 6.385 N N N N N N MIDOCEAN CREDIT CLO VIII 2018-8A N/A 59801MAL2 6054178.310000 PA USD 5995970.230000 0.0640461 Long ABS-CBDO CORP KY N 2 2031-02-20 Floating 6.42914 N N N N N N MLCC MORTGAGE INVESTORS INC 2004-1 N/A 59020UNP6 139852.140000 PA USD 131794.360000 0.0014078 Long ABS-MBS CORP US N 2 2034-12-25 Floating 4.01456 N N N N N N MLCC MORTGAGE INVESTORS INC 2004-E N/A 59020UJQ9 4199.190000 PA USD 3856.640000 0.0000412 Long ABS-MBS CORP US N 3 2029-11-25 Floating 5.84271 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL78 135088.240000 PA USD 127088.300000 0.0013575 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.65043 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-A N/A 59020UTC9 11328.520000 PA USD 9765.940000 0.0001043 Long ABS-MBS CORP US N 3 2030-03-25 Floating 5.64271 N N N N N N MLCC MORTGAGE INVESTORS INC 2006-2 N/A 590219AG6 34486.970000 PA USD 30585.050000 0.0003267 Long ABS-MBS CORP US N 3 2036-05-25 Floating 3.85642 N N N N N N MLCC MORTGAGE INVESTORS INC 2007-2 N/A 59024WAB3 120267.990000 PA USD 110746.670000 0.0011829 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.12307 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC5 N/A 61744CRW8 6500000.000000 PA USD 5838004.250000 0.0623588 Long ABS-MBS CORP US N 2 2035-06-25 Floating 6.20043 Y N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAF9 1552709.190000 PA USD 676025.360000 0.0072210 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.37043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC5 N/A 61749BAF0 115212.490000 PA USD 61032.940000 0.0006519 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.38043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAE6 428424.550000 PA USD 189312.410000 0.0020221 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.49043 N N N N N N ADAGIO V CLO DAC V-A N/A ACI1WGSL6 1800000.000000 PA 1926362.310000 0.0205765 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.897 N N N N N N MORGAN STANLEY DEAN WITT CAP I 2003-NC2 N/A 61746WA75 278049.640000 PA USD 275572.610000 0.0029435 Long ABS-MBS CORP US N 2 2033-02-25 Floating 6.50043 N N N N N N MORGAN STANLEY MTGE LN TR 2007-10XS N/A 61751MAA2 81071.940000 PA USD 46640.450000 0.0004982 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N MORGAN STANLEY MTGE LN TR 2007-6XS N/A 61751JAM3 180997.170000 PA USD 69208.340000 0.0007393 Long ABS-MBS CORP US N 2 2047-02-25 Variable 6.20097 N N N N N N MORGAN STANLEY MTGE LN TR 2007-8XS N/A 61754PAA2 105299.720000 PA USD 52130.010000 0.0005568 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 5.75 Y N N N N N MP CLO VII LTD 2015-1A N/A 55320RAQ0 4480135.550000 PA USD 4452294.960000 0.0475573 Long ABS-CBDO CORP KY N 2 2028-10-18 Floating 6.15171 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-7 N/A 007036MX1 120406.300000 PA USD 114246.810000 0.0012203 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.60131 Y N N N N N ADJUSTABLE RATE MORTGAGE TR 2005-4 N/A 007036KD7 63113.090000 PA USD 60045.890000 0.0006414 Long ABS-MBS CORP US N 3 2035-08-25 Floating 4.8032 Y N N N N N NEW CENTURY HOME EQUITY LOAN TR 2004-4 N/A 64352VJJ1 720703.690000 PA USD 658433.880000 0.0070331 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.91543 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A N/A 64830KAA5 2474290.150000 PA USD 2362933.980000 0.0252398 Long ABS-MBS CORP US N 2 2058-05-25 Variable 4.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 18017885.500000 PA USD 16642295.620000 0.1777652 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N NEW YORK MORTGAGE TRUST 2006-1 N/A 649603AQ0 64627.710000 PA USD 55207.390000 0.0005897 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.97369 Y N N N N N AEGIS ASSET BACKED SECURITIES TR 2005-5 N/A 00764MHE0 2212369.340000 PA USD 1985913.430000 0.0212126 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.79543 N N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI02MK69 20454408.000000 PA 12535489.930000 0.1338982 Long DBT NUSS NZ N 2 2025-09-20 Fixed 2 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 654740BL2 100000.000000 PA USD 99448.890000 0.0010623 Long DBT CORP US N 2 2023-09-21 Fixed 3.875 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2006-AR1 N/A 65535VSE9 55694.100000 PA USD 47327.920000 0.0005055 Long ABS-MBS CORP US N 2 2036-02-25 Floating 6.77158 Y N N N N N NOMURA ASSET ACCEPTANCE CORP 2007-1 N/A 65538PAE8 175614.330000 PA USD 164227.930000 0.0017542 Long ABS-MBS CORP US N 3 2047-03-25 Variable 6.138 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2007-1 N/A 65538PAG3 189551.610000 PA USD 181851.340000 0.0019425 Long ABS-MBS CORP US N 2 2047-03-25 Variable 5.82 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-WF1 N/A 65536RAF3 1775222.870000 PA USD 1741311.850000 0.0185999 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.58543 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1RSH20 17364334.240000 PA 1925459.990000 0.0205669 Long DBT CORP DK N 2 2043-10-01 Fixed 0.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI0CR3W9 3447.590000 PA 443.780000 0.0000047 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1N7374 13219.950000 PA 1381.260000 0.0000148 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1WZT66 171977921.190000 PA 17847293.260000 0.1906364 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1Z8QZ2 10700000.000000 PA 1039845.240000 0.0111071 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 1.700000 PA 0.190000 0.0000000 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI22CN07 8894991.530000 PA 1018736.270000 0.0108817 Long DBT CORP DK N 2 2053-10-01 Fixed 2 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BK99HJII9 130733068.170000 PA 13809596.380000 0.1475076 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NOVASTAR HOME EQUITY LOAN 2005-1 N/A 66987XGJ8 836214.700000 PA USD 837284.220000 0.0089435 Long ABS-MBS CORP US N 2 2035-06-25 Floating 6.23043 N N N N N N NOVASTAR HOME EQUITY LOAN 2005-3 N/A 66987XGY5 560938.930000 PA USD 553978.860000 0.0059173 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.85543 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-5 N/A 66988YAD4 1281488.000000 PA USD 400547.660000 0.0042785 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.49043 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1RMVS0 126604145.040000 PA 13975346.100000 0.1492781 Long DBT CORP DK N 2 2043-10-01 Fixed 0.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI09WV27 19752.070000 PA 2545.870000 0.0000272 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BK9CXBII1 324770511.310000 PA 34184315.470000 0.3651409 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N7309 3728199.910000 PA 388413.580000 0.0041489 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N9610 33001.860000 PA 3203.500000 0.0000342 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1NN643 367123763.420000 PA 38048301.170000 0.4064142 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 132214525.080000 PA 14584384.980000 0.1557836 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1X30Y6 2493925.090000 PA 242287.370000 0.0025880 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N OAK HILL EUROPEAN CREDIT PARTNERS VII DAC 18-7A N/A ACI1WXMN1 10500000.000000 PA 11158584.200000 0.1191908 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 3.94 N N N N N N OAKTREE CLO 2019-1A N/A 67401XAS0 3450000.000000 PA USD 3397387.500000 0.0362893 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 6.38271 N N N N N N OCP EURO CLO DAC 2017-2A N/A ACI0YSL94 789626.540000 PA 850555.220000 0.0090852 Long ABS-CBDO CORP IE N 2 2032-01-15 Floating 3.997 N N N N N N OCTAGON INVESTMENT PARTNERS XXI LTD 2014-1A N/A 67590QBK2 4800000.000000 PA USD 4745031.500000 0.0506842 Long ABS-CBDO CORP KY N 2 2031-02-14 Floating 6.32071 N N N N N N OCTAGON LOAN FUNDING LTD 2014-1A N/A 67590RAY1 320000.000000 PA USD 317029.130000 0.0033864 Long ABS-CBDO CORP KY N 2 2031-11-18 Floating 6.52514 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-3 N/A 68402BAD8 6852919.620000 PA USD 3435094.490000 0.0366921 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.39043 N N N N N N OSD CLO 2021-23A LTD N/A 671026AA0 2441624.380000 PA USD 2414512.310000 0.0257907 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 6.13029 N N N N N N OZLM VIII LTD 2014-8A N/A 67107FBL0 5878916.860000 PA USD 5842125.420000 0.0624029 Long ABS-CBDO CORP KY N 2 2029-10-17 Floating 6.24029 N N N N N N OZLM XI LTD 2015-11A N/A 67109UAS1 4335467.810000 PA USD 4319261.830000 0.0461363 Long ABS-CBDO CORP KY N 2 2030-10-30 Floating 6.54914 N N N N N N OZLM XXIV LTD 2019-24A N/A 67113DAW4 4600000.000000 PA USD 4506947.840000 0.0481411 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.41043 N N N N N N PALMER SQUARE CLO LTD 2018-2 N/A 69688MAA3 2600000.000000 PA USD 2577353.790000 0.0275301 Long ABS-CBDO CORP KY N 2 2031-07-16 Floating 6.36029 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 22-2A N/A ACI24FF23 5833289.250000 PA 6270080.990000 0.0669741 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.227 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 22-3A N/A ACI28QN42 39054365.620000 PA 42844436.030000 0.4576442 Long ABS-CBDO CORP IE N 2 2032-04-12 Floating 5.025 N N N N N N PALMER SQUARE LOAN FUNDING 2021-2 LTD N/A 69702DAA5 285638.500000 PA USD 283165.150000 0.0030246 Long ABS-CBDO CORP KY N 2 2029-05-20 Floating 6.17914 N N N N N N PALMER SQUARE LOAN FUNDING 2021-3 N/A 69702BAA9 12748492.870000 PA USD 12594999.610000 0.1345339 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 6.05043 N N N N N N PARK PLACE SEC INC 2005-WHQ2 N/A 70069FHX8 8391000.000000 PA USD 7648190.920000 0.0816944 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.08043 N N N N N N PARK PLACE SEC INC 2005-WHQ4 N/A 70069FMT1 2085288.420000 PA USD 2006026.190000 0.0214274 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.88543 N N N N N N PARK PLACE SECURITIES INC 2004-WCW2 N/A 70069FAZ0 2763502.830000 PA USD 2702845.880000 0.0288705 Long ABS-MBS CORP US N 2 2034-10-25 Floating 6.20043 N N N N N N PARK PLACE SECURITIES INC 2004-WHQ2 N/A 70069FEM5 1635736.510000 PA USD 1438541.930000 0.0153658 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.87543 N N N N N N RAD CLO LTD 2019-5A N/A 74923EAA6 2500000.000000 PA USD 2465952.280000 0.0263401 Long ABS-CBDO CORP KY N 2 2032-07-24 Floating 6.39271 N N N N N N ALLEGRO CLO IX LTD 2018-3A N/A 01750NAA7 2800000.000000 PA USD 2773660.320000 0.0296269 Long ABS-CBDO CORP KY N 2 2031-10-16 Floating 6.42529 N N N N N N RALI SERIES 2005-QO1 TRUST N/A 761118EN4 38350.740000 PA USD 29200.960000 0.0003119 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.45043 N N N N N N ALLIANCE BANCORP TRUST 2007-OA1 N/A 01852TAA1 3302975.330000 PA USD 2820816.570000 0.0301306 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.63043 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI0B2V53 8481.260000 PA 1093.020000 0.0000117 Long DBT CORP DK N 2 2047-04-01 Fixed 2.5 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BKDSHLII7 68286231.070000 PA 7195298.200000 0.0768568 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BL63VKII4 29938256.840000 PA 3120098.570000 0.0333274 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BL63VNII8 2815.330000 PA 273.250000 0.0000029 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI1WVDP0 7754040.970000 PA 804279.330000 0.0085909 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 19301881.830000 PA 2128878.620000 0.0227397 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N REGATTA VIII FUNDING LTD 2017-1A N/A 75888KAA2 12538682.730000 PA USD 12485695.390000 0.1333664 Long ABS-CBDO CORP KY N 2 2030-10-17 Floating 6.51029 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 30918766.930000 PA USD 13640049.010000 0.1456966 Long ABS-MBS CORP US N 2 2037-09-25 Floating 6.25043 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO6 N/A 75114NAA2 2475738.800000 PA USD 603218.210000 0.0064433 Long ABS-MBS CORP US N 2 2046-06-25 Floating 4.16523 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 2936226.900000 PA USD 2606549.690000 0.0278419 Long ABS-MBS CORP US N 2 2037-10-25 Variable 4.64615 N N N N N N ALME LOAN FUNDING III DAC 3A N/A ACI26NDV2 611032.180000 PA 657466.970000 0.0070228 Long ABS-CBDO CORP IE N 2 2032-04-15 Floating 3.927 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO2 N/A 761118HU5 89098.510000 PA USD 80040.240000 0.0008550 Long ABS-MBS CORP US N 2 2045-09-25 Floating 5.3362 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO4 N/A 761118NN4 624808.840000 PA USD 494214.550000 0.0052790 Long ABS-MBS CORP US N 2 2045-12-25 Floating 5.71043 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-EMX7 N/A 74924TAD6 4175748.040000 PA USD 3766794.070000 0.0402351 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.63043 N N N N N N RESIDENTIAL ASSET SEC TRUST 2003-A5 N/A 45660NQA6 44810.790000 PA USD 42181.730000 0.0004506 Long ABS-MBS CORP US N 3 2033-06-25 Fixed 5.5 N N N N N N RESIDENTIAL ASSET SEC TRUST 2005-A5 N/A 45660LJZ3 4194193.050000 PA USD 2803042.130000 0.0299408 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.5 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-R1 N/A 76113MAB1 55708.400000 PA USD 17018.470000 0.0001818 Long ABS-MBS CORP US N 2 2046-01-25 Floating 5.55043 Y N N N N N RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A6 N/A 76114CAG1 1782126.470000 PA USD 438350.900000 0.0046823 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6.5 N N N N N N RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A N/A ACI1PKR28 8848978.410000 PA 11273821.590000 0.1204217 Long ABS-MBS CORP GB N 2 2070-06-20 Floating 5.95864 N N N N N N ROMARK CLO LTD 2017-1A N/A 77587UAL6 7048603.990000 PA USD 6969376.760000 0.0744436 Long ABS-CBDO CORP KY N 2 2030-10-23 Floating 6.30271 N N N N N N AMBAC ASSURANCE CORPORATION 549300RYYRVPPB8NC636 023138AA8 1.000000 PA USD 1.460000 0.0000000 Long DBT CORP US N 2 2099-12-31 Fixed 5.1 N N N N N N SALOMON BROTHERS MTGE SEC VII 2003-1 N/A 79549AYP8 157387.700000 PA USD 100408.150000 0.0010725 Long ABS-MBS CORP US N 3 2033-09-25 Fixed 6.5 N N N N N N SARANAC CLO II LTD 2014-2A N/A 80317EAA7 1241730.560000 PA USD 1239865.530000 0.0132437 Long ABS-CBDO CORP JE N 2 2029-11-20 Floating 6.60914 N N N N N N SARANAC CLO LTD 2018-6A N/A 80317LAJ2 1500000.000000 PA USD 1482188.550000 0.0158320 Long ABS-CBDO CORP JE N 2 2031-08-13 Floating 6.68443 N N N N N N SAXON ASSET SECURITIES TRUST 2005-1 N/A 805564RN3 379133.560000 PA USD 348498.010000 0.0037225 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.87043 N N N N N N SAXON ASSET SECURITIES TRUST 2005-4 N/A 805564TL5 1915000.000000 PA USD 1551171.830000 0.0165689 Long ABS-MBS CORP US N 2 2037-11-25 Floating 5.87043 Y N N N N N SECURITIZED ASSET BACKED REC 2006-HE1 N/A 81376YAD3 3082530.680000 PA USD 1081848.670000 0.0115558 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.47043 N N N N N N SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A N/A ACI1YTXT3 3900000.000000 PA 4146523.110000 0.0442912 Long ABS-CBDO CORP IE N 2 2032-07-20 Floating 4.08 N N N N N N SEQUOIA MORTGAGE TRUST 10 N/A 81743VAA1 15699.400000 PA USD 15126.340000 0.0001616 Long ABS-MBS CORP US N 2 2027-10-20 Floating 5.95657 N N N N N N SEQUOIA MORTGAGE TRUST 10 N/A 81743VAB9 10450.290000 PA USD 9767.810000 0.0001043 Long ABS-MBS CORP US N 3 2027-10-20 Floating 5.91657 N N N N N N SEQUOIA MORTGAGE TRUST 11 N/A 81744AAA6 17544.000000 PA USD 15818.240000 0.0001690 Long ABS-MBS CORP US N 2 2032-12-20 Floating 6.05657 N N N N N N SEQUOIA MORTGAGE TRUST 2004-3 N/A 81744FAZ0 53444.080000 PA USD 51929.160000 0.0005547 Long ABS-MBS CORP US N 3 2034-05-20 Floating 5.91129 N N N N N N SEQUOIA MORTGAGE TRUST 2007-3 N/A 81744MAA0 387717.660000 PA USD 332778.070000 0.0035546 Long ABS-MBS CORP US N 2 2036-07-20 Floating 5.55657 N N N N N N SEQUOIA MORTGAGE TRUST 5 N/A 81743WAA9 8100.930000 PA USD 7530.580000 0.0000804 Long ABS-MBS CORP US N 3 2026-10-19 Floating 5.84629 N N N N N N SIGNAL PEAK CLO 6 LTD 2018-5A N/A 56844YAA5 1650000.000000 PA USD 1639486.080000 0.0175122 Long ABS-CBDO CORP KY N 2 2031-04-25 Floating 6.36514 N N N N N N SLM STUDENT LOAN TRUST 2008-7 N/A 78445FAD7 5007727.230000 PA USD 4914340.130000 0.0524927 Long ABS-O CORP US N 2 2023-07-25 Floating 6.15514 N N N N N N SOUND POINT CLO IX LTD 2015-2A N/A 83609GBN4 7000000.000000 PA USD 6872780.460000 0.0734118 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.46043 N N N N N N SOUND POINT CLO XII LTD 2016-2A N/A 83610CAW1 3132183.800000 PA USD 3129229.370000 0.0334250 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 6.30043 N N N N N N SOUND POINT CLO XIV LTD 2016-3A N/A 83609NAN0 3056261.860000 PA USD 3057840.330000 0.0326624 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 6.26271 N N N N N N SOUND POINT CLO XV LTD 2017-1A N/A 83609RAL5 3932487.070000 PA USD 3927288.480000 0.0419495 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 6.17271 N N N N N N SOUND POINT CLO XVI LTD 2017-2A N/A 83610KAJ2 8638390.350000 PA USD 8540342.110000 0.0912239 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 6.23514 N N N N N N SOUNDS POINT CLO IV-R LTD 2013-3RA N/A 83609YAC0 2287000.000000 PA USD 2247047.280000 0.0240019 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 6.41171 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2 N/A 83613DAD8 2969642.650000 PA USD 2529831.450000 0.0270225 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.33043 N N N N N N ST PAULS CLO 4A N/A ACI217GH0 3883475.440000 PA 4173072.190000 0.0445748 Long ABS-CBDO CORP IE N 2 2030-04-25 Floating 4.091 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2019-FL1 N/A 78485WAA7 14897992.930000 PA USD 14772283.670000 0.1577906 Long ABS-CBDO CORP KY N 2 2038-07-15 Floating 6.29636 N N N N N N STRATUS CLO 2021-2A LTD N/A 86315TAA3 2714720.750000 PA USD 2682877.350000 0.0286572 Long ABS-CBDO CORP KY N 2 2029-12-28 Floating 6.15043 N N N N N N STRATUS CLO 2021-3A LTD N/A 86315WAA6 7122007.250000 PA USD 7065467.910000 0.0754700 Long ABS-CBDO CORP KY N 2 2029-12-29 Floating 6.20043 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 11305.390000 PA USD 9572.760000 0.0001023 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.3762 Y N N N N N STRUCTURED ADJ RATE MTGE LOAN 2005-21 N/A 863579B49 39911.020000 PA USD 35734.060000 0.0003817 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.5248 Y N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-8 N/A 86361JAB6 323059.260000 PA USD 226901.250000 0.0024237 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.62531 Y N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGF2 1052.450000 PA USD 983.570000 0.0000105 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.28211 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGG0 76828.750000 PA USD 72285.450000 0.0007721 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.28211 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-4 N/A 86359BNU1 1002.410000 PA USD 965.230000 0.0000103 Long ABS-MBS CORP US N 3 2034-04-25 Floating 5.70102 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VM7 46564.640000 PA USD 40398.750000 0.0004315 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.22208 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-18 N/A 863579XK9 140980.480000 PA USD 126586.390000 0.0013521 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.45535 Y N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-9 N/A 86364JAA5 159948.380000 PA USD 142177.000000 0.0015187 Long ABS-MBS CORP US N 2 2037-10-25 Floating 7.11857 Y N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 294589.970000 PA USD 269607.950000 0.0028798 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.47043 N N N N N N STRUCTURED ASSEET MTGE INV INC 2002-AR3 N/A 86358HNX3 37334.320000 PA USD 35862.200000 0.0003831 Long ABS-MBS CORP US N 2 2032-09-19 Floating 5.80629 N N N N N N STRUCTURED ASSET INVESTMENT LN TR 2004-2 N/A 86358EGW0 165522.970000 PA USD 159685.900000 0.0017057 Long ABS-MBS CORP US N 2 2034-03-25 Floating 5.85543 N N N N N N STRUCTURED ASSET MORTGAGE INV 2005-AR4 N/A 86359LLZ0 114683.270000 PA USD 93219.090000 0.0009957 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.77043 Y N N N N N STRUCTURED ASSET MTG INV INC 2004-AR1 N/A 86359LAQ2 64458.690000 PA USD 59731.100000 0.0006380 Long ABS-MBS CORP US N 2 2034-03-19 Floating 5.84629 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-1 N/A 02660WAC0 231433.720000 PA USD 193917.390000 0.0020713 Long ABS-MBS CORP US N 2 2046-05-25 Floating 5.34043 Y N N N N N STRUCTURED ASSET MTG INV INC 2004-AR5 N/A 86359LDX4 23191.740000 PA USD 21708.370000 0.0002319 Long ABS-MBS CORP US N 2 2034-10-19 Floating 5.80629 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPD5 52069.620000 PA USD 47123.740000 0.0005034 Long ABS-MBS CORP US N 2 2035-07-19 Floating 5.64629 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPE3 22906.190000 PA USD 21963.840000 0.0002346 Long ABS-MBS CORP US N 2 2035-07-19 Floating 5.64629 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPF0 223349.660000 PA USD 203502.790000 0.0021737 Long ABS-MBS CORP US N 2 2035-07-19 Floating 5.64629 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR1 N/A 86359LTG4 137814.530000 PA USD 115497.380000 0.0012337 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.61043 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAA6 226633.620000 PA USD 200681.440000 0.0021436 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.57043 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-4 N/A 02660LAB6 4368342.930000 PA USD 2414730.420000 0.0257930 Long ABS-MBS CORP US N 2 2046-10-25 Floating 5.36043 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR2 N/A 86363DAH4 68110.160000 PA USD 22800.200000 0.0002435 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.41043 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 1383707.130000 PA USD 932841.240000 0.0099642 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.57043 N N N N N N STRUCTURED ASSET SEC CORP 2003-40A N/A 86359BEF4 984.600000 PA USD 931.990000 0.0000100 Long ABS-MBS CORP US N 3 2034-01-25 Floating 5.4935 N N N N N N STRUCTURED ASSET SEC CORP 2005-7XS N/A 86359B7K1 35126.690000 PA USD 34508.010000 0.0003686 Long ABS-MBS CORP US N 2 2035-04-25 Floating 6.67043 N N N N N N STRUCTURED ASSET SEC CORP 2006-GEL4 N/A 86361NAD3 1503548.270000 PA USD 1452567.760000 0.0155156 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.72043 N N N N N N STRUCTURED ASSET SECUR CORP 2006-OPT1 N/A 86359UAG4 18817740.870000 PA USD 15597270.820000 0.1666028 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.45043 N N N N N N SYMPHONY CLO XVII LTD 2016-17A N/A 87165UAN1 503049.870000 PA USD 501245.970000 0.0053541 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 6.14029 N N N N N N TBW MTGE BACKED PASS THRU CERT 2006-4 N/A 872224AG5 1230257.810000 PA USD 37699.530000 0.0004027 Long ABS-MBS CORP US N 2 2036-09-25 Variable 6.47 Y N N N N N THL CREDIT WIND RIVER 2019-3 CLO LTD N/A 97314JAA3 10300000.000000 PA USD 10173592.840000 0.1086696 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.34029 N N N N N N TORO EUROPEAN CLO 5 DAC 5A N/A ACI2773P0 2431345.300000 PA 2601781.330000 0.0277910 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 3.917 N N N N N N TORO EUROPEAN CLO 5 DAC 5A N/A ACI1RL4C7 4505897.110000 PA 4821758.130000 0.0515038 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 3.917 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 13737851.950000 PA 17472099.090000 0.1866288 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 5.57473 N N N N N N TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5 N/A 87277JAA9 9300000.000000 PA USD 9044667.290000 0.0966109 Long ABS-CBDO CORP KY N 2 2039-02-15 Floating 6.71662 N N N N N N TRALEE CLO VII LTD N/A 89288CAA7 5100000.000000 PA USD 4977291.090000 0.0531651 Long ABS-CBDO CORP KY N 2 2034-04-25 Floating 6.57514 N N N N N N AMERIQUEST MORTGAGE SEC 2005-R3 N/A 03072SA21 867255.880000 PA USD 851103.410000 0.0090911 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.08043 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 ACI1V1BM6 1240000.000000 PA 1332453.830000 0.0142326 Long DBT CORP CH N 2 2026-01-16 Floating 4.177 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 ACI1HYKW8 600000.000000 PA 563158.160000 0.0060154 Long DBT CORP CH N 2 2028-01-14 Floating 0.65 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 ACI2B33K5 1000000.000000 PA 1210185.920000 0.0129266 Long DBT CORP CH N 2 2029-03-01 Floating 7.75 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 ACI24F5W8 100000.000000 PA 95244.340000 0.0010174 Long DBT CORP CH N 2 2032-04-02 Floating 2.875 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 BJ5FX5II4 500000.000000 PA 483911.890000 0.0051689 Long DBT CORP CH N 2 2027-06-24 Floating 1 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 ACI27Z6Z3 300000.000000 PA 375532.450000 0.0040113 Long DBT CORP CH N 2 2027-09-30 Floating 7 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 ACI21PCV3 100000.000000 PA 99334.390000 0.0010610 Long DBT CORP CH N 2 2029-11-15 Floating 2.125 N N N N N N UMBS PASS THRU POOLS N/A 01F030686 -300000.000000 PA USD -264457.030000 -0.0028248 Short ABS-MBS USGSE US N 2 2053-08-14 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F040677 5206400.000000 PA USD 4886491.140000 0.0521952 Long ABS-MBS USGSE US N 2 2053-07-13 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F040685 253123600.000000 PA USD 237768094.740000 2.5397276 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F042681 170500000.000000 PA USD 164013008.670000 1.7519102 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F052680 64300000.000000 PA USD 63983523.760000 0.6834421 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F062689 63600000.000000 PA USD 64901813.140000 0.6932508 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 6.5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 37100000.000000 PA USD 37323036.300000 0.3986672 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Z36 12000.000000 PA USD 11922.650000 0.0001274 Long DBT UST US N 2 2023-08-17 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Z44 314000.000000 PA USD 311652.850000 0.0033289 Long DBT UST US N 2 2023-08-24 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796CQ0 3740000.000000 PA USD 3700897.480000 0.0395313 Long DBT UST US N 2 2023-09-14 None 0 N N N N N N AMMC CLO 22 LTD 2018-22A N/A 00177HAA7 4500000.000000 PA USD 4461779.700000 0.0476586 Long ABS-CBDO CORP KY N 2 2031-04-25 Floating 6.28514 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 104650347.000000 PA USD 100333324.490000 1.0717136 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FR4 242838040.270000 PA USD 240329312.040000 2.5670853 Long DBT UST US N 2 2025-01-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N71 33018565.200000 PA USD 31489932.090000 0.3363607 Long DBT UST US N 2 2026-01-15 Fixed 0.625 N N N N N N AMMC CLO XII LTD 2013-12A N/A 00176CAW1 4780416.180000 PA USD 4744995.590000 0.0506838 Long ABS-CBDO CORP KY N 2 2030-11-10 Floating 6.28686 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FS2 157008094.700000 PA USD 154945480.930000 1.6550552 Long DBT UST US N 2 2026-01-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828V49 69511106.200000 PA USD 65238882.020000 0.6968512 Long DBT UST US N 2 2027-01-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PS1 2597381.130000 PA USD 2611147.330000 0.0278911 Long DBT UST US N 2 2027-01-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 392073621.400000 PA USD 366851329.300000 3.9185343 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PV4 276686374.440000 PA USD 273565199.960000 2.9220955 Long DBT UST US N 2 2028-01-15 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285W6 249427141.360000 PA USD 236185969.820000 2.5228281 Long DBT UST US N 2 2029-01-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PZ5 105805778.080000 PA USD 109003116.540000 1.1643203 Long DBT UST US N 2 2029-01-15 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Z37 331119360.000000 PA USD 297151371.190000 3.1740320 Long DBT UST US N 2 2030-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBF7 352337205.360000 PA USD 313286580.640000 3.3463807 Long DBT UST US N 2 2031-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDX6 260755095.000000 PA USD 229678206.300000 2.4533152 Long DBT UST US N 2 2032-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGK1 39746962.500000 PA USD 38106306.460000 0.4070337 Long DBT UST US N 2 2033-01-15 Fixed 1.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QF8 113530233.270000 PA USD 121909578.500000 1.3021811 Long DBT UST US N 2 2040-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QP6 122985226.470000 PA USD 132077761.620000 1.4107929 Long DBT UST US N 2 2041-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QV3 212199357.040000 PA USD 180477685.770000 1.9277782 Long DBT UST US N 2 2042-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 74716505.390000 PA USD 61355770.130000 0.6553736 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 285397862.400000 PA USD 269092323.360000 2.8743183 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 190150528.300000 PA USD 157314669.550000 1.6803617 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 200636692.320000 PA USD 174238609.720000 1.8611353 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RW0 176595778.200000 PA USD 148330408.920000 1.5843961 Long DBT UST US N 2 2047-02-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 62128919.700000 PA USD 53503057.910000 0.5714946 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 42571734.030000 PA USD 36653093.980000 0.3915112 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SM1 97295947.000000 PA USD 68136311.790000 0.7278002 Long DBT UST US N 2 2050-02-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SV1 113157039.150000 PA USD 75604518.960000 0.8075721 Long DBT UST US N 2 2051-02-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TE8 53293665.000000 PA USD 35406852.380000 0.3781994 Long DBT UST US N 2 2052-02-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286N5 14795916.000000 PA USD 14438977.840000 0.1542304 Long DBT UST US N 2 2024-04-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZJ2 99014565.000000 PA USD 94206089.990000 1.0062654 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCA7 92180918.520000 PA USD 86455058.360000 0.9234725 Long DBT UST US N 2 2026-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEJ6 63396680.000000 PA USD 58696048.210000 0.6269637 Long DBT UST US N 2 2027-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FD5 279613530.820000 PA USD 300218061.770000 3.2067889 Long DBT UST US N 2 2028-04-15 Fixed 3.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FH6 264085882.600000 PA USD 291869254.430000 3.1176109 Long DBT UST US N 2 2029-04-15 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FQ6 13331994.000000 PA USD 15168482.970000 0.1620226 Long DBT UST US N 2 2032-04-15 Fixed 3.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828WU0 174407415.000000 PA USD 169195807.510000 1.8072705 Long DBT UST US N 2 2024-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XL9 63040757.840000 PA USD 60337280.790000 0.6444946 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828S50 131271038.350000 PA USD 123335572.810000 1.3174129 Long DBT UST US N 2 2026-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282L3 52140110.000000 PA USD 48891068.910000 0.5222315 Long DBT UST US N 2 2027-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Y38 87170742.720000 PA USD 82633074.070000 0.8826478 Long DBT UST US N 2 2028-07-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128287D6 318495063.920000 PA USD 290942543.240000 3.1077122 Long DBT UST US N 2 2029-07-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZZ6 369402594.000000 PA USD 331429876.510000 3.5401789 Long DBT UST US N 2 2030-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCM1 432725668.800000 PA USD 383921591.330000 4.1008709 Long DBT UST US N 2 2031-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 322028196.000000 PA USD 296159245.940000 3.1634345 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YL8 75502625.000000 PA USD 72834591.760000 0.7779850 Long DBT UST US N 2 2024-10-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAQ4 128033970.000000 PA USD 121404565.650000 1.2967868 Long DBT UST US N 2 2025-10-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDC2 192074980.000000 PA USD 179607083.810000 1.9184789 Long DBT UST US N 2 2026-10-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CFR7 325173975.000000 PA USD 320494919.860000 3.4233768 Long DBT UST US N 2 2027-10-15 Fixed 1.625 N N N N N N ANCHORAGE CAPITAL CLO 11 LTD 2019-11A N/A 03330NAJ3 1000000.000000 PA USD 986303.070000 0.0105352 Long ABS-CBDO CORP KY N 2 2032-07-22 Floating 6.41271 N N N N N N ANCHORAGE CAPITAL CLO LTD 2015-6A N/A 03328QAY7 8191957.700000 PA USD 8145167.040000 0.0870029 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 6.31029 N N N N N N ANCHORAGE CAPITAL CLO LTD 2016-9A N/A 03328WAS7 400000.000000 PA USD 394600.000000 0.0042149 Long ABS-CBDO CORP KY N 2 2032-07-15 Floating 6.40029 N N N N N N US AIRWAYS 2011-1 CLASS A PASS THRU TRUST N/A 903436AA1 1061921.380000 PA USD 1060476.320000 0.0113275 Long DBT CORP US N 2 2025-04-22 Fixed 7.125 N N N N N N VENTURE CLO LTD 2013-4A N/A 92328GBA3 5511666.970000 PA USD 5483359.490000 0.0585707 Long ABS-CBDO CORP KY N 2 2029-08-28 Floating 6.49314 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 2664775.700000 PA USD 2656266.090000 0.0283730 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 6.14029 N N N N N N VENTURE CLO LTD 2018-33A N/A 92330YAN3 1300000.000000 PA USD 1283484.530000 0.0137096 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.32029 N N N N N N VENTURE XXIV CLO LTD 2016-24A N/A 92330WBJ5 1153653.070000 PA USD 1148651.280000 0.0122694 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 6.15043 N N N N N N VENTURE XXIX CLO LTD 2017-29A N/A 92331EAF3 4952065.470000 PA USD 4911141.800000 0.0524585 Long ABS-CBDO CORP KY N 2 2030-09-07 Floating 6.31071 N N N N N N VENTURE XXVI CLO LTD 2017-26A N/A 92331MAE8 5580791.100000 PA USD 5541894.830000 0.0591959 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 6.35043 N N N N N N VIBRANT CLO IV LTD 2016-4A N/A 92557WAW3 500000.000000 PA USD 491500.000000 0.0052500 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.37043 N N N N N N VIBRANT CLO VI LTD 2017-6A N/A 92558EAJ1 468129.800000 PA USD 467554.060000 0.0049942 Long ABS-CBDO CORP KY N 2 2029-06-20 Floating 6.46 N N N N N N VIBRANT CLO VII LTD N/A 92558BAJ7 10286499.140000 PA USD 10170421.650000 0.1086357 Long ABS-CBDO CORP KY N 2 2030-09-15 Floating 6.29043 N N N N N N VMC FINANCE 2022-FL5 LLC N/A 91835BAA3 500000.000000 PA USD 486875.000000 0.0052006 Long ABS-CBDO CORP US N 2 2039-02-18 Floating 6.96662 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AC9 1900000.000000 PA USD 1802513.890000 0.0192536 Long DBT CORP US N 2 2027-08-21 Fixed 3.9 N N N N N N VOYA CLO 2017-2A N/A 92915UAG9 1109463.220000 PA USD 1102025.030000 0.0117713 Long ABS-CBDO CORP KY N 2 2030-06-07 Floating 6.24029 N N N N N N VOYA CLO LTD 2013-1A N/A 92917CAE2 2927001.050000 PA USD 2917107.200000 0.0311592 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.45793 N N N N N N VOYA CLO LTD 2015-1A N/A 92914NAJ0 5758837.920000 PA USD 5732694.930000 0.0612340 Long ABS-CBDO CORP KY N 2 2029-01-18 Floating 6.16171 N N N N N N VOYA CLO LTD 2019-1A N/A 92917NAJ7 3300000.000000 PA USD 3272775.000000 0.0349583 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.32029 N N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAA8 893165.400000 PA USD 775928.330000 0.0082881 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.65078 Y N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAJ9 192007.900000 PA USD 160942.670000 0.0017191 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.70406 Y N N N N N WAMU MTGE P/T CERT 2007-HY5 N/A 92990GAC7 835310.300000 PA USD 656451.400000 0.0070119 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.32027 Y N N N N N WAMU MTGE P/T CERTIFICATES 2007-HY4 N/A 933636AA0 476541.350000 PA USD 420908.630000 0.0044959 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.32097 Y N N N N N APIDOS CLO 2017-27A N/A 03767JAF2 10779662.750000 PA USD 10695863.480000 0.1142482 Long ABS-CBDO CORP KY N 2 2030-07-17 Floating 6.19029 N N N N N N WASHINGTON MUTUAL 2002 AR2 N/A 929227LE4 245487.680000 PA USD 231254.380000 0.0024702 Long ABS-MBS CORP US N 2 2034-02-27 Floating 3.823 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 13874.350000 PA USD 12870.280000 0.0001375 Long ABS-MBS CORP US N 2 2042-11-25 Floating 5.1762 N N N N N N WASHINGTON MUTUAL 2002-AR6 N/A 929227QB5 27512.130000 PA USD 25354.790000 0.0002708 Long ABS-MBS CORP US N 2 2042-06-25 Floating 5.3762 N N N N N N WASHINGTON MUTUAL 2003-AR5 N/A 929227R65 127994.610000 PA USD 124152.900000 0.0013261 Long ABS-MBS CORP US N 3 2033-06-25 Floating 4.82957 N N N N N N WASHINGTON MUTUAL 2004-AR1 N/A 92922FLD8 24938.520000 PA USD 24510.620000 0.0002618 Long ABS-MBS CORP US N 2 2034-03-25 Floating 4.28008 N N N N N N WASHINGTON MUTUAL 2004-AR10 N/A 92922FWZ7 468440.840000 PA USD 428879.350000 0.0045811 Long ABS-MBS CORP US N 3 2044-07-25 Floating 6.25043 N N N N N N WASHINGTON MUTUAL 2004-AR12 N/A 92922FZE1 123840.980000 PA USD 110370.550000 0.0011789 Long ABS-MBS CORP US N 2 2044-10-25 Floating 5.95043 N N N N N N APIDOS CLO XXIV 2016-24A N/A 03759CAS9 1200000.000000 PA USD 1185736.850000 0.0126655 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 6.20043 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X65 385869.320000 PA USD 366588.740000 0.0039157 Long ABS-MBS CORP US N 2 2045-01-25 Floating 5.83043 N N N N N N WASHINGTON MUTUAL 2005-AR10 N/A 92922FW53 102036.340000 PA USD 92842.580000 0.0009917 Long ABS-MBS CORP US N 3 2035-09-25 Floating 3.86486 N N N N N N APIDOS CLO XXVI LLC 2017-26A N/A 03766GAL6 3951492.140000 PA USD 3921804.030000 0.0418909 Long ABS-CBDO CORP KY N 2 2029-07-18 Floating 6.16171 N N N N N N WASHINGTON MUTUAL 2005-AR14 N/A 92922F4B1 859266.650000 PA USD 813319.340000 0.0086875 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.90011 N N N N N N WASHINGTON MUTUAL 2005-AR14 N/A 92922F4F2 184551.330000 PA USD 169965.090000 0.0018155 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.76519 N N N N N N WASHINGTON MUTUAL 2005-AR16 N/A 92922F6W3 16127.320000 PA USD 14368.320000 0.0001535 Long ABS-MBS CORP US N 3 2035-12-25 Floating 3.87529 N N N N N N WASHINGTON MUTUAL 2005-AR3 N/A 939336Z48 30942.960000 PA USD 29344.000000 0.0003134 Long ABS-MBS CORP US N 3 2035-03-25 Floating 4.07928 N N N N N N WASHINGTON MUTUAL 2005-AR8 N/A 92922FR75 12260.600000 PA USD 11418.250000 0.0001220 Long ABS-MBS CORP US N 2 2045-07-25 Floating 5.73043 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAA1 458887.130000 PA USD 403745.460000 0.0043126 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.52827 Y N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAA8 1053383.690000 PA USD 902316.570000 0.0096381 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.00754 Y N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AA8 666189.630000 PA USD 567032.900000 0.0060568 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.16837 Y N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 287074.040000 PA USD 256310.670000 0.0027378 Long ABS-MBS CORP US N 2 2046-02-25 Floating 4.9762 N N N N N N WASHINGTON MUTUAL 2006-AR5 N/A 93362YAB8 36830.700000 PA USD 33736.020000 0.0003604 Long ABS-MBS CORP US N 2 2046-06-25 Floating 4.9562 N N N N N N WASHINGTON MUTUAL 2006-AR8 N/A 93362FAJ2 71630.190000 PA USD 64865.260000 0.0006929 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.77773 Y N N N N N WASHINGTON MUTUAL 2007-OA2 N/A 933635AA2 2415653.850000 PA USD 2097611.520000 0.0224057 Long ABS-MBS CORP US N 2 2047-03-25 Floating 4.6762 Y N N N N N WASHINGTON MUTUAL 2007-OA4 N/A 93364CAA6 365206.280000 PA USD 295857.260000 0.0031602 Long ABS-MBS CORP US N 2 2047-05-25 Floating 4.7462 N N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-4 N/A 93936NAC7 4229567.000000 PA USD 3200751.900000 0.0341889 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 N N N N N N WASHINGTON MUTUAL MTGE P/T 2006-AR3 N/A 93934FQP0 767341.290000 PA USD 624966.330000 0.0066756 Long ABS-MBS CORP US N 2 2046-05-25 Floating 4.9462 Y N N N N N WELLFLEET CLO LTD 2015-1 N/A 949496BJ1 2405064.630000 PA USD 2379085.920000 0.0254123 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 6.14043 N N N N N N WELLFLEET CLO LTD 2016-1A N/A 94949RAS6 964744.060000 PA USD 963769.120000 0.0102945 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 6.16043 N N N N N N WELLFLEET CLO LTD 2017-1A N/A 94950GAL1 4843442.270000 PA USD 4838358.690000 0.0516811 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 6.14043 N N N N N N WELLFLEET CLO X LTD 2019-XA N/A 94949WAM8 975000.000000 PA USD 959400.000000 0.0102479 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.42043 N N N N N N WELLS FARGO HOME EQUITY TRUST 2005-2 N/A 94981PAM2 400000.000000 PA USD 391841.240000 0.0041855 Long ABS-MBS CORP US N 2 2034-12-25 Floating 7.55043 N N N N N N WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2007-AR7 N/A 94986KAA4 1420112.700000 PA USD 1280833.730000 0.0136813 Long ABS-MBS CORP US N 2 2037-12-28 Variable 4.36009 N N N N N N AQUEDUCT EUROPEAN CLO 1-2017 DAC N/A ACI1VHTC4 1152094.200000 PA 1240931.430000 0.0132550 Long ABS-CBDO CORP IE N 2 2030-07-20 Floating 3.84 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR15 N/A 94985AAA7 10099.840000 PA USD 9399.410000 0.0001004 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.47823 Y N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR4 N/A 94983PAF5 328886.540000 PA USD 309962.010000 0.0033109 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.6921 Y N N N N N AQUEDUCT EUROPEAN CLO DAC 2019-4A N/A ACI26MGN9 2000000.000000 PA 2130608.170000 0.0227582 Long ABS-CBDO CORP IE N 2 2032-07-15 Floating 4.087 N N N N N N WIND RIVER CLO LTD 2014-1A N/A 88432CBB1 1693032.730000 PA USD 1674211.470000 0.0178831 Long ABS-CBDO CORP KY N 2 2031-07-18 Floating 6.31171 N N N N N N WMALT MTGE PASS-THRU CERT 2005-7 N/A 93934FBT8 166914.820000 PA USD 132603.330000 0.0014164 Long ABS-MBS CORP US N 3 2035-08-25 Fixed 6.5 Y N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1 N/A 03880XAA4 6100000.000000 PA USD 5998740.000000 0.0640757 Long ABS-CBDO CORP KY N 2 2037-01-15 Floating 6.51662 N N N N N N N/A N/A 000000000 7919000.000000 PA USD 7919000.000000 0.0845871 Long RA US N 2 Repurchase N 2.4000000 2023-07-03 8114200.000000 USD 8077432.530000 USD UST N N N ARES EUROPEAN CLO VI BV 2013-6A N/A ACI248306 4681758.120000 PA 5010415.880000 0.0535189 Long ABS-CBDO CORP IE N 2 2030-04-15 Floating 3.787 N N N N N N ARES EUROPEAN CLO X BV 10A N/A ACI1Y2RR3 5900000.000000 PA 6327929.010000 0.0675920 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.957 N N N N N N ARES L CLO LTD 2018-50A N/A 04018LAJ4 4000000.000000 PA USD 3957962.360000 0.0422771 Long ABS-CBDO CORP KY N 2 2032-01-15 Floating 6.31029 N N N N N N ARES LII CLO LTD 2019-52A N/A 04009AAL4 1800000.000000 PA USD 1779817.000000 0.0190112 Long ABS-CBDO CORP KY N 2 2031-04-22 Floating 6.32271 N N N N N N N/A N/A 000000000 -101552500.000000 PA USD -101596506.080000 -1.0852064 Short RA US N 2 Reverse repurchase N 5.2000000 2023-07-03 100000000.000000 USD 93508839.000000 USD UST N N N ARES XXXIX CLO LTD 2016-39A N/A 04015WBA1 800000.000000 PA USD 791400.000000 0.0084534 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 6.31171 N N N N N N N/A N/A 000000000 -3.000000 NC 532.210000 0.0000057 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Short N/A AUSTRALIA GOVT 2023-09-15 -232164.620000 AUD 532.210000 N N N N/A N/A 000000000 1.000000 NC 296.900000 0.0000032 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 77258.970000 USD 116424.000000 AUD 2023-07-05 296.900000 N N N ARGENT SECURITIES INC 2005-W1 N/A 040104MX6 1306813.270000 PA USD 1178246.240000 0.0125855 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.63043 N N N N N N N/A N/A 000000000 1.000000 NC -4520.710000 -0.0000483 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 386247.000000 AUD 252777.800000 USD 2023-07-05 -4520.710000 N N N N/A N/A 000000000 1.000000 NC -297.550000 -0.0000032 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 116424.000000 AUD 77320.090000 USD 2023-08-02 -297.550000 N N N N/A N/A 000000000 1.000000 NC -320267.210000 -0.0034209 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 90061543.000000 USD 612349595.320000 DKK 2023-07-05 -320267.210000 N N N N/A N/A 000000000 1.000000 NC 97427.400000 0.0010407 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 6347201.820000 USD 5906000.000000 EUR 2023-07-05 97427.400000 N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAM1 2772564.950000 PA USD 2364290.340000 0.0252542 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.45043 N N N N N N N/A N/A 000000000 1.000000 NC -41021.650000 -0.0004382 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3108601.000000 AUD 2029773.460000 USD 2023-07-05 -41021.650000 N N N N/A N/A 000000000 1.000000 NC -832140.080000 -0.0088885 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 41738325.280000 CAD 30674427.410000 USD 2023-07-05 -832140.080000 N N N N/A N/A 000000000 1.000000 NC 322916.160000 0.0034492 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 611327396.810000 DKK 90061543.000000 USD 2023-08-02 322916.160000 N N N ARGENT SECURITIES INC 2006-W4 N/A 040104TG6 1134437.970000 PA USD 281374.760000 0.0030055 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.47043 N N N N N N N/A N/A 000000000 1.000000 NC 2924.900000 0.0000312 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 107384576.000000 KRW 84757.000000 USD 2023-09-20 2924.900000 N N N N/A N/A 000000000 1.000000 NC -650056.170000 -0.0069436 N/A DFE MX N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 164259941.580000 MXN 8922321.650000 USD 2023-07-18 -650056.170000 N N N N/A N/A 000000000 1.000000 NC -35544.050000 -0.0003797 N/A DFE NZ N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 5081448.000000 NZD 3082939.910000 USD 2023-07-05 -35544.050000 N N N N/A N/A 000000000 1.000000 NC 628.410000 0.0000067 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 895844.000000 TWD 29455.000000 USD 2023-09-20 628.410000 N N N N/A N/A 000000000 1.000000 NC 727.720000 0.0000078 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 880762.000000 TWD 29069.000000 USD 2023-09-20 727.720000 N N N N/A N/A 000000000 1.000000 NC -1600.210000 -0.0000171 N/A DFE NZ N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 119822.000000 NZD 71934.540000 USD 2023-07-05 -1600.210000 N N N N/A N/A 000000000 1.000000 NC 4908.630000 0.0000524 N/A DFE DK N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5317872.930000 USD 36320000.000000 DKK 2023-07-05 4908.630000 N N N N/A N/A 000000000 1.000000 NC -6913.010000 -0.0000738 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 518000.000000 AUD 338152.780000 USD 2023-07-05 -6913.010000 N N N N/A N/A 000000000 1.000000 NC -645.640000 -0.0000069 N/A DFE DK N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 260000.000000 DKK 37457.970000 USD 2023-07-05 -645.640000 N N N N/A N/A 000000000 1.000000 NC -11998197.320000 -0.1281591 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 740966000.000000 EUR 796544155.440000 USD 2023-07-05 -11998197.320000 N N N N/A N/A 000000000 1.000000 NC -19036.060000 -0.0002033 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 17795000.000000 EUR 19398874.030000 USD 2023-07-05 -19036.060000 N N N N/A N/A 000000000 1.000000 NC 5060734.240000 0.0540564 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 18927569907.000000 JPY 136233470.000000 USD 2023-07-05 5060734.240000 N N N N/A N/A 000000000 1.000000 NC 562.780000 0.0000060 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 889246.000000 TWD 29126.000000 USD 2023-08-22 562.780000 N N N N/A N/A 000000000 1.000000 NC -45539.140000 -0.0004864 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10751238.650000 USD 16071000.000000 AUD 2023-07-05 -45539.140000 N N N N/A N/A 000000000 1.000000 NC 37680.910000 0.0004025 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1278039.040000 USD 1743000.000000 CAD 2023-07-05 37680.910000 N N N N/A N/A 000000000 1.000000 NC 20793.850000 0.0002221 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3662007.300000 USD 3375000.000000 EUR 2023-07-05 20793.850000 N N N N/A N/A 000000000 1.000000 NC -8747.680000 -0.0000934 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3527868.780000 USD 3225000.000000 EUR 2023-07-05 -8747.680000 N N N N/A N/A 000000000 1.000000 NC -18395.430000 -0.0001965 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1341843.000000 AUD 875473.520000 USD 2023-07-05 -18395.430000 N N N N/A N/A 000000000 1.000000 NC -405.070000 -0.0000043 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 96408.000000 AUD 63868.290000 USD 2023-08-02 -405.070000 N N N N/A N/A 000000000 1.000000 NC -1077807.360000 -0.0115126 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 371272694.720000 DKK 53333080.710000 USD 2023-07-05 -1077807.360000 N N N N/A N/A 000000000 1.000000 NC 2442.300000 0.0000261 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 954216.160000 NOK 91477.000000 USD 2023-08-16 2442.300000 N N N N/A N/A 000000000 1.000000 NC 31470.950000 0.0003362 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5512456.400000 SEK 543563.350000 USD 2023-08-16 31470.950000 N N N N/A N/A 000000000 1.000000 NC 549.890000 0.0000059 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 855806.000000 TWD 28039.000000 USD 2023-08-22 549.890000 N N N N/A N/A 000000000 1.000000 NC USD -135696.530000 -0.0014494 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 CMBX.NA.AAA.12 N/A N/A Y Single Leg Swap 2061-08-17 0.000000 USD -26134.630000 USD 12300000.000000 USD -109561.900000 N N N N/A N/A 000000000 1.000000 NC -2403459.450000 -0.0256726 N/A DFE DK N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 1088044818.860000 DKK 157052072.000000 USD 2023-07-05 -2403459.450000 N N N N/A N/A 000000000 1.000000 NC 2281.200000 0.0000244 N/A DFE NO N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 1082386.130000 NOK 103275.000000 USD 2023-08-16 2281.200000 N N N ARMADA EURO CLO III DAC 3A N/A ACI1WGZB0 3098663.110000 PA 3307881.070000 0.0353332 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 3.897 N N N N N N N/A N/A 000000000 -765.000000 NC 844627.910000 0.0090219 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A FRANCE GOVT 2023-09-07 -107184244.810000 EUR 844627.910000 N N N N/A N/A 000000000 1.000000 NC USD 15456.540000 0.0001651 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2023-12-20 0.000000 USD -4205.680000 USD 4100000.000000 USD 19662.220000 N N N N/A N/A 000000000 -1531.000000 NC 2820230.790000 0.0301244 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2023-09-07 -193308333.930000 EUR 2820230.790000 N N N N/A N/A 000000000 -723.000000 NC -553578.790000 -0.0059131 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2023-09-07 -105512547.710000 EUR -553578.790000 N N N N/A N/A 000000000 -589.000000 NC -1196790.280000 -0.0127836 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2023-09-07 -89723293.420000 EUR -1196790.280000 N N N N/A N/A 000000000 -16835.000000 NC 14345514.730000 0.1532321 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2023-09-07 -1926132011.230000 EUR 14345514.730000 N N N N/A N/A 000000000 -124.000000 NC USD -153627.250000 -0.0016410 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Short N/A Gold 2023-08-29 -23924560.000000 USD -153627.250000 N N N N/A N/A 000000000 1.000000 NC 145087.690000 0.0015498 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9056201.970000 USD 62785000.000000 DKK 2023-07-05 145087.690000 N N N N/A N/A 000000000 1.000000 NC -7150.590000 -0.0000764 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1581752.680000 USD 1443000.000000 EUR 2023-07-05 -7150.590000 N N N N/A N/A 000000000 1.000000 NC 15784.600000 0.0001686 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2624166.670000 USD 2416000.000000 EUR 2023-08-02 15784.600000 N N N N/A N/A 000000000 1.000000 NC -774734.240000 -0.0082753 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 24107000.000000 GBP 29841139.230000 USD 2023-07-05 -774734.240000 N N N N/A N/A 000000000 1.000000 NC 4395.660000 0.0000470 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 199059026.000000 KRW 156088.000000 USD 2023-09-20 4395.660000 N N N N/A N/A 000000000 1.000000 NC 139.700000 0.0000015 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 8000.000000 SGD 6057.650000 USD 2023-07-17 139.700000 N N N N/A N/A 000000000 -182300000.000000 NC USD -18.230000 -0.0000002 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written US CPI Urban Consumers NSA N/A N/A N/A 4.000000 USD 2024-04-22 XXXX 1326214.270000 N N N N/A N/A 000000000 -20000000.000000 NC USD -2.000000 0.0000000 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written US CPI Urban Consumers NSA N/A N/A N/A 4.000000 USD 2024-05-16 XXXX 138998.000000 N N N N/A N/A 000000000 -46100000.000000 NC -2016002.090000 -0.0215340 N/A DIR DE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Eurostat Eurozone HICP Ex Tob N/A N/A N/A 3.000000 EUR 2035-06-22 XXXX 81270.890000 N N N N/A N/A 000000000 -465.000000 NC -36587.840000 -0.0003908 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A ITALY GOVT 2023-09-07 -58915161.360000 EUR -36587.840000 N N N N/A N/A 000000000 -1344.000000 NC 1488253.180000 0.0158968 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A ITALY GOVT 2023-09-07 -153476891.650000 EUR 1488253.180000 N N N N/A N/A 000000000 -328.000000 NC -1219100.040000 -0.0130219 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE 3538001249AILNPRUX57 Short N/A JAPAN GOVT 2023-09-12 -337672130.010000 JPY -1219100.040000 N N N N/A N/A 000000000 1.000000 NC 42627.800000 0.0004553 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4425020.770000 USD 30485000.000000 DKK 2023-07-05 42627.800000 N N N N/A N/A 000000000 1.000000 NC -46377.900000 -0.0004954 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11089097.910000 USD 75350000.000000 DKK 2023-07-05 -46377.900000 N N N N/A N/A 000000000 1.000000 NC -521113.530000 -0.0055663 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 813260222.800000 USD 744812000.000000 EUR 2023-07-05 -521113.530000 N N N ASSET BACKED FUNDING CERTS 2004-OPT5 N/A 04542BJY9 2211827.970000 PA USD 2149440.710000 0.0229593 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.85043 N N N N N N N/A N/A 000000000 1.000000 NC -401380.300000 -0.0042874 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 45071728.000000 USD 6445707821.000000 JPY 2023-07-05 -401380.300000 N N N N/A N/A 000000000 1.000000 NC 298793.620000 0.0031916 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11611629.850000 USD 204224000.000000 MXN 2023-07-14 298793.620000 N N N N/A N/A 000000000 1.000000 NC -36949.110000 -0.0003947 N/A DFE AU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2985985.000000 AUD 1952165.330000 USD 2023-07-05 -36949.110000 N N N N/A N/A 000000000 1.000000 NC 545156.460000 0.0058231 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 744812000.000000 EUR 814397550.720000 USD 2023-08-02 545156.460000 N N N N/A N/A 000000000 1.000000 NC 403195.040000 0.0043067 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6418317732.000000 JPY 45071728.000000 USD 2023-08-02 403195.040000 N N N N/A N/A 000000000 1.000000 NC -53.210000 -0.0000006 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 152057.200000 MXN 8660.280000 USD 2023-10-16 -53.210000 N N N N/A N/A 000000000 1.000000 NC 4225.000000 0.0000451 N/A DFE SG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 247265.350000 SGD 187138.000000 USD 2023-07-17 4225.000000 N N N N/A N/A 000000000 1.000000 NC -29353.170000 -0.0003135 N/A DFE PE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 12221730.430000 PEN 3319318.420000 USD 2023-09-20 -29353.170000 N N N N/A N/A 000000000 1.000000 NC -22780.650000 -0.0002433 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 71652879.000000 USD 488767976.100000 DKK 2023-07-05 -22780.650000 N N N AT&T INC 549300Z40J86GGSTL398 0020A2CK6 27000000.000000 PA USD 25846876.440000 0.2760842 Long DBT CORP US N 2 2024-03-19 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 24769.990000 0.0002646 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 487952924.600000 DKK 71652879.000000 USD 2023-08-02 24769.990000 N N N N/A N/A 000000000 1.000000 NC 4332.760000 0.0000463 N/A DFE KR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 223709384.000000 KRW 174809.830000 USD 2023-09-20 4332.760000 N N N N/A N/A 000000000 1.000000 NC -2860.780000 -0.0000306 N/A DFE NZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 337401.000000 NZD 204202.170000 USD 2023-07-05 -2860.780000 N N N N/A N/A 000000000 1.000000 NC 818.520000 0.0000087 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 956905.000000 TWD 31555.000000 USD 2023-08-22 818.520000 N N N N/A N/A 000000000 1.000000 NC 237.780000 0.0000025 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 54327.160000 USD 941489.680000 MXN 2023-08-16 237.780000 N N N ATLAS SENIOR LOAN FUND LTD 2018-10A N/A 04942JAC5 1290905.010000 PA USD 1274378.420000 0.0136123 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 6.35029 N N N N N N N/A N/A 000000000 1.000000 NC 21656.840000 0.0002313 N/A DFE PL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 369142.000000 USD 1590266.430000 PLN 2023-07-21 21656.840000 N N N N/A N/A 000000000 1.000000 NC -16837.050000 -0.0001798 N/A DFE AU N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1390896.000000 AUD 909708.570000 USD 2023-07-05 -16837.050000 N N N N/A N/A 000000000 1.000000 NC -13501.990000 -0.0001442 N/A DFE AU N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1160745.000000 AUD 759728.500000 USD 2023-07-05 -13501.990000 N N N N/A N/A 000000000 1.000000 NC 394.880000 0.0000042 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 113519.470000 USD 171004.000000 AUD 2023-07-05 394.880000 N N N ATRIUM XII 12A N/A 04965CAJ7 2182315.120000 PA USD 2170774.820000 0.0231872 Long ABS-CBDO CORP KY N 2 2027-04-22 Floating 6.10271 N N N N N N 2023-08-17 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX