NPORT-P false 0000810893 XXXXXXXX S000022557 C000065246 C000065245 C000069483 C000069484 C000200461 C000065243 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Dynamic Bond Fund S000022557 O7M5VNOD7AVYOESOBU56 2024-03-31 2023-06-30 N 3599780244.350000 1296843019.260000 2302937225.090000 0.000000 0.000000 139373325.320000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 24819935.540000 USD BRL CAD EUR GBP HUF JPY NZD ARS PLN PEN ZAR N N/A N/A 000000000 1.000000 NC -45223.210000 -0.0019637 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 862091.570000 USD 5919000.000000 CNY 2023-08-16 -45223.210000 N N N N/A N/A 000000000 1.000000 NC -96511.470000 -0.0041908 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1760990.000000 USD 12022278.730000 CNY 2023-08-16 -96511.470000 N N N N/A N/A 000000000 1.000000 NC 704.710000 0.0000306 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 773160.000000 USD 63677457.600000 INR 2023-09-20 704.710000 N N N AURIUM CLO IV DAC #N/A FIELD NOT APPLICABLE-4A N/A ACI21GDS9 6690244.710000 PA 7159864.670000 0.3109014 Long ABS-CBDO CORP IE N 2 2031-01-16 Floating 3.907 N N N N N N N/A N/A 000000000 1.000000 NC 6583.250000 0.0002859 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 485416.000000 USD 1794650.910000 PEN 2023-09-11 6583.250000 N N N N/A N/A 000000000 1.000000 NC 2061.750000 0.0000895 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 420823.000000 USD 1542737.120000 PEN 2023-09-13 2061.750000 N N N N/A N/A 000000000 1.000000 NC -8287.020000 -0.0003598 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3588730.000000 AUD 2382346.110000 USD 2023-07-05 -8287.020000 N N N N/A N/A 000000000 1.000000 NC 4950.590000 0.0002150 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 675346.670000 CNY 98153.720000 USD 2023-08-16 4950.590000 N N N N/A N/A 000000000 1.000000 NC -121449.000000 -0.0052737 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 18561193.000000 NZD 11269552.690000 USD 2023-07-05 -121449.000000 N N N N/A N/A 000000000 1.000000 NC 357.770000 0.0000155 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 575491.000000 TWD 18876.000000 USD 2023-09-20 357.770000 N N N N/A N/A 000000000 1.000000 NC 543.600000 0.0000236 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 874457.000000 TWD 28682.000000 USD 2023-09-20 543.600000 N N N N/A N/A 000000000 1.000000 NC 8811.780000 0.0003826 N/A DFE CL N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 9901860.130000 USD 7954164242.000000 CLP 2023-07-14 8811.780000 N N N N/A N/A 000000000 1.000000 NC 9423.890000 0.0004092 N/A DFE PE N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 2164401.900000 USD 7905694.380000 PEN 2023-08-01 9423.890000 N N N N/A N/A 000000000 1.000000 NC -3258.180000 -0.0001415 N/A DFE CL N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 7977136557.000000 CLP 9901860.130000 USD 2023-08-07 -3258.180000 N N N N/A N/A 000000000 1.000000 NC -10770.490000 -0.0004677 N/A DFE PE N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 7905694.400000 PEN 2167428.210000 USD 2023-07-10 -10770.490000 N N N N/A N/A 000000000 -8300000.000000 NC USD -178077.330000 -0.0077326 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 N/A RFR USD SOFR/2.92000 10/17/23-1Y LCH 2024-10-17 0.000000 USD 0.000000 USD N/A USD N/A 2.920000 USD 2023-10-13 XXXX -127966.080000 N N N N/A N/A 000000000 -8300000.000000 NC USD -722.930000 -0.0000314 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.92000 10/17/23-1Y LCH 2024-10-17 0.000000 USD 0.000000 USD N/A USD N/A 2.920000 USD 2023-10-13 XXXX 49388.320000 N N N N/A N/A 000000000 -7200000.000000 NC USD -154476.720000 -0.0067078 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.92000 10/17/23-1Y LCH 2024-10-17 0.000000 USD 0.000000 USD N/A USD N/A 2.920000 USD 2023-10-13 XXXX -110196.720000 N N N N/A N/A 000000000 -7200000.000000 NC USD -627.120000 -0.0000272 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.92000 10/17/23-1Y LCH 2024-10-17 0.000000 USD 0.000000 USD N/A USD N/A 2.920000 USD 2023-10-13 XXXX 43652.880000 N N N N/A N/A 000000000 -4700000.000000 NC USD -95663.800000 -0.0041540 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.01750 10/24/23-1Y LCH 2024-10-24 0.000000 USD 0.000000 USD N/A USD N/A 3.020000 USD 2023-10-20 XXXX -65231.300000 N N N N/A N/A 000000000 -4700000.000000 NC USD -579.040000 -0.0000251 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.01750 10/24/23-1Y LCH 2024-10-24 0.000000 USD 0.000000 USD N/A USD N/A 3.020000 USD 2023-10-20 XXXX 29853.460000 N N N N/A N/A 000000000 -4900000.000000 NC USD -90168.330000 -0.0039154 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.22500 10/25/23-1Y LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.230000 USD 2023-10-23 XXXX -56174.580000 N N N N/A N/A 000000000 -4900000.000000 NC USD -844.270000 -0.0000367 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.22500 10/25/23-1Y LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.230000 USD 2023-10-23 XXXX 33149.480000 N N N N/A N/A 000000000 -4900000.000000 NC USD -91755.440000 -0.0039843 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.19000 10/25/23-1Y LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.190000 USD 2023-10-23 XXXX -57700.440000 N N N N/A N/A 000000000 -4900000.000000 NC USD -802.620000 -0.0000349 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.19000 10/25/23-1Y LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.190000 USD 2023-10-23 XXXX 33252.380000 N N N N/A N/A 000000000 -4900000.000000 NC USD -94026.590000 -0.0040829 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.14000 10/25/23-1Y LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.140000 USD 2023-10-23 XXXX -59604.090000 N N N N/A N/A 000000000 -4700000.000000 NC USD -716.280000 -0.0000311 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.14000 10/25/23-1Y LCH 2024-10-25 0.000000 USD 0.000000 USD N/A USD N/A 3.140000 USD 2023-10-23 XXXX 32301.220000 N N N N/A N/A 000000000 -4700000.000000 NC USD -607.710000 -0.0000264 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.97300 10/27/23-1Y LCH 2024-10-27 0.000000 USD 0.000000 USD N/A USD N/A 2.970000 USD 2023-10-25 XXXX 31704.790000 N N N N/A N/A 000000000 -4700000.000000 NC USD -97424.890000 -0.0042305 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.97300 10/27/23-1Y LCH 2024-10-27 0.000000 USD 0.000000 USD N/A USD N/A 2.970000 USD 2023-10-25 XXXX -65112.390000 N N N N/A N/A 000000000 -4700000.000000 NC USD -102485.380000 -0.0044502 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.84100 10/31/23-1Y LCH 2024-10-31 0.000000 USD 0.000000 USD N/A USD N/A 2.840000 USD 2023-10-27 XXXX -70290.380000 N N N N/A N/A 000000000 -4700000.000000 NC USD -543.790000 -0.0000236 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.84100 10/31/23-1Y LCH 2024-10-31 0.000000 USD 0.000000 USD N/A USD N/A 2.840000 USD 2023-10-27 XXXX 31651.210000 N N N N/A N/A 000000000 -7500000.000000 NC USD -101417.250000 -0.0044038 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.65000 12/05/23-1Y LCH 2024-12-05 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2023-12-01 XXXX -78167.250000 N N N N/A N/A 000000000 -7500000.000000 NC USD -791.250000 -0.0000344 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.15000 12/05/23-1Y LCH 2024-12-05 0.000000 USD 0.000000 USD N/A USD N/A 2.150000 USD 2023-12-01 XXXX 22458.750000 N N N N/A N/A 000000000 -69000000.000000 NC USD -6408706.200000 -0.2782840 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.98500 09/19/23-5Y CME N/A N/A 2028-09-19 0.000000 USD 0.000000 USD N/A USD N/A 0.020000 USD 2023-09-15 XXXX -5684206.200000 N N N N/A N/A 000000000 13800000.000000 NC USD 3324553.860000 0.1443615 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Purchased Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.13400 09/19/23-30Y CME N/A N/A 2053-09-19 0.000000 USD 0.000000 USD N/A USD N/A 0.020000 USD 2023-09-15 XXXX 2600053.860000 N N N N/A N/A 000000000 -71500000.000000 NC USD -6737516.500000 -0.2925619 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.96000 09/19/23-5Y LCH N/A N/A 2028-09-19 0.000000 USD 0.000000 USD N/A USD N/A 0.020000 USD 2023-09-15 XXXX -5960342.590000 N N N N/A N/A 000000000 14300000.000000 NC USD 3560129.430000 0.1545908 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.10200 09/19/23-30Y LCH N/A N/A 2053-09-19 0.000000 USD 0.000000 USD N/A USD N/A 0.020000 USD 2023-09-15 XXXX 2782955.520000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAH4 1400000.000000 PA USD 1371091.850000 0.0595367 Long DBT CORP US N 2 2024-12-15 Fixed 5.5 N N N N N N AVOCA CLO XIV LTD14A N/A ACI1PDP91 489557.750000 PA 524629.620000 0.0227809 Long ABS-CBDO CORP IE N 2 2031-01-12 Floating 3.885 N N N N N N N/A N/A 000000000 26300000.000000 NC USD 6666826.450000 0.2894923 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.06000 10/27/23-30Y LCH N/A N/A 2053-10-27 0.000000 USD 0.000000 USD N/A USD N/A 0.020000 USD 2023-10-25 XXXX 5166342.240000 N N N N/A N/A 000000000 -131500000.000000 NC USD -11833619.250000 -0.5138490 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.00000 10/27/23-5Y LCH N/A N/A 2028-10-27 0.000000 USD 0.000000 USD N/A USD N/A 0.020000 USD 2023-10-25 XXXX -10328705.570000 N N N N/A N/A 000000000 -3800000.000000 NC USD -15787.100000 -0.0006855 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.65000 07/24/23-10Y LCH 2033-07-24 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2023-07-20 XXXX -2819.600000 N N N N/A N/A 000000000 -3800000.000000 NC USD -4819.540000 -0.0002093 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/3.25000 07/24/23-10Y LCH 2033-07-24 0.000000 USD 0.000000 USD N/A USD N/A 3.250000 USD 2023-07-20 XXXX 8147.960000 N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAL5 1200000.000000 PA USD 1118764.580000 0.0485799 Long DBT CORP KY N 2 2026-04-15 Fixed 4.25 N N N N N N N/A N/A 000000000 -700000.000000 NC USD -2879.240000 -0.0001250 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.67000 07/26/23-10Y LCH 2033-07-26 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2023-07-24 XXXX -564.860000 N N N N/A N/A 000000000 -700000.000000 NC USD -1247.610000 -0.0000542 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.27000 07/26/23-10Y LCH 2033-07-26 0.000000 USD 0.000000 USD N/A USD N/A 3.270000 USD 2023-07-24 XXXX 1066.770000 N N N N/A N/A 000000000 -400000.000000 NC USD -1645.280000 -0.0000714 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 N/A RFR USD SOFR/3.67000 07/26/23-10Y LCH 2033-07-26 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2023-07-24 XXXX -315.280000 N N N N/A N/A 000000000 -400000.000000 NC USD -712.920000 -0.0000310 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.27000 07/26/23-10Y LCH 2033-07-26 0.000000 USD 0.000000 USD N/A USD N/A 3.270000 USD 2023-07-24 XXXX 617.080000 N N N N/A N/A 000000000 -1400000.000000 NC USD -6763.680000 -0.0002937 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 N/A RFR USD SOFR/3.66000 07/28/23-10Y LCH 2033-07-28 0.000000 USD 0.000000 USD N/A USD N/A 3.660000 USD 2023-07-26 XXXX -2213.680000 N N N N/A N/A 000000000 -1400000.000000 NC USD -2821.560000 -0.0001225 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.26000 07/28/23-10Y LCH 2033-07-28 0.000000 USD 0.000000 USD N/A USD N/A 3.260000 USD 2023-07-26 XXXX 1728.440000 N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAR2 9000.000000 PA USD 7597.630000 0.0003299 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N N/A N/A 000000000 -2700000.000000 NC USD -7940.160000 -0.0003448 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.7800 08/02/23-10Y LCH 2033-08-02 0.000000 USD 0.000000 USD N/A USD N/A 3.780000 USD 2023-07-31 XXXX 2454.840000 N N N N/A N/A 000000000 -2700000.000000 NC USD -12878.460000 -0.0005592 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.3800 08/02/23-10Y LCH 2033-08-02 0.000000 USD 0.000000 USD N/A USD N/A 3.380000 USD 2023-07-31 XXXX -2483.460000 N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAM3 400000.000000 PA USD 355794.810000 0.0154496 Long DBT CORP KY N 2 2026-02-21 Fixed 2.125 N N N N N N N/A N/A 000000000 1.000000 NC -790043.040000 -0.0343059 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CAD-BA-CDOR 3M N/A N/A Y 2023-11-14 547.090000 CAD 0.000000 CAD 64000000.000000 CAD -790590.130000 N N N N/A N/A 000000000 1.000000 NC -5162394.840000 -0.2241657 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CAD-BA-CDOR 3M N/A N/A Y 2023-10-28 0.000000 CAD -34164.720000 CAD 421300000.000000 CAD -5128230.120000 N N N N/A N/A 000000000 1.000000 NC -950589.600000 -0.0412773 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 -64102.430000 EUR 8500000.000000 EUR -886487.170000 N N N N/A N/A 000000000 1.000000 NC -488222.040000 -0.0212000 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 -18722.700000 EUR 5000000.000000 EUR -469499.340000 N N N N/A N/A 000000000 1.000000 NC -195999.100000 -0.0085108 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 3 Month ACT/360 Y 2024-04-28 0.000000 EUR -21242.740000 EUR 11700000.000000 EUR -174756.360000 N N N N/A N/A 000000000 1.000000 NC -201725.750000 -0.0087595 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 3 Month ACT/360 Y 2024-05-03 0.000000 EUR -21828.500000 EUR 12000000.000000 EUR -179897.250000 N N N N/A N/A 000000000 1.000000 NC 55610.240000 0.0024148 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-09-20 0.000000 EUR -239589.350000 EUR 34100000.000000 EUR 295199.590000 N N N N/A N/A 000000000 1.000000 NC -1462466.750000 -0.0635044 N/A DIR NZ N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 NZ$ Bank Bill 3M FRA N/A N/A Y 2023-11-01 59490.430000 NZD 0.000000 NZD 175100000.000000 NZD -1521957.180000 N N N N/A N/A 000000000 1.000000 NC -2069980.000000 -0.0898843 N/A DIR NZ N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 NZ$ Bank Bill 3M FRA N/A N/A Y 2023-12-15 0.000000 NZD -5870.430000 NZD 243600000.000000 NZD -2064109.570000 N N N N/A N/A 000000000 1.000000 NC -1214100.880000 -0.0527197 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2027-09-16 0.000000 PLN 0.000000 PLN 76000000.000000 PLN -1214100.880000 N N N N/A N/A 000000000 1.000000 NC -838794.490000 -0.0364228 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2027-04-26 48574.010000 PLN 0.000000 PLN 97600000.000000 PLN -887368.500000 N N N N/A N/A 000000000 1.000000 NC -1134031.990000 -0.0492429 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2027-09-23 0.000000 PLN 0.000000 PLN 66700000.000000 PLN -1134031.990000 N N N N/A N/A 000000000 1.000000 NC -1110477.710000 -0.0482201 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2027-09-23 0.000000 PLN 0.000000 PLN 64900000.000000 PLN -1110477.710000 N N N N/A N/A 000000000 1.000000 NC -1250141.550000 -0.0542847 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2027-09-20 0.000000 PLN 0.000000 PLN 72500000.000000 PLN -1250141.550000 N N N N/A N/A 000000000 1.000000 NC -473898.860000 -0.0205780 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2027-09-26 0.000000 PLN 0.000000 PLN 27000000.000000 PLN -473898.860000 N N N N/A N/A 000000000 1.000000 NC -1372795.350000 -0.0596106 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2027-09-19 0.000000 PLN 0.000000 PLN 77500000.000000 PLN -1372795.350000 N N N N/A N/A 000000000 1.000000 NC -2473810.350000 -0.1074198 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2027-10-11 0.000000 PLN 0.000000 PLN 97100000.000000 PLN -2473810.350000 N N N N/A N/A 000000000 1.000000 NC -1371377.120000 -0.0595490 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2027-10-13 0.000000 PLN 0.000000 PLN 50100000.000000 PLN -1371377.120000 N N N N/A N/A 000000000 1.000000 NC -1704.400000 -0.0000740 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2027-10-21 0.000000 PLN -107.720000 PLN 50000.000000 PLN -1596.680000 N N N N/A N/A 000000000 1.000000 NC -1839.960000 -0.0000799 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2027-10-25 0.000000 PLN -207.080000 PLN 50000.000000 PLN -1632.880000 N N N N/A N/A 000000000 1.000000 NC USD 367912.830000 0.0159758 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-09-30 0.000000 USD 0.000000 USD 25770000.000000 USD 367912.830000 N N N N/A N/A 000000000 1.000000 NC USD 2874.900000 0.0001248 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-09-20 0.000000 USD 0.000000 USD 200000.000000 USD 2874.900000 N N N N/A N/A 000000000 1.000000 NC USD 457401.550000 0.0198617 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-09-21 0.000000 USD 0.000000 USD 31800000.000000 USD 457401.550000 N N N N/A N/A 000000000 1.000000 NC USD -6412951.310000 -0.2784684 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-08-04 0.000000 USD 0.000000 USD 457600000.000000 USD -6412951.310000 N N N N/A N/A 000000000 1.000000 NC USD 3447772.090000 0.1497119 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-09-21 0.000000 USD 0.000000 USD 239700000.000000 USD 3447772.090000 N N N N/A N/A 000000000 1.000000 NC -2644587.950000 -0.1148354 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2025-06-21 0.000000 CAD -823332.640000 CAD 250700000.000000 CAD -1821255.310000 N N N N/A N/A 000000000 1.000000 NC -5921664.260000 -0.2571353 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2033-09-20 0.000000 GBP -1355891.280000 GBP 73300000.000000 GBP -4565772.980000 N N N N/A N/A 000000000 1.000000 NC 4017842.930000 0.1744660 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2028-09-20 271889.650000 GBP 0.000000 GBP 58800000.000000 GBP 3745953.280000 N N N N/A N/A 000000000 1.000000 NC -129417.120000 -0.0056197 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2029-09-11 0.000000 JPY -106.770000 JPY 624000000.000000 JPY -129310.350000 N N N BANC OF AMERICA FUNDING CORP 2006-7 N/A 05951KAX1 150570.800000 PA USD 124613.260000 0.0054111 Long ABS-MBS CORP US N 3 2036-10-25 Variable 5.8776 Y N N N N N N/A N/A 000000000 1.000000 NC USD 14519307.600000 0.6304691 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-12-21 10704548.880000 USD 0.000000 USD 51300000.000000 USD 3814758.720000 N N N N/A N/A 000000000 1.000000 NC USD -8176220.670000 -0.3550345 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-07-03 0.000000 USD 0.000000 USD 87900000.000000 USD -8176220.670000 N N N N/A N/A 000000000 1.000000 NC USD -503773.250000 -0.0218752 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-05-18 0.000000 USD -31116.800000 USD 3740000.000000 USD -472656.450000 N N N N/A N/A 000000000 1.000000 NC USD -7469226.730000 -0.3243348 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2032-07-15 0.000000 USD -556150.000000 USD 49000000.000000 USD -6913076.730000 N N N N/A N/A 000000000 1.000000 NC USD 4007289.600000 0.1740078 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-07-03 0.000000 USD 0.000000 USD 18000000.000000 USD 4007289.600000 N N N BANC OF AMERICA FUNDING CORP 2006-H N/A 05950PAU7 261961.740000 PA USD 209201.550000 0.0090841 Long ABS-MBS CORP US N 2 2036-10-20 Floating 5.53657 N N N N N N BANC OF AMERICA FUNDING CORP 2006-I N/A 05951VAJ8 642551.850000 PA USD 521830.370000 0.0226593 Long ABS-MBS CORP US N 2 2046-10-20 Floating 2.91294 Y N N N N N N/A N/A 000000000 1.000000 NC USD 661386.550000 0.0287193 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-06-21 624354.710000 USD 0.000000 USD 14100000.000000 USD 37031.840000 N N N N/A N/A 000000000 1.000000 NC USD -74359.470000 -0.0032289 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-02-23 0.000000 USD -24637.500000 USD 2700000.000000 USD -49721.970000 N N N N/A N/A 000000000 1.000000 NC USD -53627.090000 -0.0023286 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-03-01 0.000000 USD -11031.250000 USD 2500000.000000 USD -42595.840000 N N N N/A N/A 000000000 1.000000 NC USD -95805.440000 -0.0041601 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-02-23 0.000000 USD -21375.000000 USD 5000000.000000 USD -74430.440000 N N N N/A N/A 000000000 1.000000 NC USD -48132.700000 -0.0020901 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-03-01 0.000000 USD -11180.000000 USD 2600000.000000 USD -36952.700000 N N N N/A N/A 000000000 1.000000 NC USD -45450.420000 -0.0019736 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-03-01 0.000000 USD -10395.000000 USD 2700000.000000 USD -35055.420000 N N N N/A N/A 000000000 1.000000 NC USD -49463.400000 -0.0021478 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-02-27 0.000000 USD -12000.000000 USD 3000000.000000 USD -37463.400000 N N N BANC OF AMERICA FUNDING CORP 2007-2 N/A 05951GAB8 5622.090000 PA USD 5442.390000 0.0002363 Long ABS-MBS CORP US N 3 2037-03-25 Variable 5.8058 Y N N N N N N/A N/A 000000000 1.000000 NC USD -71081.800000 -0.0030866 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-03-07 0.000000 USD -17456.250000 USD 4900000.000000 USD -53625.550000 N N N BANC OF AMERICA FUNDING CORP 2007-3 N/A 059515AV8 26656.050000 PA USD 24360.130000 0.0010578 Long ABS-MBS CORP US N 3 2034-09-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -154988.780000 -0.0067300 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-02-22 0.000000 USD -26742.500000 USD 7600000.000000 USD -128246.280000 N N N BANC OF AMERICA FUNDING CORP 2007-3 N/A 059515AD8 221944.600000 PA USD 183643.220000 0.0079743 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.57043 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-3 N/A 059515BE5 340135.670000 PA USD 311944.170000 0.0135455 Long ABS-MBS CORP US N 2 2034-09-25 Fixed 5.5 N N N N N N BANC OF AMERICA FUNDING CORP 2007-4 N/A 05953YAB7 147834.650000 PA USD 126928.610000 0.0055116 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.95043 Y N N N N N N/A N/A 000000000 1.000000 NC USD -53468.520000 -0.0023218 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-03-10 0.000000 USD -10901.250000 USD 5100000.000000 USD -42567.270000 N N N BANC OF AMERICA FUNDING CORP 2007-8 N/A 05953LAJ8 374870.330000 PA USD 293821.150000 0.0127585 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-A N/A 05952DAA6 871994.090000 PA USD 898420.050000 0.0390119 Long ABS-MBS CORP US N 2 2047-02-20 Floating 5.47657 Y N N N N N N/A N/A 000000000 1.000000 NC USD -364948.750000 -0.0158471 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2023-09-30 0.000000 USD 0.000000 USD 25770000.000000 USD -364948.750000 N N N N/A N/A 000000000 1.000000 NC USD -2854.860000 -0.0001240 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2023-09-20 0.000000 USD 0.000000 USD 200000.000000 USD -2854.860000 N N N N/A N/A 000000000 1.000000 NC USD -453916.490000 -0.0197103 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2023-09-21 0.000000 USD 0.000000 USD 31800000.000000 USD -453916.490000 N N N N/A N/A 000000000 1.000000 NC USD 6449493.300000 0.2800551 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2023-08-04 0.000000 USD 0.000000 USD 457600000.000000 USD 6449493.300000 N N N N/A N/A 000000000 1.000000 NC USD -3421502.570000 -0.1485712 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2023-09-21 0.000000 USD 0.000000 USD 239700000.000000 USD -3421502.570000 N N N BANC OF AMERICA FUNDING CORP 2007-D N/A 05952GAE1 794304.440000 PA USD 633438.650000 0.0275057 Long ABS-MBS CORP US N 2 2047-06-20 Floating 5.71657 Y N N N N N N/A N/A 000000000 1.000000 NC USD 5389588.500000 0.2340311 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-03-30 200594.950000 USD 0.000000 USD 25770000.000000 USD 5188993.550000 N N N BANC OF AMERICA FUNDING CORP 2007-D N/A 05952GAT8 50039.840000 PA USD 41916.850000 0.0018201 Long ABS-MBS CORP US N 3 2037-06-20 Floating 3.7902 Y N N N N N N/A N/A 000000000 1.000000 NC USD -10079151.380000 -0.4376651 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2023-11-04 0.000000 USD -413382.710000 USD 457600000.000000 USD -9665768.670000 N N N N/A N/A 000000000 1.000000 NC USD 3341051.210000 0.1450778 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-21 1198418.280000 USD 0.000000 USD 31800000.000000 USD 2142632.930000 N N N N/A N/A 000000000 1.000000 NC USD 21294149.800000 0.9246518 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-12-21 4187509.530000 USD 0.000000 USD 239700000.000000 USD 17106640.270000 N N N N/A N/A 000000000 1.000000 NC USD 17507.980000 0.0007602 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-06-20 6459.400000 USD 0.000000 USD 200000.000000 USD 11048.580000 N N N N/A N/A 000000000 1.000000 NC 152081.790000 0.0066038 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 149400000.000000 BRL 152081.790000 N N N N/A N/A 000000000 1.000000 NC 163809.090000 0.0071131 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 137800000.000000 BRL 163809.090000 N N N N/A N/A 000000000 1.000000 NC 142495.550000 0.0061876 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 116400000.000000 BRL 142495.550000 N N N N/A N/A 000000000 1.000000 NC 221882.680000 0.0096348 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 170900000.000000 BRL 221882.680000 N N N N/A N/A 000000000 1.000000 NC -14549.720000 -0.0006318 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2025-01-02 0.000000 BRL 0.000000 BRL 121000000.000000 BRL -14549.720000 N N N N/A N/A 000000000 1.000000 NC 14960.170000 0.0006496 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2025-01-02 0.000000 BRL 0.000000 BRL 116000000.000000 BRL 14960.170000 N N N N/A N/A 000000000 1.000000 NC 751827.980000 0.0326465 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 127300000.000000 BRL 751827.980000 N N N N/A N/A 000000000 1.000000 NC 30006.590000 0.0013030 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2025-01-02 0.000000 BRL 0.000000 BRL 115000000.000000 BRL 30006.590000 N N N N/A N/A 000000000 1.000000 NC 594535.470000 0.0258164 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 95500000.000000 BRL 594535.470000 N N N N/A N/A 000000000 1.000000 NC 17384.870000 0.0007549 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 939703.070000 USD 1436745.000000 AUD 2023-07-05 17384.870000 N N N N/A N/A 000000000 1.000000 NC 24921.060000 0.0010821 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 2919443.920000 USD 4416454.000000 AUD 2023-08-02 24921.060000 N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI0ZY1X9 2500000.000000 PA 2298692.630000 0.0998157 Long DBT CORP IT N 2 2028-01-18 Floating 7.677 N N N N N N N/A N/A 000000000 1.000000 NC -8646.440000 -0.0003755 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 4165229.000000 USD 5506432.740000 CAD 2023-07-05 -8646.440000 N N N N/A N/A 000000000 1.000000 NC 2292.130000 0.0000995 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1239384.800000 USD 1644911.510000 CAD 2023-07-05 2292.130000 N N N N/A N/A 000000000 1.000000 NC -25503.560000 -0.0011074 N/A DFE GB N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 46250938.600000 USD 36398000.000000 GBP 2023-07-05 -25503.560000 N N N N/A N/A 000000000 1.000000 NC 123744.430000 0.0053733 N/A DFE NZ N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 16034570.500000 USD 26329344.000000 NZD 2023-07-05 123744.430000 N N N N/A N/A 000000000 1.000000 NC -24953.750000 -0.0010836 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 4416454.000000 AUD 2917067.870000 USD 2023-07-05 -24953.750000 N N N N/A N/A 000000000 1.000000 NC 8613.610000 0.0003740 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 5504245.990000 CAD 4165229.000000 USD 2023-08-02 8613.610000 N N N N/A N/A 000000000 1.000000 NC -2302.930000 -0.0001000 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1644259.590000 CAD 1239384.800000 USD 2023-08-02 -2302.930000 N N N N/A N/A 000000000 1.000000 NC 26321.400000 0.0011429 N/A DFE GB N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 36398000.000000 GBP 46261020.850000 USD 2023-08-02 26321.400000 N N N N/A N/A 000000000 1.000000 NC -468.760000 -0.0000204 N/A DFE HU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 12486714.000000 HUF 35655.950000 USD 2023-08-22 -468.760000 N N N N/A N/A 000000000 1.000000 NC -123531.740000 -0.0053641 N/A DFE NZ N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 26329344.000000 NZD 16032911.750000 USD 2023-08-02 -123531.740000 N N N N/A N/A 000000000 1.000000 NC USD -7837.230000 -0.0003403 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 TURKEY GOVT TURKEY (REP OF) SR UNSUB Y Single Leg Swap 2024-06-20 0.000000 USD -48568.070000 USD 400000.000000 USD 40730.840000 N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 BF2PHRII3 1400000.000000 PA 1515550.700000 0.0658095 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 3782.120000 0.0001642 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 215298.020000 USD 328875.000000 AUD 2023-07-05 3782.120000 N N N N/A N/A 000000000 1.000000 NC -22158.450000 -0.0009622 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 3110579.140000 USD 4632533.000000 AUD 2023-08-02 -22158.450000 N N N N/A N/A 000000000 1.000000 NC 9893.710000 0.0004296 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 1409879.000000 USD 2129614.000000 AUD 2023-08-02 9893.710000 N N N N/A N/A 000000000 1.000000 NC 1123.600000 0.0000488 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 183254.300000 USD 276561.000000 AUD 2023-08-02 1123.600000 N N N N/A N/A 000000000 1.000000 NC 22562.460000 0.0009797 N/A DFE IN N 2 UBS AG BFM8T61CT2L1QCEMIK50 4807230.000000 USD 397419472.780000 INR 2023-09-20 22562.460000 N N N N/A N/A 000000000 1.000000 NC 22189.010000 0.0009635 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 4632533.000000 AUD 3108151.690000 USD 2023-07-05 22189.010000 N N N N/A N/A 000000000 1.000000 NC -9903.090000 -0.0004300 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 2129614.000000 AUD 1408739.660000 USD 2023-07-05 -9903.090000 N N N N/A N/A 000000000 1.000000 NC -1120.120000 -0.0000486 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 276561.000000 AUD 183111.040000 USD 2023-07-05 -1120.120000 N N N N/A N/A 000000000 1.000000 NC -895.670000 -0.0000389 N/A DFE DK N 2 UBS AG BFM8T61CT2L1QCEMIK50 918242.970000 DKK 133896.040000 USD 2023-08-02 -895.670000 N N N BANCO DE CREDITO DEL PERU SA 549300EQYQ8SCQZ4BY14 05971U2B2 5900000.000000 PA 1559346.700000 0.0677112 Long DBT CORP PE N 2 2024-09-17 Fixed 4.65 N N N N N N N/A N/A 000000000 1.000000 NC 2810.120000 0.0001220 N/A DFE IL N 2 UBS AG BFM8T61CT2L1QCEMIK50 321324.910000 ILS 89748.040000 USD 2023-09-20 2810.120000 N N N N/A N/A 000000000 1.000000 NC 24114.400000 0.0010471 N/A DFE SG N 2 UBS AG BFM8T61CT2L1QCEMIK50 3611095.020000 SGD 2701975.000000 USD 2023-09-20 24114.400000 N N N N/A N/A 000000000 1.000000 NC -42153.670000 -0.0018304 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 250769666.920000 ZAR 13224644.000000 USD 2023-08-17 -42153.670000 N N N N/A N/A 000000000 1.000000 NC -329334.510000 -0.0143006 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 196486253.390000 ZAR 10065636.300000 USD 2023-08-17 -329334.510000 N N N N/A N/A 000000000 1.000000 NC 98079.130000 0.0042589 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 22953386.920000 ZAR 1309205.690000 USD 2023-09-12 98079.130000 N N N N/A N/A 000000000 -2565.000000 NC USD 4355748.060000 0.1891388 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-09-20 -288061524.720000 USD 4355748.060000 N N N N/A N/A 000000000 -1396.000000 NC USD 1519700.590000 0.0659897 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-09-20 -165458719.450000 USD 1519700.590000 N N N N/A N/A 000000000 849.000000 NC USD -2395835.820000 -0.1040339 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-09-29 172675323.580000 USD -2395835.820000 N N N N/A N/A 000000000 1585.000000 NC USD -3040996.580000 -0.1320486 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-09-29 169811699.620000 USD -3040996.580000 N N N N/A N/A 000000000 -712.000000 NC USD -74787.590000 -0.0032475 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-09-20 -90524125.000000 USD -74787.590000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAL9 5000000.000000 PA USD 4476945.550000 0.1944015 Long DBT CORP ES N 2 2026-03-25 Fixed 1.849 N N N N N N N/A N/A 000000000 -325.000000 NC USD -670455.580000 -0.0291131 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-09-20 -44398046.880000 USD -670455.580000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAQ8 5000000.000000 PA USD 4683590.050000 0.2033746 Long DBT CORP ES N 2 2028-03-24 Floating 4.175 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAM7 4600000.000000 PA USD 3797231.280000 0.1648864 Long DBT CORP ES N 2 2031-03-25 Fixed 2.958 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFB0 11000000.000000 PA USD 10906485.040000 0.4735902 Long DBT CORP US N 2 2024-01-22 Fixed 4.125 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKM0 2700000.000000 PA USD 2589469.340000 0.1124420 Long DBT CORP US N 2 2026-04-02 Floating 3.384 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHK8 3700000.000000 PA USD 3701096.500000 0.1607120 Long DBT CORP US N 2 2024-07-23 Floating 6.23271 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-4 N/A 05949ADN7 55169.710000 PA USD 50691.950000 0.0022012 Long ABS-MBS CORP US N 3 2034-05-25 Floating 4.67461 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-A N/A 05948XT27 21635.150000 PA USD 20562.300000 0.0008929 Long ABS-MBS CORP US N 3 2034-02-25 Fixed 4.17339 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBA2 6700000.000000 PA USD 6582080.000000 0.2858124 Long DBT CORP GB N 2 2023-09-15 Floating 7.75 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBT1 2400000.000000 PA USD 1636560.000000 0.0710640 Long DBT CORP GB N 2 2028-03-15 Floating 4.375 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAN5 900000.000000 PA USD 864998.900000 0.0375607 Long DBT CORP GB N 2 2026-01-12 Fixed 4.375 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAU9 800000.000000 PA USD 754367.190000 0.0327567 Long DBT CORP GB N 2 2028-01-10 Fixed 4.337 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAE5 1100000.000000 PA USD 1055021.880000 0.0458120 Long DBT CORP GB N 2 2025-03-16 Fixed 3.65 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 1900000.000000 PA USD 1797277.050000 0.0780428 Long DBT CORP GB N 2 2029-05-16 Floating 4.972 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECD5 1000000.000000 PA USD 1042478.630000 0.0452673 Long DBT CORP GB N 2 2028-11-02 Floating 7.385 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBV6 4400000.000000 PA USD 3465923.780000 0.1505001 Long DBT CORP GB N 2 2032-11-24 Floating 2.894 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECE3 1300000.000000 PA USD 1407148.940000 0.0611024 Long DBT CORP GB N 2 2033-11-02 Floating 7.437 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBW4 4300000.000000 PA USD 3023695.160000 0.1312973 Long DBT CORP GB N 2 2042-11-24 Floating 3.33 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAW5 350000.000000 PA USD 322669.120000 0.0140112 Long DBT CORP GB N 2 2028-05-09 Fixed 4.836 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 2200000.000000 PA USD 2123492.210000 0.0922080 Long DBT CORP US N 2 2025-12-15 Fixed 4.25 N N N N N N BAYVIEW FINANCIAL ACQUISITION TR 2005-A N/A 073250BN1 56806.750000 PA USD 48533.640000 0.0021075 Long ABS-MBS CORP US N 3 2040-02-28 Floating 6.10786 N N N N N N BCAP LLC TRUST 2011-RR4 N/A 05533XAC6 1332958.710000 PA USD 594480.520000 0.0258140 Long ABS-MBS CORP US N 2 2036-02-26 Floating 5.25 N N N N N N BCAP LLC TRUST 2011-RR4 N/A 05533XAD4 342247.770000 PA USD 116983.850000 0.0050798 Long ABS-MBS CORP US N 2 2036-02-26 Floating 15.3014 N N N N N N BCAP LLC TRUST 2011-RR6 N/A 05535YAF5 304035.660000 PA USD 126654.040000 0.0054997 Long ABS-MBS CORP US N 3 2037-04-26 Variable 8.21754 N N N N N N BCAP LLC TRUST 2011-RR6 N/A 05535YAJ7 297010.960000 PA USD 265524.740000 0.0115298 Long ABS-MBS CORP US N 2 2037-06-26 Fixed 5.25 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MN32 10842.830000 PA USD 9832.490000 0.0004270 Long ABS-MBS CORP US N 3 2034-05-25 Floating 4.99554 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MN57 5510.760000 PA USD 4661.550000 0.0002024 Long ABS-MBS CORP US N 3 2034-05-25 Floating 4.09616 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-7 N/A 07384MX98 27569.280000 PA USD 17833.320000 0.0007744 Long ABS-MBS CORP US N 3 2034-10-25 Floating 0 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 1054.480000 PA USD 956.590000 0.0000415 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 2005-6 N/A 07387ADM4 15826.520000 PA USD 13932.640000 0.0006050 Long ABS-MBS CORP US N 3 2035-08-25 Floating 4.79063 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 110376.280000 PA USD 107596.350000 0.0046721 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 2004-1 N/A 07384MK27 20396.520000 PA USD 19218.670000 0.0008345 Long ABS-MBS CORP US N 3 2034-04-25 Floating 4.67934 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-4 N/A 07387ABR5 26913.260000 PA USD 24420.490000 0.0010604 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.1463 Y N N N N N CONSTELLATION OIL SERVICES HOLDING SA 5493005YJTU769NW5I10 944PZA905 1262836.000000 NS USD 136886.370000 0.0059440 Long EC CORP US Y 3 N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HZJ3 396617.450000 PA USD 361488.730000 0.0156969 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 4.36453 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSZ5 1077204.430000 PA USD 1018782.680000 0.0442384 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.19478 N N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HYE5 61915.780000 PA USD 48344.030000 0.0020992 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.99017 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-2 N/A 07386HH46 1044049.400000 PA USD 885776.100000 0.0384629 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.59043 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-2 N/A 07386HE98 162238.480000 PA USD 123961.460000 0.0053828 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.98916 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-2 N/A 07386HG39 756919.250000 PA USD 454004.030000 0.0197141 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.00932 N N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AA3 986062.200000 PA USD 837038.520000 0.0363466 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.47043 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AN5 10079.260000 PA USD 6658.920000 0.0002891 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.1645 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-5 N/A 073873AA9 373729.710000 PA USD 353374.260000 0.0153445 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.49043 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AM3 380672.580000 PA USD 180341.080000 0.0078309 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.73059 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAY6 49294.440000 PA USD 44000.620000 0.0019106 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.55043 N N N N N N BEAR STEARNS ARM TR 2004-8 N/A 07384MZ88 44842.620000 PA USD 39633.510000 0.0017210 Long ABS-MBS CORP US N 3 2034-11-25 Floating 4.60873 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSJ2 1390.660000 PA USD 1042.330000 0.0000453 Long ABS-MBS CORP US N 3 2033-02-25 Floating 3.24998 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1 N/A 07384YGX8 3602.210000 PA USD 3529.950000 0.0001533 Long ABS-MBS CORP US N 2 2042-11-25 Floating 6.15043 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-AC6 N/A 073879LN6 570721.140000 PA USD 490285.240000 0.0212896 Long ABS-MBS CORP US N 2 2034-11-25 Variable 5.75 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE11 N/A 0738793Q9 1246405.610000 PA USD 1238653.710000 0.0537858 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.87043 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-EC2 N/A 07387UDS7 1733004.780000 PA USD 1727555.520000 0.0750153 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.78043 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3 N/A 073888AA7 55485.420000 PA USD 53301.560000 0.0023145 Long ABS-MBS CORP US N 3 2036-08-25 Fixed 5.5 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1 N/A 07389QAE8 4722192.080000 PA USD 2126285.040000 0.0923293 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.5 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2 N/A 07386UAM4 277137.580000 PA USD 259453.710000 0.0112662 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.95043 N N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE7 N/A 07388HAP4 2465881.990000 PA USD 2350620.990000 0.1020706 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.47043 N N N N N N BEAR STEARNS ASSETBK SEC 2005-AQ2 N/A 0738792V9 1193722.490000 PA USD 1186629.030000 0.0515268 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.88543 Y N N N N N BEAR STEARNS MTGE FUND TR 2006-AR5 N/A 07401NAP4 1183497.240000 PA USD 1074817.750000 0.0466716 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.34043 N N N N N N BELLE HAVEN ABS CDO LTD 2004-1A N/A 078446AG6 20259487.890000 PA USD 6132749.580000 0.2663012 Long ABS-CBDO CORP KY N 2 2044-11-03 Floating 5.15629 N N N N N N BELLE HAVEN ABS CDO LTD 2004-1A N/A 078446AA9 13512988.910000 PA USD 4053207.510000 0.1760016 Long ABS-CBDO CORP KY N 2 2044-11-03 Floating 5.15629 N N N N N N BENEFIT STREET PARTNERS CLO XII LTD 2017-12A N/A 08179HAE0 8682777.360000 PA USD 8612809.370000 0.3739924 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.21029 N N N N N N BGCLO 19A N/A 09075JAL3 4900000.000000 PA USD 4857354.520000 0.2109200 Long ABS-CBDO CORP KY N 2 2031-06-15 Floating 6.682 N N N N N N BLUE OWL FINANCE LLC 254900OF2NO2GYFV5T41 09581JAA4 1900000.000000 PA USD 1447589.690000 0.0628584 Long DBT CORP US N 2 2031-06-10 Fixed 3.125 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2P8 2000000.000000 PA USD 1639734.300000 0.0712019 Long DBT CORP FR N 2 2032-04-19 Floating 2.871 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2F0 6000000.000000 PA USD 5669752.320000 0.2461966 Long DBT CORP FR N 2 2028-08-14 Fixed 4.4 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2M5 2000000.000000 PA USD 1705536.280000 0.0740592 Long DBT CORP FR N 2 2028-09-30 Floating 1.904 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2R4 6400000.000000 PA USD 5336019.460000 0.2317049 Long DBT CORP FR N 2 2029-09-15 Floating 2.159 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659X2M3 1200000.000000 PA USD 1023321.770000 0.0444355 Long DBT CORP FR N 2 2028-09-30 Floating 1.904 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023CZ6 4400000.000000 PA USD 4300481.770000 0.1867390 Long DBT CORP US N 2 2024-02-01 Fixed 1.95 N N N N N N BOSTON GAS COMPANY FN7P4E7K9JOBORDEUX61 100743AM5 1900000.000000 PA USD 1675654.270000 0.0727616 Long DBT CORP US N 2 2032-03-16 Fixed 3.757 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBR1 3100000.000000 PA USD 2865420.830000 0.1244246 Long DBT CORP US N 2 2029-04-15 Fixed 4 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBT7 3600000.000000 PA USD 3262526.640000 0.1416681 Long DBT CORP US N 2 2032-04-15 Fixed 4.15 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBV2 4000.000000 PA USD 3622.270000 0.0001573 Long DBT CORP US N 2 2037-05-15 Fixed 4.926 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 5000.000000 PA USD 3837.090000 0.0001666 Long DBT CORP US N 2 2035-11-15 Fixed 3.137 N N N N N N CAESARS ENTERTAINMENT INC 549300FA4CTCW903Y781 28470RAH5 1200000.000000 PA USD 1195523.040000 0.0519130 Long DBT CORP US N 2 2025-07-01 Fixed 6.25 N N N N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 6000000.000000 PA 6417405.740000 0.2786618 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.957 N N N N N N CAIXABANK SA (AKA: LA CAIXA) 7CUNS533WID6K7DGFI87 ACI0VK8S7 200000.000000 PA 211843.670000 0.0091988 Long DBT CORP ES N 2 2024-06-13 Floating 6.75 N N N N Y CAIXABANK SA (AKA: LA CAIXA) EUR XXXX N N N CARLYLE EURO CLO 2019-2 DAC 19-2A N/A ACI1ZPM05 2200000.000000 PA 2346718.040000 0.1019011 Long ABS-CBDO CORP IE N 2 2032-08-15 Floating 4.213 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2012-4A N/A 14309YBQ6 900000.000000 PA USD 889875.000000 0.0386409 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 8554951.830000 PA USD 8499033.760000 0.3690519 Long ABS-CBDO CORP KY N 2 2030-08-14 Floating 6.27071 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A N/A ACI1YDTG1 6869251.800000 PA 7338490.490000 0.3186579 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 3.877 N N N N N N CARLYLE US CLO LTD 2017-1A N/A 14314BAL1 4700000.000000 PA USD 4641609.790000 0.2015517 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.25043 N N N N N N CARNIVAL CORPORATION F1OF2ZSX47CR0BCWA982 P2121YAN8 3006999.990000 PA USD 3005586.700000 0.1305110 Long LON CORP PA N 2 2025-06-30 Floating 8.217 N N N N N N CARNIVAL HOLDINGS BERMUDA LTD N/A 14366RAA7 1500000.000000 PA USD 1642010.450000 0.0713007 Long DBT CORP US N 2 2028-05-01 Fixed 10.375 N N N N N N CARRINGTON MORTGAGE LN TR 2004-NC1 N/A 144531AE0 1052393.430000 PA USD 1004715.590000 0.0436276 Long ABS-MBS CORP US N 2 2034-05-25 Floating 6.05043 N N N N N N CARRINGTON MORTGAGE LOAN TRUST SERIES 2006-NC2 2006-NC2 N/A 14453FAD1 2863526.590000 PA USD 2714308.510000 0.1178629 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.63043 N N N N N N CARRINGTON MTGE LOAN TRUST 2006-FRE2 N/A 14454AAC3 827773.680000 PA USD 650336.500000 0.0282394 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.31043 N N N N N N CATAMARAN CLO LTD 2014-1A N/A 14889DAJ7 9614574.380000 PA USD 9557079.230000 0.4149952 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 6.37271 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAR2 1700000.000000 PA USD 1591047.000000 0.0690877 Long DBT CORP US N 2 2027-12-15 Fixed 4.25 N N N N N N CHARTER COMMUNICATIONS (CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CO) N/A 1248EPBX0 2900000.000000 PA USD 2645206.000000 0.1148623 Long DBT CORP US N 2 2028-02-01 Fixed 5 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BZ6 2200000.000000 PA USD 1489899.180000 0.0646956 Long DBT CORP US N 2 2041-06-01 Fixed 3.5 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175AY0 15700000.000000 PA USD 15400866.800000 0.6687489 Long DBT CORP US N 2 2025-07-23 Fixed 4.908 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AC2 5914.970000 PA USD 5631.900000 0.0002446 Long ABS-MBS CORP US N 3 2037-02-25 Floating 4.48266 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AE8 9759.700000 PA USD 9267.010000 0.0004024 Long ABS-MBS CORP US N 3 2037-02-25 Floating 4.48266 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A2 N/A 16163LAD4 14667.530000 PA USD 13866.940000 0.0006021 Long ABS-MBS CORP US N 3 2035-06-25 Floating 4.13517 N N N N N N CHASEFLEX TRUST 2007-1 N/A 16165VAJ7 572709.170000 PA USD 227641.990000 0.0098849 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 373243.990000 PA USD 308472.650000 0.0133947 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.75043 N N N N N N CHASEFLEX TRUST 2007-M1 N/A 16165YAT9 1332480.390000 PA USD 1137371.950000 0.0493879 Long ABS-MBS CORP US N 2 2037-08-25 Variable 6.35 Y N N N N N CHENIERE CORPUS CHRISTI HOLDINGS LLC 549300I7CIEWU1BBLQ53 16412XAC9 1800000.000000 PA USD 1792287.360000 0.0778261 Long DBT CORP US N 2 2025-03-31 Fixed 5.875 N N N N N N CHENIERE CORPUS CHRISTI HOLDINGS LLC 549300I7CIEWU1BBLQ53 16412XAG0 9500000.000000 PA USD 9345469.300000 0.4058065 Long DBT CORP US N 2 2027-06-30 Fixed 5.125 N N N N N N CHESAPEAKE ENERGY CORPORATION X2MT1W32SPAZ9WSKLE78 165167DF1 700000.000000 PA USD 683131.890000 0.0296635 Long DBT CORP US N 2 2026-02-01 Fixed 5.5 N N N N N N CHESAPEAKE ENERGY CORPORATION X2MT1W32SPAZ9WSKLE78 165167DG9 300000.000000 PA USD 285246.120000 0.0123862 Long DBT CORP US N 2 2029-02-01 Fixed 5.875 N N N N N N CHEVY CHASE MORTGAGE FUND CORP 2005-2A N/A 16678RDL8 487561.760000 PA USD 434199.200000 0.0188541 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.38043 N N N N N N CHS/COMMUNITY HEALTH SYSTEMS INC 5493007X5NC5XI1BB106 12543DBG4 1300000.000000 PA USD 1146863.770000 0.0498000 Long DBT CORP US N 2 2027-03-15 Fixed 5.625 N N N N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 8853658.060000 PA USD 8791861.300000 0.3817673 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 6.22271 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAF9 11398000.000000 PA USD 11096191.220000 0.4818278 Long ABS-MBS CORP US N 2 2037-10-25 Floating 6.65043 N N N N N N CITICORP MORTGAGE SECURITIES 2007-3 N/A 17312FAR4 13006.950000 PA USD 12120.820000 0.0005263 Long ABS-MBS CORP US N 3 2037-04-25 Fixed 5.5 N N N N N N CITICORP MORTGAGE SECURITIES 2007-8 N/A 17312DAC2 89171.170000 PA USD 84722.400000 0.0036789 Long ABS-MBS CORP US N 3 2037-09-25 Fixed 6 N N N N N N CITIGROUP MORTGAGE LOAN TR 2004-HYB1 N/A 17307GDL9 11607.700000 PA USD 11462.200000 0.0004977 Long ABS-MBS CORP US N 3 2034-02-25 Floating 4.18268 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR7 N/A 172987AW9 239118.930000 PA USD 214767.510000 0.0093258 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.21265 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-HE3 N/A 17310VAC4 1663303.470000 PA USD 1079746.750000 0.0468856 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.47043 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-NC2 N/A 17309TAC2 9222074.650000 PA USD 6737925.320000 0.2925796 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.47043 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAU2 337090.700000 PA USD 296745.450000 0.0128855 Long ABS-MBS CORP US N 3 2037-09-25 Floating 5.35059 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW95 138396.560000 PA USD 137412.660000 0.0059668 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.47 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-3 N/A 17307GTJ7 163205.640000 PA USD 159160.390000 0.0069112 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.41808 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-3 N/A 17307GTK4 18567.140000 PA USD 15339.860000 0.0006661 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.41808 Y N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXR4 40692.180000 PA USD 40098.290000 0.0017412 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.43 N N N N N N CITIMORTGAGE ALTERNATIVE LN TR 2007-A6 N/A 18976GAD8 306717.690000 PA USD 258414.150000 0.0112211 Long ABS-MBS CORP US N 3 2037-06-25 Fixed 6 Y N N N N N CITIUS FUNDING LTD-2006-1A N/A 17305CAH2 435815897.510000 PA USD 43581.590000 0.0018924 Long ABS-CBDO CORP KY N 2 2046-05-05 Floating 4.95143 Y Y N N N N CLOUD SOFTWARE GROUP INC 04EEB871XLHVNY4RZJ65 88632QAE3 4300000.000000 PA USD 3832722.440000 0.1664276 Long DBT CORP US N 2 2029-03-31 Fixed 6.5 N N N N N N CONSECO FINANCE SECURITIZATIONS CORP. N/A 20846QFQ6 4231114.960000 PA USD 4174645.230000 0.1812748 Long ABS-O CORP US N 2 2031-09-01 Variable 7.77 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBK3 3300000.000000 PA USD 3219772.640000 0.1398116 Long DBT CORP US N 2 2027-05-09 Fixed 4.35 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBL1 300000.000000 PA USD 291316.070000 0.0126498 Long DBT CORP US N 2 2032-05-09 Fixed 4.75 N N N N N N CONSTELLATION OIL SERVICES HOLDING SA 5493005YJTU769NW5I10 21038MAM5 1148698.000000 PA USD 679885.630000 0.0295225 Long DBT CORP LU N 2 2026-12-31 Fixed 3 N N Y N N N CONSTELLATION OIL SERVICES HOLDING SA 5493005YJTU769NW5I10 21038MAP8 454443.000000 PA USD 448433.400000 0.0194722 Long DBT CORP LU N 3 2025-06-30 Fixed 13.5 N N N N N N COTY INC 549300BO9IWPF3S48F93 ACI1YJLH4 3500000.000000 PA 3711308.760000 0.1611554 Long DBT CORP US N 2 2026-04-15 Fixed 3.875 N N N N N N COTY INC, HFC PRESTIGE PRODUCTS INC AND HFC PRESTIGE INTERNATIONAL US LLC N/A 222070AG9 7200000.000000 PA USD 6646176.000000 0.2885956 Long DBT CORP US N 2 2029-01-15 Fixed 4.75 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-36T2 N/A 02146XAH1 4061000.940000 PA USD 1362246.120000 0.0591526 Long ABS-MBS CORP US N 2 2036-12-25 Floating 6.05043 Y N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-41CB N/A 02149CAC5 686033.290000 PA USD 390896.280000 0.0169738 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 Y N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-43CB N/A 02149FAX2 7111320.950000 PA USD 2171959.560000 0.0943126 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.52043 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-24 N/A 12667GPB3 17030.950000 PA USD 15813.620000 0.0006867 Long ABS-MBS CORP US N 2 2035-07-20 Floating 5.62271 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-25T1 N/A 12667GRF2 1278386.320000 PA USD 823782.170000 0.0357709 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.75 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-28CB N/A 12667GWR0 46585.170000 PA USD 36420.070000 0.0015815 Long ABS-MBS CORP US N 3 2035-08-25 Floating 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-37T1 N/A 12667G2X0 2164522.370000 PA USD 1328243.780000 0.0576761 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-43 N/A 12667G5Y5 246556.050000 PA USD 199232.230000 0.0086512 Long ABS-MBS CORP US N 3 2035-10-25 Floating 3.16721 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1 N/A 12668AFM2 853984.570000 PA USD 514905.810000 0.0223587 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 395107.640000 PA USD 365176.700000 0.0158570 Long ABS-MBS CORP US N 2 2035-11-20 Floating 5.80271 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668AQH1 1132340.140000 PA USD 975563.680000 0.0423617 Long ABS-MBS CORP US N 2 2035-11-20 Floating 5.80271 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1 N/A 12668AUS2 2045478.680000 PA USD 917866.630000 0.0398563 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1 N/A 12668AUX1 165202.370000 PA USD 94382.670000 0.0040984 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-61 N/A 12668AVP7 249252.810000 PA USD 225174.240000 0.0097777 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.71043 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-64CB N/A 12668AZX6 317413.490000 PA USD 266421.810000 0.0115688 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDC4 500226.010000 PA USD 466179.380000 0.0202428 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.4562 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-79CB N/A 12668BAC7 192435.900000 PA USD 116831.390000 0.0050731 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J2 N/A 12667F6C4 278297.280000 PA USD 233614.810000 0.0101442 Long ABS-MBS CORP US N 2 2035-04-25 Fixed 5.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-12CB N/A 12668BXF5 942750.600000 PA USD 386220.030000 0.0167708 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.50043 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-20CB N/A 02147MAR2 849643.170000 PA USD 321754.600000 0.0139715 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.86043 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-22R N/A 02147LAA1 393820.020000 PA USD 235071.920000 0.0102075 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB N/A 12668BLY7 39204.430000 PA USD 17003.710000 0.0007383 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1 N/A 02146VAB8 345393.750000 PA USD 267101.280000 0.0115983 Long ABS-MBS CORP US N 2 2036-11-25 Fixed 6.25 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1 N/A 02149JCA2 1545244.420000 PA USD 722571.280000 0.0313761 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2 N/A 12668BNA7 597968.780000 PA USD 309993.290000 0.0134608 Long ABS-MBS CORP US N 2 2036-04-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB N/A 12668BRX3 977652.390000 PA USD 764662.120000 0.0332038 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-7CB N/A 12668BXS7 1042837.730000 PA USD 469034.410000 0.0203668 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.85043 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1 N/A 02150GAN8 33103.660000 PA USD 10748.390000 0.0004667 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.50043 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1 N/A 02150GAD0 805563.930000 PA USD 271350.830000 0.0117828 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.65043 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-19 N/A 02151AAA8 482581.700000 PA USD 250495.520000 0.0108772 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1 N/A 23246KAA9 668833.660000 PA USD 268104.850000 0.0116419 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4 N/A 02150QAK2 51016.030000 PA USD 44528.030000 0.0019335 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.99404 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA3 N/A 02150TAA8 1946136.510000 PA USD 1733709.680000 0.0752825 Long ABS-MBS CORP US N 2 2047-04-25 Floating 5.43043 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6 N/A 02150PAB4 11345.260000 PA USD 10190.260000 0.0004425 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.55043 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11 N/A 021466AA5 526077.520000 PA USD 476347.250000 0.0206843 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.39043 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 51377.200000 PA USD 48061.270000 0.0020870 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.53043 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAC5 822572.710000 PA USD 614917.600000 0.0267014 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.65043 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8 N/A 23245LAD2 453233.580000 PA USD 207412.380000 0.0090064 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUS 2005-47CB N/A 12668AAL9 199672.390000 PA USD 115068.720000 0.0049966 Long ABS-MBS CORP US N 3 2035-10-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB N/A 12667GKC6 10765.720000 PA USD 8320.120000 0.0003613 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 5.25 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-54CB N/A 12668APJ8 361901.700000 PA USD 211804.160000 0.0091971 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22 N/A 02151BBG2 1099084.560000 PA USD 451772.770000 0.0196172 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6.5 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-12 N/A 126673NX6 1834485.850000 PA USD 1793554.620000 0.0778812 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.65043 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-4 N/A 1266715K8 250175.720000 PA USD 246616.950000 0.0107088 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.87043 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-7 N/A 126673DQ2 37107.550000 PA USD 36021.910000 0.0015642 Long ABS-MBS CORP US N 3 2034-12-25 Variable 5.251 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-SD4 N/A 232433AA0 158134.200000 PA USD 116499.330000 0.0050587 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.83043 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-2 N/A 12668NAD9 689977.660000 PA USD 680789.990000 0.0295618 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.29043 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAE0 1679287.560000 PA USD 1387313.020000 0.0602410 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.46043 Y N N N N N COUNTRYWIDE HOME LOANS 2003-56 N/A 12669FBQ5 10666.690000 PA USD 9744.360000 0.0004231 Long ABS-MBS CORP US N 3 2033-12-25 Floating 3.71303 N N N N N N COUNTRYWIDE HOME LOANS 2004-11 N/A 12669FA86 63937.780000 PA USD 58296.950000 0.0025314 Long ABS-MBS CORP US N 3 2034-07-25 Floating 4.54038 N N N N N N COUNTRYWIDE HOME LOANS 2004-16 N/A 12669FY23 1795.860000 PA USD 1660.270000 0.0000721 Long ABS-MBS CORP US N 3 2034-09-25 Floating 5.91043 N N N N N N COUNTRYWIDE HOME LOANS 2004-20 N/A 12669F2H5 8033.200000 PA USD 6897.060000 0.0002995 Long ABS-MBS CORP US N 3 2034-09-25 Floating 3.34619 Y N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 26111.710000 PA USD 23754.040000 0.0010315 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.80962 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GJY8 33736.110000 PA USD 30809.330000 0.0013378 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.81043 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GKH3 579725.710000 PA USD 500715.410000 0.0217425 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.89043 N N N N N N COUNTRYWIDE HOME LOANS 2004-R1 N/A 12669F7J6 12228.300000 PA USD 11261.380000 0.0004890 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.55043 Y N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 81129.770000 PA USD 75968.110000 0.0032987 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 45334.310000 PA USD 26463.030000 0.0011491 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 12669GTV3 962.880000 PA USD 862.310000 0.0000374 Long ABS-MBS CORP US N 3 2035-04-25 Floating 5.73043 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB3 N/A 12669GA50 1808.820000 PA USD 1673.890000 0.0000727 Long ABS-MBS CORP US N 3 2035-06-20 Floating 3.4506 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JY5 102386.920000 PA USD 85859.830000 0.0037283 Long ABS-MBS CORP US N 2 2036-02-20 Floating 5.90986 Y N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670LE6 451926.550000 PA USD 413591.560000 0.0179593 Long ABS-MBS CORP US N 2 2036-02-20 Floating 6.53729 Y N N N N N COUNTRYWIDE HOME LOANS 2005-R2 N/A 12669GN64 522419.950000 PA USD 478226.720000 0.0207659 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.49043 Y N N N N N COUNTRYWIDE HOME LOANS 2006-1 N/A 126694XC7 3079.550000 PA USD 1707.380000 0.0000741 Long ABS-MBS CORP US N 3 2036-03-25 Fixed 6 Y N N N N N COUNTRYWIDE HOME LOANS 2006-J1 N/A 126694XX1 332576.600000 PA USD 142333.370000 0.0061805 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 6 Y N N N N N COUNTRYWIDE HOME LOANS 2007-10 N/A 12545CAB6 398188.720000 PA USD 186404.200000 0.0080942 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 5.5 Y N N N N N COUNTRYWIDE HOME LOANS 2007-9 N/A 12544XAW5 1560752.020000 PA USD 813902.060000 0.0353419 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 5.75 Y N N N N N COUNTRYWIDE HOME LOANS 2007-HYB1 N/A 22239EAG1 50460.740000 PA USD 44167.000000 0.0019179 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.08471 Y N N N N N CPI PROPERTY GROUP SA 222100CO2ZOTEPGJO223 ACI1J42H5 2400000.000000 PA 2041611.780000 0.0886525 Long DBT CORP LU N 2 2028-01-22 Fixed 2.75 N N N N N N CPI PROPERTY GROUP SA 222100CO2ZOTEPGJO223 ACI1V7SM5 6514000.000000 PA 3875802.350000 0.1682982 Long DBT CORP LU N 2 2031-01-27 Fixed 1.5 N N N N N N CPI PROPERTY GROUP SA 222100CO2ZOTEPGJO223 ACI1G7W13 100000.000000 PA 79758.990000 0.0034634 Long DBT CORP LU N 2 2027-04-23 Fixed 1.625 N N N N N N CPI PROPERTY GROUP SA 222100CO2ZOTEPGJO223 ACI1M88D5 1600000.000000 PA 1421163.610000 0.0617109 Long DBT CORP LU N 2 2026-05-12 Fixed 2.75 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A 12465MAC8 845591.200000 PA USD 397499.150000 0.0172605 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.45043 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB1 N/A 1248MGAL8 1162628.610000 PA USD 363910.200000 0.0158020 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.737 Y N N N N N CREDIT SUISSE AG/ ZURICH BRANCH ANGGYXNX0JLX3X63JN86 22546DAA4 9693000.000000 PA USD 9657717.480000 0.4193652 Long DBT CORP CH N 2 2023-08-08 Fixed 6.5 N N N N N N CREDIT SUISSE AG/ ZURICH BRANCH ANGGYXNX0JLX3X63JN86 ACI06K5Q2 1200000.000000 PA USD 1195632.000000 0.0519177 Long DBT CORP CH N 2 2023-08-08 Fixed 6.5 N N N N N N CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2012-3R N/A 12640HAW3 1401529.240000 PA USD 1358566.900000 0.0589928 Long ABS-MBS CORP US N 2 2037-07-27 Floating 3.80929 N N N N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A 22540VK43 32582.030000 PA USD 30239.670000 0.0013131 Long ABS-MBS CORP US N 2 2032-03-25 Floating 5.44863 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG006 1200000.000000 PA USD 48000.000000 0.0020843 Long DBT CORP US N 3 2060-12-31 None 0 Y N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPK908 200000.000000 PA USD 8000.000000 0.0003474 Long DBT CORP US N 3 2060-12-31 None 0 Y N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPL005 1200000.000000 PA USD 48000.000000 0.0020843 Long DBT CORP US N 3 2060-12-31 None 0 Y N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPKII9 5100000.000000 PA USD 204000.000000 0.0088583 Long DBT CORP US N 3 2060-12-31 None 0 Y N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG907 600000.000000 PA USD 24000.000000 0.0010421 Long DBT CORP US N 3 2060-12-31 None 0 Y N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPHII6 400000.000000 PA USD 16000.000000 0.0006948 Long DBT CORP US N 3 2060-12-31 None 0 Y N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-5 N/A 22944BAL2 804191.760000 PA USD 513252.790000 0.0222869 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 7 Y N N N N N CREDIT SUISSE MRTG CAPITAL CERT 2006-7 N/A 22942KAN0 298933.420000 PA USD 116893.790000 0.0050759 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 Y N N N N N CREDIT-BACKED ASSET SERVICING 2006-RP1 N/A 124779AE9 505142.120000 PA USD 530415.340000 0.0230321 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.90043 N N N N N N CREDIT-BACKED ASSET SERVICING 2007-CB3 N/A 17311YAC7 3255126.130000 PA USD 1241548.070000 0.0539115 Long ABS-MBS CORP US N 2 2037-03-25 Variable 5.731 Y N N N N N CREDIT-BACKED ASSET SERVICING 2007-CB3 N/A 17311YAD5 4727656.920000 PA USD 1802270.280000 0.0782596 Long ABS-MBS CORP US N 2 2037-03-25 Variable 5.971 Y N N N N N CRESTLINE DENALI CLO XIV LTD 2016-1A N/A 22615MAW2 4633451.730000 PA USD 4575848.430000 0.1986962 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 1683773.730000 PA USD 1669061.980000 0.0724754 Long ABS-CBDO CORP KY N 2 2030-04-20 Floating 6.28043 N N N N N N CROMWELL EREIT LUX FINCO SARL 213800VKBKU9G6DF2O19 ACI1SV5N9 4500000.000000 PA 4238074.270000 0.1840291 Long DBT CORP LU N 2 2025-11-19 Fixed 2.125 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 1978.900000 PA USD 1888.630000 0.0000820 Long ABS-MBS CORP US N 2 2032-01-25 Floating 5.77043 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR18 N/A 22541QFC1 1535.400000 PA USD 1434.350000 0.0000623 Long ABS-MBS CORP US N 3 2033-07-25 Floating 4.26015 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2004-1 N/A 22541SAN8 98892.270000 PA USD 95307.030000 0.0041385 Long ABS-MBS CORP US N 3 2034-02-25 Fixed 7 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2005-12 N/A 225470SB0 668113.370000 PA USD 376764.300000 0.0163602 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 6 Y N N N N N CSMC 2021-JR2 TRUST N/A 12659NAA6 343244.030000 PA USD 327278.960000 0.0142114 Long ABS-MBS CORP US N 2 2061-11-25 Variable 2.215 N N N N N N CTP BV 3157000YTVO4TN65UM14 ACI20LM91 1000000.000000 PA 882314.040000 0.0383126 Long DBT CORP NL N 2 2026-09-27 Fixed 0.625 N N N N N N CWHL-2007-12 N/A 17025LAJ7 6179383.220000 PA USD 3376978.550000 0.1466379 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 5.75 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAH7 2500000.000000 PA USD 2410491.300000 0.1046703 Long DBT CORP US N 2 2024-02-15 Fixed 1.625 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZX9 700000.000000 PA USD 715431.300000 0.0310660 Long DBT CORP US N 2 2025-05-01 Fixed 7 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZZ4 6900000.000000 PA USD 7199335.800000 0.3126154 Long DBT CORP US N 2 2026-01-15 Fixed 7.375 N N N N N N DELTA AIR LINES INC / SKYMILES IP LTD N/A 830867AA5 1083333.000000 PA USD 1060172.070000 0.0460356 Long DBT CORP US N 2 2025-10-20 Fixed 4.5 N N N N N N DELTA FUNDING HOME EQUITY LN TR 1998-1 N/A 24763LDB3 142609.270000 PA USD 131852.640000 0.0057254 Long ABS-MBS CORP US N 3 2030-05-25 Variable 7.79 Y N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2007-AB1 N/A 25151WAA1 324777.390000 PA USD 218467.910000 0.0094865 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.45043 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR3 N/A 25151AAB7 1189472.330000 PA USD 1076386.460000 0.0467397 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.39043 Y N N N N N DEUTSCHE ALT-A SECURITIES LN TR 2007-1 N/A 25151YAJ8 169208.610000 PA USD 137043.150000 0.0059508 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.25043 Y N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CJ6 2100000.000000 PA USD 1996077.030000 0.0866753 Long DBT CORP DE Y 2 2024-05-28 Fixed 0.898 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 25160PAJ6 11700000.000000 PA USD 11574207.920000 0.5025846 Long DBT CORP DE N 2 2026-07-14 Floating 6.119 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CD9 5600000.000000 PA USD 4654049.510000 0.2020919 Long DBT CORP DE N 2 2031-09-18 Floating 3.547 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CE7 1000000.000000 PA USD 890181.690000 0.0386542 Long DBT CORP DE Y 2 2026-11-24 Floating 2.129 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CF4 1700000.000000 PA USD 1286568.040000 0.0558664 Long DBT CORP DE Y 2 2032-01-14 Floating 3.729 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 25160PAE7 1700000.000000 PA USD 1489782.450000 0.0646905 Long DBT CORP DE N 2 2031-07-08 Floating 5.882 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI1J0CL3 1000000.000000 PA 970414.290000 0.0421381 Long DBT CORP DE N 2 2027-01-20 Fixed 1.625 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI1SQBN3 600000.000000 PA 518125.930000 0.0224985 Long DBT CORP DE N 2 2030-11-19 Floating 1.75 N N N N N N DISH DBS CORPORATION N/A 25470XBE4 1200000.000000 PA USD 964857.000000 0.0418968 Long DBT CORP US N 2 2026-12-01 Fixed 5.25 N N N N N N DISH DBS CORPORATION N/A 25470XBF1 4200000.000000 PA USD 3131765.700000 0.1359901 Long DBT CORP US N 2 2028-12-01 Fixed 5.75 N N N N N N DISH NETWORK CORPORATION 529900U350CWHH15G169 25470MAG4 3300000.000000 PA USD 3224235.890000 0.1400054 Long DBT CORP US N 2 2027-11-15 Fixed 11.75 N N N N N N DOMINICAN REPUBLIC GOVT N/A 25714PEG9 2050000.000000 PA USD 1611245.370000 0.0699648 Long DBT NUSS DO N 2 2041-01-21 Fixed 5.3 N N N N N N DSLA MORTGAGE LOAN TRUST 2005-AR4 N/A 23332UEM2 8030.610000 PA USD 6858.730000 0.0002978 Long ABS-MBS CORP US N 2 2045-08-19 Floating 5.67657 N N N N N N DSLA MORTGAGE LOAN TRUST 2006-AR1 N/A 23332UGK4 295527.540000 PA USD 240828.200000 0.0104574 Long ABS-MBS CORP US N 2 2046-03-19 Floating 4.8962 Y N N N N N INTELSAT SA 549300YV2L21F4K80V46 000000000 22223.000000 NS USD 511129.000000 0.0221947 Long EC CORP LU Y 3 N N N ELEVATION CLO LTD 2017-8A N/A 28622VAN0 5299803.700000 PA USD 5261470.640000 0.2284678 Long ABS-CBDO CORP KY N 2 2030-10-25 Floating 6.20514 N N N N N N EMF-NL BV 2008-APRX N/A B39M0PII2 1620083.400000 PA 1690316.680000 0.0733983 Long ABS-MBS CORP NL N 2 2041-04-17 Floating 3.977 N N N N N N ENERGY NORTHWEST N/A 29270CYR0 4300000.000000 PA USD 4300000.000000 0.1867181 Long DBT MUN US N 2 2023-07-01 Fixed 3.103 N N N N N N EQT CORPORATION 4NT01YGM4X7ZX86ISY52 26884LAH2 1273000.000000 PA USD 1266991.440000 0.0550163 Long DBT CORP US N 2 2025-02-01 Variable 6.125 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 ACI1W3KV1 1400000.000000 PA 1331876.140000 0.0578338 Long DBT CORP US N 2 2027-03-15 Fixed 0.25 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBU9 2500000.000000 PA USD 2247172.930000 0.0975786 Long DBT CORP US N 2 2032-04-15 Fixed 3.9 N N N N N N ERSTE GROUP BANK AG PQOH26KWDF7CG10L6792 BDRXT5II9 2200000.000000 PA 2327757.300000 0.1010778 Long DBT CORP AT N 2 2024-04-15 Floating 6.5 N N N N N N EUROSAIL PLC 2006-1X N/A G3299JAG0 7000000.000000 PA 7296526.600000 0.3168357 Long ABS-MBS CORP GB N 2 2044-06-10 Floating 3.936 N N N N N N EUROSAIL PLC 2007-NL2X N/A 919AJRII1 373511.880000 PA 408022.880000 0.0177175 Long ABS-MBS CORP NL N 2 2040-10-17 Floating 4.677 N N N N N N EXELA INTERMEDIATE LLC / EXELA FINANCE INC N/A 30162RAC5 944000.000000 PA USD 89680.000000 0.0038942 Long DBT CORP US N 2 2026-07-15 Fixed 11.5 N N N N N N EXPEDIA GROUP INC N/A 30212PAS4 484000.000000 PA USD 485840.960000 0.0210966 Long DBT CORP US N 2 2025-05-01 Fixed 6.25 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAA8 11661228.420000 PA USD 11444745.880000 0.4969630 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.274 N N N N N N EXTRA SPACE STORAGE LP 549300YNKSKNZFR8UC42 30225VAG2 1300000.000000 PA USD 1017501.330000 0.0441828 Long DBT CORP US N 2 2032-03-15 Fixed 2.35 N N N N N N FACTSET RESEARCH SYSTEMS INC 549300ZSJE7NBK6K9P30 303075AA3 1200000.000000 PA USD 1102264.570000 0.0478634 Long DBT CORP US N 2 2027-03-01 Fixed 2.9 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 000000000 7900000.000000 NS USD 7695469.000000 0.3341589 Long EP CORP US N 2 N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 303901BF8 2900000.000000 PA USD 2720446.010000 0.1181294 Long DBT CORP CA N 2 2030-04-29 Fixed 4.625 N N N N N N FANNIE MAE 2000-32 N/A 31358SNY3 786.350000 PA USD 785.190000 0.0000341 Long ABS-MBS USGSE US N 2 2030-10-18 Floating 5.59629 N N N N N N FANNIE MAE 2002-21 N/A 31392CRD8 276.180000 PA USD 277.950000 0.0000121 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 6.05043 N N N N N N FANNIE MAE 2002-33 N/A 31392DGT3 9093.860000 PA USD 9167.070000 0.0003981 Long ABS-MBS USGSE US N 2 2032-06-25 Fixed 7.5 N N N N N N FANNIE MAE 2002-34 N/A 31392CP32 12092.850000 PA USD 12106.130000 0.0005257 Long ABS-MBS USGSE US N 2 2032-04-18 Floating 5.69629 N N N N N N FANNIE MAE 2002-95 N/A 31392HGU1 25513.190000 PA USD 25973.150000 0.0011278 Long ABS-MBS USGSE US N 2 2033-01-25 Fixed 6 N N N N N N FANNIE MAE 2002-W12 N/A 31392GSN6 54816.320000 PA USD 51819.630000 0.0022502 Long ABS-O USGSE US N 2 2033-02-25 Variable 5.75 N N N N N N FANNIE MAE 2003-34 N/A 31393CEY5 7979.250000 PA USD 8005.910000 0.0003476 Long ABS-MBS USGSE US N 2 2043-04-25 Fixed 6 N N N N N N FANNIE MAE 2004-11 N/A 31393T7H3 8257.460000 PA USD 8236.330000 0.0003576 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 5.258 N N N N N N FANNIE MAE 2004-63 N/A 31394ANT9 1682.560000 PA USD 1654.310000 0.0000718 Long ABS-MBS USGSE US N 2 2034-08-25 Floating 5.288 N N N N N N FANNIE MAE 2005-5 N/A 31394B5A8 4444.760000 PA USD 4341.620000 0.0001885 Long ABS-MBS USGSE US N 2 2035-01-25 Fixed 5 N N N N N N FANNIE MAE 2006-118 N/A 31396L4T4 18075.620000 PA USD 17539.280000 0.0007616 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 6361.650000 PA USD 6224.160000 0.0002703 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 5.10337 N N N N N N FANNIE MAE 2006-5 N/A 31394VL73 5006.010000 PA USD 5093.520000 0.0002212 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 4.08199 N N N N N N FANNIE MAE 2007-9 N/A 31396PTW1 45795.620000 PA USD 44993.450000 0.0019537 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 5.50043 N N N N N N FANNIE MAE 2020-37 N/A 3136B9W45 7530597.100000 PA USD 1480989.820000 0.0643087 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 4 N N N N N N FANNIE MAE 2020-37 N/A 3136B97D3 8627826.530000 PA USD 320069.930000 0.0138983 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 0 N N N N N N FANNIE MAE REMICS 2011-144 N/A 3136A23W1 4684494.310000 PA USD 466592.030000 0.0202607 Long ABS-MBS USGSE US N 2 2042-01-25 Floating 1.34957 N N N N N N FANNIE MAE REMICS 2012-35 N/A 3136A5LP9 409270.300000 PA USD 2028.220000 0.0000881 Long ABS-MBS USGSE US N 2 2041-01-25 Floating 1.44957 N N N N N N FANNIE MAE REMICS 2014-78 N/A 3136ALQ46 4973066.890000 PA USD 959430.920000 0.0416612 Long ABS-MBS USGSE US N 2 2043-07-25 Floating 0 N N N N N N FANNIE MAE REMICS 2017-47 N/A 3136AWWU7 399746.960000 PA USD 47211.200000 0.0020500 Long ABS-MBS USGSE US N 2 2047-06-25 Floating 0.94957 N N N N N N FANNIE MAE REMICS 2017-87 N/A 3136AYZ97 556123.340000 PA USD 89667.990000 0.0038936 Long ABS-MBS USGSE US N 2 2041-06-25 Fixed 5 N N N N N N FANNIE MAE REMICS 2018-45 N/A 3136B2EP3 6897102.230000 PA USD 729589.270000 0.0316808 Long ABS-MBS USGSE US N 2 2048-06-25 Floating 1.04957 N N N N N N FANNIE MAE WHOLE LOAN 2001-W4 N/A 3139216U7 2442.720000 PA USD 2408.920000 0.0001046 Long ABS-O USGSE US N 2 2032-01-25 Variable 5.61 N N N N N N FANNIE MAE WHOLE LOAN 2007-W1 N/A 31395D7K9 5685830.720000 PA USD 117180.420000 0.0050883 Long ABS-MBS USGSE US N 2 2046-11-25 Variable 0.92464 N N N N N N FANNIE MAE-1993-202 N/A 31359FDB1 332.580000 PA USD 329.850000 0.0000143 Long ABS-MBS USGSE US N 2 2023-11-25 Floating 6.625 N N N N N N FANNIE MAE-2006-56 N/A 31395NWV5 8552.430000 PA USD 8647.380000 0.0003755 Long ABS-MBS USGSE US N 2 2036-07-25 Fixed 6 N N N N N N FANNIEMAE GRANTOR TRUST 2004-T3 N/A 31393YU52 7882.670000 PA USD 7819.940000 0.0003396 Long ABS-MBS USGSE US N 2 2044-02-25 Fixed 6 N N N N N N FANNIEMAE WHOLE LOAN 2001-W2 N/A 313920XZ8 11038.000000 PA USD 11004.280000 0.0004778 Long ABS-O USGSE US N 2 2031-10-25 Variable 6.589 N N N N N N FANNIEMAE WHOLE LOAN 2003-W-8 N/A 31393CW74 10584500.790000 PA USD 470864.220000 0.0204462 Long ABS-MBS USGSE US N 2 2042-12-25 Variable 1.59113 N N N N N N FANNIEMAE WHOLE LOAN 2003-W-8 N/A 31393CX40 934.910000 PA USD 926.490000 0.0000402 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 5.50043 N N N N N N FANNIEMAE WHOLE LOAN 2003-W17 N/A 31393UAK9 23013.760000 PA USD 23007.230000 0.0009990 Long ABS-MBS USGSE US N 2 2033-08-25 Fixed 5.75 N N N N N N FANNIEMAE WHOLE LOAN 2004-W12 N/A 31394A6Y7 33267.490000 PA USD 33091.880000 0.0014369 Long ABS-MBS USGSE US N 2 2044-07-25 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128JMN94 727.520000 PA USD 722.340000 0.0000314 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 4.021 N N N N N N FHLMC PASS THRU POOLS N/A 3128NC6C3 1756.340000 PA USD 1728.450000 0.0000751 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 3.981 N N N N N N FHLMC PASS THRU POOLS N/A 3128NHK36 2210.490000 PA USD 2204.210000 0.0000957 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 3.622 N N N N N N FHLMC PASS THRU POOLS N/A 31342AC31 764.970000 PA USD 737.940000 0.0000320 Long ABS-MBS USGSE US N 2 2032-12-01 Floating 4.348 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRLP9 6572.880000 PA USD 6471.450000 0.0002810 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 4.188 N N N N N N FHLMC PASS THRU POOLS N/A 3132WPND5 69400.670000 PA USD 66307.360000 0.0028793 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XT6P8 4374.000000 PA USD 4179.020000 0.0001815 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FHLMC STRUC PASS THRU SEC T-30 N/A 3133TQCA3 75260.070000 PA USD 71811.630000 0.0031183 Long ABS-MBS USGSE US N 2 2030-12-25 Variable 8.61 N N N N N N FHLMC STRUCTURED PASS THROUGH SECURITIES T-13 N/A 3133TGDA4 19551.010000 PA USD 19329.510000 0.0008393 Long ABS-MBS USGSE US N 2 2029-09-25 Variable 6.555 N N N N N N FHLMC STRUCTURED PASS THROUGH SECURITIES T-48 N/A 31392UZ56 1223.760000 PA USD 1154.170000 0.0000501 Long ABS-MBS USGSE US N 2 2033-07-25 Variable 4.39197 N N N N N N FHLMC STRUCTURED PASS THROUGH T-31 N/A 3133TR7B5 1600.470000 PA USD 1554.200000 0.0000675 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 7.002 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-57 N/A 31394JD95 26435.810000 PA USD 27613.750000 0.0011991 Long ABS-MBS USGSE US N 2 2043-07-25 Fixed 7 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-57 N/A 31394JDA2 10971.580000 PA USD 11660.710000 0.0005063 Long ABS-MBS USGSE US N 2 2043-07-25 Fixed 7.5 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-59 N/A 31394PPQ0 38833.710000 PA USD 39544.660000 0.0017171 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 6.5 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-59 N/A 31394PPS6 15306.030000 PA USD 16463.670000 0.0007149 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 7.5 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-60 N/A 31394XVF0 14934.000000 PA USD 15489.410000 0.0006726 Long ABS-MBS USGSE US N 2 2044-03-25 Fixed 7.5 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-61 N/A 31395A3J2 735175.230000 PA USD 683374.420000 0.0296740 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 5.3762 N N N N N N FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-3 N/A 316599AD1 1375387.550000 PA USD 800408.160000 0.0347560 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.458 N N N N N N FIRST FRANKLIN MTG LN ABS CERT 2004-FF3 N/A 36228FU61 280135.440000 PA USD 274495.330000 0.0119194 Long ABS-MBS CORP US N 2 2034-05-25 Floating 5.97543 N N N N N N FIRST FRANKLIN MTG LN ASST BKD 2005-FF2 N/A 36242DN66 1457921.790000 PA USD 1422225.740000 0.0617570 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.09543 N N N N N N FIRST FRANKLIN MTG LOAN 2004-FF10 N/A 32027NMJ7 231746.310000 PA USD 225475.860000 0.0097908 Long ABS-MBS CORP US N 2 2034-07-25 Floating 6.42543 N N N N N N FIRST HORIZON ALT MTGE SEC 2005-AA1 N/A 32051GGD1 18559.640000 PA USD 11612.050000 0.0005042 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.38551 Y N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA1 N/A 32051GV44 174266.980000 PA USD 146861.140000 0.0063771 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.22882 Y N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA3 N/A 320516AA5 225424.230000 PA USD 178047.770000 0.0077313 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.54945 Y N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 2005-AA11 N/A 32051GH65 2111941.340000 PA USD 1130741.630000 0.0491000 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.80221 Y N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR3 N/A 32051GQL2 78070.370000 PA USD 55779.970000 0.0024221 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 31362J4X0 119.510000 PA USD 118.310000 0.0000051 Long ABS-MBS USGSE US N 2 2027-03-01 Floating 4.75 N N N N N N FNMA PASS THRU POOLS N/A 31362M2N7 887.450000 PA USD 875.350000 0.0000380 Long ABS-MBS USGSE US N 2 2028-08-01 Floating 4.327 N N N N N N FNMA PASS THRU POOLS N/A 31374CL53 90272.050000 PA USD 94410.030000 0.0040995 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6.5 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 ACI07BWB4 4096.000000 NS 599325.880000 0.0260244 Long EP CORP GB N 2 N N N FNMA PASS THRU POOLS N/A 31374TYQ6 1718.070000 PA USD 1697.150000 0.0000737 Long ABS-MBS USGSE US N 2 2029-08-01 Floating 4.125 N N N N N N FNMA PASS THRU POOLS N/A 31384VWA6 9769.540000 PA USD 9603.520000 0.0004170 Long ABS-MBS USGSE US N 2 2039-09-01 Floating 4.324 N N N N N N FNMA PASS THRU POOLS N/A 31385HJE3 1952.760000 PA USD 1936.510000 0.0000841 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 31385HU59 1470.660000 PA USD 1442.380000 0.0000626 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 4.235 N N N N N N FNMA PASS THRU POOLS N/A 31388JK53 4702.350000 PA USD 4611.550000 0.0002002 Long ABS-MBS USGSE US N 2 2031-09-01 Floating 4.548 N N N N N N FNMA PASS THRU POOLS N/A 31402RHT9 6348.810000 PA USD 6157.610000 0.0002674 Long ABS-MBS USGSE US N 2 2042-08-01 Floating 5.177 N N N N N N FNMA PASS THRU POOLS N/A 31403DWH8 30645.310000 PA USD 32134.620000 0.0013954 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31404Q5M7 61304.520000 PA USD 59278.730000 0.0025740 Long ABS-MBS USGSE US N 2 2044-03-01 Floating 5.177 N N N N N N FNMA PASS THRU POOLS N/A 31405JE91 2660.010000 PA USD 2606.300000 0.0001132 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 3.951 N N N N N N FNMA PASS THRU POOLS N/A 31405U6G9 7947.830000 PA USD 7741.690000 0.0003362 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 3.621 N N N N N N FNMA PASS THRU POOLS N/A 31405YPX3 9998.990000 PA USD 9666.320000 0.0004197 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 31406BJJ0 5338.850000 PA USD 5202.440000 0.0002259 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 3.795 N N N N N N FNMA PASS THRU POOLS N/A 31406DAF3 3111.620000 PA USD 3007.700000 0.0001306 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 31406L3G1 33691.020000 PA USD 33402.060000 0.0014504 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 4.3 N N N N N N FNMA PASS THRU POOLS N/A 31407H6U5 19505.620000 PA USD 20123.770000 0.0008738 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31407JFM9 220258.480000 PA USD 232299.700000 0.0100871 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31407UMR5 64228.330000 PA USD 65618.080000 0.0028493 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 4.536 N N N N N N FNMA PASS THRU POOLS N/A 31409GEL6 68033.260000 PA USD 66540.200000 0.0028894 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 4.124 N N N N N N FNMA PASS THRU POOLS N/A 31409GLM6 15745.250000 PA USD 16240.790000 0.0007052 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31409URU1 24574.120000 PA USD 24021.250000 0.0010431 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 4 N N N N N N FNMA PASS THRU POOLS N/A 31409VJZ7 21149.800000 PA USD 21059.030000 0.0009144 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 5.138 N N N N N N FNMA PASS THRU POOLS N/A 31410C6C1 909.140000 PA USD 929.030000 0.0000403 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31410DDR8 20376.280000 PA USD 20824.100000 0.0009042 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31410EPA0 24512.000000 PA USD 25195.750000 0.0010941 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GGD9 2943.350000 PA USD 3066.090000 0.0001331 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GL27 5479.660000 PA USD 5616.200000 0.0002439 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31410LTW2 1625619.890000 PA USD 1512930.080000 0.0656957 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31410RGA1 1163.430000 PA USD 1196.790000 0.0000520 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31410S7J0 84839.680000 PA USD 88095.400000 0.0038253 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31411HNR7 16874.060000 PA USD 17612.860000 0.0007648 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31413UKC2 100536.170000 PA USD 103962.860000 0.0045144 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31413YRZ6 38406.630000 PA USD 40365.560000 0.0017528 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31415RJG0 632.530000 PA USD 646.610000 0.0000281 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WFUZ7 167351.860000 PA USD 156797.300000 0.0068086 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WFX84 105200.710000 PA USD 97907.760000 0.0042514 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WGA46 90234.320000 PA USD 83978.870000 0.0036466 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WGQR8 518470.910000 PA USD 482527.060000 0.0209527 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WGRY2 176578.740000 PA USD 164337.640000 0.0071360 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WGVR2 558315.370000 PA USD 519608.160000 0.0225628 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WHDW9 61383.760000 PA USD 57127.950000 0.0024807 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WLCK7 11392.800000 PA USD 10872.750000 0.0004721 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140E9S56 81719.180000 PA USD 76054.870000 0.0033025 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140EU4G1 48664.470000 PA USD 45290.650000 0.0019666 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140EW6F7 472182.960000 PA USD 439449.910000 0.0190821 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140F1EQ1 29678.520000 PA USD 27567.980000 0.0011971 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GQJ98 5269.700000 PA USD 5030.250000 0.0002184 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GQ3F1 28715.150000 PA USD 27404.380000 0.0011900 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GRAN4 242190.710000 PA USD 223671.820000 0.0097125 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GTQM5 574843.310000 PA USD 531916.380000 0.0230973 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GVJU0 13123.830000 PA USD 12524.750000 0.0005439 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140H1WH9 130517.420000 PA USD 120538.000000 0.0052341 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H2DC9 150500.310000 PA USD 138991.870000 0.0060354 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H2Z43 161740.650000 PA USD 149374.250000 0.0064862 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H3BU9 20882.990000 PA USD 19929.630000 0.0008654 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140H5LR0 131038.990000 PA USD 121019.490000 0.0052550 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5MU2 233328.810000 PA USD 218612.500000 0.0094928 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HFGF0 143261.450000 PA USD 132306.990000 0.0057451 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 9168.950000 PA USD 89149.720000 0.0038711 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140HKXX1 750632.030000 PA USD 695025.710000 0.0301800 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GM3 590091.080000 PA USD 563034.650000 0.0244485 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J7UF0 130438.300000 PA USD 120464.430000 0.0052309 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140J9MD0 9046451.280000 PA USD 8652232.350000 0.3757042 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q7EF0 171332.570000 PA USD 163511.450000 0.0071001 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140X6S77 74223751.760000 PA USD 65982316.000000 2.8651374 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418B2L9 89435.910000 PA USD 83235.440000 0.0036143 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CR89 31801.820000 PA USD 29419.320000 0.0012775 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CXM1 140828.000000 PA USD 130059.150000 0.0056475 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 3.5 N N N N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370DA5 1900000.000000 PA USD 1496448.360000 0.0649800 Long DBT CORP US N 2 2032-02-12 Fixed 3.25 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540UAC3 100000.000000 PA 107813.870000 0.0046816 Long DBT CORP US N 2 2024-03-06 Fixed 3.021 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI1989Q0 600000.000000 PA 724619.700000 0.0314650 Long DBT CORP US N 2 2025-03-06 Fixed 4.535 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A60 200000.000000 PA USD 194686.000000 0.0084538 Long DBT CORP US N 2 2025-06-16 Fixed 5.125 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397WW9 1428000.000000 PA USD 1381198.590000 0.0599755 Long DBT CORP US N 2 2024-09-08 Fixed 3.664 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B28 2500000.000000 PA USD 2327011.000000 0.1010454 Long DBT CORP US N 2 2025-11-13 Fixed 3.375 N N N N N N FRAPORT AG FRANKFURT AIRPORT SERVICES WORLDWIDE 5299001ERX0K10IZUL40 ACI1NPQ46 300000.000000 PA 300672.730000 0.0130561 Long DBT CORP DE N 2 2027-07-09 Fixed 2.125 N N N N N N FREDDIE MAC 2246 N/A 3133TPLV9 4692.650000 PA USD 4901.300000 0.0002128 Long ABS-MBS USGSE US N 2 2030-08-15 Fixed 7.5 N N N N N N FREDDIE MAC 2400 N/A 31339NC79 1316.490000 PA USD 1317.450000 0.0000572 Long ABS-MBS USGSE US N 2 2032-01-15 Floating 5.69329 N N N N N N FREDDIE MAC 2411 N/A 31339D4L9 17888.760000 PA USD 17825.110000 0.0007740 Long ABS-MBS USGSE US N 2 2029-12-15 Floating 5.54329 N N N N N N FREDDIE MAC 4820 N/A 3137FHJ20 301398.970000 PA USD 61241.710000 0.0026593 Long ABS-MBS USGSE US N 2 2048-02-15 Fixed 5 N N N N N N FREDDIE MAC REMICS 3622 N/A 31398LXT0 23786.270000 PA USD 23813.540000 0.0010341 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5.5 N N N N N N ROYAL CARIBBEAN CRUISES LTD K2NEH8QNVW44JIWK7Z55 000000000 4713.000000 NS USD 488926.620000 0.0212306 Long EC CORP LR N 1 N N N FREDDIE MAC REMICS 4923 N/A 3137FPZ32 5000052.500000 PA USD 597345.270000 0.0259384 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 0.84957 N N N N N N FREDDIE MAC REMICS 4923 N/A 3137FPZ73 15534017.730000 PA USD 1835645.550000 0.0797089 Long ABS-MBS USGSE US N 2 2048-04-25 Floating 0.84957 N N N N N N FREDDIE MAC REMICS 4989 N/A 3137FUKP8 557538.130000 PA USD 538557.800000 0.0233857 Long ABS-MBS USGSE US N 2 2040-08-15 Floating 4.18899 N N N N N N FREDDIE MAC REMICS 5058 N/A 3137F8DW0 5296005.190000 PA USD 488042.770000 0.0211922 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2 N N N N N N FREDDIE MAC REMICS 5072 N/A 3137F96T3 15661283.500000 PA USD 743910.970000 0.0323027 Long ABS-MBS USGSE US N 2 2036-02-25 Fixed 1.5 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XUV0 3127894.250000 PA USD 556060.020000 0.0241457 Long ABS-MBS USGSE US N 2 2049-06-15 Fixed 3.5 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XWE6 5325415.940000 PA USD 1000081.050000 0.0434263 Long ABS-MBS USGSE US N 2 2049-06-15 Fixed 4 N N N N N N FREDDIE MAC-2980 N/A 31395UEG2 53810.840000 PA USD 55306.460000 0.0024016 Long ABS-MBS USGSE US N 2 2035-05-15 Fixed 6 N N N N N N FREDDIEMAC STRIP-362 N/A 31325W4P4 3594988.120000 PA USD 581575.360000 0.0252536 Long ABS-MBS USGSE US N 2 2047-12-15 Fixed 3 N N N N N N FREDDIEMAC STRIP-362 N/A 31325W4R0 3482182.900000 PA USD 570215.700000 0.0247604 Long ABS-MBS USGSE US N 2 2047-12-15 Fixed 3.5 N N N N N N FREMONT HOME LOAN TRUST 2004-B N/A 35729PDQ0 2816750.100000 PA USD 2604903.170000 0.1131122 Long ABS-MBS CORP US N 2 2034-05-25 Floating 6.02043 N N N N N N FREMONT HOME LOAN TRUST 2006-3 N/A 35729MAE7 3521386.030000 PA USD 1216972.350000 0.0528444 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.63043 N N N N N N FREMONT HOME LOAN TRUST 2006-A N/A 35729RAF3 8578693.430000 PA USD 5072204.820000 0.2202494 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.65043 N N N N N N FREMONT HOME LOAN TRUST 2006-D N/A 35729VAC1 4895101.610000 PA USD 1777110.840000 0.0771671 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.28043 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAD7 1389278.540000 PA USD 642549.100000 0.0279013 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.30043 N N N N N N FRONTIER COMMUNICATIONS HOLDINGS LLC N/A 35908MAD2 4000000.000000 PA USD 3913095.200000 0.1699176 Long DBT CORP US N 2 2030-05-15 Fixed 8.75 N N N N N N GE-WMC MORTGAGE SECURITIES LLC 2006-1 N/A 36829JAB7 2365882.060000 PA USD 1035497.370000 0.0449642 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.45043 N N N N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 370334CC6 400000.000000 PA USD 400845.540000 0.0174058 Long DBT CORP US N 2 2023-10-17 Floating 6.27029 N N N N N N GEORGIA POWER COMPANY D981X4Z4RWS7PDMJUZ03 373334KQ3 6900000.000000 PA USD 6675879.930000 0.2898854 Long DBT CORP US N 2 2032-05-15 Fixed 4.7 N N N N N N GNMA PASS THRU POOLS N/A 36202DGE5 5530.700000 PA USD 5757.040000 0.0002500 Long ABS-MBS USGSE US N 2 2030-03-20 Fixed 8 N N N N N N GNMA PASS THRU POOLS N/A 36202DGT2 236.350000 PA USD 240.350000 0.0000104 Long ABS-MBS USGSE US N 2 2030-04-20 Fixed 8.5 N N N N N N GNMA PASS THRU POOLS N/A 36202DHY0 287.420000 PA USD 295.820000 0.0000128 Long ABS-MBS USGSE US N 2 2030-07-20 Fixed 8.5 N N N N N N GNMA PASS THRU POOLS N/A 36202ETV1 12231.340000 PA USD 12330.420000 0.0005354 Long ABS-MBS USGSE US N 2 2038-06-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202KFV2 24.740000 PA USD 24.650000 0.0000011 Long ABS-MBS USGSE US N 2 2023-09-20 Floating 2.625 N N N N N N GNMA PASS THRU POOLS N/A 36202KJQ9 303.510000 PA USD 302.240000 0.0000131 Long ABS-MBS USGSE US N 2 2024-02-20 Floating 3.625 N N N N N N GNMA PASS THRU POOLS N/A 36202KTE5 206.310000 PA USD 201.010000 0.0000087 Long ABS-MBS USGSE US N 2 2025-07-20 Floating 2.625 N N N N N N GNMA PASS THRU POOLS N/A 36202KXJ9 5163.410000 PA USD 5013.720000 0.0002177 Long ABS-MBS USGSE US N 2 2026-01-20 Floating 3.625 N N N N N N GNMA PASS THRU POOLS N/A 36202K4M4 451.190000 PA USD 438.450000 0.0000190 Long ABS-MBS USGSE US N 2 2026-07-20 Floating 3 N N N N N N GNMA PASS THRU POOLS N/A 36202K5U5 584.130000 PA USD 566.630000 0.0000246 Long ABS-MBS USGSE US N 2 2026-08-20 Floating 3 N N N N N N GNMA PASS THRU POOLS N/A 36202K6U4 2711.980000 PA USD 2636.720000 0.0001145 Long ABS-MBS USGSE US N 2 2026-09-20 Floating 3 N N N N N N GNMA PASS THRU POOLS N/A 36225CA89 12140.210000 PA USD 11617.760000 0.0005045 Long ABS-MBS USGSE US N 2 2027-01-20 Floating 3.625 N N N N N N GNMA PASS THRU POOLS N/A 36225CBA3 645.730000 PA USD 621.000000 0.0000270 Long ABS-MBS USGSE US N 2 2027-01-20 Floating 3.625 N N N N N N GNMA PASS THRU POOLS N/A 36225CDZ6 8627.040000 PA USD 8360.200000 0.0003630 Long ABS-MBS USGSE US N 2 2027-10-20 Floating 2.75 N N N N N N GNMA PASS THRU POOLS N/A 36225CD60 437.150000 PA USD 416.830000 0.0000181 Long ABS-MBS USGSE US N 2 2027-10-20 Floating 3 N N N N N N GNMA PASS THRU POOLS N/A 36225CLM6 478.220000 PA USD 453.220000 0.0000197 Long ABS-MBS USGSE US N 2 2029-10-20 Floating 2.75 N N N N N N GNMA PASS THRU POOLS N/A 36225CNM4 4486.860000 PA USD 4356.040000 0.0001892 Long ABS-MBS USGSE US N 2 2030-04-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CPL4 6534.670000 PA USD 6274.750000 0.0002725 Long ABS-MBS USGSE US N 2 2030-07-20 Floating 2.625 N N N N N N GNMA PASS THRU POOLS N/A 21H022689 4400000.000000 PA USD 3813562.540000 0.1655956 Long ABS-MBS USGSE US N 2 2053-08-21 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36210B4E2 141878.350000 PA USD 142556.570000 0.0061902 Long ABS-MBS USGSE US N 2 2039-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36211RSK6 11998.550000 PA USD 12249.160000 0.0005319 Long ABS-MBS USGSE US N 2 2035-03-15 Fixed 5.5 N N N N N N STICHTING AK RABOBANK CERTIFICATEN N/A BJBQCWII7 3571675.000000 NS 3623645.250000 0.1573489 Long EP CORP NL N 2 N N N GNMA PASS THRU POOLS N/A 36200TSX7 28180.610000 PA USD 28331.450000 0.0012302 Long ABS-MBS USGSE US N 2 2034-10-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36296JMU6 306312.040000 PA USD 306435.330000 0.0133063 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296QRY7 56973.450000 PA USD 57230.080000 0.0024851 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122ND41 2500000.000000 PA USD 2045308.750000 0.0888130 Long DBT MUN US N 2 2036-06-01 Fixed 3.487 N N N N N N GOLDENTREE LOAN MANAGEMENT US CLO 2 LTD 2017-2A N/A 38136MAU2 7700000.000000 PA USD 7654804.850000 0.3323931 Long ABS-CBDO CORP KY N 2 2030-11-20 Floating 6.16043 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZK3 4100000.000000 PA USD 3723254.570000 0.1616742 Long DBT CORP US N 2 2028-02-24 Floating 2.64 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZP2 2100000.000000 PA USD 2056060.420000 0.0892799 Long DBT CORP US N 2 2024-03-15 Fixed 3 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZR8 4600000.000000 PA USD 4319719.880000 0.1875744 Long DBT CORP US N 2 2028-03-15 Floating 3.615 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWL4 16100000.000000 PA USD 15137145.620000 0.6572974 Long DBT CORP US N 2 2028-06-05 Floating 3.691 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-110 N/A 38381YWG5 12339385.070000 PA USD 1175520.160000 0.0510444 Long ABS-MBS USGSE US N 2 2049-09-20 Floating 0.89343 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-99 N/A 38381XTJ5 2242664.960000 PA USD 109349.650000 0.0047483 Long ABS-MBS USGSE US N 2 2049-08-20 Floating 0.89343 N N N N N N GOVT NATL MORTGAGE ASSOC SERIES 2007-30 N/A 38375J3R4 238275.520000 PA USD 236683.510000 0.0102775 Long ABS-MBS USGSE US N 2 2037-05-20 Floating 5.44629 N N N N N N GREENPOINT MRGT PASS THRU CER 2003-1 N/A 395387AA1 6877.120000 PA USD 6357.580000 0.0002761 Long ABS-MBS CORP US N 3 2033-10-25 Floating 4.72495 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR1 N/A 39538RAB5 5555.450000 PA USD 5180.300000 0.0002249 Long ABS-MBS CORP US N 2 2045-06-25 Floating 5.59043 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR5 N/A 39538WEA2 34419.490000 PA USD 30371.430000 0.0013188 Long ABS-MBS CORP US N 2 2045-11-25 Floating 5.69043 N N N N N N GRIFONAS FINANCE NO.1 PLC GRIF-1 N/A B1DFQWII3 353499.180000 PA 367362.200000 0.0159519 Long ABS-MBS CORP GB N 2 2039-08-28 Floating 3.513 N N N N N N GSAA HOME EQUITY TRUST 2005-12 N/A 362341TK5 81035.300000 PA USD 71180.020000 0.0030908 Long ABS-MBS CORP US N 3 2035-09-25 Variable 4.999 N N N N N N GSAA HOME EQUITY TRUST 2007-7 N/A 36249BAE0 31411890.100000 PA USD 16756123.070000 0.7275979 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.71043 N N N N N N GSAA HOME EQUITY TRUST 2007-8 N/A 38144RAC1 117138.700000 PA USD 113244.540000 0.0049174 Long ABS-MBS CORP US N 2 2037-08-25 Floating 6.05043 N N N N N N GSAMP TRUST 2004-OPT N/A 36242DNU3 838169.250000 PA USD 790441.550000 0.0343232 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.02043 N N N N N N GSAMP TRUST 2006-FM1 N/A 362334PK4 2181131.620000 PA USD 1373144.060000 0.0596258 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.69043 N N N N N N GSAMP TRUST 2006-FM2 N/A 36245DAD2 1435193.850000 PA USD 522518.630000 0.0226892 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.45043 N N N N N N GSAMP TRUST 2006-HE6 N/A 36245AAD8 743770.090000 PA USD 589433.410000 0.0255949 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.63043 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAB4 1022207.350000 PA USD 514948.500000 0.0223605 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.20043 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAC2 3730434.020000 PA USD 1879227.400000 0.0816013 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.25043 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAD0 2400180.260000 PA USD 1209091.050000 0.0525021 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.30043 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAE8 461573.130000 PA USD 232513.400000 0.0100964 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.38043 N N N N N N GSMPS MORTGAGE LOAN TRUST 2005-RP2 N/A 36242DT52 31890.500000 PA USD 27899.100000 0.0012115 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.50043 N N N N N N GSR MORTGAGE LOAN TRUST 2003-1 N/A 36229RJJ9 2079.650000 PA USD 1994.840000 0.0000866 Long ABS-MBS CORP US N 3 2033-03-25 Floating 6.78 N N N N N N GSR MORTGAGE LOAN TRUST 2006-1F N/A 3623417Z6 1123339.070000 PA USD 510268.570000 0.0221573 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 6 Y N N N N N GSR MORTGAGE LOAN TRUST 2006-3F N/A 362334JR6 138387.350000 PA USD 126473.830000 0.0054918 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 5.75 Y N N N N N GSR MORTGAGE LOAN TRUST 2006-8F N/A 362611AA3 323928.570000 PA USD 161076.170000 0.0069944 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.5 Y N N N N N GSR MORTGAGE LOAN TRUST 2007-1F N/A 3622MPAT5 332889.270000 PA USD 206653.160000 0.0089735 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 5.75 Y N N N N N GSR MORTGAGE LOAN TRUST 2007-2F N/A 362636AT9 670491.090000 PA USD 380227.120000 0.0165105 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N GSR MORTGAGE LOAN TRUST 2007-3F N/A 3622MWAN3 210189.770000 PA USD 153261.190000 0.0066550 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6 Y N N N N N GSR MTGE LOAN TRUST 2004-7 N/A 36228F4R4 29771.190000 PA USD 26118.450000 0.0011341 Long ABS-MBS CORP US N 3 2034-06-25 Floating 4.48539 N N N N N N HALEON UK CAPITAL PLC 5493004B26DRJNN0OV17 36264NAB0 3000000.000000 PA USD 2867787.690000 0.1245274 Long DBT CORP GB N 2 2025-03-24 Fixed 3.125 N N N N N N HALEON US CAPITAL LLC 549300N8C3A3L0UVQB07 36264FAK7 3000000.000000 PA USD 2809239.210000 0.1219851 Long DBT CORP US N 2 2027-03-24 Fixed 3.375 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2004-8 N/A 41161PHB2 274775.120000 PA USD 233827.010000 0.0101534 Long ABS-MBS CORP US N 2 2034-11-19 Floating 5.97657 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-10 N/A 41161PTN3 284066.450000 PA USD 204800.830000 0.0088930 Long ABS-MBS CORP US N 2 2035-11-19 Floating 5.77657 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-13 N/A 41161PWB5 622521.010000 PA USD 324639.420000 0.0140968 Long ABS-MBS CORP US N 2 2036-02-19 Floating 5.71657 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-3 N/A 41161PMG5 19692.030000 PA USD 18800.660000 0.0008164 Long ABS-MBS CORP US N 2 2035-06-19 Floating 5.63657 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-7 N/A 41161PPN7 2455929.100000 PA USD 1255827.310000 0.0545315 Long ABS-MBS CORP US N 2 2045-06-19 Floating 4.423 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-10 N/A 41162CAC5 88423.520000 PA USD 78315.480000 0.0034007 Long ABS-MBS CORP US N 2 2036-11-19 Floating 5.33657 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-13 N/A 41162KAA1 23242.960000 PA USD 17133.320000 0.0007440 Long ABS-MBS CORP US N 2 2046-11-19 Floating 5.33657 Y N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2004-1 N/A 41161PCY7 3357.580000 PA USD 3011.990000 0.0001308 Long ABS-MBS CORP US N 3 2034-04-19 Floating 4.55342 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-12 N/A 41161PVK6 378144.430000 PA USD 252970.530000 0.0109847 Long ABS-MBS CORP US N 2 2035-10-19 Floating 6.65657 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A 41161PYZ0 902453.830000 PA USD 559401.890000 0.0242908 Long ABS-MBS CORP US N 2 2036-01-19 Floating 5.65657 Y N N N N N HERTZ CORP 549300PD0C69OJ0NLB27 42804VBB6 2821428.390000 PA USD 2820384.460000 0.1224690 Long LON CORP US N 2 2028-06-30 Floating 8.467 N N N N N N HILTON DOMESTIC OPERATING COMPANY INC 5493003EG7H0N1E4XV50 432833AJ0 6500000.000000 PA USD 5775331.250000 0.2507811 Long DBT CORP US N 2 2029-05-01 Fixed 3.75 N N N N N N HOME EQUITY LOAN TRUST 2007-FRE1 N/A 43710XAE8 3000000.000000 PA USD 2476899.900000 0.1075539 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.49043 N N N N N N HOME EQUITY MTGE TRUST 2006-2 N/A 225470W25 138279.810000 PA USD 15971.720000 0.0006935 Long ABS-MBS CORP US N 3 2036-07-25 Variable 5.8672 Y N N N N N HOMEBANC MORTGAGE TRUST 2006-1 N/A 43739ECR6 4442655.120000 PA USD 3887463.620000 0.1688046 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.91211 Y N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CN7 2800000.000000 PA USD 2138500.000000 0.0928597 Long DBT CORP GB N 2 2030-12-17 Floating 4.6 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 BFM4XMII1 6200000.000000 PA 6885612.430000 0.2989926 Long DBT CORP GB N 2 2026-09-28 Floating 5.875 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DV8 3600000.000000 PA USD 3692203.450000 0.1603258 Long DBT CORP GB N 2 2034-03-09 Floating 6.254 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BT5 5600000.000000 PA USD 5275330.980000 0.2290697 Long DBT CORP GB N 2 2029-06-19 Floating 4.583 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CY3 5700000.000000 PA USD 4599859.300000 0.1997388 Long DBT CORP GB N 2 2032-11-22 Floating 2.871 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAD0 3468440.270000 PA USD 942139.020000 0.0409103 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.37043 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAE8 1003120.740000 PA USD 269774.480000 0.0117144 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.49043 N N N N N N HSI ASSET SEC CORP TRUST 2006-HE2 N/A 44328BAF5 7423093.480000 PA USD 2004610.850000 0.0870458 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.59043 N N N N N N HSI ASSET SECUR CORP TRUST 2007-HE1 N/A 40430FAD4 1434105.860000 PA USD 991796.640000 0.0430666 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.34043 N N N N N N HUARONG FINANCE 2017 CO LTD 5493006V07LYI3HE6G83 G463PSAE4 2400000.000000 PA USD 2078628.430000 0.0902599 Long DBT CORP VG N 2 2027-04-27 Fixed 4.75 N N N N N N HUARONG FINANCE 2017 CO LTD 5493006V07LYI3HE6G83 ACI0YNJ23 1300000.000000 PA USD 1083836.290000 0.0470632 Long DBT CORP VG N 2 2027-11-07 Fixed 4.25 N N N N N N HUARONG FINANCE 2017 CO LTD 5493006V07LYI3HE6G83 ACI0YNJJ6 2800000.000000 PA USD 1867573.820000 0.0810953 Long DBT CORP VG N 2 2047-11-07 Fixed 4.95 N N N N N N HUARONG FINANCE 2019 CO LTD 549300M6T6OW4AGYHK10 ACI1C6PX7 2100000.000000 PA USD 1685271.500000 0.0731792 Long DBT CORP VG N 2 2029-05-29 Fixed 4.5 N N N N N N HUARONG FINANCE 2019 CO LTD 549300M6T6OW4AGYHK10 ACI1RSZZ7 1800000.000000 PA USD 1367230.360000 0.0593690 Long DBT CORP VG N 2 2030-09-30 Fixed 3.625 N N N N N N HUARONG FINANCE 2019 CO LTD 549300M6T6OW4AGYHK10 ACI1GS152 400000.000000 PA USD 308884.280000 0.0134126 Long DBT CORP VG N 2 2029-11-13 Fixed 3.875 N N N N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 ACI2H2S32 9541000000.000000 PA 27891034.320000 1.2111070 Long DBT MUN HU N 2 2023-07-06 None 0 N N N N N N URBI DESARROLLOS URBANOS SA DE CV (AKA: URBIMM) N/A B0126X906 477.000000 NS 200.640000 0.0000087 Long EC CORP MX N 1 N N N HYATT HOTELS CORPORATION T27JQIMTYSH41TCD5186 448579AN2 1300000.000000 PA USD 1237840.680000 0.0537505 Long DBT CORP US N 2 2024-10-01 Fixed 1.8 N N N N N N HYUNDAI CAPITAL SERVICES 549300MALMDAGL2ZJJ27 44920UAQ1 2600000.000000 PA USD 2572465.140000 0.1117037 Long DBT CORP KR N 2 2023-09-15 Fixed 0.75 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 452152GS4 1021428.570000 PA USD 1101893.950000 0.0478473 Long DBT MUN US N 2 2035-07-01 Fixed 7.35 N N N N N N IMPAC CMB TRUST 2004-11 N/A 45254NMB0 47979.910000 PA USD 43687.000000 0.0018970 Long ABS-MBS CORP US N 3 2035-03-25 Floating 5.81043 N N N N N N IMPAC FUNDING LLC 2010-1 N/A 45257HAA5 126009.570000 PA USD 122026.950000 0.0052988 Long ABS-MBS CORP US N 2 2051-01-25 Fixed 5.314 N N N N N N IMPAC SECURED ASSETS CORP 2006-1 N/A 45254TTN4 33597.170000 PA USD 28789.280000 0.0012501 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.85043 N N N N N N INDYMAC IMSC MTGE LN TRUST 2007-AR1 N/A 456672AC8 479904.090000 PA USD 333258.930000 0.0144710 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.74721 Y N N N N N INDYMAC INDA MORTGAGE LOAN TR 2005-AR2 N/A 45660LY86 373911.770000 PA USD 347308.320000 0.0150811 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.32396 N N N N N N INDYMAC INDA MTGE LOAN TRUST 2006-AR3 N/A 45662FAA8 19018.190000 PA USD 16237.720000 0.0007051 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.67657 Y N N N N N INDYMAC INDEX MORTGAGE LOAN TRUST 2007-FLX2 N/A 45668RAA6 262457.840000 PA USD 227920.200000 0.0098969 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.31043 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR31 N/A 45660LV97 206941.070000 PA USD 178261.310000 0.0077406 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.35861 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR11 N/A 45661KAD2 501731.210000 PA USD 432537.110000 0.0187820 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.71677 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 17747.870000 PA USD 15349.420000 0.0006665 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.53043 N N N N N N INDYMAC INDX MTGE LOAN TR 2004-AR6 N/A 45660NX83 662366.050000 PA USD 629507.330000 0.0273350 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 192566.210000 PA USD 182865.730000 0.0079405 Long ABS-MBS CORP US N 2 2034-12-25 Floating 3.91643 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR14 N/A 45668GAD4 267422.320000 PA USD 241366.320000 0.0104808 Long ABS-MBS CORP US N 2 2046-11-25 Floating 5.55043 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2007-FLX1 N/A 45668WAC1 1198987.480000 PA USD 769087.400000 0.0333959 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.65043 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAD8 1842009.220000 PA USD 1202232.630000 0.0522043 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.39043 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-B N/A 43710EAD2 2640023.310000 PA USD 1414716.680000 0.0614310 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.31043 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-B N/A 43710EAE0 2723703.060000 PA USD 1461657.820000 0.0634693 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.35043 N N N N N N INEOS STYROLUTION GROUP GMBH 5299003M4PGUGL48LS74 ACI1J9953 3800000.000000 PA 3563119.390000 0.1547206 Long DBT CORP DE N 2 2027-01-16 Fixed 2.25 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837BB8 3500000.000000 PA USD 3287245.360000 0.1427414 Long DBT CORP NL N 2 2028-03-28 Floating 4.017 N N N N N N ING INVESTMENT MANAGEMENT CLO LTD 2012-4A N/A 92916GBE3 2610061.320000 PA USD 2591471.890000 0.1125290 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.24793 N N N N N N INTELSAT JACKSON HOLDINGS SA 8XJ8KF85PBKK1TLMFN29 45824TBC8 1617000.000000 PA USD 1476089.610000 0.0640960 Long DBT CORP LU N 2 2030-03-15 Fixed 6.5 N N N N N N INTELSAT JACKSON HOLDINGS SA 8XJ8KF85PBKK1TLMFN29 L5137LAQ8 399411.250000 PA USD 398304.880000 0.0172955 Long LON CORP LU N 2 2029-02-01 Floating 9.4435 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 ACI0RSP49 1700000.000000 PA 1796606.800000 0.0780137 Long DBT CORP IT N 2 2027-01-11 Floating 7.75 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HBJ5 5800000.000000 PA USD 5566307.040000 0.2417047 Long DBT CORP IT N 2 2024-09-23 Fixed 3.25 N N N N N N IXIS REAL ESTATE CAPITAL TRUST 2006-HE3 N/A 46602UAD0 3803887.160000 PA USD 1382832.420000 0.0600465 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.61043 N N N N N N JETBLUE 2020-1 CLASS A PASS THROUGH TRUST N/A 477164AA5 418203.780000 PA USD 381961.530000 0.0165858 Long DBT CORP US N 2 2034-05-15 Fixed 4 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746TD3 400000.000000 NS USD 352180.000000 0.0152926 Long EP CORP US N 2 N N N JFIN CLO LTD 2017-2A N/A 46593CAA7 4472626.380000 PA USD 4444991.940000 0.1930140 Long ABS-CBDO CORP KY N 2 2029-09-20 Floating 6.5 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A6 N/A 466285AK9 1160.970000 PA USD 521.490000 0.0000226 Long ABS-MBS CORP US N 3 2036-11-25 Floating 5.5 Y N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746804 3500.000000 NS USD 4032000.000000 0.1750808 Long EP CORP US N 1 N N N JP MORGAN ALTERNATIVE LN TRUST 2006-S3 N/A 46628VAG1 806072.410000 PA USD 749837.330000 0.0325600 Long ABS-MBS CORP US N 2 2036-08-25 Variable 6.81 Y N N N N N JP MORGAN ALTERNATIVE LN TRUST 2007-A1 N/A 466287AA7 488128.840000 PA USD 487254.020000 0.0211579 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.43043 Y N N N N N JP MORGAN ALTERNATIVE LN TRUST 2007-A2 N/A 466278AA6 4095297.270000 PA USD 2234100.970000 0.0970109 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.51043 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2007-A2 N/A 466278AR9 696568.280000 PA USD 633767.220000 0.0275200 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.41381 Y N N N N N JP MORGAN ALTERNATIVE LN TRUST 2008-R4 N/A 466309AC5 198533.990000 PA USD 143888.160000 0.0062480 Long ABS-MBS CORP US N 2 2037-06-27 Floating 5.66 N N N N N N JP MORGAN ALTERNATIVE LOAN TRUST 2008-R3 N/A 466308AE3 2728708.830000 PA USD 2061921.810000 0.0895344 Long ABS-MBS CORP US N 2 2037-05-26 Variable 5.84288 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCU8 6900000.000000 PA USD 5814948.850000 0.2525014 Long DBT CORP US N 2 2033-01-25 Floating 2.963 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCW4 8200000.000000 PA USD 7535104.390000 0.3271954 Long DBT CORP US N 2 2028-02-24 Floating 2.947 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAH9 4000000.000000 PA USD 3921892.200000 0.1702996 Long DBT CORP US N 2 2025-03-01 Floating 3.22 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAR7 500000.000000 PA USD 471240.350000 0.0204626 Long DBT CORP US N 2 2029-04-23 Floating 4.005 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 1600000.000000 NS USD 1463344.000000 0.0635425 Long EP CORP US N 2 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FQ2 3900000.000000 NS USD 3490383.000000 0.1515622 Long EP CORP US N 2 N N N JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2 N/A 46628TAD3 1293908.020000 PA USD 579166.430000 0.0251490 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.45043 N N N N N N JP MORGAN MORTGAGE TRUST 2003-A2 N/A 466247AZ6 4132.730000 PA USD 3771.160000 0.0001638 Long ABS-MBS CORP US N 3 2033-11-25 Floating 3.85387 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A8 N/A 466247YH0 167172.670000 PA USD 137238.180000 0.0059593 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.92054 Y N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZN6 409272.120000 PA USD 226137.830000 0.0098195 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 6.5 Y N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 744908.550000 PA USD 368069.070000 0.0159826 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 Y N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZR7 31894.820000 PA USD 15365.650000 0.0006672 Long ABS-MBS CORP US N 3 2036-01-25 Fixed 5.75 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A2 N/A 466247J95 97679.180000 PA USD 82940.030000 0.0036015 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.17199 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-S2 N/A 46628YBF6 1292681.720000 PA USD 500006.320000 0.0217117 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6.25 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-S3 N/A 46629AAN1 1434326.200000 PA USD 519317.880000 0.0225502 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.5 Y N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAJ4 10971.410000 PA USD 10315.560000 0.0004479 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.18611 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A2 N/A 46630PAG0 18957.610000 PA USD 13658.810000 0.0005931 Long ABS-MBS CORP US N 3 2037-04-25 Floating 4.20125 Y N N N N N JP MORGAN MORTGAGE TRUST 2007-S3 N/A 46631NDZ9 9720.150000 PA USD 5148.830000 0.0002236 Long ABS-MBS CORP US N 3 2037-08-25 Fixed 6 Y N N N N N JP MORGAN MORTGAGE TRUST-2004-A2 N/A 466247CL5 41665.720000 PA USD 37434.710000 0.0016255 Long ABS-MBS CORP US N 3 2034-05-25 Floating 3.9873 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-WF1 N/A 46628SAF0 1305780.360000 PA USD 355790.810000 0.0154494 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.47043 Y N N N N N JP MORGAN MTGE ACQUIS CORP 2006-WF1 N/A 46628SAG8 1039308.410000 PA USD 305654.990000 0.0132724 Long ABS-MBS CORP US N 2 2036-07-25 Variable 6.63 Y N N N N N KKR CLO 9 LTD N/A 48250LAW9 4655988.030000 PA USD 4619821.620000 0.2006056 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 6.21029 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAL0 73000.000000 PA USD 71972.190000 0.0031252 Long DBT CORP US N 2 2035-07-15 Fixed 5 N N N N N N LCM XV LP 15A N/A 50184NAR3 3923920.390000 PA USD 3897753.300000 0.1692514 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 6.25043 N N N N N N LEHMAN XS TRUST 2006-12N N/A 525226AJ5 1076636.150000 PA USD 987849.840000 0.0428952 Long ABS-MBS CORP US N 2 2046-08-25 Floating 5.55043 N N N N N N LEHMAN XS TRUST 2006-4N N/A 525221KM8 217524.550000 PA USD 282765.140000 0.0122785 Long ABS-MBS CORP US N 2 2046-04-25 Floating 5.61043 Y N N N N N LEHMAN XS TRUST 2006-9 N/A 52523DAC4 23906863.270000 PA USD 21353191.900000 0.9272155 Long ABS-MBS CORP US N 2 2046-05-25 Floating 5.67043 Y N N N N N LIFEPOINT HEALTH INC 549300G8ZVHRTBBBSZ90 75915TAD4 5618297.980000 PA USD 5217235.780000 0.2265470 Long LON CORP US N 2 2025-11-16 Floating 9.0227 N N N N N N 522 FUNDING CLO I LTD 2018-3A N/A 33835NAA9 3700000.000000 PA USD 3649790.520000 0.1584842 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 1000000.000000 PA 997548.070000 0.0433163 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 LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAS2 1900000.000000 PA USD 1756408.200000 0.0762682 Long DBT CORP GB N 2 2028-03-18 Floating 3.75 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI1L9H77 2400000.000000 PA 2562752.970000 0.1112819 Long DBT CORP GB N 2 2026-04-01 Floating 3.5 N N N N N N LOAN TO LEARN EDUCATION LOAN TRUST 2006-1A N/A 50246NAC2 1360913.940000 PA USD 1359850.660000 0.0590485 Long ABS-O CORP US N 2 2031-06-15 Floating 5.53329 N N N N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RM8 1520589.680000 PA USD 1250672.700000 0.0543077 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.75043 N N N N N N AADVANTAGE LOYALTY IP LTD N/A 02376CBJ3 6000000.000000 PA USD 6136080.000000 0.2664458 Long LON CORP KY N 2 2028-04-20 Floating 10.0004 N N N N N N LONG BEACH MTGE LOAN TRUST 2002-2 N/A 542514CK8 72125.270000 PA USD 68855.580000 0.0029899 Long ABS-MBS CORP US N 3 2032-07-25 Floating 5.78525 Y N N N N N MAGNETITE XVIII LTD 2016-18A N/A 55953TAS6 8894269.500000 PA USD 8837903.760000 0.3837666 Long ABS-CBDO CORP KY N 2 2028-11-15 Floating 6.20071 N N N N N N MARBLE POINT CLO X LTD 2017-1A N/A 566061AL1 4519796.820000 PA USD 4489424.920000 0.1949434 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.30029 N N N N N N MARRIOTT INTERNATIONAL INC 225YDZ14ZO8E1TXUSU86 571903BH5 1700000.000000 PA USD 1352420.670000 0.0587259 Long DBT CORP US N 2 2033-10-15 Fixed 2.75 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UM6 14448.480000 PA USD 13664.800000 0.0005934 Long ABS-MBS CORP US N 2 2034-11-21 Floating 4.56041 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2004-4 N/A 576433ME3 58489.240000 PA USD 54806.910000 0.0023799 Long ABS-MBS CORP US N 2 2034-05-25 Floating 3.88299 N N N N N N MASTR ASSET BACKED SEC TR 2006-AM3 N/A 57645EAM2 1700000.000000 PA USD 1514788.740000 0.0657764 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.39043 N N N N N N MASTR ASSET BACKED SEC TR 2006-FRE2 N/A 57643GAE7 2624556.600000 PA USD 1612931.490000 0.0700380 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.63043 N N N N N N MASTR ASSET BACKED SEC TR 2006-HE4 N/A 576449AA0 54281.260000 PA USD 17704.820000 0.0007688 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.25043 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC2 N/A 55275BAD9 848280.290000 PA USD 332144.490000 0.0144226 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.45043 N N N N N N MASTR ASSET BACKED SECUR TR 2005-FRE1 N/A 57643LMA1 575239.720000 PA USD 537408.450000 0.0233358 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.65043 Y N N N N N MASTR ASSET BACKED SECUR TR 2006-WMC4 N/A 57645MAC6 892791.670000 PA USD 290240.140000 0.0126030 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.20043 N N N N N N MASTR ASSET SECURIZATION TR 2007-3 N/A 57645NAS9 4127.110000 PA USD 4011.230000 0.0001742 Long ABS-MBS CORP US N 3 2047-05-25 Floating 5.75043 Y N N N N N MASTR SEASONED SECURITIES TRUST 2005-2 N/A 55265WDM2 6202.260000 PA USD 5952.740000 0.0002585 Long ABS-MBS CORP US N 3 2032-10-25 Floating 4.58981 N N N N N N MELCO RESORTS FINANCE LIMITED 5493000FQDBWKDBZEF60 58547DAD1 6600000.000000 PA USD 5483460.180000 0.2381072 Long DBT CORP KY N 2 2029-12-04 Fixed 5.375 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 55892.910000 PA USD 52718.510000 0.0022892 Long ABS-MBS CORP US N 2 2030-12-15 Floating 5.63329 N N N N N N MELLON RESIDENTIAL FUNDING CO 2001-TBC1 N/A 585525FC7 28224.350000 PA USD 26907.360000 0.0011684 Long ABS-MBS CORP US N 2 2031-11-15 Floating 5.89329 N N N N N N ACE SECURITIES CORP 2003-HE1 N/A 004421DA8 142295.030000 PA USD 136372.030000 0.0059217 Long ABS-MBS CORP US N 2 2033-11-25 Floating 6.12543 N N N N N N MERRILL LYNCH MORTGAGE INVESTOR 2006-RM1 N/A 59020U5D3 1549120.530000 PA USD 213778.010000 0.0092828 Long ABS-MBS CORP US N 2 2037-02-25 Variable 5.95 Y N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A2 N/A 589929M70 7320.990000 PA USD 6817.250000 0.0002960 Long ABS-MBS CORP US N 2 2033-02-25 Floating 4.38644 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A4 N/A 589929W87 1708.670000 PA USD 1560.680000 0.0000678 Long ABS-MBS CORP US N 3 2033-05-25 Floating 4.96949 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAC6 1698104.470000 PA USD 880034.490000 0.0382136 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.37043 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAD4 10246199.930000 PA USD 5324755.430000 0.2312158 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.45043 N N N N N N MERRILL LYNCH MTGE INV TRUST 2007-SD1 N/A 590232AA2 440303.300000 PA USD 259462.770000 0.0112666 Long ABS-MBS CORP US N 2 2047-02-25 Floating 6.05043 N N N N N N MERRILL LYNCH MTGE INVESTORS 2006-A1 N/A 59020U5W1 736873.070000 PA USD 415505.330000 0.0180424 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.73823 Y N N N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BAU4 1000000.000000 PA USD 1019291.800000 0.0442605 Long DBT NUSS MX N 2 2028-02-09 Fixed 5.4 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BAV2 2600000.000000 PA USD 2739857.740000 0.1189723 Long DBT NUSS MX N 2 2035-02-09 Fixed 6.35 N N N N N N MGM CHINA HOLDINGS LIMITED 529900VZFN87OS7WJM66 55300RAG6 700000.000000 PA USD 637745.500000 0.0276927 Long DBT CORP KY N 2 2027-02-01 Fixed 4.75 N N N N N N ACE SECURITIES CORP 2006-FM2 N/A 00442CAC3 2920876.160000 PA USD 741266.090000 0.0321879 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.39043 Y N N N N N ACE SECURITIES CORP 2006-FM2 N/A 00442CAD1 1566153.570000 PA USD 398503.230000 0.0173041 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.47043 Y N N N N N MIDOCEAN CREDIT CLO II 2013-2A N/A 59863KAS6 2330869.710000 PA USD 2317939.540000 0.1006514 Long ABS-CBDO CORP KY N 2 2030-01-29 Floating 6.32914 N N N N N N MIDOCEAN CREDIT CLO VIII 2018-8A N/A 59801MAL2 3969952.990000 PA USD 3931783.760000 0.1707291 Long ABS-CBDO CORP KY N 2 2031-02-20 Floating 6.42914 N N N N N N MILEAGE PLUS HOLDINGS LLC / MILEAGE PLUS INTELLECTUAL PROPERTY ASSETS LTD N/A 599191AA1 3599999.990000 PA USD 3612228.180000 0.1568531 Long DBT CORP US N 2 2027-06-20 Fixed 6.5 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YBX6 3800000.000000 PA USD 3356680.180000 0.1457565 Long DBT CORP JP N 2 2030-05-22 Floating 3.261 N N N N N N ACE SECURITIES CORP 2006-NC3 N/A 00442EAH8 4950277.870000 PA USD 1336424.040000 0.0580313 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.55043 N N N N N N MLCC MORTGAGE INVESTORS INC 2004-E N/A 59020UJU0 629217.940000 PA USD 1621.680000 0.0000704 Long ABS-O CORP US N 2 2029-11-25 Floating 0.135464 N N N N N N MLCC MORTGAGE INVESTORS INC 2006-1 N/A 59020U4S1 383064.710000 PA USD 371554.380000 0.0161339 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.05325 N N N N N N MLCC MORTGAGE INVESTORS INC. 2003-C N/A 589929S41 496.600000 PA USD 450.140000 0.0000195 Long ABS-MBS CORP US N 2 2028-06-25 Floating 5.81043 N N N N N N MODULAIRE (BCP V MODULAR SERVICES FINANCE II PLC) 213800227GGD6UI7PI97 ACI210QC5 6000000.000000 PA 5597039.360000 0.2430392 Long DBT CORP GB N 2 2028-11-30 Fixed 4.75 N N N N N N MORGAN STANLEY ABS CAPITAL I 2003-NC8 N/A 61746RDM0 462117.600000 PA USD 455156.820000 0.0197642 Long ABS-MBS CORP US N 2 2033-09-25 Floating 6.20043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-NC2 N/A 61744CPK6 182389.580000 PA USD 179684.560000 0.0078024 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.06543 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC5 N/A 61744CRW8 4000000.000000 PA USD 3592618.000000 0.1560016 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-HE4 N/A 61748BAD6 893942.970000 PA USD 472435.720000 0.0205145 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.63043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE5 N/A 61749NAE7 110248.160000 PA USD 57397.500000 0.0024924 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.65043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAE5 1584070.830000 PA USD 708883.420000 0.0307817 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.47043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC5 N/A 61749BAE3 18433997.720000 PA USD 9737145.440000 0.4228142 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.30043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE1 N/A 617526AE8 2634431.470000 PA USD 1450998.490000 0.0630064 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.30043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE3 N/A 617538AA1 3139098.430000 PA USD 1560895.660000 0.0677785 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.21043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE3 N/A 617538AC7 694576.790000 PA USD 345469.230000 0.0150012 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.30043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE4 N/A 61753VAC6 2021816.420000 PA USD 646543.130000 0.0280747 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.33043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE4 N/A 61753VAE2 1453180.550000 PA USD 465613.290000 0.0202182 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.51043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAB2 1348341.820000 PA USD 595016.230000 0.0258373 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.26043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAD8 14459328.550000 PA USD 6387388.140000 0.2773583 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.40043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC1 N/A 617505AD4 8429145.620000 PA USD 3991404.440000 0.1733180 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.29043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC1 N/A 617505AE2 4557591.560000 PA USD 2158547.370000 0.0937302 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.37043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC2 N/A 61753NAD2 54575.880000 PA USD 26370.210000 0.0011451 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.35043 N N N N N N MORGAN STANLEY ABS CAPITAL-2006-HE6 N/A 61750FAE0 9368444.260000 PA USD 3526415.450000 0.1531269 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.45043 N N N N N N MORGAN STANLEY DOMESTIC HOLDINGS INC 549300RJIC678ZPVWG08 269246BS2 5000000.000000 PA USD 4821112.000000 0.2093462 Long DBT CORP US N 2 2028-06-20 Fixed 4.5 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-1 N/A 61751QAB1 1358617.160000 PA USD 659140.590000 0.0286217 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.25043 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-3AR N/A 61748HWP2 200439.430000 PA USD 137857.830000 0.0059862 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.41043 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAJ0 1368581.150000 PA USD 1302552.040000 0.0565605 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.75 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAP6 13323.680000 PA USD 13098.880000 0.0005688 Long ABS-MBS CORP US N 2 2036-06-25 Floating 6.11496 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2004-6AR N/A 61748HBM2 3853.370000 PA USD 3581.830000 0.0001555 Long ABS-MBS CORP US N 3 2034-08-25 Floating 4.61352 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2004-6AR N/A 61748HBS9 30600.060000 PA USD 27784.670000 0.0012065 Long ABS-MBS CORP US N 3 2034-08-25 Floating 3.75726 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-3AR N/A 61745M4P5 79986.070000 PA USD 69776.850000 0.0030299 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.16222 Y N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-3AR N/A 61745M4R1 59769.800000 PA USD 49959.300000 0.0021694 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.61611 Y N N N N N MORGAN STANLEY MTGE LN TRUST 2007-15AR N/A 61756XBT1 1169939.650000 PA USD 813991.240000 0.0353458 Long ABS-MBS CORP US N 2 2037-12-25 Variable 3.73187 N N N N N N MP CLO VII LTD 2015-1A N/A 55320RAQ0 5973514.070000 PA USD 5936393.280000 0.2577749 Long ABS-CBDO CORP KY N 2 2028-10-18 Floating 6.15171 N N N N N N MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC) 5493002WXOPRPTXWTU06 55328HAK7 4716000.000000 PA USD 4227563.880000 0.1835727 Long LON CORP US N 2 2028-09-01 Floating 9.7257 N N N N N N MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC) 5493002WXOPRPTXWTU06 553283AD4 3400000.000000 PA USD 2901912.920000 0.1260092 Long DBT CORP US N 2 2028-09-01 Fixed 5.5 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-5 N/A 007036LJ3 2763.980000 PA USD 2374.210000 0.0001031 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.39526 Y N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAB3 13500000.000000 PA USD 12520216.040000 0.5436629 Long DBT CORP GB N 2 2029-03-08 Floating 4.302 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAC1 5000000.000000 PA USD 4990048.100000 0.2166819 Long DBT CORP GB N 2 2024-08-01 Floating 4.363 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-7 N/A 007036MX1 216731.350000 PA USD 205644.260000 0.0089297 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.60131 Y N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780099CK1 900000.000000 PA USD 876897.000000 0.0380773 Long DBT CORP GB N 2 2025-08-10 Floating 8 N N N N Y NATWEST GROUP PLC GBP XXXX N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 ACI1SQVK7 1700000.000000 PA 1785006.260000 0.0775100 Long DBT CORP GB N 2 2027-05-12 Floating 5.125 N N N N Y NATWEST GROUP PLC GBP XXXX N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 2200000.000000 PA USD 2095104.680000 0.0909753 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 639057AG3 10000000.000000 PA USD 10233481.500000 0.4443665 Long DBT CORP GB N 2 2026-11-10 Floating 7.472 N N N N N N NELNET STUDENT LOAN TRUST 2005-1 N/A 64031QBR1 167563.600000 PA USD 162832.260000 0.0070706 Long ABS-O CORP US N 2 2033-10-25 Floating 5.36514 N N N N N N NELNET STUDENT LOAN TRUST 2005-2 N/A 64031QBX8 97879.830000 PA USD 95603.950000 0.0041514 Long ABS-O CORP US N 2 2037-03-23 Floating 5.32804 N N N N N N ADJUSTABLE RATE MORTGAGE TRUST 2006-1 N/A 225470B93 206079.820000 PA USD 123490.650000 0.0053623 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.41043 N N N N N N NEW CENTURY HOME EQUITY LOAN TRUST 2003-2 N/A 64352VCS8 309391.510000 PA USD 265480.720000 0.0115279 Long ABS-MBS CORP US N 2 2033-01-25 Floating 8.15043 Y N N N N N ADLER REAL ESTATE AG 529900Y6QFNN3D363B76 BD5N5GII7 200000.000000 PA 169822.420000 0.0073742 Long DBT CORP DE N 2 2026-04-27 Fixed 3 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 7561910.490000 PA USD 6984590.380000 0.3032905 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 11857628.340000 PA USD 10924736.540000 0.4743827 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N AEGIS ASSET BACKED SEC TR 2004-6 N/A 00764MDY0 170301.280000 PA USD 158312.560000 0.0068744 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.15043 Y N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI02MK69 20467200.000000 PA 12543329.510000 0.5446666 Long DBT NUSS NZ N 2 2025-09-20 Fixed 2 N N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI06Z1N0 5452830.000000 PA 3497940.660000 0.1518904 Long DBT NUSS NZ N 2 2030-09-20 Fixed 3 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 65480CAC9 1100000.000000 PA USD 933821.580000 0.0405492 Long DBT CORP US N 2 2026-09-16 Fixed 1.85 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAX3 3700000.000000 PA USD 3028748.220000 0.1315168 Long DBT CORP IE N 2 2032-01-30 Fixed 3.3 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 65480CAD7 600000.000000 PA USD 479517.740000 0.0208220 Long DBT CORP US N 2 2028-09-15 Fixed 2.45 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AA9 7500000.000000 PA USD 7447514.330000 0.3233920 Long DBT CORP JP N 2 2023-09-15 Fixed 3.043 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AB7 700000.000000 PA USD 651501.140000 0.0282900 Long DBT CORP JP N 2 2025-09-17 Fixed 3.522 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 5200000.000000 PA USD 4733126.840000 0.2055257 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 1100000.000000 PA USD 965718.150000 0.0419342 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 ACI1RDD76 300000.000000 PA 306467.830000 0.0133077 Long DBT CORP JP N 2 2026-03-17 Fixed 2.652 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2004-R3 N/A 62951MAY6 413816.940000 PA USD 370716.370000 0.0160975 Long ABS-MBS CORP US N 2 2035-02-25 Fixed 6.5 Y N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AR4 N/A 65535VMX3 31537.460000 PA USD 30889.490000 0.0013413 Long ABS-MBS CORP US N 3 2035-08-25 Floating 4.9372 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AR5 N/A 65535VPU6 305050.840000 PA USD 176564.590000 0.0076669 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.83359 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2007-2 N/A 655378AE7 3678341.720000 PA USD 3224443.920000 0.1400144 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.57043 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-AF1 N/A 65535AAD6 4165386.680000 PA USD 941828.920000 0.0408969 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.81043 Y N N N N N NOMURA HOME EQUITY LOAN INC 2007-1 N/A 65537KAY6 422931.630000 PA USD 125974.630000 0.0054702 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.95043 Y N N N N N NOVASTAR HOME EQUITY LOAN 2006-3 N/A 66988WAE6 1104936.000000 PA USD 606215.620000 0.0263236 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.65043 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-4 N/A 66988XAC8 3270846.910000 PA USD 1418932.310000 0.0616140 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.45043 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-5 N/A 66988YAD4 7330111.340000 PA USD 2291132.590000 0.0994874 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.49043 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-6 N/A 66988RAE7 2902671.180000 PA USD 1017148.520000 0.0441674 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.57043 N N N N N N NXP BV / NXP FUNDING LLC / NXP USA INC N/A 62954HBE7 1800000.000000 PA USD 1741121.100000 0.0756044 Long DBT CORP NL N 2 2027-06-01 Fixed 4.4 N N N N N N OAKTREE CLO 2019-1A N/A 67401XAS0 2100000.000000 PA USD 2067975.000000 0.0897973 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 6.38271 N N N N N N OCP EURO CLO 2020-4 DAC 20-4A N/A ACI1ZTQK9 7400000.000000 PA 7864724.830000 0.3415084 Long ABS-CBDO CORP IE N 2 2034-09-22 Floating 4.091 N N N N N N OCTAGON INVESTMENT PARTNERS XXI LTD 2014-1A N/A 67590QBK2 1500000.000000 PA USD 1482822.350000 0.0643883 Long ABS-CBDO CORP KY N 2 2031-02-14 Floating 6.32071 N N N N N N ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION) 5493008I795YYBFWFU90 85172FAP4 4850000.000000 PA USD 4837819.370000 0.2100717 Long DBT CORP US N 2 2024-03-15 Fixed 6.125 N N N N N N OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5 N/A 68383NCY7 1912910.050000 PA USD 1771263.270000 0.0769132 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.91043 N N N N N N OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5 N/A 68383NDR1 4.240000 PA USD 4.100000 0.0000002 Long ABS-MBS CORP US N 3 2035-12-25 Variable 5.675 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-1 N/A 68400DAF1 768183.180000 PA USD 441018.110000 0.0191502 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.37043 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-2 N/A 68401TAE8 499909.830000 PA USD 247013.450000 0.0107260 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.40043 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-3 N/A 68402BAC0 908890.810000 PA USD 455596.700000 0.0197833 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.33043 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-4 N/A 68403FAD8 960464.990000 PA USD 542420.110000 0.0235534 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.39043 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-6 N/A 68403KAB1 893202.960000 PA USD 574001.790000 0.0249248 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.28043 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-6 N/A 68403KAD7 1208959.670000 PA USD 777023.160000 0.0337405 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.40043 N N N N N N OWNIT MORTGAGE LN ASSET-BCK CERT 2006-1 N/A 69121PCH4 614458.370000 PA USD 357984.920000 0.0155447 Long ABS-MBS CORP US N 2 2035-10-25 Variable 5.79 N N N N N N OWNIT MORTGAGE LOAN ASSET BACKED CERTIFICATES 2006-4 N/A 69121QAD3 1557961.340000 PA USD 1183518.420000 0.0513917 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.45043 N N N N N N OZLM VIII LTD 2014-8A N/A 67107FBL0 2741090.070000 PA USD 2723935.780000 0.1182809 Long ABS-CBDO CORP KY N 2 2029-10-17 Floating 6.24029 N N N N N N AHLSTROM-MUNKSJO OYJ (SPA US HOLDCO INC) 254900HXD0I72WZYIT06 937JIMII2 1662130.270000 PA USD 1561363.620000 0.0677988 Long LON CORP FI N 2 2028-02-04 Floating 9.2879 N N N N N N OZLM XXIV LTD 2019-24A N/A 67113DAW4 4600000.000000 PA USD 4506947.840000 0.1957043 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.41043 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JP3 1500000.000000 PA USD 1392635.130000 0.0604721 Long DBT CORP US N 2 2026-01-01 Fixed 3.15 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308KB2 5500000.000000 PA USD 4947806.380000 0.2148476 Long DBT CORP US N 2 2029-03-01 Fixed 4.2 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308KC0 1100000.000000 PA USD 954149.430000 0.0414318 Long DBT CORP US N 2 2032-03-01 Fixed 4.4 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HL4 700000.000000 PA USD 500577.690000 0.0217365 Long DBT CORP US N 2 2045-03-15 Fixed 4.3 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308GZ4 400000.000000 PA USD 303339.660000 0.0131719 Long DBT CORP US N 2 2042-04-15 Fixed 4.45 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HM2 200000.000000 PA USD 189438.500000 0.0082260 Long DBT CORP US N 2 2025-06-15 Fixed 3.5 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JW8 2600000.000000 PA USD 2243520.860000 0.0974200 Long DBT CORP US N 2 2028-06-15 Fixed 3 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JL2 300000.000000 PA USD 283396.870000 0.0123059 Long DBT CORP US N 2 2025-07-01 Fixed 3.45 N N N N N N AIR CANADA 4B4HI3CGXMBDC0G6BM51 C0102MAP0 1980000.000000 PA USD 1982653.200000 0.0860924 Long LON CORP CA N 2 2028-08-11 Floating 8.8391 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JM0 1000000.000000 PA USD 905775.010000 0.0393313 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JQ1 200000.000000 PA USD 155744.520000 0.0067629 Long DBT CORP US N 2 2040-07-01 Fixed 4.5 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JB4 1100000.000000 PA USD 1098910.560000 0.0477178 Long DBT CORP US N 2 2023-08-01 Fixed 4.25 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HK6 200000.000000 PA USD 193595.580000 0.0084065 Long DBT CORP US N 2 2024-08-15 Fixed 3.4 N N N N N N AIR CANADA 4B4HI3CGXMBDC0G6BM51 008911BJ7 800000.000000 PA 544609.930000 0.0236485 Long DBT CORP CA N 2 2029-08-15 Fixed 4.625 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HW0 1000000.000000 PA USD 877545.600000 0.0381055 Long DBT CORP US N 2 2027-12-01 Fixed 3.3 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HY6 600000.000000 PA USD 409541.060000 0.0177834 Long DBT CORP US N 2 2047-12-01 Fixed 3.95 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JT5 2800000.000000 PA USD 2279250.290000 0.0989714 Long DBT CORP US N 2 2031-06-01 Fixed 3.25 N N N N N N PALMER SQUARE CLO LTD 2013-2A N/A 69688AAL5 1500000.000000 PA USD 1484342.600000 0.0644543 Long ABS-CBDO CORP KY N 2 2031-10-17 Floating 6.26029 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2021-1 DAC 21-1A N/A ACI1ZMCH6 11785033.640000 PA 12633628.280000 0.5485876 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 3.957 N N N N N N PALMER SQUARE LOAN FUNDING 2021-3 N/A 69702BAA9 7870243.060000 PA USD 7775484.470000 0.3376334 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 6.05043 N N N N N N PALMER SQUARE LOAN FUNDING 2021-4 N/A 69702HAA6 1584522.100000 PA USD 1568069.960000 0.0680900 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 6.06029 N N N N N N PARK PLACE SECURITIES INC 2004-MHQ1 N/A 70069FCY1 714941.860000 PA USD 691859.680000 0.0300425 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.95043 N N N N N N PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP N/A 709599AZ7 3400000.000000 PA USD 3269793.670000 0.1419836 Long DBT CORP US N 2 2025-03-10 Fixed 3.95 N N N N N N PEOPLE'S FINANCE REALTY MTGE SEC 2006-1 N/A 71103XAS3 2298052.470000 PA USD 640822.270000 0.0278263 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.29043 N N N N N N PETROLEOS MEXICANOS (PEMEX) 549300CAZKPF4HKMPX17 71654QDE9 2200000.000000 PA USD 1608861.320000 0.0698613 Long DBT CORP MX N 2 2031-01-28 Fixed 5.95 N N N N N N PETROLEOS MEXICANOS (PEMEX) 549300CAZKPF4HKMPX17 71654QDN9 2300000.000000 PA USD 2108804.680000 0.0915702 Long DBT CORP MX N 2 2033-02-07 Fixed 10 N N N N N N PIPER SANDLER COMPANIES QUQDBTUSOAKFEVMRMF78 724078AE0 3600000.000000 PA USD 3591000.000000 0.1559313 Long DBT CORP US N 2 2023-10-15 Fixed 5.2 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 850.160000 PA USD 793.730000 0.0000345 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.55043 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 ACI22XZ24 600000.000000 PA 596539.150000 0.0259034 Long DBT CORP NL N 2 2026-01-19 Fixed 1.207 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 ACI22XZ08 1400000.000000 PA 1197319.580000 0.0519910 Long DBT CORP NL N 2 2030-01-19 Fixed 2.085 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 ACI22XT05 1600000.000000 PA 1288567.060000 0.0559532 Long DBT CORP NL N 2 2034-01-19 Fixed 2.778 N N N N N N PROVINCE OF BUENOS AIRES ARGENTINA 549300L6AYROPOTQ4L07 ACI11ZNP4 100000.000000 PA 225.510000 0.0000098 Long DBT NUSS AR N 2 2025-04-12 Floating 73.6698 N N N N N N PROVINCE OF BUENOS AIRES ARGENTINA 549300L6AYROPOTQ4L07 P1910WRC5 325360000.000000 PA 733726.170000 0.0318605 Long DBT NUSS AR N 2 2025-04-12 Floating 73.6698 N N N N N N PUERTO RICO GOVT 549300X44HXPLJU48U63 74514L3T2 158218.560000 PA USD 79900.370000 0.0034695 Long DBT MUN PR N 2 2043-11-01 Fixed 0 N N N N N N QATAR NATIONAL BANK (QPSC) 549300FFSRVBS0SQXY75 948AFGII4 4600000.000000 PA USD 4600000.000000 0.1997449 Long LON CORP QA N 3 2023-10-10 Floating 5.9662 N N N N N N QBE INSURANCE GROUP LIMITED 549300D2FBW76FPUSG65 74737EAA2 17650000.000000 PA USD 17668670.880000 0.7672233 Long DBT CORP AU N 2 2043-11-24 Floating 7.5 N N N N N N RAAC SERIES 2005-SP2 N/A 76112BF54 230578.330000 PA USD 191246.370000 0.0083045 Long ABS-MBS CORP US N 2 2044-06-25 Floating 5.75043 N N N N N N RAD CLO LTD 2019-5A N/A 74923EAA6 5450000.000000 PA USD 5375775.960000 0.2334313 Long ABS-CBDO CORP KY N 2 2032-07-24 Floating 6.39271 N N N N N N RALI TRUST 2006-QA10 N/A 74922NAA7 55367.050000 PA USD 43850.610000 0.0019041 Long ABS-MBS CORP US N 3 2036-12-25 Floating 5.52043 N N N N N N RASC TRUST 2006-EMX6 N/A 754065AD2 2498641.590000 PA USD 2148747.560000 0.0933047 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.69043 Y N N N N N RBSGC MORTGAGE PASS THROUGH CERTIFICATES 2008-A N/A 74928AAA9 1759024.860000 PA USD 1478506.660000 0.0642009 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N RBSSP RESECURITIZATION TRUST 2011-4 N/A 74930PAG9 358492.480000 PA USD 348305.670000 0.0151244 Long ABS-MBS CORP US N 2 2037-08-27 Floating 5.378 N N N N N N RBSSP RESECURITIZATION TRUST 2011-4 N/A 74930PAL8 2163850.640000 PA USD 2101905.010000 0.0912706 Long ABS-MBS CORP US N 2 2036-06-27 Floating 4.35468 N N N N N N RBSSP RESECURITIZATION TRUST 2011-4 N/A 74930PAM6 3500000.000000 PA USD 2770610.500000 0.1203077 Long ABS-MBS CORP US N 2 2036-06-27 Floating 5.378 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-1 N/A 75970JAF3 3801187.980000 PA USD 1082227.110000 0.0469933 Long ABS-MBS CORP US N 2 2037-04-25 Variable 5.612 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3W N/A 75971FAX1 2832145.210000 PA USD 1976630.610000 0.0858309 Long ABS-MBS CORP US N 2 2037-09-25 Variable 7.39 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3W N/A 75971FAY9 2681965.010000 PA USD 1872617.700000 0.0813143 Long ABS-MBS CORP US N 2 2037-09-25 Variable 6.997 N N N N N N RESIDENTIAL ACCREDIT LOANS 2004-QA6 N/A 76110HG94 148967.730000 PA USD 57213.200000 0.0024844 Long ABS-MBS CORP US N 2 2034-12-26 Floating 1.94679 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QA2 N/A 76110HT90 464304.170000 PA USD 377372.920000 0.0163866 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.07319 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA1 N/A 761118TB4 1147029.610000 PA USD 823385.910000 0.0357537 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.95131 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA4 N/A 748939AA3 782442.540000 PA USD 688414.390000 0.0298929 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.51043 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS16 N/A 74922LAA1 179758.070000 PA USD 127386.200000 0.0055315 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.55043 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS6 N/A 74922EAB5 166882.210000 PA USD 133155.420000 0.0057820 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAA1 185069.210000 PA USD 194575.420000 0.0084490 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.43043 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA5 N/A 749236AC9 6800180.000000 PA USD 4986038.860000 0.2165078 Long ABS-MBS CORP US N 2 2037-09-25 Variable 6.02047 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH7 N/A 75115LAA5 41336.130000 PA USD 37750.060000 0.0016392 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.65043 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QS10 N/A 74924DAA7 220583.080000 PA USD 175457.960000 0.0076189 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6.5 Y N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO3 N/A 761118KU1 117902.240000 PA USD 99893.060000 0.0043376 Long ABS-MBS CORP US N 2 2045-10-25 Floating 5.95043 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QA2 N/A 761118TN8 138637.990000 PA USD 87968.950000 0.0038199 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.40043 Y N N N N N RESIDENTIAL ASSET SEC CORP 2004-KS11 N/A 76110WJ31 130983.000000 PA USD 129901.130000 0.0056407 Long ABS-MBS CORP US N 2 2034-12-25 Floating 5.99043 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-EMX5 N/A 74924QAD2 13615315.100000 PA USD 12044546.150000 0.5230080 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.67043 Y N N N N N RESIDENTIAL ASSET SEC TRUST 2005-A10 N/A 45660LXM6 83356.750000 PA USD 41610.880000 0.0018069 Long ABS-MBS CORP US N 3 2035-09-25 Fixed 5.5 Y N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A6 N/A 76113FBC3 357459.830000 PA USD 193294.810000 0.0083934 Long ABS-MBS CORP US N 3 2036-07-25 Fixed 6 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-R1 N/A 76113MAB1 1485558.040000 PA USD 453826.100000 0.0197064 Long ABS-MBS CORP US N 2 2046-01-25 Floating 5.55043 Y N N N N N RESIDENTIAL ASSET SECUR TR 2003-A15 N/A 45660NWT8 49892.160000 PA USD 45452.960000 0.0019737 Long ABS-MBS CORP US N 3 2034-02-25 Floating 5.60043 N N N N N N RESIDENTIAL ASSET SECUR TR 2007-A7 N/A 76114QAA3 1356150.200000 PA USD 587804.320000 0.0255241 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 Y N N N N N RESIDENTIAL ASSET SECUR TRUST 2005-A14 N/A 45660LT41 230585.370000 PA USD 113599.610000 0.0049328 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 5.5 Y N N N N N RESIDENTIAL ASSET SECUR TRUST 2005-A15 N/A 45660L4G1 40229.410000 PA USD 16427.130000 0.0007133 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.75 Y N N N N N RESIDENTIAL ASSET SECUR TRUST 2005-A15 N/A 45660L4H9 749417.290000 PA USD 306014.210000 0.0132880 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.75 Y N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS7 N/A 76110W3C8 1860733.700000 PA USD 1828252.730000 0.0793879 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.18543 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2003-S9 N/A 76111JZ72 11680.780000 PA USD 11049.880000 0.0004798 Long ABS-MBS CORP US N 3 2032-03-25 Fixed 6.5 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2006-S10 N/A 74958DAG3 290883.910000 PA USD 223171.490000 0.0096907 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6 Y N N N N N RESIDENTIAL FUNDING MTG SEC I 2006-SA1 N/A 76111XG72 235034.460000 PA USD 204465.290000 0.0088785 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.60888 Y N N N N N RESIDENTIAL FUNDING MTG SEC I 2006-SA3 N/A 749575AA4 18399.510000 PA USD 9512.080000 0.0004130 Long ABS-MBS CORP US N 3 2036-09-25 Floating 4.11523 N N N N N N ALTICE FRANCE HOLDING SA 5299000JVHXKJPOE6H40 ACI1LBML5 2200000.000000 PA 1189985.620000 0.0516725 Long DBT CORP LU N 2 2028-02-15 Fixed 4 N N N N N N RLJ LODGING TRUST LP 549300RX5I8Z6I6LDZ74 74965LAB7 1100000.000000 PA USD 922224.790000 0.0400456 Long DBT CORP US N 2 2029-09-15 Fixed 4 N N N N N N RMAC SECURITIES PLC 2007-NS1X N/A B1ZPGKII4 497049.430000 PA 603635.140000 0.0262115 Long ABS-MBS CORP GB N 2 2044-06-12 Floating 4.90151 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 02156LAH4 2800000.000000 PA USD 2005198.440000 0.0870713 Long DBT CORP FR N 2 2029-10-15 Fixed 5.5 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 ACI20QTK8 2700000.000000 PA 2127515.930000 0.0923827 Long DBT CORP FR N 2 2029-10-15 Fixed 4.25 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1Z3TC1 3600000.000000 PA 3003240.870000 0.1304092 Long DBT NUSS RO N 2 2030-07-13 Fixed 1.75 N N N N N N ROMARK CLO LTD 2017-1A N/A 77587UAL6 5261633.970000 PA USD 5202492.520000 0.2259068 Long ABS-CBDO CORP KY N 2 2030-10-23 Floating 6.30271 N N N N N N RUSSIAN GOVT 5493004EHVGF71PDBU58 X5424XBP2 200000.000000 PA USD 89000.000000 0.0038646 Long DBT NUSS RU N 2 2047-06-23 Fixed 5.25 N N N N N N RUSSIAN GOVT 5493004EHVGF71PDBU58 X5424XCG1 1000000.000000 PA USD 445000.000000 0.0193231 Long DBT NUSS RU N 2 2035-03-28 Fixed 5.1 N N N N N N RUSSIAN GOVT 5493004EHVGF71PDBU58 X74344DS2 200000.000000 PA USD 136372.000000 0.0059217 Long DBT NUSS RU N 2 2042-04-04 Fixed 5.625 N N N N N N RUSSIAN GOVT 5493004EHVGF71PDBU58 X5424XBD9 400000.000000 PA USD 202000.000000 0.0087714 Long DBT NUSS RU N 2 2026-05-27 Fixed 4.75 N N N N N N RUSSIAN GOVT 5493004EHVGF71PDBU58 X5424XBN7 400000.000000 PA USD 174000.000000 0.0075556 Long DBT NUSS RU N 2 2027-06-23 Fixed 4.25 N N N N N N RUSSIAN GOVT 5493004EHVGF71PDBU58 X5424XBQ0 600000.000000 PA USD 36000.000000 0.0015632 Long DBT NUSS RU N 3 2047-06-23 Fixed 5.25 N N N N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AS5 1423000.000000 PA USD 1401521.660000 0.0608580 Long DBT CORP US N 2 2027-03-15 Fixed 5 N N N N N N SALOMON BROTHERS MTGE SEC VII 2002-1 N/A 79549AQP7 39050.760000 PA USD 38042.650000 0.0016519 Long ABS-MBS CORP US N 3 2032-05-25 Floating 5.65043 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 1500000.000000 PA USD 1431225.600000 0.0621478 Long DBT CORP KY N 2 2028-08-08 Variable 5.9 N N N N N N SANTANDER HOLDINGS USA INC 549300SMVCQN2P0O6I58 80282KAZ9 2400000.000000 PA USD 2163018.310000 0.0939243 Long DBT CORP US N 2 2026-10-05 Fixed 3.244 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAG0 650000.000000 PA USD 585655.930000 0.0254308 Long DBT CORP GB N 2 2028-11-03 Floating 3.823 N N N N N N SARANAC CLO LTD 2018-6A N/A 80317LAJ2 3700000.000000 PA USD 3656065.090000 0.1587566 Long ABS-CBDO CORP JE N 2 2031-08-13 Floating 6.68443 N N N N N N SAXON ASSET SECURITIES TRUST 2004-1 N/A 805564PN5 141312.830000 PA USD 137051.970000 0.0059512 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.94543 Y N N N N N SAXON ASSET SECURITIES TRUST 2006-3 N/A 80556AAC1 548293.660000 PA USD 530136.970000 0.0230200 Long ABS-MBS CORP US N 2 2046-10-25 Floating 5.49043 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 ACI0PR4T1 3600000.000000 PA 3675003.440000 0.1595790 Long DBT CORP DE N 2 2026-09-15 Fixed 3.75 N N Y N N N SCULPTOR EUROPEAN CLO V DAC 5A N/A ACI21JK97 7200000.000000 PA 7717991.580000 0.3351369 Long ABS-CBDO CORP IE N 2 2032-01-14 Floating 3.916 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2004-OP1 N/A 81375WAB2 546376.340000 PA USD 543329.580000 0.0235929 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.91543 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-FR2 N/A 81376VAC1 2487827.770000 PA USD 1560100.870000 0.0677440 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.65043 N N N N N N SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A N/A ACI1YTXT3 8100000.000000 PA 8612009.530000 0.3739576 Long ABS-CBDO CORP IE N 2 2032-07-20 Floating 4.08 N N N N N N SEQUOIA MORTGAGE TRUST 2007-1 N/A 81744HAH6 39633.710000 PA USD 27406.870000 0.0011901 Long ABS-MBS CORP US N 2 2046-09-20 Floating 3.48307 Y N N N N N AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST N/A 02377AAA6 1213702.190000 PA USD 1092921.830000 0.0474577 Long DBT CORP US N 2 2028-04-01 Fixed 3.7 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-FRE1 N/A 81879MAW9 5112968.780000 PA USD 2959501.370000 0.1285099 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.69043 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-OPT2 N/A 78420MAE9 3093563.000000 PA USD 2762563.510000 0.1199583 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.30043 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-OPT2 N/A 78420MAF6 2300000.000000 PA USD 1593067.400000 0.0691755 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.36043 N N N N N N SIERRA MADRE FUNDING LTD 2004-1A N/A 82639RAB3 13007624.600000 PA USD 9319676.860000 0.4046865 Long ABS-CBDO CORP KY N 2 2039-09-07 Floating 5.57057 N N N N N N SIERRA MADRE FUNDING LTD 2004-1A N/A 82639RAA5 30357748.800000 PA USD 21787908.100000 0.9460921 Long ABS-CBDO CORP KY N 2 2039-09-07 Floating 5.59057 N N N N N N SIGNAL PEAK CLO 6 LTD 2018-5A N/A 56844YAA5 2300000.000000 PA USD 2285344.240000 0.0992361 Long ABS-CBDO CORP KY N 2 2031-04-25 Floating 6.36514 N N N N N N SIRIUS REAL ESTATE LIMITED 213800NURUF5W8QSK566 ACI1YMJ56 1900000.000000 PA 1714350.160000 0.0744419 Long DBT CORP GG N 2 2026-06-22 Fixed 1.125 N N N N N N SKYMILES IP LTD 2549008L7P4I8VB90936 24736CBS2 900000.000000 PA USD 936000.000000 0.0406437 Long LON CORP US N 2 2027-10-20 Floating 8.7984 N N N N N N AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST N/A 023770AA8 240198.160000 PA USD 215659.320000 0.0093645 Long DBT CORP US N 2 2028-11-01 Fixed 3.375 N N N N N N SLM STUDENT LOAN TRUST 2013-1 N/A 78447MAD0 141000.000000 PA USD 136002.750000 0.0059056 Long ABS-O CORP US N 2 2070-11-25 Floating 6.95043 N N N N N N SLM STUDENT LOAN TRUST 2013-2 N/A 78446CAB7 103000.000000 PA USD 97309.670000 0.0042255 Long ABS-O CORP US N 2 2043-06-25 Floating 6.65043 N N N N N N SLM STUDENT LOAN TRUST 2013-3 N/A 78447YAD4 104000.000000 PA USD 96080.510000 0.0041721 Long ABS-O CORP US N 2 2076-09-25 Floating 6.65043 N N N N N N SMALL BUSINESS ADMIN PART CERT 2004-20C N/A 83162CNQ2 2783.160000 PA USD 2758.580000 0.0001198 Long ABS-O CORP US N 2 2024-03-01 Fixed 4.34 N N N N N N SMALL BUSINESS ADMIN PART CERT 2005-20I N/A 83162CPU1 9355.330000 PA USD 9059.220000 0.0003934 Long ABS-O CORP US N 2 2025-09-01 Fixed 4.76 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20I N/A 83162CSA2 44996.080000 PA USD 43957.470000 0.0019088 Long ABS-O CORP US N 2 2028-09-01 Fixed 5.6 N N N N N N AMERICAN AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST N/A 02376UAA3 552507.930000 PA USD 512638.570000 0.0222602 Long DBT CORP US N 2 2029-07-15 Fixed 3.575 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20L N/A 83162CSE4 36707.610000 PA USD 36639.910000 0.0015910 Long ABS-O CORP US N 2 2028-12-01 Fixed 6.22 N N N N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 78448TAF9 2000000.000000 PA USD 1703727.900000 0.0739806 Long DBT CORP IE N 2 2028-06-15 Fixed 2.3 N N N N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 78448TAD4 1500000.000000 PA USD 1498815.440000 0.0650828 Long DBT CORP IE N 2 2023-07-15 Fixed 4.125 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83367TBF5 600000.000000 PA USD 588254.880000 0.0255437 Long DBT CORP FR N 2 2023-12-18 Floating 7.875 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83368RBM3 8100000.000000 PA USD 7811157.650000 0.3391824 Long DBT CORP FR N 2 2027-06-15 Fixed 4.677 N N N N N N AMERICAN AIRLINES 2017-1 CLASS AA PASS THROUGH TRUST N/A 023761AA7 710000.000000 PA USD 654890.300000 0.0284372 Long DBT CORP US N 2 2029-02-15 Fixed 3.65 N N N N N N SOUND POINT CLO IX LTD 2015-2A N/A 83609GBN4 5500000.000000 PA USD 5400041.790000 0.2344850 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.46043 N N N N N N SOUND POINT CLO XV LTD 2017-1A N/A 83609RAL5 2591866.470000 PA USD 2588440.130000 0.1123973 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 6.17271 N N N N N N AMERICAN AIRLINES 2017-2 CLASS AA PASS THROUGH TRUST N/A 02376AAA7 1604655.330000 PA USD 1428442.190000 0.0620270 Long DBT CORP US N 2 2031-04-15 Fixed 3.35 N N N N N N SOUND POINT CLO XVI LTD 2017-2A N/A 83610KAJ2 2519530.520000 PA USD 2490933.120000 0.1081633 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 6.23514 N N N N N N SOUND POINT CLO XVII 2017-3A N/A 83611GAL5 4908294.900000 PA USD 4853087.580000 0.2107347 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 6.23043 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-WF1 N/A 83612LAU3 2435942.290000 PA USD 2357916.620000 0.1023874 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.71043 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT4 N/A 83613AAQ5 2134462.150000 PA USD 1670192.090000 0.0725244 Long ABS-MBS CORP US N 2 2037-09-25 Floating 6.10043 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1 N/A 83612NAC9 4233651.140000 PA USD 1205423.360000 0.0523429 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.26043 N N N N N N AMERICAN AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST N/A 02377LAA2 418642.780000 PA USD 365517.810000 0.0158718 Long DBT CORP US N 2 2033-08-15 Fixed 3.15 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 836205BA1 10000000.000000 PA USD 8815980.000000 0.3828146 Long DBT NUSS ZA N 2 2029-09-30 Fixed 4.85 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 614878II9 905500000.000000 PA 49965173.670000 2.1696281 Long DBT NUSS ZA N 2 2026-12-21 Fixed 10.5 N N N N N N AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD N/A 00253XAA9 1900000.000000 PA USD 1884020.430000 0.0818095 Long DBT CORP US N 2 2026-04-20 Fixed 5.5 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HQ9 3100000.000000 PA USD 3049644.100000 0.1324241 Long DBT CORP US N 2 2027-06-01 Fixed 4.7 N N N N N N AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD N/A 00253XAB7 500000.000000 PA USD 485939.400000 0.0211009 Long DBT CORP US N 2 2029-04-20 Fixed 5.75 N N N N N N SOUTHERN CALIFORNIA GAS COMPANY XY0N0J73VHV5F4CUJV89 842434CW0 5900000.000000 PA USD 5507823.580000 0.2391652 Long DBT CORP US N 2 2027-04-15 Fixed 2.95 N N N N N N SOUTHWEST AIRLINES CO UDTZ87G0STFETI6HGH41 844741BG2 7500000.000000 PA USD 8626875.000000 0.3746031 Long DBT CORP US N 2 2025-05-01 Fixed 1.25 N N N Y N SOUTHWEST AIRLINES CO USD XXXX N N N AMERICAN ASSETS TRUST LP 549300V1TI0SMG9Z6U69 02401LAA2 2100000.000000 PA USD 1644872.380000 0.0714250 Long DBT CORP US N 2 2031-02-01 Fixed 3.375 N N N N N N SPECIALTY UNDERWRITING & RESID 2007-AB1 N/A 84752CAB3 678192.750000 PA USD 380071.760000 0.0165038 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.27043 N N N N N N SPECIALTY UNDERWRITING & RESIDL 2006-BC4 N/A 84751YAD2 3960825.640000 PA USD 1338235.450000 0.0581099 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.5974 N N N N N N SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I) N/A 00846NAA5 6600000.000000 PA USD 3558378.120000 0.1545148 Long DBT CORP US N 2 2067-01-15 Floating 7.01029 N N N N N N SPRINT LLC 549300ZTTY7CXOLJ6539 85207UAK1 6600000.000000 PA USD 6861848.400000 0.2979607 Long DBT CORP US N 2 2026-03-01 Fixed 7.625 N N N N N N SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC / SPRINT SPECTRUM CO III LLC N/A 85208NAD2 2450000.020000 PA USD 2418830.970000 0.1050324 Long DBT CORP US N 2 2025-03-20 Fixed 4.738 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 ACI1GX0P8 2600000.000000 PA 2526802.280000 0.1097208 Long DBT CORP US N 2 2026-11-21 Fixed 2.25 N N N N N N STRATUS CLO 2021-3A LTD N/A 86315WAA6 4161172.780000 PA USD 4128138.560000 0.1792554 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 0.0004157 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.3762 Y N N N N N STRUCTURED ADJ RATE MTG LN 2006-3 N/A 863579Y69 285329.650000 PA USD 173956.330000 0.0075537 Long ABS-MBS CORP US N 2 2036-04-25 Floating 3.8531 Y N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-8 N/A 86361JAB6 193835.550000 PA USD 136140.750000 0.0059116 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.62531 Y N N N N N STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN 2006-9 N/A 86361PAA4 294888.890000 PA USD 171361.880000 0.0074410 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.08159 Y N N N N N STRUCTURED ADJUSTABLE RT MTG LN 2004-20 N/A 863579GY8 57637.080000 PA USD 53472.720000 0.0023219 Long ABS-MBS CORP US N 3 2035-01-25 Floating 4.89186 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2004-2 N/A 86359BLE9 5194.130000 PA USD 4732.810000 0.0002055 Long ABS-MBS CORP US N 3 2034-03-25 Floating 5.11565 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-5 N/A 86363XAA5 1122199.810000 PA USD 993425.810000 0.0431373 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.59043 N N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 2156398.550000 PA USD 1973530.130000 0.0856962 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 732.050000 PA USD 703.180000 0.0000305 Long ABS-MBS CORP US N 2 2032-09-19 Floating 5.80629 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC2 N/A 86358EAN6 35907.410000 PA USD 34260.460000 0.0014877 Long ABS-MBS CORP US N 3 2033-04-25 Floating 6.53043 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPR1 1712587.210000 PA USD 1532422.350000 0.0665421 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.12543 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPS9 605777.310000 PA USD 502534.800000 0.0218215 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.27543 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPT7 684250.040000 PA USD 510937.510000 0.0221863 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.72543 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11 N/A 86358EPU4 573075.330000 PA USD 232297.860000 0.0100870 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.87543 Y N N N N N STRUCTURED ASSET INVST LN TR 2005-8 N/A 86358EXQ4 392682.680000 PA USD 381150.920000 0.0165506 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.87043 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR1 N/A 86359LAQ2 1239.590000 PA USD 1148.670000 0.0000499 Long ABS-MBS CORP US N 2 2034-03-19 Floating 5.84629 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR3 N/A 86359LBY4 3763.750000 PA USD 3353.230000 0.0001456 Long ABS-MBS CORP US N 3 2034-07-19 Floating 5.72629 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-1 N/A 02660WAC0 243018.180000 PA USD 203623.960000 0.0088419 Long ABS-MBS CORP US N 2 2046-05-25 Floating 5.34043 Y N N N N N STRUCTURED ASSET MTG INV INC 2005-AR2 N/A 86359LJA8 26267.200000 PA USD 23816.040000 0.0010342 Long ABS-MBS CORP US N 2 2045-05-25 Floating 5.61043 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPD5 1301.740000 PA USD 1178.090000 0.0000512 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 101646.230000 PA USD 97464.540000 0.0042322 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-AR8 N/A 86359LRW1 166511.600000 PA USD 140210.630000 0.0060883 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.71043 Y N N N N N STRUCTURED ASSET MTG INV INC 2006-AR7 N/A 86361HAP9 490697.700000 PA USD 348383.150000 0.0151278 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.75043 Y N N N N N STRUCTURED ASSET MTG INV INC 2006-AR7 N/A 86361HAA2 548877.690000 PA USD 450363.260000 0.0195560 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.57043 Y N N N N N STRUCTURED ASSET MTG INV INC 2006-AR7 N/A 86361HAB0 111433.360000 PA USD 96755.590000 0.0042014 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.27043 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 90438.370000 PA USD 60970.010000 0.0026475 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.57043 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR6 N/A 86360UAA4 1631450.000000 PA USD 1358261.740000 0.0589795 Long ABS-MBS CORP US N 2 2046-07-25 Floating 5.51043 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-5 N/A 02660KAA0 8194108.880000 PA USD 2528552.050000 0.1097968 Long ABS-MBS CORP US N 2 2046-11-25 Floating 4.8962 N N N N N N STRUCTURED ASSET SEC CORP 2003-6A N/A 86359AMR1 18308.420000 PA USD 17422.610000 0.0007565 Long ABS-MBS CORP US N 3 2033-03-25 Floating 6.57423 N N N N N N STRUCTURED ASSET SEC CORP 2005-AR1 N/A 86359DVX2 6480082.030000 PA USD 6133998.990000 0.2663555 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.84043 N N N N N N STUDIO CITY FINANCE LIMITED 254900D6R731QAUIG324 86389QAG7 1200000.000000 PA USD 890411.580000 0.0386642 Long DBT CORP VG N 2 2029-01-15 Fixed 5 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MCJ7 4800000.000000 PA USD 3837232.510000 0.1666234 Long DBT CORP JP N 2 2031-09-17 Fixed 2.222 N N N N N N AMERICAN HOME MTGE ASSETS 2006-3 N/A 02660UAA8 117657.160000 PA USD 100300.470000 0.0043553 Long ABS-MBS CORP US N 2 2046-10-25 Floating 4.9462 N N N N N N SYMPHONY STATIC CLO 2021-1A N/A 87190TAA1 3645733.180000 PA USD 3605454.940000 0.1565590 Long ABS-CBDO CORP KY N 2 2029-10-25 Floating 6.08514 N N N N N N SYSTEM ENERGY RESOURCES INC N/A 871911AT0 700000.000000 PA USD 635431.590000 0.0275922 Long DBT CORP US N 2 2025-12-09 Fixed 2.14 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 2100000.000000 PA USD 1935917.510000 0.0840630 Long DBT CORP US N 2 2030-04-15 Fixed 3.875 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABX2 1400000.000000 PA USD 1120863.950000 0.0486711 Long DBT CORP US N 2 2031-11-15 Fixed 2.25 N N N N N N TALON FUNDING LTD 1A N/A 87483UAA4 1444503.130000 PA USD 287688.690000 0.0124923 Long ABS-CBDO CORP KY N 2 2035-06-05 Floating 5.98857 N N N N N N TCI-SYMPHONY CLO LTD 2016-1A N/A 87229WAQ4 9300000.000000 PA USD 9197208.500000 0.3993686 Long ABS-CBDO CORP KY N 2 2032-10-13 Floating 6.26157 N N N N N N TCW CLO LTD 2018-1A N/A 87240UAR1 5600000.000000 PA USD 5543046.100000 0.2406946 Long ABS-CBDO CORP KY N 2 2031-04-25 Floating 6.22514 N N N N N N TD SYNNEX CORPORATION 5493004HI6PFLF46NS53 87162WAH3 1300000.000000 PA USD 1066279.140000 0.0463008 Long DBT CORP US N 2 2028-08-09 Fixed 2.375 N N N N N N THL CREDIT WIND RIVER 2019-3 CLO LTD N/A 97314JAA3 7000000.000000 PA USD 6914092.220000 0.3002293 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.34029 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2003-5 N/A 885220EB5 58175.940000 PA USD 53179.130000 0.0023092 Long ABS-MBS CORP US N 2 2043-10-25 Floating 4.48426 N N N N N N THORNBURG MORTGAGE SECURITIES TRUST 2007-2 N/A 88522WAB9 12629378.690000 PA USD 10772558.180000 0.4677747 Long ABS-MBS CORP US N 2 2037-06-25 Floating 7.15114 N N N N N N TIKEHAU CLO BV N/A ACI1ZJMY5 2500000.000000 PA 2665613.660000 0.1157484 Long ABS-CBDO CORP IE N 2 2034-08-04 Floating 4.144 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBV1 4000000.000000 PA USD 3748940.880000 0.1627895 Long DBT CORP US N 2 2027-03-15 Fixed 3.65 N N N N N N TOBACCO SETTLEMENT FINANCE AUTHORITY N/A 88880LAF0 600000.000000 PA USD 576066.900000 0.0250144 Long DBT MUN US N 2 2024-06-01 Fixed 1.497 N N N N N N TOBACCO SETTLEMENT FINANCE AUTHORITY N/A 88880LAH6 200000.000000 PA USD 180099.760000 0.0078204 Long DBT MUN US N 2 2026-06-01 Fixed 1.82 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBW9 700000.000000 PA USD 638524.610000 0.0277265 Long DBT CORP US N 2 2032-03-15 Fixed 4.05 N N N N N N TOBACCO SETTLEMENT FINANCE AUTHORITY N/A 88880LAR4 400000.000000 PA USD 326752.000000 0.0141885 Long DBT MUN US N 2 2034-06-01 Fixed 3.401 N N N N N N TOBACCO SETTLEMENT FINANCE AUTHORITY N/A 88880LAS2 400000.000000 PA USD 323505.800000 0.0140475 Long DBT MUN US N 2 2035-06-01 Fixed 3.501 N N N N N N TOBACCO SETTLEMENT FINANCE AUTHORITY N/A 88880LAB9 34905000.000000 PA USD 3300159.540000 0.1433022 Long DBT MUN US N 2 2047-06-01 None 0 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBC3 700000.000000 PA USD 566268.320000 0.0245890 Long DBT CORP US N 2 2030-06-15 Fixed 2.1 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 8660063.630000 PA 11014057.390000 0.4782613 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 5.57473 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 16535951.810000 PA USD 15210722.600000 0.6604923 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XBG4 1700000.000000 PA USD 1343520.000000 0.0583394 Long DBT CORP US N 2 2030-10-15 Fixed 1.875 N N N N N N TRIAXX PRIME CDO 2007-1A N/A 896006AB9 3599253.350000 PA USD 66255.060000 0.0028770 Long ABS-CBDO CORP KY N 2 2039-10-02 Floating 5.465 N N N N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 900123CF5 3000000.000000 PA USD 2956200.000000 0.1283665 Long DBT NUSS TR N 2 2024-03-22 Fixed 5.75 N N N N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 900123CV0 12400000.000000 PA USD 12209362.400000 0.5301648 Long DBT NUSS TR N 2 2024-08-10 Fixed 6.35 N N N N N N AMERIQUEST MORTGAGE SEC INC 2004-R10 N/A 03072SVS1 870374.370000 PA USD 826487.220000 0.0358884 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.27543 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AD0 800000.000000 PA USD 565551.960000 0.0245579 Long DBT CORP CH N 2 2031-02-10 Floating 4.375 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AX6 14975000.000000 PA USD 14340489.030000 0.6227043 Long DBT CORP CH N 2 2025-03-26 Fixed 3.75 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AP3 1000000.000000 PA USD 890580.080000 0.0386715 Long DBT CORP CH N 2 2031-04-01 Floating 4.194 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AU2 3250000.000000 PA USD 2630368.750000 0.1142180 Long DBT CORP CH N 2 2032-05-14 Floating 3.091 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AY4 1200000.000000 PA USD 1192722.820000 0.0517914 Long DBT CORP CH N 2 2026-07-15 Floating 6.373 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 ACI1V1BM6 500000.000000 PA 537279.770000 0.0233302 Long DBT CORP CH N 2 2026-01-16 Floating 4.177 N N N N N N UMBS PASS THRU POOLS N/A 01F020687 -158200000.000000 PA USD -129235805.870000 -5.6117815 Short ABS-MBS USGSE US N 2 2053-08-14 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F022683 35000000.000000 PA USD 29728125.350000 1.2908787 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030686 -11500000.000000 PA USD -10137519.450000 -0.4401996 Short ABS-MBS USGSE US N 2 2053-08-14 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F032682 77600000.000000 PA USD 70794843.940000 3.0741109 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040685 106200000.000000 PA USD 99757476.830000 4.3317497 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F042673 86400000.000000 PA USD 83072250.430000 3.6072303 Long ABS-MBS USGSE US N 2 2053-07-13 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F042681 24000000.000000 PA USD 23086875.120000 1.0024969 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 01F050676 51700000.000000 PA USD 50661961.200000 2.1998846 Long ABS-MBS USGSE US N 2 2053-07-13 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A 01F050684 99000000.000000 PA USD 97027734.870000 4.2132167 Long ABS-MBS USGSE US N 2 2053-08-14 Fixed 5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 14700000.000000 PA USD 14788372.870000 0.6421527 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNIGEL LUXEMBOURG SA N/A 904752AB8 3700000.000000 PA USD 1216375.000000 0.0528184 Long DBT CORP LU N 2 2026-10-01 Fixed 8.75 N N N N N N UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST N/A 90932JAA0 429498.720000 PA USD 360866.500000 0.0156698 Long DBT CORP US N 2 2033-11-01 Fixed 2.7 N N N N N N UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST N/A 90931GAA7 3665285.000000 PA USD 3638343.320000 0.1579871 Long DBT CORP US N 2 2029-04-15 Fixed 5.875 N N N N N N UNITED AIRLINES INC K1OQBWM7XEOO08LDNP29 90932LAG2 300000.000000 PA USD 285301.710000 0.0123886 Long DBT CORP US N 2 2026-04-15 Fixed 4.375 N N N N N N UNITED AIRLINES INC K1OQBWM7XEOO08LDNP29 90932LAH0 1600000.000000 PA USD 1459308.480000 0.0633673 Long DBT CORP US N 2 2029-04-15 Fixed 4.625 N N N N N N UNITED AIRLINES INC K1OQBWM7XEOO08LDNP29 90932RAJ3 1483567.810000 PA USD 1485221.990000 0.0644925 Long LON CORP US N 2 2028-04-21 Floating 9.2919 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Z44 516000.000000 PA USD 512142.900000 0.0222387 Long DBT UST US N 2 2023-08-24 None 0 N N N N N N AMMC CLO 20 LTD 2017-20A N/A 00177TAJ2 58402.780000 PA USD 58431.920000 0.0025373 Long ABS-CBDO CORP KY N 2 2029-04-17 Floating 6.13029 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796CQ0 1055000.000000 PA USD 1043969.750000 0.0453321 Long DBT UST US N 2 2023-09-14 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796YH6 426000.000000 PA USD 421993.470000 0.0183241 Long DBT UST US N 2 2023-09-07 None 0 N N N N N N AMMC CLO XII LTD 2013-12A N/A 00176CAW1 2390208.090000 PA USD 2372497.800000 0.1030205 Long ABS-CBDO CORP KY N 2 2030-11-10 Floating 6.28686 N N N N N N AMORTIZING RESIDENTIAL COLLAT 2001-BC6 N/A 86358RMY0 224002.400000 PA USD 215474.720000 0.0093565 Long ABS-MBS CORP US N 2 2031-10-25 Floating 5.85043 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RK6 20000.000000 PA USD 15494.920000 0.0006728 Long DBT UST US N 2 2045-02-15 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEF4 6300000.000000 PA USD 5905142.590000 0.2564179 Long DBT UST US N 2 2027-03-31 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828WJ5 18400000.000000 PA USD 17939316.260000 0.7789755 Long DBT UST US N 2 2024-05-15 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YE4 83300000.000000 PA USD 79468525.700000 3.4507465 Long DBT UST US N 2 2024-08-31 Fixed 1.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282U3 19690000.000000 PA USD 18923166.850000 0.8216970 Long DBT UST US N 2 2024-08-31 Fixed 1.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828D56 72390000.000000 PA USD 70067016.480000 3.0425066 Long DBT UST US N 2 2024-08-15 Fixed 2.375 N N N N N N ANCHORAGE CAPITAL CLO 11 LTD 2019-11A N/A 03330NAJ3 4400000.000000 PA USD 4339733.510000 0.1884434 Long ABS-CBDO CORP KY N 2 2032-07-22 Floating 6.41271 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285P1 9570000.000000 PA USD 9472621.230000 0.4113278 Long DBT UST US N 2 2023-11-30 Fixed 2.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828G38 71718000.000000 PA USD 68887099.770000 2.9912713 Long DBT UST US N 2 2024-11-15 Fixed 2.25 N N N N N N ANCHORAGE CAPITAL CLO LTD 2015-6A N/A 03328QAY7 8095581.730000 PA USD 8049341.550000 0.3495250 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 6.31029 N N N N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324PEH1 4000000.000000 PA USD 3825483.760000 0.1661132 Long DBT CORP US N 2 2029-05-15 Fixed 4 N N N N N N ANCHORAGE CAPITAL CLO LTD 2016-9A N/A 03328WAS7 800000.000000 PA USD 789200.000000 0.0342693 Long ABS-CBDO CORP KY N 2 2032-07-15 Floating 6.40029 N N N N N N URSA RE II LTD N/A 91734PAA4 7000000.000000 PA USD 6972525.000000 0.3027666 Long DBT CORP BM N 2 2027-12-07 Floating 3.94 N N N N N N US AIRWAYS 2013-1 CLASS A PASS THROUGH TRUST N/A 90346WAA1 246610.580000 PA USD 230273.760000 0.0099991 Long DBT CORP US N 2 2027-05-15 Fixed 3.95 N N N N N N VENTURE 38 CLO LTD N/A 92332NAS4 4900000.000000 PA USD 4816700.000000 0.2091546 Long ABS-CBDO CORP KY N 2 2032-07-30 Floating 6.45914 N N N N N N VENTURE CDO LTD 2016-25A N/A 92329VAS1 3660383.630000 PA USD 3655784.500000 0.1587444 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 6.27043 N N N N N N VENTURE XXIV CLO LTD 2016-24A N/A 92330WBJ5 705010.220000 PA USD 701953.570000 0.0304808 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 6.15043 N N N N N N VENTURE XXVIII CLO LTD 2017-28A N/A 92331AAU8 2452640.810000 PA USD 2418012.460000 0.1049969 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 6.24043 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VGP3 3400000.000000 PA USD 2684320.810000 0.1165607 Long DBT CORP US N 2 2052-03-01 Fixed 3.875 N N N N N N VIBRANT CLO IV LTD 2016-4A N/A 92557WAW3 3100000.000000 PA USD 3047300.000000 0.1323223 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 1033114.030000 PA USD 1031843.430000 0.0448055 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 5770475.140000 PA USD 5705358.500000 0.2477427 Long ABS-CBDO CORP KY N 2 2030-09-15 Floating 6.29043 N N N N N N VIBRANT CLO XI LTD 2019-11A N/A 92558NAJ1 3100000.000000 PA USD 3019145.550000 0.1310998 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.37043 N N N N N N VICI PROPERTIES LP / VICI NOTE CO INC N/A 92564RAF2 1000000.000000 PA USD 994735.600000 0.0431942 Long DBT CORP US N 2 2024-05-01 Fixed 5.625 N N N N N N VIRGIN MEDIA SECURED FINANCE PLC 213800X3RLP4NOTPY579 ACI1FYG47 4300000.000000 PA 4310796.390000 0.1871869 Long DBT CORP GB N 2 2030-01-15 Fixed 4.25 N N N N N N VOYA CLO LTD 2017-1A N/A 92916MAF8 826911.670000 PA USD 820933.010000 0.0356472 Long ABS-CBDO CORP KY N 2 2030-04-17 Floating 6.21029 N N N N N N WACHOVIA MORTGAGE LN TRUST LLC 2005-B N/A 92977YBR1 236438.160000 PA USD 224084.900000 0.0097304 Long ABS-MBS CORP US N 2 2035-10-20 Floating 4.3245 Y N N N N N WACHOVIA MTGE LOAN TRUST 2006-A N/A 92977TAC6 63923.900000 PA USD 59464.380000 0.0025821 Long ABS-MBS CORP US N 3 2036-05-20 Floating 4.62357 Y N N N N N WAMU MTGE P/T CERT 2007-HY3 N/A 933634AC1 14174027.080000 PA USD 11778345.780000 0.5114488 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.43013 Y N N N N N WAMU MTGE P/T CERT 2007-HY5 N/A 92990GAD5 28689.490000 PA USD 23903.300000 0.0010379 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.89433 Y N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAC8 923499.420000 PA USD 818570.950000 0.0355446 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.82354 Y N N N N N WAMU MTGE P/T CERT 2007-HY7 N/A 93364FAD3 227445.670000 PA USD 192964.090000 0.0083790 Long ABS-MBS CORP US N 2 2037-07-25 Floating 3.59659 Y N N N N N WAMU MTGE P/T CERT 2007-OA5 N/A 93364BAB6 42686.980000 PA USD 30003.240000 0.0013028 Long ABS-MBS CORP US N 2 2047-06-25 Floating 4.7262 Y N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBA0 4800000.000000 PA USD 4479199.630000 0.1944994 Long DBT CORP US N 2 2027-03-15 Fixed 3.755 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KL0 4199858.300000 PA 5308454.860000 0.2305080 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 5.67283 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KJ5 910000.000000 PA 1144788.420000 0.0497099 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 6.37283 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KH9 455000.000000 PA 569305.030000 0.0247208 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 6.87283 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JX6 260000.000000 PA 324234.430000 0.0140792 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 7.37283 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JP3 260000.000000 PA 318814.860000 0.0138438 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 7.87283 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0Q6 71.000000 PA 682760.110000 0.0296474 Long ABS-MBS CORP GB N 2 2049-12-21 Variable 0 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0R4 71.000000 PA 58235.350000 0.0025287 Long ABS-MBS CORP GB N 2 2049-12-21 Fixed 0 N N N N N N APIDOS CLO 2017-27A N/A 03767JAF2 1879023.790000 PA USD 1864416.580000 0.0809582 Long ABS-CBDO CORP KY N 2 2030-07-17 Floating 6.19029 N N N N N N WASHINGTON MUTUAL 2002-AR15 N/A 939336DN0 1679064.110000 PA USD 1605520.600000 0.0697162 Long ABS-MBS CORP US N 2 2032-12-25 Floating 4.325 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 5075.980000 PA USD 4708.640000 0.0002045 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 85024.190000 PA USD 78357.090000 0.0034025 Long ABS-MBS CORP US N 2 2042-06-25 Floating 5.3762 N N N N N N WASHINGTON MUTUAL 2002-AR9 N/A 9393357P4 55021.880000 PA USD 51957.340000 0.0022561 Long ABS-MBS CORP US N 2 2042-08-25 Floating 5.3762 N N N N N N WASHINGTON MUTUAL 2003-AR1 N/A 939336PB3 22135.130000 PA USD 20981.920000 0.0009111 Long ABS-MBS CORP US N 2 2033-03-25 Floating 4.01565 N N N N N N WASHINGTON MUTUAL 2003-AR5 N/A 929227R65 35124.100000 PA USD 34069.860000 0.0014794 Long ABS-MBS CORP US N 3 2033-06-25 Floating 4.82957 N N N N N N WASHINGTON MUTUAL 2003-AR9 N/A 92922FBX5 3224.880000 PA USD 2864.670000 0.0001244 Long ABS-MBS CORP US N 3 2033-09-25 Floating 4.16288 N N N N N N WASHINGTON MUTUAL 2004-AR1 N/A 92922FLD8 1246.930000 PA USD 1225.540000 0.0000532 Long ABS-MBS CORP US N 2 2034-03-25 Floating 4.28008 N N N N N N WASHINGTON MUTUAL 2004-AR11 N/A 92922FYA0 74700.620000 PA USD 68571.320000 0.0029776 Long ABS-MBS CORP US N 2 2034-10-25 Floating 4.21967 N N N N N N WASHINGTON MUTUAL 2005-AR17 N/A 92922F7Q5 297004.060000 PA USD 268998.570000 0.0116807 Long ABS-MBS CORP US N 2 2045-12-25 Floating 5.73043 N N N N N N WASHINGTON MUTUAL 2005-AR18 N/A 92922F8M3 438816.910000 PA USD 400380.060000 0.0173856 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.97492 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 2897.500000 PA USD 2798.150000 0.0001215 Long ABS-MBS CORP US N 2 2045-12-25 Floating 5.69043 N N N N N N WASHINGTON MUTUAL 2005-AR3 N/A 939336Z30 84577.410000 PA USD 81945.330000 0.0035583 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.07928 N N N N N N WASHINGTON MUTUAL 2005-AR7 N/A 92922FQ50 189133.740000 PA USD 174790.280000 0.0075899 Long ABS-MBS CORP US N 3 2035-08-25 Floating 4.221 N N N N N N WASHINGTON MUTUAL 2006-AR12 N/A 93363NAH8 17743.220000 PA USD 16063.440000 0.0006975 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.22981 Y N N N N N WASHINGTON MUTUAL 2006-AR12 N/A 93363NAM7 531388.740000 PA USD 464661.300000 0.0201769 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.71236 Y N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAB6 153523.120000 PA USD 136282.460000 0.0059178 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.00754 N N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAD2 256934.580000 PA USD 244437.640000 0.0106142 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.72701 N N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AB4 71304.990000 PA USD 66538.460000 0.0028893 Long ABS-MBS CORP US N 2 2047-01-25 Floating 4.7062 N N N N N N WASHINGTON MUTUAL 2006-AR4 N/A 93934FPT3 92553.830000 PA USD 78859.460000 0.0034243 Long ABS-MBS CORP US N 2 2046-05-25 Floating 4.4036 N N N N N N WASHINGTON MUTUAL 2006-AR5 N/A 93362YAB8 419869.970000 PA USD 384590.650000 0.0167000 Long ABS-MBS CORP US N 2 2046-06-25 Floating 4.9562 N N N N N N WASHINGTON MUTUAL ASSET BACKED 2006-HE2 N/A 93934JAD6 1303602.030000 PA USD 990650.200000 0.0430168 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.63043 N N N N N N WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3 N/A 939336G49 14426.740000 PA USD 13602.540000 0.0005907 Long ABS-MBS CORP US N 2 2033-06-25 Floating 4.32438 N N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AD5 2839228.790000 PA USD 2250323.620000 0.0977154 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.7462 Y N N N N N WELLFLEET CLO LTD 2015-1 N/A 949496BJ1 4122968.360000 PA USD 4078433.420000 0.1770970 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 6.14043 N N N N N N WELLFLEET CLO LTD 2017-1A N/A 94950GAL1 1202509.870000 PA USD 1201247.740000 0.0521615 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 6.14043 N N N N N N WELLFLEET CLO LTD 2017-2A N/A 94951MAJ2 1329803.430000 PA USD 1322571.920000 0.0574298 Long ABS-CBDO CORP KY N 2 2029-10-20 Floating 6.31043 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2V4 9700000.000000 PA USD 9063464.080000 0.3935611 Long DBT CORP US N 2 2028-03-24 Floating 3.526 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2A0 4950000.000000 PA USD 4613494.200000 0.2003309 Long DBT CORP US N 2 2028-05-22 Floating 3.584 N N N N N N WELLS FARGO ALTERNATIVE LOAN TRUST 2007-PA2 N/A 94985FAL2 768599.400000 PA USD 541497.570000 0.0235133 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.50043 Y N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR4 N/A 94983PAF5 34454.780000 PA USD 32472.210000 0.0014100 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.6921 Y N N N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166BY9 5100000.000000 PA USD 4694922.810000 0.2038667 Long DBT CORP US N 2 2030-04-15 Fixed 4 N N N N N N WMALT MTGE PASS-THRU CERT 2005-10 N/A 93934FFZ0 574411.870000 PA USD 503226.960000 0.0218515 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.75 Y N N N N N WMALT MTGE PASS-THRU CERT 2005-11 N/A 93934FHZ8 2203649.090000 PA USD 1713968.730000 0.0744253 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.75 Y N N N N N WMALT MTGE PASS-THRU CERT 2005-8 N/A 93934FDF6 335343.590000 PA USD 251364.670000 0.0109150 Long ABS-MBS CORP US N 2 2035-10-25 Fixed 6 Y N N N N N WMALT MTGE PASS-THRU CERT 2005-9 N/A 93934FFK3 95197.410000 PA USD 71227.960000 0.0030929 Long ABS-MBS CORP US N 3 2035-11-25 Fixed 5.5 Y N N N N N WYNN LAS VEGAS LLC / WYNN LAS VEGAS CAPITAL CORP N/A 983130AV7 500000.000000 PA USD 492458.450000 0.0213839 Long DBT CORP US N 2 2025-03-01 Fixed 5.5 N N N N N N WYNN LAS VEGAS LLC / WYNN LAS VEGAS CAPITAL CORP N/A 983130AX3 600000.000000 PA USD 569065.620000 0.0247104 Long DBT CORP US N 2 2027-05-15 Fixed 5.25 N N N N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 98313RAG1 300000.000000 PA USD 278985.000000 0.0121143 Long DBT CORP KY N 2 2026-01-15 Fixed 5.5 N N N N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 98313RAH9 3400000.000000 PA USD 2970478.000000 0.1289865 Long DBT CORP KY N 2 2028-08-26 Fixed 5.625 N N N N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 98313RAD8 200000.000000 PA USD 178245.000000 0.0077399 Long DBT CORP KY N 2 2027-10-01 Fixed 5.5 N N N N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 98313RAE6 500000.000000 PA USD 420640.000000 0.0182654 Long DBT CORP KY N 2 2029-12-15 Fixed 5.125 N N N N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 G98149AH3 456000.000000 PA USD 398393.520000 0.0172994 Long DBT CORP KY N 2 2028-08-26 Fixed 5.625 N N N N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 G98149AD2 400000.000000 PA USD 356490.000000 0.0154798 Long DBT CORP KY N 2 2027-10-01 Fixed 5.5 N N N N N N WYNN RESORTS FINANCE LLC / WYNN RESORTS CAPITAL CORP N/A 983133AA7 200000.000000 PA USD 179462.660000 0.0077928 Long DBT CORP US N 2 2029-10-01 Fixed 5.125 N N N N N N ARBYS RESTAURANT (IRB HOLDING CORP) 549300HVW4WNWYBXN830 44988LAH0 6332054.470000 PA USD 6296436.660000 0.2734090 Long LON CORP US N 2 2027-12-15 Floating 8.2025 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 ACI1GSHM8 1700000.000000 PA 1646495.060000 0.0714954 Long DBT CORP US N 2 2027-11-15 Fixed 1.164 N N N N N N N/A N/A 000000000 4169000.000000 PA USD 4169000.000000 0.1810297 Long RA US N 2 Repurchase N 2.4000000 2023-07-03 4271800.000000 USD 4252443.410000 USD UST N N N N/A N/A 000000000 160500000.000000 PA USD 160500000.000000 6.9693606 Long RA US N 2 Repurchase N 5.1800000 2023-07-03 161692850.170000 USD 158743042.920000 USD UST N N N N/A N/A 000000000 24900000.000000 PA USD 24900000.000000 1.0812279 Long RA US N 2 Repurchase N 5.1400000 2023-07-03 30961200.000000 USD 25613136.310000 USD UST N N N ARES EUROPEAN CLO X BV 10A N/A ACI1Y2RR3 14000000.000000 PA 15015424.770000 0.6520119 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.957 N N N N N N ARES EUROPEAN CLO XII BV 12A N/A ACI20RGN4 3300000.000000 PA 3533506.120000 0.1534348 Long ABS-CBDO CORP IE N 2 2032-04-20 Floating 4.05 N N N N N N ARES L CLO LTD 2018-50A N/A 04018LAJ4 2000000.000000 PA USD 1978981.180000 0.0859329 Long ABS-CBDO CORP KY N 2 2032-01-15 Floating 6.31029 N N N N N N ARES XL CLO LTD 2016-40A N/A 04016GBB3 4696395.090000 PA USD 4666863.310000 0.2026483 Long ABS-CBDO CORP KY N 2 2029-01-15 Floating 6.13029 N N N N N N ARGENT SECURITIES INC 2004-W3 N/A 040104FW6 558928.380000 PA USD 534851.480000 0.0232248 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.97043 N N N N N N N/A N/A 000000000 1.000000 NC USD 10626.430000 0.0004614 N/A DCR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 AT&T INC AT&T INC SR UNSEC SMR Y Single Leg Swap 2024-06-20 0.000000 USD -6546.920000 USD 2300000.000000 USD 17173.350000 N N N N/A N/A 000000000 1.000000 NC 4810.070000 0.0002089 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 268958.330000 USD 410971.000000 AUD 2023-07-05 4810.070000 N N N N/A N/A 000000000 1.000000 NC 6244.510000 0.0002712 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 1622651.960000 USD 2443293.000000 AUD 2023-08-02 6244.510000 N N N N/A N/A 000000000 1.000000 NC -6230.840000 -0.0002706 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 2443293.000000 AUD 1621369.230000 USD 2023-07-05 -6230.840000 N N N N/A N/A 000000000 1.000000 NC 15082.540000 0.0006549 N/A DFE PE N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 1083225.000000 USD 3986268.000000 PEN 2023-07-10 15082.540000 N N N N/A N/A 000000000 1.000000 NC 43647.490000 0.0018953 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2159701.510000 USD 3307586.000000 AUD 2023-07-05 43647.490000 N N N N/A N/A 000000000 1.000000 NC -26487.300000 -0.0011502 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 531796.520000 USD 3649772.700000 CNY 2023-08-16 -26487.300000 N N N N/A N/A 000000000 1.000000 NC -1716.970000 -0.0000746 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 482824.000000 USD 3282833.840000 DKK 2023-07-05 -1716.970000 N N N N/A N/A 000000000 1.000000 NC 26006.170000 0.0011293 N/A DFE IN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 4765963.000000 USD 394307182.840000 INR 2023-09-20 26006.170000 N N N N/A N/A 000000000 1.000000 NC 410.740000 0.0000178 N/A DFE IN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 312941.310000 USD 25784173.350000 INR 2023-09-20 410.740000 N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAQ2 2055913.960000 PA USD 544024.230000 0.0236231 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 3524.970000 0.0001531 N/A DFE PE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 347250.000000 USD 1273365.750000 PEN 2023-07-12 3524.970000 N N N N/A N/A 000000000 1.000000 NC 15335.640000 0.0006659 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 353280.740000 USD 1500000.000000 PLN 2023-07-21 15335.640000 N N N N/A N/A 000000000 1.000000 NC 11193.300000 0.0004860 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 473414.370000 USD 1972000.000000 PLN 2023-07-21 11193.300000 N N N N/A N/A 000000000 1.000000 NC 4337.360000 0.0001883 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 283920.650000 USD 1173000.000000 PLN 2023-07-21 4337.360000 N N N ARGENT SECURITIES INC 2006-M2 N/A 04013BAB8 368851.540000 PA USD 121537.840000 0.0052775 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.26043 N N N N N N ARGENT SECURITIES INC 2006-M2 N/A 04013BAC6 869966.160000 PA USD 286652.890000 0.0124473 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.30043 N N N N N N N/A N/A 000000000 1.000000 NC -3889.500000 -0.0001689 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1810208.520000 DKK 261400.820000 USD 2023-07-05 -3889.500000 N N N N/A N/A 000000000 1.000000 NC 1731.170000 0.0000752 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3277353.790000 DKK 482824.000000 USD 2023-08-02 1731.170000 N N N N/A N/A 000000000 1.000000 NC 604.560000 0.0000263 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 370000.000000 EUR 404348.690000 USD 2023-07-05 604.560000 N N N N/A N/A 000000000 1.000000 NC 1536.320000 0.0000667 N/A DFE HK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 11139277.680000 HKD 1425572.080000 USD 2023-09-20 1536.320000 N N N N/A N/A 000000000 1.000000 NC 911.250000 0.0000396 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 33455610.000000 KRW 26406.000000 USD 2023-09-20 911.250000 N N N N/A N/A 000000000 1.000000 NC -332875.220000 -0.0144544 N/A DFE MX N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 84112830.060000 MXN 4568866.380000 USD 2023-07-18 -332875.220000 N N N N/A N/A 000000000 1.000000 NC -2675.090000 -0.0001162 N/A DFE NO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1226926.550000 NOK 111632.000000 USD 2023-07-05 -2675.090000 N N N N/A N/A 000000000 1.000000 NC -49851.600000 -0.0021647 N/A DFE NZ N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7126882.000000 NZD 4323914.940000 USD 2023-07-05 -49851.600000 N N N N/A N/A 000000000 1.000000 NC -41367.270000 -0.0017963 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 6664000.000000 PLN 1596272.430000 USD 2023-07-21 -41367.270000 N N N N/A N/A 000000000 1.000000 NC -57249.900000 -0.0024860 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 5303000.000000 PLN 1245931.870000 USD 2023-07-21 -57249.900000 N N N N/A N/A 000000000 1.000000 NC -2352.730000 -0.0001022 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 5101000.000000 PLN 1251188.700000 USD 2023-07-21 -2352.730000 N N N N/A N/A 000000000 1.000000 NC 613.740000 0.0000267 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 874950.000000 TWD 28768.000000 USD 2023-09-20 613.740000 N N N N/A N/A 000000000 1.000000 NC 710.790000 0.0000309 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 860249.000000 TWD 28392.000000 USD 2023-09-20 710.790000 N N N ARGENT SECURITIES TRUST 2006-W5 N/A 04012XAD7 3439463.100000 PA USD 960790.970000 0.0417202 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.45043 N N N N N N N/A N/A 000000000 1.000000 NC 25159.660000 0.0010925 N/A DFE CO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2976724.770000 USD 12681591701.389999 COP 2023-08-16 25159.660000 N N N N/A N/A 000000000 1.000000 NC 22519.430000 0.0009779 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1103969.960000 USD 887000.000000 GBP 2023-07-05 22519.430000 N N N N/A N/A 000000000 1.000000 NC 360.110000 0.0000156 N/A DFE PE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 90145.000000 USD 330174.090000 PEN 2023-09-13 360.110000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI28ZVN1 92039779.950000 PA 187316.100000 0.0081338 Long DBT NUSS AR N 2 2023-09-18 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 134333.230000 0.0058331 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5911466.880000 USD 24602000.000000 PLN 2023-07-21 134333.230000 N N N N/A N/A 000000000 1.000000 NC 4979.620000 0.0002162 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 172939.220000 USD 724000.000000 PLN 2023-07-21 4979.620000 N N N N/A N/A 000000000 1.000000 NC 3480.970000 0.0001512 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 386903.910000 ILS 108162.000000 USD 2023-09-20 3480.970000 N N N N/A N/A 000000000 1.000000 NC -962949.710000 -0.0418140 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 244900000.000000 MXN 13070814.030000 USD 2023-10-16 -962949.710000 N N N N/A N/A 000000000 1.000000 NC -2244.340000 -0.0000975 N/A DFE NZ N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 168054.000000 NZD 100890.380000 USD 2023-07-05 -2244.340000 N N N N/A N/A 000000000 1.000000 NC -30279.290000 -0.0013148 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4842000.000000 PLN 1159614.380000 USD 2023-07-21 -30279.290000 N N N N/A N/A 000000000 1.000000 NC 2921.270000 0.0001268 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2459955.710000 ZAR 133090.000000 USD 2023-08-15 2921.270000 N N N N/A N/A 000000000 1.000000 NC -38414.670000 -0.0016681 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 42499242.470000 ZAR 2209750.240000 USD 2023-08-18 -38414.670000 N N N N/A N/A 000000000 1.000000 NC 25957.150000 0.0011271 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1269704.950000 USD 1945000.000000 AUD 2023-07-05 25957.150000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI2GN722 1668929190.500000 PA 3378130.580000 0.1466879 Long DBT NUSS AR N 2 2023-10-18 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 6620.900000 0.0002875 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1157852.410000 USD 1746673.000000 AUD 2023-08-02 6620.900000 N N N N/A N/A 000000000 1.000000 NC 910.590000 0.0000395 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 71418.310000 USD 346325.230000 BRL 2023-07-05 910.590000 N N N N/A N/A 000000000 1.000000 NC -33488.750000 -0.0014542 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 627700.000000 USD 4291898.750000 CNY 2023-08-16 -33488.750000 N N N N/A N/A 000000000 1.000000 NC -873829.050000 -0.0379441 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 212783844.300000 USD 194199000.000000 EUR 2023-07-05 -873829.050000 N N N N/A N/A 000000000 1.000000 NC -1319975.750000 -0.0573171 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 35958265.290000 USD 4998131989.000000 JPY 2023-07-05 -1319975.750000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI2GN714 1073899070.130000 PA 2218679.300000 0.0963413 Long DBT NUSS AR N 2 2023-11-23 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 528.210000 0.0000229 N/A DFE PE N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 177221.000000 USD 648451.640000 PEN 2023-09-13 528.210000 N N N N/A N/A 000000000 1.000000 NC 3825.140000 0.0001661 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 232335.090000 USD 961000.000000 PLN 2023-07-21 3825.140000 N N N N/A N/A 000000000 1.000000 NC -6602.390000 -0.0002867 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1746673.000000 AUD 1156944.140000 USD 2023-07-05 -6602.390000 N N N N/A N/A 000000000 1.000000 NC -465.260000 -0.0000202 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 346325.230000 BRL 71863.640000 USD 2023-07-05 -465.260000 N N N N/A N/A 000000000 1.000000 NC -915.340000 -0.0000397 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 346325.230000 BRL 71057.840000 USD 2023-08-02 -915.340000 N N N N/A N/A 000000000 1.000000 NC 11914.240000 0.0005173 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1775049.660000 CNY 256885.000000 USD 2023-08-16 11914.240000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1T4 1303000.000000 PA USD 361582.500000 0.0157009 Long DBT NUSS AR N 2 2030-07-09 Variable 0.5 N N N N N N N/A N/A 000000000 1.000000 NC 882428.280000 0.0383175 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 194199000.000000 EUR 213082716.560000 USD 2023-08-02 882428.280000 N N N N/A N/A 000000000 1.000000 NC -17378.030000 -0.0007546 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5359000.000000 PLN 1299565.420000 USD 2023-07-21 -17378.030000 N N N N/A N/A 000000000 1.000000 NC 549.670000 0.0000239 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 868515.000000 TWD 28447.000000 USD 2023-08-22 549.670000 N N N N/A N/A 000000000 1.000000 NC 100460.070000 0.0043623 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 64543741.680000 ZAR 3516143.780000 USD 2023-08-14 100460.070000 N N N N/A N/A 000000000 1.000000 NC 1667.230000 0.0000724 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2033060.910000 ZAR 109246.790000 USD 2023-08-15 1667.230000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1M9 855000.000000 PA USD 252225.000000 0.0109523 Long DBT NUSS AR N 2 2035-07-09 Variable 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 205820.830000 0.0089373 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 191802118.100000 ZAR 10289758.000000 USD 2023-10-18 205820.830000 N N N N/A N/A 000000000 1.000000 NC 122927.180000 0.0053378 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 95134639.630000 ZAR 5124601.500000 USD 2023-10-18 122927.180000 N N N N/A N/A 000000000 1.000000 NC 39388.460000 0.0017104 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 30289073.900000 ZAR 1631673.090000 USD 2023-10-19 39388.460000 N N N N/A N/A 000000000 1.000000 NC USD 59852.980000 0.0025990 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2026-12-20 0.000000 USD -20734.450000 USD 7000000.000000 USD 80587.430000 N N N N/A N/A 000000000 1.000000 NC USD 3178.610000 0.0001380 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2027-06-20 0.000000 USD -8926.230000 USD 400000.000000 USD 12104.840000 N N N N/A N/A 000000000 1.000000 NC USD 890.860000 0.0000387 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 BRAZIL GOVT BRAZIL BD GLBL Y Single Leg Swap 2024-12-20 0.000000 USD -1726.960000 USD 100000.000000 USD 2617.820000 N N N N/A N/A 000000000 1.000000 NC USD 1781.730000 0.0000774 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 BRAZIL GOVT BRAZIL BD GLBL Y Single Leg Swap 2024-12-20 0.000000 USD -3112.480000 USD 200000.000000 USD 4894.210000 N N N N/A N/A 000000000 1.000000 NC USD 865.110000 0.0000376 N/A DCR US N 2 HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 BRAZIL GOVT BRAZIL BD GLBL Y Single Leg Swap 2023-12-20 0.000000 USD -6900.450000 USD 200000.000000 USD 7765.560000 N N N N/A N/A 000000000 1.000000 NC USD 6024.890000 0.0002616 N/A DCR US N 2 HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 BRAZIL GOVT BRAZIL BD GLBL Y Single Leg Swap 2024-06-20 0.000000 USD -23405.170000 USD 800000.000000 USD 29430.060000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0QD081 31710000.000000 PA 15245.170000 0.0006620 Long DBT NUSS AR N 2 2026-10-17 Fixed 15.5 N N N N N N N/A N/A 000000000 1.000000 NC 94464.450000 0.0041019 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BRITISH TELECOMMUNICATIONS PLC BRITISH TELECOM PLC WURO SR UNSEC Y Single Leg Swap 2024-12-20 29678.200000 EUR 0.000000 EUR 9600000.000000 EUR 64786.250000 N N N N/A N/A 000000000 1.000000 NC USD 55272.680000 0.0024001 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CALIFORNIA STATE CA ST Y Single Leg Swap 2024-09-20 31307.670000 USD 0.000000 USD 5000000.000000 USD 23965.010000 N N N N/A N/A 000000000 1.000000 NC USD 70749.030000 0.0030721 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CALIFORNIA STATE CA ST Y Single Leg Swap 2024-09-20 50132.550000 USD 0.000000 USD 6400000.000000 USD 20616.480000 N N N N/A N/A 000000000 1.000000 NC USD -1649.590000 -0.0000716 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.35 Y Single Leg Swap 2026-06-20 0.000000 USD -3091.200000 USD 92000.000000 USD 1441.610000 N N N N/A N/A 000000000 1.000000 NC USD -1128530.600000 -0.0490040 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.35 Y Single Leg Swap 2025-12-20 0.000000 USD -857500.000000 USD 24500000.000000 USD -271030.600000 N N N N/A N/A 000000000 1.000000 NC USD -3553955.230000 -0.1543227 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.36 Y Single Leg Swap 2026-06-20 0.000000 USD -7090824.300000 USD 74480000.000000 USD 3536869.070000 N N N N/A N/A 000000000 1.000000 NC USD -6661.350000 -0.0002893 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.39 Y Single Leg Swap 2027-12-20 0.000000 USD -3346.200000 USD 198000.000000 USD -3315.150000 N N N N/A N/A 000000000 1.000000 NC USD -639321.840000 -0.0277611 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.40 Y Single Leg Swap 2028-06-20 0.000000 USD -131149.910000 USD 21500000.000000 USD -508171.930000 N N N N/A N/A 000000000 1.000000 NC USD 21906.440000 0.0009512 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.35 Y Single Leg Swap 2025-12-20 26903.340000 USD 0.000000 USD 1500000.000000 USD -4996.900000 N N N N/A N/A 000000000 1.000000 NC USD 74697.190000 0.0032436 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.36 Y Single Leg Swap 2026-06-20 106841.530000 USD 0.000000 USD 4900000.000000 USD -32144.340000 N N N N/A N/A 000000000 1.000000 NC USD 3098.530000 0.0001345 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.37 Y Single Leg Swap 2026-12-20 4048.610000 USD 0.000000 USD 200000.000000 USD -950.080000 N N N N/A N/A 000000000 1.000000 NC USD 212973.510000 0.0092479 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.40 Y Single Leg Swap 2028-06-20 112760.960000 USD 0.000000 USD 13900000.000000 USD 100212.550000 N N N N/A N/A 000000000 1.000000 NC 19572.940000 0.0008499 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 931513.650000 USD 1427736.000000 AUD 2023-07-05 19572.940000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HX1 684614.000000 PA USD 223834.550000 0.0097195 Long DBT NUSS AR N 2 2029-07-09 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC 128714.300000 0.0055891 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9882618.290000 USD 8085958285.000000 CLP 2023-08-31 128714.300000 N N N N/A N/A 000000000 1.000000 NC -1393.670000 -0.0000605 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 36861.680000 USD 257000.000000 CNY 2023-08-16 -1393.670000 N N N N/A N/A 000000000 1.000000 NC -3225.110000 -0.0001400 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1300662.320000 USD 1189000.000000 EUR 2023-07-05 -3225.110000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HS2 3498807.000000 PA USD 1168461.590000 0.0507379 Long DBT NUSS AR N 2 2030-07-09 Variable 0.5 N N N N N N N/A N/A 000000000 1.000000 NC -3108.610000 -0.0001350 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1182937.970000 USD 929000.000000 GBP 2023-07-05 -3108.610000 N N N N/A N/A 000000000 1.000000 NC 144569.500000 0.0062776 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2035559.920000 USD 7908964.510000 PEN 2023-07-03 144569.500000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HT0 13492322.000000 PA USD 4069419.240000 0.1767056 Long DBT NUSS AR N 2 2035-07-09 Variable 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 4729.650000 0.0002054 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 539069.000000 USD 1974070.680000 PEN 2023-07-12 4729.650000 N N N N/A N/A 000000000 1.000000 NC 9086.010000 0.0003945 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1037785.000000 USD 3800991.340000 PEN 2023-07-14 9086.010000 N N N N/A N/A 000000000 1.000000 NC 2324.540000 0.0001009 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 533397.930000 USD 2180000.000000 PLN 2023-07-21 2324.540000 N N N N/A N/A 000000000 1.000000 NC -102406.650000 -0.0044468 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4873848.490000 CAD 3576663.730000 USD 2023-07-05 -102406.650000 N N N N/A N/A 000000000 1.000000 NC -82104.630000 -0.0035652 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7942777103.000000 CLP 9814379.220000 USD 2023-07-14 -82104.630000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HV5 131746.000000 PA USD 42424.850000 0.0018422 Long DBT NUSS AR N 2 2041-07-09 Variable 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -3173.590000 -0.0001378 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1010000.000000 NOK 90923.450000 USD 2023-07-05 -3173.590000 N N N N/A N/A 000000000 1.000000 NC -2311.240000 -0.0001004 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7908964.510000 PEN 2177818.180000 USD 2023-07-03 -2311.240000 N N N N/A N/A 000000000 1.000000 NC -342808.990000 -0.0148857 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 18346398.740000 PEN 4696617.960000 USD 2023-08-14 -342808.990000 N N N N/A N/A 000000000 1.000000 NC 68758.000000 0.0029857 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12043661.720000 SEK 1187581.840000 USD 2023-08-16 68758.000000 N N N N/A N/A 000000000 1.000000 NC 537.060000 0.0000233 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 835845.000000 TWD 27385.000000 USD 2023-08-22 537.060000 N N N N/A N/A 000000000 1.000000 NC USD -3631.010000 -0.0001577 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-17 0.000000 USD -26609.200000 USD 900000.000000 USD 22978.190000 N N N N/A N/A 000000000 1.000000 NC USD -73023.580000 -0.0031709 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-17 0.000000 USD -627720.110000 USD 18100000.000000 USD 554696.530000 N N N N/A N/A 000000000 1.000000 NC USD -48816.870000 -0.0021198 N/A DCR US N 2 UBS AG 254900R882POXXVAK772 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-18 0.000000 USD -423808.590000 USD 12100000.000000 USD 374991.720000 N N N N/A N/A 000000000 1.460000 NC USD 0.000000 0.0000000 N/A DE US Y 3 None N/A Call Purchased CONSTELLATION OIL SERVICES HOLDING SA CONSTELLATION CLASS D EQUITY PLACEHOLDER N/A 0.010000 USD 2071-06-10 XXXX 0.000000 N N N N/A N/A 000000000 1.000000 NC -11751.550000 -0.0005103 N/A DFE DK N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 5319918.200000 DKK 767895.000000 USD 2023-07-05 -11751.550000 N N N N/A N/A 000000000 1.000000 NC 2646066.610000 0.1148996 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 20107754.550000 USD 108949846.480000 BRL 2023-07-05 2646066.610000 N N N N/A N/A 000000000 1.000000 NC 2311.240000 0.0001004 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2177818.180000 USD 7908964.510000 PEN 2023-07-03 2311.240000 N N N N/A N/A 000000000 1.000000 NC 17826.120000 0.0007741 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2161273.570000 USD 7908964.510000 PEN 2023-07-10 17826.120000 N N N N/A N/A 000000000 1.000000 NC -146366.300000 -0.0063556 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 108949846.480000 BRL 22607454.860000 USD 2023-07-05 -146366.300000 N N N N/A N/A 000000000 1.000000 NC -17733.110000 -0.0007700 N/A DFE PE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 7908964.510000 PEN 2162396.310000 USD 2023-07-03 -17733.110000 N N N N/A N/A 000000000 1.000000 NC 33764.350000 0.0014661 N/A DFE ZA N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 14472553.190000 ZAR 794728.000000 USD 2023-10-17 33764.350000 N N N N/A N/A 000000000 1.000000 NC USD 14567.840000 0.0006326 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 FORD MOTOR CREDIT COMPANY LLC FORD MOTOR CREDIT CO LLC Y Single Leg Swap 2023-12-20 93138.360000 USD 0.000000 USD 700000.000000 USD -78570.520000 N N N N/A N/A 000000000 1.000000 NC USD 74520.440000 0.0032359 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SRUNSEC Y Single Leg Swap 2026-12-20 125016.070000 USD 0.000000 USD 630000.000000 USD -50495.630000 N N N N/A N/A 000000000 1.000000 NC USD 114727.540000 0.0049818 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SR UNSEC Y Single Leg Swap 2028-06-20 96905.470000 USD 0.000000 USD 805000.000000 USD 17822.070000 N N N N/A N/A 000000000 -194.000000 NC 353291.560000 0.0153409 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2023-09-07 -24494981.570000 EUR 353291.560000 N N N N/A N/A 000000000 -368.000000 NC 513320.410000 0.0222898 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2023-09-07 -53704865.230000 EUR 513320.410000 N N N N/A N/A 000000000 -378.000000 NC 367267.610000 0.0159478 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2023-09-07 -43247870.520000 EUR 367267.610000 N N N ASDA (BELLIS ACQUISITION COMPANY PLC) 259400CYE2267UB4A481 ACI1VTB03 7600000.000000 PA 8101681.730000 0.3517978 Long DBT CORP GB N 2 2026-02-16 Fixed 3.25 N N N N N N N/A N/A 000000000 1.000000 NC 146831.560000 0.0063758 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 22679318.500000 USD 109296171.710000 BRL 2023-07-05 146831.560000 N N N N/A N/A 000000000 1.000000 NC 186522.770000 0.0080993 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 22635636.680000 USD 110507178.270000 BRL 2023-09-05 186522.770000 N N N N/A N/A 000000000 1.000000 NC 717.760000 0.0000312 N/A DFE NO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 171751.000000 USD 1851210.730000 NOK 2023-07-05 717.760000 N N N N/A N/A 000000000 1.000000 NC 8384.960000 0.0003641 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1090037.740000 USD 4008940.800000 PEN 2023-09-20 8384.960000 N N N N/A N/A 000000000 1.000000 NC 33474.230000 0.0014535 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 590961.920000 USD 2541000.000000 PLN 2023-07-21 33474.230000 N N N N/A N/A 000000000 1.000000 NC 20118.020000 0.0008736 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 473336.440000 USD 2008000.000000 PLN 2023-07-21 20118.020000 N N N N/A N/A 000000000 1.000000 NC 18895.940000 0.0008205 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 493972.320000 USD 2087000.000000 PLN 2023-07-21 18895.940000 N N N N/A N/A 000000000 1.000000 NC 6599.810000 0.0002866 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 392243.110000 USD 1623000.000000 PLN 2023-07-21 6599.810000 N N N N/A N/A 000000000 1.000000 NC -190513.380000 -0.0082726 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 109296171.710000 BRL 22635636.680000 USD 2023-07-05 -190513.380000 N N N N/A N/A 000000000 1.000000 NC -722.500000 -0.0000314 N/A DFE NO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1849390.170000 NOK 171751.000000 USD 2023-08-02 -722.500000 N N N N/A N/A 000000000 1.000000 NC -9170.800000 -0.0003982 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3989538.130000 PEN 1090037.740000 USD 2023-07-10 -9170.800000 N N N N/A N/A 000000000 1.000000 NC 5014.330000 0.0002177 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4646689.510000 ZAR 249336.240000 USD 2023-10-17 5014.330000 N N N N/A N/A 000000000 1.000000 NC 63823.190000 0.0027714 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 86966905.460000 ZAR 4635639.000000 USD 2023-10-19 63823.190000 N N N N/A N/A 000000000 1.000000 NC 395939.250000 0.0171928 N/A DCR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 HOCHTIEF AG HOCHTIEF AG Y Single Leg Swap 2026-12-20 670725.620000 EUR 0.000000 EUR 2800000.000000 EUR -274786.370000 N N N N/A N/A 000000000 1.000000 NC 438361.320000 0.0190349 N/A DCR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 HOCHTIEF AG HOCHTIEF AG Y Single Leg Swap 2026-12-20 735720.070000 EUR 0.000000 EUR 3100000.000000 EUR -297358.750000 N N N ASSET BACK SEC CORP HM EQ LN TR 2005-HE2 N/A 04541GQD7 566954.470000 PA USD 572361.000000 0.0248535 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.24543 N N N N N N N/A N/A 000000000 1.000000 NC -11867.650000 -0.0005153 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2277000.000000 CAD 1706947.220000 USD 2023-07-05 -11867.650000 N N N ASSET BACKED FUNDING CERT 2003-WF1 N/A 04542BCD2 208710.230000 PA USD 201141.340000 0.0087341 Long ABS-MBS CORP US N 3 2032-12-25 Variable 6.27543 N N N N N N ASSET BACKED FUNDING CERT 2004-FF1 N/A 04542BHM7 653687.910000 PA USD 608872.370000 0.0264389 Long ABS-MBS CORP US N 2 2034-03-25 Floating 6.20043 Y N N N N N N/A N/A 000000000 1.000000 NC -1228095.320000 -0.0533273 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 38214000.000000 GBP 47303658.470000 USD 2023-07-05 -1228095.320000 N N N N/A N/A 000000000 1.000000 NC 8600.250000 0.0003734 N/A DFE HU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 228488000.000000 HUF 669627.840000 USD 2023-08-22 8600.250000 N N N N/A N/A 000000000 1.000000 NC 1369.440000 0.0000595 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 62015288.000000 KRW 48628.000000 USD 2023-09-20 1369.440000 N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAP4 2587642.710000 PA USD 1498600.930000 0.0650735 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.26043 N N N N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAC3 1243260.600000 PA USD 721481.780000 0.0313288 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.31043 N N N N N N N/A N/A 000000000 2327.000000 NC USD 16870.750000 0.0007326 N/A DE LU N 3 LUXEMBOURG STOCK EXCHANGE 22210053OF4F2MYKUV22 Call Purchased INTELSAT JACKSON HOLDINGS SA INTELSAT JACKSON HOLDINGS SA N/A 0.000000 USD 2025-12-05 XXXX 16870.750000 N N N N/A N/A 000000000 2327.000000 NC USD 11053.250000 0.0004800 N/A DE LU N 3 LUXEMBOURG STOCK EXCHANGE 22210053OF4F2MYKUV22 Call Purchased INTELSAT JACKSON HOLDINGS SA INTELSAT JACKSON HOLDINGS SA N/A 0.000000 USD 2025-12-05 XXXX 11053.250000 N N N ASSET BACKED FUNDING CERT 2007-NC1 N/A 00076BAB0 11004533.020000 PA USD 10169434.220000 0.4415854 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.45043 N N N N N N ASSET BACKED FUNDING CERT 2007-WMC1 N/A 04545EAC7 36018.740000 PA USD 27963.730000 0.0012143 Long ABS-MBS CORP US N 2 2037-06-25 Floating 6.15043 N N N N N N N/A N/A 000000000 1.000000 NC 39314.260000 0.0017071 N/A DFE AU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2077125.460000 USD 3177121.000000 AUD 2023-07-05 39314.260000 N N N ASSET BACKED FUNDING CERTS 2004-OPT5 N/A 04542BJY9 329241.840000 PA USD 319955.180000 0.0138934 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 -106470.200000 -0.0046232 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11901921.000000 USD 1694860924.000000 JPY 2023-08-02 -106470.200000 N N N N/A N/A 000000000 1.000000 NC 54167.960000 0.0023521 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11543226.340000 USD 200107000.000000 MXN 2023-08-16 54167.960000 N N N N/A N/A 000000000 1.000000 NC 34853.920000 0.0015135 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5672243.230000 USD 99593246.630000 MXN 2023-10-16 34853.920000 N N N N/A N/A 000000000 1.000000 NC -82354.040000 -0.0035760 N/A DFE ZA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2617252.120000 USD 47900163.120000 ZAR 2023-08-14 -82354.040000 N N N N/A N/A 000000000 1.000000 NC 4067.290000 0.0001766 N/A DFE IL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 371275.940000 ILS 104520.000000 USD 2023-09-20 4067.290000 N N N N/A N/A 000000000 1.000000 NC 105990.980000 0.0046024 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1702093722.000000 JPY 11901921.000000 USD 2023-07-05 105990.980000 N N N N/A N/A 000000000 1.000000 NC -66.700000 -0.0000029 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 271000.000000 MXN 15738.130000 USD 2023-07-14 -66.700000 N N N N/A N/A 000000000 1.000000 NC 115.470000 0.0000050 N/A DFE ZA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 98044.000000 ZAR 5304.000000 USD 2023-08-14 115.470000 N N N N/A N/A 000000000 1.000000 NC -35183.720000 -0.0015278 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 662047.000000 USD 4527739.430000 CNY 2023-08-16 -35183.720000 N N N N/A N/A 000000000 1.000000 NC -710.260000 -0.0000308 N/A DFE HU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 256968.390000 USD 88577100.000000 HUF 2023-08-22 -710.260000 N N N N/A N/A 000000000 1.000000 NC 1951.790000 0.0000848 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1235405.000000 USD 101815903.080000 INR 2023-09-20 1951.790000 N N N N/A N/A 000000000 1.000000 NC 1687.940000 0.0000733 N/A DFE PE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2303000.000000 USD 8411477.200000 PEN 2023-09-20 1687.940000 N N N N/A N/A 000000000 1.000000 NC 21349.670000 0.0009271 N/A DFE PL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 509949.400000 USD 2162000.000000 PLN 2023-07-21 21349.670000 N N N N/A N/A 000000000 1.000000 NC 9548.800000 0.0004146 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1424855.380000 CNY 206190.000000 USD 2023-08-16 9548.800000 N N N N/A N/A 000000000 1.000000 NC -570.780000 -0.0000248 N/A DFE HU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 19714056.000000 HUF 56463.000000 USD 2023-08-22 -570.780000 N N N N/A N/A 000000000 1.000000 NC -151052.200000 -0.0065591 N/A DFE PE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 62893349.910000 PEN 17081300.900000 USD 2023-09-20 -151052.200000 N N N N/A N/A 000000000 1.000000 NC -136.460000 -0.0000059 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 429199.000000 USD 2927708.270000 DKK 2023-07-05 -136.460000 N N N N/A N/A 000000000 1.000000 NC 639.940000 0.0000278 N/A DFE IN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 266621.880000 USD 21991639.220000 INR 2023-09-20 639.940000 N N N N/A N/A 000000000 1.000000 NC 15019.740000 0.0006522 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 398076.350000 USD 1681000.000000 PLN 2023-07-21 15019.740000 N N N N/A N/A 000000000 1.000000 NC 18541.720000 0.0008051 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 508579.700000 USD 2145000.000000 PLN 2023-07-21 18541.720000 N N N N/A N/A 000000000 1.000000 NC 148.370000 0.0000064 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2922826.130000 DKK 429199.000000 USD 2023-08-02 148.370000 N N N AT&T INC 549300Z40J86GGSTL398 00206RGQ9 105000.000000 PA USD 99718.440000 0.0043301 Long DBT CORP US N 2 2030-02-15 Fixed 4.3 N N N N N N N/A N/A 000000000 1.000000 NC 1349.860000 0.0000586 N/A DFE KR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 69696067.000000 KRW 54461.540000 USD 2023-09-20 1349.860000 N N N N/A N/A 000000000 1.000000 NC -4012.320000 -0.0001742 N/A DFE NZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 473215.000000 NZD 286399.660000 USD 2023-07-05 -4012.320000 N N N N/A N/A 000000000 1.000000 NC -58128.680000 -0.0025241 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4144000.000000 PLN 960235.500000 USD 2023-07-21 -58128.680000 N N N N/A N/A 000000000 1.000000 NC 799.420000 0.0000347 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 934586.000000 TWD 30819.000000 USD 2023-08-22 799.420000 N N N N/A N/A 000000000 1.000000 NC 4009.230000 0.0001741 N/A DFE PL N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 96008.680000 USD 407000.000000 PLN 2023-07-21 4009.230000 N N N N/A N/A 000000000 1.000000 NC 16718.210000 0.0007260 N/A DFE CN N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 2178106.760000 CNY 317314.000000 USD 2023-08-16 16718.210000 N N N N/A N/A 000000000 1.000000 NC 112768.610000 0.0048967 N/A DFE SG N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 12370944.000000 SGD 9286624.000000 USD 2023-09-20 112768.610000 N N N N/A N/A 000000000 1.000000 NC 509.810000 0.0000221 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 4173.660000 USD 80305.810000 MXN 2023-07-14 509.810000 N N N N/A N/A 000000000 1.000000 NC 57939.100000 0.0025159 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 13237550.620000 USD 229406752.240000 MXN 2023-08-16 57939.100000 N N N N/A N/A 000000000 1.000000 NC 14366.270000 0.0006238 N/A DFE AU N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 808359.840000 USD 1235046.000000 AUD 2023-07-05 14366.270000 N N N N/A N/A 000000000 1.000000 NC 17914.790000 0.0007779 N/A DFE AU N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 967939.510000 USD 1479928.000000 AUD 2023-07-05 17914.790000 N N N N/A N/A 000000000 1.000000 NC -3015142.530000 -0.1309260 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 195018000.000000 EUR 209788565.810000 USD 2023-07-05 -3015142.530000 N N N N/A N/A 000000000 1.000000 NC -2557058.550000 -0.1110347 N/A DFE PL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 187765394.240000 PLN 43585208.000000 USD 2023-07-21 -2557058.550000 N N N N/A N/A 000000000 1.000000 NC USD 3001.050000 0.0001303 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SOUTH AFRICA GOVT REPUBLIC OF SOUTH AFRICA SR UNSECURED Y Single Leg Swap 2024-06-20 0.000000 USD -770080.910000 USD 17400000.000000 USD 773081.960000 N N N N/A N/A 000000000 1.000000 NC USD 285.850000 0.0000124 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 SOUTH AFRICA GOVT REPUBLIC OF SOUTH AFRICA SR UNSECURED Y Single Leg Swap 2023-12-20 0.000000 USD -10137.570000 USD 200000.000000 USD 10423.420000 N N N N/A N/A 000000000 1.000000 NC 56971.850000 0.0024739 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2930611.780000 USD 4484850.000000 AUD 2023-07-05 56971.850000 N N N N/A N/A 000000000 1.000000 NC 8307.100000 0.0003607 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2384230.200000 USD 3588730.000000 AUD 2023-08-02 8307.100000 N N N 2023-08-17 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX