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Form NPORT-P PIMCO VARIABLE INSURANCE For: Dec 31

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StreetInsider.com Top Tickers, 6/25/2026

1. MU
2. QCOM
3. SPY
4. JPM
5. ICLR
6. USO
7. FUL
8. LAES
9. IBM

February 28, 2022 2:04 PM EST 

  
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      PIMCO Variable Insurance Trust
      811-08399
      0001047304
      549300KNGHUU7TTJOR56
      650 Newport Center Drive
      Newport Beach
      
      92660
      (888) 877-4626
      PIMCO International Bond Portfolio (U.S. Dollar-Hedged)
      S000009669
      549300P9300R3FCSTO42
      2021-12-31
      2021-12-31
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          AUD
          
          
        
        
          BRL
          
          
        
        
          CAD
          
          
        
        
          CHF
          
          
        
        
          CNY
          
          
        
        
          CZK
          
          
        
        
          DKK
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
        
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          JPY
          
          
        
        
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          SEK
          
          
        
      
      
      
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            242275278.650000
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            300210.000000
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        US
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              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                N/A
                EUOD
                
                  
                
              
            
            2022-03-14
            2989575.000000
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          N
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        165882.590000
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              N/A
            
            Put
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                FRANCE GOVT
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            N/A
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        N/A
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        GENERAL MOTORS COMPANY SNR S* ICE
        000000000
        
          
        
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              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                GENERAL MOTORS COMPANY
                GENERAL MOTORS CO SRUNSEC
                
                  
                
              
            
            Y
            
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            2026-12-22
            59531.460000
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            0.000000
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            300000.000000
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                GERMANY GOVT
                
                  
                
              
            
            2022-03-08
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        9.000000
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        -87423.840000
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                GERMANY GOVT
                
                  
                
              
            
            2022-03-08
            2118360.700000
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        N/A
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            70150361.640000
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          N
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        N/A
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        1.000000
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        3278.000000
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        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            1660540.220000
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            2022-03-18
            3278.000000
          
        
        
          N
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        N/A
        N/A
        BOUGHT NOK/SOLD USD
        000000000
        
          
        
        1.000000
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        11914.410000
        0.0017004
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            390035.670000
            USD
            3540000.000000
            NOK
            2022-01-07
            11914.410000
          
        
        
          N
          N
          N
        
      
      
        N/A
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        000000000
        
          
        
        1.000000
        NC
        
        2563.760000
        0.0003659
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            277309.900000
            USD
            1117753.000000
            PEN
            2022-01-18
            2563.760000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -5123.200000
        -0.0007312
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            223155.330000
            USD
            16389420.000000
            RUB
            2022-01-24
            -5123.200000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -2825.570000
        -0.0004033
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            112275.620000
            USD
            8227333.000000
            RUB
            2022-01-24
            -2825.570000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -3685.970000
        -0.0005261
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            111062.640000
            USD
            8071477.000000
            RUB
            2022-01-24
            -3685.970000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -7138.430000
        -0.0010188
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            183404.000000
            USD
            13249838.580000
            RUB
            2022-01-24
            -7138.430000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -6987.110000
        -0.0009972
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            175597.000000
            USD
            12674363.180000
            RUB
            2022-01-24
            -6987.110000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CAD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        10747.070000
        0.0015338
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            295069.200000
            CAD
            244000.000000
            USD
            2022-02-14
            10747.070000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CAD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        18476.700000
        0.0026370
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            473778.790000
            CAD
            393000.000000
            USD
            2022-02-14
            18476.700000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -52127.100000
        -0.0074395
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        IL
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        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            3377385.000000
            ILS
            1034326.100000
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            2022-01-31
            -52127.100000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -428.090000
        -0.0000611
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            4799520.000000
            ILS
            1554525.580000
            USD
            2022-11-02
            -428.090000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -995.940000
        -0.0001421
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            1100000.000000
            ILS
            355383.250000
            USD
            2022-11-02
            -995.940000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -1399.360000
        -0.0001997
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        DFE
        
        IL
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        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            1200000.000000
            ILS
            387377.940000
            USD
            2022-11-02
            -1399.360000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD PEN/BOUGHT USD
        000000000
        
          
        
        1.000000
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        -42406.800000
        -0.0060522
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        PE
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        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            5537078.850000
            PEN
            1343625.050000
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            2022-01-24
            -42406.800000
          
        
        
          N
          N
          N
        
      
      
        AURIUM CLO III DAC 3A
        N/A
        AURIUM CLO ACLO 3A AR 144A
        ACI1FVVB0
        
          
        
        499394.890000
        PA
        
        567879.180000
        0.0810464
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        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2030-04-16
          Floating
          0.67
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          N
        
        
          N
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        N/A
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        000000000
        
          
        
        1.000000
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        1687.190000
        0.0002408
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        2
        
          
            
              The Hongkong and Shanghai Banking Corporation Limited
              2HI3YI5320L3RW6NJ957
            
            5514407.170000
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            35156000.000000
            CNY
            2022-01-04
            1687.190000
          
        
        
          N
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          N
        
      
      
        N/A
        N/A
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        000000000
        
          
        
        1.000000
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        -10343.120000
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        DK
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        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            569413.790000
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            3645000.000000
            DKK
            2022-04-01
            -10343.120000
          
        
        
          N
          N
          N
        
      
      
        AUSTRALIA GOVT
        213800J6B7JSBDETCB42
        AUSTRALIAN GOVERNMENT BONDS REGS 11/31 1
        BMGX73II0
        
          
        
        1000000.000000
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        683490.690000
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        DBT
        NUSS
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        2
        
          2031-11-21
          Fixed
          1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
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        -20344.130000
        -0.0029035
        N/A
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        RU
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            524611.000000
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            38021444.530000
            RUB
            2022-02-18
            -20344.130000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CAD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -20974.220000
        -0.0029934
        N/A
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        CA
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        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            2649000.000000
            CAD
            2073176.150000
            USD
            2022-01-07
            -20974.220000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CNH/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -104794.840000
        -0.0149561
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            59395164.440000
            CNY
            9228978.000000
            USD
            2022-01-21
            -104794.840000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CNH/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -41846.070000
        -0.0059722
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            26282720.380000
            CNY
            4088405.000000
            USD
            2022-01-21
            -41846.070000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CNH/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -11494.270000
        -0.0016404
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            35156000.000000
            CNY
            5513166.220000
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            2022-01-21
            -11494.270000
          
        
        
          N
          N
          N
        
      
      
        AUSTRALIA GOVT
        213800J6B7JSBDETCB42
        AUSTRALIAN GOVERNMENT SR UNSECURED REGS 06/51 1.75
        BMZ8B6II2
        
          
        
        800000.000000
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        503409.960000
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        Long
        DBT
        NUSS
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        2
        
          2051-06-21
          Fixed
          1.75
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          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
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        11658.720000
        0.0016639
        N/A
        DFE
        
        DK
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        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            4560000.000000
            DKK
            711072.230000
            USD
            2022-04-01
            11658.720000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD GBP/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -4361.350000
        -0.0006224
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            211000.000000
            GBP
            281236.480000
            USD
            2022-01-07
            -4361.350000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD GBP/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -3262.990000
        -0.0004657
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            148000.000000
            GBP
            197061.560000
            USD
            2022-01-07
            -3262.990000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -25210.060000
        -0.0035979
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            2110800.000000
            ILS
            653802.080000
            USD
            2022-01-31
            -25210.060000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        3955.850000
        0.0005646
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            4997148.410000
            ILS
            1611567.470000
            USD
            2022-02-09
            3955.850000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD JPY/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        14710.450000
        0.0020994
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            747400000.000000
            JPY
            6512233.050000
            USD
            2022-01-07
            14710.450000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD MYR/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -10710.260000
        -0.0015285
        N/A
        DFE
        
        MY
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            3070780.120000
            MYR
            725403.980000
            USD
            2022-03-23
            -10710.260000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD RUB/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        2469.090000
        0.0003524
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            38638290.350000
            RUB
            514917.000000
            USD
            2022-02-18
            2469.090000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD SGD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -33893.680000
        -0.0048372
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            2886855.500000
            SGD
            2107523.000000
            USD
            2022-03-16
            -33893.680000
          
        
        
          N
          N
          N
        
      
      
        AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA)
        95980020140005848404
        GENERALITAT DE CATALUNYA SR UNSECURED 04/35 4.22
        B081RMII3
        
          
        
        200000.000000
        PA
        
        299694.950000
        0.0427718
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2035-04-26
          Fixed
          4.22
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        TRS 3ML/IBOXIG INDX 06/20/22 GST
        000000000
        
          
        
        1.000000
        NC
        USD
        34290.750000
        0.0048939
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-06-21
            2304.440000
            USD
            0.000000
            USD
            8000000.000000
            USD
            31986.310000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        TRS 3ML/IBOXIG INDX 09/20/22 BPS
        000000000
        
          
        
        1.000000
        NC
        USD
        58022.510000
        0.0082808
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2022-09-20
            2007.920000
            USD
            0.000000
            USD
            7500000.000000
            USD
            56014.590000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3175FL955 INT FLR US OCT22 0.0000001 CALL
        000000000
        
          
        
        -9500000.000000
        NC
        USD
        -725.800000
        -0.0001036
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            Call
            Written
            
              
                USD-LIBOR-BBA-Bloomberg 1M
                N/A
                N/A
              
            
            N/A
            0.000000
            USD
            2022-10-07
            XXXX
            9071.080000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3175FL997 INT FLR US OCT22 0.0000001 CALL
        000000000
        
          
        
        -5250000.000000
        NC
        USD
        -417.900000
        -0.0000596
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            Call
            Written
            
              
                USD-LIBOR-BBA-Bloomberg 1M
                N/A
                N/A
              
            
            N/A
            0.000000
            USD
            2022-10-08
            XXXX
            4766.480000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        EURO-BTP FUTURE   MAR22 XEUR 20220308
        000000000
        
          
        
        320.000000
        NC
        
        -687170.820000
        -0.0980714
        N/A
        DIR
        
        DE
        
        N
        
        1
        
          
            
              Eurex
              N/A
            
            Long
            
              
                N/A
                ITALY GOVT
                
                  
                
              
            
            2022-03-08
            53558665.180000
            EUR
            -687170.820000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ITALY GOVT SW SP BRC
        000000000
        
          
        
        1.000000
        NC
        USD
        3350.240000
        0.0004781
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                ITALY GOVT
                ITALY (REP OF) GOVT GLBL SR UNSECURED
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2025-06-21
            0.000000
            USD
            -7251.270000
            USD
            300000.000000
            USD
            10601.510000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ITALY GOVT SW SP BRC
        000000000
        
          
        
        1.000000
        NC
        USD
        6700.460000
        0.0009563
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                ITALY GOVT
                ITALY (REP OF) GOVT GLBL SR UNSECURED
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2025-06-21
            0.000000
            USD
            -14591.510000
            USD
            600000.000000
            USD
            21291.970000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ITALY GOVT SW SP CBK
        000000000
        
          
        
        1.000000
        NC
        USD
        6700.460000
        0.0009563
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            
              
                ITALY GOVT
                ITALY (REP OF) GOVT GLBL SR UNSECURED
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2025-06-21
            0.000000
            USD
            -14609.690000
            USD
            600000.000000
            USD
            21310.150000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317556RT7 PIMCO CDSOPT PUT EUR 4.0 20220216
        OP0016VG6
        
          
        
        -900000.000000
        NC
        
        -950.640000
        -0.0001357
        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
            4.000000
            EUR
            2022-02-16
            XXXX
            6031.280000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3175611Q1 PIMCO CDSOPT PUT EUR 4.25 20220316
        OP001B2G7
        
          
        
        -1100000.000000
        NC
        
        -2167.100000
        -0.0003093
        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
            2022-03-16
            XXXX
            2993.170000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3175839H7 PIMCO CDSOPT PUT EUR 3.75 20220119
        OP0016FR0
        
          
        
        -900000.000000
        NC
        
        -282.540000
        -0.0000403
        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
            3.750000
            EUR
            2022-01-19
            XXXX
            5028.980000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDX ITRAXX MAIN31 10Y ICE
        000000000
        
          
        
        1.000000
        NC
        
        -214087.230000
        -0.0305540
        N/A
        DCR
        
        N/A
        
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                ITRAXX EUROPE SERIES 31
                N/A
                N/A
              
            
            Y
            Single Leg Swap
            
            2029-06-21
            0.000000
            EUR
            -66011.030000
            EUR
            9100000.000000
            EUR
            -148076.200000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317515OI0 PIMCO CDSOPT PUT EUR 0.9 20220316
        OP001BNF6
        
          
        
        -2300000.000000
        NC
        
        -785.440000
        -0.0001121
        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
            2022-03-16
            XXXX
            2801.150000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317516UH3 PIMCO CDSOPT PUT EUR 0.8 20220216
        OP0017ZB1
        
          
        
        -1600000.000000
        NC
        
        -366.800000
        -0.0000523
        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
            0.800000
            EUR
            2022-02-16
            XXXX
            1546.690000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3175211L6 PIMCO CDSOPT PUT EUR 0.9 20220420
        OP001CTF8
        
          
        
        -1600000.000000
        NC
        
        -997.170000
        -0.0001423
        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
            872.920000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317525GI8 PIMCO CDSOPT PUT EUR 0.9 20220316
        OP001BL35
        
          
        
        -4700000.000000
        NC
        
        -1605.020000
        -0.0002291
        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
            2022-03-16
            XXXX
            4267.800000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317532B73 PIMCO CDSOPT PUT EUR 0.9 20220316
        OP001BVV2
        
          
        
        -3100000.000000
        NC
        
        -1058.630000
        -0.0001511
        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 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
            2022-03-16
            XXXX
            2778.670000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317551042 PIMCO CDSOPT PUT EUR 0.75 20220119
        OP00161W4
        
          
        
        -1400000.000000
        NC
        
        -115.490000
        -0.0000165
        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
            0.750000
            EUR
            2022-01-19
            XXXX
            1818.200000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317572LA1 PIMCO CDSOPT PUT EUR 0.8 20220119
        OP0017136
        
          
        
        -1300000.000000
        NC
        
        -94.310000
        -0.0000135
        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
            0.800000
            EUR
            2022-01-19
            XXXX
            1714.900000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3175775Q3 PIMCO CDSOPT PUT EUR 0.95 20220316
        OP001BL27
        
          
        
        -1600000.000000
        NC
        
        -475.640000
        -0.0000679
        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
            0.950000
            EUR
            2022-03-16
            XXXX
            1473.630000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317581528 PIMCO CDSOPT PUT EUR 0.85 20220420
        OP001CFQ9
        
          
        
        -900000.000000
        NC
        
        -641.180000
        -0.0000915
        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
            0.850000
            EUR
            2022-04-20
            XXXX
            574.310000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317593NE7 PIMCO CDSOPT PUT EUR 0.85 20220420
        OP001C622
        
          
        
        -2300000.000000
        NC
        
        -1638.560000
        -0.0002339
        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
            0.850000
            EUR
            2022-04-20
            XXXX
            1924.080000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3175955A0 PIMCO CDSOPT PUT EUR 0.8 20220316
        OP001B8P1
        
          
        
        -2900000.000000
        NC
        
        -1346.380000
        -0.0001922
        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
            0.800000
            EUR
            2022-03-16
            XXXX
            1468.970000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317595I40 PIMCO CDSOPT PUT EUR 0.9 20220316
        OP001BS04
        
          
        
        -1000000.000000
        NC
        
        -341.490000
        -0.0000487
        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
            0.900000
            EUR
            2022-03-16
            XXXX
            1206.400000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317595NW2 PIMCO CDSOPT PUT EUR 0.8 20220119
        OP0017110
        
          
        
        -1300000.000000
        NC
        
        -94.310000
        -0.0000135
        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
            0.800000
            EUR
            2022-01-19
            XXXX
            1752.590000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        JAGUAR LAND ROVER AUTOMOTIVE  SNR SE ICE
        000000000
        
          
        
        1.000000
        NC
        
        56989.150000
        0.0081334
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                JAGUAR LAND ROVER AUTOMOTIVE PLC (AKA: JAGUAR LAND ROVER PLC)
                JAGUAR LAND ROVER AUTOMO
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2026-06-21
            53092.710000
            EUR
            0.000000
            EUR
            800000.000000
            EUR
            3896.440000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        JAPAN GOVT JP BP BOA
        000000000
        
          
        
        1.000000
        NC
        USD
        -997.180000
        -0.0001423
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              BANK OF AMERICA CORPORATION
              9DJT3UXIJIZJI4WXO774
            
            
              
                JAPAN GOVT
                JAPANESE GOVT BOND (20Y) #55
                
                  
                
              
            
            Y
            Single Leg Swap
            
            2022-06-21
            0.000000
            USD
            -6913.480000
            USD
            200000.000000
            USD
            5916.300000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        JAPAN GOVT JP BP BPS
        000000000
        
          
        
        1.000000
        NC
        USD
        -8476.050000
        -0.0012097
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            
              
                JAPAN GOVT
                JAPANESE GOVT BOND (20Y) #55
                
                  
                
              
            
            Y
            Single Leg Swap
            
            2022-06-21
            0.000000
            USD
            -60918.850000
            USD
            1700000.000000
            USD
            52442.800000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        JAPAN GOVT JP BP BRC
        000000000
        
          
        
        1.000000
        NC
        USD
        -5983.100000
        -0.0008539
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                JAPAN GOVT
                JAPANESE GOVT BOND (20Y) #55
                
                  
                
              
            
            Y
            Single Leg Swap
            
            2022-06-21
            0.000000
            USD
            -40998.710000
            USD
            1200000.000000
            USD
            35015.610000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        JAPAN GOVT JP BP CBK
        000000000
        
          
        
        1.000000
        NC
        USD
        -4985.910000
        -0.0007116
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            
              
                JAPAN GOVT
                JAPANESE GOVT BOND (20Y) #55
                
                  
                
              
            
            Y
            Single Leg Swap
            
            2022-06-21
            0.000000
            USD
            -35380.700000
            USD
            1000000.000000
            USD
            30394.790000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        JAPAN GOVT JP BP GST
        000000000
        
          
        
        1.000000
        NC
        USD
        -8476.060000
        -0.0012097
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                JAPAN GOVT
                JAPANESE GOVT BOND (20Y) #55
                
                  
                
              
            
            Y
            Single Leg Swap
            
            2022-06-21
            0.000000
            USD
            -59493.450000
            USD
            1700000.000000
            USD
            51017.390000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        JPN 10Y BOND(OSE) MAR22 XOSE 20220314
        000000000
        
          
        
        -7.000000
        NC
        
        18495.310000
        0.0026396
        N/A
        DIR
        
        JP
        N
        
        1
        
          
            
              OSAKA SECURITIES EXCHANGE
              N/A
            
            Short
            
              
                N/A
                JAPAN GOVT
                
                  
                
              
            
            2022-03-14
            -9224810.920000
            JPY
            18495.310000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT CAD/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        21342.950000
        0.0030460
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1920232.480000
            USD
            2456000.000000
            CAD
            2022-01-07
            21342.950000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT JPY/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -10876.160000
        -0.0015522
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            988895.020000
            USD
            112500000.000000
            JPY
            2022-01-07
            -10876.160000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD HKD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        262.320000
        0.0000374
        N/A
        DFE
        
        HK
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3523324.190000
            HKD
            452170.000000
            USD
            2022-03-16
            262.320000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -92.110000
        -0.0000131
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            800160.000000
            ILS
            259455.250000
            USD
            2022-12-07
            -92.110000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD JPY/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        105548.620000
        0.0150637
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1030171900.000000
            JPY
            9061349.000000
            USD
            2022-01-07
            105548.620000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD SGD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -45514.580000
        -0.0064957
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3717460.880000
            SGD
            2712030.000000
            USD
            2022-03-16
            -45514.580000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CNH/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -27506.520000
        -0.0039257
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            18916468.160000
            CNY
            2945160.000000
            USD
            2022-01-21
            -27506.520000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CNH/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -1935.510000
        -0.0002762
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            18753366.020000
            CNY
            2945100.000000
            USD
            2022-01-21
            -1935.510000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CNH/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -27013.770000
        -0.0038553
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            18860611.250000
            CNY
            2936875.000000
            USD
            2022-01-21
            -27013.770000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CNH/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -26923.650000
        -0.0038425
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            18861552.260000
            CNY
            2937113.000000
            USD
            2022-01-21
            -26923.650000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CNH/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -31007.910000
        -0.0044254
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            31641389.360000
            CNY
            4941342.000000
            USD
            2022-01-21
            -31007.910000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CNH/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -12706.880000
        -0.0018135
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            13365693.680000
            CNY
            2087672.000000
            USD
            2022-01-21
            -12706.880000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CNH/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -3049.820000
        -0.0004353
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            4068000.000000
            CNY
            636224.240000
            USD
            2022-01-21
            -3049.820000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CNY/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -112949.970000
        -0.0161200
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            58144483.760000
            CNY
            9025843.490000
            USD
            2022-01-21
            -112949.970000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD KRW/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        80480.830000
        0.0114860
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            12760714395.000000
            KRW
            10793127.290000
            USD
            2022-03-16
            80480.830000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD KRW/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        180.690000
        0.0000258
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            23215321.000000
            KRW
            19670.000000
            USD
            2022-03-16
            180.690000
          
        
        
          N
          N
          N
        
      
      
        AVOLON TLB BORROWER 1 (US) LLC
        635400O84AGITYFZQB55
        AVOLON TLB BORROWER 1 (US) LLC 2021 TERM LOAN B5
        05400KAH3
        
          
        
        1191000.000000
        PA
        USD
        1194143.050000
        0.1704253
        Long
        LON
        CORP
        US
        
        N
        
        2
        
          2027-12-01
          Floating
          2.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVON FINANCE NO 2 PLC 2A
        N/A
        AVON FINANCE AVON 2A A 144A
        ACI1RJQB0
        
          
        
        910817.870000
        PA
        
        1237412.920000
        0.1766007
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2048-09-20
          Floating
          1.0704
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CHF/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -1468.330000
        -0.0002096
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            112000.000000
            CHF
            121455.870000
            USD
            2022-01-07
            -1468.330000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        201963.550000
        0.0288238
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            43482955.170000
            DKK
            6871386.000000
            USD
            2022-04-01
            201963.550000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        200736.610000
        0.0286487
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            46959265.010000
            DKK
            7403356.000000
            USD
            2022-04-01
            200736.610000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD NZD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -16493.050000
        -0.0023538
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            6974000.000000
            NZD
            4759950.270000
            USD
            2022-01-07
            -16493.050000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT CAD/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        2224.320000
        0.0003174
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            313993.180000
            USD
            400000.000000
            CAD
            2022-01-07
            2224.320000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CAD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -5630.030000
        -0.0008035
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            340000.000000
            CAD
            263154.840000
            USD
            2022-01-07
            -5630.030000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD JPY/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        140289.720000
        0.0200218
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            1794030896.000000
            JPY
            15736699.000000
            USD
            2022-01-07
            140289.720000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SHELL INTERNATIONAL FINANCE B SNR SE ICE
        000000000
        
          
        
        1.000000
        NC
        
        18867.160000
        0.0026927
        N/A
        DCR
        
        NL
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                SHELL INTERNATIONAL FINANCE BV
                SHELL INTERNATIONAL FIN
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2026-12-22
            18029.910000
            EUR
            0.000000
            EUR
            500000.000000
            EUR
            837.250000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOUTH KOREA GOVT AS BP BPS
        000000000
        
          
        
        1.000000
        NC
        USD
        -41132.000000
        -0.0058703
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            
              
                SOUTH KOREA GOVT
                REPUBLIC OF KOREA
                
                  
                
              
            
            Y
            Single Leg Swap
            
            2023-06-21
            0.000000
            USD
            -72900.270000
            USD
            3000000.000000
            USD
            31768.270000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOUTH KOREA GOVT AS BP BRC
        000000000
        
          
        
        1.000000
        NC
        USD
        -27421.340000
        -0.0039135
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                SOUTH KOREA GOVT
                REPUBLIC OF KOREA
                
                  
                
              
            
            Y
            Single Leg Swap
            
            2023-06-21
            0.000000
            USD
            -51072.500000
            USD
            2000000.000000
            USD
            23651.160000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOUTH KOREA GOVT AS BP HUS
        000000000
        
          
        
        1.000000
        NC
        USD
        -10968.530000
        -0.0015654
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              HSBC BANK USA, NATIONAL ASSOCIATION
              1IE8VN30JCEQV1H4R804
            
            
              
                SOUTH KOREA GOVT
                REPUBLIC OF KOREA
                
                  
                
              
            
            Y
            Single Leg Swap
            
            2023-06-21
            0.000000
            USD
            -19955.850000
            USD
            800000.000000
            USD
            8987.320000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOUTH KOREA GOVT AS BP JPM
        000000000
        
          
        
        1.000000
        NC
        USD
        -2742.140000
        -0.0003914
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                SOUTH KOREA GOVT
                REPUBLIC OF KOREA
                
                  
                
              
            
            Y
            Single Leg Swap
            
            2023-06-21
            0.000000
            USD
            -4790.110000
            USD
            200000.000000
            USD
            2047.970000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT CAD/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        9053.430000
        0.0012921
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            719037.360000
            USD
            921000.000000
            CAD
            2022-01-07
            9053.430000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT CNH/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        164.010000
        0.0000234
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            30187.640000
            USD
            193141.730000
            CNY
            2022-01-21
            164.010000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT NOK/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        89555.400000
        0.0127811
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            3132923.050000
            USD
            28380573.450000
            NOK
            2022-01-07
            89555.400000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CNH/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -75556.220000
        -0.0107832
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            47111764.630000
            CNY
            7327917.000000
            USD
            2022-01-21
            -75556.220000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CNY/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -39664.150000
        -0.0056608
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            43275765.530000
            CNY
            6762155.340000
            USD
            2022-01-21
            -39664.150000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD EUR/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -713390.340000
        -0.1018134
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            63492916.960000
            EUR
            71573271.290000
            USD
            2022-01-04
            -713390.340000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD EUR/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -88828.470000
        -0.0126774
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            67770917.000000
            EUR
            77113129.780000
            USD
            2022-02-02
            -88828.470000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD GBP/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        34168.510000
        0.0048764
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            38237250.820000
            GBP
            51786993.080000
            USD
            2022-02-02
            34168.510000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT BRL/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        5608.700000
        0.0008005
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            265755.840000
            USD
            1521850.800000
            BRL
            2022-02-02
            5608.700000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD BRL/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -5668.120000
        -0.0008089
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            1521850.790000
            BRL
            267554.640000
            USD
            2022-01-04
            -5668.120000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U025I4 PIMCO SWAPTION 1.57 PUT USD 20220110
        000000000
        
          
        
        -8000000.000000
        NC
        USD
        -1692.800000
        -0.0002416
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.57000 01/12/22-5Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.57000 01/12/22-5Y CME
                      N/A
                      N/A
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-01-12
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.570000
            USD
            2022-01-10
            XXXX
            14747.200000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U026I3 PIMCO SWAPTION 1.27 CALL USD 2022011
        000000000
        
          
        
        -8000000.000000
        NC
        USD
        -5371.200000
        -0.0007666
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.27000 01/12/22-5Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.27000 01/12/22-5Y CME
                      N/A
                      N/A
                    
                  
                  
                    
                      
                    
                  
                  
                  2027-01-12
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.270000
            USD
            2022-01-10
            XXXX
            11068.800000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U037I0 PIMCO SWAPTION 1.676 PUT USD 2022011
        000000000
        
          
        
        -3700000.000000
        NC
        USD
        -1170.680000
        -0.0001671
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            Put
            Written
            
              
                
                  
                    BNP Paribas S.A.
                    N/A
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.67600 01/12/22-7Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.67600 01/12/22-7Y CME
                      N/A
                      N/A
                    
                  
                  
                  
                    
                      
                    
                  
                  2029-01-12
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.680000
            USD
            2022-01-10
            XXXX
            8819.320000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U038I9 PIMCO SWAPTION 1.376 CALL USD 202201
        000000000
        
          
        
        -3700000.000000
        NC
        USD
        -3325.560000
        -0.0004746
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            Call
            Written
            
              
                
                  
                    BNP Paribas S.A.
                    N/A
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.37600 01/12/22-7Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.37600 01/12/22-7Y CME
                      N/A
                      N/A
                    
                  
                  
                    
                      
                    
                  
                  
                  2029-01-12
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.380000
            USD
            2022-01-10
            XXXX
            6664.440000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U065I5 PIMCO SWAPTION 1.645 PUT USD 2022011
        000000000
        
          
        
        -5200000.000000
        NC
        USD
        -2475.200000
        -0.0003533
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.64500 01/12/22-7Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.64500 01/12/22-7Y CME
                      N/A
                      N/A
                    
                  
                  
                  
                    
                      
                    
                  
                  2029-01-12
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.650000
            USD
            2022-01-10
            XXXX
            10264.800000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U066I4 PIMCO SWAPTION 1.345 CALL USD 202201
        000000000
        
          
        
        -5200000.000000
        NC
        USD
        -2946.840000
        -0.0004206
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.34500 01/12/22-7Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.34500 01/12/22-7Y CME
                      N/A
                      N/A
                    
                  
                  
                    
                      
                    
                  
                  
                  2029-01-12
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.350000
            USD
            2022-01-10
            XXXX
            9793.160000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U083I3 PIMCO SWAPTION  0.1 CALL EUR 2022021
        000000000
        
          
        
        -8000000.000000
        NC
        
        -5772.650000
        -0.0008239
        N/A
        DIR
        
        US
        
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            Call
            Written
            
              
                
                  
                    BNP Paribas S.A.
                    N/A
                  
                  
                    N/A
                    N/A
                    IRS EUR R -0.10000 02/14/22-5Y LCH
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DIR
                    
                  
                  
                    
                      N/A
                      IRS EUR R -0.10000 02/14/22-5Y LCH
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2027-02-14
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            0.100000
            EUR
            2022-02-10
            XXXX
            34282.150000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U085I1 PIMCO SWAPTION 1.435 CALL USD 202201
        000000000
        
          
        
        -3200000.000000
        NC
        USD
        -1897.280000
        -0.0002708
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Call
            Written
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.43500 01/12/22-10Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.43500 01/12/22-10Y CME
                      N/A
                      N/A
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-01-12
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.440000
            USD
            2022-01-10
            XXXX
            8270.720000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U086I0 PIMCO SWAPTION 1.735 PUT USD 2022011
        000000000
        
          
        
        -3200000.000000
        NC
        USD
        -2817.920000
        -0.0004022
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Put
            Written
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.73500 01/12/22-10Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.73500 01/12/22-10Y CME
                      N/A
                      N/A
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-01-12
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.740000
            USD
            2022-01-10
            XXXX
            7350.080000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U118I2 PIMCO SWAPTION 1.585 PUT USD 2022021
        000000000
        
          
        
        -5400000.000000
        NC
        USD
        -11993.400000
        -0.0017117
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.58500 02/16/22-5Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.58500 02/16/22-5Y CME
                      N/A
                      N/A
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-02-16
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.590000
            USD
            2022-02-14
            XXXX
            2586.600000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U119I1 PIMCO SWAPTION 1.185 CALL USD 202202
        000000000
        
          
        
        -5400000.000000
        NC
        USD
        -8458.020000
        -0.0012071
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.18500 02/16/22-5Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.18500 02/16/22-5Y CME
                      N/A
                      N/A
                    
                  
                  
                    
                      
                    
                  
                  
                  2027-02-16
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.190000
            USD
            2022-02-14
            XXXX
            6121.980000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U151I0 PIMCO SWAPTION 1.63 PUT USD 20220118
        000000000
        
          
        
        -3200000.000000
        NC
        USD
        -4396.480000
        -0.0006275
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.63000 01/20/22-7Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.63000 01/20/22-7Y CME
                      N/A
                      N/A
                    
                  
                  
                  
                    
                      
                    
                  
                  2029-01-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.630000
            USD
            2022-01-18
            XXXX
            2963.520000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U152I9 PIMCO SWAPTION 1.33 CALL USD 2022011
        000000000
        
          
        
        -3200000.000000
        NC
        USD
        -3304.000000
        -0.0004715
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.33000 01/20/22-7Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.33000 01/20/22-7Y CME
                      N/A
                      N/A
                    
                  
                  
                    
                      
                    
                  
                  
                  2029-01-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.330000
            USD
            2022-01-18
            XXXX
            4056.000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U164I5 PIMCO FPPSWAPTION 0.82 CALL GBP
        000000000
        
          
        
        -6200000.000000
        NC
        
        -33401.880000
        -0.0047670
        N/A
        DIR
        
        US
        
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    N/A
                    N/A
                    OIS GBP R SONIO/0.82 12/16/24 LCH
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DIR
                    
                    GB
                  
                  
                    
                      OIS GBP R SONIO/0.82 12/16/24 LCH
                      N/A
                      N/A
                    
                  
                  
                    
                      
                    
                  
                  
                  2025-12-16
                  0.000000
                  GBP
                  0.000000
                  GBP
                  N/A
                  GBP
                
              
            
            N/A
            0.820000
            GBP
            2024-12-16
            XXXX
            10384.070000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U173X1 IRO EUR 25Y P0.451 MAY25 0.451 PUT
        000000000
        
          
        
        -1100000.000000
        NC
        
        -154175.130000
        -0.0220035
        N/A
        DIR
        
        DE
        
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            Put
            Written
            
              
                
                  
                    BNP Paribas S.A.
                    N/A
                  
                  
                    N/A
                    N/A
                    IRS EUR R 0.45100 05/27/25-25Y LCH
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DIR
                    
                  
                  
                    
                      N/A
                      IRS EUR R 0.45100 05/27/25-25Y LCH
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2050-05-27
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            0.450000
            EUR
            2025-05-23
            XXXX
            -70899.270000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U184I1 PIMCO SWAPTION 1.77 CALL AUD 2022011
        000000000
        
          
        
        -1000000.000000
        NC
        
        -455.960000
        -0.0000651
        N/A
        DIR
        
        US
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Call
            Written
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    N/A
                    N/A
                    IRS AUD R 1.77000 01/18/22-10Y LCH
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DIR
                    
                    AU
                  
                  
                    
                      IRS AUD R 1.77000 01/18/22-10Y LCH
                      N/A
                      N/A
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-01-18
                  0.000000
                  AUD
                  0.000000
                  AUD
                  N/A
                  AUD
                
              
            
            N/A
            1.770000
            AUD
            2022-01-17
            XXXX
            1913.770000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U185I0 PIMCO SWAPTION 2.12 PUT AUD 20220117
        000000000
        
          
        
        -1000000.000000
        NC
        
        -1875.410000
        -0.0002677
        N/A
        DIR
        
        US
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Put
            Written
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    N/A
                    N/A
                    IRS AUD R 2.12000 01/18/22-10Y LCH
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DIR
                    
                    AU
                  
                  
                    
                      IRS AUD R 2.12000 01/18/22-10Y LCH
                      N/A
                      N/A
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-01-18
                  0.000000
                  AUD
                  0.000000
                  AUD
                  N/A
                  AUD
                
              
            
            N/A
            2.120000
            AUD
            2022-01-17
            XXXX
            494.320000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U194Y4 PIMCO SWAPTION 0.004 PUT EUR 2022012
        000000000
        
          
        
        8400000.000000
        NC
        
        30531.140000
        0.0043573
        N/A
        DIR
        
        US
        
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Put
            Purchased
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    N/A
                    N/A
                    IRS EUR R 0.40000 01/27/22-10Y LCH
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DIR
                    
                  
                  
                    
                      N/A
                      IRS EUR R 0.40000 01/27/22-10Y LCH
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-01-27
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            0.000000
            EUR
            2022-01-25
            XXXX
            -75608.730000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U212I7 PIMCO SWAPTION 1.518 PUT USD 2022011
        000000000
        
          
        
        -1100000.000000
        NC
        USD
        -3862.430000
        -0.0005512
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Put
            Written
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.51800 01/20/22-7Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.51800 01/20/22-7Y CME
                      N/A
                      N/A
                    
                  
                  
                  
                    
                      
                    
                  
                  2029-01-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.520000
            USD
            2022-01-18
            XXXX
            -1359.930000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U213I6 PIMCO SWAPTION 1.218 CALL USD 202201
        000000000
        
          
        
        -1100000.000000
        NC
        USD
        -301.950000
        -0.0000431
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Call
            Written
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.21800 01/20/22-7Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.21800 01/20/22-7Y CME
                      N/A
                      N/A
                    
                  
                  
                    
                      
                    
                  
                  
                  2029-01-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.220000
            USD
            2022-01-18
            XXXX
            2200.550000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U218I1 PIMCO SWAPTION 1.4175 PUT USD 202201
        000000000
        
          
        
        -3100000.000000
        NC
        USD
        -7382.960000
        -0.0010537
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.41750 01/20/22-5Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.41750 01/20/22-5Y CME
                      N/A
                      N/A
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-01-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.420000
            USD
            2022-01-18
            XXXX
            -2345.460000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U219I0 PIMCO SWAPTION 1.1175 CALL USD 20220
        000000000
        
          
        
        -3100000.000000
        NC
        USD
        -660.920000
        -0.0000943
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.11750 01/20/22-5Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.11750 01/20/22-5Y CME
                      N/A
                      N/A
                    
                  
                  
                    
                      
                    
                  
                  
                  2027-01-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.120000
            USD
            2022-01-18
            XXXX
            4376.580000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U230I5 PIMCO SWAPTION 1.655 PUT USD 2022012
        000000000
        
          
        
        -1900000.000000
        NC
        USD
        -8530.050000
        -0.0012174
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.65500 01/24/22-10Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.65500 01/24/22-10Y CME
                      N/A
                      N/A
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-01-24
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.660000
            USD
            2022-01-20
            XXXX
            -2212.550000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U231I4 PIMCO SWAPTION 1.355 CALL USD 202201
        000000000
        
          
        
        -1900000.000000
        NC
        USD
        -1399.350000
        -0.0001997
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.35500 01/24/22-10Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.35500 01/24/22-10Y CME
                      N/A
                      N/A
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-01-24
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.360000
            USD
            2022-01-20
            XXXX
            4918.150000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U254I6 PIMCO SWAPTION 2.14 PUT AUD 20220124
        000000000
        
          
        
        -1600000.000000
        NC
        
        -4034.350000
        -0.0005758
        N/A
        DIR
        
        US
        
        N
        
        2
        
          
            
              Australia and New Zealand Banking Group
              JHE42UYNWWTJB8YTTU19
            
            Put
            Written
            
              
                
                  
                    Australia and New Zealand Banking Group
                    JHE42UYNWWTJB8YTTU19
                  
                  
                    N/A
                    N/A
                    IRS AUD R 2.14000 01/25/22-10Y LCH
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DIR
                    
                    AU
                  
                  
                    
                      IRS AUD R 2.14000 01/25/22-10Y LCH
                      N/A
                      N/A
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-01-25
                  0.000000
                  AUD
                  0.000000
                  AUD
                  N/A
                  AUD
                
              
            
            N/A
            2.140000
            AUD
            2022-01-24
            XXXX
            -256.510000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U255I5 PIMCO SWAPTION 1.79 CALL AUD 2022012
        000000000
        
          
        
        -1600000.000000
        NC
        
        -1757.760000
        -0.0002509
        N/A
        DIR
        
        US
        
        N
        
        2
        
          
            
              Australia and New Zealand Banking Group
              JHE42UYNWWTJB8YTTU19
            
            Call
            Written
            
              
                
                  
                    Australia and New Zealand Banking Group
                    JHE42UYNWWTJB8YTTU19
                  
                  
                    N/A
                    N/A
                    IRS AUD R 1.79000 01/25/22-10Y LCH
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DIR
                    
                    AU
                  
                  
                    
                      IRS AUD R 1.79000 01/25/22-10Y LCH
                      N/A
                      N/A
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-01-25
                  0.000000
                  AUD
                  0.000000
                  AUD
                  N/A
                  AUD
                
              
            
            N/A
            1.790000
            AUD
            2022-01-24
            XXXX
            2020.080000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U263Y0 PIMCO SWAPTION 0.004 PUT EUR 2022012
        000000000
        
          
        
        7700000.000000
        NC
        
        27986.880000
        0.0039942
        N/A
        DIR
        
        US
        
        N
        
        2
        
          
            
              NOMURA GLOBAL FINANCIAL PRODUCTS INC.
              0Z3VO5H2G7GRS05BHJ91
            
            Put
            Purchased
            
              
                
                  
                    NOMURA GLOBAL FINANCIAL PRODUCTS INC.
                    0Z3VO5H2G7GRS05BHJ91
                  
                  
                    N/A
                    N/A
                    IRS EUR R 0.40000 01/27/22-10Y LCH
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DIR
                    
                  
                  
                    
                      N/A
                      IRS EUR R 0.40000 01/27/22-10Y LCH
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-01-27
                  0.000000
                  EUR
                  0.000000
                  EUR
                  N/A
                  EUR
                
              
            
            N/A
            0.000000
            EUR
            2022-01-25
            XXXX
            -66312.440000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U274I2 PIMCO SWAPTION 1.63 PUT USD 20220124
        000000000
        
          
        
        -700000.000000
        NC
        USD
        -1365.840000
        -0.0001949
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Put
            Written
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.63000 01/26/22-7Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.63000 01/26/22-7Y CME
                      N/A
                      N/A
                    
                  
                  
                  
                    
                      
                    
                  
                  2029-01-26
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.630000
            USD
            2022-01-24
            XXXX
            438.410000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U275I1 PIMCO SWAPTION 1.33 CALL USD 2022012
        000000000
        
          
        
        -700000.000000
        NC
        USD
        -1021.510000
        -0.0001458
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Call
            Written
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.33000 01/26/22-7Y CME
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.33000 01/26/22-7Y CME
                      N/A
                      N/A
                    
                  
                  
                    
                      
                    
                  
                  
                  2029-01-26
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.330000
            USD
            2022-01-24
            XXXX
            782.740000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U549X8 PIMCO SWAPTION 0.0001 CALL GBP 20220
        000000000
        
          
        
        -33400000.000000
        NC
        
        -131.100000
        -0.0000187
        N/A
        DIR
        
        US
        
        N
        
        2
        
          
            
              NATWEST MARKETS PLC
              RR3QWICWWIPCS8A4S074
            
            Call
            Written
            
              
                
                  
                    NATWEST MARKETS PLC
                    RR3QWICWWIPCS8A4S074
                  
                  
                    N/A
                    N/A
                    OIS GBP R SONIO/0.01 02/07/22 LCH
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DIR
                    
                    GB
                  
                  
                    
                      OIS GBP R SONIO/0.01 02/07/22 LCH
                      N/A
                      N/A
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-02-07
                  0.000000
                  GBP
                  0.000000
                  GBP
                  N/A
                  GBP
                
              
            
            N/A
            0.000000
            GBP
            2022-02-07
            XXXX
            43002.270000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U550X4 PIMCO SWAPTION 0.0001 PUT GBP 202202
        000000000
        
          
        
        -33400000.000000
        NC
        
        -378472.570000
        -0.0540147
        N/A
        DIR
        
        US
        
        N
        
        2
        
          
            
              NATWEST MARKETS PLC
              RR3QWICWWIPCS8A4S074
            
            Put
            Written
            
              
                
                  
                    NATWEST MARKETS PLC
                    RR3QWICWWIPCS8A4S074
                  
                  
                    N/A
                    N/A
                    OIS GBP R SONIO/0.01 02/07/22 LCH
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DIR
                    
                    GB
                  
                  
                    
                      OIS GBP R SONIO/0.01 02/07/22 LCH
                      N/A
                      N/A
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-02-07
                  0.000000
                  GBP
                  0.000000
                  GBP
                  N/A
                  GBP
                
              
            
            N/A
            0.000000
            GBP
            2022-02-07
            XXXX
            -335339.200000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U578X2 PIMCO SWAPTION 0.0001 CALL GBP 20220
        000000000
        
          
        
        -6400000.000000
        NC
        
        -25.120000
        -0.0000036
        N/A
        DIR
        
        US
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Call
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    N/A
                    N/A
                    OIS GBP R SONIO/0.01 02/07/22 LCH
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DIR
                    
                    GB
                  
                  
                    
                      OIS GBP R SONIO/0.01 02/07/22 LCH
                      N/A
                      N/A
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-02-07
                  0.000000
                  GBP
                  0.000000
                  GBP
                  N/A
                  GBP
                
              
            
            N/A
            0.000000
            GBP
            2022-02-07
            XXXX
            8274.680000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U579X1 PIMCO SWAPTION 0.0001 PUT GBP 202202
        000000000
        
          
        
        -6400000.000000
        NC
        
        -72521.690000
        -0.0103501
        N/A
        DIR
        
        US
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Put
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    N/A
                    N/A
                    OIS GBP R SONIO/0.01 02/07/22 LCH
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DIR
                    
                    GB
                  
                  
                    
                      OIS GBP R SONIO/0.01 02/07/22 LCH
                      N/A
                      N/A
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-02-07
                  0.000000
                  GBP
                  0.000000
                  GBP
                  N/A
                  GBP
                
              
            
            N/A
            0.000000
            GBP
            2022-02-07
            XXXX
            -64221.890000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U586X2 PIMCO SWAPTION 0.0001 PUT GBP 202202
        000000000
        
          
        
        -6400000.000000
        NC
        
        -72521.690000
        -0.0103501
        N/A
        DIR
        
        US
        
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Put
            Written
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    N/A
                    N/A
                    OIS GBP R SONIO/0.01 02/07/22 LCH
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DIR
                    
                    GB
                  
                  
                    
                      OIS GBP R SONIO/0.01 02/07/22 LCH
                      N/A
                      N/A
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-02-07
                  0.000000
                  GBP
                  0.000000
                  GBP
                  N/A
                  GBP
                
              
            
            N/A
            0.000000
            GBP
            2022-02-07
            XXXX
            -64000.560000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U587X1 PIMCO SWAPTION 0.0001 CALL GBP 20220
        000000000
        
          
        
        -6400000.000000
        NC
        
        -25.120000
        -0.0000036
        N/A
        DIR
        
        US
        
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Call
            Written
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    N/A
                    N/A
                    OIS GBP R SONIO/0.01 02/07/22 LCH
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DIR
                    
                    GB
                  
                  
                    
                      OIS GBP R SONIO/0.01 02/07/22 LCH
                      N/A
                      N/A
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-02-07
                  0.000000
                  GBP
                  0.000000
                  GBP
                  N/A
                  GBP
                
              
            
            N/A
            0.000000
            GBP
            2022-02-07
            XXXX
            8496.010000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U607X7 PIMCO SWAPTION 0.0232 PUT USD 202201
        000000000
        
          
        
        -2700000.000000
        NC
        USD
        -183.870000
        -0.0000262
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            Put
            Written
            
              
                
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    N/A
                    N/A
                    IRS USD R 2.32000 01/27/22-30Y LCH
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 2.32000 01/27/22-30Y LCH
                      N/A
                      N/A
                    
                  
                  
                  
                    
                      
                    
                  
                  2052-01-27
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            0.020000
            USD
            2022-01-25
            XXXX
            71636.130000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U743Z7 PIMCO SWAPTION 1.27 PUT USD 20221102
        000000000
        
          
        
        -66900000.000000
        NC
        USD
        -170722.110000
        -0.0243651
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Put
            Written
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    N/A
                    N/A
                    IRS USD R 1.27000 11/04/22-1Y (RED) LCH
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 1.27000 11/04/22-1Y (RED) LCH
                      N/A
                      N/A
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-04
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            1.270000
            USD
            2022-11-02
            XXXX
            -37802.110000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317U744Z6 PIMCO SWAPTION 0.87 CALL USD 2022110
        000000000
        
          
        
        -66900000.000000
        NC
        USD
        -67669.350000
        -0.0096576
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Call
            Written
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    N/A
                    N/A
                    IRS USD R 0.87000 11/04/22-1Y (RED) LCH
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DIR
                    
                    US
                  
                  
                    
                      IRS USD R 0.87000 11/04/22-1Y (RED) LCH
                      N/A
                      N/A
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-04
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            0.870000
            USD
            2022-11-02
            XXXX
            65250.650000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CCS AUD R US3ML/AUD3MBBSW+29 AZD
        000000000
        
          
        
        1.000000
        NC
        
        -2299.630000
        -0.0003282
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Australia and New Zealand Banking Group
              JHE42UYNWWTJB8YTTU19
            
            -3917680.000000
            USD
            5200000.000000
            AUD
            2031-01-06
            -27260.270000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CCS AUD R US3ML/AUD3MBBSW+29.75 MYC
        000000000
        
          
        
        1.000000
        NC
        
        799.040000
        0.0001140
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -1293120.000000
            USD
            1800000.000000
            AUD
            2030-10-15
            -8830.560000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CCS AUD R US3ML/AUD3MBBSW+42 CBK
        000000000
        
          
        
        1.000000
        NC
        
        1715.210000
        0.0002448
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -2898000.000000
            USD
            4200000.000000
            AUD
            2029-07-31
            1084.470000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CCS AUD R US3ML/AUD3MBBSW+42.25 GLM
        000000000
        
          
        
        1.000000
        NC
        
        -13832.990000
        -0.0019742
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            -2829000.000000
            USD
            4100000.000000
            AUD
            2029-08-01
            1392.430000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        INF SWAP GB NI 2.9997 11/15/20-30Y LCH
        000000000
        
          
        
        1.000000
        NC
        
        292002.830000
        0.0416740
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                UK RPI All Items NSA
                N/A
                N/A
              
            
            Y
            
            
              
                
              
            
            2050-11-15
            21052.450000
            GBP
            0.000000
            GBP
            600000.000000
            GBP
            270950.380000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        INF SWAP GB NI 3.0505 11/15/20-30Y LCH
        000000000
        
          
        
        1.000000
        NC
        
        224070.380000
        0.0319788
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                UK RPI All Items NSA
                N/A
                N/A
              
            
            Y
            
            
              
                
              
            
            2050-11-15
            0.000000
            GBP
            0.000000
            GBP
            500000.000000
            GBP
            224070.380000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        INF SWAP GB NI 3.143 11/15/20-30Y LCH
        000000000
        
          
        
        1.000000
        NC
        
        112965.470000
        0.0161222
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                UK RPI All Items NSA
                N/A
                N/A
              
            
            Y
            
            
              
                
              
            
            2050-11-15
            0.000000
            GBP
            0.000000
            GBP
            300000.000000
            GBP
            112965.470000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        INF SWAP GB NI 3.2171 11/15/20-20Y LCH
        000000000
        
          
        
        1.000000
        NC
        
        -456990.660000
        -0.0652206
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                UK RPI All Items NSA
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2040-11-15
            0.000000
            GBP
            -23742.500000
            GBP
            1450000.000000
            GBP
            -433248.160000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        INF SWAP GB NI 3.272 11/15/20-20Y LCH
        000000000
        
          
        
        1.000000
        NC
        
        -146048.970000
        -0.0208438
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                UK RPI All Items NSA
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2040-11-15
            0.000000
            GBP
            -109.260000
            GBP
            500000.000000
            GBP
            -145939.710000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        INF SWAP GB NI 3.2725 11/15/20-20Y LCH
        000000000
        
          
        
        1.000000
        NC
        
        -207239.610000
        -0.0295768
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                UK RPI All Items NSA
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2040-11-15
            0.000000
            GBP
            0.000000
            GBP
            710000.000000
            GBP
            -207239.610000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        INF SWAP GB NI 3.34 11/15/20-20Y LCH
        000000000
        
          
        
        1.000000
        NC
        
        -192136.470000
        -0.0274213
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                UK RPI All Items NSA
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2040-11-15
            0.000000
            GBP
            0.000000
            GBP
            730000.000000
            GBP
            -192136.470000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        INF SWAP GB NI 3.3967 11/15/20-10Y LCH
        000000000
        
          
        
        1.000000
        NC
        
        149946.120000
        0.0214000
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                UK RPI All Items NSA
                N/A
                N/A
              
            
            Y
            
            
              
                
              
            
            2030-11-15
            6131.110000
            GBP
            0.000000
            GBP
            850000.000000
            GBP
            143815.010000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        INF SWAP GB NI 3.445 11/15/20-10Y LCH
        000000000
        
          
        
        1.000000
        NC
        
        119476.330000
        0.0170514
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                UK RPI All Items NSA
                N/A
                N/A
              
            
            Y
            
            
              
                
              
            
            2030-11-15
            0.000000
            GBP
            0.000000
            GBP
            710000.000000
            GBP
            119476.330000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        INF SWAP GB NI 3.51 11/15/20-10Y LCH
        000000000
        
          
        
        1.000000
        NC
        
        67630.640000
        0.0096521
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                UK RPI All Items NSA
                N/A
                N/A
              
            
            Y
            
            
              
                
              
            
            2030-11-15
            0.000000
            GBP
            0.000000
            GBP
            430000.000000
            GBP
            67630.640000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        INF SWAP GB NI 3.7 04/15/21-10Y LCH
        000000000
        
          
        
        1.000000
        NC
        
        -287271.320000
        -0.0409987
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                UK RPI All Items NSA
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2031-04-15
            20055.960000
            GBP
            0.000000
            GBP
            2100000.000000
            GBP
            -307327.280000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        INF SWAP GB NI 3.74 03/15/21-10Y LCH
        000000000
        
          
        
        1.000000
        NC
        
        -161910.110000
        -0.0231074
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                UK RPI All Items NSA
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2031-03-15
            702.150000
            GBP
            0.000000
            GBP
            1300000.000000
            GBP
            -162612.260000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS AUD 1.25000 06/17/20-10Y LCH
        000000000
        
          
        
        1.000000
        NC
        
        149305.040000
        0.0213085
        N/A
        DIR
        
        AU
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                AUD-BBR-BBSW-Bloomberg 6M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2030-06-17
            0.000000
            AUD
            -83637.870000
            AUD
            3900000.000000
            AUD
            232942.910000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS CAD 1.00000 06/16/21-5Y LCH
        000000000
        
          
        
        1.000000
        NC
        
        -87585.240000
        -0.0125000
        N/A
        DIR
        
        CA
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                CAD-BA-CDOR 3M
                N/A
                N/A
              
            
            Y
            
            
              
                
              
            
            2026-06-16
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          N
          N
          N
        
      
      
        N/A
        N/A
        IRS MYR P 3.50000 03/16/22-10Y BPS
        000000000
        
          
        
        1.000000
        NC
        
        -3686.340000
        -0.0005261
        N/A
        DIR
        
        MY
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            
              
                N/A
                Klibor Interbank Offered Rate
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            0.000000
            MYR
            -4456.250000
            MYR
            1500000.000000
            MYR
            769.910000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS MYR P 3.50000 03/16/22-10Y CBK
        000000000
        
          
        
        1.000000
        NC
        
        -1228.780000
        -0.0001754
        N/A
        DIR
        
        MY
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            
              
                N/A
                Klibor Interbank Offered Rate
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            0.000000
            MYR
            -833.330000
            MYR
            500000.000000
            MYR
            -395.450000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS MYR P 3.50000 03/16/22-10Y JPM
        000000000
        
          
        
        1.000000
        NC
        
        -5898.150000
        -0.0008418
        N/A
        DIR
        
        MY
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                N/A
                Klibor Interbank Offered Rate
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            0.000000
            MYR
            -5076.920000
            MYR
            2400000.000000
            MYR
            -821.230000
          
        
        
          N
          N
          N
        
      
      
        BANCA MONTE DEI PASCHI DI SIENA SPA
        J4CP7MHCXR8DAQMKIL78
        BANCA MONTE DEI PASCHI S COVERED REGS 10/27 0.875
        ACI1FY8R5
        
          
        
        900000.000000
        PA
        
        1054326.580000
        0.1504710
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2027-10-08
          Fixed
          0.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS MYR P 3.50000 03/16/22-10Y NGF
        000000000
        
          
        
        1.000000
        NC
        
        -5406.630000
        -0.0007716
        N/A
        DIR
        
        MY
        N
        
        2
        
          
            
              NOMURA GLOBAL FINANCIAL PRODUCTS INC.
              0Z3VO5H2G7GRS05BHJ91
            
            
              
                N/A
                Klibor Interbank Offered Rate
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            0.000000
            MYR
            -3861.380000
            MYR
            2200000.000000
            MYR
            -1545.250000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS MYR P 3.50000 03/16/22-10Y SCX
        000000000
        
          
        
        1.000000
        NC
        
        -3932.100000
        -0.0005612
        N/A
        DIR
        
        MY
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            
              
                N/A
                Klibor Interbank Offered Rate
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            0.000000
            MYR
            -4958.680000
            MYR
            1600000.000000
            MYR
            1026.580000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS NZD 0.52750 03/17/21-3Y LCH
        000000000
        
          
        
        1.000000
        NC
        
        -9827.540000
        -0.0014026
        N/A
        DIR
        
        NZ
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                NZ$ Bank Bill 3M FRA
                N/A
                N/A
              
            
            Y
            
            
              
                
              
            
            2024-03-18
            0.000000
            NZD
            -21.400000
            NZD
            400000.000000
            NZD
            -9806.140000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS NZD 3.00000 11/01/22-1Y (RED) LCH
        000000000
        
          
        
        1.000000
        NC
        
        46524.040000
        0.0066398
        N/A
        DIR
        
        NZ
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                NZ$ Bank Bill 3M FRA
                N/A
                N/A
              
            
            Y
            
            
              
                
              
            
            2023-11-01
            5671.340000
            NZD
            0.000000
            NZD
            16200000.000000
            NZD
            40852.700000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS NZD 3.00000 12/15/22-1Y (RED) LCH
        000000000
        
          
        
        1.000000
        NC
        
        44805.950000
        0.0063946
        N/A
        DIR
        
        NZ
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                NZ$ Bank Bill 3M FRA
                N/A
                N/A
              
            
            Y
            
            
              
                
              
            
            2023-12-15
            0.000000
            NZD
            -2384.860000
            NZD
            18500000.000000
            NZD
            47190.810000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS SEK 1.00000 06/19/19-10Y LCH
        000000000
        
          
        
        1.000000
        NC
        
        22929.370000
        0.0032724
        N/A
        DIR
        
        SE
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                N/A
                SEK-STIBOR-Bloomberg 3M
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2029-06-19
            51212.270000
            SEK
            0.000000
            SEK
            13200000.000000
            SEK
            -28282.900000
          
        
        
          N
          N
          N
        
      
      
        BANCA MONTE DEI PASCHI DI SIENA SPA
        J4CP7MHCXR8DAQMKIL78
        BANCA MONTE DEI PASCHI S SR UNSECURED REGS 04/25 2.625
        ACI1J7WJ1
        
          
        
        500000.000000
        PA
        
        571043.510000
        0.0814980
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2025-04-28
          Fixed
          2.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 0.25000 03/30/21-2Y LCH
        000000000
        
          
        
        1.000000
        NC
        USD
        62453.070000
        0.0089132
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2023-03-30
            3230.910000
            USD
            0.000000
            USD
            14965000.000000
            USD
            59222.160000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 0.25000 06/16/21-2Y CME
        000000000
        
          
        
        1.000000
        NC
        USD
        261601.410000
        0.0373351
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2023-06-16
            33464.000000
            USD
            0.000000
            USD
            37600000.000000
            USD
            228137.410000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 0.40000 01/15/21-7Y LCH
        000000000
        
          
        
        1.000000
        NC
        USD
        -393306.790000
        -0.0561318
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
            
              
                
              
            
            2028-01-18
            0.000000
            USD
            -54354.340000
            USD
            6800000.000000
            USD
            -338952.450000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 0.40000 03/30/21-5Y LCH
        000000000
        
          
        
        1.000000
        NC
        USD
        993252.230000
        0.1417546
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2026-03-30
            248530.100000
            USD
            0.000000
            USD
            27150000.000000
            USD
            744722.130000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 0.50000 06/16/21-5Y CME
        000000000
        
          
        
        1.000000
        NC
        USD
        -1338564.490000
        -0.1910368
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
            
              
                
              
            
            2026-06-16
            0.000000
            USD
            -796675.440000
            USD
            37310000.000000
            USD
            -541889.050000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 0.50000 06/16/21-5Y LCH
        000000000
        
          
        
        1.000000
        NC
        USD
        -49938.880000
        -0.0071272
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
            
              
                
              
            
            2026-06-16
            0.000000
            USD
            -27594.000000
            USD
            1400000.000000
            USD
            -22344.880000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 0.50000 06/16/21-7Y CME
        000000000
        
          
        
        1.000000
        NC
        USD
        -176849.490000
        -0.0252395
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
            
              
                
              
            
            2028-06-16
            0.000000
            USD
            -164245.200000
            USD
            3000000.000000
            USD
            -12604.290000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 0.50000 12/15/21-2Y LCH
        000000000
        
          
        
        1.000000
        NC
        USD
        11169.770000
        0.0015941
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2023-12-15
            0.000000
            USD
            -2635.350000
            USD
            1400000.000000
            USD
            13805.120000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 0.75000 03/30/21-10Y LCH
        000000000
        
          
        
        1.000000
        NC
        USD
        593694.560000
        0.0847307
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2031-03-31
            74937.970000
            USD
            0.000000
            USD
            8750000.000000
            USD
            518756.590000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 0.75000 06/16/21-10Y CME
        000000000
        
          
        
        1.000000
        NC
        USD
        1144588.500000
        0.1633530
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2031-06-16
            1524227.500000
            USD
            0.000000
            USD
            15720000.000000
            USD
            -379639.000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 0.75000 06/16/21-10Y LCH
        000000000
        
          
        
        1.000000
        NC
        USD
        322560.310000
        0.0460351
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2031-06-16
            331578.410000
            USD
            0.000000
            USD
            4500000.000000
            USD
            -9018.100000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 1.00000 12/16/20-10Y CME
        000000000
        
          
        
        1.000000
        NC
        USD
        403674.950000
        0.0576115
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2030-12-16
            0.000000
            USD
            -113168.360000
            USD
            8700000.000000
            USD
            516843.310000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 1.00000 12/16/20-5Y CME
        000000000
        
          
        
        1.000000
        NC
        USD
        -10750.120000
        -0.0015342
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            21126.140000
            USD
            0.000000
            USD
            1000000.000000
            USD
            -31876.260000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 1.00000 12/16/20-5Y LCH
        000000000
        
          
        
        1.000000
        NC
        USD
        -58367.730000
        -0.0083301
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            154958.010000
            USD
            0.000000
            USD
            5500000.000000
            USD
            -213325.740000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 1.12000 02/02/21-10Y CME
        000000000
        
          
        
        1.000000
        NC
        USD
        49345.330000
        0.0070425
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2031-02-03
            0.000000
            USD
            0.000000
            USD
            1500000.000000
            USD
            49345.330000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 1.15000 03/30/21-30Y LCH
        000000000
        
          
        
        1.000000
        NC
        USD
        833774.610000
        0.1189944
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2051-03-30
            194276.570000
            USD
            0.000000
            USD
            6200000.000000
            USD
            639498.040000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 1.24900 08/31/21-3Y LCH
        000000000
        
          
        
        1.000000
        NC
        USD
        -56301.160000
        -0.0080352
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2024-08-30
            0.000000
            USD
            0.000000
            USD
            7050000.000000
            USD
            -56301.160000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 1.25000 06/09/21-20Y LCH
        000000000
        
          
        
        1.000000
        NC
        USD
        200913.220000
        0.0286739
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2041-06-10
            42213.490000
            USD
            0.000000
            USD
            2400000.000000
            USD
            158699.730000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 1.25000 06/16/21-30Y CME
        000000000
        
          
        
        1.000000
        NC
        USD
        -23205.290000
        -0.0033118
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
            
              
                
              
            
            2051-06-16
            0.000000
            USD
            -43006.790000
            USD
            200000.000000
            USD
            19801.500000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 1.25000 12/15/21-5Y CME
        000000000
        
          
        
        1.000000
        NC
        USD
        276007.560000
        0.0393912
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2026-12-15
            0.000000
            USD
            -633377.790000
            USD
            57200000.000000
            USD
            909385.350000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 1.25000 12/15/21-5Y LCH
        000000000
        
          
        
        1.000000
        NC
        USD
        59055.180000
        0.0084282
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2026-12-15
            0.000000
            USD
            -150681.260000
            USD
            13000000.000000
            USD
            209736.440000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 1.25000 12/16/20-30Y LCH
        000000000
        
          
        
        1.000000
        NC
        USD
        146526.460000
        0.0209119
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2050-12-16
            5004.710000
            USD
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              London Clearing house
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                USD-LIBOR-BBA-Bloomberg 3M
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            Y
            
              
                
              
            
            
            2024-08-27
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        2
        
          
            
              London Clearing house
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                USD-LIBOR-BBA-Bloomberg 3M
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            Y
            
              
                
              
            
            
            2023-08-21
            0.000000
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          N
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        N/A
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        000000000
        
          
        
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              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
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            Y
            
              
                
              
            
            
            2050-12-02
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            -32230.000000
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          N
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        N/A
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        000000000
        
          
        
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        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
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            Y
            
              
                
              
            
            
            2031-07-21
            0.000000
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            -2964.000000
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            18541.370000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 1.40000 07/19/21-10Y CME
        000000000
        
          
        
        1.000000
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        26508.080000
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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
            
              
                
              
            
            
            2031-07-21
            0.000000
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            -19430.000000
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            45938.080000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
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        000000000
        
          
        
        1.000000
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        N
        
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              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
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            Y
            
              
                
              
            
            
            2031-08-11
            0.000000
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            -17290.000000
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            32081.320000
          
        
        
          N
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          N
        
      
      
        N/A
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        000000000
        
          
        
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              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
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            Y
            
            
              
                
              
            
            2051-02-02
            0.000000
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            -23050.000000
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          N
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        N/A
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        000000000
        
          
        
        1.000000
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        29433.380000
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        N/A
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        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
            
              
                
              
            
            2028-12-15
            117701.340000
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            0.000000
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            -88267.960000
          
        
        
          N
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        N/A
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              London Clearing house
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            Y
            
              
                
              
            
            
            2028-12-15
            0.000000
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            -1304.960000
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            358.310000
          
        
        
          N
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        N/A
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              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
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            2031-07-15
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              London Clearing house
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            Y
            
              
                
              
            
            
            2052-01-29
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          N
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        N/A
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              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
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            2051-10-27
            0.000000
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            1385.610000
          
        
        
          N
          N
          N
        
      
      
        N/A
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        000000000
        
          
        
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        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
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            Y
            
              
                
              
            
            
            2031-10-15
            0.000000
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            -44697.870000
          
        
        
          N
          N
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        N/A
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              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
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            Y
            
            
              
                
              
            
            2031-12-15
            494734.800000
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            0.000000
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            -176568.150000
          
        
        
          N
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        N/A
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        2
        
          
            
              London Clearing house
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            Y
            
              
                
              
            
            
            2031-12-15
            0.000000
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            -11367.300000
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            6133.140000
          
        
        
          N
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          N
        
      
      
        N/A
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        000000000
        
          
        
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              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
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                N/A
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            Y
            
              
                
              
            
            
            2051-06-22
            0.000000
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            -6390.000000
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            900000.000000
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            -36849.550000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD 1.94000 06/15/21-30Y CME
        000000000
        
          
        
        1.000000
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        -49540.290000
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        N/A
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        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
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            Y
            
              
                
              
            
            
            2051-06-15
            0.000000
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            -7425.000000
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            1000000.000000
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            -42115.290000
          
        
        
          N
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          N
        
      
      
        BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)
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        200000.000000
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        242215.790000
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        Long
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        ES
        N
        
        2
        
          2023-09-24
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          5.875
          N
          N
          N
          N
          Y
          
            
              BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)
              BANCO BILBAO VIZCAYA ARGENTA
              EUR
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
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        N/A
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        000000000
        
          
        
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        31100.310000
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        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
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                N/A
                N/A
              
            
            Y
            
            
              
                
              
            
            2031-10-06
            0.000000
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            31100.310000
          
        
        
          N
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        N/A
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        000000000
        
          
        
        1.000000
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        N
        
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              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
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            Y
            
              
                
              
            
            
            2051-06-23
            0.000000
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            -6804.000000
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            -43518.030000
          
        
        
          N
          N
          N
        
      
      
        N/A
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        000000000
        
          
        
        1.000000
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        N/A
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        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
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                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2030-01-15
            0.000000
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            -44384.030000
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            9400000.000000
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            -396794.000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
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        000000000
        
          
        
        1.000000
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        432229.990000
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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
            
            
              
                
              
            
            2051-12-15
            507740.750000
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            0.000000
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            6600000.000000
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            -75510.760000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
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        1.000000
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        US
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
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                N/A
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            Y
            
              
                
              
            
            
            2051-12-15
            0.000000
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            -42301.820000
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            700000.000000
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            -5238.610000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
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        000000000
        
          
        
        1.000000
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        US
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
            2051-12-27
            0.000000
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            0.000000
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            -62642.200000
          
        
        
          N
          N
          N
        
      
      
        N/A
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        000000000
        
          
        
        1.000000
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        US
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
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            Y
            
              
                
              
            
            
            2028-06-20
            1360393.910000
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            0.000000
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            -2648119.840000
          
        
        
          N
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        N/A
        N/A
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        1.000000
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        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2023-04-27
            0.000000
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            0.000000
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            17000000.000000
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            -1185.660000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
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        000000000
        
          
        
        1.000000
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        1943.710000
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        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-10-04
            0.000000
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            10100000.000000
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            1943.710000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
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        000000000
        
          
        
        1.000000
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        1546.180000
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        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-09-27
            0.000000
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            0.000000
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            12700000.000000
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            1546.180000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
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        000000000
        
          
        
        1.000000
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        1541.680000
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        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD-LIBOR-BBA-Bloomberg 3M
                N/A
                N/A
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-03-07
            0.000000
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            0.000000
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            4300000.000000
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            1541.680000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
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        000000000
        
          
        
        1.000000
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        -89.730000
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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
            
              
                
              
            
            
              
                
              
            
            2022-06-12
            0.000000
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            0.000000
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            3900000.000000
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            -89.730000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
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        000000000
        
          
        
        1.000000
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        USD
        -6327.680000
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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
            
              
                
              
            
            
              
                
              
            
            2022-04-26
            0.000000
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            0.000000
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            30400000.000000
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            -6327.680000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS USD R 3ML/1ML+8.375 06/12/17-22 CME
        000000000
        
          
        
        1.000000
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        USD
        -477.710000
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        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
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        OIS USD SOFR/1.25000 06/15/22-10Y LCH
        000000000
        
          
        
        1.000000
        NC
        USD
        -71937.420000
        -0.0102667
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                N/A
                USD-SOFR-COMPOUND
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-06-15
            0.000000
            USD
            -37795.960000
            USD
            5700000.000000
            USD
            -34141.460000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS USD SOFR/1.25000 12/15/21-7Y LCH
        000000000
        
          
        
        1.000000
        NC
        USD
        12696.210000
        0.0018120
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                N/A
                USD-SOFR-COMPOUND
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2028-12-15
            13106.250000
            USD
            0.000000
            USD
            3700000.000000
            USD
            -410.040000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS USD SOFR/1.50000 12/15/21-10Y CME
        000000000
        
          
        
        1.000000
        NC
        USD
        45181.650000
        0.0064482
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                USD-SOFR-COMPOUND
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-12-15
            42502.310000
            USD
            0.000000
            USD
            2600000.000000
            USD
            2679.340000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OIS USD SOFR/1.50000 12/15/21-10Y LCH
        000000000
        
          
        
        1.000000
        NC
        USD
        173120.950000
        0.0247074
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              London Clearing house
              N/A
            
            
              
                N/A
                USD-SOFR-COMPOUND
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-12-15
            273764.030000
            USD
            0.000000
            USD
            9300000.000000
            USD
            -100643.080000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ZCS BRL 2.85 12/30/20-01/03/22 CME
        000000000
        
          
        
        1.000000
        NC
        
        50911.630000
        0.0072660
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                Brazil Cetip DI Interbank Deposit Rate
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2022-01-03
            0.000000
            BRL
            -101.720000
            BRL
            18500000.000000
            BRL
            51013.350000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ZCS BRL 2.8594 12/23/20-01/03/22 CME
        000000000
        
          
        
        1.000000
        NC
        
        121326.200000
        0.0173154
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                Brazil Cetip DI Interbank Deposit Rate
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2022-01-03
            0.000000
            BRL
            0.000000
            BRL
            44800000.000000
            BRL
            121326.200000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ZCS BRL 2.86 01/05/21-01/03/22 CME
        000000000
        
          
        
        1.000000
        NC
        
        65007.020000
        0.0092777
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                Brazil Cetip DI Interbank Deposit Rate
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2022-01-03
            0.000000
            BRL
            -25.020000
            BRL
            23600000.000000
            BRL
            65032.040000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ZCS BRL 2.87 12/29/20-01/03/22 CME
        000000000
        
          
        
        1.000000
        NC
        
        35224.490000
        0.0050272
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                Brazil Cetip DI Interbank Deposit Rate
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2022-01-03
            0.000000
            BRL
            -12.020000
            BRL
            13000000.000000
            BRL
            35236.510000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ZCS BRL 2.8705 12/28/20-01/03/22 CME
        000000000
        
          
        
        1.000000
        NC
        
        50524.280000
        0.0072107
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                Brazil Cetip DI Interbank Deposit Rate
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2022-01-03
            0.000000
            BRL
            0.000000
            BRL
            18700000.000000
            BRL
            50524.280000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ZCS BRL 2.8825 12/22/20-01/03/22 CME
        000000000
        
          
        
        1.000000
        NC
        
        40424.990000
        0.0057694
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                Brazil Cetip DI Interbank Deposit Rate
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2022-01-03
            0.000000
            BRL
            0.000000
            BRL
            15200000.000000
            BRL
            40424.990000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ZCS BRL 3.3 11/06/20-01/03/22 CME
        000000000
        
          
        
        1.000000
        NC
        
        -412237.590000
        -0.0588336
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                Brazil Cetip DI Interbank Deposit Rate
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-01-03
            0.000000
            BRL
            -2722.600000
            BRL
            258900000.000000
            BRL
            -409514.990000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ZCS BRL 3.345 01/22/21-01/03/22 CME
        000000000
        
          
        
        1.000000
        NC
        
        -11209.780000
        -0.0015998
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                Brazil Cetip DI Interbank Deposit Rate
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-01-03
            0.000000
            BRL
            0.000000
            BRL
            5500000.000000
            BRL
            -11209.780000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ZCS BRL 3.35 01/21/21-01/03/22 CME
        000000000
        
          
        
        1.000000
        NC
        
        -236710.120000
        -0.0337827
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                Brazil Cetip DI Interbank Deposit Rate
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-01-03
            0.000000
            BRL
            -958.310000
            BRL
            117200000.000000
            BRL
            -235751.810000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ZCS BRL 3.36 10/07/20-01/03/22 CME
        000000000
        
          
        
        1.000000
        NC
        
        49295.520000
        0.0070353
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                Brazil Cetip DI Interbank Deposit Rate
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2022-01-03
            0.000000
            BRL
            -58366.770000
            BRL
            38900000.000000
            BRL
            107662.290000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ZCS BRL 3.7 02/26/21-01/03/22 CME
        000000000
        
          
        
        1.000000
        NC
        
        -105984.550000
        -0.0151259
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                Brazil Cetip DI Interbank Deposit Rate
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-01-03
            0.000000
            BRL
            -3545.950000
            BRL
            60800000.000000
            BRL
            -102438.600000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ZCS BRL 7.19703 09/30/21-01/03/22 CME
        000000000
        
          
        
        1.000000
        NC
        
        24169.050000
        0.0034494
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                Brazil Cetip DI Interbank Deposit Rate
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2022-01-03
            0.000000
            BRL
            0.000000
            BRL
            142267000.000000
            BRL
            24169.050000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ZCS BRL 7.1975 10/01/21-01/03/22 CME
        000000000
        
          
        
        1.000000
        NC
        
        24064.370000
        0.0034344
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                Brazil Cetip DI Interbank Deposit Rate
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2022-01-03
            0.000000
            BRL
            0.000000
            BRL
            136200000.000000
            BRL
            24064.370000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        TESCO PLC SNR SE ICE
        000000000
        
          
        
        1.000000
        NC
        
        4149.510000
        0.0005922
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                TESCO PLC
                TESCO PLC UNSUB EMTN
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2022-06-21
            194.140000
            EUR
            0.000000
            EUR
            800000.000000
            EUR
            3955.370000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        TESCO PLC SNR SE ICE
        000000000
        
          
        
        1.000000
        NC
        
        8765.400000
        0.0012510
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                TESCO PLC
                TESCO PLC UNSUB EMTN
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2025-06-21
            0.000000
            EUR
            -13215.270000
            EUR
            400000.000000
            EUR
            21980.670000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT CAD/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -19041.710000
        -0.0027176
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              THE TORONTO-DOMINION BANK
              PT3QB789TSUIDF371261
            
            13376266.000000
            USD
            16896230.400000
            CAD
            2022-01-05
            -19041.710000
          
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        BANCO SANTANDER SA JR SUBORDINA 12/99 VAR
        ACI1XNCB9
        
          
        
        800000.000000
        PA
        
        920798.450000
        0.1314142
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2027-11-12
          Floating
          4.125
          N
          N
          N
          N
          Y
          
            
              BANCO SANTANDER SA
              BANCO SANTANDER SA
              EUR
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD AUD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -19863.340000
        -0.0028348
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              THE TORONTO-DOMINION BANK
              PT3QB789TSUIDF371261
            
            1692515.000000
            AUD
            1211532.700000
            USD
            2022-01-07
            -19863.340000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CAD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -180974.860000
        -0.0258283
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              THE TORONTO-DOMINION BANK
              PT3QB789TSUIDF371261
            
            17032000.000000
            CAD
            13283581.360000
            USD
            2022-01-05
            -180974.860000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CAD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        18927.060000
        0.0027012
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              THE TORONTO-DOMINION BANK
              PT3QB789TSUIDF371261
            
            16896861.220000
            CAD
            13376266.000000
            USD
            2022-02-02
            18927.060000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD MXN/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -31500.340000
        -0.0044957
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              THE TORONTO-DOMINION BANK
              PT3QB789TSUIDF371261
            
            31094956.470000
            MXN
            1467539.300000
            USD
            2022-03-18
            -31500.340000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT CAD/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        5256.100000
        0.0007501
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            350488.580000
            USD
            450000.000000
            CAD
            2022-01-07
            5256.100000
          
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        BANCO SANTANDER SA JR SUBORDINA REGS VAR
        BF8PC7II6
        
          
        
        600000.000000
        PA
        
        716958.980000
        0.1023227
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2023-09-29
          Floating
          5.25
          N
          N
          N
          N
          Y
          
            
              BANCO SANTANDER SA
              BANCO SANTANDER SA
              EUR
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -6092.370000
        -0.0008695
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            178212.930000
            USD
            12938259.000000
            RUB
            2022-01-24
            -6092.370000
          
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        BANCO SANTANDER SA SR UNSECURED 03/26 1.849
        05964HAL9
        
          
        
        400000.000000
        PA
        USD
        398547.990000
        0.0568798
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2026-03-25
          Fixed
          1.849
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        BANCO SANTANDER SA SR UNSECURED 04/23 3.848
        05964HAG0
        
          
        
        200000.000000
        PA
        USD
        206932.070000
        0.0295329
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2023-04-12
          Fixed
          3.848
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD JPY/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        25362.200000
        0.0036196
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            2352746749.000000
            JPY
            20478968.270000
            USD
            2022-01-07
            25362.200000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        31750J6L4 OTC ECAL FN 3.0 103.7578125
        000000000
        
          
        
        -500000.000000
        NC
        USD
        -263.700000
        -0.0000376
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Written
            
              
                UMBS PASS THRU POOLS
                FNMA TBA 3.0% MAR 30YR
                
                  
                
              
            
            N/A
            103.760000
            USD
            2022-03-07
            XXXX
            283.180000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317541IV4 OTC ECAL FN 2.0 100.351562
        000000000
        
          
        
        -400000.000000
        NC
        USD
        -896.560000
        -0.0001280
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Written
            
              
                UMBS PASS THRU POOLS
                FNMA TBA 2.0% MAR 30YR
                
                  
                
              
            
            N/A
            100.350000
            USD
            2022-03-07
            XXXX
            181.570000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317545YX3 OTC ECAL FN 2.0 100.296875
        000000000
        
          
        
        -500000.000000
        NC
        USD
        -1193.400000
        -0.0001703
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Written
            
              
                UMBS PASS THRU POOLS
                FNMA TBA 2.0% MAR 30YR
                
                  
                
              
            
            N/A
            100.300000
            USD
            2022-03-07
            XXXX
            134.730000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317574TU5 OTC ECAL FN 3.0 103.75390625
        000000000
        
          
        
        -500000.000000
        NC
        USD
        -268.050000
        -0.0000383
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Written
            
              
                UMBS PASS THRU POOLS
                FNMA TBA 3.0% MAR 30YR
                
                  
                
              
            
            N/A
            103.750000
            USD
            2022-03-07
            XXXX
            278.830000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LONG GILT FUTURE  MAR22 IFLL 20220329
        000000000
        
          
        
        -78.000000
        NC
        
        218363.910000
        0.0311644
        N/A
        DIR
        
        GB
        N
        
        1
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            Short
            
              
                N/A
                UNITED KINGDOM GOVT
                
                  
                
              
            
            2022-03-29
            -13186554.380000
            GBP
            218363.910000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        31750I693 PIMCO FXVAN CALL USD CAD 1.26500000
        000000000
        
          
        
        -3298000.000000
        NC
        USD
        -29184.000000
        -0.0041651
        N/A
        DFE
        
        US
        
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Call
            Written
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    N/A
                    254900HROIFWPRGM1V77
                    USD - CAD
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    
                    0.000000
                    0.000000
                    DFE
                    
                    US
                  
                  0.000000
                  N/A
                  0.000000
                  N/A
                  2022-02-11
                
              
            
            N/A
            1.260000
            USD
            2022-02-11
            XXXX
            3355.780000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        US 10YR NOTE (CBT)MAR22 XCBT 20220322
        000000000
        
          
        
        232.000000
        NC
        USD
        126552.750000
        0.0180613
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                N/A
                UNITED STATES GOVT
                
                  
                
              
            
            2022-03-22
            30237937.620000
            USD
            126552.750000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        US 10YR ULTRA FUT MAR22 XCBT 20220322
        000000000
        
          
        
        -32.000000
        NC
        USD
        19511.960000
        0.0027847
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                N/A
                UNITED STATES GOVT
                
                  
                
              
            
            2022-03-22
            -4675249.980000
            USD
            19511.960000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        US 2YR NOTE (CBT) MAR22 XCBT 20220331
        000000000
        
          
        
        -413.000000
        NC
        USD
        58164.020000
        0.0083010
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                N/A
                UNITED STATES GOVT
                
                  
                
              
            
            2022-03-31
            -90090464.530000
            USD
            58164.020000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        US 5YR NOTE (CBT) MAR22 XCBT 20220331
        000000000
        
          
        
        -28.000000
        NC
        USD
        -431.590000
        -0.0000616
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                N/A
                UNITED STATES GOVT
                
                  
                
              
            
            2022-03-31
            -3384828.130000
            USD
            -431.590000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        US LONG BOND(CBT) MAR22 XCBT 20220322
        000000000
        
          
        
        -23.000000
        NC
        USD
        -13330.000000
        -0.0019024
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                N/A
                UNITED STATES GOVT
                
                  
                
              
            
            2022-03-22
            -3678921.880000
            USD
            -13330.000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        US ULTRA BOND CBT MAR22 XCBT 20220322
        000000000
        
          
        
        9.000000
        NC
        USD
        15666.290000
        0.0022359
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                N/A
                UNITED STATES GOVT
                
                  
                
              
            
            2022-03-22
            1764984.380000
            USD
            15666.290000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA MTGE SECS-2006-A
        N/A
        BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 A 2A1
        05949CRS7
        
          
        
        25458.450000
        PA
        USD
        25237.310000
        0.0036018
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          2.68389
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        BARCLAYS BANK PLC SUBORDINATED 11/22 7.625
        06740L8C2
        
          
        
        3300000.000000
        PA
        USD
        3482290.450000
        0.4969844
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-11-21
          Fixed
          7.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        BARCLAYS PLC JR SUBORDINA 12/99 VAR
        06738EBG9
        
          
        
        400000.000000
        PA
        USD
        443112.000000
        0.0632399
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-06-15
          Floating
          8
          N
          N
          N
          N
          Y
          
            
              BARCLAYS PLC
              BARCLAYS PLC
              GBP
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        BARCLAYS PLC JR SUBORDINA 12/99 VAR
        06738EBT1
        
          
        
        200000.000000
        PA
        USD
        196400.000000
        0.0280297
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-03-15
          Floating
          4.375
          N
          N
          N
          N
          Y
          
            
              BARCLAYS PLC
              BARCLAYS PLC
              GBP
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        BARCLAYS PLC JR SUBORDINA REGS 12/99 VAR
        ACI0SSSH6
        
          
        
        700000.000000
        PA
        
        992556.830000
        0.1416554
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-03-15
          Floating
          7.25
          N
          N
          N
          N
          Y
          
            
              BARCLAYS PLC
              BARCLAYS PLC
              GBP
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        BARCLAYS PLC JR SUBORDINA VAR
        ACI1CH093
        
          
        
        500000.000000
        PA
        
        746553.860000
        0.1065464
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-06-15
          Floating
          7.125
          N
          N
          N
          N
          Y
          
            
              BARCLAYS PLC
              BARCLAYS PLC
              GBP
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        BARCLAYS PLC SR UNSECURED 02/23 VAR
        06738EBE4
        
          
        
        600000.000000
        PA
        USD
        602582.990000
        0.0859992
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-02-15
          Floating
          4.61
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        BARCLAYS PLC SR UNSECURED 02/23 VAR
        06738EBF1
        
          
        
        700000.000000
        PA
        USD
        700847.520000
        0.1000233
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-02-15
          Floating
          1.586
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        BARCLAYS PLC SR UNSECURED 03/25 3.65
        06738EAE5
        
          
        
        400000.000000
        PA
        USD
        422968.710000
        0.0603651
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-16
          Fixed
          3.65
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        BARCLAYS PLC SUBORDINATED 05/28 4.836
        06738EAW5
        
          
        
        1000000.000000
        PA
        USD
        1102407.910000
        0.1573331
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-05-09
          Fixed
          4.836
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        BARCLAYS PLC SUBORDINATED 06/30 VAR
        06738EBK0
        
          
        
        1000000.000000
        PA
        USD
        1135424.450000
        0.1620451
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-06-20
          Floating
          5.088
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAYER US FINANCE II LLC
        529900XWNEXYNJ3X6T40
        BAYER US FINANCE II LLC COMPANY GUAR 144A 12/23 3.875
        07274NAE3
        
          
        
        300000.000000
        PA
        USD
        313647.350000
        0.0447630
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-12-15
          Fixed
          3.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAYER US FINANCE II LLC
        529900XWNEXYNJ3X6T40
        BAYER US FINANCE II LLC COMPANY GUAR 144A 12/23 VAR
        07274NAG8
        
          
        
        500000.000000
        PA
        USD
        504355.040000
        0.0719804
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-12-15
          Floating
          1.21275
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAYER US FINANCE II LLC
        529900XWNEXYNJ3X6T40
        BAYER US FINANCE II LLC COMPANY GUAR 144A 12/25 4.25
        07274NAJ2
        
          
        
        300000.000000
        PA
        USD
        324768.650000
        0.0463502
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-12-15
          Fixed
          4.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAYER US FINANCE II LLC
        529900XWNEXYNJ3X6T40
        BAYER US FINANCE II LLC COMPANY GUAR 144A 12/28 4.375
        07274NAL7
        
          
        
        700000.000000
        PA
        USD
        782556.440000
        0.1116846
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-12-15
          Fixed
          4.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BDS 2021-FL10 LTD
        N/A
        BDS LTD BDS 2021 FL10 A 144A
        07335YAA4
        
          
        
        1700000.000000
        PA
        USD
        1702123.470000
        0.2429231
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2036-12-18
          Floating
          1.45
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BEAR STEARNS  STRUC PROD INC 2007-R6
        N/A
        BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1
        07402FAC9
        
          
        
        15486.130000
        PA
        USD
        13979.960000
        0.0019952
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-12-26
          Floating
          2.51089
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        BEAR STEARNS ADJ RATE MTGE TR 2003-5
        N/A
        BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 5 1A2
        07384MWG3
        
          
        
        626.590000
        PA
        USD
        654.490000
        0.0000934
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Floating
          2.47805
          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
        
          
        
        14489.080000
        PA
        USD
        10953.870000
        0.0015633
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Floating
          2.86783
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        BEAR STEARNS ALT-A TRUST 2005-9
        N/A
        BEAR STEARNS ALT A TRUST BALTA 2005 9 24A1
        07386HYE5
        
          
        
        15154.310000
        PA
        USD
        13252.550000
        0.0018914
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Floating
          2.78462
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        BEAR STEARNS ALT-A TRUST 2006-2
        N/A
        BEAR STEARNS ALT A TRUST BALTA 2006 2 23A1
        07386HF71
        
          
        
        79948.260000
        PA
        USD
        69313.810000
        0.0098923
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-25
          Floating
          3.29357
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        BEAR STEARNS ALT-A TRUST 2006-5
        N/A
        BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2
        073873AK7
        
          
        
        26684.390000
        PA
        USD
        16899.860000
        0.0024119
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-25
          Floating
          3.39826
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        BEAR STEARNS ALT-A TRUST 2006-8
        N/A
        BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1
        07387QAX8
        
          
        
        22406.050000
        PA
        USD
        21898.190000
        0.0031253
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-02-25
          Floating
          0.42188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENEFIT STREET PARTNERS CLO XII LTD 2017-12A
        N/A
        BENEFIT STREET PARTNERS CLO LT BSP 2017 12A A1R 144A
        08179HAE0
        
          
        
        1700000.000000
        PA
        USD
        1697970.030000
        0.2423303
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-10-15
          Floating
          1.07375
          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
        
          
        
        197330.910000
        PA
        
        224773.500000
        0.0320791
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2029-10-03
          Floating
          0.65
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SA RL
        213800Y3B5GQFBGVHP79
        BLACKSTONE PP EUR HOLD SR UNSECURED REGS 07/22 1.4
        ACI13P7K3
        
          
        
        400000.000000
        PA
        
        457267.900000
        0.0652602
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2022-07-06
          Fixed
          1.4
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLUEMOUNTAIN FUJI EUR CLO II DAC 17-2A
        N/A
        BLUEMOUNTAIN EUR CLO BLUME 2017 2A AR 144A
        ACI1VBS38
        
          
        
        1498484.220000
        PA
        
        1707060.410000
        0.2436277
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2030-07-15
          Floating
          0.65
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP PARIBAS SR UNSECURED 144A 06/27 VAR
        09659W2Q6
        
          
        
        1000000.000000
        PA
        USD
        983696.440000
        0.1403909
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-06-30
          Floating
          1.675
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP PARIBAS SR UNSECURED 144A 09/29 VAR
        09659W2R4
        
          
        
        800000.000000
        PA
        USD
        784886.130000
        0.1120171
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2029-09-15
          Floating
          2.159
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD)
        254900H06V5RMEB3KE72
        BOC AVIATION LTD SR UNSECURED 144A 09/27 3.5
        09681LAE0
        
          
        
        300000.000000
        PA
        USD
        316535.290000
        0.0451752
        Long
        DBT
        CORP
        SG
        N
        
        2
        
          2027-09-18
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO/THE
        RVHJWBXLJ1RFUBSY1F30
        BOEING CO SR UNSECURED 02/24 1.95
        097023CZ6
        
          
        
        100000.000000
        PA
        USD
        101185.470000
        0.0144410
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-01
          Fixed
          1.95
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO/THE
        RVHJWBXLJ1RFUBSY1F30
        BOEING CO SR UNSECURED 02/26 2.75
        097023DA0
        
          
        
        1800000.000000
        PA
        USD
        1853245.640000
        0.2644909
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-01
          Fixed
          2.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO/THE
        RVHJWBXLJ1RFUBSY1F30
        BOEING CO SR UNSECURED 02/28 3.25
        097023DB8
        
          
        
        400000.000000
        PA
        USD
        417139.530000
        0.0595332
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          3.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA SR UNSECURED 144A 10/27 VAR
        05583JAK8
        
          
        
        400000.000000
        PA
        USD
        396795.200000
        0.0566297
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-10-19
          Floating
          2.045
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        BROADCOM INC COMPANY GUAR 144A 02/31 2.45
        11135FBH3
        
          
        
        400000.000000
        PA
        USD
        392629.800000
        0.0560352
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          2.45
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        BROADCOM INC COMPANY GUAR 144A 02/33 2.6
        11135FBF7
        
          
        
        300000.000000
        PA
        USD
        292898.540000
        0.0418018
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-02-15
          Fixed
          2.6
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        BROADCOM INC SR UNSECURED 144A 04/34 3.469
        11135FBL4
        
          
        
        300000.000000
        PA
        USD
        314398.500000
        0.0448702
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-04-15
          Fixed
          3.469
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUSINESS MORTGAGE FINANCE 7 PLC X
        N/A
        BUSINESS MORTGAGE FINANCE PLC BUMF 7X A1 REGS
        ACI085MJ0
        
          
        
        95021.370000
        PA
        
        128534.430000
        0.0183441
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2041-02-15
          Floating
          2.10175
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAIRN CLO IV BV 14-4A
        N/A
        CAIRN CLO DAC CRNCL 2014 4A ARRR 144A
        ACI1W1H64
        
          
        
        1100000.000000
        PA
        
        1251342.380000
        0.1785887
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2031-04-30
          Floating
          0.6
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAIXABANK SA (AKA: LA CAIXA)
        7CUNS533WID6K7DGFI87
        CAIXABANK SA JR SUBORDINA REGS 12/99 VAR
        ACI1RXY95
        
          
        
        200000.000000
        PA
        
        260004.850000
        0.0371073
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2027-10-09
          Floating
          5.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAMPBELL SOUP COMPANY
        5493007JDSMX8Z5Z1902
        CAMPBELL SOUP CO SR UNSECURED 03/23 3.65
        134429BE8
        
          
        
        229000.000000
        PA
        USD
        236138.810000
        0.0337012
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          3.65
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADA GOVT
        4BFD7AQU0A75QLAHK410
        CANADIAN GOVERNMENT BONDS 12/51 2
        135087H72
        
          
        
        4800000.000000
        PA
        
        4083630.650000
        0.5828062
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2051-12-01
          Fixed
          2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADA GOVT
        4BFD7AQU0A75QLAHK410
        CANADIAN GOVERNMENT RRB BONDS 12/44 1.5
        135087ZH0
        
          
        
        497956.000000
        PA
        
        542122.340000
        0.0773704
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2044-12-01
          Fixed
          1.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2013-1A
        N/A
        CARLYLE GLOBAL MARKET STRATEGI CGMS 2013 1A A1RR 144A
        14310BAU5
        
          
        
        1700000.000000
        PA
        USD
        1698725.000000
        0.2424381
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-08-14
          Floating
          1.105
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP/THE
        549300VSGCJ7E698NM85
        CHARLES SCHWAB CORP SR UNSECURED 03/24 0.75
        808513BN4
        
          
        
        200000.000000
        PA
        USD
        199204.920000
        0.0284301
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-18
          Fixed
          0.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMMUNICATIONS OPERATING LLC
        549300TPZNMN50BJ3745
        CHARTER COMMUNICATIONS OPERATI 2019 TERM LOAN B2
        16117LBX6
        
          
        
        567592.740000
        PA
        USD
        562874.340000
        0.0803321
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-02-01
          Floating
          1.86
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
        N/A
        CHARTER COMM OPT LLC/CAP SR SECURED 02/28 3.75
        161175BJ2
        
          
        
        100000.000000
        PA
        USD
        107215.520000
        0.0153015
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
        N/A
        CHARTER COMM OPT LLC/CAP SR SECURED 06/62 3.95
        161175CG7
        
          
        
        900000.000000
        PA
        USD
        869255.530000
        0.1240581
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2062-06-30
          Fixed
          3.95
          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
        
          
        
        1300000.000000
        PA
        USD
        1319322.030000
        0.1882906
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-23
          Fixed
          4.464
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHASE MORTGAGE FINANCE CORP 2007-A2
        N/A
        CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 7A1
        16163LAQ5
        
          
        
        26270.720000
        PA
        USD
        24400.690000
        0.0034824
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-07-25
          Variable
          3.15288
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        CHINA DEVELOPMENT BANK UNSECURED 01/27 3.43
        ACI1JVM00
        
          
        
        13400000.000000
        PA
        
        2158653.510000
        0.3080780
        Long
        DBT
        CORP
        CN
        N
        
        2
        
          2027-01-14
          Fixed
          3.43
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        CHINA DEVELOPMENT BANK UNSECURED 02/26 3.68
        ACI19HN43
        
          
        
        85400000.000000
        PA
        
        13852477.750000
        1.9769933
        Long
        DBT
        CORP
        CN
        N
        
        2
        
          2026-02-26
          Fixed
          3.68
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        CHINA DEVELOPMENT BANK UNSECURED 02/28 4.88
        ACI112JW7
        
          
        
        31400000.000000
        PA
        
        5446337.940000
        0.7772886
        Long
        DBT
        CORP
        CN
        N
        
        2
        
          2028-02-09
          Fixed
          4.88
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        CHINA DEVELOPMENT BANK UNSECURED 04/26 3.18
        ACI0NHCM1
        
          
        
        20800000.000000
        PA
        
        3311141.440000
        0.4725584
        Long
        DBT
        CORP
        CN
        N
        
        2
        
          2026-04-05
          Fixed
          3.18
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        CHINA DEVELOPMENT BANK UNSECURED 04/27 4.04
        BDG28WII3
        
          
        
        38200000.000000
        PA
        
        6330275.570000
        0.9034421
        Long
        DBT
        CORP
        CN
        N
        
        2
        
          2027-04-10
          Fixed
          4.04
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        CHINA DEVELOPMENT BANK UNSECURED 06/25 2.89
        ACI1NLP95
        
          
        
        28600000.000000
        PA
        
        4517027.100000
        0.6446596
        Long
        DBT
        CORP
        CN
        N
        
        2
        
          2025-06-22
          Fixed
          2.89
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        CHINA DEVELOPMENT BANK UNSECURED 07/27 3.39
        BMZC7ZII4
        
          
        
        14000000.000000
        PA
        
        2243793.210000
        0.3202289
        Long
        DBT
        CORP
        CN
        N
        
        2
        
          2027-07-10
          Fixed
          3.39
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        CHINA DEVELOPMENT BANK UNSECURED 08/26 3.05
        BD0F7YII8
        
          
        
        28000000.000000
        PA
        
        4431822.960000
        0.6324994
        Long
        DBT
        CORP
        CN
        N
        
        2
        
          2026-08-25
          Fixed
          3.05
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        CHINA DEVELOPMENT BANK UNSECURED 08/27 4.24
        ACI0XJLS3
        
          
        
        67700000.000000
        PA
        
        11345958.820000
        1.6192687
        Long
        DBT
        CORP
        CN
        N
        
        2
        
          2027-08-24
          Fixed
          4.24
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        CHINA DEVELOPMENT BANK UNSECURED 09/25 3.74
        BYQC6DII8
        
          
        
        10200000.000000
        PA
        
        1654493.630000
        0.2361255
        Long
        DBT
        CORP
        CN
        N
        
        2
        
          2025-09-10
          Fixed
          3.74
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        CHINA DEVELOPMENT BANK UNSECURED 10/25 4.15
        ACI16C869
        
          
        
        2600000.000000
        PA
        
        427671.490000
        0.0610363
        Long
        DBT
        CORP
        CN
        N
        
        2
        
          2025-10-26
          Fixed
          4.15
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVT
        300300CHN201808MOF68
        CHINA GOVERNMENT BOND BONDS 01/26 2.85
        ACI0LQCL5
        
          
        
        6800000.000000
        PA
        
        1079524.860000
        0.1540673
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2026-01-28
          Fixed
          2.85
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVT
        300300CHN201808MOF68
        CHINA GOVERNMENT BOND BONDS 06/23 2.95
        BD040RII5
        
          
        
        2200000.000000
        PA
        
        348306.070000
        0.0497094
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2023-06-16
          Fixed
          2.95
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVT
        300300CHN201808MOF68
        CHINA GOVERNMENT BOND BONDS 06/27 2.85
        ACI1MYJT1
        
          
        
        17100000.000000
        PA
        
        2711474.290000
        0.3869753
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2027-06-04
          Fixed
          2.85
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVT
        300300CHN201808MOF68
        CHINA GOVERNMENT BOND BONDS 08/26 2.74
        BD1F1VII9
        
          
        
        43800000.000000
        PA
        
        6907614.240000
        0.9858386
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2026-08-04
          Fixed
          2.74
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVT
        300300CHN201808MOF68
        CHINA GOVERNMENT BOND BONDS 10/23 3.29
        BGKF9LII5
        
          
        
        6500000.000000
        PA
        
        1035956.770000
        0.1478493
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2023-10-18
          Fixed
          3.29
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVT
        300300CHN201808MOF68
        CHINA GOVERNMENT BOND BONDS 11/26 2.7
        BZ3FL5II3
        
          
        
        12900000.000000
        PA
        
        2031809.860000
        0.2899752
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2026-11-03
          Fixed
          2.7
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVT
        300300CHN201808MOF68
        CHINA GOVERNMENT BOND BONDS 11/27 3.82
        ACI0Z7CD0
        
          
        
        8000000.000000
        PA
        
        1333437.530000
        0.1903051
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2027-11-02
          Fixed
          3.82
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVT
        300300CHN201808MOF68
        CHINA GOVERNMENT BOND BONDS 12/25 3.22
        ACI16YPH8
        
          
        
        2200000.000000
        PA
        
        353745.790000
        0.0504858
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2025-12-06
          Fixed
          3.22
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVT
        300300CHN201808MOF68
        CHINA GOVERNMENT BOND BONDS 12/27 3.28
        ACI1T9Y39
        
          
        
        91100000.000000
        PA
        
        14796190.170000
        2.1116777
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2027-12-03
          Fixed
          3.28
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVT
        300300CHN201808MOF68
        CHINA GOVERNMENT BOND UNSECURED 10/25 3.02
        ACI1SD6B4
        
          
        
        84500000.000000
        PA
        
        13469547.930000
        1.9223424
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2025-10-22
          Fixed
          3.02
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV2
        N/A
        CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV2 A3A 144A
        17329RAY4
        
          
        
        870759.800000
        PA
        USD
        871030.610000
        0.1243115
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-05-25
          Variable
          2.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP MTGE LOAN TR INC 2006-8
        N/A
        CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 8 A3 144A
        17310CAC6
        
          
        
        1170061.620000
        PA
        USD
        687867.880000
        0.0981709
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Floating
          0.45188
          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
        
          
        
        443121.190000
        PA
        USD
        296918.360000
        0.0423755
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          0.26188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP MTGE LOAN TR INC 2007-WFH3
        N/A
        CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH3 M1
        17313CAD1
        
          
        
        2700000.000000
        PA
        USD
        2674560.060000
        0.3817070
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-06-25
          Floating
          0.36188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP MTGE LOAN TRUST INC 2005-6
        N/A
        CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1
        17307GXP8
        
          
        
        1517.280000
        PA
        USD
        1591.470000
        0.0002271
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Floating
          2.19
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP MTGE LOAN TRUST INC 2005-7
        N/A
        CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 7 1A2
        17307GA57
        
          
        
        113185.940000
        PA
        USD
        109340.400000
        0.0156048
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Floating
          2.22588
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP MTGE LOAN TRUST INC 2005-OPT4
        N/A
        CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 OPT4 M6
        17307GUW6
        
          
        
        1200000.000000
        PA
        USD
        1195656.840000
        0.1706414
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-25
          Floating
          1.09188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITY OF BUENOS AIRES
        5299007MC8RF52X0ON96
        CITY OF BUENOS AIRES SR UNSECURED 01/22 VAR
        ACI0SB547
        
          
        
        70000.000000
        PA
        
        374.780000
        0.0000535
        Long
        DBT
        MUN
        AR
        N
        
        2
        
          2022-01-23
          Floating
          39.1492
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ALTERNATIVE LN TR 2005-56
        N/A
        COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A3
        12668ALV5
        
          
        
        7293.820000
        PA
        USD
        6842.010000
        0.0009765
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Floating
          1.58203
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ALTERNATIVE LN TR 2005-62
        N/A
        COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2A1
        12668ATT2
        
          
        
        28292.860000
        PA
        USD
        26061.630000
        0.0037195
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Floating
          1.08203
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ALTERNATIVE LN TR 2005-81
        N/A
        COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1
        12668BBN2
        
          
        
        29452.350000
        PA
        USD
        25870.500000
        0.0036922
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-25
          Floating
          0.66188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        GOLDMAN SACHS GROUP INC JR SUBORDINA 12/99 VAR
        38144GAE1
        
          
        
        400000.000000
        NS
        USD
        399000.000000
        0.0569443
        Long
        EP
        CORP
        US
        N
        
        2
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1
        N/A
        COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1
        126694A32
        
          
        
        38248.010000
        PA
        USD
        32400.390000
        0.0046241
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-03-20
          Floating
          0.52388
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB
        N/A
        COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A3
        12667GKC6
        
          
        
        4446.500000
        PA
        USD
        4160.510000
        0.0005938
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-25
          Fixed
          5.25
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ASSET BACKED CERTS 2006-20
        N/A
        COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 2A3
        12667HAD3
        
          
        
        86753.360000
        PA
        USD
        86476.450000
        0.0123417
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-04-25
          Floating
          0.25188
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ASSET BACKED CERTS 2006-22
        N/A
        COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A
        12666BAA3
        
          
        
        273046.020000
        PA
        USD
        264482.070000
        0.0377463
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-25
          Floating
          0.24188
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ASSET BACKED CERTS 2006-25
        N/A
        COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 1A
        12667TAA3
        
          
        
        871162.980000
        PA
        USD
        844425.680000
        0.1205145
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-06-25
          Floating
          0.24188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ASSET BACKED CERTS 2006-BC5
        N/A
        COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC5 1A
        12666SAA6
        
          
        
        1274860.960000
        PA
        USD
        1313795.600000
        0.1875018
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-25
          Floating
          0.38188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ASSET-BACKED CERT 2004-15
        N/A
        COUNTRYWIDE ASSET BACKED CERTI CWL 2004 15 MV5
        126673UR1
        
          
        
        715763.950000
        PA
        USD
        716855.920000
        0.1023080
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-25
          Floating
          1.45188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ASSET-BACKED CERT 2006-12
        N/A
        COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A
        12667AAA4
        
          
        
        301108.350000
        PA
        USD
        300593.450000
        0.0429000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          0.36188
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ASSET-BACKED CERT 2006-24
        N/A
        COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 1A
        23243HAA9
        
          
        
        279214.440000
        PA
        USD
        268829.560000
        0.0383667
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-06-25
          Floating
          0.24188
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ASSET-BACKED CERT 2006-26
        N/A
        COUNTRYWIDE ASSET BACKED CERTI CWL 2006 26 1A
        12668HAA8
        
          
        
        350893.280000
        PA
        USD
        335764.520000
        0.0479195
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-06-25
          Floating
          0.24188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ASSET-BACKED CERT 2007-1
        N/A
        COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 1A
        23245CAA8
        
          
        
        246406.450000
        PA
        USD
        238027.300000
        0.0339707
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-07-25
          Floating
          0.24188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE ASSET-BACKED CERT 2007-4
        N/A
        COUNTRYWIDE ASSET BACKED CERTI CWL 2007 4 A6
        12668WAF4
        
          
        
        194888.180000
        PA
        USD
        191270.940000
        0.0272977
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-08-25
          Variable
          5.683
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2004-J9
        N/A
        COUNTRYWIDE HOME LOANS CWHL 2004 J9 2A5
        12669GFK2
        
          
        
        229482.630000
        PA
        USD
        234858.350000
        0.0335184
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-01-25
          Fixed
          5.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE HOME LOANS 2004-12
        N/A
        COUNTRYWIDE HOME LOANS CWHL 2004 12 11A1
        12669FN58
        
          
        
        2082.310000
        PA
        USD
        2124.850000
        0.0003033
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-08-25
          Floating
          3.00819
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE HOME LOANS 2004-22
        N/A
        COUNTRYWIDE HOME LOANS CWHL 2004 22 A3
        12669F6Z1
        
          
        
        2775.810000
        PA
        USD
        2800.200000
        0.0003996
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-25
          Floating
          2.67306
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE HOME LOANS 2004-25
        N/A
        COUNTRYWIDE HOME LOANS CWHL 2004 25 1A1
        12669GJY8
        
          
        
        3759.680000
        PA
        USD
        3796.910000
        0.0005419
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-02-25
          Floating
          0.76188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE HOME LOANS 2005-1
        N/A
        COUNTRYWIDE HOME LOANS CWHL 2005 1 1A1
        12669GRM5
        
          
        
        12540.330000
        PA
        USD
        11525.360000
        0.0016449
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-25
          Floating
          0.74188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE HOME LOANS 2005-2
        N/A
        COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1
        12669GPN5
        
          
        
        7925.590000
        PA
        USD
        7084.830000
        0.0010111
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-25
          Floating
          0.74188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE HOME LOANS 2005-2
        N/A
        COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1
        12669GPR6
        
          
        
        3188.580000
        PA
        USD
        3140.190000
        0.0004482
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-25
          Floating
          0.74188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRYWIDE HOME LOANS 2005-9
        N/A
        COUNTRYWIDE HOME LOANS CWHL 2005 9 1A3
        12669GZQ7
        
          
        
        14872.870000
        PA
        USD
        12948.560000
        0.0018480
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-25
          Floating
          0.56188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT BASED ASSET SRVC & SEC 2006-CB3
        N/A
        CREDIT BASED ASSET SERVICING A CBASS 2006 CB3 AV4
        12489WQX5
        
          
        
        418483.320000
        PA
        USD
        410877.090000
        0.0586394
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-25
          Floating
          0.62188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE AG/ ZURICH BRANCH
        ANGGYXNX0JLX3X63JN86
        CREDIT SUISSE AG SUBORDINATED REGS 08/23 6.5
        ACI06K5Q2
        
          
        
        200000.000000
        PA
        USD
        215731.000000
        0.0307886
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-08-08
          Fixed
          6.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/49 VAR
        22546DAB2
        
          
        
        300000.000000
        PA
        USD
        324821.400000
        0.0463578
        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 SR UNSECURED 06/23 3.8
        225433AT8
        
          
        
        800000.000000
        PA
        USD
        829143.700000
        0.1183335
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-06-09
          Fixed
          3.8
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        CREDIT SUISSE GROUP AG SR UNSECURED 144A 01/28 4.282
        225401AC2
        
          
        
        250000.000000
        PA
        USD
        271571.830000
        0.0387581
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2028-01-09
          Fixed
          4.282
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        CREDIT SUISSE GROUP AG SR UNSECURED 144A 01/29 VAR
        225401AF5
        
          
        
        800000.000000
        PA
        USD
        857042.710000
        0.1223151
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2029-01-12
          Floating
          3.869
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        CREDIT SUISSE GROUP AG SR UNSECURED 144A 04/31 VAR
        225401AP3
        
          
        
        1200000.000000
        PA
        USD
        1324824.410000
        0.1890758
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2031-04-01
          Floating
          4.194
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        CREDIT SUISSE GROUP AG SR UNSECURED 144A 06/26 VAR
        225401AQ1
        
          
        
        1200000.000000
        PA
        USD
        1207728.680000
        0.1723642
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-06-05
          Floating
          2.193
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        CREDIT SUISSE GROUP AG SR UNSECURED 144A 12/23 VAR
        225401AE8
        
          
        
        800000.000000
        PA
        USD
        806347.060000
        0.1150800
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-12-14
          Floating
          1.39825
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE MORTGAGE CAP CERT 2007-1
        N/A
        CREDIT SUISSE MORTGAGE TRUST CSMC 2007 1 1A6A
        126378AL2
        
          
        
        157216.530000
        PA
        USD
        50411.610000
        0.0071946
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-25
          Fixed
          5.8631
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE MRTG CAPITAL CERT 2006-7
        N/A
        CREDIT SUISSE MORTGAGE TRUST CSMC 2006 7 6A3
        22942KBD1
        
          
        
        894967.670000
        PA
        USD
        792809.800000
        0.1131480
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-25
          Fixed
          5.5
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        CRESTLINE DENALI CLO XV 2017-1A
        N/A
        CRESTLINE DENALI CLO XV, LTD. DEN15 2017 1A AR 144A
        22616CAJ2
        
          
        
        1700000.000000
        PA
        USD
        1700403.890000
        0.2426777
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-04-20
          Floating
          1.1615
          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
        
          
        
        507.700000
        PA
        USD
        500.290000
        0.0000714
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-01-25
          Floating
          0.72188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CS FIRST BOSTON MTGE SEC CORP 2003-8
        N/A
        CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 8 5A1
        22541NX20
        
          
        
        152.880000
        PA
        USD
        158.310000
        0.0000226
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-04-25
          Fixed
          6.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVC CORDATUS LOAN FUND XI DAC 21-1
        N/A
        CORDATUS CLO PLC CORDA 11A AR 144A
        ACI1W60L8
        
          
        
        800000.000000
        PA
        
        907801.890000
        0.1295594
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2031-10-15
          Floating
          0.65
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        D.R. HORTON INC
        529900ZIUEYVSB8QDD25
        D.R. HORTON INC COMPANY GUAR 08/23 5.75
        23331ABH1
        
          
        
        1300000.000000
        PA
        USD
        1381349.810000
        0.1971430
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-15
          Fixed
          5.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DBUBS MORTGAGE TRUST 2011-LC1A
        N/A
        DBUBS MORTGAGE TRUST DBUBS 2011 LC1A XB 144A
        233050AE3
        
          
        
        33793.170000
        PA
        USD
        0.340000
        0.0000000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-11-10
          Variable
          0.7346
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INTERNATIONAL LLC / EMC CORP
        N/A
        DELL INT LLC / EMC CORP SR UNSECURED 07/27 6.1
        24703TAF3
        
          
        
        1100000.000000
        PA
        USD
        1313092.840000
        0.1874015
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          6.1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INTERNATIONAL LLC / EMC CORP
        N/A
        DELL INT LLC / EMC CORP SR UNSECURED 07/30 6.2
        24703TAH9
        
          
        
        200000.000000
        PA
        USD
        252645.500000
        0.0360570
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          6.2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3
        N/A
        DEUTSCHE ALT A SECURITIES INC DBALT 2007 3 2A1
        25151KAC3
        
          
        
        594347.310000
        PA
        USD
        558455.390000
        0.0797014
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-10-25
          Floating
          0.85275
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        DEUTSCHE BANK AG SR UNSECURED REGS 01/27 1.625
        ACI1J0CL3
        
          
        
        2200000.000000
        PA
        
        2611036.160000
        0.3726410
        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
        
          
        
        700000.000000
        PA
        
        834211.910000
        0.1190568
        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 02/26 2.625
        ACI183TV9
        
          
        
        1200000.000000
        PA
        
        1478483.380000
        0.2110057
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-02-12
          Fixed
          2.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        DEUTSCHE BANK AG SR UNSECURED REGS 12/24 2.625
        ACI1J0BM2
        
          
        
        300000.000000
        PA
        
        414500.360000
        0.0591565
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-12-16
          Fixed
          2.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG/NEW YORK BRANCH
        7LTWFZYICNSX8D621K86
        DEUTSCHE BANK NY SR UNSECURED 09/24 VAR
        251526CC1
        
          
        
        1800000.000000
        PA
        USD
        1823904.360000
        0.2603034
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-09-18
          Floating
          2.222
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG/NEW YORK BRANCH
        7LTWFZYICNSX8D621K86
        DEUTSCHE BANK NY SR UNSECURED 09/31 VAR
        251526CD9
        
          
        
        1000000.000000
        PA
        USD
        1053673.490000
        0.1503778
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2031-09-18
          Floating
          3.547
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG/NEW YORK BRANCH
        7LTWFZYICNSX8D621K86
        DEUTSCHE BANK NY SR UNSECURED 11/22 3.3
        251526BL2
        
          
        
        1200000.000000
        PA
        USD
        1225124.160000
        0.1748469
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2022-11-16
          Fixed
          3.3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG/NEW YORK BRANCH
        7LTWFZYICNSX8D621K86
        DEUTSCHE BANK NY SR UNSECURED 11/25 VAR
        251526CB3
        
          
        
        1250000.000000
        PA
        USD
        1320865.490000
        0.1885108
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2025-11-26
          Floating
          3.961
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG/NEW YORK BRANCH
        7LTWFZYICNSX8D621K86
        DEUTSCHE BANK NY SUBORDINATED 01/32 VAR
        251526CF4
        
          
        
        1100000.000000
        PA
        USD
        1125870.430000
        0.1606816
        Long
        DBT
        CORP
        DE
        Y
        
        2
        
          2032-01-14
          Floating
          3.729
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVELOPMENT BANK OF JAPAN INC (DBJ)
        5493001HGBABMWFZUI25
        DEVELOPMENT BK OF JAPAN GOVT GUARANT 144A 08/24 1.75
        25159MAX5
        
          
        
        1400000.000000
        PA
        USD
        1424586.650000
        0.2033137
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-08-28
          Fixed
          1.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DNB BOLIGKREDITT AS
        5967007LIEEXZX659K67
        DNB BOLIGKREDITT AS COVERED 144A 06/23 3.25
        25600WAG5
        
          
        
        500000.000000
        PA
        USD
        518135.530000
        0.0739471
        Long
        DBT
        CORP
        NO
        N
        
        2
        
          2023-06-28
          Fixed
          3.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DRIVER AUSTRALIA-5
        N/A
        DRIVER AUSTRALIA DAOT 5 A REGS
        BD6SPWII8
        
          
        
        89418.500000
        PA
        
        65091.690000
        0.0092897
        Long
        ABS-O
        CORP
        AU
        N
        
        2
        
          2026-07-21
          Floating
          0.9469
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DRYDEN XXVII-R EURO CLO BV 2017-27A
        N/A
        DRYDEN LEVERAGED LOAN CDO DRYD 2017 27A AR 144A
        ACI1W43B2
        
          
        
        900000.000000
        PA
        
        1022269.490000
        0.1458959
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2033-04-15
          Floating
          0.66
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CORPORATION
        I1BZKREC126H0VB1BL91
        DUKE ENERGY CORP SR UNSECURED 03/22 VAR
        26441CBD6
        
          
        
        1300000.000000
        PA
        USD
        1301214.600000
        0.1857063
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-11
          Floating
          0.85088
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELEVATION CLO LTD 2017-8A
        N/A
        ELEVATION CLO LTD AWPT 2017 8A A1R2 144A
        28622VAN0
        
          
        
        1700000.000000
        PA
        USD
        1697437.250000
        0.2422543
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-10-25
          Floating
          1.0799
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENEL FINANCE INTERNATIONAL NV
        0YQH6LCEF474UTUV4B96
        ENEL FINANCE INTL NV COMPANY GUAR 144A 09/24 2.65
        29278GAL2
        
          
        
        1300000.000000
        PA
        USD
        1339571.180000
        0.1911805
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2024-09-10
          Fixed
          2.65
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQUITABLE HOLDINGS INC
        549300FIBAKMNHPZ4009
        EQUITABLE HOLDINGS INC SR UNSECURED 04/23 3.9
        054561AC9
        
          
        
        65000.000000
        PA
        USD
        67288.990000
        0.0096033
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-20
          Fixed
          3.9
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUROHOME UK MORTGAGES 2007-1 A
        N/A
        EUROHOME UK MORTGAGES PLC EHMU 2007 1 A REGS
        B1VBS4II2
        
          
        
        247412.480000
        PA
        
        329062.400000
        0.0469630
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2044-06-15
          Floating
          0.24838
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUROPEAN INVESTMENT BANK (EIB)
        5493006YXS1U5GIHE750
        EUROPEAN INVESTMENT BANK SR UNSECURED 06/23 0.5
        B764JTII8
        
          
        
        500000.000000
        PA
        
        362613.790000
        0.0517514
        Long
        DBT
        CORP
        N/A
        
        N
        
        2
        
          2023-06-21
          Fixed
          0.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUROPEAN INVESTMENT BANK (EIB)
        5493006YXS1U5GIHE750
        EUROPEAN INVESTMENT BANK SR UNSECURED REGS 08/23 0.5
        B42XTXII5
        
          
        
        400000.000000
        PA
        
        289125.820000
        0.0412634
        Long
        DBT
        CORP
        N/A
        
        N
        
        2
        
          2023-08-10
          Fixed
          0.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUROSAIL PLC 2007-3X
        N/A
        EUROSAIL PLC ESAIL 2007 3X A3A REGS
        ACI01JMT5
        
          
        
        321087.390000
        PA
        
        434819.730000
        0.0620565
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2045-06-13
          Floating
          1.04463
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXTENDED STAY AMERICA TRUST 2021-ESH
        N/A
        EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A
        30227FAA8
        
          
        
        1591719.230000
        PA
        USD
        1596294.470000
        0.2278194
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-07-15
          Floating
          1.19
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FAIRFAX FINANCIAL HOLDINGS LIMITED
        GLS7OQD0WOEDI8YAP031
        FAIRFAX FINL HLDGS LTD SR UNSECURED 144A 03/28 2.75
        BD9MMZII4
        
          
        
        500000.000000
        PA
        
        618435.270000
        0.0882616
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2028-03-29
          Fixed
          2.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE 2004-11
        N/A
        FANNIE MAE FNR 2004 11 A
        31393T7H3
        
          
        
        926.890000
        PA
        USD
        923.530000
        0.0001318
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-25
          Floating
          0.22188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE 2004-63
        N/A
        FANNIE MAE FNR 2004 63 FA
        31394ANT9
        
          
        
        880.260000
        PA
        USD
        873.310000
        0.0001246
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-25
          Floating
          0.25188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE 2006-48
        N/A
        FANNIE MAE FNR 2006 48 TF
        31395NLE5
        
          
        
        12028.780000
        PA
        USD
        12150.990000
        0.0017342
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-25
          Floating
          0.50188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE 2006-5
        N/A
        FANNIE MAE FNR 2006 5 3A2
        31394VL73
        
          
        
        3435.550000
        PA
        USD
        3494.960000
        0.0004988
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-25
          Floating
          1.9053
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIEMAE WHOLE LOAN 2003-W6
        N/A
        FANNIEMAE WHOLE LOAN FNW 2003 W6 F
        31393BX75
        
          
        
        8655.110000
        PA
        USD
        8709.720000
        0.0012430
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-25
          Floating
          0.442
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIEMAE WHOLE LOAN 2004-W12
        N/A
        FANNIEMAE WHOLE LOAN FNW 2004 W12 1A1
        31394A6Y7
        
          
        
        5457.690000
        PA
        USD
        6204.440000
        0.0008855
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-07-25
          Fixed
          6
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL 1G0159 FH 03/35 FLOATING VAR
        3128NCE83
        
          
        
        3420.250000
        PA
        USD
        3432.580000
        0.0004899
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Floating
          2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL 1G0173 FH 04/35 FLOATING VAR
        3128NCFN9
        
          
        
        10937.870000
        PA
        USD
        11007.840000
        0.0015710
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Floating
          2.073
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL 847040 FH 02/29 FLOATING VAR
        3128HDZD4
        
          
        
        233.750000
        PA
        USD
        234.710000
        0.0000335
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-02-01
          Floating
          2.269
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL RA4542 FR 02/51 FIXED 2.5
        3133KLBK2
        
          
        
        533383.820000
        PA
        USD
        547880.250000
        0.0781922
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-02-01
          Fixed
          2.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL RA5502 FR 06/51 FIXED 3
        3133KMDF9
        
          
        
        377128.460000
        PA
        USD
        395421.000000
        0.0564336
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-06-01
          Fixed
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC PASS THRU POOLS
        N/A
        FED HM LN PC POOL RB5012 FR 10/39 FIXED 3.5
        3133KYR92
        
          
        
        227142.940000
        PA
        USD
        240365.760000
        0.0343044
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-01
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC STRUCTURED PASS THRU SEC T-62
        N/A
        FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1
        31395HHV5
        
          
        
        20074.760000
        PA
        USD
        20577.200000
        0.0029367
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-25
          Floating
          1.28203
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATIONAL INFORMATION SERVICES INC
        6WQI0GK1PRFVBA061U48
        FIDELITY NATIONAL INFORM SR UNSECURED 06/22 1.7
        ACI0VZZX3
        
          
        
        200000.000000
        PA
        
        271983.140000
        0.0388168
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-30
          Fixed
          1.7
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATIONAL INFORMATION SERVICES INC
        6WQI0GK1PRFVBA061U48
        FIDELITY NATL INFO SERV COMPANY GUAR 05/23 0.75
        ACI1C01S7
        
          
        
        300000.000000
        PA
        
        345433.310000
        0.0492994
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-21
          Fixed
          0.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FINSBURY SQUARE 2018-2 PLC 18-2
        N/A
        FINSBURY SQUARE FSQ 2018 2 A REGS
        ACI163WL9
        
          
        
        331580.620000
        PA
        
        449280.250000
        0.0641202
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2068-09-12
          Floating
          1.04463
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FINSBURY SQUARE 2020-1 PLC 20-1A
        N/A
        FINSBURY SQUARE FSQ 2020 1A A 144A
        ACI1JHW34
        
          
        
        878875.180000
        PA
        
        1192520.740000
        0.1701938
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2070-03-16
          Floating
          0.95038
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRST ABU DHABI BANK PJSC
        2138002Y3WMK6RZS8H90
        FIRST ABU DHABI BK PJSC SR UNSECURED REGS 03/22 3
        ACI0TC3G9
        
          
        
        200000.000000
        PA
        USD
        201210.000000
        0.0287162
        Long
        DBT
        CORP
        AE
        N
        
        2
        
          2022-03-30
          Fixed
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRST FRANKLIN MTG LOAN ABS 2006-FF10
        N/A
        FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF10 A1
        32028HAA1
        
          
        
        744882.390000
        PA
        USD
        720943.430000
        0.1028914
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Floating
          0.21688
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BUILDING SOCIETY
        549300XFX12G42QIKN82
        NATIONWIDE BLDG SOCIETY JR SUBORDINA REGS 06/49 VAR
        ACI07BWB4
        
          
        
        960.000000
        NS
        
        248674.200000
        0.0354902
        Long
        EP
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL 800171 FN 12/34 FLOATING VAR
        31405U6G9
        
          
        
        1413.060000
        PA
        USD
        1467.900000
        0.0002095
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Floating
          1.641
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL 806506 FN 10/44 FLOATING VAR
        31406DAF3
        
          
        
        6142.940000
        PA
        USD
        6280.210000
        0.0008963
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-01
          Floating
          1.283
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL 841068 FN 11/34 FLOATING VAR
        31407UMR5
        
          
        
        10025.580000
        PA
        USD
        10640.600000
        0.0015186
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Floating
          2.423
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PIMCO FUNDS
        549300F9QJIJF2GM8419
        PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND
        000000000
        
          
        
        30202.520000
        PA
        USD
        301239.930000
        0.0429923
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        PIMCO FUNDS
        LWVQWTQCFH3YG7CVH718
        PIMCO PRV SHORT TERM FLT III MUTUAL FUND
        000000000
        
          
        
        2021661.350000
        PA
        USD
        19646504.980000
        2.8039033
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL BF0334 FN 01/59 FIXED 3.5
        3140FXLQ3
        
          
        
        1341306.180000
        PA
        USD
        1452947.430000
        0.2073613
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2059-01-01
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL BF0463 FN 03/60 FIXED 3
        3140FXQR6
        
          
        
        726311.180000
        PA
        USD
        769667.110000
        0.1098451
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2060-03-01
          Fixed
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL BJ8703 FN 05/49 FIXED 3.5
        3140HAU57
        
          
        
        177691.960000
        PA
        USD
        190825.130000
        0.0272341
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-05-01
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL BR1297 FN 02/51 FIXED 2.5
        3140KYNP5
        
          
        
        175193.860000
        PA
        USD
        179967.260000
        0.0256845
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-02-01
          Fixed
          2.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL CA4346 FN 10/49 FIXED 3
        3140QBZL5
        
          
        
        1079255.180000
        PA
        USD
        1143429.730000
        0.1631876
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-10-01
          Fixed
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL CA6106 FN 06/50 FIXED 4
        3140QDYC2
        
          
        
        646104.900000
        PA
        USD
        688215.630000
        0.0982205
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-01
          Fixed
          4
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL FM1796 FN 10/34 FIXED VAR
        3140X47J9
        
          
        
        144337.560000
        PA
        USD
        152545.300000
        0.0217709
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL FM3243 FN 02/50 FIXED VAR
        3140X6S93
        
          
        
        367073.770000
        PA
        USD
        390055.510000
        0.0556678
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-01
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL FM3972 FN 07/50 FIXED VAR
        3140X7MW6
        
          
        
        706652.130000
        PA
        USD
        747416.820000
        0.1066696
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-01
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA PASS THRU POOLS
        N/A
        FNMA POOL FM7441 FN 05/51 FIXED VAR
        3140XBHT0
        
          
        
        548356.690000
        PA
        USD
        575081.870000
        0.0820743
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-05-01
          Fixed
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 01/23 3.087
        345397A29
        
          
        
        600000.000000
        PA
        USD
        610932.000000
        0.0871908
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-09
          Fixed
          3.087
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 01/24 3.81
        345397YG2
        
          
        
        200000.000000
        PA
        USD
        207696.020000
        0.0296419
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-09
          Fixed
          3.81
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 03/25 4.535
        ACI1989Q0
        
          
        
        500000.000000
        PA
        
        716427.220000
        0.1022468
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-06
          Fixed
          4.535
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 06/24 2.748
        ACI1TC740
        
          
        
        400000.000000
        PA
        
        545755.670000
        0.0778890
        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 07/24 1.744
        ACI1K2ZL2
        
          
        
        400000.000000
        PA
        
        463501.410000
        0.0661498
        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 08/23 4.375
        345397WK5
        
          
        
        600000.000000
        PA
        USD
        625041.000000
        0.0892044
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-06
          Fixed
          4.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 11/22 3.35
        345397ZU0
        
          
        
        700000.000000
        PA
        USD
        709670.500000
        0.1012825
        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 11/23 3.37
        345397A78
        
          
        
        600000.000000
        PA
        USD
        619500.000000
        0.0884136
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-17
          Fixed
          3.37
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 11/23 VAR
        ACI12NHW2
        
          
        
        100000.000000
        PA
        
        113123.030000
        0.0161447
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Floating
          0.167
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 11/25 3.375
        345397B28
        
          
        
        400000.000000
        PA
        USD
        416094.000000
        0.0593840
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-13
          Fixed
          3.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 11/30 4
        345397B36
        
          
        
        200000.000000
        PA
        USD
        215506.000000
        0.0307565
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-13
          Fixed
          4
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT COMPANY LLC
        UDSQCVRUX5BONN0VY111
        FORD MOTOR CREDIT CO LLC SR UNSECURED 12/22 VAR
        ACI10JHM5
        
          
        
        200000.000000
        PA
        
        227227.670000
        0.0324294
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-12-07
          Floating
          0.000001
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE GOVT
        969500KCGF3SUYJHPV70
        FRANCE (GOVT OF) BONDS 144A REGS 05/52 0.75
        ACI1JFLL0
        
          
        
        4650000.000000
        PA
        
        5061924.130000
        0.7224260
        Long
        DBT
        NUSS
        FR
        N
        
        2
        
          2052-05-25
          Fixed
          0.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE GOVT
        969500KCGF3SUYJHPV70
        FRANCE (GOVT OF) BONDS 144A REGS 05/72 0.5
        ACI1V7HH8
        
          
        
        1000000.000000
        PA
        
        880946.180000
        0.1257266
        Long
        DBT
        NUSS
        FR
        N
        
        2
        
          2072-05-25
          Fixed
          0.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE GOVT
        969500KCGF3SUYJHPV70
        FRANCE (GOVT OF) UNSECURED 144A REGS 05/48 2
        ACI0V7KW3
        
          
        
        6200000.000000
        PA
        
        9076668.240000
        1.2954009
        Long
        DBT
        NUSS
        FR
        N
        
        2
        
          2048-05-25
          Fixed
          2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC 2610
        N/A
        FREDDIE MAC FHR 2610 FD
        31393QX80
        
          
        
        2471.110000
        PA
        USD
        2489.000000
        0.0003552
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-15
          Floating
          0.60975
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC 3397
        N/A
        FREDDIE MAC FHR 3397 FC
        31397PLU2
        
          
        
        3753.250000
        PA
        USD
        3819.570000
        0.0005451
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-15
          Floating
          0.70975
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC REMICS 4579
        N/A
        FREDDIE MAC FHR 4579 FD
        3137BPPH6
        
          
        
        181745.560000
        PA
        USD
        182136.890000
        0.0259942
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-15
          Floating
          0.43638
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC REMICS 4579
        N/A
        FREDDIE MAC FHR 4579 SD
        3137BPS83
        
          
        
        181745.560000
        PA
        USD
        10787.450000
        0.0015396
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-15
          Floating
          1.88642
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A
        N/A
        GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A
        36361UAL4
        
          
        
        2100000.000000
        PA
        USD
        2100000.000000
        0.2997071
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2031-07-15
          Floating
          1.17739
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINANCIAL COMPANY INC
        5493008B6JBRUJ90QL97
        GENERAL MOTORS FINL CO SR UNSECURED 07/22 3.55
        37045XCU8
        
          
        
        700000.000000
        PA
        USD
        710245.660000
        0.1013646
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-08
          Fixed
          3.55
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 080187 G2 04/28 FLOATING VAR
        36225CF50
        
          
        
        147.410000
        PA
        USD
        150.350000
        0.0000215
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-04-20
          Floating
          1.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 080397 G2 04/30 FLOATING VAR
        36225CNP7
        
          
        
        167.420000
        PA
        USD
        170.740000
        0.0000244
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-04-20
          Floating
          2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 080409 G2 05/30 FLOATING VAR
        36225CN36
        
          
        
        358.920000
        PA
        USD
        372.830000
        0.0000532
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-05-20
          Floating
          2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNMA PASS THRU POOLS
        N/A
        GNMA II POOL 080414 G2 06/30 FLOATING VAR
        36225CN85
        
          
        
        583.280000
        PA
        USD
        597.310000
        0.0000852
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-06-20
          Floating
          1.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STICHTING AK RABOBANK CERTIFICATEN
        N/A
        STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR
        BJBQCWII7
        
          
        
        157575.000000
        NS
        
        247570.730000
        0.0353327
        Long
        EP
        CORP
        NL
        N
        
        2
        
          N
          N
          N
        
      
      
        GOLDEN STATE TOBACCO SECURITIZATION
        N/A
        GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/26 FIXED 2.158
        38122NC59
        
          
        
        600000.000000
        PA
        USD
        603804.300000
        0.0861735
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-06-01
          Fixed
          2.158
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDENTREE LOAN MANAGEMENT US CLO 6 LTD 2019-6A
        N/A
        GOLDENTREE LOAN MANAGEMENT US GLM 2019 6A A 144A
        38137WAC9
        
          
        
        1400000.000000
        PA
        USD
        1398957.130000
        0.1996559
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2033-01-20
          Floating
          1.4715
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        GOLDMAN SACHS GROUP INC SR UNSECURED REGS 07/26 1.625
        ACI0NSPW1
        
          
        
        800000.000000
        PA
        
        962170.620000
        0.1373187
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-27
          Fixed
          1.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOODMAN US FINANCE THREE LLC
        N/A
        GOODMAN US FIN THREE COMPANY GUAR 144A 03/28 3.7
        38239JAA9
        
          
        
        600000.000000
        PA
        USD
        648400.020000
        0.0925381
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-03-15
          Fixed
          3.7
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11
        N/A
        GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 F
        38375UXM7
        
          
        
        1667563.860000
        PA
        USD
        1689020.070000
        0.2410530
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2066-05-20
          Floating
          0.88113
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H14
        N/A
        GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H14 FA
        38376RVV5
        
          
        
        1093003.140000
        PA
        USD
        1106997.730000
        0.1579881
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2066-06-20
          Floating
          0.88113
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H24
        N/A
        GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H24 F
        38376RJ72
        
          
        
        471582.280000
        PA
        USD
        478862.430000
        0.0683421
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2066-11-20
          Floating
          0.93113
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121
        N/A
        GOVERNMENT NATIONAL MORTGAGE A GNR 2017 121 PE
        38380TV37
        
          
        
        18801.400000
        PA
        USD
        19071.940000
        0.0027219
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-07-20
          Fixed
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-133
        N/A
        GOVERNMENT NATIONAL MORTGAGE A GNR 2017 133 EC
        38380HCH3
        
          
        
        7826.220000
        PA
        USD
        7934.440000
        0.0011324
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-20
          Fixed
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GPMT LTD 2021-FL4
        N/A
        GPMT LTD. GPMT 2021 FL4 A 144A
        36262TAA1
        
          
        
        1800000.000000
        PA
        USD
        1801506.960000
        0.2571069
        Long
        ABS-O
        CORP
        KY
        
        N
        
        2
        
          2036-12-15
          Floating
          1.4535
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2
        N/A
        GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR2 A2 144A
        36262JAB1
        
          
        
        775434.740000
        PA
        USD
        780541.750000
        0.1113971
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-02-25
          Variable
          2.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3
        N/A
        GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR3 A2 144A
        36263TAB8
        
          
        
        494499.940000
        PA
        USD
        494047.970000
        0.0705094
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-04-25
          Variable
          2.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS MORTGAGE-BACKED SECURITIES TRUST 2021-HP1
        N/A
        GS MORTGAGE BACKED SECURITIES GSMBS 2021 HP1 A2 144A
        36262RAB3
        
          
        
        1645988.510000
        PA
        USD
        1649627.790000
        0.2354310
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-01-25
          Variable
          2.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1
        N/A
        GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A2 144A
        36263KAB7
        
          
        
        383881.040000
        PA
        USD
        384729.800000
        0.0549077
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-12-25
          Variable
          2.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAMP TRUST 2005-HE6
        N/A
        GSAMP TRUST GSAMP 2005 HE6 M3
        362341G60
        
          
        
        1000000.000000
        PA
        USD
        937890.000000
        0.1338535
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Floating
          0.82188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAMP TRUST 2005-WMC2
        N/A
        GSAMP TRUST GSAMP 2005 WMC2 M1
        362341VA4
        
          
        
        1238293.230000
        PA
        USD
        1194627.050000
        0.1704944
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Floating
          0.74688
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR MORTGAGE LOAN TRUST 2004-14
        N/A
        GSR MORTGAGE LOAN TRUST GSR 2004 14 1A1
        36242DPB3
        
          
        
        17438.700000
        PA
        USD
        17051.690000
        0.0024336
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-12-25
          Floating
          0.43188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR MORTGAGE LOAN TRUST 2005-AR2
        N/A
        GSR MORTGAGE LOAN TRUST GSR 2005 AR2 3A1
        36242DH89
        
          
        
        35284.770000
        PA
        USD
        37196.400000
        0.0053086
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-25
          Floating
          2.36176
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR MORTGAGE LOAN TRUST 2006-AR1
        N/A
        GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1
        3623414A4
        
          
        
        19606.620000
        PA
        USD
        20191.700000
        0.0028817
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Floating
          2.87305
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        HARBEN FINANCE 2017-1 PLC 17-1X
        N/A
        HARBEN FINANCE HRBN 2017 1X A REGS
        ACI12FW02
        
          
        
        779706.620000
        PA
        
        1056532.770000
        0.1507859
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2056-08-20
          Floating
          0.91438
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HAWKSMOOR MORTGAGES 19-1A
        N/A
        HAWKSMOOR MORTGAGES PLC HWKSM 2019 1A A 144A
        ACI1DHFV7
        
          
        
        1429768.890000
        PA
        
        1941055.860000
        0.2770230
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2053-05-25
          Floating
          1.15276
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HAWKSMOOR MORTGAGES 19-1X
        N/A
        HAWKSMOOR MORTGAGES PLC HWKSM 2019 1X A REGS
        ACI1DHG20
        
          
        
        786372.890000
        PA
        
        1067580.720000
        0.1523626
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2053-05-25
          Floating
          1.15276
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOMEWARD OPPORTUNITIES FUND I TRUST 2020-2
        N/A
        HOMEWARD OPPORTUNITIES FUND I HOF 2020 2 A1 144A
        43789XAA2
        
          
        
        415841.800000
        PA
        USD
        416462.780000
        0.0594366
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-05-25
          Variable
          1.657
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR
        404280BP3
        
          
        
        700000.000000
        PA
        USD
        772348.500000
        0.1102278
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-03-23
          Floating
          6.5
          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 12/99 VAR
        BFM4XMII1
        
          
        
        300000.000000
        PA
        
        438821.030000
        0.0626275
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-09-28
          Floating
          5.875
          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 12/99 VAR
        BYXL2ZII5
        
          
        
        200000.000000
        PA
        
        250078.500000
        0.0356906
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-07-04
          Floating
          4.75
          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 03/25 VAR
        404280BZ1
        
          
        
        1100000.000000
        PA
        USD
        1154884.320000
        0.1648224
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-11
          Floating
          3.803
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC HOLDINGS PLC SR UNSECURED 03/28 VAR
        404280BK4
        
          
        
        1000000.000000
        PA
        USD
        1081707.390000
        0.1543788
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-03-13
          Floating
          4.041
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC HOLDINGS PLC SR UNSECURED 05/24 VAR
        404280BR9
        
          
        
        300000.000000
        PA
        USD
        302902.670000
        0.0432296
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-05-18
          Floating
          1.16
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC HOLDINGS PLC SR UNSECURED 06/29 VAR
        404280BT5
        
          
        
        800000.000000
        PA
        USD
        896922.410000
        0.1280067
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-06-19
          Floating
          4.583
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC HOLDINGS PLC SR UNSECURED 07/27 VAR
        ACI1WKQ05
        
          
        
        700000.000000
        PA
        
        935474.650000
        0.1335088
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-07-24
          Floating
          1.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC HOLDINGS PLC SR UNSECURED REGS 02/24 VAR
        ACI0YTRJ4
        
          
        
        2300000.000000
        PA
        
        1685482.980000
        0.2405482
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-02-16
          Floating
          1.1449
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSI ASSET SECUR CORP TRUST 2007-HE2
        N/A
        HSI ASSET SECURITIZATION CORPO HASC 2007 HE2 2A3
        40430RAD8
        
          
        
        676580.320000
        PA
        USD
        441447.890000
        0.0630024
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.36188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNGARY GOVT
        5299003F3UFKGCCMAP43
        HUNGARY SR UNSECURED 144A 09/31 2.125
        445545AM8
        
          
        
        300000.000000
        PA
        USD
        295852.200000
        0.0422233
        Long
        DBT
        NUSS
        HU
        N
        
        2
        
          2031-09-22
          Fixed
          2.125
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYATT HOTELS CORPORATION
        T27JQIMTYSH41TCD5186
        HYATT HOTELS CORP SR UNSECURED 10/23 1.3
        448579AL6
        
          
        
        300000.000000
        PA
        USD
        300103.020000
        0.0428300
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-01
          Fixed
          1.3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDYMAC INDX MORTGAGE LOAN TR 2006-AR4
        N/A
        INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A
        45661EAV6
        
          
        
        294148.340000
        PA
        USD
        285368.810000
        0.0407272
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-05-25
          Floating
          0.52188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDYMAC INDX MTGE LOAN TRUST 2005-AR12
        N/A
        INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A
        45660LMG1
        
          
        
        10864.760000
        PA
        USD
        10627.450000
        0.0015167
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-25
          Floating
          0.58188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDYMAC RESIDENTIAL ASSET BACKED 2007-A
        N/A
        INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A3
        43710BAD8
        
          
        
        475491.390000
        PA
        USD
        380476.990000
        0.0543008
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.34188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING GROEP NV JR SUBORDINA REGS 12/49 VAR
        ACI0QYRD5
        
          
        
        400000.000000
        PA
        USD
        407000.000000
        0.0580861
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2022-04-16
          Floating
          6.875
          N
          N
          N
          N
          Y
          
            
              ING GROEP NV
              ING GROEP NV
              EUR
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        ISRAEL GOVT
        213800T8ZHTFZIBYPE21
        ISRAEL FIXED BOND BONDS 01/22 5.5
        977UCSII1
        
          
        
        6100000.000000
        PA
        
        2069795.270000
        0.2953963
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2022-01-31
          Fixed
          5.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL GOVT
        213800T8ZHTFZIBYPE21
        ISRAEL FIXED BOND BONDS 03/27 2
        ACI0RRBN4
        
          
        
        4400000.000000
        PA
        
        1541510.800000
        0.2200008
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2027-03-31
          Fixed
          2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL GOVT
        213800T8ZHTFZIBYPE21
        ISRAEL FIXED BOND BONDS 07/22 0.75
        BJGTFKII9
        
          
        
        1700000.000000
        PA
        
        550882.130000
        0.0786206
        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 02/22 0.00000
        ACI1VNWB9
        
          
        
        10600000.000000
        PA
        
        3409511.250000
        0.4865975
        Long
        DBT
        MUN
        IL
        N
        
        2
        
          2022-02-02
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL GOVT
        213800T8ZHTFZIBYPE21
        ISRAEL MAKAM BILL BILLS 03/22 0.00000
        ACI1W7SY8
        
          
        
        10900000.000000
        PA
        
        3506006.850000
        0.5003691
        Long
        DBT
        MUN
        IL
        N
        
        2
        
          2022-03-02
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL GOVT
        213800T8ZHTFZIBYPE21
        ISRAEL MAKAM BILL BILLS 04/22 0.00000
        ACI1WZJ67
        
          
        
        1400000.000000
        PA
        
        450290.290000
        0.0642644
        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
        
          
        
        3700000.000000
        PA
        
        1189993.410000
        0.1698331
        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
        
          
        
        2200000.000000
        PA
        
        707528.270000
        0.1009768
        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
        
          
        
        300000.000000
        PA
        
        96481.130000
        0.0137696
        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
        
          
        
        7100000.000000
        PA
        
        2283272.490000
        0.3258633
        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
        
          
        
        6100000.000000
        PA
        
        1961782.920000
        0.2799811
        Long
        DBT
        MUN
        IL
        N
        
        2
        
          2022-12-07
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL GOVT
        213800T8ZHTFZIBYPE21
        ISRAEL TREASURY BILL MOF BILLS 02/22 0.00000
        ACI1X2M81
        
          
        
        300000.000000
        PA
        
        96495.600000
        0.0137716
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2022-02-28
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL GOVT
        213800T8ZHTFZIBYPE21
        STATE OF ISRAEL SR UNSECURED 01/48 4.125
        46513YJJ8
        
          
        
        300000.000000
        PA
        USD
        368542.200000
        0.0525975
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2048-01-17
          Fixed
          4.125
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL GOVT
        213800T8ZHTFZIBYPE21
        STATE OF ISRAEL SR UNSECURED REGS 05/60 3.8
        ACI1M29S4
        
          
        
        1300000.000000
        PA
        USD
        1507311.000000
        0.2151199
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2060-05-13
          Fixed
          3.8
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITALY GOVT
        815600DE60799F5A9309
        BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 03/72 2
        BNYKFBII9
        
          
        
        1000000.000000
        PA
        
        1085724.250000
        0.1549520
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2072-03-01
          Fixed
          2.15
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITALY GOVT
        815600DE60799F5A9309
        BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 04/45 1
        BMCDFTII2
        
          
        
        1100000.000000
        PA
        
        1175780.310000
        0.1678046
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2045-04-30
          Fixed
          1.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITALY GOVT
        815600DE60799F5A9309
        BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 07/25 1
        ACI1LYDJ0
        
          
        
        800000.000000
        PA
        
        963413.980000
        0.1374962
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2025-07-01
          Fixed
          1.85
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITALY GOVT
        815600DE60799F5A9309
        BUONI POLIENNALI DEL TES SR UNSECURED REGS 07/24 1.75
        ACI19Z2M6
        
          
        
        3000000.000000
        PA
        
        3563481.900000
        0.5085718
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2024-07-01
          Fixed
          1.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITALY GOVT
        815600DE60799F5A9309
        ITALY GOV T INT BOND SR UNSECURED REGS 08/28 6
        551287II8
        
          
        
        400000.000000
        PA
        
        676370.310000
        0.0965300
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2028-08-04
          Fixed
          6
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAMESTOWN CLO VI-R LTD 2020-15A
        N/A
        JAMESTOWN CLO LTD JTWN 2020 15A A 144A
        47050EAA7
        
          
        
        1300000.000000
        PA
        USD
        1301190.960000
        0.1857029
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2033-04-15
          Floating
          1.46375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN BANK FOR INTERNATIONAL COOPERATION
        549300TJ3QFYVCTSCJ29
        JPN BANK FOR INT L COOP GOVT GUARANT 10/24 1.75
        471048CD8
        
          
        
        500000.000000
        PA
        USD
        509407.760000
        0.0727015
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2024-10-17
          Fixed
          1.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        WELLS FARGO + COMPANY JR SUBORDINA 12/99 VAR
        949746TD3
        
          
        
        1500000.000000
        NS
        USD
        1542187.530000
        0.2200974
        Long
        EP
        CORP
        US
        N
        
        2
        
          N
          N
          N
        
      
      
        JAPAN GOVT
        353800WZS8AXZXFUC241
        JAPAN (10 YEAR ISSUE) BONDS 06/31 0.1
        ACI1YZ4K0
        
          
        
        1280000000.000000
        PA
        
        11174601.410000
        1.5948130
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2031-06-20
          Fixed
          0.1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN GOVT
        353800WZS8AXZXFUC241
        JAPAN (10 YEAR ISSUE) BONDS 09/31 0.1
        BLNMFJII4
        
          
        
        3007800000.000000
        PA
        
        26223529.010000
        3.7425608
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2031-09-20
          Fixed
          0.1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN GOVT
        353800WZS8AXZXFUC241
        JAPAN (20 YEAR ISSUE) BONDS 06/35 1.3
        ACI0CWBV1
        
          
        
        200000000.000000
        PA
        
        1981517.860000
        0.2827976
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2035-06-20
          Fixed
          1.3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN GOVT
        353800WZS8AXZXFUC241
        JAPAN (20 YEAR ISSUE) BONDS 09/35 1.2
        ACI0GYYD8
        
          
        
        1340000000.000000
        PA
        
        13133351.300000
        1.8743612
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2035-09-20
          Fixed
          1.2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN GOVT
        353800WZS8AXZXFUC241
        JAPAN (30 YEAR ISSUE) BONDS 03/49 0.5
        ACI1B32J1
        
          
        
        960000000.000000
        PA
        
        8028347.390000
        1.1457870
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2049-03-20
          Fixed
          0.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN GOVT
        353800WZS8AXZXFUC241
        JAPAN (30 YEAR ISSUE) BONDS 06/46 0.3
        ACI0MYW19
        
          
        
        620000000.000000
        PA
        
        5055778.490000
        0.7215489
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2046-06-20
          Fixed
          0.3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN GOVT
        353800WZS8AXZXFUC241
        JAPAN (30 YEAR ISSUE) BONDS 06/51 0.7
        BP5D0MII4
        
          
        
        558000000.000000
        PA
        
        4868711.290000
        0.6948511
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2051-06-20
          Fixed
          0.7
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN GOVT
        353800WZS8AXZXFUC241
        JAPAN (30 YEAR ISSUE) BONDS 09/46 0.5
        ACI0PP6W6
        
          
        
        202000000.000000
        PA
        
        1723822.310000
        0.2460199
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2046-09-20
          Fixed
          0.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN GOVT
        353800WZS8AXZXFUC241
        JAPAN (30 YEAR ISSUE) BONDS 12/48 0.7
        BJB9V0II4
        
          
        
        772000000.000000
        PA
        
        6803841.430000
        0.9710284
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2048-12-20
          Fixed
          0.7
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN GOVT
        353800WZS8AXZXFUC241
        JAPAN GOVT CPI LINKED BONDS 03/28 0.1
        ACI12NZL6
        
          
        
        456178500.000000
        PA
        
        4104535.750000
        0.5857898
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2028-03-10
          Fixed
          0.1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP MORGAN MORTGAGE TRUST 2006-A1
        N/A
        JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 3A2
        466247F57
        
          
        
        13435.890000
        PA
        USD
        11151.320000
        0.0015915
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          2.6884
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORPORATION
        9DJT3UXIJIZJI4WXO774
        BANK OF AMERICA CORP JR SUBORDINA 12/99 VAR
        060505FL3
        
          
        
        700000.000000
        NS
        USD
        779625.000000
        0.1112663
        Long
        EP
        CORP
        US
        N
        
        2
        
          N
          N
          N
        
      
      
        JP MORGAN MORTGAGE TRUST 2008-R2
        N/A
        JP MORGAN MORTGAGE TRUST JPMMT 2008 R2 1A1 144A
        46632TAA3
        
          
        
        43283.530000
        PA
        USD
        42536.020000
        0.0060706
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-07-27
          Floating
          2.88887
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP MORGAN MORTGAGE TRUST 2021-INV8
        N/A
        JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A
        46654RAG7
        
          
        
        5100000.000000
        PA
        USD
        5083132.620000
        0.7254528
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2052-05-25
          Variable
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP MORGAN MORTGAGE TRUST 2021-LTV4
        N/A
        JP MORGAN MORTGAGE TRUST JPMMT 2021 INV4 A2 144A
        46654DAD5
        
          
        
        3374413.000000
        PA
        USD
        3469007.580000
        0.4950887
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-01-25
          Variable
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP MORGAN MORTGAGE TRUST 2022-INV1
        N/A
        JPMMT 2022 INV1 A2
        944AGS009
        
          
        
        3100000.000000
        PA
        USD
        3162160.740000
        0.4512962
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2052-02-25
          Fixed
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JUBILEE CLO 2014-XI BV 14-11A
        N/A
        JUBILEE CDO BV JUBIL 2014 11A ARR 144A
        ACI1W2T93
        
          
        
        800000.000000
        PA
        
        909477.390000
        0.1297985
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2030-04-15
          Floating
          0.61
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JUBILEE CLO 2016-XVII BV 16-17A
        N/A
        JUBILEE CDO BV JUBIL 2016 17A A2RR 144A
        ACI1W2W24
        
          
        
        500000.000000
        PA
        
        569421.350000
        0.0812665
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2031-04-15
          Floating
          0.65
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JYSKE REALKREDIT KGS
        529900R9HQNZRT2OXB26
        JYSKE REALKREDIT A/S COVERED 10/50 1
        BKLH46II9
        
          
        
        15785006.190000
        PA
        
        2278803.870000
        0.3252256
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2050-10-01
          Fixed
          1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JYSKE REALKREDIT KGS
        529900R9HQNZRT2OXB26
        JYSKE REALKREDIT A/S COVERED 10/50 1.5
        BD9H2PII9
        
          
        
        1.260000
        PA
        
        0.190000
        0.0000000
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2050-10-01
          Fixed
          1.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JYSKE REALKREDIT KGS
        529900R9HQNZRT2OXB26
        JYSKE REALKREDIT A/S COVERED 10/53 1.5
        ACI1W77N5
        
          
        
        2000000.000000
        PA
        
        295848.930000
        0.0422229
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2053-10-01
          Fixed
          1.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JYSKE REALKREDIT KGS
        529900R9HQNZRT2OXB26
        JYSKE REALKREDIT A/S COVERED 10/53 1.5
        ACI1X8QV3
        
          
        
        1900000.000000
        PA
        
        284983.270000
        0.0406721
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2053-10-01
          Fixed
          1.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JYSKE REALKREDIT KGS
        529900R9HQNZRT2OXB26
        JYSKE REALKREDIT A/S COVERED REGS 10/50 1
        ACI1CPNN9
        
          
        
        24230008.160000
        PA
        
        3539698.150000
        0.5051775
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2050-10-01
          Fixed
          1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KILROY REALTY LP
        5493008CT3N3JR7P1552
        KILROY REALTY LP COMPANY GUAR 12/24 3.45
        49427RAM4
        
          
        
        100000.000000
        PA
        USD
        104800.870000
        0.0149569
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-15
          Fixed
          3.45
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KOREA HYDRO & NUCLEAR POWER CO LTD
        9884008CRY5MLCN8OQ43
        KOREA HYDRO + NUCLEAR PO SR UNSECURED 144A 07/23 3.75
        50064YAN3
        
          
        
        200000.000000
        PA
        USD
        208495.140000
        0.0297559
        Long
        DBT
        CORP
        KR
        N
        
        2
        
          2023-07-25
          Fixed
          3.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KUWAIT GOVT
        549300FSC1YD0D9XX589
        KUWAIT INTL BOND SR UNSECURED REGS 03/27 3.5
        M6417JAA6
        
          
        
        2000000.000000
        PA
        USD
        2181910.000000
        0.3113971
        Long
        DBT
        NUSS
        KW
        N
        
        2
        
          2027-03-20
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCM LP 13A
        N/A
        LCM LTD PARTNERSHIP LCM 13A AR3 144A
        50184KBL1
        
          
        
        2100000.000000
        PA
        USD
        2100000.000000
        0.2997071
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2027-07-19
          Floating
          1.086
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCM XX LP 20A
        N/A
        LCM LTD PARTNERSHIP LCM 20A AR 144A
        50188WAE8
        
          
        
        723060.840000
        PA
        USD
        723408.180000
        0.1032431
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2027-10-20
          Floating
          1.1715
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        7-ELEVEN INC
        549300K23JPL0SS3LB18
        7 ELEVEN INC SR UNSECURED 144A 02/23 0.625
        817826AA8
        
          
        
        1600000.000000
        PA
        USD
        1594336.530000
        0.2275400
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-10
          Fixed
          0.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        7-ELEVEN INC
        549300K23JPL0SS3LB18
        7 ELEVEN INC SR UNSECURED 144A 02/24 0.8
        817826AB6
        
          
        
        200000.000000
        PA
        USD
        197808.840000
        0.0282308
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-10
          Fixed
          0.8
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LITHUANIA GOVT
        529900F7Y171QF1RSU09
        LITHUANIA GOVERNMNT BOND BONDS 04/27 1.1
        ACI0ZC2H1
        
          
        
        600000.000000
        PA
        
        724537.260000
        0.1034043
        Long
        DBT
        NUSS
        LT
        N
        
        2
        
          2027-04-26
          Fixed
          1.1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LL ABS TRUST 2021-1A
        N/A
        LL ABS TRUST LLEND 2021 1A A 144A
        53934QAA0
        
          
        
        1095726.100000
        PA
        USD
        1090347.180000
        0.1556118
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-05-15
          Fixed
          1.07
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        A10 BRIDGE ASSET FINANCING 2020-C LLC
        N/A
        A10 SECURITIZATION A10 2020 C A 144A
        66981EAA1
        
          
        
        747706.410000
        PA
        USD
        748959.150000
        0.1068897
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2040-08-15
          Fixed
          2.021
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANK PLC
        H7FNTJ4851HG0EXQ1Z70
        LLOYDS BANK PLC COVERED REGS 03/25 5.125
        971QYMII5
        
          
        
        700000.000000
        PA
        
        1065372.000000
        0.1520474
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-07
          Fixed
          5.125
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANK PLC
        H7FNTJ4851HG0EXQ1Z70
        LLOYDS BANK PLC COVERED REGS 03/27 4.875
        ACI01SSR3
        
          
        
        500000.000000
        PA
        
        804493.920000
        0.1148155
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-03-30
          Fixed
          4.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        LLOYDS BANKING GROUP PLC JR SUBORDINA 12/99 VAR
        ACI1GWB29
        
          
        
        500000.000000
        PA
        
        703845.980000
        0.1004513
        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 JR SUBORDINA REGS 12/49 VAR
        ACI0808F5
        
          
        
        1000000.000000
        PA
        
        1450328.780000
        0.2069875
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-06-27
          Floating
          7.625
          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 11/28 VAR
        539439AQ2
        
          
        
        200000.000000
        PA
        USD
        213763.730000
        0.0305079
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-11-07
          Floating
          3.574
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        LLOYDS BANKING GROUP PLC SR UNSECURED REGS 04/26 VAR
        ACI1L9H77
        
          
        
        300000.000000
        PA
        
        377516.110000
        0.0538782
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-04-01
          Floating
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        LLOYDS BANKING GROUP PLC SR UNSECURED REGS 11/23 3.9
        ACI12SMB1
        
          
        
        800000.000000
        PA
        
        610362.480000
        0.0871095
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-11-23
          Fixed
          3.9
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        LLOYDS BANKING GROUP PLC SUBORDINATED 03/26 4.65
        53944YAB9
        
          
        
        600000.000000
        PA
        USD
        661163.750000
        0.0943597
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-24
          Fixed
          4.65
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        LLOYDS BANKING GROUP PLC SUBORDINATED 12/25 4.582
        539439AM1
        
          
        
        500000.000000
        PA
        USD
        545918.930000
        0.0779123
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-12-10
          Fixed
          4.582
          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
        
          
        
        12369.070000
        PA
        USD
        12091.290000
        0.0017256
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          0.66188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUMEN TECHNOLOGIES (CENTURYLINK INC)
        8M3THTGWLTYZVE6BBY25
        CENTURYLINK INC 2020 TERM LOAN B
        15669GAH7
        
          
        
        378116.690000
        PA
        USD
        374069.710000
        0.0533864
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-03-15
          Floating
          2.3543
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MALAYSIA GOVT
        254900GSIL471JOBYY43
        MALAYSIA GOVERNMENT BONDS 04/33 3.844
        ACI05RKF5
        
          
        
        1400000.000000
        PA
        
        336721.260000
        0.0480561
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2033-04-15
          Fixed
          3.844
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MALAYSIA GOVT
        254900GSIL471JOBYY43
        MALAYSIA GOVERNMENT BONDS 05/27 3.502
        B1YBKVII7
        
          
        
        1700000.000000
        PA
        
        413389.650000
        0.0589980
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2027-05-31
          Fixed
          3.502
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MALAYSIA GOVT
        254900GSIL471JOBYY43
        MALAYSIA GOVERNMENT BONDS 05/35 4.254
        ACI1RLW28
        
          
        
        11600000.000000
        PA
        
        2887833.310000
        0.4121448
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2035-05-31
          Fixed
          4.254
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MALAYSIA GOVT
        254900GSIL471JOBYY43
        MALAYSIA GOVERNMENT BONDS 05/40 3.757
        ACI1H1416
        
          
        
        1000000.000000
        PA
        
        230021.020000
        0.0328281
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2040-05-22
          Fixed
          3.757
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MALAYSIA GOVT
        254900GSIL471JOBYY43
        MALAYSIA GOVERNMENT BONDS 06/31 4.232
        ACI00Q262
        
          
        
        700000.000000
        PA
        
        175912.210000
        0.0251058
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2031-06-30
          Fixed
          4.232
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MALAYSIA GOVT
        254900GSIL471JOBYY43
        MALAYSIA GOVERNMENT BONDS 07/26 3.906
        ACI17M353
        
          
        
        3900000.000000
        PA
        
        966459.830000
        0.1379309
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2026-07-15
          Fixed
          3.906
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MALAYSIA GOVT
        254900GSIL471JOBYY43
        MALAYSIA GOVERNMENT BONDS 07/34 3.828
        ACI1D3N31
        
          
        
        3400000.000000
        PA
        
        809047.780000
        0.1154654
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2034-07-05
          Fixed
          3.828
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MALAYSIA GOVT
        254900GSIL471JOBYY43
        MALAYSIA GOVERNMENT BONDS 11/33 4.642
        ACI12K9Z0
        
          
        
        1000000.000000
        PA
        
        258038.510000
        0.0368267
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2033-11-07
          Fixed
          4.642
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MALAYSIA GOVT
        254900GSIL471JOBYY43
        MALAYSIA INVESTMNT ISSUE BONDS 06/33 4.724
        ACI0ZQ9K6
        
          
        
        1600000.000000
        PA
        
        415689.780000
        0.0593263
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2033-06-15
          Fixed
          4.724
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MALAYSIA GOVT
        254900GSIL471JOBYY43
        MALAYSIA INVESTMNT ISSUE BONDS 07/29 4.13
        ACI17H4J3
        
          
        
        1000000.000000
        PA
        
        248685.410000
        0.0354918
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2029-07-09
          Fixed
          4.13
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MALAYSIA GOVT
        254900GSIL471JOBYY43
        MALAYSIA INVESTMNT ISSUE BONDS 10/28 4.369
        ACI12HLK6
        
          
        
        17800000.000000
        PA
        
        4514635.880000
        0.6443183
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2028-10-31
          Fixed
          4.369
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MALAYSIA GOVT
        254900GSIL471JOBYY43
        MALAYSIA INVESTMNT ISSUE BONDS 11/34 4.119
        ACI1CB9D8
        
          
        
        800000.000000
        PA
        
        196118.070000
        0.0279895
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2034-11-30
          Fixed
          4.119
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAN GLG EURO CLO V DAC 5A
        N/A
        MAN GLG EURO CLO GLGE 5A A1R 144A
        ACI1WBHS4
        
          
        
        1000000.000000
        PA
        
        1135263.570000
        0.1620222
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2031-12-15
          Floating
          0.69
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MANHATTAN WEST 2020-1MW
        N/A
        MANHATTAN WEST OMW 2020 1MW A 144A
        563136AA8
        
          
        
        1400000.000000
        PA
        USD
        1397470.060000
        0.1994437
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-09-10
          Fixed
          2.13
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MANSARD MORTGAGES PLC 2007-2X
        N/A
        MANSARD MORTGAGES PLC MANSD 2007 2X A1 REGS
        B29VVWII5
        
          
        
        103097.970000
        PA
        
        138740.580000
        0.0198007
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2049-12-15
          Floating
          0.74838
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARATHON CLO V LTD 2013-5A
        N/A
        MARATHON CLO LTD MCLO 2013 5A A1R 144A
        56576QAN8
        
          
        
        231697.100000
        PA
        USD
        231876.830000
        0.0330929
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2027-11-21
          Floating
          1.02963
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARBLE POINT CLO X LTD 2017-1A
        N/A
        MARBLE POINT CLO X LTD MP10 2017 1A AR 144A
        566061AL1
        
          
        
        900000.000000
        PA
        USD
        899999.060000
        0.1284458
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-10-15
          Floating
          1.16375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARKS AND SPENCER PLC
        213800CN1RI3UCIZWB95
        MARKS + SPENCER PLC SR UNSECURED REGS 05/26 3.75
        ACI1STT40
        
          
        
        500000.000000
        PA
        
        692298.840000
        0.0988033
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-05-19
          Fixed
          3.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT
        213800FER4348CINTA77
        ABU DHABI GOVT INT L SR UNSECURED 144A 04/50 3.875
        29135LAJ9
        
          
        
        300000.000000
        PA
        USD
        350218.200000
        0.0499823
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2050-04-16
          Fixed
          3.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MELLON RESIDENTIAL FUND CORP 2000-TBC3
        N/A
        MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1
        585525EN4
        
          
        
        2163.350000
        PA
        USD
        2128.160000
        0.0003037
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-12-15
          Floating
          0.54975
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERLIN PROPERTIES SOCIMI SA
        959800L8KD863DP30X04
        MERLIN PROPERTIES SOCIMI SR UNSECURED REGS 04/23 2.225
        BZBXG0II2
        
          
        
        200000.000000
        PA
        
        232905.830000
        0.0332398
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2023-04-25
          Fixed
          2.225
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERRILL LYNCH MORTGAGE INVS 2006-HE5
        N/A
        MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2C
        59022QAD4
        
          
        
        1141590.160000
        PA
        USD
        741059.600000
        0.1057623
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-08-25
          Floating
          0.40188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        METROPOLIS OF TOKYO JAPAN
        353800FABE4GGB1BMO18
        TOKYO METROPOLITAN GOVT SR UNSECURED 144A 06/22 2.5
        889124AK9
        
          
        
        600000.000000
        PA
        USD
        604346.980000
        0.0862510
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2022-06-08
          Fixed
          2.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        METROPOLIS OF TOKYO JAPAN
        353800FABE4GGB1BMO18
        TOKYO METROPOLITAN GOVT SR UNSECURED 144A 07/25 0.75
        59173LAD2
        
          
        
        2100000.000000
        PA
        USD
        2052379.670000
        0.2929108
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2025-07-16
          Fixed
          0.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MF1 2021-FL5 LTD
        N/A
        MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL5 A 144A
        55282XAA8
        
          
        
        764029.250000
        PA
        USD
        763567.360000
        0.1089745
        Long
        ABS-MBS
        CORP
        KY
        
        N
        
        2
        
          2036-07-15
          Floating
          1.01448
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MFA 2020-NQM2 TRUST
        N/A
        MFRA TRUST MFRA 2020 NQM2 A1 144A
        552751AA7
        
          
        
        985543.450000
        PA
        USD
        982770.620000
        0.1402587
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-04-25
          Variable
          1.381
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MFA 2020-NQM2 TRUST
        N/A
        MFRA TRUST MFRA 2020 NQM2 A3 144A
        552751AC3
        
          
        
        358379.440000
        PA
        USD
        358676.320000
        0.0511894
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-04-25
          Variable
          1.947
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MGM CHINA HOLDINGS LIMITED
        529900VZFN87OS7WJM66
        MGM CHINA HOLDINGS LTD SR UNSECURED 144A 02/27 4.75
        55300RAG6
        
          
        
        500000.000000
        PA
        USD
        495802.500000
        0.0707598
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-02-01
          Fixed
          4.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIDOCEAN CREDIT CLO II 2013-2A
        N/A
        MIDOCEAN CREDIT CLO MIDO 2013 2A ARR 144A
        59863KAS6
        
          
        
        1700000.000000
        PA
        USD
        1699416.220000
        0.2425367
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-01-29
          Floating
          1.20713
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)
        353800V2V8PUY9TK3E06
        MITSUBISHI UFJ FIN GRP SR UNSECURED 03/23 3.455
        606822AT1
        
          
        
        600000.000000
        PA
        USD
        617922.020000
        0.0881884
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2023-03-02
          Fixed
          3.455
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO FINANCIAL GROUP INC
        353800CI5L6DDAN5XZ33
        MIZUHO FINANCIAL GROUP SR UNSECURED 09/22 VAR
        60687YAN9
        
          
        
        700000.000000
        PA
        USD
        703242.550000
        0.1003651
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2022-09-11
          Floating
          1.08088
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO FINANCIAL GROUP INC
        353800CI5L6DDAN5XZ33
        MIZUHO FINANCIAL GROUP SR UNSECURED 09/24 VAR
        60687YAS8
        
          
        
        500000.000000
        PA
        USD
        522562.070000
        0.0745788
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-09-11
          Floating
          3.922
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO FINANCIAL GROUP INC
        353800CI5L6DDAN5XZ33
        MIZUHO FINANCIAL GROUP SR UNSECURED 09/24 VAR
        60687YAU3
        
          
        
        900000.000000
        PA
        USD
        909374.300000
        0.1297838
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-09-11
          Floating
          1.20088
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        MORGAN STANLEY SR UNSECURED 02/23 VAR
        6174468M4
        
          
        
        3300000.000000
        PA
        
        2609920.550000
        0.3724818
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2023-02-03
          Floating
          0.78
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACE SECURITIES CORP 2006-NC2
        N/A
        ACE SECURITIES CORP. ACE 2006 NC2 A1
        00441XAA2
        
          
        
        1125145.270000
        PA
        USD
        954381.970000
        0.1362072
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Floating
          0.38188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY ABS CAPITAL I 2006-HE8
        N/A
        MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A1
        61750SAA0
        
          
        
        112590.370000
        PA
        USD
        106942.830000
        0.0152626
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-25
          Floating
          0.23188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C8
        N/A
        MORGAN STANLEY BAML TRUST MSBAM 2013 C8 XA
        61761QAF0
        
          
        
        817700.810000
        PA
        USD
        5653.990000
        0.0008069
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-12-15
          Variable
          0.907139
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL I INC 2021-230P
        N/A
        MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P A 144A
        61772WAA5
        
          
        
        1700000.000000
        PA
        USD
        1703212.490000
        0.2430785
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-12-15
          Floating
          1.27895
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY HOME EQUITY LN 2007-1
        N/A
        MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 1 A2
        61751QAB1
        
          
        
        842775.500000
        PA
        USD
        521067.440000
        0.0743655
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          0.20188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY HOME EQUITY LN 2007-2
        N/A
        MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A3
        61752UAC9
        
          
        
        706656.370000
        PA
        USD
        467943.610000
        0.0667838
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.33188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY MORTGAGE LN TR-2006-8AR
        N/A
        MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A4
        61749LAP6
        
          
        
        14011.420000
        PA
        USD
        14781.410000
        0.0021096
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-06-25
          Floating
          1.97627
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS
        N/A
        MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 2A3
        61752JAE0
        
          
        
        142446.720000
        PA
        USD
        51116.210000
        0.0072952
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-09-25
          Variable
          5.9188
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        MOUNTAIN VIEW CLO LLC 2017-1A
        N/A
        MOUNTAIN VIEW CLO MVEW 2017 1A AR 144A
        62432HAJ9
        
          
        
        1500000.000000
        PA
        USD
        1500541.020000
        0.2141537
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2029-10-16
          Floating
          1.21225
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPT OPERATING PARTNERSHIP LP/MPT FINANCE CORP
        N/A
        MPT OPER PARTNERSP/FINL COMPANY GUAR 03/26 2.5
        ACI1WKQ21
        
          
        
        900000.000000
        PA
        
        1215742.730000
        0.1735080
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-24
          Fixed
          2.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BUILDING SOCIETY
        549300XFX12G42QIKN82
        NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 03/24 VAR
        63861VAA5
        
          
        
        1200000.000000
        PA
        USD
        1236334.990000
        0.1764468
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-03-08
          Floating
          3.766
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NATWEST GROUP PLC JR SUBORDINA 12/49 VAR
        780099CK1
        
          
        
        500000.000000
        PA
        USD
        581165.000000
        0.0829425
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-08-10
          Floating
          8
          N
          N
          N
          N
          Y
          
            
              NATWEST GROUP PLC
              NATWEST GROUP PLC
              GBP
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NATWEST GROUP PLC JR SUBORDINA 12/99 VAR
        639057AD0
        
          
        
        200000.000000
        PA
        USD
        196500.000000
        0.0280440
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2031-06-28
          Floating
          4.6
          N
          N
          N
          N
          Y
          
            
              NATWEST GROUP PLC
              NATWEST GROUP PLC
              GBP
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NATWEST GROUP PLC JR SUBORDINA 12/99 VAR
        780097BQ3
        
          
        
        800000.000000
        PA
        USD
        877456.000000
        0.1252285
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-12-29
          Floating
          6
          N
          N
          N
          N
          Y
          
            
              NATWEST GROUP PLC
              NATWEST GROUP PLC
              GBP
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NATWEST GROUP PLC JR SUBORDINA 12/99 VAR
        ACI1SQVK7
        
          
        
        400000.000000
        PA
        
        569167.760000
        0.0812303
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-05-12
          Floating
          5.125
          N
          N
          N
          N
          Y
          
            
              NATWEST GROUP PLC
              NATWEST GROUP PLC
              GBP
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NATWEST GROUP PLC SR UNSECURED 05/30 VAR
        780097BL4
        
          
        
        500000.000000
        PA
        USD
        562096.660000
        0.0802211
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-05-08
          Floating
          4.445
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NATWEST GROUP PLC SR UNSECURED 09/23 3.875
        780097BD2
        
          
        
        300000.000000
        PA
        USD
        312953.900000
        0.0446640
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-09-12
          Fixed
          3.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST MARKETS PLC
        RR3QWICWWIPCS8A4S074
        NATWEST MARKETS PLC SR UNSECURED REGS 03/22 0.625
        ACI115315
        
          
        
        300000.000000
        PA
        
        342171.510000
        0.0488339
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-03-02
          Fixed
          0.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST MARKETS PLC
        RR3QWICWWIPCS8A4S074
        NATWEST MARKETS PLC SR UNSECURED REGS 05/24 1
        ACI1C3V82
        
          
        
        800000.000000
        PA
        
        933263.660000
        0.1331932
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-05-28
          Fixed
          1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3
        N/A
        NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A
        64830NAA9
        
          
        
        1119900.050000
        PA
        USD
        1142180.690000
        0.1630094
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-07-25
          Fixed
          2.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1
        N/A
        NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A
        64828XAA1
        
          
        
        929584.650000
        PA
        USD
        946605.620000
        0.1350973
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-11-25
          Variable
          2.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW ZEALAND GOVT
        549300237GPHG2AI7C34
        NEW ZEALAND GOVERNMENT BONDS 05/31 1.5
        ACI1FN6F7
        
          
        
        700000.000000
        PA
        
        446974.450000
        0.0637911
        Long
        DBT
        NUSS
        NZ
        N
        
        2
        
          2031-05-15
          Fixed
          1.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEWGATE FUNDING PLC 2007-3X
        N/A
        NEWGATE FUNDING PLC NGATE 2007 3X A3 REGS
        B2NDQFII2
        
          
        
        194117.680000
        PA
        
        259771.050000
        0.0370739
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2050-12-15
          Floating
          1.09838
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEWGATE FUNDING PLC-2007-1X
        N/A
        NEWGATE FUNDING PLC NGATE 2007 1X A3 REGS
        994BNLII5
        
          
        
        224218.860000
        PA
        
        294140.980000
        0.0419791
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2050-12-01
          Floating
          0.26663
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXTERA ENERGY CAPITAL HOLDINGS INC
        UMI46YPGBLUE4VGNNT48
        NEXTERA ENERGY CAPITAL COMPANY GUAR 02/22 VAR
        65339KBC3
        
          
        
        800000.000000
        PA
        USD
        800715.120000
        0.1142762
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-02-25
          Floating
          0.898
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR ACCEPTANCE COMPANY LLC
        7D6DIU2QXTUJRFNNJA49
        NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/22 VAR
        654740BE8
        
          
        
        1000000.000000
        PA
        USD
        1001085.770000
        0.1428726
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-28
          Floating
          0.90975
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR ACCEPTANCE COMPANY LLC
        7D6DIU2QXTUJRFNNJA49
        NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/28 2.45
        65480CAD7
        
          
        
        500000.000000
        PA
        USD
        486350.730000
        0.0694108
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-15
          Fixed
          2.45
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO LTD
        353800DRBDH1LUTNAY26
        NISSAN MOTOR CO SR UNSECURED 144A 09/23 3.043
        654744AA9
        
          
        
        200000.000000
        PA
        USD
        205300.450000
        0.0293000
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2023-09-15
          Fixed
          3.043
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO LTD
        353800DRBDH1LUTNAY26
        NISSAN MOTOR CO SR UNSECURED 144A 09/25 3.522
        654744AB7
        
          
        
        400000.000000
        PA
        USD
        419638.710000
        0.0598899
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2025-09-17
          Fixed
          3.522
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO LTD
        353800DRBDH1LUTNAY26
        NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345
        654744AC5
        
          
        
        400000.000000
        PA
        USD
        432145.250000
        0.0616748
        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
        
          
        
        400000.000000
        PA
        USD
        447823.540000
        0.0639123
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2030-09-17
          Fixed
          4.81
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA HOME EQUITY LOAN INC 2006-WF1
        N/A
        NOMURA HOME EQUITY LOAN INC NHELI 2006 WF1 M2
        65536RAF3
        
          
        
        549146.470000
        PA
        USD
        546589.260000
        0.0780079
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-25
          Floating
          0.53688
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORDEA KREDIT REALKREDITAKTIESELSKAB
        52990080NNXXLC14OC65
        NORDEA KREDIT REALKREDIT COVERED 10/37 1.5
        BVG7BHII1
        
          
        
        1.230000
        PA
        
        0.190000
        0.0000000
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2037-10-01
          Fixed
          1.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORDEA KREDIT REALKREDITAKTIESELSKAB
        52990080NNXXLC14OC65
        NORDEA KREDIT REALKREDIT COVERED 10/50 1
        BKDSHHII6
        
          
        
        24087243.720000
        PA
        
        3483810.370000
        0.4972013
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2050-10-01
          Fixed
          1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORDEA KREDIT REALKREDITAKTIESELSKAB
        52990080NNXXLC14OC65
        NORDEA KREDIT REALKREDIT COVERED 10/50 1.5
        BH3VWJII6
        
          
        
        1.250000
        PA
        
        0.190000
        0.0000000
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2050-10-01
          Fixed
          1.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORDEA KREDIT REALKREDITAKTIESELSKAB
        52990080NNXXLC14OC65
        NORDEA KREDIT REALKREDIT COVERED 10/53 1.5
        ACI1Z8QZ2
        
          
        
        1000000.000000
        PA
        
        144212.000000
        0.0205816
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2053-10-01
          Fixed
          1.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORDEA KREDIT REALKREDITAKTIESELSKAB
        52990080NNXXLC14OC65
        NORDEA KREDIT REALKREDIT COVERED 10/53 1.5
        BL6K5DII1
        
          
        
        4600000.000000
        PA
        
        690487.670000
        0.0985448
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2053-10-01
          Fixed
          1.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORDEA KREDIT REALKREDITAKTIESELSKAB
        52990080NNXXLC14OC65
        NORDEA KREDIT REALKREDIT COVERED REGS 10/50 1
        BK99HJII9
        
          
        
        22154988.550000
        PA
        
        3243347.460000
        0.4628830
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2050-10-01
          Fixed
          1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTHERN TERRITORY TREASURY CORPORATION
        254900V4FQ2K6E3VJ628
        NORTHERN TERRITORY TREAS LOCAL GOVT G REGS 04/31 2
        ACI1K8177
        
          
        
        800000.000000
        PA
        
        574294.970000
        0.0819620
        Long
        DBT
        MUN
        AU
        N
        
        2
        
          2031-04-21
          Fixed
          2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOVASTAR HOME EQUITY LOAN 2007-1
        N/A
        NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A1A
        669971AA1
        
          
        
        602895.740000
        PA
        USD
        468326.640000
        0.0668385
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-25
          Floating
          0.23188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NYKREDIT REALKREDIT A/S
        LIU16F6VZJSD6UKHD557
        NYKREDIT REALKREDIT AS COVERED REGS 10/22 VAR
        ACI0XJPZ3
        
          
        
        1400000.000000
        PA
        
        1599685.320000
        0.2283034
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2022-10-01
          Floating
          0.000001
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NYKREDIT REALKREDIT A/S
        LIU16F6VZJSD6UKHD557
        NYKREDIT REALKREDIT AS COVERED REGS 10/50 1
        ACI1CY5Z3
        
          
        
        34141407.270000
        PA
        
        4924907.340000
        0.7028713
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2050-10-01
          Fixed
          1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NYKREDIT REALKREDIT A/S
        LIU16F6VZJSD6UKHD557
        NYKREDIT REALKREDIT AS COVERED REGS 10/50 1
        BK9CXBII1
        
          
        
        22094071.310000
        PA
        
        3228510.360000
        0.4607655
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2050-10-01
          Fixed
          1
          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
        
          
        
        600000.000000
        PA
        USD
        605266.120000
        0.0863822
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2026-10-29
          Fixed
          2.45
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NYKREDIT REALKREDIT A/S
        LIU16F6VZJSD6UKHD557
        NYKREDIT REALKREDIT AS COVERED REGS 10/53 1
        ACI1N7309
        
          
        
        11832697.000000
        PA
        
        1707322.650000
        0.2436651
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2053-10-01
          Fixed
          1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NYKREDIT REALKREDIT A/S
        LIU16F6VZJSD6UKHD557
        NYKREDIT REALKREDIT AS COVERED REGS 10/53 1
        ACI1N9610
        
          
        
        1500000.000000
        PA
        
        213217.900000
        0.0304300
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2053-10-01
          Fixed
          1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NYKREDIT REALKREDIT A/S
        LIU16F6VZJSD6UKHD557
        NYKREDIT REALKREDIT AS COVERED REGS 10/53 1.5
        ACI1NN643
        
          
        
        1800000.000000
        PA
        
        266470.710000
        0.0380301
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2053-10-01
          Fixed
          1.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NYKREDIT REALKREDIT A/S
        LIU16F6VZJSD6UKHD557
        NYKREDIT REALKREDIT AS COVERED REGS 10/53 1.5
        ACI1P1CP5
        
          
        
        17900000.000000
        PA
        
        2680594.910000
        0.3825682
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2053-10-01
          Fixed
          1.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST
        N/A
        AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/28 3
        00774MAW5
        
          
        
        600000.000000
        PA
        USD
        608950.990000
        0.0869081
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2028-10-29
          Fixed
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONE NEW YORK PLAZA TRUST 2020-1NYP
        N/A
        ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A
        68249DAA7
        
          
        
        1600000.000000
        PA
        USD
        1599036.640000
        0.2282108
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-15
          Floating
          1.06
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OPTION ONE MORTGAGE LOAN TRUST 2007-1
        N/A
        OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 1A1
        68400DAA2
        
          
        
        356182.480000
        PA
        USD
        272829.510000
        0.0389376
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-25
          Floating
          0.24188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORPORATION
        1Z4GXXU7ZHVWFCD8TV52
        ORACLE CORP SR UNSECURED 03/31 2.875
        68389XCE3
        
          
        
        2300000.000000
        PA
        USD
        2316463.610000
        0.3306003
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2031-03-25
          Fixed
          2.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORPORATION
        1Z4GXXU7ZHVWFCD8TV52
        ORACLE CORP SR UNSECURED 03/51 3.95
        68389XCA1
        
          
        
        300000.000000
        PA
        USD
        311964.280000
        0.0445228
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2051-03-25
          Fixed
          3.95
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORPORATION
        1Z4GXXU7ZHVWFCD8TV52
        ORACLE CORP SR UNSECURED 03/61 4.1
        68389XCB9
        
          
        
        100000.000000
        PA
        USD
        104487.400000
        0.0149122
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2061-03-25
          Fixed
          4.1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIB GROUP PLC (AKA: ALLIED IRISH BANKS)
        635400AKJBGNS5WNQL34
        AIB GROUP PLC SR UNSECURED 144A 10/23 4.75
        00135TAA2
        
          
        
        200000.000000
        PA
        USD
        211617.070000
        0.0302015
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-10-12
          Fixed
          4.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV
        N/A
        ORGANON + CO/ORG SR UNSECURED 144A 04/31 5.125
        68622TAB7
        
          
        
        400000.000000
        PA
        USD
        418590.000000
        0.0597402
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-30
          Fixed
          5.125
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORIX CORPORATION
        35380016EMHNBOVYE123
        ORIX CORP SR UNSECURED 12/24 3.25
        686330AK7
        
          
        
        200000.000000
        PA
        USD
        210876.840000
        0.0300958
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-12-04
          Fixed
          3.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIB GROUP PLC (AKA: ALLIED IRISH BANKS)
        635400AKJBGNS5WNQL34
        AIB GROUP PLC SUBORDINATED REGS 05/31 VAR
        BMBQMGII4
        
          
        
        500000.000000
        PA
        
        601131.780000
        0.0857921
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2031-05-30
          Floating
          2.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS AND ELECTRIC COMPANY
        1HNPXZSMMB7HMBMVBS46
        PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/26 2.95
        694308HP5
        
          
        
        100000.000000
        PA
        USD
        101808.180000
        0.0145298
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          2.95
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS AND ELECTRIC COMPANY
        1HNPXZSMMB7HMBMVBS46
        PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/25 3.45
        694308JL2
        
          
        
        100000.000000
        PA
        USD
        103805.140000
        0.0148148
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          3.45
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS AND ELECTRIC COMPANY
        1HNPXZSMMB7HMBMVBS46
        PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55
        694308JM0
        
          
        
        200000.000000
        PA
        USD
        216445.470000
        0.0308906
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-01
          Fixed
          4.55
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS AND ELECTRIC COMPANY
        1HNPXZSMMB7HMBMVBS46
        PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/27 2.1
        694308JF5
        
          
        
        100000.000000
        PA
        USD
        96623.040000
        0.0137898
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-01
          Fixed
          2.1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS AND ELECTRIC COMPANY
        1HNPXZSMMB7HMBMVBS46
        PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4
        694308HR1
        
          
        
        100000.000000
        PA
        USD
        97344.620000
        0.0138928
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-12-01
          Fixed
          4
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST
        N/A
        AIR CANADA 2017 1AA PTT PASS THRU CE 144A 07/31 3.3
        00908PAA5
        
          
        
        84640.000000
        PA
        USD
        86258.410000
        0.0123106
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2031-07-15
          Fixed
          3.3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PALMER SQUARE LOAN FUNDING 2021-3
        N/A
        PALMER SQUARE LOAN FUNDING LTD PSTAT 2021 3A A1 144A
        69702BAA9
        
          
        
        1600000.000000
        PA
        USD
        1598841.740000
        0.2281830
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2029-07-20
          Floating
          0.971
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP
        N/A
        PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 03/25 3.95
        709599AZ7
        
          
        
        1400000.000000
        PA
        USD
        1492847.290000
        0.2130557
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-10
          Fixed
          3.95
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PEPPER RESIDENTIAL SECURITIES TRUST NO. 25A
        N/A
        PEPPER RESIDENTIAL SECURITIES PEPAU 25A A1U 144A
        71336JAA2
        
          
        
        251884.640000
        PA
        USD
        251782.520000
        0.0359338
        Long
        ABS-MBS
        CORP
        AU
        N
        
        2
        
          2061-03-12
          Floating
          1.03463
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERU GOVT
        254900STKLK2DBJJZ530
        REPUBLIC OF PERU BONDS 144A 08/40 5.35
        715638DB5
        
          
        
        1100000.000000
        PA
        
        236193.410000
        0.0337090
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2040-08-12
          Fixed
          5.35
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERU GOVT
        254900STKLK2DBJJZ530
        REPUBLIC OF PERU SR UNSECURED 12/60 2.78
        715638DQ2
        
          
        
        700000.000000
        PA
        USD
        616007.000000
        0.0879151
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2060-12-01
          Fixed
          2.78
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERU GOVT
        254900STKLK2DBJJZ530
        REPUBLIC OF PERU SR UNSECURED 144A 02/29 5.94
        715638BX9
        
          
        
        200000.000000
        PA
        
        51431.790000
        0.0073402
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2029-02-12
          Fixed
          5.94
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERU GOVT
        254900STKLK2DBJJZ530
        REPUBLIC OF PERU SR UNSECURED 144A 08/28 6.35
        715638BV3
        
          
        
        9400000.000000
        PA
        
        2482033.320000
        0.3542300
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2028-08-12
          Fixed
          6.35
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERU GOVT
        254900STKLK2DBJJZ530
        REPUBLIC OF PERU SR UNSECURED REGS 02/29 5.94
        715638CE0
        
          
        
        500000.000000
        PA
        
        128579.480000
        0.0183506
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2029-02-12
          Fixed
          5.94
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERU GOVT
        254900STKLK2DBJJZ530
        REPUBLIC OF PERU SR UNSECURED REGS 02/29 5.94
        P78024AE9
        
          
        
        4700000.000000
        PA
        
        1208647.130000
        0.1724953
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2029-02-12
          Fixed
          5.94
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERU GOVT
        254900STKLK2DBJJZ530
        REPUBLIC OF PERU SR UNSECURED REGS 08/28 6.35
        P78024AC3
        
          
        
        5800000.000000
        PA
        
        1531467.370000
        0.2185674
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2028-08-12
          Fixed
          6.35
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETRONAS CAPITAL LIMITED
        549300G7YFX3540OYR85
        PETRONAS CAPITAL LIMITED 04/61 3.404
        71675CAE8
        
          
        
        400000.000000
        PA
        USD
        412459.370000
        0.0588652
        Long
        DBT
        CORP
        MY
        N
        
        2
        
          2061-04-28
          Fixed
          3.404
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETRONAS CAPITAL LIMITED
        549300G7YFX3540OYR85
        PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/30 3.5
        716743AP4
        
          
        
        300000.000000
        PA
        USD
        324900.200000
        0.0463690
        Long
        DBT
        CORP
        MY
        N
        
        2
        
          2030-04-21
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETRONAS CAPITAL LIMITED
        549300G7YFX3540OYR85
        PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/50 4.55
        716743AR0
        
          
        
        200000.000000
        PA
        USD
        248353.350000
        0.0354444
        Long
        DBT
        CORP
        MY
        N
        
        2
        
          2050-04-21
          Fixed
          4.55
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETRONAS CAPITAL LIMITED
        549300G7YFX3540OYR85
        PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/60 4.8
        716743AS8
        
          
        
        200000.000000
        PA
        USD
        265264.150000
        0.0378579
        Long
        DBT
        CORP
        MY
        N
        
        2
        
          2060-04-21
          Fixed
          4.8
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRECISE MORTGAGE FUNDING 2019-1B PLC 19-1B
        N/A
        PRECISE MORTGAGE FUNDING PMF 2019 1B A2 REGS
        ACI1RRM26
        
          
        
        1200000.000000
        PA
        
        1640015.270000
        0.2340591
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2055-12-12
          Floating
          1.3391
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PREFERRED TERM SECS XVII LTD
        N/A
        PREFERRED TERM SECS XVII SECURED 144A 06/35 VAR
        74042EAA2
        
          
        
        691442.860000
        PA
        USD
        649956.290000
        0.0927602
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2035-06-23
          Floating
          0.61563
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROVINCE OF QUEBEC
        549300WN65YFEQH74Y36
        PROVINCE OF QUEBEC UNSECURED 09/23 3
        74814ZEP4
        
          
        
        1100000.000000
        PA
        
        897802.960000
        0.1281323
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2023-09-01
          Fixed
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PSA TREASURY PTE LTD
        254900X7FR3V7789SL36
        PSA TREASURY PTE LTD COMPANY GUAR REGS 04/26 2.5
        ACI0LV3H3
        
          
        
        400000.000000
        PA
        USD
        414473.120000
        0.0591526
        Long
        DBT
        CORP
        SG
        N
        
        2
        
          2026-04-12
          Fixed
          2.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QATAR ENERGY
        254900QTESJKJ3P87J26
        QATAR ENERGY SR UNSECURED 144A 07/31 2.25
        74730DAC7
        
          
        
        300000.000000
        PA
        USD
        297929.700000
        0.0425198
        Long
        DBT
        CORP
        QA
        N
        
        2
        
          2031-07-12
          Fixed
          2.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QATAR ENERGY
        254900QTESJKJ3P87J26
        QATAR ENERGY SR UNSECURED 144A 07/41 3.125
        74730DAE3
        
          
        
        400000.000000
        PA
        USD
        405303.200000
        0.0578439
        Long
        DBT
        CORP
        QA
        N
        
        2
        
          2041-07-12
          Fixed
          3.125
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QATAR ENERGY
        254900QTESJKJ3P87J26
        QATAR ENERGY SR UNSECURED 144A 07/51 3.3
        74730DAD5
        
          
        
        500000.000000
        PA
        USD
        516513.500000
        0.0737156
        Long
        DBT
        CORP
        QA
        N
        
        2
        
          2051-07-12
          Fixed
          3.3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QATAR ENERGY
        254900QTESJKJ3P87J26
        QATAR ENERGY SR UNSECURED 144A 09/26 1.375
        74730DAB9
        
          
        
        400000.000000
        PA
        USD
        392748.000000
        0.0560521
        Long
        DBT
        CORP
        QA
        N
        
        2
        
          2026-09-12
          Fixed
          1.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QATAR GOVT
        52990074F6OJOAXK4P65
        STATE OF QATAR SR UNSECURED 144A 04/50 4.4
        74727PBE0
        
          
        
        400000.000000
        PA
        USD
        497774.400000
        0.0710412
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2050-04-16
          Fixed
          4.4
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QATAR GOVT
        52990074F6OJOAXK4P65
        STATE OF QATAR SR UNSECURED REGS 03/24 3.375
        ACI19CQH2
        
          
        
        400000.000000
        PA
        USD
        419316.000000
        0.0598438
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2024-03-14
          Fixed
          3.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QATAR GOVT
        52990074F6OJOAXK4P65
        STATE OF QATAR SR UNSECURED REGS 04/23 3.875
        ACI122SK2
        
          
        
        3800000.000000
        PA
        USD
        3953520.000000
        0.5642371
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2023-04-23
          Fixed
          3.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QNB FINANCE LTD
        549300MY0DXTHQEX5O57
        QNB FINANCE LTD COMPANY GUAR REGS 05/22 VAR
        ACI1BFTD8
        
          
        
        1000000.000000
        PA
        USD
        1001892.000000
        0.1429877
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2022-05-02
          Floating
          1.13225
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A
        N/A
        REAL ESTATE ASSET LIQUIDITY TR REALT 2018 1A A1 144A
        75585RQL2
        
          
        
        359457.290000
        PA
        
        289716.980000
        0.0413477
        Long
        ABS-MBS
        CORP
        CA
        N
        
        2
        
          2053-08-12
          Fixed
          3.072
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A
        N/A
        REAL ESTATE ASSET LIQUIDITY TR REALT 2020 1A A1 144A
        75585RRT4
        
          
        
        460659.920000
        PA
        
        366779.910000
        0.0523460
        Long
        ABS-MBS
        CORP
        CA
        N
        
        2
        
          2055-02-12
          Fixed
          2.381
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A
        N/A
        REAL ESTATE ASSET LIQUIDITY TR REALT 2020 1A A2 144A
        75585RRU1
        
          
        
        1000000.000000
        PA
        
        800458.520000
        0.1142396
        Long
        ABS-MBS
        CORP
        CA
        N
        
        2
        
          2055-02-12
          Fixed
          2.867
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REALKREDIT DANMARK A/S
        549300NLOMBOWE943Y30
        REALKREDIT DANMARK COVERED REGS 10/50 1
        BKDSHLII7
        
          
        
        5500000.000000
        PA
        
        802428.030000
        0.1145207
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2050-10-01
          Fixed
          1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REALKREDIT DANMARK A/S
        549300NLOMBOWE943Y30
        REALKREDIT DANMARK COVERED REGS 10/53 1
        BL63VKII4
        
          
        
        3000000.000000
        PA
        
        433210.090000
        0.0618267
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2053-10-01
          Fixed
          1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REALKREDIT DANMARK A/S
        549300NLOMBOWE943Y30
        REALKREDIT DANMARK COVERED REGS 10/53 1.5
        ACI1WVDP0
        
          
        
        2200000.000000
        PA
        
        325433.820000
        0.0464452
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2053-10-01
          Fixed
          1.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REALKREDIT DANMARK A/S
        549300NLOMBOWE943Y30
        REALKREDIT DANMARK COVERED REGS 10/53 1.5
        BMXQXJII2
        
          
        
        2600000.000000
        PA
        
        389778.090000
        0.0556282
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2053-10-01
          Fixed
          1.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RECKITT BENCKISER TREASURY SERVICES PLC
        213800LAXWIUOOBZ3908
        RECKITT BENCKISER TSY COMPANY GUAR 144A 06/22 2.375
        75625QAC3
        
          
        
        600000.000000
        PA
        USD
        604548.430000
        0.0862797
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-06-24
          Fixed
          2.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RENAISSANCE HOME EQ LN TRUST 2002-3
        N/A
        RENAISSANCE HOME EQUITY LOAN T RAMC 2002 3 M2
        75970NAC1
        
          
        
        143433.650000
        PA
        USD
        143376.620000
        0.0204624
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-12-25
          Floating
          2.65188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RENAISSANCE HOME EQUITY LOAN TR 2006-3
        N/A
        RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF6
        75971EAJ5
        
          
        
        969957.160000
        PA
        USD
        495837.930000
        0.0707648
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Variable
          5.731
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RENAISSANCE HOME EQUITY LOAN TR 2006-4
        N/A
        RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF3
        75970HAF7
        
          
        
        640436.110000
        PA
        USD
        308605.030000
        0.0440434
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-25
          Variable
          5.294
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RENAISSANCE HOME EQUITY LOAN TR 2007-2
        N/A
        RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF2
        75970QAE0
        
          
        
        1052816.740000
        PA
        USD
        416482.620000
        0.0594394
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-06-25
          Variable
          5.675
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        RESIDENTIAL ACCREDIT LOANS 2006-QO3
        N/A
        RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO3 A1
        761118WP9
        
          
        
        388579.390000
        PA
        USD
        145764.910000
        0.0208032
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-04-25
          Floating
          0.52188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RESIDENTIAL ACCREDIT LOANS 2006-QO6
        N/A
        RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO6 A1
        75114NAA2
        
          
        
        236165.190000
        PA
        USD
        72871.010000
        0.0104000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-06-25
          Floating
          0.46188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RESIDENTIAL ACCREDIT LOANS 2006-QS6
        N/A
        RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A1
        74922EAA7
        
          
        
        443888.230000
        PA
        USD
        438231.010000
        0.0625433
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-06-25
          Fixed
          6
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        RESIDENTIAL ACCREDIT LOANS 2007-QH8
        N/A
        RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A
        74924EAA5
        
          
        
        188005.830000
        PA
        USD
        186055.870000
        0.0265535
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-25
          Variable
          1.00987
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RESIDENTIAL ACCREDIT LOANS INC 2007-QO2
        N/A
        RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO2 A1
        75116AAA8
        
          
        
        22314.610000
        PA
        USD
        10906.120000
        0.0015565
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-02-25
          Floating
          0.25188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RESIDENTIAL ASSET MGTE PROD INC 2005-EFC7
        N/A
        RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC7 A2
        76112BR85
        
          
        
        771147.420000
        PA
        USD
        716987.960000
        0.1023268
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Floating
          0.56188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1
        N/A
        RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 NC1 AII
        76112BR36
        
          
        
        260011.090000
        PA
        USD
        246754.090000
        0.0352162
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Floating
          0.54188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RESIDENTIAL ASSET SEC CORP 2006-KS9
        N/A
        RESIDENTIAL ASSET SECURITIES C RASC 2006 KS9 AI4
        75406YAD9
        
          
        
        1979865.630000
        PA
        USD
        1961565.140000
        0.2799500
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Floating
          0.35188
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A
        N/A
        RESIDENTIAL MORTGAGE SECURITIE RMS 32A A 144A
        ACI1PKR28
        
          
        
        807789.420000
        PA
        
        1103852.470000
        0.1575392
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2070-06-20
          Floating
          1.4204
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RESIMAC BASTILLE TRUST SERIES 2019-1NC
        N/A
        RESIMAC RESI 2019 1NCA A1 144A
        76119UAA9
        
          
        
        372267.380000
        PA
        USD
        372332.370000
        0.0531384
        Long
        ABS-MBS
        CORP
        AU
        N
        
        2
        
          2057-09-05
          Floating
          1.03125
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RIPON MORTGAGES PLC 1A
        N/A
        RIPON MORTGAGES RIPON 1A A1 144A
        ACI0TMV43
        
          
        
        1850808.310000
        PA
        
        2507682.190000
        0.3578905
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2056-08-20
          Floating
          0.91438
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RIPON MORTGAGES PLC 1X
        N/A
        RIPON MORTGAGES RIPON 1X A1 REGS
        ACI0TMVB7
        
          
        
        729106.300000
        PA
        
        987874.800000
        0.1409872
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2056-08-20
          Floating
          0.91438
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RMAC 2018-1 PLC 18-1
        N/A
        RMAC PLC RMAC 2018 1 A REGS
        ACI11M5K4
        
          
        
        1823012.070000
        PA
        
        2467542.100000
        0.3521618
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2046-06-12
          Floating
          0.79463
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RMAC SECURITIES PLC 2006-NS3X
        N/A
        RMAC SECURITIES PLC RMACS 2006 NS3X A2A REGS
        B1FJ01II9
        
          
        
        348855.070000
        PA
        
        458950.500000
        0.0655003
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2044-06-12
          Floating
          0.24463
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROLLS-ROYCE PLC
        X57JK1U580XATGR67572
        ROLLS ROYCE PLC COMPANY GUAR REGS 10/27 5.75
        ACI1S61G3
        
          
        
        400000.000000
        PA
        
        603371.960000
        0.0861118
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-10-15
          Fixed
          5.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA GOVT
        315700IASY927EDWBK92
        ROMANIA UNSECURED 144A 04/33 2
        ACI1X0BQ7
        
          
        
        500000.000000
        PA
        
        519921.080000
        0.0742019
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2033-04-14
          Fixed
          2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA GOVT
        315700IASY927EDWBK92
        ROMANIA UNSECURED 144A 04/42 2.875
        ACI1Z3VF1
        
          
        
        800000.000000
        PA
        
        817740.530000
        0.1167060
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2042-04-13
          Fixed
          2.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA GOVT
        315700IASY927EDWBK92
        ROMANIA UNSECURED 144A 07/30 1.75
        ACI1Z3TC1
        
          
        
        700000.000000
        PA
        
        745892.760000
        0.1064521
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2030-07-13
          Fixed
          1.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA GOVT
        315700IASY927EDWBK92
        ROMANIA UNSECURED 144A 12/29 1.375
        ACI1T3QY3
        
          
        
        600000.000000
        PA
        
        653543.250000
        0.0932722
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2029-12-02
          Fixed
          1.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA GOVT
        315700IASY927EDWBK92
        ROMANIA UNSECURED 144A 12/40 2.625
        ACI1T3QG2
        
          
        
        400000.000000
        PA
        
        406561.060000
        0.0580234
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2040-12-02
          Fixed
          2.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SA GLOBAL SUKUK LIMITED
        5493007DFAVKU7UOGR47
        SA GLOBAL SUKUK LTD SR UNSECURED 144A 06/31 2.694
        78397PAD3
        
          
        
        400000.000000
        PA
        USD
        403091.200000
        0.0575282
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2031-06-17
          Fixed
          2.694
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAMHALLSBYGGNADSBOLAGET I NORDEN AB
        549300HX9MRFY47AH564
        SAMHALLSBYGGNADSBOLAGET I NORD 01/22 ZCP
        936LNX006
        
          
        
        3200000.000000
        PA
        
        3644244.990000
        0.5200981
        Long
        DBT
        CORP
        SE
        N
        
        2
        
          2022-01-13
          None
          0
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        SANDS CHINA LTD SR UNSECURED 08/25 5.125
        80007RAF2
        
          
        
        200000.000000
        PA
        USD
        210035.000000
        0.0299757
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-08-08
          Fixed
          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
        538992.500000
        0.0769238
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-08-08
          Fixed
          5.4
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HOLDINGS PLC
        549300F5XIFGNNW4CF72
        SANTANDER UK GROUP HLDGS JR SUBORDINA REGS 12/49 VAR
        ACI0CTJV0
        
          
        
        200000.000000
        PA
        
        277308.550000
        0.0395768
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-06-24
          Floating
          7.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HOLDINGS PLC
        549300F5XIFGNNW4CF72
        SANTANDER UK GROUP HLDGS SR UNSECURED 11/24 VAR
        80281LAJ4
        
          
        
        2400000.000000
        PA
        USD
        2548355.400000
        0.3636953
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-11-15
          Floating
          4.796
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER UK PLC
        PTCQB104N23FMNK2RZ28
        SANTANDER UK PLC COVERED 144A 02/27 VAR
        ACI1JX7D5
        
          
        
        500000.000000
        PA
        
        685755.780000
        0.0978695
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-02-12
          Floating
          0.635
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SARANAC CLO LTD 2018-6A
        N/A
        SARANAC CLO LTD SRANC 2018 6A A1R 144A
        80317LAJ2
        
          
        
        1700000.000000
        PA
        USD
        1700216.800000
        0.2426510
        Long
        ABS-CBDO
        CORP
        JE
        
        N
        
        2
        
          2031-08-13
          Floating
          1.25413
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI ARABIA GOVT
        635400FMICXSM3SI3H65
        SAUDI INTERNATIONAL BOND SR UNSECURED REGS 04/25 4
        M6320UAH2
        
          
        
        1700000.000000
        PA
        USD
        1834481.900000
        0.2618130
        Long
        DBT
        NUSS
        SA
        N
        
        2
        
          2025-04-17
          Fixed
          4
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)
        5586006WD91QHB7J4X50
        SAUDI ARABIAN OIL CO SR UNSECURED 144A 04/22 2.75
        80414L2A2
        
          
        
        400000.000000
        PA
        USD
        402850.000000
        0.0574938
        Long
        DBT
        CORP
        SA
        N
        
        2
        
          2022-04-16
          Fixed
          2.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)
        5586006WD91QHB7J4X50
        SAUDI ARABIAN OIL CO SR UNSECURED 144A 11/25 1.625
        80414L2H7
        
          
        
        500000.000000
        PA
        USD
        497910.000000
        0.0710606
        Long
        DBT
        CORP
        SA
        N
        
        2
        
          2025-11-24
          Fixed
          1.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAXON ASSET SECURITIES TRUST 2007-4
        N/A
        SAXON ASSET SECURITIES TRUST SAST 2007 4 A2 144A
        80557CAB8
        
          
        
        330655.320000
        PA
        USD
        329184.040000
        0.0469804
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-12-25
          Floating
          1.85188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)
        529900JL0HDVGZMUJF32
        IHO VERWALTUNGS GMBH SR SECURED 144A 05/27 6
        44963BAE8
        
          
        
        900000.000000
        PA
        USD
        930015.000000
        0.1327296
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-05-15
          Fixed
          6
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)
        529900JL0HDVGZMUJF32
        IHO VERWALTUNGS GMBH SR SECURED REGS 05/27 3.875
        ACI1C6196
        
          
        
        200000.000000
        PA
        
        232680.860000
        0.0332077
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-05-15
          Fixed
          3.875
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        SERBIA GOVT
        254900W94OCY91V32O78
        REPUBLIC OF SERBIA SR UNSECURED 144A 09/28 1
        ACI20JHB7
        
          
        
        500000.000000
        PA
        
        540685.570000
        0.0771654
        Long
        DBT
        NUSS
        RS
        N
        
        2
        
          2028-09-23
          Fixed
          1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SERBIA GOVT
        254900W94OCY91V32O78
        REPUBLIC OF SERBIA SR UNSECURED 144A 09/36 2.05
        ACI20JFB9
        
          
        
        500000.000000
        PA
        
        521354.090000
        0.0744064
        Long
        DBT
        NUSS
        RS
        N
        
        2
        
          2036-09-23
          Fixed
          2.05
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST
        N/A
        AMER AIRLINE 16 3 AA PTT PASS THRU CE 04/30 3
        023771R91
        
          
        
        231549.190000
        PA
        USD
        230677.730000
        0.0329218
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHRIRAM TRANSPORT FINANCE COMPANY LIMITED
        335800TM2YO24B76XL26
        SHRIRAM TRANSPORT FIN SR SECURED REGS 10/22 5.95
        Y7758EEC1
        
          
        
        500000.000000
        PA
        USD
        508605.000000
        0.0725869
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2022-10-24
          Fixed
          5.95
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SINGAPORE GOVT
        549300ZSV6VOGFH1ER70
        SINGAPORE GOVERNMENT BONDS 03/46 2.75
        ACI0KYHM2
        
          
        
        100000.000000
        PA
        
        83378.890000
        0.0118996
        Long
        DBT
        NUSS
        SG
        N
        
        2
        
          2046-03-01
          Fixed
          2.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SINGAPORE GOVT
        549300ZSV6VOGFH1ER70
        SINGAPORE GOVERNMENT BONDS 04/42 2.75
        ACI01TEL9
        
          
        
        400000.000000
        PA
        
        330397.640000
        0.0471536
        Long
        DBT
        NUSS
        SG
        N
        
        2
        
          2042-04-01
          Fixed
          2.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SINGAPORE GOVT
        549300ZSV6VOGFH1ER70
        SINGAPORE GOVERNMENT BONDS 09/30 2.875
        985MUGII5
        
          
        
        1900000.000000
        PA
        
        1542583.130000
        0.2201539
        Long
        DBT
        NUSS
        SG
        N
        
        2
        
          2030-09-01
          Fixed
          2.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SINGAPORE GOVT
        549300ZSV6VOGFH1ER70
        SINGAPORE GOVERNMENT BONDS 09/33 3.375
        B9L2YVII9
        
          
        
        1900000.000000
        PA
        
        1631341.150000
        0.2328212
        Long
        DBT
        NUSS
        SG
        N
        
        2
        
          2033-09-01
          Fixed
          3.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SINGAPORE GOVT
        549300ZSV6VOGFH1ER70
        SINGAPORE GOVERNMENT BONDS 10/51 1.875
        ACI20SJP4
        
          
        
        2100000.000000
        PA
        
        1484197.640000
        0.2118212
        Long
        DBT
        NUSS
        SG
        N
        
        2
        
          2051-10-01
          Fixed
          1.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SL GREEN OPERATING PARTNERSHIP LP
        2K1OXW4LY7IS2U150Y32
        SL GREEN OPERATING PARTN COMPANY GUAR 10/22 3.25
        78444FAF3
        
          
        
        500000.000000
        PA
        USD
        508231.250000
        0.0725336
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-15
          Fixed
          3.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLOVENIA GOVT
        485100000LWQHIX4XX88
        REPUBLIC OF SLOVENIA SR UNSECURED 144A 02/24 5.25
        831594AG1
        
          
        
        396000.000000
        PA
        USD
        431510.900000
        0.0615842
        Long
        DBT
        NUSS
        SI
        N
        
        2
        
          2024-02-18
          Fixed
          5.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLOVENIA GOVT
        485100000LWQHIX4XX88
        REPUBLIC OF SLOVENIA SR UNSECURED REGS 02/24 5.25
        ACI07T7X5
        
          
        
        1023000.000000
        PA
        USD
        1114736.500000
        0.1590926
        Long
        DBT
        NUSS
        SI
        N
        
        2
        
          2024-02-18
          Fixed
          5.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE SA
        O2RNE8IBXP4R0TD8PU41
        SOCIETE GENERALE SR UNSECURED 144A 12/26 VAR
        83368RAZ5
        
          
        
        2400000.000000
        PA
        USD
        2338782.670000
        0.3337856
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-12-14
          Floating
          1.488
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUNDVIEW HOME EQUITY LN TR 2006-3
        N/A
        SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 3 A4
        83612HAD0
        
          
        
        1370790.810000
        PA
        USD
        1349771.790000
        0.1926363
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Floating
          0.60188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1
        N/A
        SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A2
        83612TAC6
        
          
        
        67330.480000
        PA
        USD
        57383.400000
        0.0081896
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-06-25
          Floating
          0.25188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTH AFRICA GOVT
        378900AAFB4F17004C49
        REPUBLIC OF SOUTH AFRICA SR UNSECURED 09/29 4.85
        836205BA1
        
          
        
        500000.000000
        PA
        USD
        517650.000000
        0.0738778
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2029-09-30
          Fixed
          4.85
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTH AUSTRALIAN GOVERNMENT FINANCING AUTHORITY
        254900TDPILDN6AUAD69
        SOUTH AUST GOVT FIN AUTH LOCAL GOVT G REGS 05/32 1.75
        BLLCYZII1
        
          
        
        800000.000000
        PA
        
        566519.070000
        0.0808523
        Long
        DBT
        MUN
        AU
        N
        
        2
        
          2032-05-24
          Fixed
          1.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTH KOREA GOVT
        549300O0QCVSQGPGDT58
        KOREA TREASURY BOND BONDS 03/28 5.5
        B2QK2VII4
        
          
        
        1350000000.000000
        PA
        
        1375988.160000
        0.1963778
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2028-03-10
          Fixed
          5.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTH KOREA GOVT
        549300O0QCVSQGPGDT58
        KOREA TREASURY BOND BONDS 06/27 2.125
        BD6K2YII6
        
          
        
        1225000000.000000
        PA
        
        1033325.830000
        0.1474738
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2027-06-10
          Fixed
          2.125
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTH KOREA GOVT
        549300O0QCVSQGPGDT58
        KOREA TREASURY BOND BONDS 06/28 2.625
        ACI12HKN1
        
          
        
        2450000000.000000
        PA
        
        2122640.180000
        0.3029382
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2028-06-10
          Fixed
          2.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTH KOREA GOVT
        549300O0QCVSQGPGDT58
        KOREA TREASURY BOND BONDS 12/27 2.375
        ACI0Z91H9
        
          
        
        1350000000.000000
        PA
        
        1153317.710000
        0.1645988
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2027-12-10
          Fixed
          2.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTH KOREA GOVT
        549300O0QCVSQGPGDT58
        KOREA TREASURY BOND BONDS 12/28 2.375
        BGGL77II0
        
          
        
        5820000000.000000
        PA
        
        4969585.570000
        0.7092476
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2028-12-10
          Fixed
          2.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CALIFORNIA EDISON COMPANY
        9R1Z5I36FERIBVKW4P77
        SOUTHERN CAL EDISON 1ST MORTGAGE 04/23 VAR
        842400HA4
        
          
        
        500000.000000
        PA
        USD
        500471.860000
        0.0714262
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-03
          Floating
          0.69002
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CALIFORNIA EDISON COMPANY
        9R1Z5I36FERIBVKW4P77
        SOUTHERN CAL EDISON 1ST MORTGAGE 04/24 1.1
        842400HB2
        
          
        
        300000.000000
        PA
        USD
        299010.720000
        0.0426741
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          1.1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CALIFORNIA EDISON COMPANY
        9R1Z5I36FERIBVKW4P77
        SOUTHERN CAL EDISON 1ST MORTGAGE 04/24 VAR
        842400HC0
        
          
        
        100000.000000
        PA
        USD
        100223.170000
        0.0143036
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Floating
          0.88
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPAIN GOVT
        9598007A56S18711AH60
        BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 07/24 0
        ACI1B8TR3
        
          
        
        2200000.000000
        PA
        
        2552377.150000
        0.3642693
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2024-07-30
          Fixed
          0.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPAIN GOVT
        9598007A56S18711AH60
        BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 07/28 1
        BD35VZII7
        
          
        
        5200000.000000
        PA
        
        6424095.180000
        0.9168319
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2028-07-30
          Fixed
          1.4
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPAIN GOVT
        9598007A56S18711AH60
        BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 07/37 0
        ACI1X3J42
        
          
        
        2100000.000000
        PA
        
        2344168.230000
        0.3345542
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2037-07-30
          Fixed
          0.85
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPAIN GOVT
        9598007A56S18711AH60
        BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 07/66 3
        BYZK81II4
        
          
        
        2700000.000000
        PA
        
        4627277.780000
        0.6603943
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2066-07-30
          Fixed
          3.45
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPAIN GOVT
        9598007A56S18711AH60
        BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/30 1
        BMWWMLII7
        
          
        
        1400000.000000
        PA
        
        1707938.000000
        0.2437529
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2030-10-31
          Fixed
          1.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPAIN GOVT
        9598007A56S18711AH60
        BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/31 0
        ACI1YSK10
        
          
        
        1000000.000000
        PA
        
        1131607.950000
        0.1615004
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2031-10-31
          Fixed
          0.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPAIN GOVT
        9598007A56S18711AH60
        BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/71 1
        BLH1ZLII0
        
          
        
        1600000.000000
        PA
        
        1589662.000000
        0.2268728
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2071-10-31
          Fixed
          1.45
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPIRIT AEROSYSTEMS INC
        ZD2NBKV6GCC3UMGBM518
        SPIRIT AEROSYSTEMS INC COMPANY GUAR 06/23 3.95
        85205TAJ9
        
          
        
        600000.000000
        PA
        USD
        604734.000000
        0.0863062
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          3.95
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC  / SPRINT SPECTRUM CO III LLC
        N/A
        SPRINT SPECTRUM / SPEC I SR SECURED 144A 03/25 4.738
        85208NAD2
        
          
        
        243750.000000
        PA
        USD
        255331.780000
        0.0364404
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-20
          Fixed
          4.738
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        STANDARD CHARTERED PLC SR UNSECURED 144A 01/25 VAR
        853254BY5
        
          
        
        1200000.000000
        PA
        USD
        1187714.360000
        0.1695078
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-01-12
          Floating
          0.991
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        STANDARD CHARTERED PLC SR UNSECURED 144A 01/27 VAR
        853254BZ2
        
          
        
        1200000.000000
        PA
        USD
        1163217.440000
        0.1660117
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-01-14
          Floating
          1.456
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2
        N/A
        STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A
        78486BAA2
        
          
        
        1700000.000000
        PA
        USD
        1699959.370000
        0.2426142
        Long
        ABS-O
        CORP
        KY
        
        N
        
        2
        
          2038-04-18
          Floating
          1.30863
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE BANK OF INDIA/LONDON BRANCH
        5493001JZ37UBBZF6L49
        STATE BANK INDIA/LONDON SR UNSECURED 144A 01/22 4
        85628UAH9
        
          
        
        200000.000000
        PA
        USD
        200326.000000
        0.0285901
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2022-01-24
          Fixed
          4
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN HOME MTGE INV TRUST 2005-2
        N/A
        AMERICAN HOME MORTGAGE INVESTM AHM 2005 2 4A1
        02660TEQ2
        
          
        
        2441.610000
        PA
        USD
        2447.900000
        0.0003494
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-09-25
          Floating
          1.746
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRATTON MORTGAGE FUNDING 21-2A
        N/A
        STRATTON MORTGAGE FUNDING PLC STRA 2021 2A A 144A
        ACI1W61K9
        
          
        
        1993653.760000
        PA
        
        2705598.950000
        0.3861368
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2060-07-20
          Floating
          0.979
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRATUS CLO 2021-2A LTD
        N/A
        STRATUS CLO STRAS 2021 2A A 144A
        86315TAA3
        
          
        
        1700000.000000
        PA
        USD
        1700000.000000
        0.2426200
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2029-12-28
          Floating
          1.08013
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ADJUSTABLE RATE MTG LN 2004-4
        N/A
        STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A2
        86359BNU1
        
          
        
        1344.010000
        PA
        USD
        1366.510000
        0.0001950
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-04-25
          Floating
          2.28377
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ASSEET MTGE INV INC 2002-AR3
        N/A
        STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1
        86358HNX3
        
          
        
        627.160000
        PA
        USD
        627.670000
        0.0000896
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-09-19
          Floating
          0.76388
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ASSET INVESTMENT LOAN TRUST 2006-1
        N/A
        STRUCTURED ASSET INVESTMENT LO SAIL 2006 1 A4
        86358EA97
        
          
        
        859636.520000
        PA
        USD
        848036.410000
        0.1210298
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Floating
          0.72188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ASSET INVST LN TR 2006-4
        N/A
        STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A2
        86360WAB8
        
          
        
        369546.760000
        PA
        USD
        307264.420000
        0.0438521
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Floating
          0.23275
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ASSET MTG INV INC 2004-AR1
        N/A
        STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A2
        86359LAQ2
        
          
        
        1793.540000
        PA
        USD
        1789.190000
        0.0002553
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-03-19
          Floating
          0.80388
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ASSET MTG INV INC 2004-AR3
        N/A
        STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2
        86359LBY4
        
          
        
        905.570000
        PA
        USD
        909.890000
        0.0001299
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-07-19
          Floating
          0.68388
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ASSET MTG INV INC 2005-AR2
        N/A
        STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1
        86359LJA8
        
          
        
        10623.200000
        PA
        USD
        10329.920000
        0.0014743
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-05-25
          Floating
          0.56188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ASSET MTG INV INC 2006-AR3
        N/A
        STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A1
        86360KAE8
        
          
        
        46507.840000
        PA
        USD
        45646.420000
        0.0065146
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-25
          Floating
          0.54188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ASSET MTG INV INC 2007-AR4
        N/A
        STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR4 A3
        86364MAC4
        
          
        
        63714.010000
        PA
        USD
        58589.720000
        0.0083618
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-09-25
          Floating
          0.32188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ASSET MTGE INVEST 2006-AR5
        N/A
        STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1
        86360JAA9
        
          
        
        6325.800000
        PA
        USD
        5593.600000
        0.0007983
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-25
          Floating
          0.52188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ASSET MTGE INVEST 2007-AR6
        N/A
        STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR6 A1
        86364RAA7
        
          
        
        22489.780000
        PA
        USD
        22111.500000
        0.0031557
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-08-25
          Floating
          1.58203
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ASSET SEC CORP 2006-RF1
        N/A
        STRUCTURED ASSET SECURITIES CO SASC 2006 RF1 1A 144A
        86359DXP7
        
          
        
        195472.020000
        PA
        USD
        185060.830000
        0.0264114
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Floating
          0.38188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED ASSET SEC CORP 2006-RF4
        N/A
        STRUCTURED ASSET SECURITIES CO SASC 2006 RF4 1A1 144A
        863911AA1
        
          
        
        392027.470000
        PA
        USD
        357687.510000
        0.0510483
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-25
          Floating
          0.39188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)
        5493006ORUSIL88JOE18
        AMERICAN TOWER CORP SR UNSECURED 01/25 2.95
        03027XAV2
        
          
        
        800000.000000
        PA
        USD
        831363.370000
        0.1186502
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          2.95
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYDNEY AIRPORT FINANCE COMPANY PTY LIMITED
        549300MJAANHLHOVTO40
        SYDNEY AIRPORT FINANCE SR SECURED 144A 03/23 3.9
        87124VAD1
        
          
        
        300000.000000
        PA
        USD
        309720.710000
        0.0442026
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2023-03-22
          Fixed
          3.9
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYMPHONY CLO XIV LTD 2014-14A
        N/A
        SYMPHONY CLO LTD SYMP 2014 14A AR 144A
        87159QBV9
        
          
        
        474910.400000
        PA
        USD
        475147.790000
        0.0678120
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2026-07-14
          Floating
          1.07675
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TBW MTGE BACKED PASS THRU CERT 2006-4
        N/A
        TBW MORTGAGE BACKED PASS THROU TBW 2006 4 A6
        872224AG5
        
          
        
        189270.430000
        PA
        USD
        11340.930000
        0.0016186
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-09-25
          Variable
          6.47
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        TENCENT HOLDINGS LIMITED
        254900N4SLUMW4XUYY11
        TENCENT HOLDINGS LTD SR UNSECURED REGS 01/28 3.595
        88032XAG9
        
          
        
        200000.000000
        PA
        USD
        212457.210000
        0.0303214
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-01-19
          Fixed
          3.595
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TERWIN MORTGAGE TRUST SERIES TMTS 2003-6HE
        N/A
        TERWIN MORTGAGE TRUST TMTS 2003 6HE A1
        881561CE2
        
          
        
        16813.890000
        PA
        USD
        16470.570000
        0.0023506
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-11-25
          Floating
          1.04188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TESCO PLC
        2138002P5RNKC5W2JZ46
        TESCO PLC SR UNSECURED 02/22 6.125
        G87623HR1
        
          
        
        50000.000000
        PA
        
        68205.860000
        0.0097342
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-02-24
          Fixed
          6.125
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TESCO PROPERTY FINANCE 5 PLC
        213800BN1HYPUZMXAF92
        TESCO PROPERTY FIN 5 PLC SR SECURED REGS 10/41 5.6611
        ACI01EQ39
        
          
        
        97590.080000
        PA
        
        171487.560000
        0.0244743
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2041-10-13
          Fixed
          5.6611
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TESCO PROPERTY FINANCE 6 PLC
        213800FORYFOB97FHO66
        TESCO PROPERTY FIN 6 PLC SR SECURED REGS 07/44 5.4111
        B9JST3II3
        
          
        
        185690.480000
        PA
        
        319691.230000
        0.0456256
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2044-07-13
          Fixed
          5.4111
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THL CREDIT WIND RIVER 2019-3 CLO LTD
        N/A
        WIND RIVER CLO LTD WINDR 2019 3A AR 144A
        97314JAA3
        
          
        
        1700000.000000
        PA
        USD
        1696949.570000
        0.2421847
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2031-04-15
          Floating
          1.20375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THORNBURG MORTGAGE SECURITIES TR 2007-3
        N/A
        THORNBURG MORTGAGE SECURITIES TMST 2007 3 2A1
        88522XAC5
        
          
        
        5370.580000
        PA
        USD
        5344.120000
        0.0007627
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-06-25
          Floating
          1.81113
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        THORNBURG MORTGAGE SECURITIES TR 2007-3
        N/A
        THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1
        88522XAE1
        
          
        
        10495.570000
        PA
        USD
        8799.710000
        0.0012559
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-06-25
          Floating
          1.81113
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        THORNBURG MORTGAGE SECURITIES TR 2007-3
        N/A
        THORNBURG MORTGAGE SECURITIES TMST 2007 3 4A1
        88522XAG6
        
          
        
        697.030000
        PA
        USD
        667.950000
        0.0000953
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-06-25
          Floating
          1.81113
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        TOWD POINT MORTGAGE FUNDING 19-A13A
        N/A
        TOWD POINT MORTGAGE FUNDING TPMF 2019 A13A A1 144A
        ACI1G4F01
        
          
        
        1856169.000000
        PA
        
        2517383.260000
        0.3592751
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2045-07-20
          Floating
          0.979
          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
        
          
        
        959913.770000
        PA
        
        1309489.370000
        0.1868873
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2051-10-20
          Floating
          1.23625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOWD POINT MORTGAGE TRUST 2019-4
        N/A
        TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A
        89178BAA2
        
          
        
        3201709.240000
        PA
        USD
        3268174.160000
        0.4664262
        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
        
          
        
        513569.640000
        PA
        USD
        516010.430000
        0.0736438
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-05-25
          Floating
          1.10188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOWD POINT MORTGAGE TRUST 2020-1
        N/A
        TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A
        89178WAU2
        
          
        
        946866.220000
        PA
        USD
        962366.610000
        0.1373467
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-25
          Variable
          2.71
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOWD POINT MORTGAGE TRUST 2020-2
        N/A
        TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A
        89176UAN4
        
          
        
        1011315.810000
        PA
        USD
        1005639.500000
        0.1435225
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-04-25
          Variable
          1.636
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2019-1A
        N/A
        TOYOTA AUTO LOAN EXTENDED NOTE TALNT 2019 1A A 144A
        89231XAA9
        
          
        
        1400000.000000
        PA
        USD
        1446461.240000
        0.2064356
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-11-25
          Fixed
          2.56
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMMC CLO 16 LTD 2015-16A
        N/A
        AMERICAN MONEY MANAGEMENT CORP AMMC 2015 16A AR2 144A
        00176JAT3
        
          
        
        1293460.830000
        PA
        USD
        1293165.130000
        0.1845575
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2029-04-14
          Floating
          1.10675
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TREASURY CORPORATION OF VICTORIA
        549300ZJM7BQW1P9UV75
        TREASURY CORP VICTORIA LOCAL GOVT G 12/32 4.25
        ACI06FV19
        
          
        
        1200000.000000
        PA
        
        1060622.970000
        0.1513696
        Long
        DBT
        MUN
        AU
        N
        
        2
        
          2032-12-20
          Fixed
          4.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRINITY SQUARE 2021-1 PLC A
        N/A
        TRINITY SQUARE TRINI 2021 1A A 144A
        ACI1WK7V8
        
          
        
        1060672.050000
        PA
        
        1440748.720000
        0.2056203
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2059-07-15
          Floating
          0.92738
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMMC CLO XII LTD 2013-12A
        N/A
        AMERICAN MONEY MANAGEMENT CORP AMMC 2013 12A AR2 144A
        00176CAW1
        
          
        
        1500000.000000
        PA
        USD
        1505419.280000
        0.2148499
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-11-10
          Floating
          1.09563
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMORTIZING RESIDENTIAL COLLAT 2001-BC6
        N/A
        AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A
        86358RMY0
        
          
        
        504.310000
        PA
        USD
        496.610000
        0.0000709
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-10-25
          Floating
          0.80188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        UBS AG SUBORDINATED REGS 05/24 5.125
        BMJ6SQII2
        
          
        
        1318000.000000
        PA
        USD
        1412998.800000
        0.2016599
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2024-05-15
          Fixed
          5.125
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG / STAMFORD BRANCH
        BFM8T61CT2L1QCEMIK50
        UBS AG STAMFORD CT SUBORDINATED 08/22 7.625
        90261AAB8
        
          
        
        1600000.000000
        PA
        USD
        1662052.720000
        0.2372043
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2022-08-17
          Fixed
          7.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS GROUP AG JR SUBORDINA REGS 12/49 VAR
        ACI0BSNR7
        
          
        
        1100000.000000
        PA
        
        1263307.640000
        0.1802963
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2022-02-19
          Floating
          5.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMRESCO RES SEC 1999-1
        N/A
        AMRESCO RESIDENTIAL SECURITIES AMRES 1999 1 A
        03215PFN4
        
          
        
        647.530000
        PA
        USD
        639.800000
        0.0000913
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-06-25
          Floating
          1.04188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS PASS THRU POOLS
        N/A
        01F0229D9 UMBS 2.5 JPMMT TBA 02 14 22
        944AFY007
        
          
        
        -3100000.000000
        PA
        USD
        -3155112.610000
        -0.4502903
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-14
          Fixed
          2.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS PASS THRU POOLS
        N/A
        FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE
        01F020422
        
          
        
        -9300000.000000
        PA
        USD
        -9507254.220000
        -1.3568531
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-17
          Fixed
          2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS PASS THRU POOLS
        N/A
        FNMA TBA 15 YR 3.5 SINGLE FAMILY MORTGAGE
        01F032419
        
          
        
        -400000.000000
        PA
        USD
        -421051.220000
        -0.0600914
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-19
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS PASS THRU POOLS
        N/A
        FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE
        01F020612
        
          
        
        50750000.000000
        PA
        USD
        50597598.260000
        7.2211710
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-25
          Fixed
          2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS PASS THRU POOLS
        N/A
        FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE
        01F020612
        
          
        
        -50750000.000000
        PA
        USD
        -50597598.260000
        -7.2211710
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-25
          Fixed
          2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS PASS THRU POOLS
        N/A
        FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE
        01F020620
        
          
        
        -58750000.000000
        PA
        USD
        -58442763.940000
        -8.3408147
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-14
          Fixed
          2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS PASS THRU POOLS
        N/A
        FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE
        01F022618
        
          
        
        6100000.000000
        PA
        USD
        6223935.650000
        0.8882656
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-25
          Fixed
          2.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS PASS THRU POOLS
        N/A
        FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE
        01F022618
        
          
        
        -11200000.000000
        PA
        USD
        -11427553.980000
        -1.6309138
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-25
          Fixed
          2.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS PASS THRU POOLS
        N/A
        FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE
        01F022626
        
          
        
        -28400000.000000
        PA
        USD
        -28904902.580000
        -4.1252402
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-02-11
          Fixed
          2.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS PASS THRU POOLS
        N/A
        FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE
        01F030637
        
          
        
        -9200000.000000
        PA
        USD
        -9510377.640000
        -1.3572989
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-03-11
          Fixed
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS PASS THRU POOLS
        N/A
        FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE
        01F032633
        
          
        
        600000.000000
        PA
        USD
        629900.200000
        0.0898979
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-03-14
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS PASS THRU POOLS
        N/A
        FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE
        01F040628
        
          
        
        49000000.000000
        PA
        USD
        52094908.110000
        7.4348636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-02-11
          Fixed
          4
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNICREDIT SPA
        549300TRUWO2CD2G5692
        UNICREDIT SPA JR SUBORDINA REGS 12/49 VAR
        BYXSS8II2
        
          
        
        600000.000000
        PA
        
        709569.890000
        0.1012682
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2022-06-03
          Floating
          9.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNICREDIT SPA
        549300TRUWO2CD2G5692
        UNICREDIT SPA JR SUBORDINA REGS 12/99 VAR
        ACI19LDR4
        
          
        
        200000.000000
        PA
        
        267958.410000
        0.0382424
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2026-06-03
          Floating
          7.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNICREDIT SPA
        549300TRUWO2CD2G5692
        UNICREDIT SPA SR UNSECURED 144A 12/23 7.83
        904678AG4
        
          
        
        1200000.000000
        PA
        USD
        1338515.050000
        0.1910297
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2023-12-04
          Fixed
          7.83
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNICREDIT SPA
        549300TRUWO2CD2G5692
        UNICREDIT SPA SR UNSECURED REGS 07/27 VAR
        ACI1P53L5
        
          
        
        350000.000000
        PA
        
        420514.510000
        0.0600148
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2027-07-22
          Floating
          2.2
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GOVT
        ECTRVYYCEF89VWYS6K36
        UNITED KINGDOM GILT BONDS REGS 01/44 3.25
        B84Z9VII5
        
          
        
        900000.000000
        PA
        
        1703337.290000
        0.2430963
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2044-01-22
          Fixed
          3.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GOVT
        ECTRVYYCEF89VWYS6K36
        UNITED KINGDOM GILT BONDS REGS 01/49 1.75
        ACI14WP35
        
          
        
        1300000.000000
        PA
        
        2007388.950000
        0.2864899
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2049-01-22
          Fixed
          1.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GOVT
        ECTRVYYCEF89VWYS6K36
        UNITED KINGDOM GILT BONDS REGS 10/50 0.625
        BMBL1FII0
        
          
        
        1600000.000000
        PA
        
        1903779.060000
        0.2717029
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2050-10-22
          Fixed
          0.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GOVT
        ECTRVYYCEF89VWYS6K36
        UNITED KINGDOM GILT BONDS REGS 12/40 4.25
        B64605II9
        
          
        
        1200000.000000
        PA
        
        2474503.020000
        0.3531553
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2040-12-07
          Fixed
          4.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GOVT
        ECTRVYYCEF89VWYS6K36
        UNITED KINGDOM GILT UNSECURED REGS 07/53 1.5
        ACI215R58
        
          
        
        1100000.000000
        PA
        
        1645533.180000
        0.2348467
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2053-07-31
          Fixed
          1.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANNINGTON FUNDING PLC
        549300KK63W8VZIONZ83
        ANNINGTON FUNDING PLC COMPANY GUAR REGS 07/24 1.65
        ACI0W49K8
        
          
        
        800000.000000
        PA
        
        942592.070000
        0.1345245
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-07-12
          Fixed
          1.65
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        TSY INFL IX N/B 01/28 0.5
        9128283R9
        
          
        
        9981261.000000
        PA
        USD
        11174243.570000
        1.5947619
        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 04/29 3.875
        912810FH6
        
          
        
        841375.000000
        PA
        USD
        1172512.500000
        0.1673382
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-04-15
          Fixed
          3.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        US TREASURY N/B 02/41 1.875
        912810SW9
        
          
        
        700000.000000
        PA
        USD
        693082.030000
        0.0989150
        Long
        DBT
        UST
        US
        N
        
        2
        
          2041-02-15
          Fixed
          1.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        US TREASURY N/B 04/25 2.875
        9128284M9
        
          
        
        10600000.000000
        PA
        USD
        11231445.290000
        1.6029256
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-04-30
          Fixed
          2.875
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        US TREASURY N/B 05/30 0.625
        912828ZQ6
        
          
        
        3300000.000000
        PA
        USD
        3086273.450000
        0.4404657
        Long
        DBT
        UST
        US
        N
        
        2
        
          2030-05-15
          Fixed
          0.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES GOVT
        254900HROIFWPRGM1V77
        US TREASURY N/B 11/40 1.375
        912810ST6
        
          
        
        2400000.000000
        PA
        USD
        2187937.490000
        0.3122573
        Long
        DBT
        UST
        US
        N
        
        2
        
          2040-11-15
          Fixed
          1.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED WHOLESALE MORTGAGE LLC 2021-INV3
        N/A
        UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV3 A3 144A
        90355RAC6
        
          
        
        2177294.860000
        PA
        USD
        2176665.620000
        0.3106486
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-11-25
          Variable
          2.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED WHOLESALE MORTGAGE LLC 2021-INV5
        N/A
        UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV5 A12 144A
        90355DAV5
        
          
        
        600000.000000
        PA
        USD
        610500.000000
        0.0871291
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-01-25
          Variable
          3
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UWM-2021-INV4
        N/A
        UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV4 A3 144A
        918307AC3
        
          
        
        99535.110000
        PA
        USD
        99501.370000
        0.0142006
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-12-25
          Fixed
          2.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VENTURE CLO LTD 2014-17A
        N/A
        VENTURE CDO LTD VENTR 2014 17A ARR 144A
        92329YAL0
        
          
        
        234589.600000
        PA
        USD
        234557.730000
        0.0334755
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2027-04-15
          Floating
          1.00375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VENTURE XXIX CLO LTD 2017-29A
        N/A
        VENTURE CDO LTD VENTR 2017 29A AR 144A
        92331EAF3
        
          
        
        1300000.000000
        PA
        USD
        1299242.180000
        0.1854248
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-09-07
          Floating
          1.146
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIBRANT CLO IV LTD 2016-4A
        N/A
        VIBRANT CLO LTD VIBR 2016 4A A1RR 144A
        92557WAW3
        
          
        
        1600000.000000
        PA
        USD
        1600735.200000
        0.2284532
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2032-07-20
          Floating
          1.20826
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIBRANT CLO VII LTD
        N/A
        VIBRANT CLO LTD VIBR 2017 7A A1R 144A
        92558BAJ7
        
          
        
        1700000.000000
        PA
        USD
        1702552.070000
        0.2429843
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-09-15
          Floating
          1.1715
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIRGIN MEDIA SECURED FINANCE PLC
        213800X3RLP4NOTPY579
        VIRGIN MEDIA SECURED FIN SR SECURED REGS 04/27 5
        BYMYT4II9
        
          
        
        500000.000000
        PA
        
        698414.860000
        0.0996761
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-04-15
          Fixed
          5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN BANK GMBH
        529900GJD3OQLRZCKW37
        VOLKSWAGEN BANK GMBH SR UNSECURED REGS 07/26 2.5
        ACI17VZN9
        
          
        
        700000.000000
        PA
        
        871189.580000
        0.1243341
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-07-31
          Fixed
          2.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN BANK GMBH
        529900GJD3OQLRZCKW37
        VOLKSWAGEN BANK GMBH SR UNSECURED REGS 08/22 1.25
        ACI17VW51
        
          
        
        800000.000000
        PA
        
        919200.000000
        0.1311861
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2022-08-01
          Fixed
          1.25
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VONOVIA FINANCE BV
        5299009XLZLD9TALOZ03
        VONOVIA FINANCE BV COMPANY GUAR 144A 10/23 5
        25155FAB2
        
          
        
        100000.000000
        PA
        USD
        105553.360000
        0.0150643
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-10-02
          Fixed
          5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WACHOVIA MORTGAGE LN TRUST LLC 2005-B
        N/A
        WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 2A4
        92977YBW0
        
          
        
        27413.300000
        PA
        USD
        27554.220000
        0.0039325
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-20
          Floating
          2.22457
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        WALT DISNEY COMPANY
        549300GZKULIZ0WOW665
        WALT DISNEY COMPANY/THE COMPANY GUAR 01/51 3.6
        254687FZ4
        
          
        
        200000.000000
        PA
        USD
        226773.860000
        0.0323646
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-01-13
          Fixed
          3.6
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALT DISNEY COMPANY
        549300GZKULIZ0WOW665
        WALT DISNEY COMPANY/THE COMPANY GUAR 05/40 3.5
        254687FY7
        
          
        
        100000.000000
        PA
        USD
        109731.280000
        0.0156606
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-05-13
          Fixed
          3.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WASHINGTON MUTUAL 2002 AR2
        N/A
        WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A
        929227LE4
        
          
        
        1801.270000
        PA
        USD
        1845.990000
        0.0002635
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-02-27
          Floating
          1.475
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WASHINGTON MUTUAL 2003-AR1
        N/A
        WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR1 A5
        939336PB3
        
          
        
        4524.200000
        PA
        USD
        4580.530000
        0.0006537
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-03-25
          Floating
          2.35343
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AREIT TRUST 2021-CRE5
        N/A
        AREIT CRE TRUST AREIT 2021 CRE5 A 144A
        04002PAA2
        
          
        
        1700000.000000
        PA
        USD
        1701892.610000
        0.2428901
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-07-17
          Floating
          1.18975
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WASHINGTON MUTUAL 2005-AR2
        N/A
        WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A
        92922FD21
        
          
        
        38721.760000
        PA
        USD
        38723.150000
        0.0055265
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-01-25
          Floating
          0.72188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WASHINGTON MUTUAL 2005-AR3
        N/A
        WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR3 A2
        939336Z48
        
          
        
        16477.710000
        PA
        USD
        17164.750000
        0.0024497
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-25
          Floating
          2.72475
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WASHINGTON MUTUAL 2005-AR4
        N/A
        WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR4 A5
        92922FG77
        
          
        
        14599.360000
        PA
        USD
        14750.390000
        0.0021051
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-25
          Floating
          2.83133
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WASHINGTON MUTUAL 2006-AR16
        N/A
        WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 2A1
        92925GAC7
        
          
        
        98796.660000
        PA
        USD
        94635.440000
        0.0135061
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          2.38087
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        WASHINGTON MUTUAL 2006-AR3
        N/A
        WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A
        92925CDA7
        
          
        
        43293.070000
        PA
        USD
        43805.270000
        0.0062518
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-02-25
          Floating
          1.08203
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WASHINGTON MUTUAL 2006-AR5
        N/A
        WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A12A
        93362YAB8
        
          
        
        19740.300000
        PA
        USD
        20019.710000
        0.0028572
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-06-25
          Floating
          1.06203
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR5
        N/A
        WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR5 3A
        93935AAC6
        
          
        
        16862.310000
        PA
        USD
        11565.490000
        0.0016506
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-07-25
          Floating
          1.02203
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        ARES XL CLO LTD 2016-40A
        N/A
        ARES CLO LTD ARES 2016 40A A1RR 144A
        04016GBB3
        
          
        
        1700000.000000
        PA
        USD
        1696657.970000
        0.2421431
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2034-10-25
          Floating
          0.99044
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WEST VIRGINIA UNITED HEALTH SYSTEM OBLIGATED GROUP
        N/A
        WEST VA HEALTH SYS OBL SECURED 06/50 3.129
        956708AB7
        
          
        
        800000.000000
        PA
        USD
        789651.260000
        0.1126972
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-01
          Fixed
          3.129
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARGENT SECURITIES INC 2005-W1
        N/A
        ARGENT SECURITIES INC. ARSI 2005 W1 A1
        040104MX6
        
          
        
        1199142.120000
        PA
        USD
        1139740.580000
        0.1626611
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-25
          Floating
          0.58188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARGENT SECURITIES INC 2005-W4
        N/A
        ARGENT SECURITIES INC. ARSI 2005 W4 A2D
        040104PT2
        
          
        
        1428569.100000
        PA
        USD
        1325632.550000
        0.1891912
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          0.86188
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZF FINANCE GMBH
        5493001N9T6QDCCXB426
        ZF FINANCE GMBH COMPANY GUAR REGS 09/28 3.75
        ACI1RBSR0
        
          
        
        700000.000000
        PA
        
        861112.150000
        0.1228959
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2028-09-21
          Fixed
          3.75
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZIMMER BIOMET HOLDINGS INC
        2P2YLDVPES3BXQ1FRB91
        ZIMMER BIOMET HOLDINGS SR UNSECURED 04/22 3.15
        98956PAL6
        
          
        
        2100000.000000
        PA
        USD
        2104258.910000
        0.3003149
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-04-01
          Fixed
          3.15
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        FIXED INC CLEARING CORP.REPO
        000000000
        
          
        
        252000.000000
        PA
        USD
        252000.000000
        0.0359649
        Long
        RA
        
        US
        N
        
        2
        
          Repurchase
          
          N
          0.0000001
          2022-01-03
          
            
              259200.000000
              USD
              257062.470000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO MORGAN STANLEY
        000000000
        
          
        
        -11538294.000000
        PA
        
        -13125395.820000
        -1.8732258
        Short
        RA
        
        LU
        
        N
        
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          -0.7200000
          2022-02-14
          
            
              9500000.000000
              EUR
              11127804.800000
              EUR
              
            
          
        
        
          N
          N
          N
        
      
      
        ARGENTINA GOVT
        549300KPBYGYF7HCHO27
        REPUBLIC OF ARGENTINA BONDS 04/22 VAR
        ACI0TFSY6
        
          
        
        8070000.000000
        PA
        
        39949.750000
        0.0057015
        Long
        DBT
        NUSS
        AR
        N
        
        2
        
          2022-04-03
          Floating
          36.1646
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        ABU DHABI GOVT EM SP GST
        000000000
        
          
        
        1.000000
        NC
        USD
        11073.930000
        0.0015804
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                ABU DHABI GOVT
                ABU DHABI GOVT
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2026-12-21
            11732.700000
            USD
            0.000000
            USD
            400000.000000
            USD
            -658.770000
          
        
        
          N
          N
          N
        
      
      
        ARGENTINA GOVT
        549300KPBYGYF7HCHO27
        REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1
        040114HX1
        
          
        
        5040.000000
        PA
        USD
        1845.900000
        0.0002634
        Long
        DBT
        NUSS
        AR
        N
        
        2
        
          2029-07-09
          Fixed
          1
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        AUCHAN HOLDING (AKA: GROUPE A SNR SE ICE
        000000000
        
          
        
        1.000000
        NC
        
        -3861.660000
        -0.0005511
        N/A
        DCR
        
        FR
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                AUCHAN HOLDING (AKA: GROUPE AUCHAN SA)
                AUCHAN HOLDING SA SR UNSEC
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2027-12-21
            0.000000
            EUR
            -64698.250000
            EUR
            1100000.000000
            EUR
            60836.590000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        AUST 10Y BOND FUT MAR22 XSFE 20220315
        000000000
        
          
        
        -6.000000
        NC
        
        38.000000
        0.0000054
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX - SYDNEY FUTURES EXCHANGE LIMITED
              N/A
            
            Short
            
              
                N/A
                AUSTRALIA GOVT
                
                  
                
              
            
            2022-03-15
            -607507.140000
            AUD
            38.000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        AUST 3YR BOND FUT MAR22 XSFE 20220315
        000000000
        
          
        
        242.000000
        NC
        
        16209.330000
        0.0023134
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX - SYDNEY FUTURES EXCHANGE LIMITED
              N/A
            
            Long
            
              
                N/A
                AUSTRALIA GOVT
                
                  
                
              
            
            2022-03-15
            20098078.560000
            AUD
            16209.330000
          
        
        
          N
          N
          N
        
      
      
        ARGENTINA GOVT
        549300KPBYGYF7HCHO27
        REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR
        040114HS2
        
          
        
        229987.000000
        PA
        USD
        81645.390000
        0.0116522
        Long
        DBT
        NUSS
        AR
        N
        
        2
        
          2030-07-09
          Variable
          0.5
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT CZK/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -79.650000
        -0.0000114
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            4973.000000
            USD
            107075.450000
            CZK
            2022-01-20
            -79.650000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT GBP/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        17053.860000
        0.0024339
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            808608.130000
            USD
            610000.000000
            GBP
            2022-01-07
            17053.860000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT MXN/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        790.220000
        0.0001128
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            51351.030000
            USD
            1069000.000000
            MXN
            2022-01-12
            790.220000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CNH/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -2599.480000
        -0.0003710
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            2214000.000000
            CNY
            345324.010000
            USD
            2022-01-21
            -2599.480000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CNY/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -30245.790000
        -0.0043166
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            15765547.910000
            CNY
            2447686.370000
            USD
            2022-01-21
            -30245.790000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        138480.110000
        0.0197636
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            30283610.440000
            DKK
            4783385.000000
            USD
            2022-04-01
            138480.110000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD JPY/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        9521.930000
        0.0013589
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            60100000.000000
            JPY
            532001.340000
            USD
            2022-01-07
            9521.930000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD MXN/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -128.120000
        -0.0000183
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            2405000.000000
            MXN
            115813.200000
            USD
            2022-03-18
            -128.120000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD MXN/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -338.090000
        -0.0000483
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            517000.000000
            MXN
            24585.680000
            USD
            2022-03-18
            -338.090000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD MXN/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -809.590000
        -0.0001155
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            1069000.000000
            MXN
            50862.380000
            USD
            2022-03-04
            -809.590000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD MYR/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -7539.960000
        -0.0010761
        N/A
        DFE
        
        MY
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            16246697.160000
            MYR
            3887048.630000
            USD
            2022-03-23
            -7539.960000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD PEN/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -2140.880000
        -0.0003055
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            755386.500000
            PEN
            187000.000000
            USD
            2022-01-18
            -2140.880000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD SGD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -10689.250000
        -0.0015255
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            904287.900000
            SGD
            660095.000000
            USD
            2022-03-16
            -10689.250000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BARCLAYS BANK PLC SNR SE ICE
        000000000
        
          
        
        1.000000
        NC
        
        2661.280000
        0.0003798
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                BARCLAYS BANK PLC
                BARCLAYS BANK PLC GOV GTD
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2022-12-21
            1993.200000
            EUR
            0.000000
            EUR
            300000.000000
            EUR
            668.080000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD JPY/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        418949.680000
        0.0597915
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            3479416726.000000
            JPY
            30666856.540000
            USD
            2022-01-05
            418949.680000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BERKSHIRE HATHAWAY INC SNR S* ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        6576.270000
        0.0009385
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                BERKSHIRE HATHAWAY INC
                BERKSHIRE HATHAWAY INC SR UNSEC
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2022-12-21
            13494.760000
            USD
            0.000000
            USD
            700000.000000
            USD
            -6918.490000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT CNH/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        11508.610000
        0.0016425
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            1106906.700000
            USD
            7117000.000000
            CNY
            2022-01-21
            11508.610000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT EUR/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        2225.270000
        0.0003176
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            473667.570000
            USD
            418000.000000
            EUR
            2022-01-04
            2225.270000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT JPY/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -40367.400000
        -0.0057611
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            3272611.050000
            USD
            371800000.000000
            JPY
            2022-01-07
            -40367.400000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT JPY/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -28804.210000
        -0.0041109
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            2058736.680000
            USD
            233500000.000000
            JPY
            2022-01-07
            -28804.210000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT RUB/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -2774.420000
        -0.0003960
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            108409.670000
            USD
            7940575.000000
            RUB
            2022-01-24
            -2774.420000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CAD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -7115.150000
        -0.0010155
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            1234000.000000
            CAD
            968415.830000
            USD
            2022-01-07
            -7115.150000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CAD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -6555.220000
        -0.0009355
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            1183000.000000
            CAD
            928658.030000
            USD
            2022-01-07
            -6555.220000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CAD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -13094.410000
        -0.0018688
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            955000.000000
            CAD
            741874.860000
            USD
            2022-01-07
            -13094.410000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CAD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -13404.040000
        -0.0019130
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            860000.000000
            CAD
            666463.580000
            USD
            2022-01-07
            -13404.040000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD CAD/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        399.090000
        0.0000570
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            357000.000000
            CAD
            282623.520000
            USD
            2022-01-05
            399.090000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        16392.980000
        0.0023396
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            5120000.000000
            DKK
            801699.380000
            USD
            2022-04-01
            16392.980000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        24650.810000
        0.0035181
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            6980000.000000
            DKK
            1095244.300000
            USD
            2022-04-01
            24650.810000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -1440.170000
        -0.0002055
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            3170000.000000
            DKK
            484774.920000
            USD
            2022-04-01
            -1440.170000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -2967.930000
        -0.0004236
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            3250000.000000
            DKK
            495517.580000
            USD
            2022-04-01
            -2967.930000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD EUR/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -17111.520000
        -0.0024421
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            1588000.000000
            EUR
            1790825.870000
            USD
            2022-01-04
            -17111.520000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD EUR/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -6839.760000
        -0.0009762
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            1128000.000000
            EUR
            1277387.810000
            USD
            2022-01-04
            -6839.760000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD GBP/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -1124667.110000
        -0.1605099
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            38237250.820000
            GBP
            50631362.030000
            USD
            2022-01-05
            -1124667.110000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD GBP/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -3146.330000
        -0.0004490
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            284000.000000
            GBP
            381260.230000
            USD
            2022-01-07
            -3146.330000
          
        
        
          N
          N
          N
        
      
      
        ARMADA EURO CLO III DAC 3A
        N/A
        ARMADA EURO CLO ARMDA 3A A1R 144A
        ACI1WGZB0
        
          
        
        700000.000000
        PA
        
        795492.520000
        0.1135308
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2031-07-15
          Floating
          0.72
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -1521.360000
        -0.0002171
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            422200.000000
            ILS
            134293.940000
            USD
            2022-01-31
            -1521.360000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD JPY/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        104251.450000
        0.0148785
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            865818140.000000
            JPY
            7631141.300000
            USD
            2022-01-05
            104251.450000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD JPY/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -41565.910000
        -0.0059322
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            4345725316.000000
            JPY
            37745264.650000
            USD
            2022-02-02
            -41565.910000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD MXN/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        61.620000
        0.0000088
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            1069000.000000
            MXN
            52202.870000
            USD
            2022-01-12
            61.620000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD MYR/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -56455.030000
        -0.0080571
        N/A
        DFE
        
        MY
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            14642609.040000
            MYR
            3453608.430000
            USD
            2022-03-23
            -56455.030000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD MYR/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -55739.260000
        -0.0079550
        N/A
        DFE
        
        MY
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            13132736.680000
            MYR
            3092384.070000
            USD
            2022-03-23
            -55739.260000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD MYR/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -4713.590000
        -0.0006727
        N/A
        DFE
        
        MY
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            1270233.000000
            MYR
            299781.220000
            USD
            2022-03-23
            -4713.590000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD PEN/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -1102.890000
        -0.0001574
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              BNP Paribas S.A.
              N/A
            
            1656302.800000
            PEN
            405747.730000
            USD
            2022-10-05
            -1102.890000
          
        
        
          N
          N
          N
        
      
      
        AROUNDTOWN SA
        529900H4DWG3KWMBMQ39
        AROUNDTOWN SA SR UNSECURED REGS 01/28 1.625
        BG070KII6
        
          
        
        700000.000000
        PA
        
        827538.260000
        0.1181043
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2028-01-31
          Fixed
          1.625
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AROUNDTOWN SA
        529900H4DWG3KWMBMQ39
        AROUNDTOWN SA SR UNSECURED REGS 03/29 5.375
        BJH8G7II2
        
          
        
        200000.000000
        PA
        USD
        230268.260000
        0.0328633
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2029-03-21
          Fixed
          5.375
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BRITISH TELECOMMUNICATIONS PL SNR SE ICE
        000000000
        
          
        
        1.000000
        NC
        
        -35514.960000
        -0.0050686
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                BRITISH TELECOMMUNICATIONS PLC
                BRITISH TELECOM PLC WURO SR UNSEC
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2028-06-21
            0.000000
            EUR
            -6226.920000
            EUR
            1000000.000000
            EUR
            -29288.040000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CAN 10YR BOND FUT MAR22 XMOD 20220322
        000000000
        
          
        
        -98.000000
        NC
        
        -153200.600000
        -0.0218644
        N/A
        DIR
        
        CA
        N
        
        1
        
          
            
              THE MONTREAL EXCHANGE / BOURSE DE MONTREAL
              N/A
            
            Short
            
              
                N/A
                CANADA GOVT
                
                  
                
              
            
            2022-03-22
            -11049258.860000
            CAD
            -153200.600000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDX HY36 5Y ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        -380025.140000
        -0.0542363
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                N/A
                CDX.NA.HY.36
                
                  
                
              
            
            Y
            Single Leg Swap
            
            2026-06-21
            0.000000
            USD
            -390670.000000
            USD
            4100000.000000
            USD
            10644.860000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317533RY5 PIMCO CDSOPT PUT USD 101.0 20220119
        OP0016HZ0
        
          
        
        -600000.000000
        NC
        USD
        -178.650000
        -0.0000255
        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 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
            2022-01-19
            XXXX
            2581.350000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317563LY8 PIMCO CDSOPT PUT USD 96.0 20220316
        OP001BT37
        
          
        
        -900000.000000
        NC
        USD
        -791.530000
        -0.0001130
        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
            96.000000
            USD
            2022-03-16
            XXXX
            2808.470000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317581EU6 PIMCO CDSOPT PUT USD 101.0 20220119
        OP0016MP6
        
          
        
        -500000.000000
        NC
        USD
        -148.880000
        -0.0000212
        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
            2022-01-19
            XXXX
            2151.120000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDX IG33 10Y ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        -13772.310000
        -0.0019656
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                N/A
                CDX.NA.IG.33
                
                  
                
              
            
            Y
            Single Leg Swap
            
            2029-12-21
            6802.530000
            USD
            0.000000
            USD
            1600000.000000
            USD
            -20574.840000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDX IG35 10Y ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        -295414.470000
        -0.0421609
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                N/A
                CDX.NA.IG.35
                
                  
                
              
            
            Y
            Single Leg Swap
            
            2030-12-21
            0.000000
            USD
            -119076.060000
            USD
            19300000.000000
            USD
            -176338.410000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDX IG35 5Y ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        -21849.830000
        -0.0031184
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                N/A
                CDX.NA.IG.35
                
                  
                
              
            
            Y
            Single Leg Swap
            
            2025-12-21
            0.000000
            USD
            -22019.880000
            USD
            900000.000000
            USD
            170.050000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3175XZ012 PIMCO CDSOPT PUT USD 0.75 20220119
        OP0015GY6
        
          
        
        -2300000.000000
        NC
        USD
        -51.520000
        -0.0000074
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Put
            Written
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    N/A
                    N/A
                    SWOP CDX IG36 (V1 ONLY) 5Y SP
                    000000000
                    
                      
                    
                    0.000000
                    NC
                    USD
                    0.000000
                    0.000000
                    DCR
                    
                    US
                  
                  
                    
                      N/A
                      SWOP CDX IG36 (V1 ONLY) 5Y SP
                      
                        
                      
                    
                  
                  
                  Single Leg Swap
                  2026-06-20
                  0.000000
                  USD
                  0.000000
                  USD
                  N/A
                  USD
                
              
            
            N/A
            0.750000
            USD
            2022-01-19
            XXXX
            2363.480000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        31750J3P8 PIMCO CDSOPT PUT USD 0.9 20220420
        OP001C1X9
        
          
        
        -1300000.000000
        NC
        USD
        -797.820000
        -0.0001139
        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
            0.900000
            USD
            2022-04-20
            XXXX
            1165.180000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317514CE5 PIMCO CDSOPT PUT USD 0.85 20220119
        OP0016VL5
        
          
        
        -1300000.000000
        NC
        USD
        -31.980000
        -0.0000046
        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
            2022-01-19
            XXXX
            1372.020000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317522GZ7 PIMCO CDSOPT PUT USD 0.9 20220420
        OP001BVW0
        
          
        
        -1000000.000000
        NC
        USD
        -613.710000
        -0.0000876
        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
            0.900000
            USD
            2022-04-20
            XXXX
            1286.290000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317537IP5 PIMCO CDSOPT PUT USD 0.8 20220119
        OP00167W8
        
          
        
        -1700000.000000
        NC
        USD
        -68.270000
        -0.0000097
        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
            0.800000
            USD
            2022-01-19
            XXXX
            1908.830000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3175439N8 PIMCO CDSOPT PUT USD 0.9 20220420
        OP001CG47
        
          
        
        -3200000.000000
        NC
        USD
        -1963.870000
        -0.0002803
        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
            2022-04-20
            XXXX
            2132.130000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317550NN7 PIMCO CDSOPT PUT USD 0.9 20220316
        OP001BL43
        
          
        
        -1900000.000000
        NC
        USD
        -609.500000
        -0.0000870
        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
            0.900000
            USD
            2022-03-16
            XXXX
            1499.500000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317552495 PIMCO CDSOPT PUT USD 0.9 20220316
        OP001BL50
        
          
        
        -1600000.000000
        NC
        USD
        -513.260000
        -0.0000733
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Put
            Written
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    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
            2022-03-16
            XXXX
            1262.740000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317554NE9 PIMCO CDSOPT PUT USD 0.8 20220216
        OP0017S29
        
          
        
        -2200000.000000
        NC
        USD
        -464.050000
        -0.0000662
        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
            0.800000
            USD
            2022-02-16
            XXXX
            2076.950000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317555DI8 PIMCO CDSOPT PUT USD 0.8 20220119
        OP00165Y6
        
          
        
        -2300000.000000
        NC
        USD
        -92.370000
        -0.0000132
        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
            0.800000
            USD
            2022-01-19
            XXXX
            2840.130000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317555U81 PIMCO CDSOPT PUT USD 0.95 20220316
        OP001BRZ8
        
          
        
        -600000.000000
        NC
        USD
        -162.520000
        -0.0000232
        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
            0.950000
            USD
            2022-03-16
            XXXX
            587.480000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317561KN7 PIMCO CDSOPT PUT USD 1.0 20220316
        OP001BNB5
        
          
        
        -1100000.000000
        NC
        USD
        -257.090000
        -0.0000367
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Put
            Written
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    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
            1.000000
            USD
            2022-03-16
            XXXX
            996.910000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317562379 PIMCO CDSOPT PUT USD 1.0 20220316
        OP001BS46
        
          
        
        -700000.000000
        NC
        USD
        -163.600000
        -0.0000233
        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
            1.000000
            USD
            2022-03-16
            XXXX
            711.400000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3175629V0 PIMCO CDSOPT PUT USD 0.95 20220316
        OP001BQL0
        
          
        
        -1100000.000000
        NC
        USD
        -297.960000
        -0.0000425
        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
            0.950000
            USD
            2022-03-16
            XXXX
            923.040000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3175646R8 PIMCO CDSOPT PUT USD 0.95 20220420
        OP001C6C0
        
          
        
        -1200000.000000
        NC
        USD
        -645.500000
        -0.0000921
        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
            0.950000
            USD
            2022-04-20
            XXXX
            884.500000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317564ML3 PIMCO CDSOPT PUT USD 0.85 20220119
        OP0016203
        
          
        
        -1600000.000000
        NC
        USD
        -39.360000
        -0.0000056
        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
            0.850000
            USD
            2022-01-19
            XXXX
            1804.640000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317566CK1 PIMCO CDSOPT PUT USD 0.9 20220420
        OP001C424
        
          
        
        -2100000.000000
        NC
        USD
        -1288.790000
        -0.0001839
        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
            1243.210000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3175772F0 PIMCO CDSOPT PUT USD 0.9 20220420
        OP001BVX8
        
          
        
        -900000.000000
        NC
        USD
        -552.340000
        -0.0000788
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Put
            Written
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    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
            950.660000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317582CF9 PIMCO CDSOPT PUT USD 0.85 20220420
        OP001CL66
        
          
        
        -1000000.000000
        NC
        USD
        -705.380000
        -0.0001007
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Put
            Written
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    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
            2022-04-20
            XXXX
            394.620000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        317593Y88 PIMCO CDSOPT PUT USD 0.95 20220420
        OP001C6B2
        
          
        
        -1000000.000000
        NC
        USD
        -537.920000
        -0.0000768
        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
            0.950000
            USD
            2022-04-20
            XXXX
            737.080000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDX IG37 10Y ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        -238858.540000
        -0.0340893
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                N/A
                CDX.NA.IG.37
                
                  
                
              
            
            Y
            Single Leg Swap
            
            2031-12-23
            0.000000
            USD
            -142362.330000
            USD
            23500000.000000
            USD
            -96496.210000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CDX IG37 5Y ICE
        000000000
        
          
        
        1.000000
        NC
        USD
        364811.580000
        0.0520651
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange
              5493000F4ZO33MV32P92
            
            
              
                N/A
                CDX.NA.IG.37
                
                  
                
              
            
            Y
            
            Single Leg Swap
            2026-12-22
            343525.410000
            USD
            0.000000
            USD
            14700000.000000
            USD
            21286.170000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CHINA AS BP BRC
        000000000
        
          
        
        1.000000
        NC
        USD
        -10802.740000
        -0.0015417
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                CHINA GOVT
                CHINA (PEOPLES REP OF) GLOBAL
                
                  
                
              
            
            Y
            Single Leg Swap
            
            2023-06-21
            0.000000
            USD
            -15258.610000
            USD
            800000.000000
            USD
            4455.870000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CHINA AS BP GST
        000000000
        
          
        
        1.000000
        NC
        USD
        -21605.480000
        -0.0030835
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                CHINA GOVT
                CHINA (PEOPLES REP OF) GLOBAL
                
                  
                
              
            
            Y
            Single Leg Swap
            
            2023-06-21
            0.000000
            USD
            -30891.180000
            USD
            1600000.000000
            USD
            9285.700000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT BRL/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        2397.070000
        0.0003421
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            270825.690000
            USD
            1521850.800000
            BRL
            2022-01-04
            2397.070000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT DKK/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -10657.530000
        -0.0015210
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            411746.640000
            USD
            2615000.000000
            DKK
            2022-04-01
            -10657.530000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT PEN/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        -2443.550000
        -0.0003487
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            683541.150000
            USD
            2720152.000000
            PEN
            2022-01-18
            -2443.550000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BOUGHT PEN/SOLD USD
        000000000
        
          
        
        1.000000
        NC
        
        14121.300000
        0.0020154
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            583246.190000
            USD
            2446134.500000
            PEN
            2022-12-06
            14121.300000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD BRL/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -514.080000
        -0.0000734
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1521850.800000
            BRL
            272708.680000
            USD
            2022-01-04
            -514.080000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        63603.430000
        0.0090773
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            13909156.350000
            DKK
            2196992.000000
            USD
            2022-04-01
            63603.430000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        18296.630000
        0.0026113
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            7340000.000000
            DKK
            1144106.980000
            USD
            2022-04-01
            18296.630000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        13168.880000
        0.0018794
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            5170000.000000
            DKK
            806144.290000
            USD
            2022-04-01
            13168.880000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        13077.140000
        0.0018663
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            5390000.000000
            DKK
            839796.180000
            USD
            2022-04-01
            13077.140000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        17555.740000
        0.0025055
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            6680000.000000
            DKK
            1042135.180000
            USD
            2022-04-01
            17555.740000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        6403.770000
        0.0009139
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            5180000.000000
            DKK
            800912.980000
            USD
            2022-04-01
            6403.770000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -7999.490000
        -0.0011417
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            3870000.000000
            DKK
            585581.710000
            USD
            2022-04-01
            -7999.490000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD DKK/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -6490.060000
        -0.0009262
        N/A
        DFE
        
        DK
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            5565000.000000
            DKK
            847070.510000
            USD
            2022-04-01
            -6490.060000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD EUR/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -8678.770000
        -0.0012386
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1980000.000000
            EUR
            2245550.470000
            USD
            2022-01-04
            -8678.770000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -78061.160000
        -0.0111407
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            6301890.000000
            ILS
            1949178.810000
            USD
            2022-02-02
            -78061.160000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -41993.270000
        -0.0059932
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            3300990.000000
            ILS
            1019894.330000
            USD
            2022-02-02
            -41993.270000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -57878.640000
        -0.0082603
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            3499650.000000
            ILS
            1068204.020000
            USD
            2022-03-02
            -57878.640000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -35981.520000
        -0.0051352
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            2200440.000000
            ILS
            672054.240000
            USD
            2022-03-02
            -35981.520000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -93593.730000
        -0.0133575
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            4801920.000000
            ILS
            1451520.460000
            USD
            2022-03-02
            -93593.730000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -15266.110000
        -0.0021787
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1099890.000000
            ILS
            338865.610000
            USD
            2022-04-06
            -15266.110000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -28617.500000
        -0.0040842
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1999900.000000
            ILS
            616283.010000
            USD
            2022-06-08
            -28617.500000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -25240.990000
        -0.0036023
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1724990.000000
            ILS
            531879.010000
            USD
            2022-08-01
            -25240.990000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -23329.060000
        -0.0033295
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1699830.000000
            ILS
            524808.970000
            USD
            2022-06-08
            -23329.060000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -23973.010000
        -0.0034214
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            2200110.000000
            ILS
            686643.880000
            USD
            2022-08-03
            -23973.010000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -1169.680000
        -0.0001669
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            400160.000000
            ILS
            127589.840000
            USD
            2022-03-02
            -1169.680000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -851.740000
        -0.0001216
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            300105.000000
            ILS
            95773.100000
            USD
            2022-04-06
            -851.740000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -2135.900000
        -0.0003048
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            527650.000000
            ILS
            167601.050000
            USD
            2022-01-31
            -2135.900000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -1212.920000
        -0.0001731
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            300150.000000
            ILS
            95943.610000
            USD
            2022-10-07
            -1212.920000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -3182.370000
        -0.0004542
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1000500.000000
            ILS
            318666.090000
            USD
            2022-02-02
            -3182.370000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -9839.690000
        -0.0014043
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            2200440.000000
            ILS
            703915.550000
            USD
            2022-12-07
            -9839.690000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -6274.700000
        -0.0008955
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1400000.000000
            ILS
            447842.360000
            USD
            2022-12-07
            -6274.700000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -242.290000
        -0.0000346
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1100220.000000
            ILS
            356635.330000
            USD
            2022-12-07
            -242.290000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD ILS/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        405.300000
        0.0000578
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            600120.000000
            ILS
            195065.820000
            USD
            2022-12-07
            405.300000
          
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP/THE
        549300VSGCJ7E698NM85
        CHARLES SCHWAB CORP JR SUBORDINA 12/99 VAR
        808513BD6
        
          
        
        500000.000000
        NS
        USD
        546250.000000
        0.0779595
        Long
        EP
        CORP
        US
        N
        
        2
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD MXN/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -913.920000
        -0.0001304
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            497000.000000
            MXN
            22902.380000
            USD
            2022-04-18
            -913.920000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD PEN/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        33633.330000
        0.0048001
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            3283283.670000
            PEN
            854932.730000
            USD
            2022-02-07
            33633.330000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD PEN/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -33159.250000
        -0.0047324
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            6454016.000000
            PEN
            1581285.310000
            USD
            2022-02-07
            -33159.250000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD PEN/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -4106.620000
        -0.0005861
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            661300.030000
            PEN
            160245.230000
            USD
            2022-05-13
            -4106.620000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD PEN/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        406.360000
        0.0000580
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1104540.000000
            PEN
            273184.610000
            USD
            2022-08-02
            406.360000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD PEN/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -1113.420000
        -0.0001589
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            555588.000000
            PEN
            138000.000000
            USD
            2022-01-18
            -1113.420000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD PEN/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -230.470000
        -0.0000329
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            80796.000000
            PEN
            20000.000000
            USD
            2022-01-18
            -230.470000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD PEN/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -12958.410000
        -0.0018494
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            2446134.500000
            PEN
            599528.080000
            USD
            2022-01-18
            -12958.410000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD PEN/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        -53316.260000
        -0.0076092
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            9069269.800000
            PEN
            2212286.820000
            USD
            2022-03-03
            -53316.260000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SOLD RUB/BOUGHT USD
        000000000
        
          
        
        1.000000
        NC
        
        7818.730000
        0.0011159
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            80335058.020000
            RUB
            1076534.000000
            USD
            2022-01-24
            7818.730000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT+T INC JR SUBORDINA 12/99 VAR
        ACI1K11M9
        
          
        
        300000.000000
        PA
        
        342636.360000
        0.0489003
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-02
          Floating
          2.875
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
      
      
      
      
      
      
    
    
      2022-02-15
      PIMCO Variable Insurance Trust
      /s/ Jason Nagler
      Jason Nagler
      Assistant Treasurer

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Pacific Investment Management Company, LLC (PIMCO)