NPORT-P false 0000810893 XXXXXXXX S000009701 C000026614 C000026616 C000064149 C000200447 C000026613 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO RealEstateRealReturn Strategy Fund S000009701 HGDM3WP2M1H6NT5B7Y90 2024-03-31 2024-03-31 N 1156840310.800000 626240324.940000 530599985.860000 0.000000 0.000000 494402142.160000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 7922747.020000 GBP EUR USD JPY CAD AUD DKK ARS N Dow Jones US Select REIT Index DWRTFT N/A N/A 000000000 1.000000 NC 3614.240000 0.0006812 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3079406.880000 CNY 427935.400000 USD 2024-04-26 3614.240000 N N N N/A N/A 000000000 1.000000 NC USD 1091640.300000 0.205737 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-11-15 0.000000 USD -1497.050000 USD 10600000.000000 USD 1093137.350000 N N N N/A N/A 000000000 1.000000 NC -649019.950000 -0.122318 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2054-09-18 0.000000 EUR -621946.680000 EUR 12700000.000000 EUR -27073.270000 N N N N/A N/A 000000000 1.000000 NC -239.860000 -0.0000452 N/A DFE IN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 39158.000000 USD 3253011.690000 INR 2024-06-20 -239.860000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1BXN03 1513311610.000000 PA 10541597.920000 1.98673 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N N/A N/A 000000000 1.000000 NC 179.670000 0.0000339 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 156434.000000 USD 13090709.990000 INR 2024-06-20 179.670000 N N N ITALY GOVT 815600DE60799F5A9309 ACI1MHM64 30250141.650000 PA 32312272.300000 6.08976 Long DBT NUSS IT N 2 2025-05-26 Fixed 1.4 N N N N N N N/A N/A 000000000 1.000000 NC USD -927170.590000 -0.17474 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2029-06-03 0.000000 USD 0.000000 USD 6700000.000000 USD -927170.590000 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4H2 25217.380000 PA USD 22122.060000 0.0041693 Long ABS-MBS CORP US N 3 2035-01-25 Floating 5.04259 N N N N N N GSAMP TRUST 2005-WMC1 N/A 362341PU7 22228.100000 PA USD 21677.960000 0.0040856 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.17889 N N N N N N N/A N/A 000000000 1.000000 NC -1155.020000 -0.0002177 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 169672.000000 USD 14085660.420000 INR 2024-06-20 -1155.020000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI2NGGQ6 9208000.000000 PA 12791.220000 0.0024107 Long DBT NUSS AR N 2 2025-06-30 None 0 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936U109 39143.000000 NS USD 2209230.920000 0.416365 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD -396125.300000 -0.0746561 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A EQUITY LIFESTYLE PROPERTIES INC Y 2024-09-04 0.000000 USD 0.000000 USD 8307288.000000 USD -396125.300000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 21983596.690000 PA 2564829.790000 0.483383 Long DBT CORP DK N 2 2052-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 21732.040000 0.0040957 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2029-03-20 0.000000 JPY -32885.770000 JPY 613200000.000000 JPY 54617.810000 N N N N/A N/A 000000000 1.000000 NC 4215.330000 0.0007944 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3088554.380000 CNY 429688.000000 USD 2024-04-19 4215.330000 N N N SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3 N/A 84751XAA0 6566676.020000 PA USD 3342040.810000 0.629861 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.76389 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285W6 15753867.000000 PA USD 15023511.270000 2.83142 Long DBT UST US N 2 2029-01-15 Fixed 0.875 N N N N N N N/A N/A 000000000 1.000000 NC -231.640000 -0.0000437 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 130734.000000 USD 10908170.420000 INR 2024-06-20 -231.640000 N N N N/A N/A 000000000 1.000000 NC -21.180000 -0.000004 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 407513434.000000 IDR 25633.000000 USD 2024-04-30 -21.180000 N N N N/A N/A 000000000 1.000000 NC 1515.290000 0.0002856 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1024703.040000 CNY 142615.000000 USD 2024-04-02 1515.290000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SM1 719646.000000 PA USD 455043.690000 0.0857602 Long DBT UST US N 2 2050-02-15 Fixed 0.25 N N N N N N FNMA PASS THRU POOLS N/A 3140JM5C2 53027.040000 PA USD 49718.730000 0.0093703 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N OZLM XI LTD 2015-11A N/A 67109UAS1 411744.330000 PA USD 412628.510000 0.0777664 Long ABS-CBDO CORP KY N 2 2030-10-30 Floating 6.82904 N N N N N N N/A N/A 000000000 1.000000 NC 5271.330000 0.0009935 N/A DFE CN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2660811.130000 CNY 371819.000000 USD 2024-04-19 5271.330000 N N N STRUCTURED ASSET SEC CORP 2006-GEL4 N/A 86361NAD3 664241.800000 PA USD 647823.340000 0.122093 Long ABS-MBS CORP US N 2 2036-10-25 Floating 6.01389 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI0CR3W9 327.990000 PA 44.100000 0.0000083 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR14 N/A 45660LRU5 1394074.450000 PA USD 991884.390000 0.186936 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.00389 N N N N N N N/A N/A 000000000 1.000000 NC USD -197613.810000 -0.0372435 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 -257731.910000 USD 3201000.000000 USD 60118.100000 N N N N/A N/A 000000000 1.000000 NC -120.250000 -0.0000227 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 20702.160000 USD 1720359.850000 INR 2024-06-20 -120.250000 N N N N/A N/A 000000000 1.000000 NC 148430.570000 0.0279741 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2032-05-15 54285.620000 EUR 0.000000 EUR 7000000.000000 EUR 94144.950000 N N N N/A N/A 000000000 1.000000 NC -2729.050000 -0.0005143 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 491448.060000 USD 453000.000000 EUR 2024-04-02 -2729.050000 N N N NOVASTAR HOME EQUITY LOAN 2005-3 N/A 66987XGY5 267584.210000 PA USD 264129.460000 0.0497794 Long ABS-MBS CORP US N 2 2036-01-25 Floating 6.14889 N N N N N N N/A N/A 000000000 1.000000 NC USD -1733538.020000 -0.326713 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2028-06-06 0.000000 USD 0.000000 USD 18800000.000000 USD -1733538.020000 N N N VOYA CLO LTD 2013-1A N/A 92917CAE2 460087.170000 PA USD 460963.730000 0.0868759 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.7856 N N N N N N N/A N/A 000000000 1.000000 NC -0.760000 -0.0000001 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 24442992.000000 IDR 1538.000000 USD 2024-04-30 -0.760000 N N N N/A N/A 000000000 -728000.000000 PA USD -730849.710000 -0.13774 Short RA US N 2 Reverse repurchase N 5.420000 2024-04-09 700000.000000 USD 717039.430000 USD UST N N N N/A N/A 000000000 1.000000 NC -10639.460000 -0.0020052 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 276000.000000 USD 8460476.000000 TWD 2024-06-20 -10639.460000 N N N INDYMAC INDB MORTGAGE LOAN TR 2006-1 N/A 45661JAA1 3507589.450000 PA USD 1114313.820000 0.21001 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.58389 N N N N N N N/A N/A 000000000 1.000000 NC 36286.650000 0.0068388 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2033-11-15 0.000000 EUR -2644.410000 EUR 1800000.000000 EUR 38931.060000 N N N RESIDENTIAL ASSET SEC TRUST 2005-A5 N/A 45660LJZ3 577891.100000 PA USD 364302.490000 0.0686586 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 339.130000 0.0000639 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 268197.840000 BRL 53814.000000 USD 2024-04-02 339.130000 N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 655.870000 PA USD 640.210000 0.0001207 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.98 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI2NDKJ4 398096.000000 PA 431431.400000 0.0813101 Long DBT NUSS IT N 2 2036-05-15 Fixed 1.8 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TY4 1306188.000000 PA USD 1321877.130000 0.249129 Long DBT UST US N 2 2054-02-15 Fixed 2.125 N N N N N N N/A N/A 000000000 -3001500.000000 PA USD -3006922.710000 -0.566702 Short RA US N 2 Reverse repurchase N 5.420000 2024-04-03 2900000.000000 USD 2970591.920000 USD UST N N N HEALTHPEAK PROPERTIES INC 254900M6MTMZM0I22L81 42250P103 190105.000000 NS USD 3564468.750000 0.671781 Long EC CORP US N 1 N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RT8 2443.710000 PA USD 2414.750000 0.0004551 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.11246 N N N N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AC8 3564352.510000 PA USD 1909180.550000 0.359815 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.94389 N N N N N N N/A N/A 000000000 1.000000 NC USD -154937.950000 -0.0292005 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A PROLOGIS INC Y 2024-09-04 0.000000 USD 0.000000 USD 5697292.500000 USD -154937.950000 N N N RETAIL OPPORTUNITY INVESTMENTS CORP N/A 76131N101 218370.000000 NS USD 2799503.400000 0.527611 Long EC CORP US N 1 N N N N/A N/A 000000000 -398792947.500000 PA USD -400269773.100000 -75.4372 Short RA US N 2 Reverse repurchase N 5.420000 2024-04-18 347761000.000000 USD 337515890.990000 USD UST N N N COUNTRYWIDE HOME LOANS 2006-6 N/A 126694K64 161542.200000 PA USD 80320.870000 0.0151377 Long ABS-MBS CORP US N 2 2036-04-25 Fixed 6 N N N N N N MAN GLG EURO CLO II DAC 2A N/A ACI1DJHC3 93200.230000 PA 100614.430000 0.0189624 Long ABS-CBDO CORP IE N 2 2030-01-15 Floating 4.812 N N N N N N BDS 2022-FL11 LLC N/A 054980AA5 700000.000000 PA USD 697416.840000 0.131439 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 7.12632 N N N N N N N/A N/A 000000000 1.000000 NC USD -45682.190000 -0.0086095 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A CROWN CASTLE INTERNATIONAL CORP (CCI) Y 2025-03-12 0.000000 USD 0.000000 USD 1101000.000000 USD -45682.190000 N N N N/A N/A 000000000 -485.000000 NC USD 4407.640000 0.0008307 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-06-28 -99154081.910000 USD 4407.640000 N N N CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3 N/A 17309QAG9 1046000.000000 PA USD 1011426.770000 0.190619 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.93889 N N N N N N N/A N/A 000000000 1.000000 NC USD 237390.750000 0.0447401 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-05-13 0.000000 USD 0.000000 USD 3000000.000000 USD 237390.750000 N N N FNMA PASS THRU POOLS N/A 3140J6GR2 17268.030000 PA USD 16297.710000 0.0030716 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822V101 29894.000000 NS USD 3163682.020000 0.596246 Long EC CORP US N 1 N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPB9 3284.720000 PA USD 3025.750000 0.0005703 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.73351 N N N N N N N/A N/A 000000000 -22800000.000000 NC -120966.950000 -0.0227981 N/A DIR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.80000 09/03/25-2Y LCH 2027-09-03 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.800000 EUR 2025-09-01 XXXX 166065.320000 N N N N/A N/A 000000000 1.000000 NC 167215.190000 0.0315144 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 49026000.000000 EUR 53120357.360000 USD 2024-05-02 167215.190000 N N N TCI-SYMPHONY CLO LTD 2016-1A N/A 87229WAQ4 4213784.870000 PA USD 4222296.670000 0.795759 Long ABS-CBDO CORP KY N 2 2032-10-13 Floating 6.5956 N N N N N N N/A N/A 000000000 1.000000 NC -164241.860000 -0.030954 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 53055937.200000 USD 49026000.000000 EUR 2024-04-02 -164241.860000 N N N N/A N/A 000000000 -2162250.000000 PA USD -2164206.840000 -0.407879 Short RA US N 2 Reverse repurchase N 5.430000 2024-04-09 1800000.000000 USD 1714179.760000 USD UST N N N VMWARE LLC 549300BUDHS3LRWBE814 928563AC9 161000.000000 PA USD 154255.010000 0.0290718 Long DBT CORP US N 2 2027-08-21 Fixed 3.9 N N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-FM1 N/A 59020UC29 21506.360000 PA USD 21170.880000 0.00399 Long ABS-MBS CORP US N 2 2036-05-25 Floating 6.16389 N N N N N N N/A N/A 000000000 1.000000 NC 1903681.450000 0.358779 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2052-11-04 2439.990000 EUR 0.000000 EUR 3900000.000000 EUR 1901241.460000 N N N GOLDENTREE LOAN MANAGEMENT US CLO 2 LTD 2017-2A N/A 38136MAU2 1806874.850000 PA USD 1807422.320000 0.340637 Long ABS-CBDO CORP KY N 2 2030-11-20 Floating 6.48942 N N N N N N N/A N/A 000000000 1.000000 NC 871.030000 0.0001642 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1571358148.000000 IDR 99654.880000 USD 2024-06-20 871.030000 N N N N/A N/A 000000000 1.000000 NC 249.780000 0.0000471 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 60082200.000000 KRW 44829.000000 USD 2024-04-29 249.780000 N N N N/A N/A 000000000 1.000000 NC -213.500000 -0.0000402 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 128296.000000 USD 10705903.480000 INR 2024-06-20 -213.500000 N N N N/A N/A 000000000 -738750.000000 PA USD -740974.460000 -0.139648 Short RA US N 2 Reverse repurchase N 5.420000 2024-04-18 600000.000000 USD 575389.450000 USD UST N N N HOME EQUITY PASS-THRU CERTS 2005-4 N/A 437084LR5 1500000.000000 PA USD 1455323.400000 0.274279 Long ABS-MBS CORP US N 2 2035-10-25 Floating 6.52389 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N9610 74679.070000 PA 7868.690000 0.001483 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 6111461.900000 PA 713290.430000 0.134431 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 135.270000 0.0000255 N/A DFE ID N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 567895950.000000 IDR 35886.000000 USD 2024-04-30 135.270000 N N N UDR INC P3CH2EG5X6Z1XWU1OO74 902653104 132917.000000 NS USD 4972424.970000 0.937133 Long EC CORP US N 1 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI22BXB4 1.720000 PA 0.210000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 2 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-50CB N/A 12668ALH6 35958.700000 PA USD 28990.920000 0.0054638 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 19845.970000 0.0037403 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2252643.000000 USD 38251004.460000 MXN 2024-06-20 19845.970000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1RMVS0 1.760000 PA 0.210000 0 Long DBT CORP DK N 2 2043-10-01 Fixed 0.5 N N N N N N MID-AMERICA APARTMENT COMMUNITIES INC 549300FQZKFR5YNSHZ21 59522J103 19357.000000 NS USD 2546994.060000 0.480021 Long EC CORP US N 1 N N N ESSEX PROPERTY TRUST INC 549300TR2H2VEFX0NC60 297178105 23695.000000 NS USD 5800772.950000 1.09325 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -10707.790000 -0.0020181 N/A DFE JP N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 10328553.000000 USD 1561677213.000000 JPY 2024-04-02 -10707.790000 N N N N/A N/A 000000000 1.000000 NC 21028.510000 0.0039632 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2053-10-15 0.000000 EUR 0.000000 EUR 300000.000000 EUR 21028.510000 N N N N/A N/A 000000000 1.000000 NC 85.820000 0.0000162 N/A DFE ID N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1627376584.000000 IDR 102534.000000 USD 2024-04-30 85.820000 N N N N/A N/A 000000000 1.000000 NC 220.210000 0.0000415 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 187820.650000 BRL 37669.000000 USD 2024-04-02 220.210000 N N N N/A N/A 000000000 1.000000 NC USD 9700.030000 0.0018281 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A ALEXANDRIA REAL ESTATE EQUITIES INC Y 2024-09-04 0.000000 USD 0.000000 USD 332155.990000 USD 9700.030000 N N N WMALT MTGE PASS-THRU CERT 2005-7 N/A 93934FBT8 38665.240000 PA USD 30564.400000 0.0057603 Long ABS-MBS CORP US N 3 2035-08-25 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -277367.680000 -0.0522743 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2039-08-15 0.000000 EUR 0.000000 EUR 930000.000000 EUR -277367.680000 N N N GAMING AND LEISURE PROPERTIES INC 5493006GWRDBCZYWTM57 36467J108 152090.000000 NS USD 7006786.300000 1.32054 Long EC CORP US N 1 N N N CUBESMART N/A 229663109 28187.000000 NS USD 1274616.140000 0.240222 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 89807.650000 0.0169257 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2030-08-15 19912.260000 EUR 0.000000 EUR 3600000.000000 EUR 69895.390000 N N N DIAMONDROCK HOSPITALITY COMPANY 529900KKD4BPVBUAQ734 252784301 379070.000000 NS USD 3642862.700000 0.686555 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 387.790000 0.0000731 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 791355621.000000 IDR 50136.570000 USD 2024-06-20 387.790000 N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 174400.070000 PA USD 157313.570000 0.0296482 Long ABS-MBS CORP US N 2 2035-05-19 Floating 5.8808 N N N N N N N/A N/A 000000000 1.000000 NC USD -16024.150000 -0.00302 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A HOST HOTELS & RESORTS INC Y 2024-10-09 0.000000 USD 0.000000 USD 2177886.660000 USD -16024.150000 N N N N/A N/A 000000000 1.000000 NC 4459.960000 0.0008406 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 187094079.000000 KRW 143682.000000 USD 2024-06-20 4459.960000 N N N N/A N/A 000000000 1.000000 NC 4549.770000 0.0008575 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 524258110.000000 JPY 3484156.070000 USD 2024-05-02 4549.770000 N N N KILROY REALTY CORPORATION 549300CXXI18B214UN80 49427F108 44873.000000 NS USD 1634723.390000 0.30809 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD -431659.260000 -0.081353 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2028-05-09 0.000000 USD 0.000000 USD 4710000.000000 USD -431659.260000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 962577261.000000 PA 6676615.960000 1.25831 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 2547144.000000 PA USD 2310969.270000 0.435539 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N N/A N/A 000000000 1.000000 NC -31549.180000 -0.0059459 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-04-15 896.350000 EUR 0.000000 EUR 700000.000000 EUR -32445.530000 N N N N/A N/A 000000000 1.000000 NC 20226.060000 0.0038119 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 28074835.230000 DKK 4080892.000000 USD 2024-04-02 20226.060000 N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8 N/A 12669WAA4 3728981.450000 PA USD 3462217.580000 0.65251 Long ABS-MBS CORP US N 2 2037-11-25 Floating 5.63389 N N N N N N N/A N/A 000000000 1.000000 NC 23747.710000 0.0044756 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2033-11-15 979.230000 EUR 0.000000 EUR 1000000.000000 EUR 22768.480000 N N N VICI PROPERTIES INC 254900RKH6RY9KCJQH63 925652109 341407.000000 NS USD 10170514.530000 1.9168 Long EC CORP US N 1 N N N HIGHWOODS PROPERTIES INC ZIIGTYKL9T0X3HLTDX53 431284108 87300.000000 NS USD 2285514.000000 0.430741 Long EC CORP US N 1 N N N ITALY GOVT 815600DE60799F5A9309 BK5MSXII1 1189820.000000 PA 1215501.720000 0.229081 Long DBT NUSS IT N 2 2030-05-15 Fixed 0.4 N N N N N N N/A N/A 000000000 1.000000 NC -1546.340000 -0.0002914 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2024-08-10 0.000000 EUR -347.120000 EUR 100000.000000 EUR -1199.220000 N N N N/A N/A 000000000 1.000000 NC USD 31303.910000 0.0058997 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A APARTMENT INCOME REIT CORP Y 2024-09-04 0.000000 USD 0.000000 USD 470020.640000 USD 31303.910000 N N N N/A N/A 000000000 1.000000 NC -27.040000 -0.0000051 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 195877096.000000 IDR 12304.000000 USD 2024-04-30 -27.040000 N N N KKR CLO 9 LTD N/A 48250LAW9 464772.320000 PA USD 465706.570000 0.0877698 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 6.5256 N N N N N N N/A N/A 000000000 -633.000000 NC USD 123531.390000 0.0232815 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-06-28 -67708746.250000 USD 123531.390000 N N N NATIONAL STORAGE AFFILIATES TRUST 529900FS06O8GOYNR108 637870106 33120.000000 NS USD 1296979.200000 0.244436 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 399052.950000 0.0752079 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 49479000.000000 EUR 53779467.290000 USD 2024-04-02 399052.950000 N N N N/A N/A 000000000 1.000000 NC -2505.170000 -0.0004721 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 400141.050000 USD 1994303.000000 BRL 2024-04-02 -2505.170000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CFR7 61156400.000000 PA USD 60582246.590000 11.4177 Long DBT UST US N 2 2027-10-15 Fixed 1.625 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-13 N/A 126670GR3 296849.060000 PA USD 258287.390000 0.0486784 Long ABS-MBS CORP US N 2 2036-04-25 Variable 5.805 N N N N N N N/A N/A 000000000 1.000000 NC -767.340000 -0.0001446 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 135600.000000 USD 11270122.800000 INR 2024-06-20 -767.340000 N N N N/A N/A 000000000 1.000000 NC USD 44061.230000 0.008304 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-06-20 82573.770000 USD 0.000000 USD 3100000.000000 USD -38512.540000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGK1 1138731.000000 PA USD 1068558.020000 0.201387 Long DBT UST US N 2 2033-01-15 Fixed 1.125 N N N N N N N/A N/A 000000000 1.000000 NC 216.580000 0.0000408 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 187838.880000 BRL 37669.000000 USD 2024-04-02 216.580000 N N N N/A N/A 000000000 1.000000 NC -4934.720000 -0.00093 N/A DFE DK N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 614580.580000 USD 4215000.000000 DKK 2024-04-02 -4934.720000 N N N FIRST HORIZON ALT MTG SEC 2006-FA8 N/A 32052DAG6 243560.940000 PA USD 98461.780000 0.0185567 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N RLJ LODGING TRUST N/A 74965L101 606063.000000 NS USD 7163664.660000 1.35011 Long EC CORP US N 1 N N N N/A N/A 000000000 -2259625.000000 PA USD -2259625.000000 -0.425862 Short RA US N 2 Reverse repurchase N 5.420000 2024-04-24 2000000.000000 USD 1969462.140000 USD UST N N N N/A N/A 000000000 1.000000 NC USD -67848.630000 -0.0127872 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) Y 2024-09-04 0.000000 USD 0.000000 USD 6343634.000000 USD -67848.630000 N N N COUNTRYWIDE ASSET BACKED CERTS 2006-21 N/A 12667LAA0 47626.160000 PA USD 45701.160000 0.0086131 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.72389 N N N N N N UMBS PASS THRU POOLS N/A 01F042640 14200000.000000 PA USD 13523776.550000 2.54877 Long ABS-MBS USGSE US N 2 2054-04-11 Fixed 4.5 N N N N N N PROLOGIS INC 529900DFH19P073LZ636 74340W103 38768.000000 NS USD 5048368.960000 0.951445 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD -894247.160000 -0.168535 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2028-02-05 20286.880000 USD 0.000000 USD 9350000.000000 USD -914534.040000 N N N N/A N/A 000000000 1.000000 NC 900.010000 0.0001696 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 64986673.000000 KRW 49258.450000 USD 2024-06-20 900.010000 N N N UMBS PASS THRU POOLS N/A 01F052656 2400000.000000 PA USD 2388274.560000 0.450108 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -55675.920000 -0.010493 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2028-09-14 0.000000 JPY -14465.020000 JPY 1250000000.000000 JPY -41210.900000 N N N N/A N/A 000000000 1.000000 NC 2544.230000 0.0004795 N/A DFE NZ N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 209317.000000 NZD 127600.690000 USD 2024-04-02 2544.230000 N N N N/A N/A 000000000 1.000000 NC USD 28176.370000 0.0053103 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A PUBLIC STORAGE Y 2025-03-12 0.000000 USD 0.000000 USD 18444516.750000 USD 28176.370000 N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A N/A ACI1XGH29 498908.580000 PA 534828.090000 0.100797 Long ABS-CBDO CORP IE N 2 2031-11-15 Floating 4.651 N N N N N N N/A N/A 000000000 1.000000 NC 15.080000 0.0000028 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 56755374.000000 IDR 3588.000000 USD 2024-04-30 15.080000 N N N N/A N/A 000000000 1.000000 NC USD -20601.990000 -0.0038828 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A DIGITAL REALTY TRUST INC Y 2025-03-12 0.000000 USD 0.000000 USD 11136727.680000 USD -20601.990000 N N N FREDDIE MAC 3397 N/A 31397PLU2 32519.110000 PA USD 32334.860000 0.006094 Long ABS-MBS USGSE US N 2 2037-12-15 Floating 6.03312 N N N N N N N/A N/A 000000000 1.000000 NC USD -163852.230000 -0.0308806 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-10-31 0.000000 USD -156755.000000 USD 29300000.000000 USD -7097.230000 N N N MAGNETITE XVIII LTD 2016-18A N/A 55953TAS6 519430.410000 PA USD 519531.680000 0.097914 Long ABS-CBDO CORP KY N 2 2028-11-15 Floating 6.4486 N N N N N N N/A N/A 000000000 1.000000 NC 22928.900000 0.0043213 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2033-11-15 0.000000 EUR 0.000000 EUR 1100000.000000 EUR 22928.900000 N N N N/A N/A 000000000 1.000000 NC USD -307248.920000 -0.0579059 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2028-07-09 0.000000 USD -680.000000 USD 3400000.000000 USD -306568.920000 N N N N/A N/A 000000000 1.000000 NC USD -26377.800000 -0.0049713 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-10-31 0.000000 USD -26040.000000 USD 4800000.000000 USD -337.800000 N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 1303065.610000 PA 1645299.790000 0.310083 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 6.36056 N N N N N N ALLIANCE BANCORP TRUST 2007-OA1 N/A 01852TAA1 1385288.420000 PA USD 1164144.300000 0.219402 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.92389 N N N N N N N/A N/A 000000000 1.000000 NC 203.460000 0.0000383 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 187904.650000 BRL 37669.000000 USD 2024-04-02 203.460000 N N N N/A N/A 000000000 1.000000 NC -10996.650000 -0.0020725 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1281628.960000 USD 6392573.010000 BRL 2024-05-03 -10996.650000 N N N N/A N/A 000000000 1.000000 NC 9651.950000 0.0018191 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2028-03-20 0.000000 JPY -3591.300000 JPY 190000000.000000 JPY 13243.250000 N N N ARES EUROPEAN CLO VI BV 2013-6A N/A ACI248306 548764.640000 PA 590407.180000 0.111272 Long ABS-CBDO CORP IE N 2 2030-04-15 Floating 4.552 N N N N N N N/A N/A 000000000 -18900000.000000 NC USD -1.890000 -0.0000004 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written US CPI Urban Consumers NSA N/A N/A N/A 4.000000 USD 2024-04-22 XXXX 137495.610000 N N N N/A N/A 000000000 1.000000 NC -1695882.170000 -0.319616 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2031-03-15 0.000000 EUR -56368.280000 EUR 8200000.000000 EUR -1639513.890000 N N N N/A N/A 000000000 -651.000000 NC USD -973784.490000 -0.183525 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-06-18 -78292921.880000 USD -973784.490000 N N N N/A N/A 000000000 1.000000 NC 161.920000 0.0000305 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 106572.000000 USD 8921461.840000 INR 2024-06-20 161.920000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CJY8 3611376.000000 PA USD 3567449.820000 0.672343 Long DBT UST US N 2 2034-01-15 Fixed 1.75 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI22BY64 5045542.860000 PA 600647.180000 0.113202 Long DBT CORP DK N 2 2053-10-01 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC USD 210940.900000 0.0397552 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A APARTMENT INCOME REIT CORP Y 2024-10-16 0.000000 USD 0.000000 USD 3169076.720000 USD 210940.900000 N N N N/A N/A 000000000 1.000000 NC -3470.190000 -0.000654 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 145634.310000 USD 2261409566.000000 IDR 2024-06-20 -3470.190000 N N N FHLMC PASS THRU POOLS N/A 3128NHPT4 8158.770000 PA USD 8223.090000 0.0015498 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 5.771 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI1WVDP0 3669336.060000 PA 408789.040000 0.0770428 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 20689.920000 0.0038993 N/A DFE DK N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 35283972.740000 DKK 5131467.150000 USD 2024-05-02 20689.920000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PV4 758043.950000 PA USD 751986.860000 0.141724 Long DBT UST US N 2 2028-01-15 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 208357.280000 0.0392682 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A PARK HOTELS & RESORTS INC Y 2024-04-24 0.000000 USD 0.000000 USD 4232535.200000 USD 208357.280000 N N N N/A N/A 000000000 1.000000 NC 69539.180000 0.0131058 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1056703264.000000 JPY 7051072.000000 USD 2024-04-02 69539.180000 N N N N/A N/A 000000000 1.000000 NC USD 1354242.890000 0.255229 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2027-08-25 0.000000 USD 0.000000 USD 8900000.000000 USD 1354242.890000 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 3042.300000 PA USD 29592.460000 0.0055772 Long STIV RF US N 1 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027X100 4935.000000 NS USD 975106.650000 0.183774 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD 256507.040000 0.0483428 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A REALTY INCOME CORPORATION Y 2024-04-24 0.000000 USD 0.000000 USD 7588622.970000 USD 256507.040000 N N N N/A N/A 000000000 1.000000 NC -150261.440000 -0.0283192 N/A DIR FR N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A France CPI Ex Tobacco Y 2038-01-15 4695.030000 EUR 0.000000 EUR 1280000.000000 EUR -154956.470000 N N N N/A N/A 000000000 1.000000 NC -2027.650000 -0.0003821 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 205394.000000 USD 3234955500.000000 IDR 2024-06-20 -2027.650000 N N N GREAT HALL MORTGAGES PLC 2007-1 N/A B1S83ZII1 7042.920000 PA 8852.730000 0.0016684 Long ABS-MBS CORP GB N 2 2039-03-18 Floating 5.44548 N N N N N N N/A N/A 000000000 1.000000 NC -29231.590000 -0.0055092 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-05-15 0.000000 EUR 0.000000 EUR 350000.000000 EUR -29231.590000 N N N N/A N/A 000000000 1.000000 NC 107.900000 0.0000203 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 156858.000000 USD 13120152.120000 INR 2024-06-20 107.900000 N N N N/A N/A 000000000 1.000000 NC 44378.630000 0.0083639 N/A DFE DK N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 35903072.530000 DKK 5237299.000000 USD 2024-04-02 44378.630000 N N N WELLTOWER INC 254900F33BIAR82QTA19 95040Q104 122200.000000 NS USD 11418368.000000 2.15197 Long EC CORP US N 1 N N N FHLMC PASS THRU POOLS N/A 3128JRN77 11642.430000 PA USD 11624.270000 0.0021908 Long ABS-MBS USGSE US N 2 2036-10-01 Floating 5.888 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAA6 3014.210000 PA USD 2597.280000 0.0004895 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.86389 N N N N N N N/A N/A 000000000 1.000000 NC 19430.700000 0.003662 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 20851042.000000 TWD 673418.000000 USD 2024-06-20 19430.700000 N N N N/A N/A 000000000 1.000000 NC USD 447098.240000 0.0842628 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A SIMON PROPERTY GROUP INC Y 2025-03-12 0.000000 USD 0.000000 USD 14757246.860000 USD 447098.240000 N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 154377.390000 PA 18025.750000 0.0033972 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC -22083.330000 -0.004162 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-03-15 0.000000 EUR -13041.450000 EUR 500000.000000 EUR -9041.880000 N N N N/A N/A 000000000 1.000000 NC USD 2855702.880000 0.538203 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2031-02-24 20787.510000 USD 0.000000 USD 25600000.000000 USD 2834915.370000 N N N N/A N/A 000000000 1.000000 NC 497.870000 0.0000938 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 134099.000000 USD 2265562.380000 MXN 2024-06-20 497.870000 N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444U700 3730.000000 NS USD 3078480.900000 0.580189 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD -1076907.000000 -0.20296 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-05-19 0.000000 USD 0.000000 USD 5300000.000000 USD -1076907.000000 N N N N/A N/A 000000000 1.000000 NC 122.340000 0.0000231 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 116556.170000 BRL 23362.000000 USD 2024-04-02 122.340000 N N N REALTY INCOME CORPORATION 549300CUWDAUZSH43859 756109104 52958.000000 NS USD 2865027.800000 0.53996 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 2469.860000 0.0004655 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 389173727.000000 JPY 2585494.000000 USD 2024-05-02 2469.860000 N N N GSR MORTGAGE LOAN TRUST 2006-AR1 N/A 3623414A4 26038.660000 PA USD 23698.960000 0.0044664 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.71251 N N N N N N RYMAN HOSPITALITY PROPERTIES INC (AKA: GAYLORD ENTERTAINMENT CO) 529900GCCWW9SRMPJR11 78377T107 62882.000000 NS USD 7269788.020000 1.37011 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 1212.870000 0.0002286 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 64516903.000000 KRW 49221.740000 USD 2024-06-20 1212.870000 N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAR2 68000.000000 PA USD 60514.220000 0.0114049 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N N/A N/A 000000000 1.000000 NC 4301.300000 0.0008106 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2774844.750000 CNY 386558.000000 USD 2024-04-19 4301.300000 N N N N/A N/A 000000000 1.000000 NC -10939.300000 -0.0020617 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 12306297.490000 CAD 9078324.130000 USD 2024-05-02 -10939.300000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CJH5 13591260.000000 PA USD 13910370.420000 2.62163 Long DBT UST US N 2 2028-10-15 Fixed 2.375 N N N N N N SUNSTONE HOTEL INVESTORS INC 529900ZQ2V52V96ATF67 867892101 360444.000000 NS USD 4015346.160000 0.756756 Long EC CORP US N 1 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 67882059.000000 PA USD 64249751.800000 12.1089 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N N/A N/A 000000000 1.000000 NC 4241312.780000 0.799343 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2052-11-08 542247.180000 EUR 0.000000 EUR 8700000.000000 EUR 3699065.600000 N N N N/A N/A 000000000 1.000000 NC 1810187.780000 0.341159 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2052-11-04 229049.590000 EUR 0.000000 EUR 3700000.000000 EUR 1581138.190000 N N N N/A N/A 000000000 1.000000 NC 1046.950000 0.0001973 N/A DFE KR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 62960963.000000 KRW 47898.000000 USD 2024-06-20 1046.950000 N N N WELLS FARGO HOME EQUITY TRUST 2005-2 N/A 94981PAM2 563000.000000 PA USD 554939.750000 0.104587 Long ABS-MBS CORP US N 2 2034-12-25 Floating 7.84389 N N N N N N N/A N/A 000000000 1.000000 NC 110.460000 0.0000208 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 35286493.000000 KRW 26292.000000 USD 2024-04-29 110.460000 N N N N/A N/A 000000000 1.000000 NC 134.720000 0.0000254 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 107280.820000 BRL 21525.000000 USD 2024-04-02 134.720000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N71 38700500.960000 PA USD 37593398.440000 7.08507 Long DBT UST US N 2 2026-01-15 Fixed 0.625 N N N N N N N/A N/A 000000000 1.000000 NC 130.040000 0.0000245 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 107304.280000 BRL 21525.000000 USD 2024-04-02 130.040000 N N N N/A N/A 000000000 1.000000 NC USD -430307.550000 -0.0810983 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-21 427.800000 USD 0.000000 USD 1200000.000000 USD -430735.350000 N N N APIDOS CLO XXIV 2016-24A N/A 03759CAS9 1445727.950000 PA USD 1448400.180000 0.272974 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 6.52942 N N N N N N N/A N/A 000000000 1.000000 NC 45128.970000 0.0085053 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2053-04-15 4010.260000 EUR 0.000000 EUR 600000.000000 EUR 41118.710000 N N N N/A N/A 000000000 635000.000000 PA USD 635000.000000 0.119676 Long RA US N 2 Repurchase N 2.600000 2024-04-01 630100.000000 USD 647711.010000 USD UST N N N N/A N/A 000000000 1.000000 NC 212.830000 0.0000401 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 187857.680000 BRL 37669.000000 USD 2024-04-02 212.830000 N N N COUNTRYWIDE ASSET-BACKED CERTI 2006-19 N/A 12667CAD4 803241.160000 PA USD 766152.950000 0.144394 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.94389 N N N N N N N/A N/A 000000000 1.000000 NC USD -443736.390000 -0.0836292 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2028-05-10 0.000000 USD 0.000000 USD 4860000.000000 USD -443736.390000 N N N N/A N/A 000000000 -1228750.000000 PA USD -1231154.940000 -0.232031 Short RA US N 2 Reverse repurchase N 5.420000 2024-04-09 1000000.000000 USD 958982.410000 USD UST N N N N/A N/A 000000000 1.000000 NC USD 640650.810000 0.120741 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2027-08-27 0.000000 USD 0.000000 USD 4400000.000000 USD 640650.810000 N N N N/A N/A 000000000 1.000000 NC 10884.460000 0.0020513 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 9078324.130000 USD 12311608.310000 CAD 2024-04-02 10884.460000 N N N N/A N/A 000000000 1.000000 NC USD -707879.440000 -0.133411 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A PROLOGIS INC Y 2024-10-09 0.000000 USD 0.000000 USD 25992580.990000 USD -707879.440000 N N N N/A N/A 000000000 1.000000 NC USD 584936.010000 0.110241 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-11-21 0.000000 USD -1181.170000 USD 5700000.000000 USD 586117.180000 N N N N/A N/A 000000000 1.000000 NC 591.300000 0.0001114 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 165901.000000 USD 2802432.870000 MXN 2024-06-20 591.300000 N N N N/A N/A 000000000 1.000000 NC USD -3491657.880000 -0.658058 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-11-15 0.000000 USD -561000.000000 USD 42500000.000000 USD -2930657.880000 N N N N/A N/A 000000000 -22800000.000000 NC -298326.770000 -0.0562244 N/A DIR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.80000 09/03/25-2Y LCH 2027-09-03 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.800000 EUR 2025-09-01 XXXX -11294.500000 N N N N/A N/A 000000000 1.000000 NC -25017.530000 -0.004715 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 1993974.950000 USD 37339174.910000 ZAR 2024-04-19 -25017.530000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-1 N/A 23245CAA8 286830.270000 PA USD 260532.010000 0.0491014 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.58389 N N N N N N N/A N/A 000000000 1.000000 NC 49505.630000 0.0093301 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A ESTR Volume Weighted Trimmed Mean Rate Y 2025-02-26 19790.870000 EUR 0.000000 EUR 99000000.000000 EUR 29714.760000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 ACI1FB9Q6 200000.000000 PA 185344.900000 0.0349312 Long DBT CORP CH N 2 2029-09-10 Fixed 0.65 N N N N N N N/A N/A 000000000 1.000000 NC 3769.200000 0.0007104 N/A DFE CN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3077597.220000 CNY 427841.000000 USD 2024-04-26 3769.200000 N N N LEHMAN ABS MANUFACTURED HOUSING 2001-B N/A 52519SAM5 3297337.920000 PA USD 2933549.220000 0.552874 Long ABS-O CORP US N 2 2040-04-15 Variable 7.17 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT3 N/A 40430HFM5 179093.390000 PA USD 175115.870000 0.0330034 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.98389 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1W77N5 3952753.640000 PA 440478.030000 0.0830151 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 207814.660000 PA USD 207814.990000 0.039166 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 6.4556 N N N N N N SBA COMMUNICATIONS CORPORATION 5299001HX8ZN8Y8QIT49 78410G104 16079.000000 NS USD 3484319.300000 0.656675 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 111.250000 0.000021 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 498240972.000000 IDR 31477.000000 USD 2024-04-30 111.250000 N N N N/A N/A 000000000 1.000000 NC 4580.550000 0.0008633 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2690608.230000 CNY 375233.000000 USD 2024-04-19 4580.550000 N N N TORO EUROPEAN CLO 5 DAC 5A N/A ACI1RL4C7 532474.650000 PA 573820.790000 0.108146 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 4.682 N N N N N N PALMER SQUARE LOAN FUNDING 2021-4 N/A 69702HAA6 407532.170000 PA USD 407213.810000 0.0767459 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 6.3756 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDX6 3114748.000000 PA USD 2722568.120000 0.513111 Long DBT UST US N 2 2032-01-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC USD 277883.350000 0.0523715 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 DOW JONES US SELECT REIT TOTAL RETURN INDEX N/A N/A Y 2025-03-05 0.000000 USD 0.000000 USD 105976576.750000 USD 277883.350000 N N N CSFB MORTGAGE SECURITIES CORP 2005-9 N/A 2254585Y0 155536.250000 PA USD 73309.050000 0.0138163 Long ABS-MBS CORP US N 3 2035-10-25 Floating 6.14389 N N N N N N N/A N/A 000000000 1.000000 NC 311.480000 0.0000587 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 268336.520000 BRL 53814.000000 USD 2024-04-02 311.480000 N N N COUNTRYWIDE HOME LOANS 2005-R2 N/A 12669GN64 17048.980000 PA USD 16053.580000 0.0030256 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.78389 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 959UCZII7 1126000.000000 PA 1423527.010000 0.268286 Long DBT CORP GB N 2 2040-03-29 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 27224.930000 0.005131 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2031-12-15 6101.540000 JPY 0.000000 JPY 319000000.000000 JPY 21123.390000 N N N LEHMAN XS TRUST 2006-8 N/A 52522HAM4 724483.060000 PA USD 676906.910000 0.127574 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.9 N N N N N N N/A N/A 000000000 1.000000 NC USD -77458.400000 -0.0145983 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2024-08-24 0.000000 USD 0.000000 USD 10300000.000000 USD -77458.400000 N N N INVITATION HOMES INC N/A 46187W107 224403.000000 NS USD 7990990.830000 1.50603 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 1325.320000 0.0002498 N/A DFE CN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 788881.830000 CNY 110000.000000 USD 2024-04-19 1325.320000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Y38 19409668.000000 PA USD 18548371.160000 3.49574 Long DBT UST US N 2 2028-07-15 Fixed 0.75 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1X8QV3 8853171.000000 PA 1033656.390000 0.194809 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N SITE CENTERS CORP W2AVA6SODOQ1LCYJQR54 82981J109 153082.000000 NS USD 2242651.300000 0.422663 Long EC CORP US N 1 N N N COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2004-J9 N/A 12669GFK2 68478.100000 PA USD 66084.370000 0.0124546 Long ABS-MBS CORP US N 2 2035-01-25 Fixed 5.5 N N N N N N ELEVATION CLO LTD 2017-8A N/A 28622VAN0 2420517.820000 PA USD 2421728.080000 0.456413 Long ABS-CBDO CORP KY N 2 2030-10-25 Floating 6.53628 N N N N N N BRIXMOR PROPERTY GROUP INC 5299007UXW6Y0W2EGZ95 11120U105 38195.000000 NS USD 895672.750000 0.168804 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD -80589.470000 -0.0151884 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A SUN COMMUNITIES INC Y 2024-09-04 0.000000 USD 0.000000 USD 1872640.000000 USD -80589.470000 N N N MASTR ASSET BACKED SECURITIES TRUST 2006-AM2 N/A 57645FAC1 825813.600000 PA USD 740386.900000 0.139538 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.78389 N N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-2 N/A 863579V47 81510.000000 PA USD 61203.600000 0.0115348 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.21976 N N N N N N N/A N/A 000000000 1.000000 NC -14212.040000 -0.0026785 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2027-08-15 14895.050000 EUR 0.000000 EUR 3700000.000000 EUR -29107.090000 N N N N/A N/A 000000000 1.000000 NC 2502.930000 0.0004717 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1994303.000000 BRL 398904.480000 USD 2024-05-03 2502.930000 N N N BENEFIT STREET PARTNERS CLO XVI LTD N/A 08181VAN5 1100000.000000 PA USD 1100244.180000 0.207359 Long ABS-CBDO CORP KY N 2 2032-01-17 Floating 6.60814 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15 N/A 38380LJY0 1166633.200000 PA USD 1149431.540000 0.216629 Long ABS-MBS USGSE US N 2 2068-08-20 Floating 6.24637 N N N N N N CITIGROUP MTGE LN TR INC 2007-AMC4 N/A 17313BAF8 3400000.000000 PA USD 3116775.580000 0.587406 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.71389 N N N N N N N/A N/A 000000000 1.000000 NC 4219.480000 0.0007952 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3109227.280000 CNY 432540.000000 USD 2024-04-19 4219.480000 N N N N/A N/A 000000000 -4000000.000000 NC -57693.440000 -0.0108732 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 0.000000 0.000000 DIR N/A IRS EUR R 2.90000 09/02/25-2Y LCH 2027-09-02 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.900000 EUR 2025-08-29 XXXX -5704.710000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI2KW5L7 16050627.540000 PA 16930.280000 0.0031908 Long DBT NUSS AR N 2 2024-05-20 Fixed 3.75 N N N N N N FIRST FRANKLIN MTG LOAN ASSET 2005-FFH3 N/A 32027NVE8 1435982.790000 PA USD 1416572.610000 0.266976 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.31389 N N N N N N EQUITY RESIDENTIAL 5493008RACSH5EP3PI59 29476L107 13983.000000 NS USD 882467.130000 0.166315 Long EC CORP US N 1 N N N BLUEMOUNTAIN EUR CLO 5A N/A ACI1GHFQ5 3200000.000000 PA 3440327.020000 0.648384 Long ABS-CBDO CORP IE N 2 2033-01-15 Floating 4.852 N N N N N N N/A N/A 000000000 -2252125.000000 PA USD -2258567.330000 -0.425663 Short RA US N 2 Reverse repurchase N 5.420000 2024-04-03 2000000.000000 USD 1969462.140000 USD UST N N N CITIGROUP MORTGAGE LOAN TR 2004-HYB2 N/A 17307GEC8 18695.820000 PA USD 16423.080000 0.0030952 Long ABS-MBS CORP US N 2 2034-03-25 Floating 6.24165 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAA4 363349.770000 PA USD 273074.280000 0.0514652 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.66389 N N N N N N N/A N/A 000000000 1.000000 NC 35152.160000 0.006625 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 12309299.690000 CAD 9122656.380000 USD 2024-04-02 35152.160000 N N N HILTON WORLDWIDE HOLDINGS INC 549300HVGPK36ICB0B89 43300A203 12071.000000 NS USD 2574865.010000 0.485274 Long EC CORP US N 1 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 461383.120000 PA USD 354720.230000 0.0668527 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N N/A N/A 000000000 1.000000 NC 279.100000 0.0000526 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 196432.670000 BRL 39445.000000 USD 2024-04-02 279.100000 N N N VIBRANT CLO VII LTD N/A 92558BAJ7 511630.640000 PA USD 511235.290000 0.0963504 Long ABS-CBDO CORP KY N 2 2030-09-15 Floating 6.61942 N N N N N N N/A N/A 000000000 -58.000000 NC USD -36781.630000 -0.0069321 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-06-18 -6422140.600000 USD -36781.630000 N N N FNMA PASS THRU POOLS N/A 31406DAF3 3057.100000 PA USD 3052.780000 0.0005753 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 6.289 N N N N N N N/A N/A 000000000 1.000000 NC -168.220000 -0.0000317 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 130436.000000 USD 10888562.500000 INR 2024-06-20 -168.220000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDC2 38819368.000000 PA USD 37040558.970000 6.98088 Long DBT UST US N 2 2026-10-15 Fixed 0.125 N N N N N N FIRST INDUSTRIAL REALTY TRUST INC N/A 32054K103 155647.000000 NS USD 8177693.380000 1.54122 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 5557.010000 0.0010473 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 4769054.280000 CNY 662700.000000 USD 2024-04-26 5557.010000 N N N N/A N/A 000000000 14.000000 NC 27033.780000 0.0050949 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A ITALY GOVT 2024-06-06 1797514.980000 EUR 27033.780000 N N N N/A N/A 000000000 1.000000 NC -139598.990000 -0.0263096 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-04-11 0.000000 EUR -8339.650000 EUR 1700000.000000 EUR -131259.340000 N N N AMERICAN HOMES 4 RENT 549300ZJUO7A58PNUW40 02665T306 249458.000000 NS USD 9175065.240000 1.72919 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -351.240000 -0.0000662 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 49298.090000 USD 778599244.000000 IDR 2024-06-20 -351.240000 N N N WASHINGTON MUTUAL 2006-AR8 N/A 93362FAJ2 3857.080000 PA USD 3392.920000 0.0006394 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.37119 N N N N N N N/A N/A 000000000 1.000000 NC USD -1087599.330000 -0.204975 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-13 0.000000 USD -144481.350000 USD 16800000.000000 USD -943117.980000 N N N ARES EUROPEAN CLO 7A N/A ACI1WSXP5 433964.350000 PA 467363.360000 0.0880821 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 4.602 N N N N N N N/A N/A 000000000 1.000000 NC 11167.870000 0.0021048 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 341113300.000000 KRW 265000.000000 USD 2024-06-20 11167.870000 N N N N/A N/A 000000000 1.000000 NC 65200.150000 0.012288 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2656832640.000000 KRW 2042225.020000 USD 2024-06-20 65200.150000 N N N N/A N/A 000000000 1.000000 NC -101.390000 -0.0000191 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 48969.640000 USD 777348962.000000 IDR 2024-06-20 -101.390000 N N N KIMCO REALTY CORPORATION 254900ARY41P4V1JL861 49446R109 126994.000000 NS USD 2490352.340000 0.469347 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -134.470000 -0.0000253 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 170300.000000 USD 14223456.000000 INR 2024-06-20 -134.470000 N N N BOSTON PROPERTIES INC 549300OF70FSEUQBT254 101121101 27836.000000 NS USD 1817969.160000 0.342625 Long EC CORP US N 1 N N N AVALONBAY COMMUNITIES INC K9G90K85RBWD2LAGQX17 053484101 86415.000000 NS USD 16035167.400000 3.02208 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 34588.870000 0.0065188 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2032-07-15 0.000000 EUR 0.000000 EUR 1900000.000000 EUR 34588.870000 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BL63VKII4 3539097.770000 PA 393173.930000 0.0740999 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 392850.000000 PA USD 301893.140000 0.0568966 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N OCP EURO CLO DAC 2017-2A N/A ACI0YSL94 1787657.760000 PA 1926203.440000 0.363024 Long ABS-CBDO CORP IE N 2 2032-01-15 Floating 4.762 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCA7 38979096.000000 PA USD 37337256.330000 7.0368 Long DBT UST US N 2 2026-04-15 Fixed 0.125 N N N N N N GS MORTGAGE SECURITIES CORP II 2022-GTWY N/A 36266DAA2 3500000.000000 PA USD 3521311.150000 0.663647 Long ABS-MBS CORP US N 2 2039-08-15 Floating 8.726 N N N N N N EXTRA SPACE STORAGE INC N/A 30225T102 15528.000000 NS USD 2282616.000000 0.430195 Long EC CORP US N 1 N N N MERRILL LYNCH MORTGAGE INV 2007-HE2 N/A 59024LAC5 5437029.420000 PA USD 1593788.510000 0.300375 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.86389 N N N N N N N/A N/A 000000000 -43638875.000000 PA USD -43724285.980000 -8.24054 Short RA US N 2 Reverse repurchase N 5.420000 2024-04-02 37100000.000000 USD 35140236.280000 USD UST N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828S50 25191263.900000 PA USD 24149118.950000 4.55129 Long DBT UST US N 2 2026-07-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC -1002.180000 -0.0001889 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 136542.000000 USD 11329231.100000 INR 2024-06-20 -1002.180000 N N N GNMA PASS THRU POOLS N/A 21H032647 15400000.000000 PA USD 14014517.590000 2.64126 Long ABS-MBS USGSE US N 2 2054-04-18 Fixed 3.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZZ6 1523833.570000 PA USD 1373390.630000 0.258837 Long DBT UST US N 2 2030-07-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC 20528.630000 0.0038689 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2827000.000000 GBP 3588626.030000 USD 2024-04-02 20528.630000 N N N N/A N/A 000000000 -19618875.000000 PA USD -19698625.730000 -3.71252 Short RA US N 2 Reverse repurchase N 5.420000 2024-04-02 18700000.000000 USD 18257656.380000 USD UST N N N N/A N/A 000000000 1.000000 NC -206.030000 -0.0000388 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 126531.000000 USD 10558999.300000 INR 2024-06-20 -206.030000 N N N SUN COMMUNITIES INC 549300H5GEOJYN41ZG57 866674104 55308.000000 NS USD 7111502.640000 1.34028 Long EC CORP US N 1 N N N CRESTLINE DENALI CLO XV 2017-1A N/A 22616CAJ2 537287.490000 PA USD 537583.000000 0.101316 Long ABS-CBDO CORP KY N 2 2030-04-20 Floating 6.60942 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZJ2 13490053.000000 PA USD 13157151.270000 2.47967 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N N/A N/A 000000000 -19700000.000000 NC USD -488.560000 -0.0000921 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.80000 04/18/24-2Y LCH 2026-04-18 0.000000 USD 0.000000 USD N/A USD N/A 3.800000 USD 2024-04-16 XXXX 90412.870000 N N N N/A N/A 000000000 1.000000 NC -967.800000 -0.0001824 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 105275.000000 USD 1659218220.000000 IDR 2024-06-20 -967.800000 N N N N/A N/A 000000000 -940000.000000 PA USD -940569.220000 -0.177265 Short RA US N 2 Reverse repurchase N 5.450000 2024-04-03 800000.000000 USD 765127.760000 USD UST N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 41010165.000000 PA USD 40312400.830000 7.59751 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N N/A N/A 000000000 1.000000 NC -4769.350000 -0.0008989 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-03-15 0.000000 EUR 0.000000 EUR 100000.000000 EUR -4769.350000 N N N N/A N/A 000000000 1.000000 NC USD 502740.870000 0.0947495 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A EQUITY RESIDENTIAL Y 2024-08-07 0.000000 USD 0.000000 USD 11483913.510000 USD 502740.870000 N N N N/A N/A 000000000 1.000000 NC 24544.350000 0.0046258 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2052-12-15 0.000000 EUR 0.000000 EUR 1000000.000000 EUR 24544.350000 N N N N/A N/A 000000000 1.000000 NC USD 51518.490000 0.0097095 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A VICI PROPERTIES INC Y 2025-03-12 0.000000 USD 0.000000 USD 3769266.000000 USD 51518.490000 N N N N/A N/A 000000000 1.000000 NC USD -912141.430000 -0.171907 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2029-07-25 4826.790000 USD 0.000000 USD 6900000.000000 USD -916968.220000 N N N N/A N/A 000000000 1.000000 NC USD -289310.070000 -0.0545251 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2028-05-09 0.000000 USD 0.000000 USD 3130000.000000 USD -289310.070000 N N N N/A N/A 000000000 1.000000 NC 1411.850000 0.0002661 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 23100000.000000 JPY 154031.240000 USD 2024-04-02 1411.850000 N N N N/A N/A 000000000 1.000000 NC -4583.940000 -0.0008639 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3484156.070000 USD 526657300.000000 JPY 2024-04-02 -4583.940000 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BL63VNII8 1.020000 PA 0.110000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC USD 21277.090000 0.00401 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A GAMING AND LEISURE PROPERTIES INC Y 2024-09-04 0.000000 USD 0.000000 USD 2455920.000000 USD 21277.090000 N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSY8 392106.320000 PA USD 369084.190000 0.0695598 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.13762 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI09WV27 1591.690000 PA 213.990000 0.0000403 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -2509.610000 -0.000473 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2585494.000000 USD 390952547.000000 JPY 2024-04-02 -2509.610000 N N N N/A N/A 000000000 1.000000 NC -1014.000000 -0.0001911 N/A DFE IN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 155516.000000 USD 12914204.160000 INR 2024-06-20 -1014.000000 N N N RESIDENTIAL ASSET SEC CORP 2006-EMX7 N/A 74924TAD6 1205072.960000 PA USD 1109042.140000 0.209017 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.92389 N N N N N N N/A N/A 000000000 1.000000 NC 97527.850000 0.0183807 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2053-09-15 2908.700000 EUR 0.000000 EUR 1000000.000000 EUR 94619.150000 N N N MF1 2022-FL9 LLC N/A 55285AAA5 800000.000000 PA USD 800957.870000 0.150953 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 7.47632 N N N N N N INLAND AMERICAN REAL ESTATE TRUST INC 5493006BQYSOBYVUFA03 46124J201 80347.000000 NS USD 2065721.370000 0.389318 Long EC CORP US N 1 N N N GREAT HALL MORTGAGES PLC 2006-1 N/A 991XUKII4 1801.300000 PA 2265.570000 0.000427 Long ABS-MBS CORP GB N 2 2038-06-18 Floating 5.46548 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1TRDT5 45683.900000 PA 5312.370000 0.0010012 Long DBT CORP DK N 2 2043-10-01 Fixed 0.5 N N N N N N N/A N/A 000000000 -15922125.000000 PA USD -15938936.110000 -3.00395 Short RA US N 2 Reverse repurchase N 5.430000 2024-04-04 13200000.000000 USD 12782751.110000 USD UST N N N N/A N/A 000000000 1.000000 NC 17.720000 0.0000033 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 289.090000 USD 5114.000000 MXN 2024-04-19 17.720000 N N N RESIDENTIAL ASSET SECURITIES 2006-KS7 N/A 75406XAE9 2520311.090000 PA USD 2464624.820000 0.464498 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.72389 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI09QH00 1621.310000 PA 218.010000 0.0000411 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI22BWW9 18.450000 PA 2.200000 0.0000004 Long DBT CORP DK N 2 2053-10-01 Fixed 2 N N N N N N COPT DEFENSE PROPERTIES YY1J47X6LF9TYY8JY420 22002T108 135467.000000 NS USD 3274237.390000 0.617082 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD -455565.800000 -0.0858586 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 -610522.850000 USD 6402000.000000 USD 154957.050000 N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1CPNN9 5228491.730000 PA 587684.940000 0.110759 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC USD -246450.950000 -0.0464476 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A PROLOGIS INC Y 2025-03-12 0.000000 USD 0.000000 USD 9466430.000000 USD -246450.950000 N N N N/A N/A 000000000 1.000000 NC -297.330000 -0.000056 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 198548.220000 USD 3337000.000000 MXN 2024-06-20 -297.330000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 97910.140000 PA USD 85976.580000 0.0162037 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N N/A N/A 000000000 1.000000 NC 531.710000 0.0001002 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 64148738.000000 KRW 48266.610000 USD 2024-06-20 531.710000 N N N N/A N/A 000000000 1.000000 NC 2290.030000 0.0004316 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 64252308.000000 KRW 50102.000000 USD 2024-06-20 2290.030000 N N N ADAGIO V CLO DAC V-A N/A ACI1WGSL6 298016.900000 PA 319526.090000 0.0602198 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.662 N N N N N N N/A N/A 000000000 56.000000 NC 28617.400000 0.0053934 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2024-06-06 7144144.060000 EUR 28617.400000 N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1RSH20 2116382.850000 PA 247463.600000 0.0466384 Long DBT CORP DK N 2 2043-10-01 Fixed 0.5 N N N N N N N/A N/A 000000000 1.000000 NC -23461.890000 -0.0044218 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2032-06-15 0.000000 EUR -23168.880000 EUR 2500000.000000 EUR -293.010000 N N N N/A N/A 000000000 1.000000 NC -10294.990000 -0.0019403 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2053-11-15 0.000000 EUR -1238.140000 EUR 400000.000000 EUR -9056.850000 N N N N/A N/A 000000000 -17.000000 NC -21927.210000 -0.0041325 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A FRANCE GOVT 2024-06-06 -2350695.260000 EUR -21927.210000 N N N N/A N/A 000000000 1.000000 NC 108.510000 0.0000205 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 35289122.000000 KRW 26292.000000 USD 2024-04-29 108.510000 N N N N/A N/A 000000000 1.000000 NC USD 161112.130000 0.0303641 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-05-14 0.000000 USD 0.000000 USD 2100000.000000 USD 161112.130000 N N N N/A N/A 000000000 -20100000.000000 NC USD -28704.810000 -0.0054099 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/4.26900 05/15/24-2Y LCH 2026-05-15 0.000000 USD 0.000000 USD N/A USD N/A 4.270000 USD 2024-05-13 XXXX 58730.190000 N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAA0 2859106.540000 PA USD 1950996.550000 0.367696 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.64389 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-7 N/A 54251TAC3 294125.320000 PA USD 117969.340000 0.0222332 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.68389 N N N N N N N/A N/A 000000000 1.000000 NC USD 111662.760000 0.0210446 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A SBA COMMUNICATIONS CORPORATION Y 2024-09-04 0.000000 USD 0.000000 USD 3556910.000000 USD 111662.760000 N N N UMBS PASS THRU POOLS N/A 01F062648 4300000.000000 PA USD 4393630.050000 0.828049 Long ABS-MBS USGSE US N 2 2054-04-11 Fixed 6.5 N N N N N N BOSPHORUS CLO IV DAC 4A N/A ACI12B1J4 460532.980000 PA 496535.380000 0.09358 Long ABS-CBDO CORP IE N 2 2030-12-15 Floating 4.76 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF18 N/A 32029AAA5 1295688.520000 PA USD 1226178.980000 0.231093 Long ABS-MBS CORP US N 2 2037-12-25 Floating 5.66389 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 1691833.000000 PA USD 1356206.370000 0.255599 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N ARMADA EURO CLO III DAC 3A N/A ACI1WGZB0 375348.300000 PA 403661.410000 0.0760764 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 4.662 N N N N N N GSAMP TRUST 2005-HE2 N/A 36242DA60 408819.000000 PA USD 377331.430000 0.0711141 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.41889 N N N N N N N/A N/A 000000000 -352.000000 NC -38993.380000 -0.0073489 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2024-06-06 -40140121.030000 EUR -38993.380000 N N N N/A N/A 000000000 1.000000 NC 3517.050000 0.0006628 N/A DFE DK N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 3350291.390000 DKK 488093.860000 USD 2024-04-02 3517.050000 N N N N/A N/A 000000000 37.000000 NC 111205.080000 0.0209584 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2024-06-06 5420789.220000 EUR 111205.080000 N N N N/A N/A 000000000 1.000000 NC 1380565.040000 0.260189 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-09-18 1267650.630000 EUR 0.000000 EUR 60800000.000000 EUR 112914.410000 N N N BCAP LLC TRUST 2011-RR5 N/A 05533YBC3 211376.730000 PA USD 180757.010000 0.0340665 Long ABS-MBS CORP US N 2 2036-04-26 Floating 4.51857 N N N N N N N/A N/A 000000000 1.000000 NC -10403.890000 -0.0019608 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2024-09-15 0.000000 EUR -2871.640000 EUR 1100000.000000 EUR -7532.250000 N N N N/A N/A 000000000 1.000000 NC -868.220000 -0.0001636 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 97925.280000 USD 1543889964.000000 IDR 2024-06-20 -868.220000 N N N N/A N/A 000000000 1.000000 NC USD 84910.490000 0.0160027 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A ALEXANDRIA REAL ESTATE EQUITIES INC Y 2024-10-16 0.000000 USD 0.000000 USD 2911447.660000 USD 84910.490000 N N N N/A N/A 000000000 1.000000 NC 96020.300000 0.0180966 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 83381579.000000 TWD 2711261.000000 USD 2024-06-20 96020.300000 N N N N/A N/A 000000000 1.000000 NC USD -47906.210000 -0.0090287 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A AMERICAN HOMES 4 RENT Y 2024-09-04 0.000000 USD 0.000000 USD 4552230.000000 USD -47906.210000 N N N RAD CLO LTD 2019-5A N/A 74923EAA6 4300000.000000 PA USD 4303225.000000 0.811011 Long ABS-CBDO CORP KY N 2 2032-07-24 Floating 6.70019 N N N N N N VENTAS INC ORQTRC074CWLT3DKHT41 92276F100 43172.000000 NS USD 1879708.880000 0.354261 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 903.250000 0.0001702 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 785237.000000 TWD 25532.000000 USD 2024-06-20 903.250000 N N N N/A N/A 000000000 252.000000 NC USD 89108.920000 0.016794 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-06-18 28855968.620000 USD 89108.920000 N N N PUBLIC STORAGE N/A 74460D109 8187.000000 NS USD 2374721.220000 0.447554 Long EC CORP US N 1 N N N HOWARD HUGHES HOLDINGS INC N/A 44267T102 43768.000000 NS USD 3178432.160000 0.599026 Long EC CORP US N 1 N N N ALEXANDRIA REAL ESTATE EQUITIES INC MGCJBT4MKTQBVLNUIS88 015271109 8642.000000 NS USD 1114040.220000 0.209959 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 14.890000 0.0000028 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 89338215.000000 IDR 5639.000000 USD 2024-04-30 14.890000 N N N N/A N/A 000000000 -104.000000 NC -18900.850000 -0.0035622 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A ITALY GOVT 2024-06-06 -11879777.280000 EUR -18900.850000 N N N N/A N/A 000000000 1.000000 NC 61282.900000 0.0115497 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2053-04-15 755.370000 EUR 0.000000 EUR 900000.000000 EUR 60527.530000 N N N FHLMC PASS THRU POOLS N/A 3128NFFX0 25860.500000 PA USD 26388.910000 0.0049734 Long ABS-MBS USGSE US N 2 2036-07-01 Floating 7.611 N N N N N N N/A N/A 000000000 1.000000 NC USD -32769.220000 -0.0061759 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A REXFORD INDUSTRIAL REALTY INC Y 2024-09-04 0.000000 USD 0.000000 USD 2086080.000000 USD -32769.220000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CHP9 4568985.000000 PA USD 4387512.500000 0.826897 Long DBT UST US N 2 2033-07-15 Fixed 1.375 N N N N N N STRUCTURED ASSET SEC CORP 2005-WF1 N/A 86359BV73 7574.700000 PA USD 7478.290000 0.0014094 Long ABS-MBS CORP US N 3 2035-02-25 Floating 6.10389 N N N N N N N/A N/A 000000000 1.000000 NC USD 1241531.130000 0.233986 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-21 260689.660000 USD 0.000000 USD 4200000.000000 USD 980841.470000 N N N N/A N/A 000000000 1.000000 NC 645.540000 0.0001217 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 209317.000000 NZD 125706.810000 USD 2024-05-02 645.540000 N N N N/A N/A 000000000 1.000000 NC USD -2558362.960000 -0.482164 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A EQUINIX INC Y 2024-04-24 0.000000 USD 0.000000 USD 33743162.480000 USD -2558362.960000 N N N N/A N/A 000000000 1.000000 NC USD 2500025.230000 0.47117 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-15 546402.440000 USD 0.000000 USD 8700000.000000 USD 1953622.790000 N N N FIRST FRANKLIN MTG LOAN 2005-FF12 N/A 32027NXX4 1850033.490000 PA USD 1764012.850000 0.332456 Long ABS-MBS CORP US N 2 2036-11-25 Floating 6.14889 N N N N N N N/A N/A 000000000 87.000000 NC 50936.930000 0.0095999 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Long N/A AUSTRALIA GOVT 2024-06-17 6609096.950000 AUD 50936.930000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1NN643 1.490000 PA 0.170000 0 Long DBT CORP DK N 2 2052-10-01 Fixed 1.5 N N N N N N BAIN CAPITAL EURO 2018-2 DAC 18-2A N/A ACI1WTQT3 1159028.410000 PA 1239482.790000 0.2336 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 4.71 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282L3 24585286.770000 PA USD 23399108.640000 4.40993 Long DBT UST US N 2 2027-07-15 Fixed 0.375 N N N N N N UMBS PASS THRU POOLS N/A 01F060659 12100000.000000 PA USD 12208739.920000 2.30093 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 3999.250000 0.0007537 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2643172.090000 CNY 368117.000000 USD 2024-04-19 3999.250000 N N N BEAR STEARNS ADJ RATE MTGE TR 2006-2 N/A 07388DAS7 46732.390000 PA USD 40930.940000 0.0077141 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.2997 N N N N N N TERRENO REALTY CORPORATION N/A 88146M101 38242.000000 NS USD 2539268.800000 0.478566 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD 401237.990000 0.0756197 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A INVITATION HOMES INC Y 2024-09-04 0.000000 USD 0.000000 USD 9812160.000000 USD 401237.990000 N N N CITIGROUP MTGE LOAN TR INC 2006-HE3 N/A 17310VAD2 34496.600000 PA USD 23174.400000 0.0043676 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.90389 N N N N N N N/A N/A 000000000 196.000000 NC USD 397837.370000 0.0749788 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-06-18 25225812.500000 USD 397837.370000 N N N N/A N/A 000000000 1.000000 NC USD -755363.930000 -0.14236 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-11-15 633.200000 USD 0.000000 USD 2200000.000000 USD -755997.130000 N N N N/A N/A 000000000 1.000000 NC -64.860000 -0.0000122 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 125780.000000 USD 10508025.960000 INR 2024-06-20 -64.860000 N N N N/A N/A 000000000 1.000000 NC 118.710000 0.0000224 N/A DFE BR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 107361.100000 BRL 21525.000000 USD 2024-04-02 118.710000 N N N UMBS PASS THRU POOLS N/A 01F042657 13100000.000000 PA USD 12480765.490000 2.3522 Long ABS-MBS USGSE US N 2 2054-05-13 Fixed 4.5 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 917000.000000 NS USD 901502.700000 0.169903 Long EP CORP US N 2 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BKDSHLII7 3513117.030000 PA 394627.030000 0.0743737 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI0B2V53 6630.710000 PA 892.340000 0.0001682 Long DBT CORP DK N 2 2047-04-01 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -344357.060000 -0.0648996 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-04-12 0.000000 EUR -22288.620000 EUR 4100000.000000 EUR -322068.440000 N N N HARVEST CLO XXI DAC 21A N/A ACI1WSV44 800000.000000 PA 857217.880000 0.161556 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 4.702 N N N N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAF8 643000.000000 PA USD 639327.860000 0.120492 Long DBT CORP KY N 2 2024-07-01 Fixed 3.95 N N N N N N N/A N/A 000000000 1.000000 NC 117778.380000 0.0221972 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1400090612.000000 JPY 9368037.070000 USD 2024-04-02 117778.380000 N N N N/A N/A 000000000 1.000000 NC 175.600000 0.0000331 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1023316.160000 CNY 141233.160000 USD 2024-05-06 175.600000 N N N N/A N/A 000000000 1.000000 NC -37.330000 -0.000007 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 369090376.000000 IDR 23198.000000 USD 2024-04-30 -37.330000 N N N N/A N/A 000000000 1.000000 NC USD 350774.470000 0.066109 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-05-25 799.920000 USD 0.000000 USD 4320000.000000 USD 349974.550000 N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-4R N/A 12639QAA4 8654.690000 PA USD 7331.660000 0.0013818 Long ABS-MBS CORP US N 2 2036-10-26 Fixed 3.86931 N N N N N N N/A N/A 000000000 1.000000 NC 17113.550000 0.0032253 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2037-05-15 14276.210000 EUR 0.000000 EUR 540000.000000 EUR 2837.340000 N N N N/A N/A 000000000 1.000000 NC 94.010000 0.0000177 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 29993091.000000 KRW 22348.000000 USD 2024-04-29 94.010000 N N N TCW CLO LTD 2018-1A N/A 87240UAR1 2857415.320000 PA USD 2856833.860000 0.538416 Long ABS-CBDO CORP KY N 2 2031-04-25 Floating 6.55628 N N N N N N N/A N/A 000000000 1.000000 NC -127.420000 -0.000024 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 141233.160000 USD 1024746.850000 CNY 2024-04-02 -127.420000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Z37 3655516.500000 PA USD 3310378.900000 0.623893 Long DBT UST US N 2 2030-01-15 Fixed 0.125 N N N N N N N/A N/A 000000000 -204.000000 NC -1375.530000 -0.0002592 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Call Written INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A N/A FIN FUT EURIBOR ICE (WHT) 06/17/24 2024-06-18 N/A EUR N/A 96.750000 EUR 2024-04-12 XXXX 136222.060000 N N N N/A N/A 000000000 1.000000 NC -423.120000 -0.0000797 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 63553.000000 USD 5276773.810000 INR 2024-06-20 -423.120000 N N N CIFC EUROPEAN FUNDING CLO 3A N/A ACI27MSP0 4300000.000000 PA 4616013.330000 0.869961 Long ABS-CBDO CORP IE N 2 2034-01-15 Floating 4.992 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR15 N/A 94985AAA7 1854.580000 PA USD 1719.260000 0.000324 Long ABS-MBS CORP US N 2 2036-10-25 Floating 6.47759 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1Z8QZ2 1200000.000000 PA 120292.460000 0.022671 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N KKR CLO 11 LTD N/A 48250MAK3 406209.310000 PA USD 406932.770000 0.0766929 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 6.7556 N N N N N N N/A N/A 000000000 1.000000 NC USD 8096.640000 0.0015259 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-06-01 0.000000 USD 0.000000 USD 100000.000000 USD 8096.640000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XL9 39256660.800000 PA USD 38404662.110000 7.23797 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N DIGITAL REALTY TRUST INC 549300HKCZ31D08NEI41 253868103 71283.000000 NS USD 10267603.320000 1.93509 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 20.230000 0.0000038 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6776243.000000 KRW 5048.000000 USD 2024-04-29 20.230000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEJ6 27085072.000000 PA USD 25525538.740000 4.81069 Long DBT UST US N 2 2027-04-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC 6222.070000 0.0011726 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2827000.000000 GBP 3574885.110000 USD 2024-05-02 6222.070000 N N N EQUITY LIFESTYLE PROPERTIES INC 529900PEQG66LENB6798 29472R108 34289.000000 NS USD 2208211.600000 0.416173 Long EC CORP US N 1 N N N N/A N/A 000000000 -212.000000 NC -426147.140000 -0.0803142 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2024-06-06 -30506164.010000 EUR -426147.140000 N N N N/A N/A 000000000 1.000000 NC -4278.590000 -0.0008064 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 311302.000000 USD 1544640.050000 BRL 2024-05-03 -4278.590000 N N N APARTMENT INCOME REIT CORP N/A 03750L109 3504.000000 NS USD 113774.880000 0.0214427 Long EC CORP US N 1 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CGW5 43280905.000000 PA USD 42055213.570000 7.92597 Long DBT UST US N 2 2028-04-15 Fixed 1.25 N N N N N N CIFC FUNDING LTD 2018-1A N/A 12551RAA6 1102663.120000 PA USD 1105273.260000 0.208306 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 6.55952 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAA0 421205.730000 PA USD 369846.510000 0.0697035 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.71389 N N N N N N UMBS PASS THRU POOLS N/A 01F040651 20400000.000000 PA USD 18901589.600000 3.5623 Long ABS-MBS USGSE US N 2 2052-06-25 Fixed 4 N N N N N N DRYDEN 35 EURO CLO 2014 BV 14-35A N/A ACI2878B5 1700000.000000 PA 1822932.540000 0.343561 Long ABS-CBDO CORP IE N 2 2033-01-17 Floating 4.908 N N N N N N PARK HOTELS & RESORTS INC 5493005UZ5TQN0H6HS73 700517105 16542.000000 NS USD 289319.580000 0.0545269 Long EC CORP US N 1 N N N AMERICAN ASSETS TRUST INC N/A 024013104 65700.000000 NS USD 1439487.000000 0.271294 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 75.550000 0.0000142 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 71411.540000 BRL 14314.000000 USD 2024-04-02 75.550000 N N N REGENCY CENTERS CORPORATION 529900053A7X7FJ97S58 758849103 90174.000000 NS USD 5460937.440000 1.0292 Long EC CORP US N 1 N N N ELEVATIONLTD CLO 2014-2 N/A 28622QAB7 174589.510000 PA USD 174821.870000 0.032948 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 6.80814 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-ABC1 N/A 23242NAC3 3120253.630000 PA USD 2582433.610000 0.486701 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.92389 N N N N N N N/A N/A 000000000 1.000000 NC USD 595386.550000 0.11221 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-12-20 101154.190000 USD 0.000000 USD 57600000.000000 USD 494232.360000 N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAF9 377272.700000 PA USD 375210.640000 0.0707144 Long ABS-MBS CORP US N 2 2037-10-25 Floating 6.94389 N N N N N N N/A N/A 000000000 -10.000000 NC USD -39915.130000 -0.0075226 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Short N/A Gold 2024-06-26 -2238400.000000 USD -39915.130000 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AGE9 95703.490000 PA USD 82874.940000 0.0156191 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.7813 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 ACI2B33K5 100000.000000 PA 123167.980000 0.023213 Long DBT CORP CH N 2 2029-03-01 Floating 7.75 N N N N N N REXFORD INDUSTRIAL REALTY INC 549300MSLO0DF0EMX355 76169C100 71059.000000 NS USD 3574267.700000 0.673628 Long EC CORP US N 1 N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI25Z7H4 115218.000000 PA 114681.880000 0.0216136 Long DBT NUSS FR N 2 2038-07-25 Fixed 0.1 N N N N N N N/A N/A 000000000 1.000000 NC -315.560000 -0.0000595 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 132878.000000 USD 11080364.230000 INR 2024-06-20 -315.560000 N N N MIDOCEAN CREDIT CLO VIII 2018-8A N/A 59801MAL2 569263.360000 PA USD 570365.600000 0.107495 Long ABS-CBDO CORP KY N 2 2031-02-20 Floating 6.6307 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 3075136.670000 PA USD 1302131.260000 0.245407 Long ABS-MBS CORP US N 2 2037-09-25 Floating 6.54389 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828V49 74231382.500000 PA USD 70822053.870000 13.3475 Long DBT UST US N 2 2027-01-15 Fixed 0.375 N N N N N N SEC ASSET BACKED REC LLC 2005-OP2 N/A 81375WGV2 3822560.860000 PA USD 3623672.640000 0.682939 Long ABS-MBS CORP US N 2 2035-10-25 Floating 6.11889 N N N N N N N/A N/A 000000000 1.000000 NC 10415.020000 0.0019629 N/A DFE JP N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 1554591826.000000 JPY 10328553.000000 USD 2024-05-02 10415.020000 N N N AMERICOLD REALTY TRUST INC 894500O3S3W62PQPO460 03064D108 250324.000000 NS USD 6238074.080000 1.17566 Long EC CORP US N 1 N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BK99HJII9 819.830000 PA 93.080000 0.0000175 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N7309 1.460000 PA 0.160000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC -256229.230000 -0.0482905 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2027-05-13 0.000000 EUR -13880.780000 EUR 3800000.000000 EUR -242348.450000 N N N N/A N/A 000000000 1.000000 NC USD -28223.770000 -0.0053192 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A FIRST INDUSTRIAL REALTY TRUST INC Y 2024-09-04 0.000000 USD 0.000000 USD 2173000.000000 USD -28223.770000 N N N HOST HOTELS & RESORTS INC N6EL63S0K3PB1YFTDI24 44107P104 100430.000000 NS USD 2076892.400000 0.391423 Long EC CORP US N 1 N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087VS0 4927843.620000 PA 3887846.040000 0.732726 Long DBT NUSS CA N 2 2026-12-01 Fixed 4.25 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAA8 75694.230000 PA USD 66433.670000 0.0125205 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.64389 N N N N N N N/A N/A 000000000 1.000000 NC -26.970000 -0.0000051 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 28384.000000 MXN 1659.320000 USD 2024-06-20 -26.970000 N N N N/A N/A 000000000 1.000000 NC -2359.820000 -0.0004447 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 293184.000000 USD 4626150336.000000 IDR 2024-06-20 -2359.820000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BK9CXBII1 589.900000 PA 66.270000 0.0000125 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N SIMON PROPERTY GROUP INC 529900GQL5X8H7AO3T64 828806109 66842.000000 NS USD 10460104.580000 1.97137 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 27237.240000 0.0051333 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 27714222.950000 DKK 4041559.000000 USD 2024-05-02 27237.240000 N N N N/A N/A 000000000 1.000000 NC -647.420000 -0.000122 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 125703.880000 USD 209317.000000 NZD 2024-04-02 -647.420000 N N N N/A N/A 000000000 -4000000.000000 NC -18655.900000 -0.003516 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 0.000000 0.000000 DIR N/A IRS EUR R 2.90000 09/02/25-2Y LCH 2027-09-02 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.900000 EUR 2025-08-29 XXXX 33332.830000 N N N N/A N/A 000000000 1.000000 NC -15164.360000 -0.002858 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2053-11-15 0.000000 EUR 0.000000 EUR 300000.000000 EUR -15164.360000 N N N FNMA PASS THRU POOLS N/A 31405YPX3 2898.900000 PA USD 2894.770000 0.0005456 Long ABS-MBS USGSE US N 2 2044-09-01 Floating 6.289 N N N N N N N/A N/A 000000000 1.000000 NC 93.690000 0.0000177 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 33825215.000000 KRW 25191.000000 USD 2024-04-29 93.690000 N N N N/A N/A 000000000 1.000000 NC 35704.640000 0.0067291 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2053-10-15 3920.120000 EUR 0.000000 EUR 400000.000000 EUR 31784.520000 N N N CAMDEN PROPERTY TRUST 5493002MYX22OHYJBD89 133131102 57351.000000 NS USD 5643338.400000 1.06358 Long EC CORP US N 1 N N N RESIDENTIAL ASSET SEC TRUST 2007-A1 N/A 761136AJ9 206700.150000 PA USD 64943.020000 0.0122395 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 5.75 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1PMG75 390083.340000 PA 41106.330000 0.0077471 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC -113747.150000 -0.0214375 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 -6365.720000 EUR 1700000.000000 EUR -107381.430000 N N N N/A N/A 000000000 1.000000 NC -1762.850000 -0.0003322 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 283437.000000 USD 4480600440.000000 IDR 2024-06-20 -1762.850000 N N N N/A N/A 000000000 1.000000 NC -10.890000 -0.0000021 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 130476577.000000 IDR 8203.000000 USD 2024-04-30 -10.890000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAQ4 33038354.000000 PA USD 32070427.030000 6.04418 Long DBT UST US N 2 2025-10-15 Fixed 0.125 N N N N N N N/A N/A 000000000 -6300000.000000 NC -158271.330000 -0.0298287 N/A DIR DE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Eurostat Eurozone HICP Ex Tob N/A N/A N/A 3.000000 EUR 2035-06-22 XXXX 128340.810000 N N N MARRIOTT INTERNATIONAL INC 225YDZ14ZO8E1TXUSU86 571903202 8223.000000 NS USD 2074745.130000 0.391019 Long EC CORP US N 1 N N N ARGENT SECURITIES INC 2005-W1 N/A 040104MX6 285129.870000 PA USD 250879.930000 0.0472823 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.92389 N N N N N N N/A N/A 000000000 1.000000 NC 11284.690000 0.0021268 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Eurostat Eurozone HICP Ex Tob N/A N/A Y 2027-05-15 0.000000 EUR 0.000000 EUR 900000.000000 EUR 11284.690000 N N N OCTAGON INVESTMENT PARTNERS XXI LTD 2014-1A N/A 67590QBK2 1200000.000000 PA USD 1202755.320000 0.226678 Long ABS-CBDO CORP KY N 2 2031-02-14 Floating 6.56814 N N N N N N ACE SECURITIES CORP 2005-HE2 N/A 004421MH3 1144000.000000 PA USD 975227.170000 0.183797 Long ABS-MBS CORP US N 2 2035-04-25 Floating 6.56889 N N N N N N N/A N/A 000000000 1.000000 NC USD -1663968.750000 -0.313601 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-11-21 0.000000 USD -262080.000000 USD 20800000.000000 USD -1401888.750000 N N N N/A N/A 000000000 1.000000 NC USD -19831.080000 -0.0037375 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A EXTRA SPACE STORAGE INC Y 2025-03-12 0.000000 USD 0.000000 USD 2371218.300000 USD -19831.080000 N N N N/A N/A 000000000 1.000000 NC -155203.240000 -0.0292505 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 -14328.780000 EUR 1900000.000000 EUR -140874.460000 N N N N/A N/A 000000000 1.000000 NC USD 1460963.540000 0.275342 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-02-13 201221.110000 USD 0.000000 USD 10500000.000000 USD 1259742.430000 N N N CARLYLE EURO CLO 2017-2 DAC 17-2A N/A ACI1VWGV3 963362.650000 PA 1038024.330000 0.195632 Long ABS-CBDO CORP IE N 2 2030-08-15 Floating 4.531 N N N N N N 2024-05-28 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer