NPORT-P
    false
    
      
      
        
          0000810893
          XXXXXXXX
        
      
      
      
      
        S000009704
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        C000026630
        C000064152
        C000026632
      
      
      
    
  
  
    
      PIMCO Funds
      811-05028
      0000810893
      5493003B5Y5GR0Y25Y76
      650 Newport Center Drive
      Newport Beach
      
      92660
      (888) 877-4626
      PIMCO StocksPLUS Fund
      S000009704
      C0FSZ71JI1IAVNM4U731
      2022-03-31
      2022-03-31
      N
    
    
      3088835440.980000
      721674255.930000
      2367161185.050000
      0.000000
      0.000000
      2908846.190000
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      28710185.560000
      
        
          EUR
          
          
        
        
          ILS
          
          
        
        
          CAD
          
          
        
        
          GBP
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -182.380000
        -0.0000077
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1827.000000
            USD
            140098.200000
            RUB
            2022-04-21
            -182.380000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -200.890000
        -0.0000085
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1877.000000
            USD
            147116.070000
            RUB
            2022-05-23
            -200.890000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -38220.460000
        -0.0016146
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            3144640.000000
            ILS
            951422.000000
            USD
            2022-08-01
            -38220.460000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -13749.570000
        -0.0005808
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            2599740.000000
            ILS
            800955.080000
            USD
            2022-04-06
            -13749.570000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -50418.510000
        -0.0021299
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            7914660.000000
            ILS
            2440386.040000
            USD
            2022-08-01
            -50418.510000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -18577.710000
        -0.0007848
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            3499930.000000
            ILS
            1080191.970000
            USD
            2022-06-08
            -18577.710000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -21831.270000
        -0.0009223
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            4199580.000000
            ILS
            1296586.860000
            USD
            2022-06-08
            -21831.270000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -112591.750000
        -0.0047564
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            43102155.000000
            ILS
            13453237.510000
            USD
            2022-08-03
            -112591.750000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -63925.820000
        -0.0027005
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            24201210.000000
            ILS
            7553082.720000
            USD
            2022-08-03
            -63925.820000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        9927.380000
        0.0004194
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            2501250.000000
            ILS
            799530.110000
            USD
            2022-10-07
            9927.380000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        54364.920000
        0.0022966
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            12607560.000000
            ILS
            4039848.760000
            USD
            2022-11-02
            54364.920000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        24242.900000
        0.0010241
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            5403240.000000
            ILS
            1732307.400000
            USD
            2022-11-02
            24242.900000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        44365.920000
        0.0018742
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            13902780.000000
            ILS
            4447466.410000
            USD
            2022-12-07
            44365.920000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        27355.930000
        0.0011556
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            8600000.000000
            ILS
            2751031.640000
            USD
            2022-12-07
            27355.930000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        297.800000
        0.0000126
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            3699260.000000
            ILS
            1173623.100000
            USD
            2023-01-04
            297.800000
          
        
        
          N
          N
          N
        
      
      
        ATRIUM XII 12A
        N/A
        ATRIUM CDO CORP ATRM 12A AR 144A
        04965CAJ7
        
          
        
        4112340.620000
        PA
        USD
        4089380.480000
        0.1727546
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2027-04-22
          Floating
          1.08886
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD MXN/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -240737.130000
        -0.0101699
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            59109000.000000
            MXN
            2723816.630000
            USD
            2022-04-18
            -240737.130000
          
        
        
          N
          N
          N
        
      
      
        AUSTIN FAIRMONT HOTEL TRUST 2019-FAIR
        N/A
        AUSTIN FAIRMONT HOTEL TRUST AFHT 2019 FAIR A 144A
        05223HAA0
        
          
        
        3605000.000000
        PA
        USD
        3569882.250000
        0.1508086
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-09-15
          Floating
          1.447
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT DKK/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        627.550000
        0.0000265
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            62274.000000
            USD
            422956.290000
            DKK
            2022-04-01
            627.550000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -165.260000
        -0.0000070
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            1825.000000
            USD
            141386.220000
            RUB
            2022-04-21
            -165.260000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -123.360000
        -0.0000052
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            1369.000000
            USD
            106110.640000
            RUB
            2022-04-21
            -123.360000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -209.620000
        -0.0000089
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            2037.000000
            USD
            160393.380000
            RUB
            2022-05-23
            -209.620000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -606.330000
        -0.0000256
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            421368.300000
            DKK
            62274.000000
            USD
            2022-07-01
            -606.330000
          
        
        
          N
          N
          N
        
      
      
        AVANT LOANS FUNDING TRUST 2021-REV1
        N/A
        AVANT LOANS FUNDING TRUST AVNT 2021 REV1 A 144A
        05353LAA3
        
          
        
        5000000.000000
        PA
        USD
        4835990.000000
        0.2042949
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          1.21
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        FORD MOTOR COMPANY SNR S* ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        19984.280000
        0.0008442
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                FORD MOTOR COMPANY
                FORD MOTOR COMPANY SR UNSEC
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2022-06-22
            68629.900000
            USD
            0.000000
            USD
            1900000.000000
            USD
            -48645.620000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        GENERAL ELECTRIC COMPANY SNR S* ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        24391.450000
        0.0010304
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                GENERAL ELECTRIC COMPANY
                GENERAL ELECTRIC CO SR UNSEC
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2026-06-21
            15299.190000
            USD
            0.000000
            USD
            2000000.000000
            USD
            9092.260000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        GENERAL ELECTRIC COMPANY SNR S* ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        2875.410000
        0.0001215
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                GENERAL ELECTRIC COMPANY
                GENERAL ELECTRIC CO SR UNSEC
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2026-12-22
            3483.550000
            USD
            0.000000
            USD
            300000.000000
            USD
            -608.140000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        GENERAL MOTORS COMPANY SNR S* ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        1101341.590000
        0.0465258
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                GENERAL MOTORS COMPANY
                GENERAL MOTORS CO SRUNSEC
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2026-12-22
            1393288.410000
            USD
            0.000000
            USD
            7500000.000000
            USD
            -291946.820000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        EURO-BUND FUTURE  JUN22 XEUR 20220608
        000000000
        
          
        
        -16.000000
        NC
        
        89821.550000
        0.0037945
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex
              N/A
            
            Short
            
              
                N/A
                GERMANY GOVT
                
                  
                
              
            
            2022-06-08
            -2808281.390000
            EUR
            89821.550000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT BRL/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        472935.270000
        0.0199790
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            7957508.450000
            USD
            41200000.000000
            BRL
            2022-07-05
            472935.270000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -165.950000
        -0.0000070
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            1719.000000
            USD
            132297.680000
            RUB
            2022-04-21
            -165.950000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -167.920000
        -0.0000071
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            1719.000000
            USD
            132130.080000
            RUB
            2022-04-21
            -167.920000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -188.780000
        -0.0000080
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            1811.000000
            USD
            138190.170000
            RUB
            2022-04-21
            -188.780000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -188.210000
        -0.0000080
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            1811.000000
            USD
            138238.700000
            RUB
            2022-04-21
            -188.210000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -282.240000
        -0.0000119
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            2724.000000
            USD
            208003.280000
            RUB
            2022-04-21
            -282.240000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -196.910000
        -0.0000083
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            1865.000000
            USD
            146411.830000
            RUB
            2022-05-23
            -196.910000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD BRL/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -35135.020000
        -0.0014843
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            1200000.000000
            BRL
            210411.880000
            USD
            2022-07-05
            -35135.020000
          
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FUNDING LIMITED
        635400ZRKEX9L1BKCH30
        AVOLON HOLDINGS FNDG LTD SR UNSECURED 144A 02/26 2.125
        05401AAM3
        
          
        
        400000.000000
        PA
        USD
        365710.380000
        0.0154493
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-02-21
          Fixed
          2.125
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT GBP/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -2429.170000
        -0.0001026
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            1497362.420000
            USD
            1138000.000000
            GBP
            2022-04-04
            -2429.170000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT GBP/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -1308.150000
        -0.0000553
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            997054.550000
            USD
            758000.000000
            GBP
            2022-04-04
            -1308.150000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CAD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -31937.250000
        -0.0013492
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            3929000.000000
            CAD
            3110868.370000
            USD
            2022-04-04
            -31937.250000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD GBP/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        9926.680000
        0.0004193
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            417000.000000
            GBP
            557718.570000
            USD
            2022-04-04
            9926.680000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD GBP/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        2482.840000
        0.0001049
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            109000.000000
            GBP
            145670.650000
            USD
            2022-04-04
            2482.840000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD GBP/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -159.130000
        -0.0000067
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            178000.000000
            GBP
            233670.500000
            USD
            2022-04-04
            -159.130000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        9973.650000
        0.0004213
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            1330000.000000
            DKK
            207769.640000
            USD
            2022-04-01
            9973.650000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDX ITRAXX EXJP IG37 5Y ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        672.770000
        0.0000284
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                N/A
                ITRAXX ASIA EX-JAPAN IG SERIES 37
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2027-06-22
            0.000000
            USD
            -22535.050000
            USD
            4600000.000000
            USD
            23207.820000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        31750JDB8 PIMCO CDSOPT PUT EUR 5.25 20220615
        OP001HY87
        
          
        
        -700000.000000
        NC
        
        -2663.060000
        -0.0001125
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            Put
            Written
            
              
                
                  
                    BNP Paribas S.A.
                    N/A
                  
                  
                    N/A
                    N/A
                    SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DCR
                    
                  
                  
                    
                      N/A
                      SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            5.250000
            EUR
            2022-06-15
            XXXX
            4861.410000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317521C59 PIMCO CDSOPT PUT EUR 5.0 20220615
        OP001H2F6
        
          
        
        -200000.000000
        NC
        
        -873.070000
        -0.0000369
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    N/A
                    N/A
                    SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DCR
                    
                  
                  
                    
                      N/A
                      SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            5.000000
            EUR
            2022-06-15
            XXXX
            1070.280000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317523K49 PIMCO CDSOPT PUT EUR 4.25 20220420
        OP001FKP8
        
          
        
        -500000.000000
        NC
        
        -494.580000
        -0.0000209
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    N/A
                    N/A
                    SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DCR
                    
                  
                  
                    
                      N/A
                      SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            4.250000
            EUR
            2022-04-20
            XXXX
            1842.180000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317537NE4 PIMCO CDSOPT PUT EUR 4.0 20220420
        OP001DXZ7
        
          
        
        -400000.000000
        NC
        
        -538.590000
        -0.0000228
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    N/A
                    N/A
                    SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DCR
                    
                  
                  
                    
                      N/A
                      SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            4.000000
            EUR
            2022-04-20
            XXXX
            1293.970000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3175632H6 PIMCO CDSOPT PUT EUR 5.0 20220615
        OP001H8B9
        
          
        
        -300000.000000
        NC
        
        -1309.610000
        -0.0000553
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            Put
            Written
            
              
                
                  
                    BNP Paribas S.A.
                    N/A
                  
                  
                    N/A
                    N/A
                    SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DCR
                    
                  
                  
                    
                      N/A
                      SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            5.000000
            EUR
            2022-06-15
            XXXX
            1571.130000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317564KN1 PIMCO CDSOPT PUT EUR 4.0 20220420
        OP001FDL5
        
          
        
        -500000.000000
        NC
        
        -673.240000
        -0.0000284
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    N/A
                    N/A
                    SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DCR
                    
                  
                  
                    
                      N/A
                      SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            4.000000
            EUR
            2022-04-20
            XXXX
            1745.920000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317571OJ1 PIMCO CDSOPT PUT EUR 4.25 20220518
        OP001G227
        
          
        
        -500000.000000
        NC
        
        -1911.840000
        -0.0000808
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            Put
            Written
            
              
                
                  
                    BNP Paribas S.A.
                    N/A
                  
                  
                    N/A
                    N/A
                    SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DCR
                    
                  
                  
                    
                      N/A
                      SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            4.250000
            EUR
            2022-05-18
            XXXX
            1545.080000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317583YR7 PIMCO CDSOPT PUT EUR 4.25 20220518
        OP001DF87
        
          
        
        -4900000.000000
        NC
        
        -18736.070000
        -0.0007915
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Put
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    N/A
                    N/A
                    SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DCR
                    
                  
                  
                    
                      N/A
                      SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            4.250000
            EUR
            2022-05-18
            XXXX
            10307.090000
          
        
        
          N
          N
          N
        
      
      
        BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-RLJ
        N/A
        BANC OF AMERICA MERRILL LYNCH BAMLL 2019 RLJ A 144A
        05492HAA4
        
          
        
        5000000.000000
        PA
        USD
        4976263.500000
        0.2102207
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-04-15
          Floating
          1.447
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3175211L6 PIMCO CDSOPT PUT EUR 0.9 20220420
        OP001CTF8
        
          
        
        -3700000.000000
        NC
        
        -885.630000
        -0.0000374
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    N/A
                    N/A
                    SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DCR
                    
                  
                  
                    
                      N/A
                      SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            0.900000
            EUR
            2022-04-20
            XXXX
            3454.140000
          
        
        
          N
          N
          N
        
      
      
        BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-RLJ
        N/A
        BANC OF AMERICA MERRILL LYNCH BAMLL 2019 RLJ B 144A
        05492HAG1
        
          
        
        3700000.000000
        PA
        USD
        3668288.410000
        0.1549657
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-04-15
          Floating
          1.747
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317541035 PIMCO CDSOPT PUT EUR 0.9 20220518
        OP001DFY0
        
          
        
        -2000000.000000
        NC
        
        -1829.320000
        -0.0000773
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    N/A
                    N/A
                    SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DCR
                    
                  
                  
                    
                      N/A
                      SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            0.900000
            EUR
            2022-05-18
            XXXX
            327.070000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317541Z94 PIMCO CDSOPT PUT EUR 1.0 20220615
        OP001FDM3
        
          
        
        -9900000.000000
        NC
        
        -12288.550000
        -0.0005191
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Put
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    N/A
                    N/A
                    SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DCR
                    
                  
                  
                    
                      N/A
                      SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            1.000000
            EUR
            2022-06-15
            XXXX
            7525.300000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317553J48 PIMCO CDSOPT PUT EUR 0.85 20220518
        OP001DZX0
        
          
        
        -2000000.000000
        NC
        
        -2247.370000
        -0.0000949
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    N/A
                    N/A
                    SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DCR
                    
                  
                  
                    
                      N/A
                      SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            0.850000
            EUR
            2022-05-18
            XXXX
            503.650000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317557KO3 PIMCO CDSOPT PUT EUR 0.85 20220518
        OP001DKN8
        
          
        
        -2000000.000000
        NC
        
        -2247.370000
        -0.0000949
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Put
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    N/A
                    N/A
                    SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DCR
                    
                  
                  
                    
                      N/A
                      SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            0.850000
            EUR
            2022-05-18
            XXXX
            195.140000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317564HC9 PIMCO CDSOPT PUT EUR 0.9 20220518
        OP001F526
        
          
        
        -2000000.000000
        NC
        
        -1829.320000
        -0.0000773
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Put
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    N/A
                    N/A
                    SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DCR
                    
                  
                  
                    
                      N/A
                      SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            0.900000
            EUR
            2022-05-18
            XXXX
            888.900000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317567113 PIMCO CDSOPT PUT EUR 1.0 20220615
        OP001JJB3
        
          
        
        -3900000.000000
        NC
        
        -4840.950000
        -0.0002045
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    N/A
                    N/A
                    SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DCR
                    
                  
                  
                    
                      N/A
                      SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            1.000000
            EUR
            2022-06-15
            XXXX
            5566.490000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3175737M9 PIMCO CDSOPT PUT EUR 1.2 20220615
        OP001HSL5
        
          
        
        -2900000.000000
        NC
        
        -2239.880000
        -0.0000946
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    N/A
                    N/A
                    SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DCR
                    
                  
                  
                    
                      N/A
                      SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            1.200000
            EUR
            2022-06-15
            XXXX
            1993.610000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317514FO0 PIMCO CDSOPT PUT EUR 1.2 20220720
        OP001L267
        
          
        
        -1200000.000000
        NC
        
        -2228.980000
        -0.0000942
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    N/A
                    N/A
                    SWOP CDX ITRAXX MAIN37 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DCR
                    
                  
                  
                    
                      N/A
                      SWOP CDX ITRAXX MAIN37 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2027-06-20
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            1.200000
            EUR
            2022-07-20
            XXXX
            1428.920000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT BRL/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        323787.750000
        0.0136783
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3850509.630000
            USD
            20400000.000000
            BRL
            2022-07-05
            323787.750000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT BRL/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        87982.550000
        0.0037168
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1119289.730000
            USD
            5900000.000000
            BRL
            2022-07-05
            87982.550000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT DKK/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        823.260000
        0.0000348
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            101572.000000
            USD
            688515.960000
            DKK
            2022-04-01
            823.260000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT EUR/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -333697.610000
        -0.0140970
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            50907839.020000
            USD
            45716748.000000
            EUR
            2022-04-04
            -333697.610000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -211.030000
        -0.0000089
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            1817.000000
            USD
            140959.230000
            RUB
            2022-05-23
            -211.030000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT SGD/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        24.000000
        0.0000010
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            5418.000000
            USD
            7376.010000
            SGD
            2022-06-15
            24.000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CAD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -49781.300000
        -0.0021030
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            3636000.000000
            CAD
            2858653.730000
            USD
            2022-04-04
            -49781.300000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CAD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -1391.420000
        -0.0000588
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            258000.000000
            CAD
            204982.680000
            USD
            2022-04-04
            -1391.420000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CAD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        4299.050000
        0.0001816
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            3591000.000000
            CAD
            2876738.600000
            USD
            2022-04-04
            4299.050000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -789.110000
        -0.0000333
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            685933.490000
            DKK
            101572.000000
            USD
            2022-07-01
            -789.110000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD EUR/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        334845.710000
        0.0141455
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            45716748.000000
            EUR
            50952170.550000
            USD
            2022-05-03
            334845.710000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT CAD/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        50042.400000
        0.0021140
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            3092763.220000
            USD
            3929000.000000
            CAD
            2022-04-04
            50042.400000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT MXN/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        65565.210000
        0.0027698
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            2910924.160000
            USD
            59963000.000000
            MXN
            2022-06-15
            65565.210000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        S+P500 EMINI FUT  JUN22 XCME 20220617
        000000000
        
          
        
        3871.000000
        NC
        USD
        62738115.850000
        2.6503525
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                S&P 500 INDEX
                N/A
                N/A
              
            
            2022-06-17
            876926662.500000
            USD
            62738115.850000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPTR TRS EQUITY 3ML+25 RBC
        000000000
        
          
        
        1.000000
        NC
        USD
        572714.100000
        0.0241941
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            
              
                S&P 500 INDEX
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-05-18
            0.000000
            USD
            0.000000
            USD
            15690325.080000
            USD
            572714.100000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPTR TRS EQUITY 3ML+27 *BULLET* HUS
        000000000
        
          
        
        1.000000
        NC
        USD
        11727804.940000
        0.4954375
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              HSBC BANK USA, NATIONAL ASSOCIATION
              1IE8VN30JCEQV1H4R804
            
            
              
                S&P 500 INDEX
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-05-04
            0.000000
            USD
            0.000000
            USD
            96477257.170000
            USD
            11727804.940000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPTR TRS EQUITY 3ML+28 *BULLET* FAR
        000000000
        
          
        
        1.000000
        NC
        USD
        40303277.580000
        1.7025996
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Wells Fargo Trust Company, National Association
              KB1H1DSPRFMYMCUFXT09
            
            
              
                S&P 500 INDEX
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-04-20
            0.000000
            USD
            0.000000
            USD
            228551156.760000
            USD
            40303277.580000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPTR TRS EQUITY 3ML+29 *BULLET* HUS
        000000000
        
          
        
        1.000000
        NC
        USD
        14091864.800000
        0.5953065
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              HSBC BANK USA, NATIONAL ASSOCIATION
              1IE8VN30JCEQV1H4R804
            
            
              
                S&P 500 INDEX
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-05-25
            0.000000
            USD
            0.000000
            USD
            149995897.640000
            USD
            14091864.800000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPTR TRS EQUITY 3ML+30 CBK
        000000000
        
          
        
        1.000000
        NC
        USD
        59884.020000
        0.0025298
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            
              
                S&P 500 INDEX
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-04-20
            0.000000
            USD
            0.000000
            USD
            11752165.760000
            USD
            59884.020000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPTR TRS EQUITY 3ML+30 FAR
        000000000
        
          
        
        1.000000
        NC
        USD
        146211.500000
        0.0061767
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Wells Fargo Trust Company, National Association
              KB1H1DSPRFMYMCUFXT09
            
            
              
                S&P 500 INDEX
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-04-20
            0.000000
            USD
            0.000000
            USD
            28693845.480000
            USD
            146211.500000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPTR TRS EQUITY 3ML+30 HUS
        000000000
        
          
        
        1.000000
        NC
        USD
        129188.810000
        0.0054575
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              HSBC BANK USA, NATIONAL ASSOCIATION
              1IE8VN30JCEQV1H4R804
            
            
              
                S&P 500 INDEX
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-06-22
            0.000000
            USD
            0.000000
            USD
            8961307.440000
            USD
            129188.810000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPTR TRS EQUITY 3ML+32 *BULLET* HUS
        000000000
        
          
        
        1.000000
        NC
        USD
        15186848.610000
        0.6415638
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              HSBC BANK USA, NATIONAL ASSOCIATION
              1IE8VN30JCEQV1H4R804
            
            
              
                S&P 500 INDEX
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-07-06
            0.000000
            USD
            0.000000
            USD
            190496793.310000
            USD
            15186848.610000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPTR TRS EQUITY 3ML+33 *BULLET* FAR
        000000000
        
          
        
        1.000000
        NC
        USD
        5751715.880000
        0.2429795
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Wells Fargo Trust Company, National Association
              KB1H1DSPRFMYMCUFXT09
            
            
              
                S&P 500 INDEX
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-07-06
            0.000000
            USD
            0.000000
            USD
            72002369.850000
            USD
            5751715.880000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPTR TRS EQUITY 3ML+33 *BULLET* FAR
        000000000
        
          
        
        1.000000
        NC
        USD
        9053265.960000
        0.3824525
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Wells Fargo Trust Company, National Association
              KB1H1DSPRFMYMCUFXT09
            
            
              
                S&P 500 INDEX
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-11-09
            0.000000
            USD
            0.000000
            USD
            211846647.580000
            USD
            9053265.960000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPTR TRS EQUITY 3ML+33 HUS
        000000000
        
          
        
        1.000000
        NC
        USD
        282718.480000
        0.0119434
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              HSBC BANK USA, NATIONAL ASSOCIATION
              1IE8VN30JCEQV1H4R804
            
            
              
                S&P 500 INDEX
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-08-10
            0.000000
            USD
            0.000000
            USD
            56014553.140000
            USD
            282718.480000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPTR TRS EQUITY 3ML+34 *BULLET* HUS
        000000000
        
          
        
        1.000000
        NC
        USD
        -79441.740000
        -0.0033560
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              HSBC BANK USA, NATIONAL ASSOCIATION
              1IE8VN30JCEQV1H4R804
            
            
              
                S&P 500 INDEX
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-11-23
            0.000000
            USD
            0.000000
            USD
            135392885.750000
            USD
            -79441.740000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPTR TRS EQUITY 3ML+35 RBC
        000000000
        
          
        
        1.000000
        NC
        USD
        -557500.930000
        -0.0235515
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            
              
                S&P 500 INDEX
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-09-21
            0.000000
            USD
            0.000000
            USD
            11774316.940000
            USD
            -557500.930000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPTR TRS EQUITY FEDL01+26 FAR
        000000000
        
          
        
        1.000000
        NC
        USD
        1324093.000000
        0.0559359
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Wells Fargo Trust Company, National Association
              KB1H1DSPRFMYMCUFXT09
            
            
              
                S&P 500 INDEX
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-11-16
            0.000000
            USD
            0.000000
            USD
            33225177.020000
            USD
            1324093.000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPTR TRS EQUITY FEDL01+34.5 RBC
        000000000
        
          
        
        1.000000
        NC
        USD
        1144684.080000
        0.0483568
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            
              
                S&P 500 INDEX
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2023-02-22
            0.000000
            USD
            0.000000
            USD
            31187736.340000
            USD
            1144684.080000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPTR TRS EQUITY FEDL01+44 FAR
        000000000
        
          
        
        1.000000
        NC
        USD
        4048050.500000
        0.1710087
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Wells Fargo Trust Company, National Association
              KB1H1DSPRFMYMCUFXT09
            
            
              
                S&P 500 INDEX
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-08-03
            0.000000
            USD
            0.000000
            USD
            110530439.940000
            USD
            4048050.500000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SAUDI ARABIA GOVT EM SP NGF
        000000000
        
          
        
        1.000000
        NC
        USD
        85024.140000
        0.0035918
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              NOMURA GLOBAL FINANCIAL PRODUCTS INC.
              0Z3VO5H2G7GRS05BHJ91
            
            
              
                SAUDI ARABIA GOVT
                SAUDI INTERNATIONAL BOND
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2023-06-21
            55694.580000
            USD
            0.000000
            USD
            8400000.000000
            USD
            29329.560000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
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        -573.060000
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              SOCIETE GENERALE
              O2RNE8IBXP4R0TD8PU41
            
            4674.000000
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          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
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        1.000000
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        -267.890000
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              STANDARD CHARTERED BANK
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          N
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        N/A
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        1.000000
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        859586.870000
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        N/A
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              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
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          N
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        1.000000
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        1996655.770000
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              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
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          N
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        N/A
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        STELLANTIS NV SNR SE ICE
        000000000
        
          
        
        1.000000
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        804295.370000
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        NL
        
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              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                STELLANTIS NV
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          N
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        N/A
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        1.000000
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              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                STELLANTIS NV
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          N
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        N/A
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        1.000000
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        -41975.530000
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              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
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            Y
            
            
              
                
              
            
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          N
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        N/A
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        -53635.210000
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            Y
            
            
              
                
              
            
            2048-12-18
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          N
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        N/A
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            Y
            
            
              
                
              
            
            2024-07-08
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            -5739243.210000
          
        
        
          N
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        N/A
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            Y
            
            
              
                
              
            
            2024-07-22
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          N
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        N/A
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        000000000
        
          
        
        1.000000
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              SNZ2OJLFK8MNNCLQOF39
            
            
              
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                N/A
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            Y
            
              
                
              
            
            
            2026-06-16
            992088.510000
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            0.000000
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            4894167.830000
          
        
        
          N
          N
          N
        
      
      
        N/A
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        000000000
        
          
        
        1.000000
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              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
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                N/A
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            2028-06-16
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            -1476105.590000
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            -1580350.860000
          
        
        
          N
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          N
        
      
      
        BANK OF AMERICA CORPORATION
        9DJT3UXIJIZJI4WXO774
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          2026-04-02
          Floating
          1.61627
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          N
        
        
          N
          N
          N
        
      
      
        N/A
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        000000000
        
          
        
        1.000000
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        N/A
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              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
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                N/A
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            Y
            
            
              
                
              
            
            2031-06-16
            0.000000
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            -1348095.020000
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            20000000.000000
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            -1391711.050000
          
        
        
          N
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        N/A
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        1.000000
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        N/A
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              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
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            Y
            
              
                
              
            
            
            2023-06-19
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              N/A
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
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            Y
            
              
                
              
            
            
            2031-07-07
            0.000000
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            0.000000
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            2682204.160000
          
        
        
          N
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        N/A
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        1.000000
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              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
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            Y
            
              
                
              
            
            
            2051-06-16
            1665147.860000
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            0.000000
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            8700000.000000
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            275510.420000
          
        
        
          N
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        N/A
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        1.000000
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              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
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            Y
            
            
              
                
              
            
            2030-06-17
            3587412.020000
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            0.000000
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            74200000.000000
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            -9920191.670000
          
        
        
          N
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        N/A
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        1.000000
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        0.0252579
        N/A
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        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2025-06-17
            0.000000
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            -628539.060000
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            15200000.000000
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            1226433.110000
          
        
        
          N
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        N/A
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        000000000
        
          
        
        1.000000
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        1050093.170000
        0.0443609
        N/A
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        US
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        2
        
          
            
              London Clearing house
              N/A
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2031-07-21
            0.000000
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            0.000000
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            11500000.000000
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            1050093.170000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 1.62500 01/06/20-10Y CME
        000000000
        
          
        
        1.000000
        NC
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        616081.590000
        0.0260262
        N/A
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        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2030-01-07
            0.000000
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            -202186.430000
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            11300000.000000
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            818268.020000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 1.62500 01/16/20-30Y CME
        000000000
        
          
        
        1.000000
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        112005.960000
        0.0047317
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2050-01-18
            0.000000
            USD
            -1242.820000
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            800000.000000
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            113248.780000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 1.75000 01/22/20-30Y CME
        000000000
        
          
        
        1.000000
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        250324.410000
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        N/A
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        US
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              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2050-01-24
            0.000000
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            -13003.370000
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            2200000.000000
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            263327.780000
          
        
        
          N
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          N
        
      
      
        N/A
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        000000000
        
          
        
        1.000000
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              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
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            Y
            
              
                
              
            
            
            2050-02-07
            0.000000
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            -387.350000
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            100000.000000
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            9177.680000
          
        
        
          N
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        N/A
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        1.000000
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        2
        
          
            
              London Clearing house
              N/A
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2030-01-15
            0.000000
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            -36357.130000
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            7700000.000000
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            236602.000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 2.00000 01/15/20-30Y CME
        000000000
        
          
        
        1.000000
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        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2050-01-18
            0.000000
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            -2879.770000
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            400000.000000
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            27138.540000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 2.00000 03/20/20-30Y CME
        000000000
        
          
        
        1.000000
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        70616.430000
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        N/A
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        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2050-03-21
            0.000000
            USD
            -21070.990000
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            1100000.000000
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            91687.420000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 2.25000 01/13/20-30Y CME
        000000000
        
          
        
        1.000000
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        8358.240000
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        N/A
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        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2050-01-13
            0.000000
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            -2590.850000
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            1100000.000000
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            10949.090000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
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        1.000000
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        -210.420000
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            1920.000000
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            150053.760000
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            2022-05-23
            -210.420000
          
        
        
          N
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        N/A
        N/A
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        1.000000
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        -211.330000
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              BFM8T61CT2L1QCEMIK50
            
            1902.000000
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            2022-05-23
            -211.330000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        BARCLAYS BANK PLC SUBORDINATED 11/22 7.625
        06740L8C2
        
          
        
        2200000.000000
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        2255747.600000
        0.0952934
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          2022-11-21
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          7.625
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          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
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        06738EBA2
        
          
        
        500000.000000
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        519517.500000
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          2023-09-15
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          N
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          Y
          
            
              BARCLAYS PLC
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          XXXX
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
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        ACI0SSSH6
        
          
        
        2200000.000000
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        2973175.280000
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          2023-03-15
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          7.25
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          N
          N
          N
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              BARCLAYS PLC
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          XXXX
        
        
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          N
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        N/A
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        000000000
        
          
        
        -2.000000
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        3636.680000
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        1
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            Short
            
              
                N/A
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            2022-06-28
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            3636.680000
          
        
        
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        N/A
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        488132.600000
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        US
        N
        
        2
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                N/A
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            2022-06-21
            -16570195.380000
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            488132.600000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        US 2YR NOTE (CBT) JUN22 XCBT 20220630
        000000000
        
          
        
        329.000000
        NC
        USD
        -1006646.990000
        -0.0425255
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                N/A
                UNITED STATES GOVT
                
                  
                
              
            
            2022-06-30
            69679886.470000
            USD
            -1006646.990000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        US 5YR NOTE (CBT) JUN22 XCBT 20220630
        000000000
        
          
        
        311.000000
        NC
        USD
        -996159.010000
        -0.0420824
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                N/A
                UNITED STATES GOVT
                
                  
                
              
            
            2022-06-30
            35625292.890000
            USD
            -996159.010000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        US LONG BOND(CBT) JUN22 XCBT 20220621
        000000000
        
          
        
        108.000000
        NC
        USD
        -486155.520000
        -0.0205375
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                N/A
                UNITED STATES GOVT
                
                  
                
              
            
            2022-06-21
            16215187.500000
            USD
            -486155.520000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        BARCLAYS PLC SR UNSECURED 01/26 4.375
        06738EAN5
        
          
        
        200000.000000
        PA
        USD
        204369.620000
        0.0086335
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-01-12
          Fixed
          4.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        US ULTRA BOND CBT JUN22 XCBT 20220621
        000000000
        
          
        
        -153.000000
        NC
        USD
        804217.260000
        0.0339739
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                N/A
                UNITED STATES GOVT
                
                  
                
              
            
            2022-06-21
            -27078609.380000
            USD
            804217.260000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        BARCLAYS PLC SUBORDINATED 05/26 5.2
        06738EAP0
        
          
        
        400000.000000
        PA
        USD
        416690.000000
        0.0176029
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-05-12
          Fixed
          5.2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        BARCLAYS PLC SUBORDINATED 05/28 4.836
        06738EAW5
        
          
        
        300000.000000
        PA
        USD
        306694.400000
        0.0129562
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-05-09
          Fixed
          4.836
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BEAR STEARNS  STRUC PROD INC 2007-R6
        N/A
        BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1
        07402FAA3
        
          
        
        263865.290000
        PA
        USD
        227303.900000
        0.0096024
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-26
          Floating
          2.72768
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        BEAR STEARNS  STRUC PROD INC 2007-R6
        N/A
        BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1
        07402FAC9
        
          
        
        178735.680000
        PA
        USD
        153463.030000
        0.0064830
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-12-26
          Floating
          2.33951
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8
        N/A
        BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 1A1
        07384MZQ8
        
          
        
        12096.880000
        PA
        USD
        11879.070000
        0.0005018
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-01-25
          Floating
          2.32096
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8
        N/A
        BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 4A1
        07384MZV7
        
          
        
        173886.520000
        PA
        USD
        177218.120000
        0.0074865
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-01-25
          Floating
          2.48237
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BEAR STEARNS ALT-A TR 2004-12
        N/A
        BEAR STEARNS ALT A TRUST BALTA 2004 12 1M2
        07386HNV9
        
          
        
        1211334.910000
        PA
        USD
        1206051.670000
        0.0509493
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-01-25
          Floating
          2.03157
          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
        
          
        
        77821.650000
        PA
        USD
        57479.360000
        0.0024282
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Floating
          2.87412
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        BEAR STEARNS ALT-A TRUST 2006-6
        N/A
        BEAR STEARNS ALT A TRUST BALTA 2006 6 31A1
        073868AV3
        
          
        
        3429316.130000
        PA
        USD
        2459514.100000
        0.1039014
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Floating
          3.0506
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BEAR STEARNS ARM 2003-1
        N/A
        BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 6A1
        07384MTN2
        
          
        
        11039.890000
        PA
        USD
        11591.660000
        0.0004897
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-04-25
          Floating
          2.51168
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BEAR STEARNS ARM TRUST 2002-11
        N/A
        BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A2
        07384MSJ2
        
          
        
        5032.230000
        PA
        USD
        4608.730000
        0.0001947
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-02-25
          Floating
          2.83814
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9
        N/A
        BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE9 1A3
        07389MAC1
        
          
        
        815000.000000
        PA
        USD
        771173.050000
        0.0325780
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Floating
          0.68657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENEFIT STREET PARTNERS CLO XVII LTD
        N/A
        BENEFIT STREET PARTNERS CLO LT BSP 2019 17A AR 144A
        08182BAL2
        
          
        
        12400000.000000
        PA
        USD
        12307066.220000
        0.5199082
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2032-07-15
          Floating
          1.32129
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BGCLO 19A
        N/A
        BIRCH GROVE CLO LTD. BGCLO 19A AR 144A
        09075JAL3
        
          
        
        1600000.000000
        PA
        USD
        1593491.070000
        0.0673165
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2031-06-15
          Floating
          1.956
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BHR 2018-PRME
        N/A
        BRAEMAR HOTELS + RESORTS TRUST BHR 2018 PRME A 144A
        10482TAA0
        
          
        
        3200000.000000
        PA
        USD
        3168248.640000
        0.1338417
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-15
          Floating
          1.217
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLACK DIAMOND CLO 2015-1 DESIGNATED ACTIVITY CO 15-1A
        N/A
        BLACK DIAMOND CLO LTD BLACK 2015 1A A1R 144A
        ACI0ZL547
        
          
        
        162422.260000
        PA
        
        178855.570000
        0.0075557
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2029-10-03
          Floating
          0.65
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLACK DIAMOND CLO 2015-1 DESIGNATED ACTIVITY CO 15-1A
        N/A
        BLACK DIAMOND CLO LTD BLACK 2015 1A A2R 144A
        ACI0ZL539
        
          
        
        101984.160000
        PA
        USD
        101980.040000
        0.0043081
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2029-10-03
          Floating
          2.01157
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLACK DIAMOND CLO 2017-2 DAC
        N/A
        BLACK DIAMOND CLO BLACK 2017 2A A1 144A
        ACI1XBRF0
        
          
        
        3900000.000000
        PA
        
        4301369.370000
        0.1817100
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2032-01-20
          Floating
          0.86
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLUEMOUNTAIN FUJI EUR CLO III DAC 3A
        N/A
        BLUEMOUNTAIN FUJI EUR CLO BLUME 3A A1R 144A
        ACI1XNPD1
        
          
        
        3150000.000000
        PA
        
        3458132.340000
        0.1460877
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2031-01-15
          Floating
          0.72
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLUEMOUNTAIN FUJI EUR CLO III DAC 3A
        N/A
        BLUEMOUNTAIN FUJI EUR CLO BLUME 3A A2R 144A
        ACI1XNNH4
        
          
        
        500000.000000
        PA
        
        541694.750000
        0.0228837
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2031-01-15
          Fixed
          1.05
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BMO 2022-C1 MORTGAGE TRUST
        N/A
        BMO 2022 C1 MORTGAGE TRUST BMO 2022 C1 111A 144A
        05609MCJ2
        
          
        
        5737000.000000
        PA
        USD
        5589002.040000
        0.2361057
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-02-15
          Variable
          3.26922
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNPAM-2018-1A
        N/A
        BNPP IP EURO CLO BNPAM 2018 1A AR 144A
        ACI1W1J88
        
          
        
        1150000.000000
        PA
        
        1261442.130000
        0.0532892
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2031-04-15
          Floating
          0.6
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOC AVIATION (USA) CORPORATION
        254900QKLTY6MF4Y3P65
        BOC AVIATION USA CORP COMPANY GUAR 144A 04/24 1.625
        66980P2A6
        
          
        
        350000.000000
        PA
        USD
        336399.020000
        0.0142111
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-04-29
          Fixed
          1.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        BROADCOM INC COMPANY GUAR 11/30 4.15
        11135FAQ4
        
          
        
        664000.000000
        PA
        USD
        674016.180000
        0.0284736
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-15
          Fixed
          4.15
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        BROADCOM INC COMPANY GUAR 11/32 4.3
        11135FAS0
        
          
        
        600000.000000
        PA
        USD
        610066.280000
        0.0257721
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-11-15
          Fixed
          4.3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        BROADCOM INC SR UNSECURED 144A 04/33 3.419
        11135FBK6
        
          
        
        3200000.000000
        PA
        USD
        2992507.390000
        0.1264176
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-04-15
          Fixed
          3.419
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        BROADCOM INC SR UNSECURED 144A 04/34 3.469
        11135FBL4
        
          
        
        1250000.000000
        PA
        USD
        1160276.980000
        0.0490155
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-04-15
          Fixed
          3.469
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        BROADCOM INC SR UNSECURED 144A 11/36 3.187
        11135FBQ3
        
          
        
        36000.000000
        PA
        USD
        31326.680000
        0.0013234
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-11-15
          Fixed
          3.187
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BSPRT-2021-FL6
        N/A
        BSPRT ISSUER, LTD. BSPRT 2021 FL6 A 144A
        05601HAA2
        
          
        
        11200000.000000
        PA
        USD
        11064501.950000
        0.4674165
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2036-03-15
          Floating
          1.49657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BSREP COMMERCIAL MORTGAGE TRUST 2021-DC
        N/A
        BSREP COMMERCIAL MORTGAGE TRUS BSREP 2021 DC B 144A
        05591UAC1
        
          
        
        12300000.000000
        PA
        USD
        12075971.490000
        0.5101457
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-08-15
          Floating
          1.747
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BWAY MORTGAGE TRUST 2021-1450
        N/A
        BWAY MORTGAGE TRUST BWAY 2021 1450 A 144A
        12430YAA8
        
          
        
        5000000.000000
        PA
        USD
        4948873.500000
        0.2090636
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-09-15
          Floating
          1.64657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX COMMERCIAL MORTGAGE TRUST 2021-MC
        N/A
        BX TRUST BX 2021 MC A 144A
        05608GAA7
        
          
        
        10500000.000000
        PA
        USD
        10363994.550000
        0.4378238
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-04-15
          Floating
          1.097
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAIRN CLO X BV 18-10A
        N/A
        CAIRN CLO BV CRNCL 2018 10A AR 144A
        ACI1YFN80
        
          
        
        600000.000000
        PA
        
        656195.340000
        0.0277208
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2031-10-15
          Floating
          0.78
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADA GOVT
        4BFD7AQU0A75QLAHK410
        CANADIAN GOVERNMENT BONDS 12/48 2.75
        135087D35
        
          
        
        -3400000.000000
        PA
        
        -2908846.190000
        -0.1228833
        Short
        DBT
        NUSS
        CA
        N
        
        2
        
          2048-12-01
          Fixed
          2.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A
        N/A
        CARLYLE GLOBAL MARKET STRATEGI CGMSE 2017 3A A1R 144A
        ACI1YDTG1
        
          
        
        750000.000000
        PA
        
        822220.130000
        0.0347344
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2031-01-15
          Floating
          0.7
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A
        N/A
        CARLYLE GLOBAL MARKET STRATEGI CGMSE 2014 2A AR1 144A
        ACI1XGH29
        
          
        
        1550000.000000
        PA
        
        1699780.350000
        0.0718067
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2031-11-15
          Floating
          0.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARLYLE US CLO LTD 2017-1A
        N/A
        CARLYLE GLOBAL MARKET STRATEGI CGMS 2017 1A A1R 144A
        14314BAL1
        
          
        
        1700000.000000
        PA
        USD
        1688950.000000
        0.0713492
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2031-04-20
          Floating
          1.254
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CATAMARAN CLO LTD 2014-1A
        N/A
        CATAMARAN CLO LTD CRMN 2014 1A A1AR 144A
        14889DAJ7
        
          
        
        2984689.230000
        PA
        USD
        2972648.840000
        0.1255786
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-04-22
          Floating
          1.35886
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
        N/A
        CHARTER COMM OPT LLC/CAP SR SECURED 07/22 4.464
        161175BB9
        
          
        
        7300000.000000
        PA
        USD
        7327289.010000
        0.3095391
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-23
          Fixed
          4.464
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHASE FUNDING MORTGAGE LOAN AS 2002-4
        N/A
        CHASE FUNDING MORTGAGE LOAN AS CFAB 2002 4 2A1
        161546DQ6
        
          
        
        67515.330000
        PA
        USD
        66242.250000
        0.0027984
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-10-25
          Floating
          1.19657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIFC FUNDING LTD 2017-4A
        N/A
        CIFC FUNDING LTD CIFC 2017 4A A1R 144A
        12551JAL0
        
          
        
        1700000.000000
        PA
        USD
        1690334.280000
        0.0714077
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-10-24
          Floating
          1.20886
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIT MTGE LOAN TRUST 2007-1
        N/A
        CIT MORTGAGE LOAN TRUST CITM 2007 1 1A 144A
        12559QAA0
        
          
        
        1371108.190000
        PA
        USD
        1373040.080000
        0.0580037
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-25
          Floating
          1.80657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        CITIGROUP INC SR UNSECURED 07/23 VAR
        172967LM1
        
          
        
        3100000.000000
        PA
        USD
        3104738.750000
        0.1311587
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-24
          Floating
          2.876
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP MORTGAGE LOAN TRUST 2007-FS1
        N/A
        CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 FS1 1A1 144A
        17313EAA3
        
          
        
        161535.500000
        PA
        USD
        157596.230000
        0.0066576
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-25
          Variable
          5.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP MTGE LOAN TR INC 2007-AHL3
        N/A
        CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A3A
        17312GAA9
        
          
        
        392532.770000
        PA
        USD
        307766.140000
        0.0130015
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-07-25
          Floating
          0.51657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP MTGE LOAN TR INC 2007-AMC1
        N/A
        CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A
        17311BAS2
        
          
        
        918440.040000
        PA
        USD
        601354.590000
        0.0254040
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          0.61657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP MTGE LOAN TR INC 2007-WFH4
        N/A
        CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH4 M1
        17313JAF1
        
          
        
        998634.830000
        PA
        USD
        1000257.410000
        0.0422556
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-07-25
          Floating
          2.10657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP MTGE LOAN TRUST INC 2005-11
        N/A
        CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A
        17307GW53
        
          
        
        31756.610000
        PA
        USD
        31643.220000
        0.0013368
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-25
          Floating
          2.47
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITRIX SYSTEMS INC
        HCTKJGUQOPZ5NBK7NP58
        CITRIX SYSTEMS INC SR UNSECURED 03/26 1.25
        177376AG5
        
          
        
        1300000.000000
        PA
        USD
        1265509.140000
        0.0534610
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          1.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CLECO POWER LLC
        TM1ZH54SJKLNHFCBFK92
        CLECO POWER LLC SR UNSECURED 144A 06/23 VAR
        185508AH1
        
          
        
        6400000.000000
        PA
        USD
        6399436.860000
        0.2703423
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Floating
          1.326
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR
        N/A
        COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR A 144A
        12564NAA0
        
          
        
        5480000.000000
        PA
        USD
        5406755.420000
        0.2284067
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-15
          Floating
          1.526
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2014-277P
        N/A
        COMM MORTGAGE TRUST COMM 2014 277P A 144A
        12592FAA3
        
          
        
        2700000.000000
        PA
        USD
        2703812.940000
        0.1142218
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-10
          Variable
          3.6113
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-OC3
        N/A
        COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC3 1A1
        021464AA0
        
          
        
        1965803.600000
        PA
        USD
        1937877.390000
        0.0818650
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-04-25
          Floating
          0.81657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ASSET-BACKED CERT 2004-3
        N/A
        COUNTRYWIDE ASSET BACKED CERTI CWL 2004 3 2A
        1266714M5
        
          
        
        481758.810000
        PA
        USD
        469018.510000
        0.0198135
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-08-25
          Floating
          0.85657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ASSET-BACKED CERT 2005-14
        N/A
        COUNTRYWIDE ASSET BACKED CERTI CWL 2005 14 M4
        126670LS5
        
          
        
        8899999.990000
        PA
        USD
        8800893.150000
        0.3717910
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-04-25
          Floating
          1.55157
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ASSET-BACKED CERT 2006-16
        N/A
        COUNTRYWIDE ASSET BACKED CERTI CWL 2006 16 1A
        23242FAA4
        
          
        
        8215677.290000
        PA
        USD
        7854088.080000
        0.3317935
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-12-25
          Floating
          0.73657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ASSET-BACKED CERT 2006-24
        N/A
        COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 1A
        23243HAA9
        
          
        
        1495673.940000
        PA
        USD
        1409596.860000
        0.0595480
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-06-25
          Floating
          0.59657
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ASSET-BACKED CERT 2007-2
        N/A
        COUNTRYWIDE ASSET BACKED CERTI CWL 2007 2 1A
        12668NAA5
        
          
        
        286956.880000
        PA
        USD
        265401.940000
        0.0112118
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-08-25
          Floating
          0.59657
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ASSET-BACKED CERT 2007-9
        N/A
        COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 1A
        12670FAA8
        
          
        
        367635.210000
        PA
        USD
        340089.150000
        0.0143670
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-06-25
          Floating
          0.65657
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4
        N/A
        COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB4 2A1
        126670KK3
        
          
        
        558572.590000
        PA
        USD
        527866.120000
        0.0222995
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-25
          Floating
          0.99657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE HOME LOANS 2005-24
        N/A
        COUNTRYWIDE HOME LOANS CWHL 2005 24 A7
        126694JX7
        
          
        
        817121.090000
        PA
        USD
        574870.340000
        0.0242852
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Fixed
          5.5
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT BASED ASSET SRVC & SEC 2007-SP2
        N/A
        CREDIT BASED ASSET SERVICING A CBASS 2007 SP2 M4 144A
        1248MHAG7
        
          
        
        1888000.000000
        PA
        USD
        1861813.060000
        0.0786517
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-03-25
          Floating
          1.50657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE AG/ ZURICH BRANCH
        ANGGYXNX0JLX3X63JN86
        CREDIT SUISSE AG SUBORDINATED 144A 08/23 6.5
        22546DAA4
        
          
        
        2500000.000000
        PA
        USD
        2569525.000000
        0.1085488
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-08-08
          Fixed
          6.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE AG/ ZURICH BRANCH
        ANGGYXNX0JLX3X63JN86
        CREDIT SUISSE AG SUBORDINATED REGS 08/23 6.5
        ACI06K5Q2
        
          
        
        2400000.000000
        PA
        USD
        2466744.000000
        0.1042068
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-08-08
          Fixed
          6.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A
        N/A
        CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A
        22540VK43
        
          
        
        38332.470000
        PA
        USD
        36666.740000
        0.0015490
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-03-25
          Floating
          0.419662
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/49 VAR
        22546DAB2
        
          
        
        2300000.000000
        PA
        USD
        2384812.500000
        0.1007457
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-12-11
          Floating
          7.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR
        225401AJ7
        
          
        
        400000.000000
        PA
        USD
        407100.000000
        0.0171978
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-07-17
          Floating
          7.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        CREDIT SUISSE GROUP AG JR SUBORDINA REGS 12/99 VAR
        H3698DBW3
        
          
        
        400000.000000
        PA
        USD
        407100.000000
        0.0171978
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-07-17
          Floating
          7.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        CREDIT SUISSE GROUP AG SR UNSECURED 144A 04/31 VAR
        225401AP3
        
          
        
        250000.000000
        PA
        USD
        247056.900000
        0.0104368
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2031-04-01
          Floating
          4.194
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2021-RPL9
        N/A
        CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL9 A1 144A
        12658XAC1
        
          
        
        3870009.620000
        PA
        USD
        3696430.400000
        0.1561546
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-02-25
          Fixed
          2.43639
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT-BASED ASSET SERVC SEC 2005-CB3
        N/A
        CREDIT BASED ASSET SERVICING A CBASS 2005 CB3 M4
        12489WLH5
        
          
        
        1995000.000000
        PA
        USD
        1970474.670000
        0.0832421
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-25
          Floating
          1.50657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CS FIRST BOSTON MTGE SEC CORP 2001-HE17
        N/A
        CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1
        22540A7A0
        
          
        
        72788.430000
        PA
        USD
        70912.770000
        0.0029957
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-01-25
          Floating
          1.07657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CS FIRST BOSTON MTGE SEC CORP 2002-AR21
        N/A
        CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 AR21 1A1
        22540V4R0
        
          
        
        543.910000
        PA
        USD
        500.270000
        0.0000211
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-06-25
          Floating
          0.098
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CS FIRST BOSTON MTGE SEC CORP 2002-AR21
        N/A
        CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 AR21 2A1
        22540V4S8
        
          
        
        5511.970000
        PA
        USD
        5654.690000
        0.0002389
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-06-25
          Floating
          4.97403
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSMC 2018-RPL9 TRUST
        N/A
        CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL9 A1 144A
        12654PAA6
        
          
        
        4424352.320000
        PA
        USD
        4463440.590000
        0.1885567
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-09-25
          Variable
          3.85
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSMC 2021-ADV TRUST
        N/A
        CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A
        12660WAA3
        
          
        
        7900000.000000
        PA
        USD
        7727614.100000
        0.3264507
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-07-15
          Floating
          1.797
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSMC 2021-RPL2 TRUST
        N/A
        CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 A1A 144A
        12656TAB4
        
          
        
        1896122.060000
        PA
        USD
        1751259.280000
        0.0739814
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-25
          Variable
          1.11456
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSMC TRUST 2021-RPL4
        N/A
        CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL4 A1 144A
        12662GAC2
        
          
        
        2375566.230000
        PA
        USD
        2271417.370000
        0.0959553
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-12-27
          Fixed
          1.79561
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAE FUNDING LLC
        635400SZTPQL3Y1P2C76
        DAE FUNDING LLC COMPANY GUAR 144A 02/24 1.625
        23371DAH7
        
          
        
        2000000.000000
        PA
        USD
        1916320.880000
        0.0809544
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-02-15
          Fixed
          1.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAE FUNDING LLC
        635400SZTPQL3Y1P2C76
        DAE FUNDING LLC COMPANY GUAR 144A 03/25 2.625
        23371DAF1
        
          
        
        600000.000000
        PA
        USD
        571500.000000
        0.0241428
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-03-20
          Fixed
          2.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAE FUNDING LLC
        635400SZTPQL3Y1P2C76
        DAE FUNDING LLC COMPANY GUAR 144A 03/28 3.375
        23371DAG9
        
          
        
        500000.000000
        PA
        USD
        470000.000000
        0.0198550
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-03-20
          Fixed
          3.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAE FUNDING LLC
        635400SZTPQL3Y1P2C76
        DAE FUNDING LLC COMPANY GUAR 144A 08/24 1.55
        23371DAJ3
        
          
        
        1900000.000000
        PA
        USD
        1796138.510000
        0.0758773
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-08-01
          Fixed
          1.55
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2006-AR2
        N/A
        DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR2 1A1
        251508AA5
        
          
        
        2797427.990000
        PA
        USD
        2752522.280000
        0.1162795
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-25
          Floating
          0.69657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        DEUTSCHE BANK AG SR UNSECURED REGS 01/27 1.625
        ACI1J0CL3
        
          
        
        6200000.000000
        PA
        
        6683857.270000
        0.2823575
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-01-20
          Fixed
          1.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        DEUTSCHE BANK AG SR UNSECURED REGS 01/28 1.75
        ACI0ZWMV4
        
          
        
        600000.000000
        PA
        
        641331.040000
        0.0270928
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2028-01-17
          Fixed
          1.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        DEUTSCHE BANK AG SR UNSECURED REGS 09/26 VAR
        ACI1QTHL7
        
          
        
        2400000.000000
        PA
        
        2606511.160000
        0.1101113
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-09-03
          Floating
          1.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG/NEW YORK BRANCH
        7LTWFZYICNSX8D621K86
        DEUTSCHE BANK NY SR UNSECURED 05/32 VAR
        251526CK3
        
          
        
        500000.000000
        PA
        USD
        450130.730000
        0.0190156
        Long
        DBT
        CORP
        DE
        Y
        
        2
        
          2032-05-28
          Floating
          3.035
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISCOVERY COMMUNICATIONS (MAGALLANES INC)
        549300DXR29GD4N0A520
        MAGALLANES INC COMPANY GUAR 144A 03/24 3.428
        55903VAC7
        
          
        
        1700000.000000
        PA
        USD
        1710521.280000
        0.0722604
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          3.428
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISCOVERY COMMUNICATIONS (MAGALLANES INC)
        549300DXR29GD4N0A520
        MAGALLANES INC COMPANY GUAR 144A 03/25 3.638
        55903VAE3
        
          
        
        1700000.000000
        PA
        USD
        1712140.720000
        0.0723289
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          3.638
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISCOVERY COMMUNICATIONS (MAGALLANES INC)
        549300DXR29GD4N0A520
        MAGALLANES INC COMPANY GUAR 144A 03/27 3.755
        55903VAG8
        
          
        
        1700000.000000
        PA
        USD
        1699741.350000
        0.0718051
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.755
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DRYDEN 36 SENIOR LOAN FUND 2014-36A
        N/A
        DRYDEN SENIOR LOAN FUND DRSLF 2014 36A AR3 144A
        26249KAZ4
        
          
        
        2785904.910000
        PA
        USD
        2777933.570000
        0.1173530
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2029-04-15
          Floating
          1.26129
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DRYDEN 52 EURO CLO 2017 17-52A
        N/A
        DRYDEN EURO CLO DRYD 2017 52A AR 144A
        ACI1YL2T4
        
          
        
        3900000.000000
        PA
        
        4287500.000000
        0.1811241
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2034-05-15
          Floating
          0.86
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EAR STEARNS ASSET BACKED SECURITIES I TRUST 2004-HE9
        N/A
        BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE9 M1
        073879KC1
        
          
        
        9722656.790000
        PA
        USD
        9624638.800000
        0.4065899
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-25
          Floating
          1.43157
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENCINA EQUIPMENT FINANCE 2021-1 LLC
        N/A
        ENCINA EQUIPMENT FINANCE ENCA 2021 1A A1 144A
        29253EAA0
        
          
        
        661755.340000
        PA
        USD
        660929.600000
        0.0279208
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          0.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENCINA EQUIPMENT FINANCE 2021-1 LLC
        N/A
        ENCINA EQUIPMENT FINANCE ENCA 2021 1A A2 144A
        29253EAB8
        
          
        
        1200000.000000
        PA
        USD
        1184082.000000
        0.0500212
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          0.74
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENEL FINANCE INTERNATIONAL NV
        0YQH6LCEF474UTUV4B96
        ENEL FINANCE INTL NV COMPANY GUAR 144A 07/26 1.375
        29278GAM0
        
          
        
        800000.000000
        PA
        USD
        735475.760000
        0.0310699
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2026-07-12
          Fixed
          1.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        ENERGY TRANSFER LP SR UNSECURED 03/23 4.25
        29278NAL7
        
          
        
        200000.000000
        PA
        USD
        202254.780000
        0.0085442
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          4.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP / REGENCY ENERGY FINANCE CORP
        N/A
        ENRGY TRANS LP/REG FIN SR UNSECURED 10/22 5
        75886AAQ1
        
          
        
        100000.000000
        PA
        USD
        100821.130000
        0.0042592
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-01
          Fixed
          5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        EXPEDIA GROUP INC COMPANY GUAR 144A 05/25 6.25
        30212PAS4
        
          
        
        300000.000000
        PA
        USD
        320977.850000
        0.0135596
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          6.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXTENDED STAY AMERICA TRUST 2021-ESH
        N/A
        EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A
        30227FAA8
        
          
        
        8547394.970000
        PA
        USD
        8456975.500000
        0.3572623
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-07-15
          Floating
          1.477
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXTENDED STAY AMERICA TRUST 2021-ESH
        N/A
        EXTENDED STAY AMERICA TRUST ESA 2021 ESH B 144A
        30227FAE0
        
          
        
        10733937.870000
        PA
        USD
        10610964.510000
        0.4482569
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-07-15
          Floating
          1.777
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE 2003-25
        N/A
        FANNIE MAE FNR 2003 25 KP
        31393APU5
        
          
        
        125556.890000
        PA
        USD
        132033.440000
        0.0055777
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-25
          Fixed
          5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE 2004-11
        N/A
        FANNIE MAE FNR 2004 11 A
        31393T7H3
        
          
        
        41539.280000
        PA
        USD
        41388.680000
        0.0017485
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-25
          Floating
          0.57657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE 2007-14
        N/A
        FANNIE MAE FNR 2007 14 F
        31396PZS3
        
          
        
        24388.040000
        PA
        USD
        24421.190000
        0.0010317
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-25
          Floating
          0.81657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE 2007-14
        N/A
        FANNIE MAE FNR 2007 14 FB
        31396PZU8
        
          
        
        9032.600000
        PA
        USD
        9040.630000
        0.0003819
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-25
          Floating
          0.80657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE 2007-4
        N/A
        FANNIE MAE FNR 2007 4 DF
        31396PMC2
        
          
        
        54812.250000
        PA
        USD
        55098.330000
        0.0023276
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-25
          Floating
          0.90157
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE 2007-42
        N/A
        FANNIE MAE FNR 2007 42 AF
        31396VN53
        
          
        
        23407.860000
        PA
        USD
        23319.030000
        0.0009851
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-25
          Floating
          0.70657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE 2007-63
        N/A
        FANNIE MAE FNR 2007 63 FC
        31396WTU0
        
          
        
        33810.680000
        PA
        USD
        33841.010000
        0.0014296
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-25
          Floating
          0.80657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE 2007-65
        N/A
        FANNIE MAE FNR 2007 65 KF
        31396WLX2
        
          
        
        53877.100000
        PA
        USD
        54002.280000
        0.0022813
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-25
          Floating
          0.83657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE 2007-96
        N/A
        FANNIE MAE FNR 2007 96 AF
        31396XNT7
        
          
        
        136082.720000
        PA
        USD
        138474.860000
        0.0058498
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-06-25
          Floating
          1.17657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE 2009-111
        N/A
        FANNIE MAE FNR 2009 111 FC
        31398GQS1
        
          
        
        34707.940000
        PA
        USD
        35405.390000
        0.0014957
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-25
          Floating
          1.20657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE 2009-111
        N/A
        FANNIE MAE FNR 2009 111 FE
        31398GRA9
        
          
        
        36482.500000
        PA
        USD
        37218.940000
        0.0015723
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-01-25
          Floating
          1.20657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE 2009-47
        N/A
        FANNIE MAE FNR 2009 47 FA
        31396QFA2
        
          
        
        35789.460000
        PA
        USD
        36740.630000
        0.0015521
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-25
          Floating
          1.35657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE 2009-87
        N/A
        FANNIE MAE FNR 2009 87 FX
        31398FM57
        
          
        
        70732.460000
        PA
        USD
        71771.510000
        0.0030320
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-11-25
          Floating
          1.20657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE 2009-99
        N/A
        FANNIE MAE FNR 2009 99 FC
        31398F4R9
        
          
        
        69600.530000
        PA
        USD
        71256.640000
        0.0030102
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-25
          Floating
          1.27657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE REMICS 2010-109
        N/A
        FANNIE MAE FNR 2010 109 N
        31398NRZ9
        
          
        
        680052.310000
        PA
        USD
        673176.780000
        0.0284381
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-25
          Fixed
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE REMICS 2011-60
        N/A
        FANNIE MAE FNR 2011 60 OA
        31397U3F4
        
          
        
        42453.890000
        PA
        USD
        37203.060000
        0.0015716
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-25
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE REMICS 2018-27
        N/A
        FANNIE MAE FNR 2018 27 WF
        3136B1M35
        
          
        
        671897.500000
        PA
        USD
        668711.090000
        0.0282495
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2058-05-25
          Floating
          0.45629
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE-2005-75
        N/A
        FANNIE MAE FNR 2005 75 AF
        31394FAF2
        
          
        
        129306.780000
        PA
        USD
        129683.010000
        0.0054784
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-25
          Floating
          0.85657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE-ACES 2015-M17
        N/A
        FANNIEMAE ACES FNA 2015 M17 FA
        3136AQC65
        
          
        
        270474.960000
        PA
        USD
        270499.220000
        0.0114272
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-11-25
          Floating
          1.05571
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL 847415 FH 06/35 FLOATING VAR
        3128JRGY6
        
          
        
        130402.000000
        PA
        USD
        136434.520000
        0.0057636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Floating
          1.979
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL 849407 FH 09/37 FLOATING VAR
        31300MNY5
        
          
        
        436103.660000
        PA
        USD
        458022.750000
        0.0193490
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Floating
          2.322
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL A97944 FG 04/41 FIXED 5
        312946ZH2
        
          
        
        1007.920000
        PA
        USD
        1062.700000
        0.0000449
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL C01615 FG 08/33 FIXED 6
        31292HYL2
        
          
        
        6145.840000
        PA
        USD
        6819.810000
        0.0002881
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          6
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL C91015 FG 12/26 FIXED 5
        3128P7DU4
        
          
        
        7868.370000
        PA
        USD
        8289.150000
        0.0003502
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-12-01
          Fixed
          5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL C91161 FG 02/28 FIXED 5
        3128P7JE4
        
          
        
        12914.090000
        PA
        USD
        13609.660000
        0.0005749
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-02-01
          Fixed
          5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL C91175 FG 05/28 FIXED 5
        3128P7JU8
        
          
        
        4101.220000
        PA
        USD
        4321.990000
        0.0001826
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-05-01
          Fixed
          5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL C91222 FG 12/28 FIXED 5
        3128P7LB7
        
          
        
        13722.690000
        PA
        USD
        14464.970000
        0.0006111
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-12-01
          Fixed
          5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL C91238 FG 01/29 FIXED 5
        3128P7LT8
        
          
        
        26823.210000
        PA
        USD
        28390.070000
        0.0011993
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-01
          Fixed
          5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL D59813 FG 04/25 FIXED 8.5
        31356N3W2
        
          
        
        472.420000
        PA
        USD
        473.970000
        0.0000200
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-04-01
          Fixed
          8.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL G04614 FG 02/34 FIXED 6
        3128M6N79
        
          
        
        156433.510000
        PA
        USD
        173436.910000
        0.0073268
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Fixed
          6
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL G04618 FG 07/33 FIXED 6
        3128M6PB8
        
          
        
        2525.190000
        PA
        USD
        2799.500000
        0.0001183
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Fixed
          6
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL G04629 FG 01/29 FIXED 6
        3128M6PN2
        
          
        
        101.770000
        PA
        USD
        108.710000
        0.0000046
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-01
          Fixed
          6
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL G08789 FG 11/47 FIXED 4
        3128MJ2X7
        
          
        
        481856.700000
        PA
        USD
        498075.390000
        0.0210410
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          4
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC STRUCTURED PASS THRU SEC T-59
        N/A
        FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A1
        31394PPQ0
        
          
        
        434056.850000
        PA
        USD
        471435.050000
        0.0199156
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-10-25
          Fixed
          6.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FINGAL SECURITIES RMBS DAC 1
        N/A
        FINGAL SECURITIES RMBS FNGAL 1 A REGS
        ACI1MG334
        
          
        
        2822377.130000
        PA
        
        3130405.910000
        0.1322430
        Long
        ABS-MBS
        CORP
        IE
        N
        
        2
        
          2055-07-28
          Floating
          0.446
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF7
        N/A
        FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF7 2A4
        320277AF3
        
          
        
        12141200.000000
        PA
        USD
        11245005.820000
        0.4750418
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-25
          Floating
          0.93657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRST FRANKLIN MTG LOAN 2006-FF12
        N/A
        FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF12 A5
        32027GAE6
        
          
        
        3752321.210000
        PA
        USD
        3600505.670000
        0.1521023
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-09-25
          Floating
          0.76657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRST FRANKLIN MTG LOAN ABS 2006-FF11
        N/A
        FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF11 2A3
        32028PAE5
        
          
        
        2516050.260000
        PA
        USD
        2391043.570000
        0.1010089
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-25
          Floating
          0.75657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL 041732 FN 02/27 FLOATING VAR
        31361ULM1
        
          
        
        263.530000
        PA
        USD
        267.310000
        0.0000113
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-02-01
          Floating
          4.158
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL 062687 FN 04/28 FLOATING VAR
        31362JUL7
        
          
        
        1190.340000
        PA
        USD
        1218.700000
        0.0000515
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-04-01
          Floating
          4.493
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL 064730 FN 11/27 FLOATING VAR
        31362L4P2
        
          
        
        3113.770000
        PA
        USD
        3161.840000
        0.0001336
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-11-01
          Floating
          4.384
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL 065579 FN 07/28 FLOATING VAR
        31362M2L1
        
          
        
        1967.560000
        PA
        USD
        2015.840000
        0.0000852
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-07-01
          Floating
          4.472
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL 067698 FN 11/28 FLOATING VAR
        31362QGF0
        
          
        
        3272.700000
        PA
        USD
        3349.200000
        0.0001415
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-11-01
          Floating
          4.566
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL 086654 FN 08/29 FLOATING VAR
        31363EH73
        
          
        
        659.410000
        PA
        USD
        676.320000
        0.0000286
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-08-01
          Floating
          5.575
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL 303469 FN 11/28 FLOATING VAR
        31373UCE5
        
          
        
        2619.960000
        PA
        USD
        2686.630000
        0.0001135
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-11-01
          Floating
          4.245
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL 534064 FN 03/30 FIXED 8
        31384UJH8
        
          
        
        1820.200000
        PA
        USD
        1827.070000
        0.0000772
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-03-01
          Fixed
          8
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL 535439 FN 08/30 FIXED VAR
        31384VZC9
        
          
        
        418.530000
        PA
        USD
        452.430000
        0.0000191
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-08-01
          Fixed
          8
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL 536234 FN 05/30 FIXED 8
        31384WV31
        
          
        
        3439.790000
        PA
        USD
        3526.440000
        0.0001490
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-05-01
          Fixed
          8
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL 544860 FN 09/34 FLOATING VAR
        31385HJD5
        
          
        
        21883.800000
        PA
        USD
        23224.580000
        0.0009811
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Floating
          4.992
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL 544861 FN 12/36 FLOATING VAR
        31385HJE3
        
          
        
        42933.890000
        PA
        USD
        45884.500000
        0.0019384
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Floating
          4.009
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL 758900 FN 12/33 FLOATING VAR
        31403VDD8
        
          
        
        48694.220000
        PA
        USD
        48731.410000
        0.0020586
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Floating
          2.071
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL 795297 FN 07/44 FLOATING VAR
        31405PRS1
        
          
        
        17566.960000
        PA
        USD
        17951.960000
        0.0007584
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-07-01
          Floating
          1.342
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL 814583 FN 04/35 FLOATING VAR
        31406M6U5
        
          
        
        60452.990000
        PA
        USD
        60840.370000
        0.0025702
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Floating
          1.815
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL 844532 FN 11/35 FLOATING VAR
        31407YHH5
        
          
        
        38973.450000
        PA
        USD
        40631.670000
        0.0017165
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Floating
          1.94
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PIMCO FUNDS
        549300F9QJIJF2GM8419
        PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND
        000000000
        
          
        
        2033637.850000
        PA
        USD
        20047601.970000
        0.8469048
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL AL5548 FN 05/38 FLOATING VAR
        3138ENEW5
        
          
        
        181176.150000
        PA
        USD
        189110.870000
        0.0079889
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Floating
          2.055
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PIMCO FUNDS
        LWVQWTQCFH3YG7CVH718
        PIMCO PRV SHORT TERM FLT III MUTUAL FUND
        000000000
        
          
        
        628547.290000
        PA
        USD
        6103194.200000
        0.2578276
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL BJ3935 FN 12/47 FIXED 3.5
        3140H5LR0
        
          
        
        43938.610000
        PA
        USD
        44477.410000
        0.0018789
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL BJ3996 FN 02/48 FIXED 3.5
        3140H5NN7
        
          
        
        168070.040000
        PA
        USD
        169882.270000
        0.0071766
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL BJ4012 FN 02/48 FIXED 3.5
        3140H5N64
        
          
        
        46461.750000
        PA
        USD
        46701.480000
        0.0019729
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL BJ4916 FN 03/48 FIXED 3.5
        3140H6PA1
        
          
        
        12335.220000
        PA
        USD
        12468.460000
        0.0005267
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL MA3238 FN 01/48 FIXED 3.5
        31418CS47
        
          
        
        1142704.770000
        PA
        USD
        1153915.550000
        0.0487468
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL MA3276 FN 02/48 FIXED 3.5
        31418CUA0
        
          
        
        842902.390000
        PA
        USD
        853022.430000
        0.0360357
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL MA3305 FN 03/48 FIXED 3.5
        31418CU77
        
          
        
        8851348.890000
        PA
        USD
        8954633.160000
        0.3782857
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL MA3414 FN 07/48 FIXED 3.5
        31418CYL2
        
          
        
        806820.570000
        PA
        USD
        814236.030000
        0.0343972
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL MA3442 FN 08/48 FIXED 3.5
        31418CZG2
        
          
        
        367781.940000
        PA
        USD
        370587.400000
        0.0156554
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 02/23 1.514
        345397ZS5
        
          
        
        400000.000000
        PA
        
        443900.860000
        0.0187525
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-17
          Fixed
          1.514
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 02/23 4.14
        345397ZB2
        
          
        
        600000.000000
        PA
        USD
        604878.000000
        0.0255529
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-15
          Fixed
          4.14
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 05/23 3.096
        345397XZ1
        
          
        
        200000.000000
        PA
        USD
        200000.000000
        0.0084489
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-04
          Fixed
          3.096
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 06/24 2.748
        ACI1TC740
        
          
        
        300000.000000
        PA
        
        382306.320000
        0.0161504
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-14
          Fixed
          2.748
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 06/25 5.125
        345397A60
        
          
        
        400000.000000
        PA
        USD
        408488.000000
        0.0172565
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-16
          Fixed
          5.125
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 07/24 1.744
        ACI1K2ZL2
        
          
        
        1000000.000000
        PA
        
        1088369.440000
        0.0459778
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-19
          Fixed
          1.744
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 08/22 2.979
        345397YQ0
        
          
        
        400000.000000
        PA
        USD
        400644.000000
        0.0169251
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-03
          Fixed
          2.979
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 10/22 3.55
        34540XAB9
        
          
        
        400000.000000
        PA
        USD
        400700.000000
        0.0169274
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-07
          Fixed
          3.55
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 11/22 3.35
        345397ZU0
        
          
        
        500000.000000
        PA
        USD
        501715.000000
        0.0211948
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-01
          Fixed
          3.35
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 11/24 4.063
        345397ZX4
        
          
        
        200000.000000
        PA
        USD
        199640.000000
        0.0084337
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-01
          Fixed
          4.063
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 11/25 3.375
        345397B28
        
          
        
        600000.000000
        PA
        USD
        587118.000000
        0.0248026
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-13
          Fixed
          3.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2020-1
        N/A
        FOURSIGHT CAPITAL AUTOMOBILE R FCRT 2020 1 D 144A
        35105FAF3
        
          
        
        1500000.000000
        PA
        USD
        1484546.700000
        0.0627142
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          2.6
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC 3355
        N/A
        FREDDIE MAC FHR 3355 BF
        31397KC90
        
          
        
        968000.070000
        PA
        USD
        984568.170000
        0.0415928
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-15
          Floating
          1.09657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC 3360
        N/A
        FREDDIE MAC FHR 3360 FB
        31397KE23
        
          
        
        507981.240000
        PA
        USD
        515797.650000
        0.0217897
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-15
          Floating
          1.06657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC 3360
        N/A
        FREDDIE MAC FHR 3360 FC
        31397KE31
        
          
        
        544266.840000
        PA
        USD
        553829.610000
        0.0233964
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-15
          Floating
          1.11657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC 3368
        N/A
        FREDDIE MAC FHR 3368 AF
        31397KL82
        
          
        
        594319.410000
        PA
        USD
        604862.640000
        0.0255522
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-15
          Floating
          1.11657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC 3404
        N/A
        FREDDIE MAC FHR 3404 AF
        31397PST8
        
          
        
        241721.020000
        PA
        USD
        247639.170000
        0.0104614
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-15
          Floating
          1.25157
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC 3439
        N/A
        FREDDIE MAC FHR 3439 FN
        31397TAL6
        
          
        
        11555.390000
        PA
        USD
        11554.820000
        0.0004881
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-15
          Floating
          0.72657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC 3597
        N/A
        FREDDIE MAC FHR 3597 FC
        31398L5U8
        
          
        
        20269.210000
        PA
        USD
        20766.170000
        0.0008773
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-11-15
          Floating
          1.24657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC 3609
        N/A
        FREDDIE MAC FHR 3609 F
        31398LN38
        
          
        
        66117.950000
        PA
        USD
        67344.660000
        0.0028450
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-15
          Floating
          1.14657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC 4559
        N/A
        FREDDIE MAC FHR 4559 AF
        3137BNCR3
        
          
        
        153016.680000
        PA
        USD
        154769.490000
        0.0065382
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-15
          Floating
          0.60629
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC REMICS 3376
        N/A
        FREDDIE MAC FHR 3376 FD
        31397KZG9
        
          
        
        164021.910000
        PA
        USD
        166861.850000
        0.0070490
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-15
          Floating
          1.10657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC REMICS 4638
        N/A
        FREDDIE MAC FHR 4638 FA
        3137BTH38
        
          
        
        357563.160000
        PA
        USD
        360167.110000
        0.0152151
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-07-15
          Floating
          0.54629
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC-3271
        N/A
        FREDDIE MAC FHR 3271 FA
        31397FFJ6
        
          
        
        59061.900000
        PA
        USD
        59085.890000
        0.0024961
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-15
          Floating
          0.73657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC-3271
        N/A
        FREDDIE MAC FHR 3271 FP
        31397FFP2
        
          
        
        3649.510000
        PA
        USD
        3644.210000
        0.0001539
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-15
          Floating
          0.69657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC-3372
        N/A
        FREDDIE MAC FHR 3372 F
        31397KQ61
        
          
        
        42475.860000
        PA
        USD
        43009.000000
        0.0018169
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-15
          Floating
          0.99657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC-3891
        N/A
        FREDDIE MAC FHR 3891 BF
        3137ADTZ0
        
          
        
        718274.320000
        PA
        USD
        725922.940000
        0.0306664
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-15
          Floating
          0.94657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREED ABS TRUST 2021-2
        N/A
        FREEDOM FINANCIAL FREED 2021 2 A 144A
        35635CAA0
        
          
        
        920470.870000
        PA
        USD
        919177.520000
        0.0388304
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-06-19
          Fixed
          0.68
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREED ABS TRUST 2022-1FP
        N/A
        FREED ABS TRUST FREED 2022 1FP B 144A
        35633KAB2
        
          
        
        7000000.000000
        PA
        USD
        6828133.200000
        0.2884524
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-03-19
          Fixed
          1.91
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GCAT LLC 2019-RPL1
        N/A
        GCAT GCAT 2019 RPL1 A1 144A
        36167CAA4
        
          
        
        9198296.410000
        PA
        USD
        9053004.720000
        0.3824414
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2068-10-25
          Variable
          2.65
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GE-WMC MORTGAGE SECURITIES LLC 2005-2
        N/A
        GE WMC MORTGAGE SECURITIES LLC GEWMC 2005 2 A2D
        367910AV8
        
          
        
        9039110.770000
        PA
        USD
        8885738.750000
        0.3753753
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Floating
          1.09657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLG EURO CLO III DAC A
        N/A
        MAN GLG EURO CLO GLGE 3A AR 144A
        ACI1VVSK6
        
          
        
        299881.870000
        PA
        
        329007.350000
        0.0138988
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2030-10-15
          Floating
          0.68
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 008036 G2 08/22 FLOATING VAR
        36202J4V7
        
          
        
        265.040000
        PA
        USD
        265.150000
        0.0000112
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-08-20
          Floating
          1.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 008041 G2 08/22 FLOATING VAR
        36202J5A2
        
          
        
        1253.380000
        PA
        USD
        1254.130000
        0.0000530
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-08-20
          Floating
          1.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 008047 G2 09/22 FLOATING VAR
        36202J5G9
        
          
        
        1657.600000
        PA
        USD
        1658.500000
        0.0000701
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-09-20
          Floating
          1.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 008052 G2 09/22 FLOATING VAR
        36202J5M6
        
          
        
        2455.200000
        PA
        USD
        2456.690000
        0.0001038
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-09-20
          Floating
          1.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 008098 G2 12/22 FLOATING VAR
        36202J7K8
        
          
        
        3618.210000
        PA
        USD
        3619.900000
        0.0001529
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-12-20
          Floating
          1.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 008228 G2 07/23 FLOATING VAR
        36202KD93
        
          
        
        6888.140000
        PA
        USD
        6895.120000
        0.0002913
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-07-20
          Floating
          1.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 008482 G2 08/24 FLOATING VAR
        36202KM77
        
          
        
        492.710000
        PA
        USD
        494.710000
        0.0000209
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-08-20
          Floating
          1.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 008709 G2 10/25 FLOATING VAR
        36202KVA0
        
          
        
        5773.150000
        PA
        USD
        5789.120000
        0.0002446
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-10-20
          Floating
          1.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 008744 G2 11/25 FLOATING VAR
        36202KWD3
        
          
        
        2290.900000
        PA
        USD
        2310.060000
        0.0000976
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-11-20
          Floating
          1.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 008814 G2 02/26 FLOATING VAR
        36202KYK5
        
          
        
        4328.970000
        PA
        USD
        4376.530000
        0.0001849
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-02-20
          Floating
          2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 008830 G2 03/26 FLOATING VAR
        36202KY33
        
          
        
        19322.410000
        PA
        USD
        19656.600000
        0.0008304
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-03-20
          Floating
          2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 008865 G2 05/26 FLOATING VAR
        36202KZ65
        
          
        
        11618.040000
        PA
        USD
        11814.720000
        0.0004991
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-05-20
          Floating
          1.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 008949 G2 08/26 FLOATING VAR
        36202K5J0
        
          
        
        1157.070000
        PA
        USD
        1164.750000
        0.0000492
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-08-20
          Floating
          1.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 080060 G2 04/27 FLOATING VAR
        36225CB62
        
          
        
        24990.800000
        PA
        USD
        25454.960000
        0.0010753
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-04-20
          Floating
          1.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 080086 G2 06/27 FLOATING VAR
        36225CCY0
        
          
        
        2006.780000
        PA
        USD
        2041.310000
        0.0000862
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-06-20
          Floating
          1.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 080092 G2 07/27 FLOATING VAR
        36225CC61
        
          
        
        45474.520000
        PA
        USD
        45645.490000
        0.0019283
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-07-20
          Floating
          1.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 080143 G2 12/27 FLOATING VAR
        36225CER3
        
          
        
        13175.570000
        PA
        USD
        13472.730000
        0.0005692
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-12-20
          Floating
          1.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 080156 G2 01/28 FLOATING VAR
        36225CE69
        
          
        
        18148.560000
        PA
        USD
        18560.530000
        0.0007841
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-01-20
          Floating
          2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 080171 G2 02/28 FLOATING VAR
        36225CFM3
        
          
        
        2702.770000
        PA
        USD
        2716.340000
        0.0001148
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-02-20
          Floating
          2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 082793 G2 04/41 FLOATING VAR
        36225FC72
        
          
        
        966600.970000
        PA
        USD
        1003020.900000
        0.0423723
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-20
          Floating
          1.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        GOLDMAN SACHS GROUP INC SR UNSECURED 03/24 3
        38141GZP2
        
          
        
        5300000.000000
        PA
        USD
        5295948.570000
        0.2237257
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        GOLDMAN SACHS GROUP INC SR UNSECURED 07/23 VAR
        38141GWM2
        
          
        
        11300000.000000
        PA
        USD
        11314246.810000
        0.4779669
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-24
          Floating
          2.905
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H32
        N/A
        GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H32 FA
        38376RMP8
        
          
        
        1564326.390000
        PA
        USD
        1571079.270000
        0.0663698
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2065-12-20
          Floating
          0.85629
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H02
        N/A
        GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H02 FH
        38376RPV2
        
          
        
        3495093.440000
        PA
        USD
        3529666.210000
        0.1491097
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2066-01-20
          Floating
          1.10629
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H04
        N/A
        GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H04 FB
        38376RRA6
        
          
        
        251647.810000
        PA
        USD
        252833.270000
        0.0106809
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2066-01-20
          Floating
          0.90629
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07
        N/A
        GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FE
        38376RRG3
        
          
        
        272806.080000
        PA
        USD
        276672.450000
        0.0116879
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2066-03-20
          Floating
          1.25629
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07
        N/A
        GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FK
        38376RRL2
        
          
        
        895877.030000
        PA
        USD
        904825.050000
        0.0382241
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2066-03-20
          Floating
          1.10629
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07
        N/A
        GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FM
        38376RRJ7
        
          
        
        910.190000
        PA
        USD
        911.970000
        0.0000385
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2066-02-20
          Floating
          0.87629
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GPMT LLC 2021-FL3
        N/A
        GPMT LTD. GPMT 2021 FL3 A 144A
        36264BAA8
        
          
        
        1633971.060000
        PA
        USD
        1629519.220000
        0.0688385
        Long
        ABS-MBS
        CORP
        KY
        
        N
        
        2
        
          2035-07-16
          Floating
          1.71757
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GREENPOINT MTGE FUNDING TR 2005-AR5
        N/A
        GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1
        39538WEA2
        
          
        
        137411.380000
        PA
        USD
        125415.720000
        0.0052981
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-11-25
          Floating
          0.99657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS MORTGAGE SECURITIES CORP TRUST 2019-BOCA
        N/A
        GS MORTGAGE SECURITIES TRUST GSMS 2019 BOCA B 144A
        36256QAC1
        
          
        
        680000.000000
        PA
        USD
        672969.960000
        0.0284294
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-06-15
          Floating
          1.897
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS MORTGAGE SECURITIES CORP TRUST 2019-SMP
        N/A
        GS MORTGAGE SECURITIES TRUST GSMS 2019 SMP A 144A
        36259NAA9
        
          
        
        8250000.000000
        PA
        USD
        8165518.350000
        0.3449498
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-08-15
          Floating
          1.547
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS MORTGAGE SECURITIES CORP TRUST 2019-SMP
        N/A
        GS MORTGAGE SECURITIES TRUST GSMS 2019 SMP B 144A
        36259NAC5
        
          
        
        1500000.000000
        PA
        USD
        1471824.000000
        0.0621768
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-08-15
          Floating
          1.897
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS MORTGAGE SECURITIES TRUST 2014-GC18 2014-GC18
        N/A
        GS MORTGAGE SECURITIES TRUST GSMS 2014 GC18 A4
        36252RAM1
        
          
        
        4500000.000000
        PA
        USD
        4558722.300000
        0.1925818
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-01-10
          Fixed
          4.074
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS MORTGAGE SECURITIES TRUST 2020-DUNE
        N/A
        GS MORTGAGE SECURITIES TRUST GSMS 2020 DUNE A 144A
        36258BAA6
        
          
        
        1150000.000000
        PA
        USD
        1143071.710000
        0.0482887
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          1.497
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1
        N/A
        GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 A1 144A
        36261WAA5
        
          
        
        3119943.010000
        PA
        USD
        3037720.970000
        0.1283276
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-12-25
          Variable
          1.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAA HOME EQUITY TRUST 2005-15
        N/A
        GSAA HOME EQUITY TRUST GSAA 2005 15 2A2
        362341D71
        
          
        
        860203.450000
        PA
        USD
        389105.120000
        0.0164376
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Floating
          0.95657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAMP TRUST 2004-WF
        N/A
        GSAMP TRUST GSAMP 2004 WF M2
        36242DKL6
        
          
        
        23462.500000
        PA
        USD
        23444.420000
        0.0009904
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          2.10657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAMP TRUST 2005-HE5
        N/A
        GSAMP TRUST GSAMP 2005 HE5 M4
        362341ZE2
        
          
        
        346000.000000
        PA
        USD
        338329.870000
        0.0142926
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Floating
          1.35657
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAMP TRUST 2006-HE4
        N/A
        GSAMP TRUST GSAMP 2006 HE4 A1
        362439AA9
        
          
        
        220920.030000
        PA
        USD
        215339.410000
        0.0090969
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-06-25
          Floating
          0.73657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR MORTGAGE LOAN TRUST 2004-2F
        N/A
        GSR MORTGAGE LOAN TRUST GSR 2004 2F 7A1
        36229RLL1
        
          
        
        10674.780000
        PA
        USD
        10470.560000
        0.0004423
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-01-25
          Floating
          0.80657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR MORTGAGE LOAN TRUST 2006-AR1
        N/A
        GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1
        3623414A4
        
          
        
        20305.440000
        PA
        USD
        20720.570000
        0.0008753
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Floating
          2.87115
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        HARLEY-DAVIDSON FINANCIAL SERVICES INC
        RLUFFFFW4GRYU77BTS24
        HARLEY DAVIDSON FINL SER COMPANY GUAR 144A 06/22 2.55
        41283LAQ8
        
          
        
        200000.000000
        PA
        USD
        200146.510000
        0.0084551
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-09
          Fixed
          2.55
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HARVEST CLO XI DAC 11A
        N/A
        HARVEST CLO HARVT 11A ARR 144A
        ACI1XMR09
        
          
        
        1088862.480000
        PA
        
        1195207.730000
        0.0504912
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2030-06-26
          Floating
          0.65
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HARVEST CLO XVI DAC 16A
        N/A
        HARVEST CLO HARVT 16A ARR 144A
        ACI1VVSJ9
        
          
        
        600000.000000
        PA
        
        657278.290000
        0.0277665
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2031-10-15
          Floating
          0.64
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HAWKSMOOR MORTGAGES 19-1A
        N/A
        HAWKSMOOR MORTGAGES PLC HWKSM 2019 1A A 144A
        ACI1DHFV7
        
          
        
        3001522.000000
        PA
        
        3949299.890000
        0.1668370
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2053-05-25
          Floating
          1.5828
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HERA COMMERCIAL MORTGAGE 2021-FL1
        N/A
        HERA COMMERCIAL MORTGAGE LTD HERA 2021 FL1 A 144A
        42704RAA9
        
          
        
        2200000.000000
        PA
        USD
        2176604.780000
        0.0919500
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2038-02-18
          Floating
          1.51757
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HERTZ VEHICLE FINANCING III LLC 2021-1A
        N/A
        HERTZ VEHICLE FINANCING LLC HERTZ 2021 1A A 144A
        42806MAA7
        
          
        
        9600000.000000
        PA
        USD
        9102382.080000
        0.3845273
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-12-26
          Fixed
          1.21
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HILTON ORLANDO TRUST 2018-ORL
        N/A
        HILTON USA TRUST HILT 2018 ORL B 144A
        432885AG6
        
          
        
        900000.000000
        PA
        USD
        886408.470000
        0.0374461
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-12-15
          Floating
          1.59657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR
        404280BN8
        
          
        
        600000.000000
        PA
        USD
        608802.000000
        0.0257187
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-03-23
          Floating
          6.25
          N
          N
          N
          N
          Y
          
            
              HSBC HOLDINGS PLC
              HSBC HOLDINGS PLC
              GBP
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC HOLDINGS PLC JR SUBORDINA REGS 12/49 VAR
        ACI09CXQ6
        
          
        
        1800000.000000
        PA
        
        2018722.830000
        0.0852803
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-09-16
          Floating
          5.25
          N
          N
          N
          N
          Y
          
            
              HSBC HOLDINGS PLC
              HSBC HOLDINGS PLC
              GBP
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC HOLDINGS PLC SR UNSECURED 03/26 VAR
        404280DA4
        
          
        
        11000000.000000
        PA
        USD
        10792505.790000
        0.4559261
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-10
          Floating
          2.999
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC HOLDINGS PLC SR UNSECURED 06/31 VAR
        404280CH0
        
          
        
        800000.000000
        PA
        USD
        740821.500000
        0.0312958
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2031-06-04
          Floating
          2.848
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC HOLDINGS PLC SR UNSECURED 07/27 VAR
        ACI1WKQ05
        
          
        
        1600000.000000
        PA
        
        1980889.030000
        0.0836821
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-07-24
          Floating
          1.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSI ASSET SEC CORP TRUST 2006-OPT3
        N/A
        HSI ASSET SECURITIZATION CORPO HASC 2006 OPT3 M1
        40430HFN3
        
          
        
        683335.340000
        PA
        USD
        666833.000000
        0.0281702
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          0.95157
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL SERVICES
        549300MALMDAGL2ZJJ27
        HYUNDAI CAPITAL SERVICES SR UNSECURED 144A 09/23 0.75
        44920UAQ1
        
          
        
        5200000.000000
        PA
        USD
        5030377.610000
        0.2125068
        Long
        DBT
        CORP
        KR
        N
        
        2
        
          2023-09-15
          Fixed
          0.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IMPAC CMB TR 2003-11
        N/A
        IMPAC CMB TRUST IMM 2003 11 1A1
        45254NFY8
        
          
        
        3075.030000
        PA
        USD
        3109.600000
        0.0001314
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-10-25
          Floating
          1.21657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IMPAC CMB TR 2005-4
        N/A
        IMPAC CMB TRUST IMM 2005 4 1A1A
        45254NPA9
        
          
        
        6225388.640000
        PA
        USD
        6044518.070000
        0.2553488
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-25
          Floating
          0.99657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)
        2138008L3B3MCG1DFS50
        IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 02/23 3.5
        453140AB1
        
          
        
        300000.000000
        PA
        USD
        301541.560000
        0.0127385
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-02-11
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDEPENDENCE PLAZA TRUST 2018-INDP
        N/A
        INDEPENDENCE PLAZA TRUST IPT 2018 INDP B 144A
        45378YAL8
        
          
        
        3300000.000000
        PA
        USD
        3251187.720000
        0.1373454
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-10
          Fixed
          3.911
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDYMAC RESIDENTIAL ASSET BACKED 2006-C
        N/A
        INDYMAC RESIDENTIAL ASSET BACK INABS 2006 C 2A
        43709BAB5
        
          
        
        4785438.240000
        PA
        USD
        4668200.750000
        0.1972067
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-25
          Floating
          0.71657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INVESCO EURO CLO I DAC 1A
        N/A
        INVESCO EURO CLO INVSC 1A A1R 144A
        ACI1VT7W8
        
          
        
        400000.000000
        PA
        
        437742.170000
        0.0184923
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2031-07-15
          Floating
          0.65
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL GOVT
        213800T8ZHTFZIBYPE21
        ISRAEL FIXED BOND BONDS 07/22 0.75
        BJGTFKII9
        
          
        
        10900000.000000
        PA
        
        3440001.880000
        0.1453218
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2022-07-31
          Fixed
          0.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL GOVT
        213800T8ZHTFZIBYPE21
        ISRAEL MAKAM BILL BILLS 01/23 0.00000
        ACI22SVD5
        
          
        
        3700000.000000
        PA
        
        1155532.570000
        0.0488151
        Long
        DBT
        MUN
        IL
        N
        
        2
        
          2023-01-04
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL GOVT
        213800T8ZHTFZIBYPE21
        ISRAEL MAKAM BILL BILLS 04/22 0.00000
        ACI1WZJ67
        
          
        
        2600000.000000
        PA
        
        814684.590000
        0.0344161
        Long
        DBT
        MUN
        IL
        N
        
        2
        
          2022-04-06
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL GOVT
        213800T8ZHTFZIBYPE21
        ISRAEL MAKAM BILL BILLS 06/22 0.00000
        ACI1YD9F5
        
          
        
        7700000.000000
        PA
        
        2412961.050000
        0.1019348
        Long
        DBT
        MUN
        IL
        N
        
        2
        
          2022-06-08
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL GOVT
        213800T8ZHTFZIBYPE21
        ISRAEL MAKAM BILL BILLS 08/22 0.00000
        ACI201R74
        
          
        
        67300000.000000
        PA
        
        21082524.840000
        0.8906248
        Long
        DBT
        MUN
        IL
        N
        
        2
        
          2022-08-03
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL GOVT
        213800T8ZHTFZIBYPE21
        ISRAEL MAKAM BILL BILLS 10/22 0.00000
        ACI20YST3
        
          
        
        2500000.000000
        PA
        
        782645.480000
        0.0330626
        Long
        DBT
        MUN
        IL
        N
        
        2
        
          2022-10-07
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL GOVT
        213800T8ZHTFZIBYPE21
        ISRAEL MAKAM BILL BILLS 11/22 0.00000
        ACI21KLL6
        
          
        
        18000000.000000
        PA
        
        5633073.230000
        0.2379675
        Long
        DBT
        MUN
        IL
        N
        
        2
        
          2022-11-02
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL GOVT
        213800T8ZHTFZIBYPE21
        ISRAEL MAKAM BILL BILLS 12/22 0.00000
        ACI229M05
        
          
        
        22500000.000000
        PA
        
        7031470.340000
        0.2970423
        Long
        DBT
        MUN
        IL
        N
        
        2
        
          2022-12-07
          None
          0
          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 C 144A
        46654EAE1
        
          
        
        7000000.000000
        PA
        USD
        6837632.900000
        0.2888537
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-06-15
          Floating
          1.687
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5
        N/A
        JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 B 144A
        46654PAG1
        
          
        
        8900000.000000
        PA
        USD
        8739791.990000
        0.3692098
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-15
          Floating
          1.912
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP MORGAN MORTGAGE ACQI CORP 2006-CH1
        N/A
        JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH1 M6
        46629TAL4
        
          
        
        2200000.000000
        PA
        USD
        2120341.960000
        0.0895732
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Floating
          0.89657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        510 ASSET BACKED 2021-NPL1 TRUST
        N/A
        510 ASSETS BACKED TRUST FTAB 2021 NPL1 A1 144A
        33835CAA3
        
          
        
        1382062.610000
        PA
        USD
        1327990.100000
        0.0561005
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-06-25
          Fixed
          2.2395
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JUBILEE CLO 2015-XVI BV 15-16A
        N/A
        JUBILEE CDO BV JUBIL 2015 16A A1R 144A
        ACI0YWRZ1
        
          
        
        913340.110000
        PA
        
        1006613.470000
        0.0425241
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2029-12-15
          Floating
          0.298
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KVK CLO LTD 2013-1A
        N/A
        KVK CLO LTD KVK 2013 1A AR 144A
        482739AF6
        
          
        
        200044.600000
        PA
        USD
        200319.570000
        0.0084624
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2028-01-14
          Floating
          1.13843
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KVK CLO LTD 2013-1A
        N/A
        KVK CLO LTD KVK 2013 1A BR 144A
        482739AG4
        
          
        
        2635000.000000
        PA
        USD
        2632363.020000
        0.1112034
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2028-01-14
          Floating
          1.68843
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCCM 2021-FL2 TRUST
        N/A
        LADDER CAPITAL COMMERCIAL MORT LCCM 2021 FL2 A 144A
        50202KAA4
        
          
        
        1500000.000000
        PA
        USD
        1487084.400000
        0.0628214
        Long
        ABS-CBDO
        CORP
        US
        N
        
        2
        
          2038-12-13
          Floating
          1.59657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AAMES MORTGAGE INVESTMENT TRUST 2005-4
        N/A
        AAMES MORTGAGE INVESTMENT TRUS AMIT 2005 4 M4
        00252FCW9
        
          
        
        2200000.000000
        PA
        USD
        2144563.960000
        0.0905964
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Floating
          1.37157
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEGACY MORTGAGE ASSET TRUST 2020-RPL1
        N/A
        LEGACY MORTGAGE ASSET TRUST LMAT 2020 RPL1 A1 144A
        52474HAA8
        
          
        
        2552782.410000
        PA
        USD
        2524043.440000
        0.1066274
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-09-25
          Variable
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEGACY MORTGAGE ASSET TRUST 2021-SL1
        N/A
        LEGACY MORTGAGE ASSET TRUST LMAT 2021 SL1 A 144A
        52475PAA9
        
          
        
        327761.990000
        PA
        USD
        326404.760000
        0.0137889
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-09-25
          Variable
          1.991
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEHMAN MORTGAGE TRUST 2007-5
        N/A
        LEHMAN MORTGAGE TRUST LMT 2007 5 4A2
        52521RBH3
        
          
        
        801718.060000
        PA
        USD
        572201.730000
        0.0241725
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-25
          Floating
          0.77657
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        LEHMAN XS TRUST 2005-5N
        N/A
        LEHMAN XS TRUST LXS 2005 5N 1A2
        86359DUM7
        
          
        
        2867254.790000
        PA
        USD
        2780667.710000
        0.1174685
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Floating
          0.81657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2
        N/A
        LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST2 A 144A
        52607QAA8
        
          
        
        7800000.000000
        PA
        USD
        7734479.840000
        0.3267407
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2028-04-15
          Fixed
          3.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LL ABS TRUST 2021-1A
        N/A
        LL ABS TRUST LLEND 2021 1A A 144A
        53934QAA0
        
          
        
        5652397.710000
        PA
        USD
        5503598.910000
        0.2324979
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-05-15
          Fixed
          1.07
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        LLOYDS BANKING GROUP PLC JR SUBORDINA 12/99 VAR
        ACI1GWB29
        
          
        
        600000.000000
        PA
        
        786635.450000
        0.0332312
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-12-27
          Floating
          5.125
          N
          N
          N
          N
          Y
          
            
              LLOYDS BANKING GROUP PLC
              LLOYDS BANKING GROUP PLC
              GBP
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        LLOYDS BANKING GROUP PLC SR UNSECURED 03/26 VAR
        53944YAR4
        
          
        
        3800000.000000
        PA
        USD
        3784060.980000
        0.1598565
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-18
          Floating
          3.511
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        LLOYDS BANKING GROUP PLC SR UNSECURED 08/28 4.55
        539439AT6
        
          
        
        700000.000000
        PA
        USD
        722997.970000
        0.0305428
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-08-16
          Fixed
          4.55
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LMREC 2021-CRE4 LLC
        N/A
        LATITUDE MANAGEMENT REAL ESTAT LMREC 2021 CRE4 A 144A
        50210LAA2
        
          
        
        900000.000000
        PA
        USD
        875646.990000
        0.0369914
        Long
        ABS-CBDO
        CORP
        US
        N
        
        2
        
          2037-04-22
          Floating
          1.50486
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONG BEACH MORTGAGE LOAD TR 2006-1
        N/A
        LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 1A
        542514RH9
        
          
        
        1161341.740000
        PA
        USD
        1145178.190000
        0.0483777
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          0.89657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONG BEACH MTGE LOAN TRUST 2001-1
        N/A
        LONG BEACH MORTGAGE LOAN TRUST LBMLT 2001 1 A1
        542514AJ3
        
          
        
        4086525.440000
        PA
        USD
        4001551.860000
        0.1690443
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-04-21
          Floating
          0.88857
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONG BEACH MTGE LOAN TRUST 2004-4
        N/A
        LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1
        542514HN7
        
          
        
        49476.290000
        PA
        USD
        47607.960000
        0.0020112
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          1.01657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUXE COMMERCIAL MORTGAGE TRUST 2021-MLBH
        N/A
        LUXE COMMERCIAL MORTGAGE TRUST LUXE 2021 MLBH B 144A
        55066XAC6
        
          
        
        10600000.000000
        PA
        USD
        10394964.200000
        0.4391321
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-15
          Floating
          1.747
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUXE TRUST 2021-TRIP
        N/A
        LUXE COMMERCIAL MORTGAGE TRUST LUXE 2021 TRIP A 144A
        55066WAA2
        
          
        
        900000.000000
        PA
        USD
        886068.720000
        0.0374317
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-10-15
          Floating
          1.447
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACC AUTO TRUST 2021-A
        N/A
        ACC AUTO TRUST AUTOC 2021 A A 144A
        00108XAA6
        
          
        
        4079877.810000
        PA
        USD
        4043119.740000
        0.1708004
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          1.08
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARATHON CLO V LTD 2013-5A
        N/A
        MARATHON CLO LTD MCLO 2013 5A A1R 144A
        56576QAN8
        
          
        
        196936.850000
        PA
        USD
        197216.700000
        0.0083314
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2027-11-21
          Floating
          1.34957
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARINER FINANCE ISSUANCE TRUST 2021-A
        N/A
        MARINER FINANCE ISSUANCE TRUST MFIT 2021 AA A 144A
        56848DAA7
        
          
        
        7800000.000000
        PA
        USD
        7140152.760000
        0.3016336
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-03-20
          Fixed
          1.86
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACCUNIA EUROPEAN CLO I DAC 1A
        N/A
        ACCUNIA EUROPEAN CLO ACCUN 1A AR 144A
        ACI19ZJ97
        
          
        
        2354283.420000
        PA
        
        2595710.250000
        0.1096550
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2030-07-15
          Floating
          0.95
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2
        N/A
        MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 OA2 1A1
        55275NAA9
        
          
        
        3906375.060000
        PA
        USD
        3456218.850000
        0.1460069
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-12-25
          Floating
          0.94113
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2
        N/A
        MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 OA2 2A1
        55275NAE1
        
          
        
        4327327.820000
        PA
        USD
        4004244.330000
        0.1691581
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-12-25
          Floating
          0.94113
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MBRT 2019-MBR
        N/A
        MBRT 2019 MBR MBRT 2019 MBR A 144A
        55282DAA2
        
          
        
        500000.000000
        PA
        USD
        495579.250000
        0.0209356
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-15
          Floating
          1.497
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERRILL LYNCH MORTGAGE INV 2006-OPT1
        N/A
        MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 OPT1 A2C
        59022VAD3
        
          
        
        860774.220000
        PA
        USD
        828483.570000
        0.0349990
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-08-25
          Floating
          0.60657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERRILL LYNCH MORTGAGE INVS 2005-A10
        N/A
        MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A10 A
        59020UZ65
        
          
        
        94031.990000
        PA
        USD
        92310.390000
        0.0038996
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          0.87657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACE SECURITIES CORP 2006-HE4
        N/A
        ACE SECURITIES CORP. ACE 2006 HE4 A2C
        00442BAD3
        
          
        
        3303631.360000
        PA
        USD
        1646756.500000
        0.0695667
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-25
          Floating
          0.77657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MF1 2020-FL4 LTD
        N/A
        MF1 MULTIFAMILY HOUSING MORTGA MF1 2020 FL4 AS 144A
        58003UAC2
        
          
        
        12000000.000000
        PA
        USD
        12097226.520000
        0.5110436
        Long
        ABS-CBDO
        CORP
        US
        N
        
        2
        
          2035-11-15
          Floating
          2.54305
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MF1 2021-FL6 LTD
        N/A
        MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL6 A 144A
        55283TAA6
        
          
        
        1100000.000000
        PA
        USD
        1087021.870000
        0.0459209
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2036-07-16
          Floating
          1.56757
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MFA LLC 2018-NPL1
        N/A
        MFRA TRUST MFRA 2021 NPL1 A1 144A
        55282YAA6
        
          
        
        913609.430000
        PA
        USD
        894624.810000
        0.0377932
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-03-25
          Fixed
          2.3633
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MHC COMMERCIAL MORTGAGE TRUST 2021 MHC2
        N/A
        MHC COMMERCIAL MORTGAGE TRUST MHC 2021 MHC2 A 144A
        55293AAA5
        
          
        
        2400000.000000
        PA
        USD
        2356992.000000
        0.0995704
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-05-15
          Floating
          1.247
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIDOCEAN CREDIT CLO II 2013-2A
        N/A
        MIDOCEAN CREDIT CLO MIDO 2013 2A ARR 144A
        59863KAS6
        
          
        
        2900000.000000
        PA
        USD
        2883052.110000
        0.1217937
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-01-29
          Floating
          1.20713
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO FINANCIAL GROUP INC
        353800CI5L6DDAN5XZ33
        MIZUHO FINANCIAL GROUP SR UNSECURED 07/23 VAR
        60687YAV1
        
          
        
        2100000.000000
        PA
        USD
        2102188.870000
        0.0888063
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2023-07-16
          Floating
          2.721
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY ABS CAPITAL I 2004-WMC2
        N/A
        MORGAN STANLEY CAPITAL INC MSAC 2004 WMC2 M1
        61746RHS3
        
          
        
        952186.890000
        PA
        USD
        938645.170000
        0.0396528
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-07-25
          Floating
          1.37157
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY ABS CAPITAL I 2006-HE7
        N/A
        MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2FP
        61750MAB1
        
          
        
        29494.210000
        PA
        USD
        15323.090000
        0.0006473
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-09-25
          Floating
          0.53657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY ABS CAPITAL I 2006-HE8
        N/A
        MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A1
        61750SAA0
        
          
        
        93303.930000
        PA
        USD
        87114.870000
        0.0036801
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-25
          Floating
          0.58657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY ABS CAPITAL I 2007-HE3
        N/A
        MORGAN STANLEY CAPITAL INC MSAC 2007 HE3 A2B
        617538AB9
        
          
        
        4541516.970000
        PA
        USD
        2835252.240000
        0.1197744
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          0.56657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL I INC 2021-230P
        N/A
        MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P B 144A
        61772WAG2
        
          
        
        5125000.000000
        PA
        USD
        5070090.240000
        0.2141844
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-12-15
          Floating
          1.84547
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL I TRUST 2019-NUGS
        N/A
        MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS A 144A
        61692AAA0
        
          
        
        1800000.000000
        PA
        USD
        1782679.500000
        0.0753088
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          2.45
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOUNTAIN VIEW CLO LLC 2017-1A
        N/A
        MOUNTAIN VIEW CLO MVEW 2017 1A AR 144A
        62432HAJ9
        
          
        
        1656795.470000
        PA
        USD
        1656634.350000
        0.0699840
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2029-10-16
          Floating
          1.33129
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOUNTAIN VIEW CLO LLC 2017-2A
        N/A
        MOUNTAIN VIEW CLO MVEW 2017 2A AR 144A
        62432LAL5
        
          
        
        22900000.000000
        PA
        USD
        22779235.480000
        0.9623018
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2031-01-16
          Floating
          1.28129
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOUNTAIN VIEW CLO LTD 15-10A
        N/A
        MOUNTAIN VIEW CLO LTD MVW 2015 10A BR 144A
        62432CAU5
        
          
        
        11550000.000000
        PA
        USD
        11496614.980000
        0.4856710
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2027-10-13
          Floating
          1.59443
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NAVIENT STUDENT LOAN TRUST 2017-2
        N/A
        NAVIENT STUDENT LOAN TRUST NAVSL 2017 2A A 144A
        63939RAA2
        
          
        
        2276904.040000
        PA
        USD
        2287452.940000
        0.0966327
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-12-27
          Floating
          1.50657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NELNET STUDENT LOAN TRUST 2017-3A
        N/A
        NELNET STUDENT LOAN TRUST NSLT 2017 3A A 144A
        64032KAA1
        
          
        
        1526282.930000
        PA
        USD
        1524751.920000
        0.0644127
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-02-25
          Floating
          1.30657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW ORLEANS HOTEL TRUST 2019-HNLA
        N/A
        NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA A 144A
        647622AA7
        
          
        
        1900000.000000
        PA
        USD
        1863809.750000
        0.0787361
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-04-15
          Floating
          1.38571
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1
        N/A
        NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A
        64828XAA1
        
          
        
        2458445.620000
        PA
        USD
        2417302.550000
        0.1021182
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-11-25
          Variable
          2.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R
        N/A
        NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 NQ2R A1 144A
        64831EAA8
        
          
        
        2664040.740000
        PA
        USD
        2603527.850000
        0.1099852
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-10-25
          Variable
          0.94054
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R
        N/A
        NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 NQ2R A2 144A
        64831EAB6
        
          
        
        380577.250000
        PA
        USD
        371907.740000
        0.0157111
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-10-25
          Variable
          1.14689
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R
        N/A
        NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 NQ2R A3 144A
        64831EAC4
        
          
        
        271840.890000
        PA
        USD
        265654.420000
        0.0112225
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-10-25
          Variable
          1.35311
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW YORK MORTGAGE TRUST 2021-SP1
        N/A
        NEW YORK MORTGAGE TRUST NYMT 2021 SP1 A1 144A
        62955RAA3
        
          
        
        11842800.750000
        PA
        USD
        11322792.840000
        0.4783279
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-08-25
          Fixed
          1.6696
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST
        N/A
        AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/26 2.45
        00774MAV7
        
          
        
        2600000.000000
        PA
        USD
        2408532.800000
        0.1017477
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2026-10-29
          Fixed
          2.45
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEWCASTLE MTGE SECURITIES TRUST 2007-1
        N/A
        NEWCASTLE MORTGAGE SECURITIES NCMT 2007 1 2A4
        65106FAE2
        
          
        
        5807000.000000
        PA
        USD
        5428354.570000
        0.2293192
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.79657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR ACCEPTANCE COMPANY LLC
        7D6DIU2QXTUJRFNNJA49
        NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/26 2
        654740BS7
        
          
        
        100000.000000
        PA
        USD
        91606.600000
        0.0038699
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-09
          Fixed
          2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR ACCEPTANCE COMPANY LLC
        7D6DIU2QXTUJRFNNJA49
        NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/28 2.75
        654740BT5
        
          
        
        700000.000000
        PA
        USD
        632201.770000
        0.0267072
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-09
          Fixed
          2.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR ACCEPTANCE COMPANY LLC
        7D6DIU2QXTUJRFNNJA49
        NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 07/22 2.65
        654740AZ2
        
          
        
        1600000.000000
        PA
        USD
        1602978.020000
        0.0677173
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-13
          Fixed
          2.65
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AFC HOME EQUITY LOAN TR 1998-2
        N/A
        AFC HOME EQUITY LOAN TRUST AFC 1998 2 2A
        00105HDN3
        
          
        
        61901.650000
        PA
        USD
        60928.050000
        0.0025739
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-06-25
          Floating
          1.00657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AFFIRM ASSET SECURITIZATION TRUST 2021-B
        N/A
        AFFIRM INC AFFRM 2021 B A 144A
        00834DAA1
        
          
        
        13900000.000000
        PA
        USD
        13289985.990000
        0.5614314
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-08-17
          Fixed
          1.03
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO LTD
        353800DRBDH1LUTNAY26
        NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345
        654744AC5
        
          
        
        6300000.000000
        PA
        USD
        6219535.460000
        0.2627424
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2027-09-17
          Fixed
          4.345
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO LTD
        353800DRBDH1LUTNAY26
        NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81
        654744AD3
        
          
        
        600000.000000
        PA
        USD
        596046.280000
        0.0251798
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2030-09-17
          Fixed
          4.81
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OZLM XIV LTD 2015-14A
        N/A
        OZLM LTD OZLM 2015 14A A1SR 144A
        67110HBN7
        
          
        
        9375000.000000
        PA
        USD
        9320960.060000
        0.3937611
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2034-07-15
          Floating
          1.49129
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS AND ELECTRIC COMPANY
        1HNPXZSMMB7HMBMVBS46
        PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/22 1.75
        694308JE8
        
          
        
        3800000.000000
        PA
        USD
        3796084.060000
        0.1603644
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-16
          Fixed
          1.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS AND ELECTRIC COMPANY
        1HNPXZSMMB7HMBMVBS46
        PACIFIC GAS + ELECTRIC 1ST MORTGAGE 11/22 VAR
        694308JX6
        
          
        
        2800000.000000
        PA
        USD
        2801056.440000
        0.1183298
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-14
          Floating
          1.19934
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS AND ELECTRIC COMPANY
        1HNPXZSMMB7HMBMVBS46
        PACIFIC GAS + ELECTRIC 1ST MORTGAGE 11/23 1.7
        694308JY4
        
          
        
        2800000.000000
        PA
        USD
        2730941.980000
        0.1153678
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          1.7
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAGAYA AI DEBT SELECTION TRUST 2021-3
        N/A
        PAGAYA AI DEBT SELECTION TRUST PAID 2021 3 A 144A
        69546RAA4
        
          
        
        11188687.700000
        PA
        USD
        10964111.720000
        0.4631755
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-05-15
          Fixed
          1.15
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAGAYA AI DEBT SELECTION TRUST 2021-5
        N/A
        PAGAYA AI DEBT SELECTION TRUST PAID 2021 5 A 144A
        69547EAA2
        
          
        
        12875946.000000
        PA
        USD
        12589664.790000
        0.5318465
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-08-15
          Fixed
          1.53
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAGAYA AI DEBT SELECTION TRUST 2022-1
        N/A
        PAGAYA AI DEBT SELECTION TRUST PAID 2022 1 A 144A
        69546MAA5
        
          
        
        8500000.000000
        PA
        USD
        8348178.100000
        0.3526662
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-10-15
          Fixed
          2.03
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PALMER SQUARE LOAN FUNDING 2021-3
        N/A
        PALMER SQUARE LOAN FUNDING LTD PSTAT 2021 3A A2 144A
        69702BAC5
        
          
        
        14900000.000000
        PA
        USD
        14902930.830000
        0.6295698
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2029-07-20
          Floating
          1.654
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PARK PLACE SEC INC 2005-WHQ2
        N/A
        PARK PLACE SECURITIES INC PPSI 2005 WHQ2 M4
        70069FHX8
        
          
        
        4326000.000000
        PA
        USD
        4263867.390000
        0.1801258
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-25
          Floating
          1.38657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRET 2021-NPL6 LLC
        N/A
        PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 NPL6 A1 144A
        69362GAA9
        
          
        
        11131627.040000
        PA
        USD
        10826712.850000
        0.4573712
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-07-25
          Fixed
          2.4871
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC
        N/A
        PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 NPL3 A1 144A
        74143EAA0
        
          
        
        758576.870000
        PA
        USD
        721622.490000
        0.0304847
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-07-25
          Fixed
          1.8677
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRETIUM MORTGAGE CREDIT PARTNERS I 2021-RN1 LLC
        N/A
        PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN1 A1 144A
        74140QAA6
        
          
        
        870990.560000
        PA
        USD
        833262.820000
        0.0352009
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-02-25
          Variable
          1.9917
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2
        N/A
        PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN2 A1 144A
        74143FAA7
        
          
        
        3181795.270000
        PA
        USD
        3029867.730000
        0.1279958
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-07-25
          Variable
          1.7436
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1
        N/A
        PRETIUM MORTGAGE CREDIT PARTNE PRET 2022 RN1 A1 144A
        69363JAA2
        
          
        
        6376668.840000
        PA
        USD
        6268165.360000
        0.2647967
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-07-25
          Fixed
          3.721
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRIMA CAPITAL CRE SECURITIZATION 2019-RK1 LTD
        N/A
        PRIMA CAPITAL LTD PRIMA 2019 RK1 CD 144A
        74166HAD9
        
          
        
        3920000.000000
        PA
        USD
        3970038.410000
        0.1677131
        Long
        ABS-MBS
        CORP
        KY
        
        N
        
        2
        
          2038-04-15
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRIMA CAPITAL CRE SECURITIZATION 2019-RK1 LTD
        N/A
        PRIMA CAPITAL LTD PRIMA 2019 RK1 DD 144A
        74166HAE7
        
          
        
        2980000.000000
        PA
        USD
        3012493.320000
        0.1272619
        Long
        ABS-MBS
        CORP
        KY
        
        N
        
        2
        
          2038-04-15
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRIME MORTGAGE TRUST 2004-CL1
        N/A
        PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2
        74160MDL3
        
          
        
        21229.310000
        PA
        USD
        20898.720000
        0.0008829
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-02-25
          Floating
          0.85657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QUANTA SERVICES INC
        SHVRXXEACT60MMH07S24
        QUANTA SERVICES INC SR UNSECURED 10/24 0.95
        74762EAG7
        
          
        
        6243000.000000
        PA
        USD
        5924305.900000
        0.2502705
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          0.95
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAMP TRUST 2006-RZ5
        N/A
        RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RZ5 M1
        749239AF6
        
          
        
        6658687.250000
        PA
        USD
        6478858.750000
        0.2736974
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-08-25
          Floating
          0.81657
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        RCO MORTGAGE LLC 2021-1
        N/A
        RCO MORTGAGE LLC RCO 2021 1 A1 144A
        74936JAA0
        
          
        
        1895818.290000
        PA
        USD
        1847264.870000
        0.0780371
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-05-26
          Fixed
          1.8677
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        READY CAPITAL MORTGAGE FINANCING 2021-FL6 LLC
        N/A
        READYCAP COMMERCIAL MORTGAGE T RCMT 2021 FL6 A 144A
        75575TAA1
        
          
        
        6900000.000000
        PA
        USD
        6787632.810000
        0.2867415
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Floating
          1.40657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RESIDENTIAL ASSET MTGE PROD 2005-EFC1
        N/A
        RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC1 M6
        76112BRR3
        
          
        
        2900000.000000
        PA
        USD
        2813782.130000
        0.1188674
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-25
          Floating
          1.52157
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RESIDENTIAL ASSET SEC CORP 2006-EMX7
        N/A
        RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX7 A3
        74924TAC8
        
          
        
        8346.400000
        PA
        USD
        8332.170000
        0.0003520
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-25
          Floating
          0.75657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RIPON MORTGAGES PLC 1RA
        N/A
        RIPON MORTGAGES PLC RIPON 1RA A 144A
        ACI23KYX4
        
          
        
        51800000.000000
        PA
        
        67805482.650000
        2.8644219
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2056-08-28
          Floating
          0.8217
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION LLC
        549300KJYBG7C6WJYZ11
        SABINE PASS LIQUEFACTION SR SECURED 03/25 5.625
        785592AM8
        
          
        
        400000.000000
        PA
        USD
        423180.020000
        0.0178771
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION LLC
        549300KJYBG7C6WJYZ11
        SABINE PASS LIQUEFACTION SR SECURED 04/23 5.625
        785592AD8
        
          
        
        900000.000000
        PA
        USD
        921211.540000
        0.0389163
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Variable
          5.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        SANDS CHINA LTD SR UNSECURED 06/30 4.375
        80007RAL9
        
          
        
        500000.000000
        PA
        USD
        453995.000000
        0.0191789
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-06-18
          Variable
          4.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        SANDS CHINA LTD SR UNSECURED 08/25 5.125
        80007RAF2
        
          
        
        1800000.000000
        PA
        USD
        1793250.000000
        0.0757553
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-08-08
          Variable
          5.125
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        SANDS CHINA LTD SR UNSECURED 08/28 5.4
        80007RAE5
        
          
        
        500000.000000
        PA
        USD
        492610.000000
        0.0208102
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-08-08
          Variable
          5.4
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        SANDS CHINA LTD SR UNSECURED 144A 03/27 2.55
        80007RAM7
        
          
        
        1600000.000000
        PA
        USD
        1397600.000000
        0.0590412
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-03-08
          Variable
          2.55
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI ARABIA GOVT
        635400FMICXSM3SI3H65
        SAUDI INTERNATIONAL BOND SR UNSECURED REGS 10/25 2.9
        ACI1LTBF1
        
          
        
        900000.000000
        PA
        USD
        908068.500000
        0.0383611
        Long
        DBT
        NUSS
        SA
        N
        
        2
        
          2025-10-22
          Fixed
          2.9
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A
        N/A
        SEGOVIA EUROPEAN CLO 6   2019 SEGOV 2019 6A AR 144A
        ACI1YTXT3
        
          
        
        450000.000000
        PA
        
        493115.730000
        0.0208315
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2032-07-20
          Floating
          0.88
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SFO COMMERCIAL MORTGAGE TRUST 2021-555
        N/A
        SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 B 144A
        78432WAC7
        
          
        
        6400000.000000
        PA
        USD
        6257159.040000
        0.2643318
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-05-15
          Floating
          1.897
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM STUDENT LOAN TRUST 2003-10A
        N/A
        SLM STUDENT LOAN TRUST SLMA 2003 10A A3 144A
        78442GJG2
        
          
        
        50763.520000
        PA
        USD
        50753.270000
        0.0021441
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-12-15
          Floating
          1.296
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB PRIVATE EDUCATION LOAN TRUST 2018-B
        N/A
        SMB PRIVATE EDUCATION LOAN TRU SMB 2018 B A2B 144A
        78449LAC2
        
          
        
        1000687.530000
        PA
        USD
        995856.810000
        0.0420697
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-01-15
          Floating
          1.11657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB PRIVATE EDUCATION LOAN TRUST 2020-B
        N/A
        SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1A 144A
        78449XAA0
        
          
        
        3690755.400000
        PA
        USD
        3513925.030000
        0.1484447
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2053-07-15
          Fixed
          1.29
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB PRIVATE EDUCATION LOAN TRUST 2021-B
        N/A
        SMB PRIVATE EDUCATION LOAN TRU SMB 2021 B A 144A
        78449YAA8
        
          
        
        4214233.180000
        PA
        USD
        4009328.310000
        0.1693728
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-07-17
          Fixed
          1.31
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB PRIVATE EDUCATION LOAN TRUST 2021-D
        N/A
        SMB PRIVATE EDUCATION LOAN TRU SMB 2021 D A1A 144A
        78449MAA4
        
          
        
        11067394.150000
        PA
        USD
        10511215.540000
        0.4440431
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2053-03-17
          Fixed
          1.34
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB PRIVATE EDUCATION LOAN TRUST 2022-A
        N/A
        SMB PRIVATE EDUCATION LOAN TRU SMB 2022 A APT 144A
        78450FAA5
        
          
        
        6700000.000000
        PA
        USD
        6481940.460000
        0.2738276
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2054-11-16
          Fixed
          2.85
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE SA
        O2RNE8IBXP4R0TD8PU41
        SOCIETE GENERALE JR SUBORDINA 144A 12/49 VAR
        83367TBF5
        
          
        
        1100000.000000
        PA
        USD
        1152250.000000
        0.0486764
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-12-18
          Floating
          7.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE SA
        O2RNE8IBXP4R0TD8PU41
        SOCIETE GENERALE SR UNSECURED 144A 01/27 4
        83368RAK8
        
          
        
        800000.000000
        PA
        USD
        793412.660000
        0.0335175
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-01-12
          Fixed
          4
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE SA
        O2RNE8IBXP4R0TD8PU41
        SOCIETE GENERALE SR UNSECURED 144A 01/30 3
        83368RAW2
        
          
        
        1100000.000000
        PA
        USD
        1016615.800000
        0.0429466
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2030-01-22
          Fixed
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A
        N/A
        SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 A A2FX 144A
        83406TAB8
        
          
        
        3039407.090000
        PA
        USD
        2997630.740000
        0.1266340
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-05-15
          Fixed
          2.54
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUND POINT CLO IX LTD 2015-2A
        N/A
        SOUND POINT CLO LTD SNDPT 2015 2A BRRR 144A
        83609GBQ7
        
          
        
        6100000.000000
        PA
        USD
        6083285.150000
        0.2569865
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2032-07-20
          Floating
          2.054
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUND POINT CLO XII LTD 2016-2A
        N/A
        SOUND POINT CLO LTD SNDPT 2016 2A AR2 144A
        83610CAW1
        
          
        
        1827437.690000
        PA
        USD
        1824291.100000
        0.0770666
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2028-10-20
          Floating
          1.304
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT3
        N/A
        SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 OPT3 M1
        83611MGU6
        
          
        
        2273328.790000
        PA
        USD
        2262109.460000
        0.0955621
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Floating
          1.16157
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPECIALTY UNDERWRITING & RESID 2005-BC2
        N/A
        SPECIALTY UNDERWRITING + RESID SURF 2005 BC2 M3
        84751PFW4
        
          
        
        169918.710000
        PA
        USD
        168417.120000
        0.0071147
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Floating
          1.43157
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SREIT TRUST 2021-IND
        N/A
        SREIT TRUST SREIT 2021 IND B 144A
        78473JAG7
        
          
        
        9000000.000000
        PA
        USD
        8750882.700000
        0.3696784
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-10-15
          Floating
          1.494
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        STANDARD CHARTERED PLC SR UNSECURED 144A 01/25 VAR
        853254BY5
        
          
        
        1100000.000000
        PA
        USD
        1051574.940000
        0.0444235
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-01-12
          Floating
          0.991
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2
        N/A
        STARWOOD MORTGAGE RESIDENTIAL STAR 2021 2 M1 144A
        85573HAD2
        
          
        
        2564000.000000
        PA
        USD
        2485620.570000
        0.1050043
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-05-25
          Variable
          2.175
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2
        N/A
        STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A
        78486BAA2
        
          
        
        6200000.000000
        PA
        USD
        6161520.320000
        0.2602915
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2038-04-18
          Floating
          1.66757
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ADJUSTABLE RT MTGE LN 2005-18
        N/A
        STRUCTURED ADJUSTABLE RATE MOR SARM 2005 18 6A1
        863579XK9
        
          
        
        358332.750000
        PA
        USD
        343015.600000
        0.0144906
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Floating
          2.84129
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ARM LOAN TRUST 2005-19XS
        N/A
        STRUCTURED ADJUSTABLE RATE MOR SARM 2005 19XS 1A1
        863579YR3
        
          
        
        1952453.980000
        PA
        USD
        1917401.570000
        0.0810000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Floating
          0.77657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERIQUEST MTGE SECURITIES INC 2004-R12
        N/A
        AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R12 M2
        03072SXE0
        
          
        
        985244.510000
        PA
        USD
        981932.910000
        0.0414815
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-01-25
          Floating
          1.37157
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ASSET MTG INV INC 2005-AR5
        N/A
        STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3
        86359LPF0
        
          
        
        158483.080000
        PA
        USD
        153351.450000
        0.0064783
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-19
          Floating
          0.94857
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ASSET MTG INV INC 2005-AR8
        N/A
        STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A
        86359LRW1
        
          
        
        181912.840000
        PA
        USD
        173662.670000
        0.0073363
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          1.01657
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ASSET MTGE INV 1999-1
        N/A
        STRUCTURED ASSET MORTGAGE INVE SAMI 1999 1 2A
        86358HGW3
        
          
        
        38761.400000
        PA
        USD
        40596.830000
        0.0017150
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-06-25
          Floating
          3.96745
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ASSET SEC CORP 2006-WF1
        N/A
        STRUCTURED ASSET SECURITIES CO SASC 2006 WF1 M4
        863576FL3
        
          
        
        2345718.340000
        PA
        USD
        2343235.400000
        0.0989893
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          1.10157
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ASSET SECUR CORP 2004-23XS
        N/A
        STRUCTURED ASSET SECURITIES CO SASC 2004 23XS M1
        86359BU74
        
          
        
        2543769.900000
        PA
        USD
        2565315.120000
        0.1083710
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-01-25
          Floating
          1.28157
          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
        
          
        
        2500000.000000
        PA
        USD
        2469173.250000
        0.1043095
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-04-15
          Floating
          1.44657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STWD 2021-HTS MORTGAGE TRUST 2021-HTS
        N/A
        STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS B 144A
        78486DAC4
        
          
        
        5400000.000000
        PA
        USD
        5328950.580000
        0.2251199
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-04-15
          Floating
          1.74657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMMC CLO 20 LTD 2017-20A
        N/A
        AMERICAN MONEY MANAGEMENT CORP AMMC 2017 20A AR 144A
        00177TAJ2
        
          
        
        17748886.850000
        PA
        USD
        17739281.330000
        0.7493905
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2029-04-17
          Floating
          1.11129
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMMC CLO 20 LTD 2017-20A
        N/A
        AMERICAN MONEY MANAGEMENT CORP AMMC 2017 20A BR 144A
        00177TAL7
        
          
        
        14000000.000000
        PA
        USD
        13913126.360000
        0.5877558
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2029-04-17
          Floating
          1.64129
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMMC CLO XII LTD 2013-12A
        N/A
        AMERICAN MONEY MANAGEMENT CORP AMMC 2013 12A AR2 144A
        00176CAW1
        
          
        
        1300000.000000
        PA
        USD
        1283379.600000
        0.0542160
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-11-10
          Floating
          1.31629
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T MOBILE USA INC COMPANY GUAR 02/26 2.25
        87264ABR5
        
          
        
        200000.000000
        PA
        USD
        188680.000000
        0.0079707
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          2.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T MOBILE USA INC COMPANY GUAR 02/31 2.875
        87264ABT1
        
          
        
        400000.000000
        PA
        USD
        361000.000000
        0.0152503
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          2.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T MOBILE USA INC SR SECURED 04/25 3.5
        87264ABB0
        
          
        
        3400000.000000
        PA
        USD
        3425985.150000
        0.1447297
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANCHORAGE CAPITAL CLO 11 LTD 2019-11A
        N/A
        ANCHORAGE CAPITAL CLO LTD ANCHC 2019 11A AR 144A
        03330NAJ3
        
          
        
        2650000.000000
        PA
        USD
        2635015.150000
        0.1113154
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2032-07-22
          Floating
          1.39886
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THEOREM FUNDING TRUST 2021-1A
        N/A
        THEOREM FUNDING TRUST THRM 2021 1A A 144A
        88339VAA6
        
          
        
        4903806.900000
        PA
        USD
        4834338.590000
        0.2042252
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          1.21
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THL CREDIT WIND RIVER 2019-3 CLO LTD
        N/A
        WIND RIVER CLO LTD WINDR 2019 3A BR 144A
        97314JAC9
        
          
        
        10800000.000000
        PA
        USD
        10695670.270000
        0.4518353
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2031-04-15
          Floating
          1.89129
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TIKEHAU CLO BV
        N/A
        TIKEHAU TIKEH 2015 1A ARR 144A
        ACI1ZJMY5
        
          
        
        5500000.000000
        PA
        
        6035069.990000
        0.2549497
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2034-08-04
          Floating
          0.87
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOWD POINT ASSET TRUST 2021-SL1
        N/A
        TOWD POINT ASSET TRUST TPAT 2021 SL1 A2 144A
        89179XAL9
        
          
        
        10923956.460000
        PA
        USD
        10886941.730000
        0.4599155
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2061-11-20
          Floating
          1.14857
          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
        
          
        
        1209030.430000
        PA
        
        1594706.490000
        0.0673679
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2051-10-20
          Floating
          1.23625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOWD POINT MORTGAGE TRUST 2018-1
        N/A
        TOWD POINT MORTGAGE TRUST TPMT 2018 1 A1 144A
        89176EAA8
        
          
        
        219628.680000
        PA
        USD
        219047.500000
        0.0092536
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-01-25
          Variable
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOWD POINT MORTGAGE TRUST 2019-4
        N/A
        TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A
        89178BAA2
        
          
        
        2539263.420000
        PA
        USD
        2497617.470000
        0.1055111
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-10-25
          Variable
          2.9
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOWD POINT MORTGAGE TRUST 2019-HY2
        N/A
        TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A
        89177HAA0
        
          
        
        2674261.180000
        PA
        USD
        2676934.910000
        0.1130863
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-05-25
          Floating
          1.45657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOWD POINT MORTGAGE TRUST 2021-SJ2
        N/A
        TOWD POINT MORTGAGE TRUST TPMT 2021 SJ2 A1A 144A
        89180LAA6
        
          
        
        7624742.500000
        PA
        USD
        7546234.340000
        0.3187884
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-12-25
          Variable
          2.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRICOLOR AUTO SECURITIZATION TRUST 2021-1A
        N/A
        TRICOLOR AUTO SECURITIZATION T TAST 2021 1A A 144A
        89615BAA3
        
          
        
        4630257.760000
        PA
        USD
        4616638.780000
        0.1950285
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-04-15
          Fixed
          0.74
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRINITAS EURO CLO II DAC 2A A
        N/A
        MACKAY SHIELDS EURO CLO MKSE 2A A 144A
        ACI1NGXC0
        
          
        
        285745.210000
        PA
        
        316444.130000
        0.0133681
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2033-08-15
          Floating
          1.55
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRINITY SQUARE 2021-1 PLC A
        N/A
        TRINITY SQUARE TRINI 2021 1A A 144A
        ACI1WK7V8
        
          
        
        8757068.510000
        PA
        
        11497455.840000
        0.4857065
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2059-07-15
          Floating
          1.26682
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TTAN 2021-MHC
        N/A
        TTAN TTN 2021 MHC A 144A
        87303TAA5
        
          
        
        2695997.920000
        PA
        USD
        2661055.630000
        0.1124155
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-03-15
          Floating
          1.247
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS GROUP AG SR UNSECURED 144A 01/27 VAR
        902613AC2
        
          
        
        800000.000000
        PA
        USD
        735986.190000
        0.0310915
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2027-01-30
          Floating
          1.364
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APIDOS CLO 2017-27A
        N/A
        APIDOS CLO APID 2017 27A A1R 144A
        03767JAF2
        
          
        
        4500000.000000
        PA
        USD
        4495119.530000
        0.1898949
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-07-17
          Floating
          1.17129
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        CASH MGMT BILL 06/22 0.00000
        912796V89
        
          
        
        30000000.000000
        PA
        USD
        29980095.300000
        1.2665000
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-06-07
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        CASH MGMT BILL 06/22 0.00000
        912796V97
        
          
        
        215000000.000000
        PA
        USD
        214825432.900000
        9.0752347
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-06-14
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        CASH MGMT BILL 07/22 0.00000
        912796X20
        
          
        
        63600000.000000
        PA
        USD
        63470980.400000
        2.6813121
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-07-19
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        CASH MGMT BILL 07/22 0.00000
        912796X38
        
          
        
        14500000.000000
        PA
        USD
        14465892.810000
        0.6111072
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-07-26
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APIDOS CLO XXVI LLC 2017-26A
        N/A
        APIDOS CLO APID 2017 26A A1BR 144A
        03766GAN2
        
          
        
        10500000.000000
        PA
        USD
        10502652.720000
        0.4436814
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2029-07-18
          Floating
          1.54129
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        TREASURY BILL 04/22 0.00000
        912796G45
        
          
        
        14400000.000000
        PA
        USD
        14399059.970000
        0.6082839
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-04-21
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        TREASURY BILL 04/22 0.00000
        912796P37
        
          
        
        11100000.000000
        PA
        USD
        11099157.070000
        0.4688805
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-04-28
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        TREASURY BILL 05/22 0.00000
        912796H44
        
          
        
        158900000.000000
        PA
        USD
        158848268.520000
        6.7104965
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-05-19
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        TREASURY BILL 05/22 0.00000
        912796Q28
        
          
        
        35500000.000000
        PA
        USD
        35492459.800000
        1.4993681
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-05-12
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        TREASURY BILL 05/22 0.00000
        912796Q36
        
          
        
        62600000.000000
        PA
        USD
        62572981.840000
        2.6433765
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-05-26
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        TREASURY BILL 06/22 0.00000
        912796Q44
        
          
        
        8500000.000000
        PA
        USD
        8495293.640000
        0.3588811
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-06-02
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        TREASURY BILL 06/22 0.00000
        912796R43
        
          
        
        116900000.000000
        PA
        USD
        116775683.860000
        4.9331530
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-06-23
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        TREASURY BILL 06/22 0.00000
        912796R50
        
          
        
        201300000.000000
        PA
        USD
        201045228.680000
        8.4930942
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-06-30
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        TSY INFL IX N/B 01/28 0.5
        9128283R9
        
          
        
        10597257.000000
        PA
        USD
        11341846.560000
        0.4791328
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-01-15
          Fixed
          0.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        TSY INFL IX N/B 02/43 0.625
        912810RA8
        
          
        
        122253.000000
        PA
        USD
        136566.600000
        0.0057692
        Long
        DBT
        UST
        US
        N
        
        2
        
          2043-02-15
          Fixed
          0.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        TSY INFL IX N/B 02/44 1.375
        912810RF7
        
          
        
        2170818.000000
        PA
        USD
        2785740.930000
        0.1176828
        Long
        DBT
        UST
        US
        N
        
        2
        
          2044-02-15
          Fixed
          1.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        TSY INFL IX N/B 02/45 0.75
        912810RL4
        
          
        
        3700191.000000
        PA
        USD
        4252530.680000
        0.1796469
        Long
        DBT
        UST
        US
        N
        
        2
        
          2045-02-15
          Fixed
          0.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AQUEDUCT EUROPEAN CLO 1-2017 DAC
        N/A
        AQUEDUCT EUROPEAN CLO AQUE 2017 1A AR 144A
        ACI1VHTC4
        
          
        
        891580.370000
        PA
        
        982365.330000
        0.0414997
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2030-07-20
          Floating
          0.64
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        TSY INFL IX N/B 02/46 1
        912810RR1
        
          
        
        1067616.000000
        PA
        USD
        1300900.620000
        0.0549561
        Long
        DBT
        UST
        US
        N
        
        2
        
          2046-02-15
          Fixed
          1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        TSY INFL IX N/B 02/48 1
        912810SB5
        
          
        
        455924.000000
        PA
        USD
        566671.650000
        0.0239389
        Long
        DBT
        UST
        US
        N
        
        2
        
          2048-02-15
          Fixed
          1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        TSY INFL IX N/B 02/49 1
        912810SG4
        
          
        
        7740671.400000
        PA
        USD
        9692651.830000
        0.4094631
        Long
        DBT
        UST
        US
        N
        
        2
        
          2049-02-15
          Fixed
          1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL1
        N/A
        ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL1 A 144A
        03881CAA9
        
          
        
        6700000.000000
        PA
        USD
        6614052.740000
        0.2794086
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2035-12-15
          Floating
          1.36657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        TSY INFL IX N/B 07/28 0.75
        912828Y38
        
          
        
        3023298.000000
        PA
        USD
        3308306.150000
        0.1397584
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-07-15
          Fixed
          0.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        TSY INFL IX N/B 07/30 0.125
        912828ZZ6
        
          
        
        2850276.000000
        PA
        USD
        3025020.810000
        0.1277911
        Long
        DBT
        UST
        US
        N
        
        2
        
          2030-07-15
          Fixed
          0.125
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        US TREASURY N/B 02/49 3
        912810SF6
        
          
        
        4000000.000000
        PA
        USD
        4401093.760000
        0.1859229
        Long
        DBT
        UST
        US
        N
        
        2
        
          2049-02-15
          Fixed
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        US TREASURY N/B 04/24 2
        912828X70
        
          
        
        300000.000000
        PA
        USD
        297761.720000
        0.0125789
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-04-30
          Fixed
          2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        US TREASURY N/B 09/23 2.875
        9128285D8
        
          
        
        14720000.000000
        PA
        USD
        14887037.560000
        0.6288983
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-09-30
          Fixed
          2.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        US TREASURY N/B 09/25 3
        9128285C0
        
          
        
        4900000.000000
        PA
        USD
        4976466.800000
        0.2102293
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-09-30
          Fixed
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        US TREASURY N/B 10/25 3
        9128285J5
        
          
        
        5000000.000000
        PA
        USD
        5079589.850000
        0.2145857
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-10-31
          Fixed
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        US TREASURY N/B 11/23 2.875
        9128285P1
        
          
        
        1380000.000000
        PA
        USD
        1394743.350000
        0.0589205
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-11-30
          Fixed
          2.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        US TREASURY N/B 11/39 4.375
        912810QD3
        
          
        
        2800000.000000
        PA
        USD
        3562507.820000
        0.1504971
        Long
        DBT
        UST
        US
        N
        
        2
        
          2039-11-15
          Fixed
          4.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        US TREASURY N/B 12/25 2.625
        9128285T3
        
          
        
        2000000.000000
        PA
        USD
        2007460.940000
        0.0848046
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-12-31
          Fixed
          2.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UPSTART SECURITIZATION TRUST 2021-5
        N/A
        UPSTART SECURITIZATION TRUST UPST 2021 5 A 144A
        91679JAA5
        
          
        
        6896372.910000
        PA
        USD
        6597458.590000
        0.2787076
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-11-20
          Fixed
          1.31
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AREIT TRUST 2022-CRE6
        N/A
        AREIT CRE TRUST AREIT 2022 CRE6 A 144A
        04002VAA9
        
          
        
        8800000.000000
        PA
        USD
        8712815.760000
        0.3680702
        Long
        ABS-MBS
        CORP
        KY
        
        N
        
        2
        
          2024-11-17
          Floating
          1.3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VASA TRUST 2021-VASA
        N/A
        VASA TRUST VASA 2021 VASA A 144A
        92230AAA4
        
          
        
        4300000.000000
        PA
        USD
        4214210.700000
        0.1780280
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-07-15
          Floating
          1.297
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARES EUROPEAN CLO X BV 10A
        N/A
        ARES EUROPEAN CLO ARESE 10A AR 144A
        ACI1Y2RR3
        
          
        
        900000.000000
        PA
        
        988217.430000
        0.0417469
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2031-10-15
          Floating
          0.78
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VENTURE 36 CLO LTD
        N/A
        VENTURE CDO LTD VENTR 2019 36A A1AR 144A
        92332LAU3
        
          
        
        950000.000000
        PA
        USD
        944974.430000
        0.0399202
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2032-04-20
          Floating
          1.384
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VENTURE CLO LTD 2013-4A
        N/A
        VENTURE CDO LTD VENTR 2013 14A ARR 144A
        92328GBA3
        
          
        
        1654769.320000
        PA
        USD
        1655049.440000
        0.0699171
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2029-08-28
          Floating
          1.53786
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VENTURE XXVII CLO LTD 2017-27A
        N/A
        VENTURE CDO LTD VENTR 2017 27A AR 144A
        92331LBC3
        
          
        
        1000000.000000
        PA
        USD
        999604.820000
        0.0422280
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-07-20
          Floating
          1.304
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARES L CLO LTD 2018-50A
        N/A
        ARES CLO LTD ARES 2018 50A AR 144A
        04018LAJ4
        
          
        
        700000.000000
        PA
        USD
        694727.540000
        0.0293486
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2032-01-15
          Floating
          1.29129
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VEROS AUTOMOBILE RECEIVABLES TRUST 2021-1
        N/A
        VEROS AUTO RECEIVABLES TRUST VEROS 2021 1 A 144A
        92512BAA1
        
          
        
        3173345.750000
        PA
        USD
        3136208.400000
        0.1324882
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-10-15
          Fixed
          0.92
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERUS SECURITIZATION TRUST 2021-R3
        N/A
        VERUS SECURITIZATION TRUST VERUS 2021 R3 A1 144A
        92538EAA5
        
          
        
        3251200.680000
        PA
        USD
        3189178.170000
        0.1347259
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2064-04-25
          Fixed
          1.02
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERUS SECURITIZATION TRUST 2021-R3
        N/A
        VERUS SECURITIZATION TRUST VERUS 2021 R3 A2 144A
        92538EAB3
        
          
        
        412856.340000
        PA
        USD
        399703.650000
        0.0168854
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2064-04-25
          Fixed
          1.277
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERUS SECURITIZATION TRUST 2021-R3
        N/A
        VERUS SECURITIZATION TRUST VERUS 2021 R3 A3 144A
        92538EAC1
        
          
        
        619284.500000
        PA
        USD
        599416.430000
        0.0253222
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2064-04-25
          Fixed
          1.38
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARES LII CLO LTD 2019-52A
        N/A
        ARES CLO LTD ARES 2019 52A A1R 144A
        04009AAL4
        
          
        
        1750000.000000
        PA
        USD
        1736750.020000
        0.0733685
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2031-04-22
          Floating
          1.30886
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIBRANT CLO VI LTD 2017-6A
        N/A
        VIBRANT CLO LTD VIBR 2017 6A AR 144A
        92558EAJ1
        
          
        
        1238710.380000
        PA
        USD
        1237889.750000
        0.0522943
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2029-06-20
          Floating
          1.87786
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARGENT SECURITIES INC 2004-W9
        N/A
        ARGENT SECURITIES INC. ARSI 2004 W9 M1
        040104LB5
        
          
        
        1144973.850000
        PA
        USD
        1137951.040000
        0.0480724
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-06-26
          Floating
          1.32657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WASHINGTON MUTUAL 2002 AR2
        N/A
        WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A
        929227LE4
        
          
        
        137879.060000
        PA
        USD
        139365.770000
        0.0058875
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-02-27
          Floating
          1.473
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WASHINGTON MUTUAL 2002-AR17
        N/A
        WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A
        929227XB7
        
          
        
        23153.960000
        PA
        USD
        22641.580000
        0.0009565
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-11-25
          Floating
          1.34113
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WASHINGTON MUTUAL 2002-AR6
        N/A
        WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A
        929227QB5
        
          
        
        41943.560000
        PA
        USD
        41012.270000
        0.0017326
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-06-25
          Floating
          1.61876
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WASHINGTON MUTUAL 2005-AR13
        N/A
        WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1
        92922F4M7
        
          
        
        51791.880000
        PA
        USD
        51262.580000
        0.0021656
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-10-25
          Floating
          1.03657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARGENT SECURITIES TRUST 2006-W5
        N/A
        ARGENT SECURITIES INC. ARSI 2006 W5 A1A
        04012XAA3
        
          
        
        4368998.850000
        PA
        USD
        3213991.960000
        0.1357741
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-06-25
          Floating
          0.75657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLFLEET CLO LTD 2015-1
        N/A
        WELLFLEET CLO LTD WELF 2015 1A AR4 144A
        949496BJ1
        
          
        
        11381803.320000
        PA
        USD
        11320105.750000
        0.4782144
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2029-07-20
          Floating
          1.144
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        WELLS FARGO + COMPANY SR UNSECURED 10/30 VAR
        95000U2G7
        
          
        
        600000.000000
        PA
        USD
        570920.150000
        0.0241183
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-30
          Floating
          2.879
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        WELLS FARGO + COMPANY SR UNSECURED REGS 03/30 0.625
        U94974KM0
        
          
        
        900000.000000
        PA
        
        901090.210000
        0.0380663
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-25
          Fixed
          0.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        WELLS FARGO + COMPANY SR UNSECURED REGS 05/30 VAR
        ACI1M15X9
        
          
        
        700000.000000
        PA
        
        762687.970000
        0.0322195
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-04
          Floating
          1.741
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-JWDR
        N/A
        WELLS FARGO COMMERCIAL MORTGAG WFCM 2019 JWDR A 144A
        95002NAA5
        
          
        
        7300000.000000
        PA
        USD
        6899668.000000
        0.2914744
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-09-15
          Variable
          2.50052
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-JWDR
        N/A
        WELLS FARGO COMMERCIAL MORTGAG WFCM 2019 JWDR B 144A
        95002NAG2
        
          
        
        1300000.000000
        PA
        USD
        1216989.540000
        0.0514114
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-09-15
          Variable
          2.696
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO MTGE BK SEC TR 2006-AR5
        N/A
        WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR5 1A1
        94983RAA2
        
          
        
        1735883.600000
        PA
        USD
        1712172.300000
        0.0723302
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-04-25
          Floating
          2.68534
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        FIXED INC CLEARING CORP.REPO
        000000000
        
          
        
        757000.000000
        PA
        USD
        757000.000000
        0.0319792
        Long
        RA
        
        US
        N
        
        2
        
          Repurchase
          
          N
          0.0100000
          2022-04-01
          
            
              774300.000000
              USD
              772162.160000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        J P MORGAN TERM REPO
        000000000
        
          
        
        30000000.000000
        PA
        USD
        30000000.000000
        1.2673408
        Long
        RA
        
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          N
          0.1500000
          2022-04-01
          
            
              30658000.000000
              USD
              30571774.380000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        NOMURA REPO
        000000000
        
          
        
        54300000.000000
        PA
        USD
        54300000.000000
        2.2938869
        Long
        RA
        
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          N
          0.2800000
          2022-04-01
          
            
              58710600.000000
              USD
              54896704.240000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        PARIBAS REPO
        000000000
        
          
        
        81500000.000000
        PA
        USD
        81500000.000000
        3.4429426
        Long
        RA
        
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          N
          0.2800000
          2022-04-01
          
            
              86542439.040000
              USD
              84077631.620000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        AT&T INC SNR S* ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        39056.550000
        0.0016499
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                AT&T INC
                AT&T INC
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2026-06-21
            61537.990000
            USD
            0.000000
            USD
            3700000.000000
            USD
            -22481.440000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        AT&T INC SNR S* ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        25289.520000
        0.0010683
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                AT&T INC
                AT&T INC
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2023-12-21
            43181.200000
            USD
            0.000000
            USD
            3400000.000000
            USD
            -17891.680000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        AT&T INC SNR S* ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        7092.390000
        0.0002996
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                AT&T INC
                AT&T INC
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2026-12-22
            12475.150000
            USD
            0.000000
            USD
            800000.000000
            USD
            -5382.760000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT BRL/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        357619.060000
        0.0151075
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Banco Santander, S.A.
              N/A
            
            3069806.480000
            USD
            16750000.000000
            BRL
            2022-07-05
            357619.060000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT BRL/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        583219.090000
        0.0246379
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Banco Santander, S.A.
              N/A
            
            6251169.750000
            USD
            33400000.000000
            BRL
            2022-07-05
            583219.090000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT BRL/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        384849.750000
        0.0162579
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Banco Santander, S.A.
              N/A
            
            4116843.500000
            USD
            22000000.000000
            BRL
            2022-07-05
            384849.750000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT BRL/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        776440.940000
        0.0328005
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Banco Santander, S.A.
              N/A
            
            8042785.380000
            USD
            43100000.000000
            BRL
            2022-07-05
            776440.940000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT BRL/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        373555.870000
        0.0157808
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Banco Santander, S.A.
              N/A
            
            4128137.380000
            USD
            22000000.000000
            BRL
            2022-07-05
            373555.870000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT BRL/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        373538.200000
        0.0157800
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Banco Santander, S.A.
              N/A
            
            4210004.020000
            USD
            22400000.000000
            BRL
            2022-07-05
            373538.200000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT BRL/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        725912.620000
        0.0306660
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Banco Santander, S.A.
              N/A
            
            8441171.820000
            USD
            44800000.000000
            BRL
            2022-07-05
            725912.620000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD BRL/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -8395737.740000
        -0.3546754
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Banco Santander, S.A.
              N/A
            
            284800000.000000
            BRL
            49880727.610000
            USD
            2022-07-05
            -8395737.740000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT CAD/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        83611.000000
        0.0035321
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            3060794.420000
            USD
            3931000.000000
            CAD
            2022-04-04
            83611.000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        115.900000
        0.0000049
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            220000.000000
            DKK
            32946.260000
            USD
            2022-07-01
            115.900000
          
        
        
          N
          N
          N
        
      
      
        ASHFORD HOSPITALITY TRUST 2018-ASHF
        N/A
        ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF A 144A
        04410RAA4
        
          
        
        22893522.210000
        PA
        USD
        22490060.510000
        0.9500857
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-15
          Floating
          1.297
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASHFORD HOSPITALITY TRUST 2018-ASHF
        N/A
        ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF B 144A
        04410RAG1
        
          
        
        7105000.000000
        PA
        USD
        6964448.890000
        0.2942110
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-15
          Floating
          1.647
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BERKSHIRE HATHAWAY INC SNR S* ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        477.430000
        0.0000202
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                BERKSHIRE HATHAWAY INC
                BERKSHIRE HATHAWAY INC SR UNSEC
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2022-06-21
            4278.690000
            USD
            0.000000
            USD
            200000.000000
            USD
            -3801.260000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT BRL/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        217985.860000
        0.0092087
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            2656959.150000
            USD
            14050000.000000
            BRL
            2022-07-05
            217985.860000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT CAD/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -5124.140000
        -0.0002165
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            2923157.970000
            USD
            3648000.000000
            CAD
            2022-04-04
            -5124.140000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT EUR/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        6856.500000
        0.0002897
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            1120412.000000
            USD
            1019000.000000
            EUR
            2022-04-04
            6856.500000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT SGD/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        48.840000
        0.0000021
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            7748.000000
            USD
            10567.730000
            SGD
            2022-06-15
            48.840000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT TWD/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -76.770000
        -0.0000032
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            6917.000000
            USD
            195571.000000
            TWD
            2022-05-20
            -76.770000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT ZAR/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        3880.610000
        0.0001639
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            51239.000000
            USD
            826882.050000
            ZAR
            2022-11-08
            3880.610000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CAD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -12922.030000
        -0.0005459
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            1176000.000000
            CAD
            927759.930000
            USD
            2022-04-04
            -12922.030000
          
        
        
          N
          N
          N
        
      
      
        ASSET BACKED SEC HOME EQTY LN 2004-HE2
        N/A
        ASSET BACKED SECURITIES CORP H ABSHE 2004 HE2 M1
        04541GHW5
        
          
        
        1253039.250000
        PA
        USD
        1216070.080000
        0.0513725
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-04-25
          Floating
          1.28157
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD NZD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -2838.340000
        -0.0001199
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            175000.000000
            NZD
            118445.440000
            USD
            2022-04-04
            -2838.340000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOEING CO/THE SNR S* ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        588.340000
        0.0000249
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                BOEING CO/THE
                BOEING CO DEBENTURES SR UNSEC
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2022-12-21
            56.540000
            USD
            0.000000
            USD
            200000.000000
            USD
            531.800000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOEING CO/THE SNR S* ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        21283.710000
        0.0008991
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                BOEING CO/THE
                BOEING CO SR UNSEC
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2023-06-21
            28940.340000
            USD
            0.000000
            USD
            8600000.000000
            USD
            -7656.630000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOEING CO/THE SNR S* ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        4257.960000
        0.0001799
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                BOEING CO/THE
                BOEING CO SR UNSEC
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2023-12-21
            28630.560000
            USD
            0.000000
            USD
            4000000.000000
            USD
            -24372.600000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDX EM35 ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        -7509.580000
        -0.0003172
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                N/A
                CDX.EM.35
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2026-06-21
            0.000000
            USD
            -2550.000000
            USD
            100000.000000
            USD
            -4959.580000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDX EM36 ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        -722551.650000
        -0.0305240
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                N/A
                CDX.EM.36
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2026-12-22
            0.000000
            USD
            -313180.000000
            USD
            8800000.000000
            USD
            -409371.650000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        31750J9T4 PIMCO CDSOPT PUT USD 100.0 20220420
        OP001FNS9
        
          
        
        -200000.000000
        NC
        USD
        -112.790000
        -0.0000048
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Put
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    N/A
                    N/A
                    SWOP CDX HY37 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DCR
                    
                    US
                  
                  
                    
                      N/A
                      SWOP CDX HY37 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            100.000000
            USD
            2022-04-20
            XXXX
            1057.210000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317525RX3 PIMCO CDSOPT PUT USD 101.0 20220420
        OP001FDK7
        
          
        
        -500000.000000
        NC
        USD
        -343.000000
        -0.0000145
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    N/A
                    N/A
                    SWOP CDX HY37 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DCR
                    
                    US
                  
                  
                    
                      N/A
                      SWOP CDX HY37 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            101.000000
            USD
            2022-04-20
            XXXX
            1707.000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317533YA9 PIMCO CDSOPT PUT USD 100.0 20220518
        OP001DQF9
        
          
        
        -500000.000000
        NC
        USD
        -1051.320000
        -0.0000444
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    N/A
                    N/A
                    SWOP CDX HY37 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DCR
                    
                    US
                  
                  
                    
                      N/A
                      SWOP CDX HY37 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            100.000000
            USD
            2022-05-18
            XXXX
            1698.680000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317535YE6 PIMCO CDSOPT PUT USD 101.0 20220518
        OP001DKR9
        
          
        
        -500000.000000
        NC
        USD
        -1319.800000
        -0.0000558
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Put
            Written
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    N/A
                    N/A
                    SWOP CDX HY37 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DCR
                    
                    US
                  
                  
                    
                      N/A
                      SWOP CDX HY37 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            101.000000
            USD
            2022-05-18
            XXXX
            1885.200000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317553BC8 PIMCO CDSOPT PUT USD 104.0 20220420
        OP001FB60
        
          
        
        -500000.000000
        NC
        USD
        -977.620000
        -0.0000413
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    N/A
                    N/A
                    SWOP CDX HY37 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DCR
                    
                    US
                  
                  
                    
                      N/A
                      SWOP CDX HY37 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            104.000000
            USD
            2022-04-20
            XXXX
            2647.380000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317593986 PIMCO CDSOPT PUT USD 101.0 20220420
        OP001DCP2
        
          
        
        -1800000.000000
        NC
        USD
        -1234.780000
        -0.0000522
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    N/A
                    N/A
                    SWOP CDX HY37 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DCR
                    
                    US
                  
                  
                    
                      N/A
                      SWOP CDX HY37 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            101.000000
            USD
            2022-04-20
            XXXX
            6245.220000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDX HY37 5Y ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        251959.790000
        0.0106440
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                N/A
                CDX.NA.HY.37
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2026-12-22
            359292.500000
            USD
            0.000000
            USD
            3900000.000000
            USD
            -107332.710000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDX HY38 5Y ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        28330.790000
        0.0011968
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                N/A
                CDX.NA.HY.38
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2027-06-22
            23340.000000
            USD
            0.000000
            USD
            500000.000000
            USD
            4990.790000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3175470N8 PIMCO CDSOPT PUT USD 1.2 20220615
        OP001HL99
        
          
        
        -2900000.000000
        NC
        USD
        -1197.030000
        -0.0000506
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    N/A
                    N/A
                    SWOP CDX IG37 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DCR
                    
                    US
                  
                  
                    
                      N/A
                      SWOP CDX IG37 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.200000
            USD
            2022-06-15
            XXXX
            3094.970000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317556S25 PIMCO CDSOPT PUT USD 0.95 20220518
        OP001F5H3
        
          
        
        -3800000.000000
        NC
        USD
        -1599.840000
        -0.0000676
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    N/A
                    N/A
                    SWOP CDX IG37 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DCR
                    
                    US
                  
                  
                    
                      N/A
                      SWOP CDX IG37 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            0.950000
            USD
            2022-05-18
            XXXX
            2580.160000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317556UU0 PIMCO CDSOPT PUT USD 0.85 20220518
        OP001DG29
        
          
        
        -2500000.000000
        NC
        USD
        -1569.000000
        -0.0000663
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    N/A
                    N/A
                    SWOP CDX IG37 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DCR
                    
                    US
                  
                  
                    
                      N/A
                      SWOP CDX IG37 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            0.850000
            USD
            2022-05-18
            XXXX
            1368.500000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317557BS4 PIMCO CDSOPT PUT USD 0.9 20220518
        OP001DZZ5
        
          
        
        -2000000.000000
        NC
        USD
        -1020.420000
        -0.0000431
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Put
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    N/A
                    N/A
                    SWOP CDX IG37 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DCR
                    
                    US
                  
                  
                    
                      N/A
                      SWOP CDX IG37 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            0.900000
            USD
            2022-05-18
            XXXX
            1199.580000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317562G00 PIMCO CDSOPT PUT USD 1.2 20220720
        OP001KDW0
        
          
        
        -2200000.000000
        NC
        USD
        -1702.290000
        -0.0000719
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            Put
            Written
            
              
                
                  
                    BNP Paribas S.A.
                    N/A
                  
                  
                    N/A
                    N/A
                    SWOP CDX IG37 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DCR
                    
                    US
                  
                  
                    
                      N/A
                      SWOP CDX IG37 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.200000
            USD
            2022-07-20
            XXXX
            2279.710000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317562WO0 PIMCO CDSOPT PUT USD 0.9 20220518
        OP001D869
        
          
        
        -7500000.000000
        NC
        USD
        -3826.580000
        -0.0001617
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    N/A
                    N/A
                    SWOP CDX IG37 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DCR
                    
                    US
                  
                  
                    
                      N/A
                      SWOP CDX IG37 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            0.900000
            USD
            2022-05-18
            XXXX
            2650.420000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317566CK1 PIMCO CDSOPT PUT USD 0.9 20220420
        OP001C424
        
          
        
        -3700000.000000
        NC
        USD
        -543.350000
        -0.0000230
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    N/A
                    N/A
                    SWOP CDX IG37 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DCR
                    
                    US
                  
                  
                    
                      N/A
                      SWOP CDX IG37 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            0.900000
            USD
            2022-04-20
            XXXX
            3600.650000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317575IA8 PIMCO CDSOPT PUT USD 0.85 20220518
        OP001DY86
        
          
        
        -2000000.000000
        NC
        USD
        -1255.200000
        -0.0000530
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    N/A
                    N/A
                    SWOP CDX IG37 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DCR
                    
                    US
                  
                  
                    
                      N/A
                      SWOP CDX IG37 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-12-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            0.850000
            USD
            2022-05-18
            XXXX
            1086.800000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317575GC6 PIMCO CDSOPT PUT USD 1.2 20220720
        OP001KY31
        
          
        
        -2300000.000000
        NC
        USD
        -2365.760000
        -0.0000999
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    N/A
                    N/A
                    SWOP CDX IG38 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DCR
                    
                    US
                  
                  
                    
                      N/A
                      SWOP CDX IG38 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2027-06-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.200000
            USD
            2022-07-20
            XXXX
            1107.240000
          
        
        
          N
          N
          N
        
      
    
    
      
      
      
      
      
      
      
      
    
    
      2022-05-12
      PIMCO Funds
      /s/ Jason Nagler
      Jason Nagler
      Assistant Treasurer