0001098605-24-000071.txt : 20240227 0001098605-24-000071.hdr.sgml : 20240227 20240227132341 ACCESSION NUMBER: 0001098605-24-000071 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20231231 FILED AS OF DATE: 20240227 DATE AS OF CHANGE: 20240227 PERIOD START: 20231231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PIMCO Managed Accounts Trust CENTRAL INDEX KEY: 0001098605 ORGANIZATION NAME: IRS NUMBER: 066484967 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-09721 FILM NUMBER: 24684728 BUSINESS ADDRESS: STREET 1: 1633 BROADWAY CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 212-739-4000 MAIL ADDRESS: STREET 1: 1633 BROADWAY CITY: NEW YORK STATE: NY ZIP: 10019 FORMER COMPANY: FORMER CONFORMED NAME: AllianzGI Managed Accounts Trust DATE OF NAME CHANGE: 20130125 FORMER COMPANY: FORMER CONFORMED NAME: ALLIANZ GLOBAL INVESTORS MANAGED ACCOUNTS TRUST DATE OF NAME CHANGE: 20090626 FORMER COMPANY: FORMER CONFORMED NAME: ALLIANZ GLOBAL INVESTORS DATE OF NAME CHANGE: 20090626 0001098605 S000004804 Fixed Income SHares: Series C C000013020 Series C FXICX NPORT-P 1 primary_doc.xml NPORT-P false 0001098605 XXXXXXXX S000004804 C000013020 PIMCO Managed Accounts Trust 811-09721 0001098605 549300QOE6UAECNZYE02 1633 Broadway New York 10019 (800) 927-4648 Fixed Income SHares: Series C S000004804 5493005D3C0USHNYVL44 2023-12-31 2023-12-31 N 2737161005.970000 1455221927.490000 1281939078.480000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 3979285.890000 USD DKK JPY EUR GBP CAD N Bloomberg US Credit Total Return Unhedged USD Index LUCRTRUU STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGF2 10813.770000 PA USD 10239.440000 0.0007987 Long ABS-MBS CORP US N 2 2034-02-25 Floating 6.47804 N N N N N N HUDSON PACIFIC PROPERTIES LP 5493007NTUGLGZ8T3526 44409MAB2 400000.000000 PA USD 324970.600000 0.0253499 Long DBT CORP US N 2 2029-04-01 Fixed 4.65 N N N N N N APOLLO AVIATION SECURITIZATION EQUITY TRUST 2021-2A N/A 00258BAA2 5271800.010000 PA USD 4549194.380000 0.354868 Long ABS-O CORP US N 2 2047-01-15 Fixed 2.798 N N N N N N N/A N/A 000000000 -6500000.000000 NC USD -34.450000 -0.0000027 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.04400 01/09/24-10Y LCH 2034-01-09 0.000000 USD 0.000000 USD N/A USD N/A 4.040000 USD 2024-01-05 XXXX 32465.550000 N N N N/A N/A 000000000 1.000000 NC -6316.690000 -0.0004927 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1388729.000000 GBP 1763885.250000 USD 2024-01-09 -6316.690000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NN7 2000000.000000 PA USD 1799498.240000 0.140373 Long DBT CORP US Y 2 2033-03-17 Floating 3.785 N N N N N N N/A N/A 000000000 1.000000 NC USD 7351.350000 0.0005735 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-12-20 5163.840000 USD 0.000000 USD 700000.000000 USD 2187.510000 N N N VENTURE XXIV CLO LTD 2016-24A N/A 92330WBJ5 3769032.660000 PA USD 3766072.460000 0.293779 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 6.57743 N N N N N N WAVE TRUST 2019-1 N/A 94354KAA8 1771569.750000 PA USD 1488154.020000 0.116086 Long ABS-O CORP US N 2 2044-09-15 Fixed 3.597 N N N N N N CONTINENTAL AIRLINES 2012-2 CLASS A PASS THRU CERTIFICATES N/A 210795QB9 1206712.110000 PA USD 1180434.630000 0.092082 Long DBT CORP US N 2 2026-04-29 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 376.200000 0.0000293 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4788840883.000000 IDR 311129.360000 USD 2024-03-20 376.200000 N N N FRAPORT AG FRANKFURT AIRPORT SERVICES WORLDWIDE 5299001ERX0K10IZUL40 ACI1WRL13 2600000.000000 PA 2718258.010000 0.212043 Long DBT CORP DE N 2 2028-03-31 Fixed 1.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 15000.280000 0.0011701 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2024-06-20 16616.970000 USD 0.000000 USD 3400000.000000 USD -1616.690000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VAL5 3000000.000000 PA USD 2890738.500000 0.225497 Long DBT CORP US N 2 2029-02-15 Fixed 4.3 N N N N N N OCP EURO CLO 2020-4 DAC 20-4A N/A ACI1ZTQK9 7200000.000000 PA 7835278.360000 0.611205 Long ABS-CBDO CORP IE N 2 2034-09-22 Floating 4.882 N N N N N N TOBACCO SETTLEMENT FINANCE AUTHORITY N/A 88880LAW3 8795000.000000 PA USD 8308180.920000 0.648095 Long DBT MUN US N 2 2049-06-01 Fixed 4.875 N N N N N N LCCM 2021-FL3 TRUST N/A 50190FAA9 5000000.000000 PA USD 4966431.900000 0.387416 Long ABS-CBDO CORP US N 2 2038-11-15 Floating 6.92629 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 7283920.000000 PA 9310080.300000 0.72625 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 6.566 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-8A LLC N/A 05377RHM9 7500000.000000 PA USD 7740546.000000 0.603815 Long ABS-O CORP US N 2 2030-02-20 Fixed 6.02 N N N N N N FNMA PASS THRU POOLS N/A 31419BUM5 11869.530000 PA USD 11753.360000 0.0009168 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.5 N N N N N N WEIR GROUP PLC 549300KDR56WHY9I3D10 94876QAA4 3400000.000000 PA USD 3162683.370000 0.246711 Long DBT CORP GB N 2 2026-05-13 Fixed 2.2 N N N N N N EUROSAIL PLC 2007-3X N/A B23DWGII5 276072.320000 PA 349889.820000 0.0272938 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 6.26451 N N N N N N N/A N/A 000000000 -6400000.000000 NC USD -103592.960000 -0.008081 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.64750 01/08/24-10Y LCH 2034-01-08 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2024-01-04 XXXX -74472.960000 N N N SYMPHONY CLO XVII LTD 2016-17A N/A 87165UAN1 614008.350000 PA USD 614685.030000 0.0479496 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 6.53548 N N N N N N ACE SECURITIES CORP 2004-OP1 N/A 004421EW9 217342.540000 PA USD 200427.880000 0.0156347 Long ABS-MBS CORP US N 2 2034-04-25 Floating 6.25043 N N N N N N N/A N/A 000000000 1.000000 NC 25637.060000 0.0019999 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2348403.080000 USD 2150000.000000 EUR 2024-01-09 25637.060000 N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MN57 10788.460000 PA USD 9031.060000 0.0007045 Long ABS-MBS CORP US N 3 2034-05-25 Floating 4.09083 N N N N N N JFIN CLO LTD 2017-2A N/A 46593CAA7 1525281.670000 PA USD 1523827.730000 0.118869 Long ABS-CBDO CORP KY N 2 2029-09-20 Floating 6.622 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS1 N/A 52474JAA4 2418998.960000 PA USD 2375352.480000 0.185294 Long ABS-MBS CORP US N 2 2066-10-25 Fixed 1.892 N N N N N N METAL CAYMAN 2017-1 LLC N/A 59111RAA0 1641642.160000 PA USD 1017818.140000 0.0793968 Long ABS-O CORP KY N 2 2042-10-15 Fixed 4.581 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXP8 30616.310000 PA USD 30555.380000 0.0023835 Long ABS-MBS CORP US N 2 2035-09-25 Floating 7.56 N N N N N N AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD) 635400CPI3EOIFF6OC33 70014LAB6 2152000.000000 PA USD 2148185.390000 0.167573 Long DBT CORP KY N 2 2024-02-15 Fixed 5.5 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR6 N/A 86359LMW6 245159.480000 PA USD 220772.290000 0.0172217 Long ABS-MBS CORP US N 3 2045-09-25 Floating 6.09043 N N N N N N CI FINANCIAL CORP 549300M9W7JJQSVCEM78 125491AN0 3200000.000000 PA USD 2530341.500000 0.197384 Long DBT CORP CA N 2 2030-12-17 Fixed 3.2 N N N N N N ECAF I LTD 2015-1A N/A 26827EAA3 109099.210000 PA USD 69281.930000 0.0054045 Long ABS-O CORP KY N 2 2040-06-15 Fixed 3.473 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668BF8 1300000.000000 PA USD 1198709.060000 0.0935075 Long DBT CORP US N 2 2030-05-13 Fixed 3.75 N N N N N N UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST N/A 90931GAA7 7828498.330000 PA USD 7934925.200000 0.618978 Long DBT CORP US N 2 2029-04-15 Fixed 5.875 N N N N N N BEAR STEARNS ALT-A TRUST 2006-1 N/A 07386HB83 242773.180000 PA USD 168623.700000 0.0131538 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 4.32533 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST N/A 46652DAA3 100000.000000 PA USD 77293.310000 0.0060294 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.82648 N N N N N N N/A N/A 000000000 -3200000.000000 NC USD -16662.080000 -0.0012998 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.35000 01/22/24-10Y LCH 2034-01-22 0.000000 USD 0.000000 USD N/A USD N/A 3.350000 USD 2024-01-18 XXXX -822.080000 N N N NORDEA BANK ABP 529900ODI3047E2LIV03 65559CAA9 5000000.000000 PA USD 4968670.000000 0.38759 Long DBT CORP FI N 2 2026-03-26 Floating 6.625 N N N N Y NORDEA BANK ABP EUR XXXX N N N BEAST MORTGAGE TRUST 2022-1700 N/A 055742AA8 300000.000000 PA USD 261904.800000 0.0204304 Long ABS-MBS CORP US N 2 2037-02-15 Floating 6.662 N N N N N N UMBS PASS THRU POOLS N/A 01F030629 146500000.000000 PA USD 129749786.260000 10.1214 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F040628 64800000.000000 PA USD 61349906.740000 4.78571 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 4 N N N N N N N/A N/A 000000000 -649.000000 NC USD -2781984.550000 -0.217014 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-03-19 -76434961.260000 USD -2781984.550000 N N N MAN GLG EURO CLO V DAC 5A N/A ACI1WBHS4 6740379.950000 PA 7356279.590000 0.57384 Long ABS-CBDO CORP IE N 2 2031-12-15 Floating 4.615 N N N N N N NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-285M N/A 63874FAA5 1484200.000000 PA USD 1259997.790000 0.0982884 Long ABS-MBS CORP US N 2 2032-11-15 Fixed 3.7904 N N N N N N AQUEDUCT EUROPEAN CLO 1-2017 DAC N/A ACI1VHTC4 4573066.900000 PA 5011553.520000 0.390935 Long ABS-CBDO CORP IE N 2 2030-07-20 Floating 4.633 N N N N N N N/A N/A 000000000 1.000000 NC 2275.970000 0.0001775 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 188187.450000 USD 3488688.010000 ZAR 2024-01-19 2275.970000 N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAF6 69417.290000 PA USD 60819.860000 0.0047444 Long ABS-MBS CORP US N 2 2038-01-19 Floating 5.85023 N N N N N N CAIRN CLO IV BV 14-4A N/A ACI1W1H64 5677815.670000 PA 6194893.920000 0.483244 Long ABS-CBDO CORP IE N 2 2031-04-30 Floating 4.552 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 1.090000 PA 0.130000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC -49.070000 -0.0000038 N/A DFE IN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1423940.020000 INR 17017.000000 USD 2024-03-20 -49.070000 N N N N/A N/A 000000000 -3200000.000000 NC USD -5696.960000 -0.0004444 N/A DIR US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Written UBS AG BFM8T61CT2L1QCEMIK50 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.74400 01/22/24-10Y LCH 2034-01-22 0.000000 USD 0.000000 USD N/A USD N/A 3.740000 USD 2024-01-18 XXXX 9902.240000 N N N N/A N/A 000000000 1.000000 NC USD 286989.290000 0.0223871 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-31 48012.270000 USD 0.000000 USD 3600000.000000 USD 238977.020000 N N N N/A N/A 000000000 1.000000 NC USD 11518.350000 0.0008985 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2024-12-20 11827.490000 USD 0.000000 USD 1400000.000000 USD -309.140000 N N N FNMA PASS THRU POOLS N/A 31418AAE8 10118.370000 PA USD 10107.200000 0.0007884 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC 6001.520000 0.0004682 N/A DFE TW N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 167570.000000 USD 5278304.000000 TWD 2024-03-20 6001.520000 N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AP4 3278000.000000 PA USD 2994487.420000 0.233591 Long DBT CORP US N 2 2030-01-15 Fixed 4 N N N N N N RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A N/A ACI1PKR28 5512157.760000 PA 7039364.590000 0.549118 Long ABS-MBS CORP GB N 2 2070-06-20 Floating 6.44221 N N N N N N MILEAGE PLUS HOLDINGS LLC / MILEAGE PLUS INTELLECTUAL PROPERTY ASSETS LTD N/A 599191AA1 1400000.000000 PA USD 1404996.600000 0.109599 Long DBT CORP US N 2 2027-06-20 Fixed 6.5 N N N N N N MFA 2020-NQM2 TRUST N/A 552751AC3 1186608.150000 PA USD 1095252.730000 0.0854372 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.947 N N N N N N VB-S1 ISSUER LLC - VBTEL 2022-1A N/A 91823AAW1 2000000.000000 PA USD 1653033.600000 0.128948 Long ABS-O CORP US N 2 2057-02-15 Fixed 3.706 N N N N N N N/A N/A 000000000 1.000000 NC USD 16894.240000 0.0013179 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON COMMUNICATIONS SR UNSEC Y Single Leg Swap 2026-12-20 11758.220000 USD 0.000000 USD 1400000.000000 USD 5136.020000 N N N AMERIQUEST MTGE SECURITIES INC 2004-R12 N/A 03072SXE0 2092325.650000 PA USD 2031884.850000 0.158501 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.38543 N N N N N N N/A N/A 000000000 1.000000 NC USD 343974.940000 0.0268324 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-10 0.000000 USD -54350.900000 USD 6200000.000000 USD 398325.840000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746RG8 13400000.000000 NS USD 13332598.000000 1.04003 Long EP CORP US N 2 N N N BX COMMERCIAL MORTGAGE TRUST 2021-CIP N/A 12434FAA5 3700000.000000 PA USD 3626643.800000 0.282903 Long ABS-MBS CORP US N 2 2038-12-15 Floating 6.39748 N N N N N N N/A N/A 000000000 1.000000 NC -211664.330000 -0.0165113 N/A DFE GB N 2 UBS AG BFM8T61CT2L1QCEMIK50 23683673.000000 GBP 29977727.520000 USD 2024-01-09 -211664.330000 N N N MORGAN STANLEY MTGE LN TR 2007-7AX N/A 61754HAD4 87735.750000 PA USD 24560.600000 0.0019159 Long ABS-MBS CORP US N 2 2037-04-25 Floating 6.19043 N N N N N N SMRT 2022-MINI N/A 78457JAA0 2900000.000000 PA USD 2841606.470000 0.221665 Long ABS-MBS CORP US N 2 2039-01-15 Floating 6.362 N N N N N N N/A N/A 000000000 1.000000 NC USD 2919.480000 0.0002277 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2025-12-20 0.000000 USD -2754.060000 USD 200000.000000 USD 5673.540000 N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 4413.110000 PA USD 3970.420000 0.0003097 Long ABS-MBS CORP US N 3 2035-02-25 Floating 4.26319 N N N N N N MAPLE GROVE FUNDING TRUST I N/A 565130AA9 8000000.000000 PA USD 5636771.200000 0.439707 Long DBT CORP US N 2 2051-08-15 Fixed 4.161 N N N N N N MACH 1 CAYMAN LTD 2019-1 N/A 55446MAA5 1413404.710000 PA USD 1223009.340000 0.0954031 Long ABS-O CORP KY N 2 2039-10-15 Fixed 3.474 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 6417158.620000 PA USD 6416330.680000 0.500518 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 6.53548 N N N N N N UNIVERSITY OF VIRGINIA N/A 915217XA6 4300000.000000 PA USD 2849659.020000 0.222293 Long DBT MUN US N 2 2099-12-31 Fixed 3.227 N N N N N N GOLDENTREE LOAN MANAGEMENT EUR CLO 3 DAC 3A N/A ACI1ZWJ04 3200000.000000 PA 3496645.360000 0.272762 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 4.893 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CP2 9500000.000000 PA USD 8691834.240000 0.678022 Long DBT CORP DE N 2 2027-11-16 Floating 2.311 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CF4 1200000.000000 PA USD 1006443.440000 0.0785095 Long DBT CORP DE Y 2 2032-01-14 Floating 3.729 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BT5 3000000.000000 PA USD 2649337.110000 0.206666 Long DBT CORP US N 2 2028-03-09 Fixed 2.75 N N N N N N FIRST AMERICAN FINANCIAL CORPORATION 549300B6VEZK3N0A1P55 31847RAG7 3850000.000000 PA USD 3467481.980000 0.270487 Long DBT CORP US N 2 2030-05-15 Fixed 4 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N7309 2.000000 PA 0.230000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2004-6AR N/A 61748HBQ3 153430.810000 PA USD 143911.160000 0.0112261 Long ABS-MBS CORP US N 3 2034-08-25 Floating 5.40163 N N N N N N N/A N/A 000000000 1.000000 NC -26229.030000 -0.002046 N/A DFE CO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2874878169.110000 COP 714743.780000 USD 2024-01-09 -26229.030000 N N N N/A N/A 000000000 1.000000 NC USD 25944.690000 0.0020239 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2025-06-20 20952.910000 USD 0.000000 USD 3700000.000000 USD 4991.780000 N N N N/A N/A 000000000 1.000000 NC USD -89938.440000 -0.0070158 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-02 0.000000 USD 0.000000 USD 3100000.000000 USD -89938.440000 N N N MORGAN STANLEY CAPITAL I TRUST 2020-CNP N/A 61770YAA3 5000000.000000 PA USD 3862399.000000 0.301293 Long ABS-MBS CORP US N 2 2042-04-05 Variable 2.4276 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAC7 4000000.000000 PA USD 3735170.680000 0.291369 Long DBT CORP GB N 2 2029-07-26 Fixed 3.875 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05565ASK0 1900000.000000 PA USD 1535156.110000 0.119753 Long DBT CORP FR N 2 2031-02-25 Floating 4.625 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HW0 2800000.000000 PA USD 2615841.650000 0.204054 Long DBT CORP US N 2 2027-12-01 Fixed 3.3 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HL4 700000.000000 PA USD 549693.580000 0.0428799 Long DBT CORP US N 2 2045-03-15 Fixed 4.3 N N N N N N STRUCTURED ASSET INVESTMENT LN TR 2004-2 N/A 86358EGW0 1344202.950000 PA USD 1317253.560000 0.102755 Long ABS-MBS CORP US N 2 2034-03-25 Floating 6.17543 N N N N N N UNITED AIRLINES INC K1OQBWM7XEOO08LDNP29 90932LAH0 1000000.000000 PA USD 936280.400000 0.0730363 Long DBT CORP US N 2 2029-04-15 Fixed 4.625 N N N N N N AGL CLO 6 LTD 2020-6A N/A 00119VAN9 1500000.000000 PA USD 1499692.790000 0.116986 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 6.87743 N N N N N N MFA 2020-NQM2 TRUST N/A 552751AA7 1167146.220000 PA USD 1080789.420000 0.084309 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.381 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-EMX4 N/A 76110W6B7 531716.520000 PA USD 528207.300000 0.0412038 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.16043 N N N N N N GREENPOINT MRGT PASS THRU CER 2003-1 N/A 395387AA1 659.630000 PA USD 608.180000 0.0000474 Long ABS-MBS CORP US N 3 2033-10-25 Floating 5.72458 N N N N N N N/A N/A 000000000 1.000000 NC -2009.160000 -0.0001567 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1007741.260000 USD 789000.000000 GBP 2024-01-09 -2009.160000 N N N MERRILL LYNCH MORTGAGE INV 2007-HE2 N/A 59024LAB7 138123.440000 PA USD 41489.970000 0.0032365 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.71043 N N N N N N GREYWOLF CLO LTD 2015-1A N/A 39808PAL0 6127136.630000 PA USD 6135597.040000 0.478619 Long ABS-CBDO CORP KY N 2 2031-01-27 Floating 6.79983 N N N N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAR2 6141000.000000 PA USD 5446214.200000 0.424842 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RT8 6797.360000 PA USD 6715.820000 0.0005239 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.77782 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA3 N/A 12668BB44 29180.640000 PA USD 25102.560000 0.0019582 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.87043 N N N N N N AKER BP ASA 549300NFTY73920OYK69 55037AAA6 1300000.000000 PA USD 1198683.840000 0.0935055 Long DBT CORP NO N 2 2026-07-15 Fixed 2 N N N N N N AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD N/A 00253XAA9 3416666.680000 PA USD 3394531.800000 0.264797 Long DBT CORP US N 2 2026-04-20 Fixed 5.5 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 74977RDR2 6300000.000000 PA USD 6209104.230000 0.484353 Long DBT CORP NL N 2 2028-08-22 Floating 4.655 N N N N N N AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD N/A 00253XAB7 1700000.000000 PA USD 1659042.580000 0.129417 Long DBT CORP US N 2 2029-04-20 Fixed 5.75 N N N N N N ROLLS-ROYCE PLC X57JK1U580XATGR67572 ACI1S61G3 1100000.000000 PA 1410878.370000 0.110058 Long DBT CORP GB N 2 2027-10-15 Fixed 5.75 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RW1 20816.910000 PA USD 20053.010000 0.0015643 Long ABS-MBS CORP US N 3 2035-09-25 Floating 5.77782 N N N N N N AMERICAN AIRLINES 2017-1 CLASS AA PASS THROUGH TRUST N/A 023761AA7 2401875.000000 PA USD 2226623.390000 0.173692 Long DBT CORP US N 2 2029-02-15 Fixed 3.65 N N N N N N N/A N/A 000000000 1.000000 NC 30035.370000 0.002343 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BRITISH TELECOMMUNICATIONS PLC BRITISH TELECOM PLC WURO SR UNSEC Y Single Leg Swap 2028-06-20 17540.480000 EUR 0.000000 EUR 2000000.000000 EUR 12494.890000 N N N CVC CORDATUS LOAN FUND VII DAC 7A N/A ACI1W2TC6 4481113.470000 PA 4872179.340000 0.380063 Long ABS-CBDO CORP IE N 2 2031-09-15 Floating 4.555 N N N N N N SEGOVIA EUROPEAN CLO 4-2017 DAC N/A ACI1RL437 829751.230000 PA 908837.090000 0.0708955 Long ABS-CBDO CORP IE N 2 2031-01-18 Floating 4.745 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-RN1 LLC N/A 74140QAA6 2034354.960000 PA USD 1989836.150000 0.155221 Long ABS-MBS CORP US N 2 2061-02-25 Variable 1.9917 N N N N N N N/A N/A 000000000 1.000000 NC 1840.050000 0.0001435 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 38870.000000 USD 1240886.000000 TWD 2024-02-29 1840.050000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2G7 10000000.000000 PA USD 8896611.900000 0.693997 Long DBT CORP US N 2 2030-10-30 Floating 2.879 N N N N N N N/A N/A 000000000 1.000000 NC 15343.640000 0.0011969 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1033792.140000 USD 1390000.000000 CAD 2024-01-09 15343.640000 N N N N/A N/A 000000000 1.000000 NC USD 10198.620000 0.0007956 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2027-06-20 0.000000 USD -2368.330000 USD 700000.000000 USD 12566.950000 N N N SAMMONS FINANCIAL GROUP INC 254900SHCOQLVJ21CT59 79588TAD2 3000000.000000 PA USD 2411317.590000 0.188099 Long DBT CORP US N 2 2031-04-16 Fixed 3.35 N N N N N N CANADIAN PACIFIC RAILWAY COMPANY 54930036474DURYNB481 13648TAH0 4600000.000000 PA USD 3821422.350000 0.298097 Long DBT CORP CA N 2 2069-11-15 Fixed 4.2 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC N/A 74143EAA0 4054010.420000 PA USD 3919093.760000 0.305716 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 1.8677 N N N N N N AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST N/A 023770AA8 4933451.040000 PA USD 4525461.550000 0.353017 Long DBT CORP US N 2 2028-11-01 Fixed 3.375 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAQ6 450000.000000 PA USD 418092.290000 0.0326141 Long DBT CORP US N 2 2030-05-15 Fixed 3.75 N N N N N N NEW YORK MORTGAGE TRUST 2021-SP1 N/A 62955RAA3 4820318.120000 PA USD 4583778.840000 0.357566 Long ABS-MBS CORP US N 2 2051-08-25 Fixed 1.6696 N N N N N N AMERICAN AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST N/A 02376UAA3 1800607.890000 PA USD 1681024.300000 0.131131 Long DBT CORP US N 2 2029-07-15 Fixed 3.575 N N N N N N N/A N/A 000000000 1.000000 NC -52102.100000 -0.0040643 N/A DFE GB N 2 UBS AG BFM8T61CT2L1QCEMIK50 5082071.000000 GBP 6425973.860000 USD 2024-01-09 -52102.100000 N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 6293.310000 PA USD 6110.530000 0.0004767 Long ABS-MBS CORP US N 3 2035-07-25 Floating 5.52818 N N N N N N N/A N/A 000000000 1.000000 NC -4121.570000 -0.0003215 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 217000.000000 AUD 143781.920000 USD 2024-01-09 -4121.570000 N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JQ1 1800000.000000 PA USD 1525131.520000 0.118971 Long DBT CORP US N 2 2040-07-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 10128.310000 0.0007901 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON COMMUNICATIONS SR UNSEC Y Single Leg Swap 2024-12-20 8008.100000 USD 0.000000 USD 1800000.000000 USD 2120.210000 N N N LPL HOLDINGS INC 549300Z5YF8CCRMYUL26 50212YAH7 5700000.000000 PA USD 6079876.500000 0.474272 Long DBT CORP US N 2 2028-11-17 Fixed 6.75 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAA9 1300000.000000 PA USD 1199020.810000 0.0935318 Long DBT CORP US N 2 2027-11-01 Fixed 3.5 N N N N N N PRPM-2022-1 N/A 693582AA6 3116226.560000 PA USD 3014976.620000 0.235189 Long ABS-MBS CORP US N 2 2027-02-25 Fixed 3.72 N N N N N N N/A N/A 000000000 1.000000 NC -41.000000 -0.0000032 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1732484.250000 INR 20723.000000 USD 2024-03-20 -41.000000 N N N N/A N/A 000000000 1.000000 NC -10629.330000 -0.0008292 N/A DFE CO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 751602.140000 USD 2874878169.110000 COP 2024-01-09 -10629.330000 N N N CASCADE FUNDING MORTGAGE TRUST 2018-RM2 N/A 14727QAA3 863302.210000 PA USD 864203.150000 0.0674137 Long ABS-MBS CORP US N 2 2068-10-25 Fixed 4 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6 N/A 80287DAD9 2300000.000000 PA USD 2343523.130000 0.182811 Long ABS-O CORP US N 2 2029-04-16 Fixed 5.98 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JK4 1800000.000000 PA USD 1687485.760000 0.131635 Long DBT CORP US N 2 2028-07-01 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC 8631.380000 0.0006733 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 766520.330000 USD 702000.000000 EUR 2024-01-09 8631.380000 N N N UNIVERSITY OF VIRGINIA N/A 915217WX7 870000.000000 PA USD 744260.380000 0.0580574 Long DBT MUN US N 2 2117-09-01 Fixed 4.179 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2004-NC1 N/A 81375WAK2 6031236.260000 PA USD 5950395.380000 0.464172 Long ABS-MBS CORP US N 2 2034-02-25 Floating 6.25043 N N N N N N PALMER SQUARE LOAN FUNDING 2021-4 N/A 69702HAA6 5611749.520000 PA USD 5576350.720000 0.434993 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 6.45548 N N N N N N UNITED AIRLINES 2014-1 CLASS A PASS THROUGH TRUST N/A 90932PAA6 936347.610000 PA USD 895270.790000 0.0698372 Long DBT CORP US N 2 2027-10-11 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -47.880000 -0.0000037 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1494929.470000 INR 17869.000000 USD 2024-03-20 -47.880000 N N N ATLAS SENIOR LOAN FUND LTD 2018-12A N/A 04942UAC0 6163586.430000 PA USD 6159120.600000 0.480453 Long ABS-CBDO CORP KY N 2 2031-10-24 Floating 6.84008 N N N N N N NORDEA BANK ABP 529900ODI3047E2LIV03 65559CAD3 5850000.000000 PA USD 4635817.880000 0.361625 Long DBT CORP FI N 2 2029-03-01 Floating 3.75 N N N N Y NORDEA BANK ABP EUR XXXX N N N N/A N/A 000000000 1.000000 NC USD 2248.030000 0.0001754 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2028-12-20 0.000000 USD -4221.180000 USD 400000.000000 USD 6469.210000 N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AE7 4750000.000000 PA USD 4530843.080000 0.353437 Long DBT CORP US N 2 2026-08-18 Fixed 3.5 N N N N N N N/A N/A 000000000 3036000.000000 PA USD 3036000.000000 0.236829 Long RA US N 2 Repurchase N 2.600000 2024-01-02 3334800.000000 USD 3096753.440000 USD UST N N N CLEVELAND ELECTRIC ILLUMINATING COMPANY N/A 186108CL8 2500000.000000 PA USD 2372871.330000 0.1851 Long DBT CORP US N 2 2030-11-15 Fixed 4.55 N N N N N N GREEN TREE FINANCIAL CORP 1999-3 N/A 393505X98 821491.330000 PA USD 720661.320000 0.0562165 Long ABS-O CORP US N 2 2031-02-01 Fixed 6.53 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6 N/A 80287DAC1 2300000.000000 PA USD 2343444.010000 0.182805 Long ABS-O CORP US N 2 2028-07-17 Fixed 5.93 N N N N N N ACREC 2021-FL1 LTD N/A 00500RAA3 1876178.590000 PA USD 1836147.840000 0.143232 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 6.62273 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 303901BD3 300000.000000 PA 221326.210000 0.017265 Long DBT CORP CA N 2 2029-06-14 Fixed 4.23 N N N N N N N/A N/A 000000000 1.000000 NC USD 339512.820000 0.0264843 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-23 0.000000 USD -12679.990000 USD 5400000.000000 USD 352192.810000 N N N UMBS PASS THRU POOLS N/A 01F042624 133200000.000000 PA USD 129209204.120000 10.0792 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 4.5 N N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 231771.900000 PA USD 203486.360000 0.0158733 Long ABS-MBS CORP US N 2 2046-02-25 Floating 6.0118 N N N N N N UMBS PASS THRU POOLS N/A 01F050619 27000000.000000 PA USD 26715234.510000 2.08397 Long ABS-MBS USGSE US N 2 2054-01-16 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC USD -74322.190000 -0.0057976 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-02 0.000000 USD 0.000000 USD 3100000.000000 USD -74322.190000 N N N VERUS SECURITIZATION TRUST 2023-6 N/A 92539XAA2 9463221.300000 PA USD 9599423.550000 0.748821 Long ABS-MBS CORP US N 2 2068-09-25 Fixed 6.665 N N N N N N WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP) 06BTX5UWZD0GQ5N5Y745 960386AM2 1400000.000000 PA USD 1385492.950000 0.108078 Long DBT CORP US N 2 2028-09-15 Variable 4.95 N N N N N N APL FINANCE 2023-1 DESIGNATED ACTIVITY COMPANY N/A 03790CAA9 12248127.500000 PA USD 12229352.960000 0.953973 Long ABS-O CORP US N 3 2031-07-21 Fixed 7 N N N N N N N/A N/A 000000000 -3200000.000000 NC USD -5497.600000 -0.0004289 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75000 01/22/24-10Y LCH 2034-01-22 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2024-01-18 XXXX 10342.400000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAG8 11400000.000000 PA USD 11494310.030000 0.896635 Long DBT CORP US N 2 2029-04-15 Fixed 5.25 N N N N N N FHLMC PASS THRU POOLS N/A 312928QX5 10096.820000 PA USD 10441.050000 0.0008145 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.5 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE7 N/A 61756YAD5 7000000.000000 PA USD 5898120.900000 0.460094 Long ABS-MBS CORP US N 2 2037-07-25 Floating 6.72043 N N N N N N GSR MORTGAGE LOAN TRUST 2003-1 N/A 36229RJJ9 2603.350000 PA USD 2492.330000 0.0001944 Long ABS-MBS CORP US N 3 2033-03-25 Floating 6.78 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 700000.000000 PA USD 654855.040000 0.0510832 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81 N N N N N N N/A N/A 000000000 1.000000 NC 28.740000 0.0000022 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 854.550000 USD 15066.100000 MXN 2024-01-31 28.740000 N N N CAPITAL FARM CREDIT ACA 254900S6K5I3OISPS518 14019TAA4 4700000.000000 NS USD 4286964.000000 0.334413 Long EP CORP US N 2 N N N VIRGIN MEDIA (VMED O2 UK FINANCING I PLC) 213800MRR46ECNGZ7L69 92858RAB6 6000000.000000 PA USD 5363286.000000 0.418373 Long DBT CORP GB N 2 2031-07-15 Fixed 4.75 N N N N N N ARES FINANCE CO II LLC 54930012GWL4VKKENG46 04015KAB6 4950000.000000 PA USD 4379345.490000 0.341619 Long DBT CORP US N 2 2030-06-15 Fixed 3.25 N N N N N N N/A N/A 000000000 1.000000 NC 34250.680000 0.0026718 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 308587.880000 USD 1349300.510000 PLN 2024-01-22 34250.680000 N N N N/A N/A 000000000 1.000000 NC 213.600000 0.0000167 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 567094680.000000 IDR 37013.000000 USD 2024-03-20 213.600000 N N N N/A N/A 000000000 1.000000 NC USD 376467.370000 0.029367 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-20 0.000000 USD -32491.590000 USD 6300000.000000 USD 408958.960000 N N N N/A N/A 000000000 -3200000.000000 NC USD -16128.640000 -0.0012581 N/A DIR US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Written UBS AG BFM8T61CT2L1QCEMIK50 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.34400 01/22/24-10Y LCH 2034-01-22 0.000000 USD 0.000000 USD N/A USD N/A 3.340000 USD 2024-01-18 XXXX -529.440000 N N N FERGUSON FINANCE PLC 2138003A7ZEU931DZL61 314890AB0 2500000.000000 PA USD 2238530.100000 0.174621 Long DBT CORP GB N 2 2030-06-02 Fixed 3.25 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 BFM4XMII1 11800000.000000 PA 14327182.300000 1.11762 Long DBT CORP GB N 2 2026-09-28 Floating 5.875 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N STONEPEAK 2021-1 ABS N/A 78433XAA8 1001717.330000 PA USD 921439.900000 0.0718786 Long ABS-O CORP US N 2 2033-02-28 Fixed 2.301 N N N N N N WELLS FARGO MTGE BACKED SEC 2007-AR6 N/A 949794AB7 1489275.760000 PA USD 1365598.110000 0.106526 Long ABS-MBS CORP US N 2 2037-10-25 Variable 5.96998 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAK4 9000000.000000 PA USD 8597052.360000 0.670629 Long DBT CORP US N 2 2028-07-22 Fixed 3.591 N N N N N N OZLM IX LTD 2014-9A N/A 67109KBC7 2000000.000000 PA USD 2001082.760000 0.156098 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 6.77743 N N N N N N BEAR STEARNS ASSETBK SEC 2005-AQ2 N/A 0738792V9 3417748.930000 PA USD 3399433.900000 0.265179 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.20543 N N N N N N CSMC 2021-RPL7 TRUST N/A 12598JAC5 4853267.260000 PA USD 4660802.210000 0.363574 Long ABS-MBS CORP US N 2 2061-07-27 Fixed 1.92598 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AB7 2000000.000000 PA USD 1926414.060000 0.150273 Long DBT CORP JP N 2 2025-09-17 Fixed 3.522 N N N N N N N/A N/A 000000000 1.000000 NC -343561.660000 -0.0268002 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 81015000.000000 EUR 89113583.460000 USD 2024-01-09 -343561.660000 N N N FHLMC PASS THRU POOLS N/A 3128L5LP4 11008.410000 PA USD 11490.640000 0.0008963 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 62366000.000000 PA USD 59033029.990000 4.60498 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -203643.230000 -0.0158856 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-29 0.000000 USD 0.000000 USD 6300000.000000 USD -203643.230000 N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AL3 3150000.000000 PA USD 3133754.510000 0.244454 Long DBT CORP US N 2 2029-01-15 Fixed 5.3 N N N N N N FHLMC PASS THRU POOLS N/A 3142GQBS0 2095272.450000 PA USD 2032187.530000 0.158525 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 4.5 N N N N N N DISCOVER FINANCIAL SERVICES Z1YLO2USPORE63VVUL20 254709AT5 3000000.000000 PA USD 3338628.600000 0.260436 Long DBT CORP US N 2 2034-11-02 Floating 7.964 N N N N N N MSCI INC 549300HTIN2PD78UB763 55354GAK6 200000.000000 PA USD 181188.860000 0.014134 Long DBT CORP US N 2 2030-09-01 Fixed 3.625 N N N N N N N/A N/A 000000000 1.000000 NC 34478.040000 0.0026895 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BRITISH TELECOMMUNICATIONS PLC BRITISH TELECOM PLC WURO SR UNSEC Y Single Leg Swap 2027-12-20 24753.050000 EUR 0.000000 EUR 2000000.000000 EUR 9724.990000 N N N CHARLES SCHWAB CORP/THE 549300VSGCJ7E698NM85 808513AR6 5000000.000000 NS USD 4222350.000000 0.329372 Long EP CORP US N 2 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659X2M3 5000000.000000 PA USD 4445843.150000 0.346806 Long DBT CORP FR N 2 2028-09-30 Floating 1.904 N N N N N N GOLUB CAPITAL BDC INC 2549005WE0QLGK9APF78 38173MAC6 4000000.000000 PA USD 3514624.080000 0.274165 Long DBT CORP US N 2 2027-02-15 Fixed 2.05 N N N N N N N/A N/A 000000000 1.000000 NC 38301.340000 0.0029878 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1453886.750000 USD 1977000.000000 CAD 2024-01-09 38301.340000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 U6S771NR6 7000000.000000 PA USD 4254977.860000 0.331917 Long DBT CORP US Y 2 2032-04-02 Variable 0 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05565ALQ4 900000.000000 PA USD 718673.580000 0.0560614 Long DBT CORP FR N 2 2030-02-25 Floating 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -1414696.050000 -0.110356 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2025-06-21 0.000000 CAD -6119163.980000 CAD 743000000.000000 CAD 4704467.930000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHD4 25728000.000000 PA USD 24252085.240000 1.89183 Long DBT CORP US N 2 2028-12-20 Floating 3.419 N N N N N N BROOKFIELD FINANCE INC 549300XH8D8K6OYWGD17 11271LAK8 2500000.000000 PA USD 2662594.080000 0.207701 Long DBT CORP CA N 2 2034-01-05 Fixed 6.35 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 1.910000 PA 0.230000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 12016.990000 0.0009374 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON COMMUNICATIONS SR UNSEC Y Single Leg Swap 2028-12-20 4736.810000 USD 0.000000 USD 1000000.000000 USD 7280.180000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AS8 1200000.000000 PA USD 1190048.520000 0.0928319 Long DBT CORP GB N 2 2024-09-17 Floating 6.375 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N EXTRA SPACE STORAGE LP 549300YNKSKNZFR8UC42 30225VAK3 7500000.000000 PA USD 7676575.500000 0.598825 Long DBT CORP US N 2 2030-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -44.430000 -0.0000035 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1454675.240000 INR 17390.000000 USD 2024-03-20 -44.430000 N N N BLUEMOUNTAIN EUR 2021-1 CLO DAC 21-1A N/A ACI1VVPH6 6000000.000000 PA 6501649.960000 0.507173 Long ABS-CBDO CORP IE N 2 2034-04-15 Floating 4.795 N N N N N N N/A N/A 000000000 -6500000.000000 NC USD -68482.700000 -0.0053421 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.56000 01/09/24-10Y LCH 2034-01-09 0.000000 USD 0.000000 USD N/A USD N/A 3.560000 USD 2024-01-05 XXXX -35170.200000 N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HY6 2400000.000000 PA USD 1761261.550000 0.13739 Long DBT CORP US N 2 2047-12-01 Fixed 3.95 N N N N N N N/A N/A 000000000 -3200000.000000 NC USD -12455.040000 -0.0009716 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.28500 01/23/24-10Y LCH 2034-01-23 0.000000 USD 0.000000 USD N/A USD N/A 3.290000 USD 2024-01-19 XXXX 904.960000 N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP N/A 466317AA2 976279.570000 PA USD 900426.550000 0.0702394 Long ABS-MBS CORP US N 2 2037-04-15 Floating 5.95831 N N N N N N N/A N/A 000000000 1.000000 NC 207.260000 0.0000162 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 869005692.000000 IDR 56598.000000 USD 2024-03-20 207.260000 N N N BAT INTERNATIONAL FINANCE PLC 21380041YBGOQDFAC823 05530QAQ3 2000000.000000 PA USD 2079400.700000 0.162208 Long DBT CORP GB N 2 2029-02-02 Fixed 5.931 N N N N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114CV8 1800000.000000 PA USD 1461240.090000 0.113987 Long DBT CORP US N 2 2050-02-15 Fixed 4.15 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6 N/A 80287DAE7 2300000.000000 PA USD 2364603.550000 0.184455 Long ABS-O CORP US N 2 2031-03-17 Fixed 6.4 N N N N N N N/A N/A 000000000 -6500000.000000 NC USD -82982.250000 -0.0064732 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.59400 01/09/24-10Y LCH 2034-01-09 0.000000 USD 0.000000 USD N/A USD N/A 3.590000 USD 2024-01-05 XXXX -50482.250000 N N N CEDAR FUNDING VII CLO LTD 2018-7A N/A 15032FAA4 1791633.540000 PA USD 1789997.150000 0.139632 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 6.67743 N N N N N N N/A N/A 000000000 1.000000 NC USD 23923.910000 0.0018662 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2026-12-20 16653.340000 USD 0.000000 USD 1500000.000000 USD 7270.570000 N N N UNIVERSITY OF MICHIGAN N/A 914455UJ7 10000000.000000 PA USD 8998764.000000 0.701965 Long DBT MUN US N 2 2099-12-31 Fixed 4.454 N N N N N N EQM MIDSTREAM PARTNERS LP (AKA: EQT MIDSTREAM PARTNERS LP) 549300NELT611CL6XM83 26885BAB6 800000.000000 PA USD 773399.280000 0.0603304 Long DBT CORP US N 2 2026-12-01 Fixed 4.125 N N N N N N US AIRWAYS 2013-1 CLASS A PASS THROUGH TRUST N/A 90346WAA1 417110.650000 PA USD 398875.950000 0.031115 Long DBT CORP US N 2 2027-05-15 Fixed 3.95 N N N N N N SOUND POINT CLO XV LTD 2017-1A N/A 83609RAL5 2092724.060000 PA USD 2094211.760000 0.163363 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 6.57354 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 40756.550000 PA USD 38304.640000 0.002988 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.83576 N N N N N N AMERICAN AIRLINES 2016-2 CLASS AA PASS THROUGH TRUST N/A 023765AA8 1821150.000000 PA USD 1660664.070000 0.129543 Long DBT CORP US N 2 2029-12-15 Fixed 3.2 N N N N N N CANTOR FITZGERALD LP 549300RLUEEVQEMX0450 138616AM9 8700000.000000 PA USD 8925451.190000 0.696246 Long DBT CORP US N 2 2028-12-12 Fixed 7.2 N N N N N N CARLYLE FINANCE SUBSIDIARY LLC N/A 14314DAA1 4000000.000000 PA USD 3744690.240000 0.292111 Long DBT CORP US N 2 2029-09-19 Fixed 3.5 N N N N N N ECAF I LTD 2015-1A N/A 26827EAC9 317954.180000 PA USD 208271.430000 0.0162466 Long ABS-O CORP KY N 2 2040-06-15 Fixed 4.947 N N N N N N SOUND POINT CLO XVI LTD 2017-2A N/A 83610KAJ2 6708722.550000 PA USD 6700823.300000 0.52271 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 6.61983 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 5600000.000000 NS USD 5374488.000000 0.419247 Long EP CORP US N 2 N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 7327313.970000 PA 7954253.520000 0.620486 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.605 N N N N N N AMERIQUEST MTGE SECURITIES INC 2004-R12 N/A 03072SXF7 1268671.740000 PA USD 1130263.210000 0.0881682 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.49043 N N N N N N HUDSON PACIFIC PROPERTIES LP 5493007NTUGLGZ8T3526 44409MAD8 200000.000000 PA USD 177008.580000 0.0138079 Long DBT CORP US N 2 2028-02-15 Fixed 5.95 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR18 N/A 22541QFC1 596.610000 PA USD 560.000000 0.0000437 Long ABS-MBS CORP US N 3 2033-07-25 Floating 4.85785 N N N N N N APIDOS CLO XX 2015-20A N/A 03765LAP7 5561595.750000 PA USD 5564845.780000 0.434096 Long ABS-CBDO CORP KY N 2 2031-07-16 Floating 6.75548 N N N N N N ALASKA AIRLINES 2020-1 CLASS A PASS THROUGH TRUST N/A 01166VAA7 2600439.570000 PA USD 2530667.700000 0.197409 Long DBT CORP US N 2 2029-02-15 Fixed 4.8 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAN2 400000.000000 PA USD 381531.560000 0.0297621 Long DBT CORP US N 2 2028-12-15 Fixed 4.75 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO3 N/A 761118WP9 699848.580000 PA USD 197882.820000 0.0154362 Long ABS-MBS CORP US N 2 2046-04-25 Floating 5.89043 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CE7 1400000.000000 PA USD 1313110.760000 0.102432 Long DBT CORP DE Y 2 2026-11-24 Floating 2.129 N N N N N N N/A N/A 000000000 1.000000 NC USD 6885.120000 0.0005371 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-06-20 6557.330000 USD 0.000000 USD 400000.000000 USD 327.790000 N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXQ6 15835.710000 PA USD 15636.540000 0.0012198 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.78 N N N N N N FNMA PASS THRU POOLS N/A 3138E0HS1 64776.280000 PA USD 64671.390000 0.0050448 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 4.5 N N N N N N INVITATION HOMES OPERATING PARTNERSHIP LP 549300147YMUQB3GW319 46188BAE2 5000000.000000 PA USD 5044440.450000 0.393501 Long DBT CORP US N 2 2030-08-15 Fixed 5.45 N N N N N N RCKT MORTGAGE TRUST 2023-CES2 N/A 748956AA7 967558.330000 PA USD 982484.370000 0.0766405 Long ABS-MBS CORP US N 2 2043-09-25 Variable 6.808 N N N N N N RESIDENTIAL ASSET SECS CORP 2005-KS12 N/A 753910AF5 1500000.000000 PA USD 1456899.000000 0.113648 Long ABS-MBS CORP US N 2 2036-01-25 Floating 6.19043 N N N N N N NOMURA HOME EQUITY LOAN INC 2005-HE1 N/A 65536HBF4 2438.690000 PA USD 2375.960000 0.0001853 Long ABS-MBS CORP US N 3 2035-09-25 Floating 6.35543 N N N N N N UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST N/A 90932JAA0 4167352.460000 PA USD 3534671.680000 0.275728 Long DBT CORP US N 2 2033-11-01 Fixed 2.7 N N N N N N MSCI INC 549300HTIN2PD78UB763 55354GAQ3 300000.000000 PA USD 251099.070000 0.0195874 Long DBT CORP US N 2 2033-08-15 Fixed 3.25 N N N N N N GOODMAN US FINANCE THREE LLC N/A 38239JAA9 3200000.000000 PA USD 2981490.180000 0.232577 Long DBT CORP US N 2 2028-03-15 Fixed 3.7 N N N N N N AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST N/A 02377AAA6 2191810.710000 PA USD 2041693.380000 0.159266 Long DBT CORP US N 2 2028-04-01 Fixed 3.7 N N N N N N N/A N/A 000000000 1.000000 NC USD 32292.880000 0.0025191 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2026-12-20 5628.370000 USD 0.000000 USD 2000000.000000 USD 26664.510000 N N N FHLMC PASS THRU POOLS N/A 3132A5KB0 237898.480000 PA USD 228993.270000 0.017863 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 38057.330000 0.0029687 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 ENERGY TRANSFER LP ENERGY TRANSFER OPERATNG SR UNSEC Y Single Leg Swap 2025-12-20 35291.730000 USD 0.000000 USD 3500000.000000 USD 2765.600000 N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAL7 6900000.000000 PA USD 6563436.350000 0.511993 Long DBT CORP US N 2 2028-12-15 Fixed 4.375 N N N N N N WASHINGTON MUTUAL 2004-AR13 N/A 92922FB72 344726.730000 PA USD 323145.840000 0.0252076 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.21043 N N N N N N CLNC 2019-FL1 LTD N/A 12565DAA1 9174.490000 PA USD 9161.370000 0.0007146 Long ABS-CBDO CORP KY N 2 2035-08-20 Floating 6.72023 N N N N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122ND58 8200000.000000 PA USD 6268348.140000 0.488974 Long DBT MUN US N 2 2041-06-01 Fixed 3.714 N N N N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 78448TAH5 3600000.000000 PA USD 3622951.690000 0.282615 Long DBT CORP IE N 2 2028-05-03 Fixed 5.45 N N N N N N OBX 2023-NQM5 TRUST N/A 673919AL0 2318940.330000 PA USD 2343609.220000 0.182817 Long ABS-MBS CORP US N 2 2063-06-25 Fixed 6.567 N N N N N N MICHIGAN STATE UNIVERSITY N/A 594712WY3 3200000.000000 PA USD 2600085.120000 0.202824 Long DBT MUN US N 2 2122-08-15 Fixed 4.165 N N N N N N TENNESSEE GAS PIPELINE COMPANY LLC N/A 880451AZ2 3800000.000000 PA USD 3348718.190000 0.261223 Long DBT CORP US N 2 2030-03-01 Fixed 2.9 N N N N N N N/A N/A 000000000 -1376.000000 NC USD -2690268.000000 -0.209859 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-03-28 -283300123.970000 USD -2690268.000000 N N N TESCO PROPERTY FINANCE 3 PLC 213800HCQGDQGFP75D78 989XYDII0 585295.970000 PA 754605.210000 0.0588644 Long DBT CORP GB N 2 2040-04-13 Fixed 5.744 N N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 19437.830000 PA USD 16664.840000 0.0013 Long ABS-MBS CORP US N 2 2047-01-20 Floating 5.061 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2F0 14700000.000000 PA USD 14334221.220000 1.11817 Long DBT CORP FR N 2 2028-08-14 Fixed 4.4 N N N N N N VENTURE CDO LTD 2016-25A N/A 92329VAS1 3401379.460000 PA USD 3404127.300000 0.265545 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 6.69743 N N N N N N COBANK ACB (AKA: COBANK AB) P0J8I7M2E0A77CKF1705 19075QAD4 2000000.000000 NS USD 1598940.000000 0.124728 Long EP CORP US N 2 N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBC6 1600000.000000 PA USD 1464835.420000 0.114267 Long DBT CORP US N 2 2032-03-15 Fixed 4.279 N N N N N N N/A N/A 000000000 1.000000 NC USD 11893.500000 0.0009278 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2024-12-20 0.000000 USD -12333.970000 USD 1400000.000000 USD 24227.470000 N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BS2 2000000.000000 PA USD 1626909.220000 0.12691 Long DBT CORP US N 2 2049-07-01 Fixed 5.125 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5SH4 1680.690000 PA USD 1747.890000 0.0001363 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6.5 N N N N N N DC COMMERCIAL MORTGAGE TRUST 2023-DC N/A 24023AAA8 1100000.000000 PA USD 1136544.420000 0.0886582 Long ABS-MBS CORP US N 2 2040-09-12 Fixed 6.3143 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2U6 8000000.000000 PA USD 6990024.400000 0.54527 Long DBT CORP US N 2 2033-03-02 Floating 3.35 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAM5 1100000.000000 PA USD 1029883.110000 0.0803379 Long DBT CORP US N 2 2027-12-01 Fixed 3.95 N N N N N N CAIRN CLO VII BV 16-7A N/A ACI1G9KT1 4687563.070000 PA 5129721.760000 0.400153 Long ABS-CBDO CORP IE N 2 2030-01-31 Floating 4.618 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1X8QV3 1.620000 PA 0.200000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7 N/A 07384MYW6 6270.680000 PA USD 5788.600000 0.0004516 Long ABS-MBS CORP US N 3 2033-10-25 Floating 5.61148 N N N N N N FHLMC PASS THRU POOLS N/A 3133KR3D4 1335032.750000 PA USD 1294837.290000 0.101006 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 4.5 N N N N N N TESCO PROPERTY FINANCE 6 PLC 213800FORYFOB97FHO66 B9JST3II3 179055.520000 PA 221997.810000 0.0173173 Long DBT CORP GB N 2 2044-07-13 Fixed 5.4111 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308KD8 2000000.000000 PA USD 1782374.000000 0.139037 Long DBT CORP US N 2 2052-03-01 Fixed 5.25 N N N N N N MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY R6ZXK5P01NP6HXSY1S07 575767AM0 4500000.000000 PA USD 4114372.050000 0.320949 Long DBT CORP US N 2 2069-02-15 Floating 5.077 N N N N N N CSMC 2022-ATH3 TRUST N/A 12664AAD1 1701408.310000 PA USD 1674157.700000 0.130596 Long ABS-MBS CORP US N 2 2067-08-25 Fixed 4.991 N N N N N N N/A N/A 000000000 1.000000 NC -1642898.230000 -0.128157 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2032-06-01 0.000000 CAD -492992.200000 CAD 60200000.000000 CAD -1149906.030000 N N N N/A N/A 000000000 1.000000 NC 3464.170000 0.0002702 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 140103.380000 USD 183150144.000000 KRW 2024-06-20 3464.170000 N N N BNPAM-2018-1A N/A ACI1W1J88 1800000.000000 PA 1956806.850000 0.152644 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 4.565 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZS6 20000000.000000 PA USD 20185066.800000 1.57457 Long DBT CORP US N 2 2028-03-15 Floating 7.19879 N N N N N N N/A N/A 000000000 1.000000 NC 10216.150000 0.0007969 N/A DFE CO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2874878169.110000 COP 740757.060000 USD 2024-03-20 10216.150000 N N N GLG EURO CLO III DAC A N/A ACI1VVSK6 1532017.710000 PA 1680637.990000 0.131101 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 4.645 N N N N N N KKR FINANCIAL HOLDINGS LLC 549300U5WMP5TYFNKW68 48248AAG3 9000000.000000 PA USD 8700084.450000 0.678666 Long DBT CORP US N 2 2033-05-23 Fixed 5.4 N N N N N N VERIZON MASTER TRUST 2023-6 N/A 92348VAA7 8000000.000000 PA USD 8278695.200000 0.645795 Long ABS-O CORP US N 2 2031-09-22 Fixed 5.35 N N N N N N BRITISH AIRWAYS 2019-1 CLASS AA PASS THROUGH TRUST N/A 11043XAA1 2509927.080000 PA USD 2236297.840000 0.174447 Long DBT CORP US N 2 2034-06-15 Fixed 3.3 N N N N N N N/A N/A 000000000 465.000000 NC 1032725.750000 0.0805597 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL 549300DKBYNOI0B1NP44 Long N/A CANADA GOVT 2024-03-19 43578506.470000 CAD 1032725.750000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BT5 4000000.000000 PA USD 3881772.720000 0.302805 Long DBT CORP GB N 2 2029-06-19 Floating 4.583 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797GC5 714000.000000 PA USD 713067.900000 0.0556242 Long DBT UST US N 2 2024-01-11 None 0 N N N N N N THE TRUSTEES OF THE UNIVERSITY OF PENNSYLVANIA 549300FG60YK9HZ7DS75 91481CAC4 6500000.000000 PA USD 4662092.830000 0.363675 Long DBT CORP US N 2 2119-02-15 Fixed 3.61 N N N N N N GSAMP TRUST 2005-HE4 N/A 362341KE8 1166756.860000 PA USD 1132658.740000 0.0883551 Long ABS-MBS CORP US N 2 2045-07-25 Floating 6.25043 N N N N N N N/A N/A 000000000 -6500000.000000 NC USD -55.250000 -0.0000043 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.01000 01/09/24-10Y LCH 2034-01-09 0.000000 USD 0.000000 USD N/A USD N/A 4.010000 USD 2024-01-05 XXXX 33257.250000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBV6 6900000.000000 PA USD 5659015.400000 0.441442 Long DBT CORP GB N 2 2032-11-24 Floating 2.894 N N N N N N LIBERTY MUTUAL GROUP INC QUR0DG15Z6FFGYCHH861 53079EBL7 2000000.000000 PA USD 1317779.200000 0.102796 Long DBT CORP US N 2 2061-02-01 Fixed 4.3 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2004-16CB N/A 12667FMF9 2599064.700000 PA USD 2586059.760000 0.20173 Long ABS-MBS CORP US N 2 2034-08-25 Fixed 6 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2 N/A 78486BAA2 7785993.200000 PA USD 7601185.250000 0.592944 Long ABS-CBDO CORP KY N 2 2038-04-18 Floating 6.67273 N N N N N N BLUEMOUNTAIN EUR CLO 5A N/A ACI1GHFQ5 7550000.000000 PA 8210291.400000 0.640459 Long ABS-CBDO CORP IE N 2 2033-01-15 Floating 4.875 N N N N N N ASHTEAD CAPITAL INC 213800J1134IW58IC398 045054AL7 1600000.000000 PA USD 1495823.100000 0.116684 Long DBT CORP US N 2 2029-11-01 Fixed 4.25 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2021-RPL9 N/A 12658XAC1 2419860.200000 PA USD 2330620.110000 0.181804 Long ABS-MBS CORP US N 2 2061-02-25 Fixed 2.43639 N N N N N N FNMA PASS THRU POOLS N/A 31416TL49 13493.370000 PA USD 13470.130000 0.0010508 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -19284.360000 -0.0015043 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 11909325.130000 MXN 678929.040000 USD 2024-01-31 -19284.360000 N N N N/A N/A 000000000 1.000000 NC 77.830000 0.0000061 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1451449735.000000 IDR 94264.000000 USD 2024-03-20 77.830000 N N N GS MORTGAGE SECURITIES CORP TRUST 2018-RIVR N/A 36255WAA3 1297764.690000 PA USD 981186.280000 0.0765392 Long ABS-MBS CORP US N 2 2035-07-15 Floating 6.609 N N N N N N METLIFE CAPITAL TRUST IV N/A 591560AA5 600000.000000 PA USD 645946.450000 0.0503882 Long DBT CORP US N 2 2067-12-15 Floating 7.875 N N N N N N DSLA MORTGAGE LOAN TRUST 2005-AR4 N/A 23332UEM2 304287.050000 PA USD 253957.850000 0.0198104 Long ABS-MBS CORP US N 2 2045-08-19 Floating 5.99023 N N N N N N GNMA PASS THRU POOLS N/A 21H022614 77400000.000000 PA USD 67719147.010000 5.28256 Long ABS-MBS USGSE US N 2 2054-01-22 Fixed 2.5 N N N N N N UNITED AIRLINES INC K1OQBWM7XEOO08LDNP29 90932RAJ3 3028039.410000 PA USD 3043179.610000 0.237389 Long LON CORP US N 2 2028-04-21 Floating 9.2198 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XCE3 2100000.000000 PA USD 1861275.720000 0.145192 Long DBT CORP US Y 2 2031-03-25 Fixed 2.875 N N N N N N SKYMILES IP LTD 2549008L7P4I8VB90936 24736CBS2 960000.000000 PA USD 984499.200000 0.0767977 Long LON CORP US N 2 2027-10-20 Floating 9.1658 N N N N N N REGENTS OF THE UNIVERSITY OF CALIFORNIA MEDICAL CENTER POOLED REVENUE N/A 913366KD1 4000000.000000 PA USD 2792012.000000 0.217796 Long DBT MUN US N 2 2120-05-15 Fixed 3.706 N N N N N N GLOBAL ATLANTIC (FIN) COMPANY N/A 37959GAB3 1200000.000000 PA USD 984185.560000 0.0767732 Long DBT CORP US N 2 2031-06-15 Fixed 3.125 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG006 10000000.000000 PA USD 1200000.000000 0.0936082 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N MARBLE POINT CLO X LTD 2017-1A N/A 566061AL1 3610028.580000 PA USD 3617269.250000 0.282172 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.69548 N N N N N N UNITED AIRLINES 2016-1 CLASS A PASS THROUGH TRUST N/A 90931MAA4 1537665.830000 PA USD 1373849.830000 0.10717 Long DBT CORP US N 2 2030-01-07 Fixed 3.45 N N N N N N AURIUM CLO III DAC 3A N/A ACI1FVVB0 6785264.620000 PA 7408467.810000 0.577911 Long ABS-CBDO CORP IE N 2 2030-04-16 Floating 4.635 N N N N N N CENTEX HOME EQUITY 2005-D N/A 152314PR5 4279000.000000 PA USD 4237657.160000 0.330566 Long ABS-MBS CORP US N 2 2035-10-25 Floating 6.43043 N N N N N N UMBS PASS THRU POOLS N/A 01F030637 42000000.000000 PA USD 37243828.440000 2.90527 Long ABS-MBS USGSE US N 2 2054-03-13 Fixed 3 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2D4 5400000.000000 PA USD 5252802.530000 0.409755 Long DBT CORP US N 2 2029-01-24 Fixed 4.15 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS8 N/A 76110W3V6 4549644.480000 PA USD 4470525.250000 0.348732 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.43043 N N N N N N N/A N/A 000000000 1.000000 NC USD 328088.550000 0.0255931 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-23 0.000000 USD -23506.450000 USD 5400000.000000 USD 351595.000000 N N N RUTGERS THE STATE UNIVERSITY 549300BOYDHNW8J60112 783186TP4 5000000.000000 PA USD 3713461.000000 0.289675 Long DBT MUN US N 2 2119-05-01 Fixed 3.915 N N N N N N N/A N/A 000000000 -3200000.000000 NC USD -6559.680000 -0.0005117 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.73500 01/23/24-10Y LCH 2034-01-23 0.000000 USD 0.000000 USD N/A USD N/A 3.730000 USD 2024-01-19 XXXX 6800.320000 N N N CRESTLINE DENALI CLO XIV LTD 2016-1A N/A 22615MAW2 12588410.140000 PA USD 12590093.710000 0.982113 Long ABS-CBDO CORP KY N 2 2031-10-23 Floating 6.81354 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B77 400000.000000 PA USD 370653.520000 0.0289135 Long DBT CORP US N 2 2026-08-10 Fixed 2.7 N N N N N N HUDSON PACIFIC PROPERTIES LP 5493007NTUGLGZ8T3526 44409MAA4 100000.000000 PA USD 83829.780000 0.0065393 Long DBT CORP US N 2 2027-11-01 Fixed 3.95 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796ZY8 355000.000000 PA USD 353805.240000 0.0275992 Long DBT UST US N 2 2024-01-25 None 0 N N N N N N UNITED AIRLINES 2016-2 CLASS AA PASS THROUGH TRUST N/A 90932EAA1 1444485.340000 PA USD 1293355.920000 0.100891 Long DBT CORP US N 2 2030-04-07 Fixed 2.875 N N N N N N TORO EUROPEAN CLO 6 DAC 6A N/A ACI1ZW9V7 2500000.000000 PA 2738088.380000 0.21359 Long ABS-CBDO CORP IE N 2 2032-01-12 Floating 4.908 N N N N N N ARES MANAGEMENT CORPORATION 529900JUV61FH7B8VW38 03990BAA9 5900000.000000 PA USD 6189942.170000 0.482858 Long DBT CORP US N 2 2028-11-10 Fixed 6.375 N N N N N N EUROSAIL PLC 2007-3A N/A 29880YAJ8 422735.250000 PA 535768.160000 0.0417936 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 6.26451 N N N N N N FLEETBOSTON FINANCIAL CORPORATION N/A 338915AH4 2120000.000000 PA USD 2263123.400000 0.176539 Long DBT CORP US N 2 2028-01-15 Fixed 6.875 N N N N N N MELCO RESORTS FINANCE LIMITED 5493000FQDBWKDBZEF60 58547DAD1 400000.000000 PA USD 353911.760000 0.0276075 Long DBT CORP KY N 2 2029-12-04 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC -163683.550000 -0.0127684 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8653933.630000 CAD 6368080.080000 USD 2024-01-09 -163683.550000 N N N N/A N/A 000000000 1.000000 NC USD 48978.810000 0.0038207 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON COMMUNICATIONS SR UNSEC Y Single Leg Swap 2028-06-20 23989.520000 USD 0.000000 USD 3900000.000000 USD 24989.290000 N N N MARVELL TECHNOLOGY INC N/A 573874AN4 5500000.000000 PA USD 5491783.060000 0.428397 Long DBT CORP US N 2 2028-06-22 Fixed 4.875 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BL63VKII4 1.000000 PA 0.110000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N ZEPHYRUS CAPITAL AVIATION PARTNERS LTD 2018-1 N/A 933QMTII0 2100458.900000 PA USD 1868786.270000 0.145778 Long ABS-O CORP US N 2 2038-10-15 Fixed 4.605 N N N N N N UMBS PASS THRU POOLS N/A 01F050627 53000000.000000 PA USD 52461719.280000 4.09237 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 277.820000 0.0000217 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1436147331.000000 IDR 93471.000000 USD 2024-03-20 277.820000 N N N TESCO PROPERTY FIN 4 PLC 213800UCE6O94DGHWT77 B3LSHBII8 6492697.980000 PA 8471022.350000 0.660798 Long DBT CORP GB N 2 2040-10-13 Fixed 5.8006 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWHS5 72469272.750000 PA USD 71711465.910000 5.59398 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5 N N N N N N RETAIL OPPORTUNITY INVESTMENTS PARTNERSHIP LP 549300KH0PNTJK9NTE57 76132FAC1 2400000.000000 PA USD 2523885.650000 0.19688 Long DBT CORP US N 2 2028-10-15 Fixed 6.75 N N N N N N N/A N/A 000000000 1.000000 NC -33152.430000 -0.0025861 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5294527.000000 GBP 6715739.530000 USD 2024-01-09 -33152.430000 N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL3 N/A 12656PAC0 5211471.080000 PA USD 5299610.610000 0.413406 Long ABS-MBS CORP US N 2 2060-03-25 Variable 4.04638 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4 N/A 03880RAA7 7600000.000000 PA USD 7523861.300000 0.586912 Long ABS-CBDO CORP KY N 2 2036-11-15 Floating 6.82629 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI1MBMC4 200000.000000 PA 223937.610000 0.0174687 Long DBT CORP DE N 2 2031-05-19 Floating 5.625 N N N N N N AMERICAN ASSETS TRUST LP 549300V1TI0SMG9Z6U69 02401LAA2 4000000.000000 PA USD 3265027.360000 0.254694 Long DBT CORP US N 2 2031-02-01 Fixed 3.375 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2022-AHP N/A 05610FAA5 5000000.000000 PA USD 4911549.000000 0.383134 Long ABS-MBS CORP US N 2 2039-01-17 Floating 6.35181 N N N N N N BLUEMOUNTAIN FUJI EUR CLO II DAC 17-2A N/A ACI1VBS38 3997566.140000 PA 4392093.210000 0.342613 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 4.615 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AU3 7100000.000000 PA USD 6970712.550000 0.543763 Long DBT CORP GB N 2 2025-09-27 Floating 7.5 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAP7 3000000.000000 PA USD 2554344.060000 0.199256 Long DBT CORP US N 2 2030-02-15 Fixed 3.05 N N N N N N ANGEL OAK MORTGAGE TRUST 2021-6 N/A 03465JAB6 2172195.850000 PA USD 1736902.570000 0.13549 Long ABS-MBS CORP US N 2 2066-09-25 Variable 1.581 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2022-1 DAC 22-1A N/A ACI23GLP4 5213952.320000 PA 5664366.410000 0.441859 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.685 N N N N N N NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2021-APPL N/A 63874AAA6 1200000.000000 PA USD 1125395.520000 0.0877885 Long ABS-MBS CORP US N 2 2038-08-15 Floating 6.42648 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 24703TAG1 1000000.000000 PA USD 1030561.190000 0.0803908 Long DBT CORP US N 2 2029-10-01 Fixed 5.3 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY3 N/A 89177XAA5 3483394.420000 PA USD 3505144.390000 0.273425 Long ABS-MBS CORP US N 2 2059-10-25 Floating 6.47043 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR2 N/A 39538RBB4 710719.790000 PA USD 514751.030000 0.0401541 Long ABS-MBS CORP US N 2 2045-06-25 Floating 5.93043 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 2900000.000000 PA USD 2776474.590000 0.216584 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N HUDSON PACIFIC PROPERTIES LP 5493007NTUGLGZ8T3526 44409MAC0 100000.000000 PA USD 73558.250000 0.005738 Long DBT CORP US N 2 2030-01-15 Fixed 3.25 N N N N N N UMBS PASS THRU POOLS N/A 01F052623 75000000.000000 PA USD 75339844.500000 5.87702 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 5.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1NN643 1.340000 PA 0.150000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM N/A 04965JAA1 1744004.740000 PA USD 1659343.250000 0.12944 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.589 N N N N N N MIDAMERICAN ENERGY COMPANY NINLOILYRTLIMK26MZ18 595620AP0 600000.000000 PA USD 523321.010000 0.0408226 Long DBT CORP US N 2 2046-05-01 Fixed 4.25 N N N N N N HOMEBANC MORTGAGE TRUST 2005-5 N/A 43739ECB1 166010.180000 PA USD 157409.840000 0.012279 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.99043 N N N N N N CDW LLC / CDW FINANCE CORP N/A 12513GBG3 4200000.000000 PA USD 3933468.000000 0.306837 Long DBT CORP US N 2 2026-12-01 Fixed 2.67 N N N N N N AADVANTAGE LOYALTY IP LTD N/A 02376CBJ3 3060000.000000 PA USD 3148219.800000 0.245583 Long LON CORP KY N 2 2028-04-20 Floating 10.4274 N N N N N N COMM 2021-2400 MORTGAGE TRUST N/A 20048FAA6 7974155.190000 PA USD 7310864.960000 0.570297 Long ABS-MBS CORP US N 2 2038-12-15 Floating 6.77648 N N N N N N N/A N/A 000000000 1.000000 NC -101.840000 -0.0000079 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3491144.430000 INR 41739.880000 USD 2024-03-20 -101.840000 N N N BROOKFIELD FINANCE INC 549300XH8D8K6OYWGD17 11271LAF9 7100000.000000 PA USD 5201264.400000 0.405734 Long DBT CORP CA N 2 2051-03-30 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 5478.150000 0.0004273 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 157751.000000 USD 4963793.000000 TWD 2024-03-20 5478.150000 N N N N/A N/A 000000000 1.000000 NC USD 9226.660000 0.0007197 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2026-06-20 0.000000 USD -4686.480000 USD 600000.000000 USD 13913.140000 N N N CAPITAL AUTOMOTIVE REIT 2023-1A N/A 12510HAS9 6930000.000000 PA USD 6974708.200000 0.544075 Long ABS-O CORP US N 2 2053-09-15 Fixed 5.75 N N N N N N GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A N/A 36361UAL4 8826976.520000 PA USD 8813159.480000 0.687487 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.74548 N N N N N N N/A N/A 000000000 1.000000 NC 1492.650000 0.0001164 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 38989.000000 USD 1233924.000000 TWD 2024-02-29 1492.650000 N N N CREDIT AGRICOLE SA 969500TJ5KRTCJQWXH05 ACI1YK6C9 100000.000000 PA 126889.510000 0.0098982 Long DBT CORP FR N 2 2026-06-23 Floating 7.5 N N N N N N OPEN TRUST 2023-AIR N/A 68373BAA9 11060250.760000 PA USD 11116537.480000 0.867166 Long ABS-MBS CORP US N 2 2028-10-15 Floating 8.4509 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI1WVDP0 1.300000 PA 0.150000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 377.510000 0.0000294 N/A DFE KR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 19308.000000 USD 25112950.000000 KRW 2024-06-20 377.510000 N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPN5 46943.400000 PA USD 40498.910000 0.0031592 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.11043 N N N N N N N/A N/A 000000000 1.000000 NC -35.080000 -0.0000027 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1482430.660000 INR 17732.000000 USD 2024-03-20 -35.080000 N N N NAVIENT STUDENT LOAN TRUST 2017-2 N/A 63939RAA2 10232847.170000 PA USD 10199406.230000 0.795623 Long ABS-O CORP US N 2 2066-12-27 Floating 6.50191 N N N N N N N/A N/A 000000000 1.000000 NC 592.660000 0.0000462 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 15671.450000 USD 494591.000000 TWD 2024-03-20 592.660000 N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AJ8 2450000.000000 PA USD 2442935.670000 0.190566 Long DBT CORP US N 2 2025-06-01 Fixed 5.25 N N N N N N BENCHMARK 2023-V3 MORTGAGE TRUST N/A 08163VAC1 6500000.000000 PA USD 6817880.550000 0.531841 Long ABS-MBS CORP US N 2 2056-07-15 Fixed 6.3629 N N N N N N CHARLES SCHWAB CORP/THE 549300VSGCJ7E698NM85 808513BJ3 5000000.000000 NS USD 3968600.000000 0.309578 Long EP CORP US N 2 N N N N/A N/A 000000000 1.000000 NC USD 10678.150000 0.000833 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2028-12-20 0.000000 USD -20050.600000 USD 1900000.000000 USD 30728.750000 N N N COBANK ACB (AKA: COBANK AB) P0J8I7M2E0A77CKF1705 19075QAE2 5500000.000000 NS USD 5388570.000000 0.420345 Long EP CORP US N 2 N N N ILLINOIS ST 54930048FV8RWPR02D67 452152GS4 938571.420000 PA USD 1020438.310000 0.0796012 Long DBT MUN US N 2 2035-07-01 Fixed 7.35 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JM0 3400000.000000 PA USD 3241260.770000 0.252841 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N N/A N/A 000000000 1.000000 NC USD 331357.400000 0.0258481 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-12 0.000000 USD -66771.630000 USD 6200000.000000 USD 398129.030000 N N N N/A N/A 000000000 1.000000 NC USD 4633.940000 0.0003615 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2028-06-20 0.000000 USD -9669.870000 USD 500000.000000 USD 14303.810000 N N N CUTWATER 2015-I LTD N/A 23222LAN7 3563906.950000 PA USD 3568419.110000 0.278361 Long ABS-CBDO CORP KY N 2 2029-01-15 Floating 6.87548 N N N N N N JP MORGAN MORTGAGE TRUST 2003-A2 N/A 466247AZ6 9959.600000 PA USD 9076.010000 0.000708 Long ABS-MBS CORP US N 3 2033-11-25 Floating 4.7355 N N N N N N DSLA MORTGAGE LOAN TRUST 2004-AR3 N/A 23332UBF0 180943.010000 PA USD 165999.540000 0.0129491 Long ABS-MBS CORP US N 2 2044-07-19 Floating 6.04588 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAV7 77252.920000 PA USD 75778.750000 0.0059113 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.04447 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-9 N/A 41161PSK0 116585.330000 PA USD 105578.110000 0.0082358 Long ABS-MBS CORP US N 2 2035-06-20 Floating 6.1524 N N N N N N AIR CANADA 2015-2 CLASS AA PASS THROUGH TRUST N/A 009088AA3 1915019.760000 PA USD 1763816.310000 0.13759 Long DBT CORP CA N 2 2029-06-15 Fixed 3.75 N N N N N N PROGRESS RESIDENTIAL TRUST 2021-SFR10 N/A 74333WAA0 2073530.630000 PA USD 1800806.820000 0.140475 Long ABS-MBS CORP US N 2 2040-12-17 Fixed 2.393 N N N N N N CEDAR FUNDING IX CLO LTD 2018-9A N/A 15033EAA6 9836288.190000 PA USD 9839239.080000 0.767528 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.65743 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWER0 24965681.190000 PA USD 23623010.380000 1.84276 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 12795034.380000 PA USD 124457299.440000 9.70852 Long STIV RF US N 1 N N N N/A N/A 000000000 1.000000 NC USD 14442.110000 0.0011266 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 MEXICO GOVT MEXICO GOVT (UMS) Y Single Leg Swap 2024-12-20 0.000000 USD -14149.770000 USD 1700000.000000 USD 28591.880000 N N N N/A N/A 000000000 1.000000 NC -7.820000 -0.0000006 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 648019214.000000 IDR 42042.860000 USD 2024-03-20 -7.820000 N N N N/A N/A 000000000 1.000000 NC 4501.150000 0.0003511 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 204593.000000 USD 6358546.000000 TWD 2024-03-20 4501.150000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N9610 1.000000 PA 0.110000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 1.380000 PA 0.170000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KL0 556669.670000 PA 711399.670000 0.055494 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 6.14174 N N N N N N TOLEDO EDISON CO N/A 889175BF1 4584000.000000 PA USD 4135005.130000 0.322559 Long DBT CORP US N 2 2028-05-01 Fixed 2.65 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CB3 9000000.000000 PA USD 8854437.060000 0.690707 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N N/A N/A 000000000 1.000000 NC -12929.910000 -0.0010086 N/A DFE GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6239801.020000 USD 4885000.000000 GBP 2024-01-09 -12929.910000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2M5 3000000.000000 PA USD 2667505.890000 0.208084 Long DBT CORP FR N 2 2028-09-30 Floating 1.904 N N N N N N PALMER SQUARE CLO 2023-4A LTD N/A 696924AA7 10700000.000000 PA USD 10711158.920000 0.835543 Long ABS-CBDO CORP KY N 2 2033-10-20 Floating 6.96251 N N N N N N LUX 2023-LION N/A 55067LAA5 4500000.000000 PA USD 4554526.950000 0.355284 Long ABS-MBS CORP US N 2 2040-08-15 Floating 8.05178 N N N N N N WASHINGTON MUTUAL 2005-AR2 N/A 92922FD21 21038.740000 PA USD 20371.800000 0.0015891 Long ABS-MBS CORP US N 2 2045-01-25 Floating 6.09043 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2018-1A N/A 26828HAA5 4683745.180000 PA USD 4627810.020000 0.361001 Long ABS-O CORP US N 2 2068-02-27 Floating 6.20191 N N N N N N UNITED AIRLINES 2012-1 CLASS A PASS THROUGH TRUST N/A 210795PZ7 821445.930000 PA USD 817802.980000 0.0637942 Long DBT CORP US N 2 2025-10-11 Fixed 4.15 N N N N N N 2024-02-21 PIMCO Managed Accounts Trust /s/ Bijal Parikh Bijal Parikh Treasurer