GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1

NPORT-P false 0000810893 XXXXXXXX S000009693 C000066770 C000026584 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Low Duration ESG Fund S000009693 J3HDCJQLI0Z3MYG73Z14 2024-03-31 2023-12-31 N 421742639.760000 87069410.820000 334673228.940000 0.000000 0.000000 34033821.790000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 3375986.600000 MXN ZAR BRL EUR USD JPY NZD GBP N 50% ICE BofA 1-3 Year US Treasury Index, 50% Bloomberg US Intermediate Credit Total Return Index G1O2, LUICTRUU GSR MORTGAGE LOAN TRUST 2005-AR6 N/A GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1 362341RX9 14672.360000 PA USD 13789.670000 0.0041203 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.83576 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2018-A N/A COLLEGE AVE STUDENT LOANS CASL 2018 A A1 144A 19423DAA8 2097234.630000 PA USD 2081128.500000 0.621839 Long ABS-O CORP US N 2 2047-12-26 Floating 6.67043 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A FANNIEMAE WHOLE LOAN FNW 2003 W6 F 31393BX75 25434.650000 PA USD 25404.450000 0.0075908 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 5.80191 N N N N N N BCP TRUST 2021-330N N/A BCP TRUST BCP 2021 330N A 144A 05553BAA3 2200000.000000 PA USD 1979861.840000 0.591581 Long ABS-MBS CORP US N 2 2038-06-15 Floating 6.27548 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2004-AA6 N/A FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA6 A1 32051GCB9 54188.950000 PA USD 51231.740000 0.015308 Long ABS-MBS CORP US N 3 2035-01-25 Floating 6.69915 N N N N N N CPI PROPERTY GROUP SA 222100CO2ZOTEPGJO223 CPI PROPERTY GROUP SA SR UNSECURED REGS 05/26 2.75 ACI1M88D5 1600000.000000 PA 1479022.520000 0.44193 Long DBT CORP LU N 2 2026-05-12 Fixed 2.75 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 STANDARD CHARTERED PLC SR UNSECURED 144A 03/25 1.214 853254CB4 2150000.000000 PA USD 2135595.000000 0.638114 Long DBT CORP GB N 2 2025-03-23 Floating 1.214 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL 1G1727 FH 07/35 FLOATING VAR 3128QJ4L7 2111.740000 PA USD 2088.900000 0.0006242 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 5.488 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H23 FA 38383KGD8 749897.400000 PA USD 749188.520000 0.223857 Long ABS-MBS USGSE US N 2 2073-08-20 Floating 6.29774 N N N N N N SUNRUN DEMETER ISSUER 2021-2A N/A SUNRUN DEMETER ISSUER LLC SUNRN 2021 2A A 144A 86772HAA5 2779062.780000 PA USD 2355654.780000 0.703867 Long ABS-O CORP US N 2 2057-01-30 Fixed 2.27 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H15 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H15 FN 38376R5Y8 330095.450000 PA USD 327529.920000 0.0978656 Long ABS-MBS USGSE US N 2 2067-07-20 Floating 5.93719 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ3 N/A GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ3 A4 144A 362924AE2 1073668.640000 PA USD 883670.410000 0.26404 Long ABS-MBS CORP US N 2 2052-08-25 Variable 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-38 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2018 38 WF 38380V2S9 276054.820000 PA USD 261401.170000 0.0781064 Long ABS-MBS USGSE US N 2 2043-10-20 Floating 5.75729 N N N N N N N/A N/A REVERSE REPO BANK OF MONTREAL REVERSE REPO 000000000 -2779000.000000 PA USD -2781161.440000 -0.831008 Short RA US N 2 Reverse repurchase N 5.600000 2024-01-04 2800000.000000 USD 2768718.740000 USD UST N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H08 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H08 FT 38376RTW6 64452.710000 PA USD 64283.730000 0.0192079 Long ABS-MBS USGSE US N 2 2066-02-20 Floating 6.15719 N N N N N N WASHINGTON MUTUAL 2004-AR13 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2A 92922FB72 20683.600000 PA USD 19388.750000 0.0057933 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.21043 N N N N N N N/A N/A SOLD IDR BOUGHT USD 20240320 000000000 1.000000 NC -299.060000 -0.0000894 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4682868344.000000 IDR 303819.970000 USD 2024-03-20 -299.060000 N N N FNMA PASS THRU POOLS N/A FNMA POOL MA5106 FN 08/53 FIXED 5 31418EU81 1883555.990000 PA USD 1863859.760000 0.556919 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5 N N N N N N ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 ASIAN DEVELOPMENT BANK SR UNSECURED 02/26 6 ACI1VFRX4 11000000.000000 PA 2167753.620000 0.647722 Long DBT CORP N/A N 2 2026-02-05 Fixed 6 N N N N N N SUNNOVA HELIOS VIII ISSUER 2022-A N/A HELIOS ISSUER, LLC SNVA 2022 A A 144A 86745AAA4 2163089.570000 PA USD 1915888.670000 0.572465 Long ABS-O CORP US N 2 2049-02-22 Fixed 2.79 N N N N N N ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 ASIAN DEVELOPMENT BANK SR UNSECURED 01/25 6.55 ACI22XG58 32000000.000000 PA 1708078.810000 0.510372 Long DBT CORP N/A N 2 2025-01-26 Fixed 6.55 N N N N N N AES CORPORATION 2NUNNB7D43COUIRE5295 AES CORP/THE SR UNSECURED 06/28 5.45 00130HCH6 1000000.000000 PA USD 1017283.870000 0.303963 Long DBT CORP US N 2 2028-06-01 Fixed 5.45 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA3029 FN 06/32 FIXED 3 31418CLK8 728120.850000 PA USD 696987.440000 0.208259 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 3 N N N N N N HERTZ VEHICLE FINANCING III LLC 2023-2A N/A HERTZ VEHICLE FINANCING LLC HERTZ 2023 2A A 144A 42806MBW8 1000000.000000 PA USD 1012412.200000 0.302508 Long ABS-O CORP US N 2 2029-09-25 Fixed 5.57 N N N N N N N/A N/A JPN 10Y BOND(OSE) MAR24 XOSE 20240313 000000000 -1.000000 NC -10324.500000 -0.0030849 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE 3538001249AILNPRUX57 Short N/A JAPAN GOVT 2024-03-13 -1040496.450000 JPY -10324.500000 N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1 31395M2F5 11716.310000 PA USD 10942.210000 0.0032695 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 6.2118 N N N N N N N/A N/A SOLD GBP BOUGHT USD 20240109 000000000 1.000000 NC -5180.960000 -0.0015481 N/A DFE GB N 2 UBS AG BFM8T61CT2L1QCEMIK50 505354.000000 GBP 638989.810000 USD 2024-01-09 -5180.960000 N N N N/A N/A FIXED INC CLEARING CORP.REPO 000000000 964000.000000 PA USD 964000.000000 0.288042 Long RA US N 2 Repurchase N 2.600000 2024-01-02 1058900.000000 USD 983313.010000 USD UST N N N JSW HYDRO ENERGY LIMITED 3358006ZP5KO7VUH2790 JSW HYDRO ENERGY LTD SR SECURED REGS 05/31 4.125 Y4S71YAA2 885500.000000 PA USD 772496.920000 0.230821 Long DBT CORP IN N 2 2031-05-18 Fixed 4.125 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL RA9795 FR 09/53 FIXED 4 3133KR3C6 745854.900000 PA USD 705360.710000 0.210761 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 4 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1 07384MSH6 64.310000 PA USD 61.960000 0.0000185 Long ABS-MBS CORP US N 3 2033-02-25 Floating 6.34028 N N N N N N N/A N/A SOLD JPY BOUGHT USD 20240109 000000000 1.000000 NC -1760.170000 -0.0005259 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 22000000.000000 JPY 154366.590000 USD 2024-01-09 -1760.170000 N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL RA8481 FR 07/53 FIXED 4.5 3133KQM60 2981854.290000 PA USD 2892075.970000 0.864149 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4.5 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 FREDDIE MAC NOTES 10/26 0.8 3134GW6C5 1700000.000000 PA USD 1544473.720000 0.461487 Long DBT USGSE US N 2 2026-10-28 Fixed 0.8 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE 01F030629 -6200000.000000 PA USD -5491117.230000 -1.64074 Short ABS-MBS USGSE US N 2 2054-02-13 Fixed 3 N N N N N N BSREP COMMERCIAL MORTGAGE TRUST 2021-DC N/A BSREP COMMERCIAL MORTGAGE TRUS BSREP 2021 DC A 144A 05591UAA5 3506512.590000 PA USD 3302026.450000 0.986642 Long ABS-MBS CORP US N 2 2038-08-15 Floating 6.42648 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A COUNTRYWIDE HOME LOANS CWHL 2004 22 A3 12669F6Z1 10772.190000 PA USD 9769.640000 0.0029192 Long ABS-MBS CORP US N 2 2034-11-25 Floating 4.76451 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA5164 FN 10/53 FIXED 5 31418EW22 712452.390000 PA USD 705002.320000 0.210654 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2 74160MDL3 779.070000 PA USD 727.000000 0.0002172 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.87043 N N N N N N N/A N/A RFR USD SOFR/3.80000 03/10/23-5Y LCH 000000000 1.000000 NC USD -3123.900000 -0.0009334 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-03-10 0.000000 USD -1710.000000 USD 800000.000000 USD -1413.900000 N N N FNMA PASS THRU POOLS N/A FNMA POOL CB6829 FN 07/53 FIXED 4 3140QSST9 1586220.640000 PA USD 1500303.520000 0.448289 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 FD 38382YC92 3695072.080000 PA USD 3730131.660000 1.11456 Long ABS-MBS USGSE US N 2 2072-11-20 Floating 6.49774 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 EQUINIX INC SR UNSECURED 09/25 1 29444UBK1 1500000.000000 PA USD 1399970.250000 0.41831 Long DBT CORP US N 2 2025-09-15 Fixed 1 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 128776 FN 02/31 FLOATING VAR 31365H6M3 1690.920000 PA USD 1652.940000 0.0004939 Long ABS-MBS USGSE US N 2 2031-02-01 Floating 5.949 N N N N N N N/A N/A 31750NBB1 OTC ECAL FN 4.5 FEB24 97.8125 CALL 000000000 -700000.000000 NC USD -3807.300000 -0.0011376 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 4.5% FEB 30YR N/A 97.810000 USD 2024-02-06 XXXX -170.580000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 BF 38382YC27 4240807.750000 PA USD 4283956.700000 1.28004 Long ABS-MBS USGSE US N 2 2072-11-20 Floating 6.50774 N N N N N N TESCO CORPORATE TREASURY SERVICES PLC 21380018AJDKNF3A6712 TESCO CORP TREASURY SERV COMPANY GUAR REGS 07/24 2.5 ACI08QWQ7 1300000.000000 PA 1424166.460000 0.425539 Long DBT CORP GB N 2 2024-07-01 Fixed 2.5 N N N N N N HERTZ VEHICLE FINANCING III LLC 2023-1A N/A HERTZ VEHICLE FINANCING LLC HERTZ 2023 1A A 144A 42806MBS7 1000000.000000 PA USD 1004627.800000 0.300182 Long ABS-O CORP US N 2 2027-06-25 Fixed 5.49 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 799940 FN 11/34 FLOATING VAR 31405UV97 1690.480000 PA USD 1669.960000 0.000499 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 5.512 N N N N N N MMAF EQUIPMENT FINANCE LLC 2022-B N/A MMAF EQUIPMENT FINANCE LLC MMAF 2022 B A2 144A 606940AB0 517116.940000 PA USD 516562.590000 0.154348 Long ABS-O CORP US N 2 2025-09-09 Fixed 5.57 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL BO7890 G2 07/49 FIXED 3.5 3617KPXT2 292530.280000 PA USD 273451.950000 0.0817071 Long ABS-MBS USGSE US N 2 2049-07-20 Fixed 3.5 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-57 N/A FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A1 31394JD87 33485.430000 PA USD 34670.440000 0.0103595 Long ABS-MBS USGSE US N 2 2043-07-25 Fixed 6.5 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 SO. CALIF EDISON 8424C0AG5 2000000.000000 PA USD 1994310.500000 0.595898 Long DBT CORP US N 2 2024-01-16 None 0 N N N N N N PACIFIC LIFE GLOBAL FUNDING II 6354003EUPCHXTWUU869 PACIFIC LIFE GF II SECURED 144A 04/26 1.375 6944PL2E8 1900000.000000 PA USD 1756624.900000 0.524878 Long DBT CORP US N 2 2026-04-14 Fixed 1.375 N N N N N N N/A N/A RFR USD SOFR/3.75000 09/14/23-1Y LCH 000000000 1.000000 NC USD 69235.040000 0.0206874 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-09-14 0.000000 USD 0.000000 USD 4900000.000000 USD 69235.040000 N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE 01F040610 4100000.000000 PA USD 3878183.600000 1.1588 Long ABS-MBS USGSE US N 2 2054-01-16 Fixed 4 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A EXTENDED STAY AMERICA TRUST ESA 2021 ESH A1 144A 30227FAC4 1400160.020000 PA USD 1387548.920000 0.414598 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.55648 N N N N N N N/A N/A SOLD NZD BOUGHT USD 20240109 000000000 1.000000 NC -18340.330000 -0.0054801 N/A DFE NZ N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 802637.000000 NZD 489049.530000 USD 2024-01-09 -18340.330000 N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4 N/A ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL4 A 144A 03880RAA7 1500000.000000 PA USD 1484972.630000 0.443708 Long ABS-CBDO CORP KY N 2 2036-11-15 Floating 6.82629 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 1A2 126673AX0 891802.670000 PA USD 871831.910000 0.260502 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.21043 N N N N N N BBCCRE TRUST 2015-GTP N/A BBCCRE TRUST BBCCR 2015 GTP A 144A 05490TAA0 2200000.000000 PA USD 2049153.260000 0.612285 Long ABS-MBS CORP US N 2 2033-08-10 Fixed 3.966 N N N N N N WORLD BANK (INTERNATIONAL BANK FOR RECONSTRUCTION AND DEVELOPMENT: IBRD) ZTMSNXROF84AHWJNKQ93 INTL BK RECON + DEVELOP SR UNSECURED 02/26 5.31 ACI1VGLL4 26000000.000000 PA 1348837.370000 0.403031 Long DBT CORP N/A N 2 2026-02-05 Fixed 5.31 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FG 38376R4U7 393294.600000 PA USD 394536.550000 0.117887 Long ABS-MBS USGSE US N 2 2067-06-20 Floating 5.43101 N N N N N N FANNIE MAE REMICS 2013-31 N/A FANNIE MAE FNR 2013 31 HI 3136ADGG8 222772.470000 PA USD 13308.870000 0.0039767 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3.5 N N N N N N ONE NEW YORK PLAZA TRUST 2020-1NYP N/A ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A 68249DAA7 2200000.000000 PA USD 2097553.480000 0.626747 Long ABS-MBS CORP US N 2 2036-01-15 Floating 6.42648 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H07 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H07 FG 38376RY26 206252.940000 PA USD 205268.190000 0.0613339 Long ABS-MBS USGSE US N 2 2067-02-20 Floating 5.89719 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA2871 FN 01/32 FIXED 3 31418CFM1 493500.200000 PA USD 472579.590000 0.141206 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL BM9250 G2 05/49 FIXED 3.5 3617K1H30 118480.270000 PA USD 110899.880000 0.0331368 Long ABS-MBS USGSE US N 2 2049-05-20 Fixed 3.5 N N N N N N N/A N/A 31750N7F7 OTC ECAL FN 5.0 JAN24 97.890625 CALL 000000000 -700000.000000 NC USD -7923.090000 -0.0023674 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% JAN 30YR N/A 97.890000 USD 2024-01-09 XXXX -5188.710000 N N N N/A N/A SOLD EUR BOUGHT USD 20240109 000000000 1.000000 NC -36617.470000 -0.0109413 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7752000.000000 EUR 8523177.490000 USD 2024-01-09 -36617.470000 N N N NOVASTAR HOME EQUITY LOAN 2006-1 N/A NOVASTAR HOME EQUITY LOAN NHEL 2006 1 A1A 669884AA6 95006.400000 PA USD 93341.180000 0.0278902 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.79043 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H13 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H13 FT 38376RUS3 28422.460000 PA USD 28360.650000 0.0084741 Long ABS-MBS USGSE US N 2 2066-05-20 Floating 6.01719 N N N N N N GE-WMC MORTGAGE SECURITIES LLC 2006-1 N/A GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A2A 36829JAA9 1667.010000 PA USD 675.870000 0.0002019 Long ABS-MBS CORP US N 3 2036-08-25 Floating 5.55043 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL CB3364 FN 04/52 FIXED 3 3140QNW24 4870332.700000 PA USD 4311551.930000 1.28829 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3 N N N N N N FANNIE MAE REMICS 2012-146 N/A FANNIE MAE FNR 2012 146 QA 3136ABFP3 3693.520000 PA USD 3094.970000 0.0009248 Long ABS-MBS USGSE US N 2 2043-01-25 Fixed 1 N N N N N N WASHINGTON MUTUAL 2002-AR6 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A 929227QB5 3223.550000 PA USD 2952.740000 0.0008823 Long ABS-MBS CORP US N 2 2042-06-25 Floating 6.4118 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL CB6830 FN 07/53 FIXED 4.5 3140QSSU6 5914793.550000 PA USD 5736709.640000 1.71412 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 255884 FN 08/35 FLOATING VAR 31371MFZ5 20037.500000 PA USD 20618.410000 0.0061608 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 5.972 N N N N N N METROPOLITAN LIFE GLOBAL FUNDING I 635400MMSOCXNNNZDZ82 MET LIFE GLOB FUNDING I SECURED 144A 07/25 0.95 59217GEJ4 2000000.000000 PA USD 1886473.680000 0.563676 Long DBT CORP US N 2 2025-07-02 Fixed 0.95 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1 07386HSY8 18960.050000 PA USD 17945.090000 0.005362 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.48795 N N N N N N FORD CREDIT AUTO OWNER TRUST 2022-D N/A FORD CREDIT AUTO OWNER TRUST FORDO 2022 D A2B 345295AC3 617608.090000 PA USD 618153.440000 0.184704 Long ABS-O CORP US N 2 2025-08-15 Floating 6.09844 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BY4128 FN 06/53 FIXED 5 3140NLSS9 1742875.540000 PA USD 1724922.720000 0.515405 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AD0662 FN 01/25 FIXED VAR 31418MWY4 1370.090000 PA USD 1389.790000 0.0004153 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 5.5 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 GLOBAL PMTS INC 37961CAG7 1500000.000000 PA USD 1495408.880000 0.446827 Long DBT CORP US N 2 2024-01-16 None 0 N N N N N N N/A N/A BOUGHT BRL SOLD USD 20240202 000000000 1.000000 NC 16540.050000 0.0049421 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2062964.840000 USD 10117811.060000 BRL 2024-02-02 16540.050000 N N N N/A N/A RFR USD SOFR/4.71500 09/13/23-1Y LCH 000000000 1.000000 NC USD -39027.950000 -0.0116615 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-09-13 0.000000 USD -24080.000000 USD 8600000.000000 USD -14947.950000 N N N MF1 2021-FL7 LTD N/A MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A 55284AAA6 1735168.960000 PA USD 1708705.550000 0.510559 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 6.55273 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 679708 FN 09/41 FLOATING VAR 31391XDM8 13088.610000 PA USD 12783.880000 0.0038198 Long ABS-MBS USGSE US N 2 2041-09-01 Floating 6.262 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BV5376 FN 04/52 FIXED 3 3140MJ6N0 3935493.280000 PA USD 3484203.500000 1.04108 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3 N N N N N N N/A N/A BOUGHT IDR SOLD USD 20240320 000000000 1.000000 NC 91679.120000 0.0273936 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4073000.000000 USD 64128326020.000000 IDR 2024-03-20 91679.120000 N N N ELECTRICITE DE FRANCE SA (EDF) 549300X3UK4GG3FNMO06 ELECTRICITE DE FRANCE SA SR UNSECURED 144A 10/25 3.625 268317AS3 500000.000000 PA USD 488489.370000 0.14596 Long DBT CORP FR N 2 2025-10-13 Fixed 3.625 N N N N N N NEW YORK CITY HOUSING DEVELOPMENT CORP 549300SQWVHKBRF8D702 NEW YORK CITY NY HSG DEV CORP NYCMFH 05/26 FIXED 1.023 64972EUA5 650000.000000 PA USD 595866.700000 0.178044 Long DBT MUN US N 2 2026-05-01 Fixed 1.023 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2 86359LPE3 4552.670000 PA USD 4356.370000 0.0013017 Long ABS-MBS CORP US N 2 2035-07-19 Floating 5.97023 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 MORGAN STANLEY SR UNSECURED 10/26 VAR 61747YEX9 1600000.000000 PA USD 1630026.060000 0.48705 Long DBT CORP US N 2 2026-10-16 Floating 6.138 N N N N N N FHF TRUST 2022-1A N/A FIRST HELP FINANCIAL LLC FHF 2022 1A A 144A 30327CAA4 963844.440000 PA USD 951516.000000 0.284312 Long ABS-O CORP US N 2 2028-01-18 Fixed 4.43 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL J17884 FG 01/27 FIXED 3 3128PXXM3 24076.730000 PA USD 23269.710000 0.006953 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 SO. CALIF EDISON 8424C0A83 250000.000000 PA USD 249609.300000 0.074583 Long DBT CORP US N 2 2024-01-08 None 0 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL BM1355 G2 07/49 FIXED 3.5 3617JRQG6 182232.760000 PA USD 171143.380000 0.0511375 Long ABS-MBS USGSE US N 2 2049-07-20 Fixed 3.5 N N N N N N N/A N/A 317U388O2 PIMCO FPPSWAPTION 2.697 PUT USD 000000000 -7700000.000000 NC USD -121904.860000 -0.036425 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/2.69700 04/04/24-1Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.69700 04/04/24-1Y LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.700000 USD 2024-04-02 XXXX -61507.980000 N N N BANK OF AMERICA MTGE SEC 2003-B N/A BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 B 2A2 06050HD39 56495.670000 PA USD 50026.370000 0.0149478 Long ABS-MBS CORP US N 3 2033-03-25 Floating 5.04625 N N N N N N N/A N/A RFR JPY MUT+5.89/0.7500 03/20/19-19Y LCH 000000000 1.000000 NC 34226.290000 0.0102268 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2038-03-20 385.030000 JPY 0.000000 JPY 99000000.000000 JPY 33841.260000 N N N FHF TRUST 2023-1A N/A FIRST HELP FINANCIAL LLC FHF 2023 1A A2 144A 30331GAC5 888276.490000 PA USD 885641.150000 0.264629 Long ABS-O CORP US N 2 2028-06-15 Fixed 6.57 N N N N N N BANC OF AMERICA MTGE SEC 2004-G N/A BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 G 2A7 05949ALH1 17198.930000 PA USD 16438.380000 0.0049118 Long ABS-MBS CORP US N 3 2034-08-25 Floating 5.27449 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL DA2947 FN 10/53 FIXED 5 3140A3HZ9 1297625.050000 PA USD 1284055.860000 0.383674 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE 01F040610 -4100000.000000 PA USD -3878183.600000 -1.1588 Short ABS-MBS USGSE US N 2 2054-01-16 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL BE4276 G2 06/48 FIXED 4 3617BXXD0 609953.060000 PA USD 583752.290000 0.174425 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 TORONTO DOMINION BANK SR UNSECURED 12/26 5.264 89115A2V3 1200000.000000 PA USD 1224165.560000 0.365779 Long DBT CORP CA N 2 2026-12-11 Fixed 5.264 N N N N N N N/A N/A RFR USD SOFR/3.75000 09/13/23-1Y LCH 000000000 1.000000 NC USD 63495.230000 0.0189723 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-09-13 33750.000000 USD 0.000000 USD 4500000.000000 USD 29745.230000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP SR UNSECURED 09/25 VAR 06051GJG5 1700000.000000 PA USD 1641201.250000 0.490389 Long DBT CORP US N 2 2025-09-25 Floating 0.981 N N N N N N N/A N/A 3 MONTH SOFR FUT DEC23 XCME 20240319 000000000 115.000000 NC USD -577421.120000 -0.172533 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A 90SOFR 2024-03-19 27209359.380000 USD -577421.120000 N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 QUANTA SVCS INC DISC COML PAPE 74767GAA0 1250000.000000 PA USD 1247592.710000 0.372779 Long DBT CORP US N 2 2024-01-10 None 0 N N N N N N BMW VEHICLE LEASE TRUST 2023-2 N/A BMW VEHICLE LEASE TRUST BMWLT 2023 2 A2 055979AB4 1000000.000000 PA USD 1003045.000000 0.299709 Long ABS-O CORP US N 2 2025-08-25 Fixed 5.95 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL RA8480 FR 07/53 FIXED 4 3133KQM52 2557499.770000 PA USD 2418686.870000 0.722701 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL 1L0174 FH 08/35 FLOATING VAR 3128Q2FP3 7161.270000 PA USD 7341.760000 0.0021937 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 6.08 N N N N N N STWD 2021-HTS MORTGAGE TRUST 2021-HTS N/A STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS A 144A 78486DAA8 2068268.640000 PA USD 2037128.170000 0.608692 Long ABS-MBS CORP US N 2 2034-04-15 Floating 6.52648 N N N N N N NORINCHUKIN BANK LTD 5493007VSMFZCPV1NB83 NORINCHUKIN BANK SR UNSECURED 144A 09/26 1.284 656029AG0 2200000.000000 PA USD 1988159.670000 0.59406 Long DBT CORP JP N 2 2026-09-22 Fixed 1.284 N N N N N N CTP BV 3157000YTVO4TN65UM14 CTP NV SR UNSECURED REGS 09/26 0.625 ACI20LM91 1100000.000000 PA 1093393.750000 0.326705 Long DBT CORP NL N 2 2026-09-27 Fixed 0.625 N N N N N N N/A N/A RFR JPY MUT+5.89/0.3800 06/18/18-10Y LCH 000000000 1.000000 NC -297.370000 -0.0000889 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2028-06-18 1224.490000 JPY 0.000000 JPY 10000000.000000 JPY -1521.860000 N N N N/A N/A RFR JPY MUTK/0.8000 06/15/22-30Y LCH 000000000 1.000000 NC 288501.400000 0.0862039 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2052-06-15 7525.960000 JPY 0.000000 JPY 280000000.000000 JPY 280975.440000 N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 TOYOTA MOTOR CREDIT CORP SR UNSECURED 08/24 VAR 89236TKY0 900000.000000 PA USD 900933.640000 0.269198 Long DBT CORP US N 2 2024-08-22 Floating 5.92 N N N N N N RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A N/A RESIDENTIAL MORTGAGE SECURITIE RMS 32A A 144A ACI1PKR28 642193.140000 PA 820120.150000 0.245051 Long ABS-MBS CORP GB N 2 2070-06-20 Floating 6.44221 N N N N N N BANC OF AMERICA FUNDING CORP 2005-D N/A BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1 06051GDM8 56067.180000 PA USD 51933.870000 0.0155178 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.77164 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BY5850 FN 07/53 FIXED 5 3140NNQC2 1262282.380000 PA USD 1249082.770000 0.373225 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL RJ0048 FR 10/53 FIXED 4.5 3142GQBS0 4549736.300000 PA USD 4412751.840000 1.31853 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 4.5 N N N N N N N/A N/A REVERSE REPO JPM CHASE 000000000 -1011250.000000 PA USD -1011843.270000 -0.302338 Short RA US N 2 Reverse repurchase N 5.280000 2024-01-02 1000000.000000 USD 993964.840000 USD UST N N N N/A N/A SOLD ZAR BOUGHT USD 20240117 000000000 1.000000 NC -21182.660000 -0.0063294 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10397981.810000 ZAR 546586.160000 USD 2024-01-17 -21182.660000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H31 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H31 FT 38376RMX1 73738.280000 PA USD 73558.350000 0.0219792 Long ABS-MBS USGSE US N 2 2065-11-20 Floating 6.08719 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1 92925CBA9 5369.400000 PA USD 5227.960000 0.0015621 Long ABS-MBS CORP US N 2 2045-12-25 Floating 6.01043 N N N N N N ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 ASIAN DEVELOPMENT BANK SR UNSECURED 03/24 4.7 ACI1W7BZ3 41000000.000000 PA 2381158.990000 0.711488 Long DBT CORP N/A N 2 2024-03-12 Fixed 4.7 N N N N N N N/A N/A RFR USD SOFR/3.34000 02/23/23-7Y LCH 000000000 1.000000 NC USD -37088.290000 -0.0110819 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-02-23 0.000000 USD -5160.000000 USD 1500000.000000 USD -31928.290000 N N N N/A N/A BOUGHT JPY SOLD USD 20240109 000000000 1.000000 NC 35696.900000 0.0106662 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 799581.260000 USD 117700000.000000 JPY 2024-01-09 35696.900000 N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1 12669GHG9 2588.430000 PA USD 2579.850000 0.0007709 Long ABS-MBS CORP US N 2 2035-02-20 Floating 5.00327 N N N N N N SLM STUDENT LOAN TRUST 2005-7 N/A SLM STUDENT LOAN TRUST SLMA 2005 7 A4 78442GQJ8 18457.860000 PA USD 18450.730000 0.0055131 Long ABS-O CORP US N 2 2029-10-25 Floating 5.74564 N N N N N N N/A N/A RFR USD SOFR/4.23250 09/13/23-1Y LCH 000000000 1.000000 NC USD -41958.640000 -0.0125372 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-09-13 0.000000 USD -21150.000000 USD 4500000.000000 USD -20808.640000 N N N SUMITOMO MITSUI TRUST BANK LIMITED 5493006GGLR4BTEL8O61 SUMITOMO MITSUI TR BK LT SR UNSECURED 144A 03/28 5.5 86563VBH1 400000.000000 PA USD 409822.530000 0.122454 Long DBT CORP JP N 2 2028-03-09 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 4678 N/A FREDDIE MAC FHR 4678 AF 3137BWWX8 388927.860000 PA USD 387415.130000 0.115759 Long ABS-MBS USGSE US N 2 2042-12-15 Floating 5.1303 N N N N N N LOANPAL SOLAR LOAN 2021-2GS LTD N/A LOANPAL SOLAR LOAN LTD. LPSLT 2021 2GS A 144A 53948QAA4 841080.430000 PA USD 628344.020000 0.187749 Long ABS-O CORP US N 2 2048-03-20 Fixed 2.22 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A 78432WAA1 2200000.000000 PA USD 2063981.920000 0.616716 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.62648 N N N N N N N/A N/A RFR JPY MUTK/0.00000 03/17/21-3Y LCH 000000000 1.000000 NC 2618.620000 0.0007824 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2024-03-17 17400.790000 JPY 0.000000 JPY 1180000000.000000 JPY -14782.170000 N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 FREDDIE MAC NOTES 08/25 0.68 3134GWJN7 8200000.000000 PA USD 7710251.310000 2.30381 Long DBT USGSE US N 2 2025-08-06 Fixed 0.68 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AB3968 FN 12/26 FIXED 3 31417AMS5 352599.790000 PA USD 343107.530000 0.10252 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A 17307GW79 1931.780000 PA USD 1879.030000 0.0005615 Long ABS-MBS CORP US N 2 2035-10-25 Floating 7.78 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL QG6858 FR 07/53 FIXED 5 3133C7TP2 388385.040000 PA USD 384342.280000 0.114841 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 GLOBAL PMTS INC 37961CAB8 1350000.000000 PA USD 1347019.430000 0.402488 Long DBT CORP US N 2 2024-01-11 None 0 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 06/25 5.8 44891ACF2 600000.000000 PA USD 603425.440000 0.180303 Long DBT CORP US N 2 2025-06-26 Fixed 5.8 N N N N N N WEIR GROUP PLC 549300KDR56WHY9I3D10 WEIR GROUP PLC (THE) SR UNSECURED 144A 05/26 2.2 94876QAA4 2500000.000000 PA USD 2325502.480000 0.694858 Long DBT CORP GB N 2 2026-05-13 Fixed 2.2 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080409 G2 05/30 FLOATING VAR 36225CN36 4305.960000 PA USD 4249.970000 0.0012699 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 4 N N N N N N FREDDIE MAC 2266 N/A FREDDIE MAC FHR 2266 F 3133TQFM4 7.820000 PA USD 7.820000 0.0000023 Long ABS-MBS USGSE US N 2 2030-11-15 Floating 5.90292 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H17 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H17 FL 38376REV4 63903.550000 PA USD 63622.290000 0.0190103 Long ABS-MBS USGSE US N 2 2065-06-20 Floating 5.89856 N N N N N N N/A N/A 31750NBE5 OTC EPUT FN 5.0 FEB24 96.8125 PUT 000000000 -600000.000000 NC USD -1133.280000 -0.0003386 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% FEB 30YR N/A 96.810000 USD 2024-02-06 XXXX 460.470000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP SR UNSECURED 12/25 VAR 06051GKE8 1200000.000000 PA USD 1153956.380000 0.344801 Long DBT CORP US N 2 2025-12-06 Floating 1.53 N N N N N N N/A N/A RFR USD SOFR/3.80000 08/22/23-7Y LCH 000000000 1.000000 NC USD 6400.730000 0.0019125 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-08-22 0.000000 USD -1587.500000 USD 500000.000000 USD 7988.230000 N N N DIGITAL DUTCH FINCO BV 549300ONZ5IS6B6IMJ70 DIGITAL DUTCH FINCO BV COMPANY GUAR REGS 07/25 0.625 BKMG42II9 2000000.000000 PA 2093080.660000 0.62541 Long DBT CORP NL N 2 2025-07-15 Fixed 0.625 N N N N N N HONG KONG GOVT 549300DSMAD69T7GGN13 HONG KONG SR UNSECURED 144A 05/24 2.5 43858AAB6 1800000.000000 PA USD 1781001.000000 0.532161 Long DBT NUSS HK N 2 2024-05-28 Fixed 2.5 N N N N N N N/A N/A BOUGHT GBP SOLD USD 20240109 000000000 1.000000 NC 1342.220000 0.0004011 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 416756.800000 USD 328000.000000 GBP 2024-01-09 1342.220000 N N N N/A N/A RFR USD SOFR/4.35000 09/14/23-1Y LCH 000000000 1.000000 NC USD 9776.000000 0.0029211 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-09-14 0.000000 USD 0.000000 USD 1200000.000000 USD 9776.000000 N N N N/A N/A RFR USD SOFR/3.52500 03/02/23-7Y LCH 000000000 1.000000 NC USD -6356.770000 -0.0018994 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-02 0.000000 USD -1387.500000 USD 500000.000000 USD -4969.270000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 BARCLAYS PLC SR UNSECURED 11/26 VAR 06738ECC7 800000.000000 PA USD 826955.140000 0.247093 Long DBT CORP GB N 2 2026-11-02 Floating 7.325 N N N N N N FANNIE MAE REMICS 2010-78 N/A FANNIE MAE FNR 2010 78 PE 31398TAJ0 46315.170000 PA USD 46700.230000 0.013954 Long ABS-MBS USGSE US N 2 2040-07-25 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE 01F040628 4100000.000000 PA USD 3881707.060000 1.15985 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 4 N N N N N N CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY 5493007RI8BUDOGHZ546 CALIFORNIA ST HLTH FACS FING A CASMED 06/26 FIXED 1.168 13032UXN3 1000000.000000 PA USD 922911.200000 0.275765 Long DBT MUN US N 2 2026-06-01 Fixed 1.168 N N N N N N N/A N/A BOUGHT JPY SOLD USD 20240109 000000000 1.000000 NC 59858.710000 0.0178857 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1266888.000000 USD 186953395.000000 JPY 2024-01-09 59858.710000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H10 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H10 FM 38376RAT3 47238.040000 PA USD 46931.310000 0.014023 Long ABS-MBS USGSE US N 2 2065-04-20 Floating 5.88856 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 ENEL FINANCE INTL NV COMPANY GUAR 144A 10/25 6.8 29278GAZ1 1000000.000000 PA USD 1025697.250000 0.306477 Long DBT CORP NL N 2 2025-10-14 Fixed 6.8 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL BM1356 G2 07/49 FIXED 3.5 3617JRQH4 304798.210000 PA USD 286239.310000 0.085528 Long ABS-MBS USGSE US N 2 2049-07-20 Fixed 3.5 N N N N N N N/A N/A BOUGHT JPY SOLD USD 20240109 000000000 1.000000 NC 22280.910000 0.0066575 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 481704.000000 USD 71017090.000000 JPY 2024-01-09 22280.910000 N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080086 G2 06/27 FLOATING VAR 36225CCY0 2075.890000 PA USD 2070.970000 0.0006188 Long ABS-MBS USGSE US N 2 2027-06-20 Floating 3.875 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE + CO SR UNSECURED 10/27 VAR 46647PDW3 1000000.000000 PA USD 1029107.380000 0.307496 Long DBT CORP US N 2 2027-10-22 Floating 6.07 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL CB7218 FN 10/53 FIXED 5 3140QTAU3 2999764.950000 PA USD 2968396.590000 0.886954 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5 N N N N N N N/A N/A US 10YR ULTRA FUT MAR24 XCBT 20240319 000000000 -230.000000 NC USD -1255467.450000 -0.375132 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-03-19 -27087890.740000 USD -1255467.450000 N N N N/A N/A RFR USD SOFR/4.25000 09/14/23-1Y LCH 000000000 1.000000 NC USD -44804.730000 -0.0133876 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-09-14 0.000000 USD 0.000000 USD 4900000.000000 USD -44804.730000 N N N NISSAN AUTO LEASE TRUST 2023-A N/A NISSAN AUTO LEASE TRUST NALT 2023 A A2B 65480VAC7 726182.190000 PA USD 726856.670000 0.217184 Long ABS-O CORP US N 2 2025-03-17 Floating 5.96844 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 SUMITOMO MITSUI FINL GRP SR UNSECURED 01/26 5.464 86562MCT5 1200000.000000 PA USD 1211953.310000 0.36213 Long DBT CORP JP N 2 2026-01-13 Fixed 5.464 N N N N N N N/A N/A SOLD IDR BOUGHT USD 20240320 000000000 1.000000 NC 1331.330000 0.0003978 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 4098087570.000000 IDR 267473.000000 USD 2024-03-20 1331.330000 N N N COUNTRYWIDE ASSET BACKED CERT 2006-BC2 N/A COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC2 M1 22237JAF4 36919.520000 PA USD 36599.110000 0.0109358 Long ABS-MBS CORP US N 2 2045-01-25 Floating 5.89043 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR2 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1 86363DAH4 40866.100000 PA USD 13719.460000 0.0040994 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.73043 N N N N N N N/A N/A SOLD ZAR BOUGHT USD 20240119 000000000 1.000000 NC -5563.350000 -0.0016623 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 2519512.800000 ZAR 131988.370000 USD 2024-01-19 -5563.350000 N N N SERVICE EXPERTS ISSUER 2021-1A LLC N/A SERVICE EXPERTS ISSUER SE 2021 1A A 144A 81758VAA3 841977.210000 PA USD 783132.520000 0.233999 Long ABS-O CORP US N 2 2032-02-02 Fixed 2.67 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 FREDDIE MAC NOTES 10/25 0.65 3134GWZV1 4100000.000000 PA USD 3829176.760000 1.14415 Long DBT USGSE US N 2 2025-10-22 Fixed 0.65 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H10 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H10 FH 38376RAM8 108783.900000 PA USD 107835.170000 0.032221 Long ABS-MBS USGSE US N 2 2065-04-20 Floating 6.03719 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL BP1523 G2 08/49 FIXED 3.5 3617L7VQ9 554908.230000 PA USD 519061.990000 0.155095 Long ABS-MBS USGSE US N 2 2049-08-20 Fixed 3.5 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A TOWD POINT MORTGAGE FUNDING TPMF 2019 A13A A1 144A ACI1G4F01 1248672.000000 PA 1596013.760000 0.476887 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 6.566 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL BM8966 G2 06/49 FIXED 3.5 3617K06B6 256131.280000 PA USD 241662.450000 0.0722085 Long ABS-MBS USGSE US N 2 2049-06-20 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL QG2351 FR 05/53 FIXED 5 3133C2TG3 169040.310000 PA USD 167299.080000 0.0499888 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 05/26 3.625 91282CHB0 37300000.000000 PA USD 36874546.880000 11.0181 Long DBT UST US N 2 2026-05-15 Fixed 3.625 N N N N N N GCT COMMERCIAL MORTGAGE TRUST 2021-GCT N/A GCT COMMERCIAL MORTGAGE TRUST GCT 2021 GCT A 144A 36167RAA1 1700000.000000 PA USD 1278568.810000 0.382035 Long ABS-MBS CORP US N 2 2038-02-15 Floating 6.27648 N N N N N N N/A N/A SOLD JPY BOUGHT USD 20240311 000000000 1.000000 NC -588759.690000 -0.175921 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2041000000.000000 JPY 14036463.170000 USD 2024-03-11 -588759.690000 N N N N/A N/A SOLD IDR BOUGHT USD 20240320 000000000 1.000000 NC 19.170000 0.0000057 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 10488827666.000000 IDR 681194.000000 USD 2024-03-20 19.170000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 01/25 4.125 91282CGG0 14600000.000000 PA USD 14511886.660000 4.33614 Long DBT UST US N 2 2025-01-31 Fixed 4.125 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 735813 FN 07/35 FLOATING VAR 31402RN62 536.390000 PA USD 534.820000 0.0001598 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 5.953 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL RA2970 FR 07/50 FIXED 2.5 3133KJJP8 1719431.390000 PA USD 1471170.000000 0.439584 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.5 N N N N N N EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 635400B4JJBON4TCHF02 EQUITABLE FINANCIAL LIFE SECURED 144A 07/26 1.3 29449W7M3 1700000.000000 PA USD 1533529.230000 0.458217 Long DBT CORP US N 2 2026-07-12 Fixed 1.3 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 BARCLAYS PLC SR UNSECURED 05/26 VAR 06738EBL8 900000.000000 PA USD 868110.130000 0.25939 Long DBT CORP GB N 2 2026-05-07 Floating 2.852 N N N N N N N/A N/A REVERSE REPO DEUTSCHE REVERSE REPO 000000000 -2955000.000000 PA USD -2963030.460000 -0.88535 Short RA US N 2 Reverse repurchase N 5.500000 2024-01-11 3000000.000000 USD 2966484.360000 USD UST N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1 N/A SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A 81377JAB9 40642.900000 PA USD 9271.340000 0.0027703 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.59043 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1 92922F4M7 31590.760000 PA USD 30059.700000 0.0089818 Long ABS-MBS CORP US N 2 2045-10-25 Floating 6.05043 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A2 07384MSJ2 165.440000 PA USD 121.180000 0.0000362 Long ABS-MBS CORP US N 3 2033-02-25 Floating 3.25001 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1 07384MZS4 3069.330000 PA USD 2914.260000 0.0008708 Long ABS-MBS CORP US N 2 2034-01-25 Floating 5.65211 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A 17307GW53 1343.110000 PA USD 1316.170000 0.0003933 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.98 N N N N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 AMERICAN HONDA FINANCE SR UNSECURED 01/25 VAR 02665WEP2 800000.000000 PA USD 800839.550000 0.23929 Long DBT CORP US N 2 2025-01-10 Floating 6.02898 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL DA0936 FN 10/53 FIXED 5 3140A1BE6 1369115.680000 PA USD 1354798.920000 0.404813 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 844532 FN 11/35 FLOATING VAR 31407YHH5 2695.440000 PA USD 2650.260000 0.0007919 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 6.765 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 SO. CALIF EDISON 8424C0A34 1000000.000000 PA USD 999219.540000 0.298566 Long DBT CORP US N 2 2024-01-03 None 0 N N N N N N SUMIT 2022-BVUE MORTGAGE TRUST N/A SUMIT 2022 BVUE MORTGAGE TRUST SUMMT 2022 BVUE A 144A 865592AA7 1800000.000000 PA USD 1407750.120000 0.420634 Long ABS-MBS CORP US N 2 2041-02-12 Fixed 2.789 N N N N N N N/A N/A RFR USD SOFR/2.00000 12/21/22-10Y CME 000000000 1.000000 NC USD 804735.110000 0.240454 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-12-21 736760.720000 USD 0.000000 USD 7140000.000000 USD 67974.390000 N N N STRUCTURED ASSET INVESTMENT LN TR 2004-2 N/A STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4 86358EGW0 46053.560000 PA USD 45130.250000 0.0134849 Long ABS-MBS CORP US N 2 2034-03-25 Floating 6.17543 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 REPUBLIC OF KOREA SR UNSECURED 06/24 2 50064FAR5 1200000.000000 PA USD 1183085.830000 0.353505 Long DBT NUSS KR N 2 2024-06-19 Fixed 2 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-LIH N/A STARWOOD COMMERCIAL MORTGAGE T STWD 2021 LIH A 144A 78486EAA6 1840000.000000 PA USD 1799704.740000 0.53775 Long ABS-MBS CORP US N 2 2036-11-15 Floating 6.334 N N N N N N N/A N/A SOLD MXN BOUGHT USD 20240131 000000000 1.000000 NC -60326.910000 -0.0180256 N/A DFE MX N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 38164000.000000 MXN 2177131.210000 USD 2024-01-31 -60326.910000 N N N N/A N/A SOLD CNH BOUGHT USD 20240326 000000000 1.000000 NC -527.800000 -0.0001577 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 192524.670000 CNY 26646.500000 USD 2024-03-26 -527.800000 N N N FNMA PASS THRU POOLS N/A FNMA POOL MA5137 FN 09/53 FIXED 5 31418EV72 1839436.950000 PA USD 1820202.070000 0.543874 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5 N N N N N N N/A N/A SOLD ZAR BOUGHT USD 20240119 000000000 1.000000 NC -28254.140000 -0.0084423 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 43308854.140000 ZAR 2336174.170000 USD 2024-01-19 -28254.140000 N N N BSST 2021-1818 MORTGAGE TRUST N/A BSST MORTGAGE TRUST BSST 2021 1818 A 144A 07403PAA0 1500000.000000 PA USD 1310141.400000 0.391469 Long ABS-MBS CORP US N 2 2036-03-15 Floating 6.52648 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 303742 FN 08/29 FLOATING VAR 31373ULX3 2523.240000 PA USD 2478.670000 0.0007406 Long ABS-MBS USGSE US N 2 2029-08-01 Floating 4.466 N N N N N N N/A N/A RFR USD SOFR/3.08750 11/07/23-1Y LCH 000000000 1.000000 NC USD -71482.900000 -0.021359 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-11-07 0.000000 USD -27550.000000 USD 3800000.000000 USD -43932.900000 N N N FNMA PASS THRU POOLS N/A FNMA POOL MA5071 FN 07/53 FIXED 5 31418ET59 312710.580000 PA USD 309440.580000 0.0924605 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5 N N N N N N N/A N/A 31750NBD7 OTC ECAL FN 5.0 FEB24 100.8125 CALL 000000000 -600000.000000 NC USD -1065.780000 -0.0003185 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% FEB 30YR N/A 100.810000 USD 2024-02-06 XXXX -57.970000 N N N N/A N/A RFR JPY MUTK/0.2000 12/15/21-20Y LCH 000000000 1.000000 NC 194335.340000 0.0580672 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2041-12-15 90750.460000 JPY 0.000000 JPY 160000000.000000 JPY 103584.880000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H08 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H08 FB 38375UUZ1 475866.670000 PA USD 472098.000000 0.141062 Long ABS-MBS USGSE US N 2 2065-03-20 Floating 6.06719 N N N N N N EUROSAIL-UK 2007-4BL PLC 4X N/A EUROSAIL PLC ESAIL 2007 4X A3 REGS BTGD2JII9 528814.000000 PA 670008.530000 0.200198 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 6.26451 N N N N N N OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5 N/A OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 5 1APT 68383NCU5 21518.130000 PA USD 19928.830000 0.0059547 Long ABS-MBS CORP US N 2 2035-12-25 Floating 6.03043 N N N N N N FREDDIE MAC REMICS 4272 N/A FREDDIE MAC FHR 4272 YG 3137B6DF5 18414.740000 PA USD 18228.340000 0.0054466 Long ABS-MBS USGSE US N 2 2026-11-15 Fixed 2 N N N N N N FANNIE MAE 2005-84 N/A FANNIE MAE FNR 2005 84 XM 31394FN50 3226.790000 PA USD 3245.400000 0.0009697 Long ABS-MBS USGSE US N 2 2035-10-25 Fixed 5.75 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BY4733 FN 06/53 FIXED 5 3140NMHK6 498971.160000 PA USD 493753.450000 0.147533 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N SUMIT 2022-BVUE MORTGAGE TRUST N/A SUMIT 2022 BVUE MORTGAGE TRUST SUMMT 2022 BVUE B 144A 865592AE9 300000.000000 PA USD 226033.290000 0.0675385 Long ABS-MBS CORP US N 2 2041-02-12 Fixed 2.85 N N N N N N GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST 2021-3CS N/A GOODLEAP SUSTAINABLE HOME IMPR GOOD 2021 3CS A 144A 382371AA0 1794138.760000 PA USD 1386871.240000 0.414396 Long ABS-O CORP US N 2 2048-05-20 Fixed 2.1 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL QH2457 FR 10/53 FIXED 5 3133CEWS7 1231137.260000 PA USD 1219085.990000 0.364262 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL SD8329 FR 06/53 FIXED 5 3132DWHE6 1333349.490000 PA USD 1319406.730000 0.394237 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N FREDDIE MAC MULTICLASS CERTIFICATES SERIES 2020-P003 N/A FREDDIE MAC MULTICLASS CERTIFI FHMR 2020 P003 A1 3137FWHY9 2961144.920000 PA USD 2549570.950000 0.761809 Long ABS-MBS MUN US N 2 2031-02-25 Fixed 0.82638 N N N N N N TESLA AUTO LEASE TRUST 2023-A N/A TESLA AUTO LEASE TRUST TESLA 2023 A A2 144A 88167PAB4 1500000.000000 PA USD 1503093.300000 0.449123 Long ABS-O CORP US N 2 2025-08-20 Fixed 5.86 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K730 N/A FHLMC MULTIFAMILY STRUCTURED P FHMS K730 A2 3137FEUA6 1426488.690000 PA USD 1403945.180000 0.419497 Long ABS-MBS USGSE US N 2 2025-01-25 Fixed 3.59 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BY5837 FN 07/53 FIXED 5 3140NNPX7 84200.960000 PA USD 83320.480000 0.0248961 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5 N N N N N N RENEW WIND ENERGY AP2 / RENEW POWER PVT LTD OTHER 9 SUBSIDIARIES N/A 10 RENEW POWER SUBSIDIAR SR SECURED REGS 07/28 4.5 Y7280PAA1 1200000.000000 PA USD 1067528.700000 0.318976 Long DBT CORP IN N 2 2028-07-14 Fixed 4.5 N N N N N N N/A N/A RFR USD SOFR/4.27000 09/13/23-1Y LCH 000000000 1.000000 NC USD 17009.020000 0.0050823 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-09-13 0.000000 USD 0.000000 USD 1900000.000000 USD 17009.020000 N N N N/A N/A RFR JPY MUTK/0.4500 12/15/21-30Y LCH 000000000 1.000000 NC 60188.750000 0.0179843 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2051-12-15 23138.630000 JPY 0.000000 JPY 37000000.000000 JPY 37050.120000 N N N FNMA PASS THRU POOLS N/A FNMA POOL DA0566 FN 09/53 FIXED 5 3140A0TY5 1141110.750000 PA USD 1129178.220000 0.337397 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5 N N N N N N SUNNOVA SOL V ISSUER LLC 2023-1A N/A SUNNOVA SOL V ISSUER, LLC SNVA 2023 1A A 144A 86745XAA4 495481.350000 PA USD 483540.050000 0.144481 Long ABS-O CORP US N 2 2058-04-30 Fixed 5.4 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL A14613 FG 10/33 FIXED 5 31296PDS8 2119.820000 PA USD 2157.970000 0.0006448 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5 N N N N N N NEW YORK CITY HOUSING DEVELOPMENT CORP 549300SQWVHKBRF8D702 NEW YORK CITY NY HSG DEV CORP NYCMFH 11/24 FIXED 0.517 64972ETX7 100000.000000 PA USD 96333.310000 0.0287843 Long DBT MUN US N 2 2024-11-01 Fixed 0.517 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE 01F030637 -8000000.000000 PA USD -7094062.560000 -2.1197 Short ABS-MBS USGSE US N 2 2054-03-13 Fixed 3 N N N N N N N/A N/A RFR JPY MUTK/0.6699 02/09/22-30Y LCH 000000000 1.000000 NC 41569.890000 0.012421 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2052-02-09 0.000000 JPY 0.000000 JPY 34000000.000000 JPY 41569.890000 N N N N/A N/A REVERSE REPO DEUTSCHE REVERSE REPO 000000000 -7261250.000000 PA USD -7285611.500000 -2.17693 Short RA US N 2 Reverse repurchase N 5.490000 2024-01-04 7400000.000000 USD 7317328.090000 USD UST N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION (FANNIE MAE) B1V7KEBTPIMZEU4LTD58 FANNIE MAE NOTES 07/25 0.7 3135G05M1 8200000.000000 PA USD 7717226.640000 2.3059 Long DBT USGSE US N 2 2025-07-30 Fixed 0.7 N N N N N N MORGAN STANLEY CAPITAL I INC 2021-230P N/A MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P A 144A 61772WAA5 1100000.000000 PA USD 1028034.810000 0.307176 Long ABS-MBS CORP US N 2 2038-12-15 Floating 6.64549 N N N N N N N/A N/A IRS NZD 4.00000 06/14/23-1Y (WHT) LCH 000000000 1.000000 NC -397670.140000 -0.118823 N/A DIR NZ N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 NZ$ Bank Bill 3M FRA N/A N/A Y 2024-06-14 0.000000 NZD -184992.100000 NZD 79400000.000000 NZD -212678.040000 N N N EUROPEAN BANK FOR RECONSTRUCTION & DEVELOPMENT (EBRD) 549300HTGDOVDU6OGK19 EUROPEAN BK RECON + DEV SR UNSECURED 09/24 1.625 29874QAY0 2800000.000000 PA USD 2731656.030000 0.816216 Long DBT CORP N/A N 2 2024-09-27 Fixed 1.625 N N N N N N N/A N/A 31750NBC9 OTC EPUT FN 4.5 FEB24 95.8125 PUT 000000000 -700000.000000 NC USD -3118.570000 -0.0009318 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 4.5% FEB 30YR N/A 95.810000 USD 2024-02-06 XXXX 736.900000 N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1 362341XG9 16584.550000 PA USD 14655.000000 0.0043789 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.511 N N N N N N N/A N/A RFR JPY MUTK/0.6325 02/08/22-30Y LCH 000000000 1.000000 NC 24464.010000 0.0073098 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2052-02-08 0.000000 JPY 0.000000 JPY 19000000.000000 JPY 24464.010000 N N N AMERIQUEST MORTGAGE SEC 2005-R1 N/A AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R1 M4 03072SYB5 1152023.010000 PA USD 1125704.470000 0.336359 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.58043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-WMC2 N/A MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A2FP 61749KAB9 8199.220000 PA USD 3029.350000 0.0009052 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.57043 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 UBS GROUP AG SR UNSECURED 144A 01/27 VAR 902613AU2 1300000.000000 PA USD 1307677.530000 0.390733 Long DBT CORP CH N 2 2027-01-12 Floating 5.711 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1 07386HVS7 6094.390000 PA USD 3614.520000 0.00108 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.72977 N N N N N N FREDDIE MAC STRIPS 332 N/A FREDDIEMAC STRIP FHS 332 V1 3132HUCJ0 109749.350000 PA USD 111468.870000 0.0333068 Long ABS-MBS USGSE US N 2 2044-08-15 Floating 0.955328 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 ENEL FINANCE INTL NV SR UNSECURED 144A 06/25 4.25 29278GAV0 2200000.000000 PA USD 2170354.230000 0.6485 Long DBT CORP NL N 2 2025-06-15 Fixed 4.25 N N N N N N N/A N/A SOLD IDR BOUGHT USD 20240320 000000000 1.000000 NC 1172.510000 0.0003503 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6279755292.000000 IDR 408998.000000 USD 2024-03-20 1172.510000 N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1 863579JG4 24855.090000 PA USD 21223.520000 0.0063416 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.4118 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BK8838 FN 08/48 FIXED 4 3140HNZC9 172123.570000 PA USD 166602.760000 0.0497807 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BY9171 FN 09/53 FIXED 5 3140NSFM1 1204100.230000 PA USD 1191511.570000 0.356022 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL RA9128 FR 08/53 FIXED 5.5 3133KRD92 857741.390000 PA USD 863133.380000 0.257903 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.5 N N N N N N N/A N/A REVERSE REPO DEUTSCHE REVERSE REPO 000000000 -2076375.000000 PA USD -2080491.410000 -0.621649 Short RA US N 2 Reverse repurchase N 5.490000 2024-01-11 2100000.000000 USD 2076539.050000 USD UST N N N CITIGROUP MTGE LOAN TR INC 2008-RR1 N/A CITIGROUP MORTGAGE LOAN TRUST CMLTI 2008 RR1 A1A1 144A 173145AA1 22669.930000 PA USD 19519.170000 0.0058323 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.54043 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AJ8540 FN 01/27 FIXED 3 3138E1P27 64342.480000 PA USD 62637.850000 0.0187161 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A TOWD POINT MORTGAGE FUNDING TPMF 2019 GR4A A1 144A ACI19VH23 285098.800000 PA 363774.760000 0.108696 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 6.3603 N N N N N N GMAC MORTGAGE CORP LOAN TRUST 2005-AR6 N/A GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR6 1A1 36185MBG6 3663.630000 PA USD 3292.220000 0.0009837 Long ABS-MBS CORP US N 2 2035-11-19 Floating 3.63679 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 654952 FN 07/42 FLOATING VAR 31390STH4 5120.210000 PA USD 4972.920000 0.0014859 Long ABS-MBS USGSE US N 2 2042-07-01 Floating 6.212 N N N N N N DROP MORTGAGE TRUST 2021-FILE N/A DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A 26210YAA4 2200000.000000 PA USD 2037271.720000 0.608735 Long ABS-MBS CORP US N 2 2043-10-15 Floating 6.62648 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 918103 FN 05/37 FIXED 6 31411YAC7 375.150000 PA USD 393.580000 0.0001176 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 6 N N N N N N FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KSJ1 N/A FHLMC MULTIFAMILY STRUCTURED P FHMS KSG1 X1 3137FXLY2 13880947.500000 PA USD 812571.230000 0.242795 Long ABS-MBS USGSE US N 2 2030-09-25 Variable 1.14972 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL BX3483 FN 10/53 FIXED 5 3140N72R0 1215783.140000 PA USD 1204050.480000 0.359769 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE 01F022626 -1700000.000000 PA USD -1448320.320000 -0.432757 Short ABS-MBS USGSE US N 2 2054-02-13 Fixed 2.5 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 ING GROEP NV SR UNSECURED 144A 07/26 VAR 456837AU7 3100000.000000 PA USD 2919041.500000 0.872207 Long DBT CORP NL N 2 2026-07-01 Floating 1.4 N N N N N N N/A N/A IRS NZD 4.50000 09/13/23-1Y (WHT) LCH 000000000 1.000000 NC 72656.690000 0.0217097 N/A DIR NZ N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 NZ$ Bank Bill 3M FRA N/A N/A Y 2024-09-13 0.000000 NZD -6648.930000 NZD 33900000.000000 NZD 79305.620000 N N N N/A N/A RFR USD SOFR/2.15000 06/15/22-5Y LCH 000000000 1.000000 NC USD -476613.170000 -0.142412 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2027-06-15 0.000000 USD -26980.000000 USD 7100000.000000 USD -449633.170000 N N N N/A N/A US 5YR NOTE (CBT) MAR24 XCBT 20240328 000000000 -21.000000 NC USD -47195.560000 -0.014102 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-03-28 -2282355.470000 USD -47195.560000 N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL Q56466 FG 06/48 FIXED 4 3132Y0FG0 379591.110000 PA USD 366754.990000 0.109586 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N CAPITAL ONE MULTI-ASSET EXECUTION TRUST 2022-A3 N/A CAPITAL ONE MULTI ASSET EXECUT COMET 2022 A3 A 14041NGB1 1500000.000000 PA USD 1504946.550000 0.449676 Long ABS-MBS CORP US N 2 2027-10-15 Fixed 4.95 N N N N N N CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY 5493007RI8BUDOGHZ546 CALIFORNIA ST HLTH FACS FING A CASMED 06/24 FIXED 2.02 13032UVB1 3000000.000000 PA USD 2961132.900000 0.884783 Long DBT MUN US N 2 2024-06-01 Fixed 2.02 N N N N N N HANNON ARMSTRONG (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC) N/A HAT HOLDINGS I LLC/HAT COMPANY GUAR 144A 06/26 3.375 418751AE3 850000.000000 PA USD 799419.990000 0.238866 Long DBT CORP US N 2 2026-06-15 Fixed 3.375 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA5189 FN 11/53 FIXED 5 31418EXT2 1575061.680000 PA USD 1558591.350000 0.465705 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 5 N N N N N N N/A N/A SOLD JPY BOUGHT USD 20240311 000000000 1.000000 NC -135930.670000 -0.0406159 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 439000000.000000 JPY 3009817.900000 USD 2024-03-11 -135930.670000 N N N NEW YORK CITY HOUSING DEVELOPMENT CORP 549300SQWVHKBRF8D702 NEW YORK CITY NY HSG DEV CORP NYCMFH 11/26 FIXED 1.123 64972EUB3 250000.000000 PA USD 225865.550000 0.0674884 Long DBT MUN US N 2 2026-11-01 Fixed 1.123 N N N N N N N/A N/A RFR USD SOFR/3.75000 11/21/23-1Y LCH 000000000 1.000000 NC USD -30515.860000 -0.0091181 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-11-21 0.000000 USD -9425.000000 USD 2600000.000000 USD -21090.860000 N N N FNMA PASS THRU POOLS N/A FNMA POOL BX9727 FN 04/53 FIXED 5 3140NEYZ2 627170.590000 PA USD 620612.300000 0.185438 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5 N N N N N N N/A N/A US 10YR NOTE (CBT)MAR24 XCBT 20240319 000000000 -346.000000 NC USD -1170944.270000 -0.349877 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-03-19 -39003390.450000 USD -1170944.270000 N N N AVANGRID INC (AKA: IBERDROLA USA INC; ENERGY EAST CORPORATION) 549300OX0Q38NLSKPB49 AVANGRID INC SR UNSECURED 12/24 3.15 05351WAA1 2200000.000000 PA USD 2151282.580000 0.642801 Long DBT CORP US N 2 2024-12-01 Fixed 3.15 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 GLOBAL PMTS INC 37961CAH5 1000000.000000 PA USD 996775.450000 0.297835 Long DBT CORP US N 2 2024-01-17 None 0 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 SANTANDER UK GROUP HLDGS SR UNSECURED 11/26 VAR 80281LAS4 1200000.000000 PA USD 1222956.720000 0.365418 Long DBT CORP GB N 2 2026-11-21 Floating 6.833 N N N N N N MASTER CREDIT CARD TRUST II 2023-2A N/A MASTER CREDIT CARD TRUST MCCT 2023 2A A 144A 576339DJ1 1000000.000000 PA USD 1004179.300000 0.300048 Long ABS-MBS CORP CA N 2 2027-01-21 Floating 6.1881 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 845052 FN 11/35 FLOATING VAR 31407YZR3 4311.980000 PA USD 4284.490000 0.0012802 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 5.875 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 815195 FN 05/35 FLOATING VAR 31406NUU6 840.710000 PA USD 830.310000 0.0002481 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 5.315 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL QH2697 FR 10/53 FIXED 5 3133CE7J5 1530172.430000 PA USD 1515273.360000 0.452762 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL QH2698 FR 09/53 FIXED 5 3133CE7K2 1335489.860000 PA USD 1321712.430000 0.394926 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5 N N N N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1 57563NAA6 7450.390000 PA USD 7437.890000 0.0022224 Long ABS-O CORP US N 2 2038-04-25 Floating 6.58983 N N N N N N GEMGARTO 2021-1 PLC 21 -1A N/A GEMGARTO GMG 2021 1A A 144A ACI1VNV95 644027.460000 PA 818736.340000 0.244638 Long ABS-MBS CORP GB N 2 2067-12-16 Floating 5.78315 N N N N N N NEW YORK CITY HOUSING DEVELOPMENT CORP 549300SQWVHKBRF8D702 NEW YORK CITY NY HSG DEV CORP NYCMFH 05/25 FIXED 0.823 64972ETY5 225000.000000 PA USD 213012.290000 0.0636478 Long DBT MUN US N 2 2025-05-01 Fixed 0.823 N N N N N N UMBS PASS THRU POOLS N/A FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE 01F052623 1800000.000000 PA USD 1808156.270000 0.540275 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 5.5 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 FREDDIE MAC NOTES 10/25 0.65 3134GW5R3 4100000.000000 PA USD 3825486.760000 1.14305 Long DBT USGSE US N 2 2025-10-27 Fixed 0.65 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-7 N/A SANTANDER DRIVE AUTO RECEIVABL SDART 2022 7 A2 80287FAB8 290394.910000 PA USD 290394.360000 0.0867695 Long ABS-O CORP US N 2 2026-01-15 Fixed 5.81 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-MHC N/A JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 MHC A 144A 466330AA5 2267752.450000 PA USD 2248940.760000 0.671981 Long ABS-MBS CORP US N 2 2038-04-15 Floating 6.27648 N N N N N N N/A N/A SOLD IDR BOUGHT USD 20240320 000000000 1.000000 NC 803.150000 0.00024 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 30008132025.000000 IDR 1949618.110000 USD 2024-03-20 803.150000 N N N FREDDIE MAC REMICS 3376 N/A FREDDIE MAC FHR 3376 FD 31397KZG9 23654.450000 PA USD 23586.520000 0.0070476 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 6.16292 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 080579 G2 02/32 FLOATING VAR 36225CUD6 3364.920000 PA USD 3348.020000 0.0010004 Long ABS-MBS USGSE US N 2 2032-02-20 Floating 3.625 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 813586 FN 03/35 FLOATING VAR 31406L2T4 267.200000 PA USD 265.060000 0.0000792 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 4.55 N N N N N N CONAGRA BRANDS INC 54930035UDEIH090K650 CONAGRA FOODS INC. 20600GAB2 1000000.000000 PA USD 997933.000000 0.298181 Long DBT CORP US N 2 2024-01-11 None 0 N N N N N N DEVELOPMENT BANK OF JAPAN INC (DBJ) 5493001HGBABMWFZUI25 DEVELOPMENT BK OF JAPAN SR UNSECURED REGS 10/25 0.875 BFZP0NII4 680000.000000 PA 723068.360000 0.216052 Long DBT CORP JP N 2 2025-10-10 Fixed 0.875 N N N N N N N/A N/A US 2YR NOTE (CBT) MAR24 XCBT 20240328 000000000 943.000000 NC USD 1662358.410000 0.496711 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-03-28 194151175.070000 USD 1662358.410000 N N N ENTERPRISE FLEET FUNDING LLC 2022-4 N/A ENTERPRISE FLEET FINANCING LLC EFF 2022 4 A2 144A 29374GAB7 696662.150000 PA USD 699017.980000 0.208866 Long ABS-O CORP US N 2 2029-10-22 Fixed 5.76 N N N N N N N/A N/A SOLD GBP BOUGHT USD 20240109 000000000 1.000000 NC -628.120000 -0.0001877 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 138093.000000 GBP 175397.940000 USD 2024-01-09 -628.120000 N N N ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION) 5493008I795YYBFWFU90 ONEMAIN FINANCE CORP COMPANY GUAR 01/27 3.5 682691AB6 1600000.000000 PA USD 1481854.720000 0.442777 Long DBT CORP US N 2 2027-01-15 Fixed 3.5 N N N N N N GREAT HALL MORTGAGES PLC 2007-2X N/A GREAT HALL MORTGAGES PLC GHM 2007 2X AC REGS B1Z97QII7 27275.650000 PA USD 27085.510000 0.0080931 Long ABS-MBS CORP GB N 2 2039-06-18 Floating 5.73085 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL QH1419 FR 08/53 FIXED 5 3133CDSG0 1451321.180000 PA USD 1436513.640000 0.429229 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A 86359LRW1 7509.660000 PA USD 6169.140000 0.0018433 Long ABS-MBS CORP US N 2 2036-02-25 Floating 6.03043 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FE 38376R5H5 200684.300000 PA USD 200993.110000 0.0600565 Long ABS-MBS USGSE US N 2 2067-06-20 Floating 5.61565 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KG01 N/A FHLMC MULTIFAMILY STRUCTURED P FHMS KG01 A10 3137FMCZ3 1900000.000000 PA USD 1769380.320000 0.528689 Long ABS-MBS USGSE US N 2 2029-04-25 Fixed 2.939 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A 30227FAA8 2146912.030000 PA USD 2128697.630000 0.636053 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.55648 N N N N N N N/A N/A SOLD EUR BOUGHT USD 20240109 000000000 1.000000 NC -8371.630000 -0.0025014 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 433000.000000 EUR 469749.010000 USD 2024-01-09 -8371.630000 N N N N/A N/A SOLD BRL BOUGHT USD 20240202 000000000 1.000000 NC -110355.600000 -0.0329741 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 11331743.690000 BRL 2218647.810000 USD 2024-02-02 -110355.600000 N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 ENEL FINANCE INTL NV COMPANY GUAR 144A 07/26 1.375 29278GAM0 1500000.000000 PA USD 1367027.030000 0.408466 Long DBT CORP NL N 2 2026-07-12 Fixed 1.375 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AN6870 FN 10/27 FLOATING VAR 3138LKT49 979597.620000 PA USD 974113.460000 0.291064 Long ABS-MBS USGSE US N 2 2027-10-01 Floating 5.865 N N N N N N VASA TRUST 2021-VASA N/A VASA TRUST VASA 2021 VASA A 144A 92230AAA4 2900000.000000 PA USD 2625997.850000 0.784645 Long ABS-MBS CORP US N 2 2039-07-15 Floating 6.37648 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL CB2786 FN 01/52 FIXED 3 3140QNCY6 4500422.300000 PA USD 3984749.110000 1.19064 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H22 FA 38376RC95 422422.430000 PA USD 422226.210000 0.126161 Long ABS-MBS USGSE US N 2 2066-10-20 Floating 6.20719 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL 847415 FH 06/35 FLOATING VAR 3128JRGY6 10539.380000 PA USD 10780.940000 0.0032213 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 5.491 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL QH2700 FR 10/53 FIXED 5 3133CE7M8 1400702.760000 PA USD 1386055.700000 0.414152 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5 N N N N N N FANNIE MAE 2009-111 N/A FANNIE MAE FNR 2009 111 EZ 31398GRQ4 43825.620000 PA USD 44196.650000 0.0132059 Long ABS-MBS USGSE US N 2 2040-01-25 Fixed 5 N N N N N N N/A N/A SOLD IDR BOUGHT USD 20240320 000000000 1.000000 NC 1470.120000 0.0004393 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 10378285168.000000 IDR 675466.000000 USD 2024-03-20 1470.120000 N N N N/A N/A SOLD GBP BOUGHT USD 20240109 000000000 1.000000 NC -21047.610000 -0.006289 N/A DFE GB N 2 UBS AG BFM8T61CT2L1QCEMIK50 2355072.000000 GBP 2980944.160000 USD 2024-01-09 -21047.610000 N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 COOPERATIEVE RABOBANK UA SR UNSECURED 144A 09/26 VAR 74977RDJ0 2400000.000000 PA USD 2229993.070000 0.666319 Long DBT CORP NL N 2 2026-09-24 Floating 1.004 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2 86359BGG0 10813.770000 PA USD 10222.160000 0.0030544 Long ABS-MBS CORP US N 2 2034-02-25 Floating 6.47804 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1 126670LE6 27291.670000 PA USD 24849.770000 0.0074251 Long ABS-MBS CORP US N 2 2036-02-20 Floating 7.93997 N N N N N N N/A N/A RFR USD SOFR/4.75000 09/14/23-1Y LCH 000000000 1.000000 NC USD -20374.410000 -0.0060879 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-09-14 0.000000 USD 0.000000 USD 4900000.000000 USD -20374.410000 N N N N/A N/A SOLD GBP BOUGHT USD 20240109 000000000 1.000000 NC -3296.630000 -0.000985 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 526481.000000 GBP 667804.560000 USD 2024-01-09 -3296.630000 N N N MORGAN STANLEY CAPITAL I TRUST 2018-SUN N/A MORGAN STANLEY CAPITAL I TRUST MSC 2018 SUN A 144A 61691MAA5 2800000.000000 PA USD 2777107.480000 0.829797 Long ABS-MBS CORP US N 2 2035-07-15 Floating 6.55883 N N N N N N GSR MTGE LOAN TRUST 2004-7 N/A GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1 36228F4P8 5908.780000 PA USD 5722.850000 0.00171 Long ABS-MBS CORP US N 2 2034-06-25 Floating 4.23956 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 BPCE SA SR UNSECURED 144A 01/27 VAR 05583JAN2 400000.000000 PA USD 403358.160000 0.120523 Long DBT CORP FR N 2 2027-01-18 Floating 5.975 N N N N N N SOUTHERN POWER COMPANY 5LADC78JBG2BMZD5XF57 SOUTHERN POWER CO SR UNSECURED 01/26 0.9 843646AW0 1000000.000000 PA USD 921756.380000 0.27542 Long DBT CORP US N 2 2026-01-15 Fixed 0.9 N N N N N N N/A N/A 317U391O7 PIMCO FPPSWAPTION 2.697 CALL USD 000000000 -7700000.000000 NC USD -1245.090000 -0.000372 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A RFR USD SOFR/2.69700 04/04/24-1Y LCH 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.69700 04/04/24-1Y LCH 2025-04-04 0.000000 USD 0.000000 USD N/A USD N/A 2.700000 USD 2024-04-02 XXXX 59151.790000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 BNP PARIBAS SR UNSECURED 144A 01/25 VAR 09659W2G8 1000000.000000 PA USD 999926.330000 0.298777 Long DBT CORP FR N 2 2025-01-10 Floating 4.705 N N N N N N MOSAIC SOLAR LOAN TRUST 2022-1A N/A MOSAIC SOLAR LOANS LLC MSAIC 2022 1A A 144A 61946QAA9 1755954.460000 PA USD 1504954.120000 0.449679 Long ABS-O CORP US N 2 2053-01-20 Fixed 2.64 N N N N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 QUANTA SVCS INC DISC COML PAPE 74767GA44 2000000.000000 PA USD 1998087.860000 0.597027 Long DBT CORP US N 2 2024-01-04 None 0 N N N N N N FANNIEMAE WHOLE LOAN 2003-W1 N/A FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1 31392GVX0 2697.980000 PA USD 2584.660000 0.0007723 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 6.5 N N N N N N NORINCHUKIN BANK LTD 5493007VSMFZCPV1NB83 NORINCHUKIN BANK SR UNSECURED 144A 03/28 5.43 656029AL9 600000.000000 PA USD 612689.620000 0.183071 Long DBT CORP JP N 2 2028-03-09 Fixed 5.43 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL CA0241 FN 08/47 FIXED 4 3140Q7HT7 397513.930000 PA USD 383217.550000 0.114505 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL RA9796 FR 09/53 FIXED 4.5 3133KR3D4 2898928.800000 PA USD 2811647.210000 0.840117 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 4.5 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 JAPAN TREASURY DISC BILL BILLS 03/24 0.00000 ACI2LHPF0 2480000000.000000 PA 17594456.730000 5.2572 Long DBT NUSS JP N 2 2024-03-11 None 0 N N N N N N BX TRUST 2022-FOX2 N/A BX TRUST BX 2022 FOX2 A2 144A 05610AAW8 623766.730000 PA USD 606161.540000 0.18112 Long ABS-MBS CORP US N 2 2039-04-15 Floating 6.11101 N N N N N N BANK OF IRELAND GROUP PLC 635400C8EK6DRI12LJ39 BANK OF IRELAND GROUP SR UNSECURED 144A 09/26 VAR 06279JAC3 3000000.000000 PA USD 3035288.610000 0.906941 Long DBT CORP IE N 2 2026-09-16 Floating 6.253 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 INTESA SANPAOLO SPA REGS 12/24 0.75 ACI1H4ZM0 2000000.000000 PA 2149134.830000 0.642159 Long DBT CORP IT N 2 2024-12-04 Fixed 0.75 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL RJ0046 FR 10/53 FIXED 4 3142GQBQ4 1055409.810000 PA USD 998109.170000 0.298234 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 4 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH N/A JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 NYAH A 144A 46654EAA9 2200000.000000 PA USD 2152703.080000 0.643225 Long ABS-MBS CORP US N 2 2038-06-15 Floating 6.23648 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2 466247ZP1 21042.230000 PA USD 9806.220000 0.0029301 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL QG8791 FR 08/53 FIXED 5 3133C9XU2 582643.530000 PA USD 576550.860000 0.172273 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5 N N N N N N NEW YORK CITY HOUSING DEVELOPMENT CORP 549300SQWVHKBRF8D702 NEW YORK CITY NY HSG DEV CORP NYCMFH 11/25 FIXED 0.923 64972ETZ2 250000.000000 PA USD 232780.950000 0.0695547 Long DBT MUN US N 2 2025-11-01 Fixed 0.923 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KG01 N/A FHLMC MULTIFAMILY STRUCTURED P FHMS KG01 A7 3137FMD25 1900000.000000 PA USD 1831895.450000 0.547368 Long ABS-MBS USGSE US N 2 2026-04-25 Fixed 2.875 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 SOCIETE GENERALE SR UNSECURED REGS 01/25 2.625 83368TAV0 1100000.000000 PA USD 1066565.540000 0.318689 Long DBT CORP FR N 2 2025-01-22 Fixed 2.625 N N N N N N 2024-02-21 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX