PIMCO Real Return A2024-06-30
Security Name % Net Assets Number Of Shares Market Value (USD)
Ultra 10 Year US Treasury Note Future Sept 24 10.19640 6,967 789,284,898
United States Treasury Notes 0.125% 4.97846 438,674,103 385,373,173
TRS R 5.49/91282CCM1 MYC 4.48668 339,000,000 347,305,744
Federal National Mortgage Association 4.5% 4.33407 355,739,000 335,492,446
United States Treasury Notes 0.625% 4.26601 368,101,476 330,224,342
United States Treasury Notes 0.125% 4.17998 361,473,649 323,564,285
United States Treasury Notes 0.125% 3.98022 342,208,152 308,101,877
United States Treasury Bonds 3.625% 3.92444 288,977,857 303,783,632
United States Treasury Notes 0.25% 3.90591 329,161,155 302,349,287
TRS R 5.49/912828Y38 MYC 3.83946 250,000,000 297,205,930
United States Treasury Bonds 3.875% 3.80959 272,929,290 294,893,432
Italy (Republic Of) 1.4% 3.73116 272,468,595 288,822,064
United States Treasury Notes 0.125% 3.65931 320,774,959 283,260,773
United States Treasury Bonds 1.75% 3.63624 285,950,777 281,474,369
TRS R 5.43/91282CFR7 BPS 3.37675 250,000,000 261,387,869
Pimco Fds 3.11884 24,814,830 241,423,479
TRS R 5.43/9128283R9 BPS 3.10558 200,000,000 240,397,344
United States Treasury Notes 2.375% 3.03798 232,068,256 235,164,810
United States Treasury Bonds 1.375% 2.91111 262,668,086 225,344,007
United States Treasury Notes 0.125% 2.75976 246,638,536 213,627,618
Government National Mortgage Association 3.5% 2.71035 233,500,000 209,803,400
TRS R 5.5/912828N71 MYC 2.47323 150,000,000 191,447,849
Federal National Mortgage Association 6% 2.45538 189,600,000 190,066,592
TRS R 5.49/912828V49 MYC 2.39473 150,000,000 185,371,466
TRS R 5.49/9128282L3 MYC 2.36368 150,000,000 182,967,879
United States Treasury Notes 0.5% 2.21750 182,120,203 171,652,298
TRS R 5.49/91282CDC2 MYC 2.12069 150,000,000 164,158,382
United States Treasury Bonds 1% 2.09253 207,355,817 161,978,984
United States Treasury Bonds 2% 2.07097 162,266,076 160,310,055
United States Treasury Notes 1.375% 1.93532 158,576,640 149,809,705
United States Treasury Bonds 0.75% 1.87916 186,002,135 145,462,330
United States Treasury Bonds 0.875% 1.77238 182,509,844 137,196,543
TRS R 5.43/91282CDC2 BPS 1.76863 125,000,000 136,906,246
Long-Term Euro BTP Future Sept 24 1.74788 1,095 135,300,513
United States Treasury Notes 0.125% 1.67569 135,667,517 129,712,074
TRS R 5.53/912828N71 MYC 1.65040 100,000,000 127,754,798
TRS R 5.49/912828S50 MYC 1.61859 100,000,000 125,292,196
United States Treasury Bonds 0.75% 1.56196 161,233,757 120,908,417
United States Treasury Notes 0.125% 1.52555 121,389,000 118,089,991
United States Treasury Bonds 2.5% 1.33793 101,754,830 103,566,959
10 Year Australian Treasury Bond Future Sept 24 1.33453 1,362 103,303,679
Japan (Government Of) 0.1% 1.32288 15,680,480,420 102,401,745
TRS R 5.46/912828N71 GLM 1.19147 72,200,000 92,229,818
Federal National Mortgage Association 4% 1.19103 100,695,492 92,195,377
United States Treasury Notes 0.125% 1.17589 95,268,596 91,023,404
United States Treasury Notes 1.25% 1.11150 89,062,968 86,039,275
France (Republic Of) 0.1% 1.10917 81,937,898 85,858,787
United States Treasury Bonds 2.125% 1.07461 83,966,230 83,183,835
United States Treasury Notes 0.875% 0.96793 79,066,584 74,925,494
United States Treasury Notes 0.125% 0.91653 73,351,094 70,947,045
United States Treasury Notes 1.625% 0.90814 71,446,725 70,297,558
United States Treasury Notes 0.375% 0.88231 71,838,917 68,297,924
United States Treasury Bonds 2.125% 0.84572 65,966,400 65,465,902
Federal National Mortgage Association 6.5% 0.83580 63,600,000 64,698,094
France (Republic Of) 0.25% 0.82977 59,964,423 64,230,987
Federal National Mortgage Association 5.5% 0.81921 64,300,000 63,413,363
Japan (Government Of) 0.1% 0.81370 9,681,921,624 62,987,262
United States Treasury Notes 0.125% 0.79656 65,520,090 61,660,301
United States Treasury Bonds 0.25% 0.79412 100,554,371 61,471,634
United States Treasury Bonds 0.125% 0.78474 104,903,767 60,745,166
United States Treasury Bonds 0.625% 0.74987 77,218,587 58,045,818
United States Treasury Notes 0.125% 0.67736 55,077,120 52,433,248
United States Treasury Notes 0.375% 0.66075 53,886,031 51,147,115
United States Treasury Bonds 1% 0.63580 64,209,478 49,215,795
United States Treasury Notes 2.125% 0.60460 46,732,031 46,800,777
TRS R 5.53/91282CCM1 MYC 0.52960 40,000,000 40,995,292
United States Treasury Bonds 2.125% 0.52798 41,989,815 40,870,146
Ultra US Treasury Bond Future Sept 24 0.47947 298 37,114,969
United States Treasury Bonds 1% 0.43221 43,997,548 33,456,804
United States Treasury Notes 0.625% 0.42655 34,124,339 33,018,370
United States Treasury Notes 0.375% 0.41094 32,626,360 31,809,949
Federal National Mortgage Association 4% 0.40708 34,434,508 31,511,610
United States Treasury Bonds 0.125% 0.40460 55,078,515 31,319,644
Canada (Government of) 4.25% 0.38445 38,407,950 29,759,866
Federal National Mortgage Association 4.5% 0.29794 24,461,000 23,063,092
Barings Clo Limited 6.54017% 0.27257 21,068,873 21,099,510
Federal Home Loan Mortgage Corp. 4% 0.26983 22,399,774 20,887,224
Italy (Republic Of) 0.4% 0.25698 20,146,933 19,892,231
Euro Buxl Future Sept 24 0.24163 134 18,704,361
Citigroup Mortgage Loan Trust 5.95471% 0.21464 17,188,000 16,614,737
France (Republic Of) 0.1% 0.21222 16,269,408 16,427,570
Strctd Asst 6-Opt1 5.75971% 0.20493 19,033,364 15,862,973
Dryden 27 R Euro Clo 2017 Designated Activity Company 4.566% 0.20169 14,591,187 15,612,118
CVC Cordatus Loan Fund XI Designated Activity Company 4.556% 0.19984 14,452,854 15,469,460
United States Treasury Bonds 3.375% 0.19441 13,778,466 15,048,807
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 2.75% 0.17899 14,734,305 13,854,997
MF1 2022-FL9 LLC 7.48867% 0.17468 13,500,000 13,521,330
Government National Mortgage Association 6.233% 0.17098 13,199,445 13,235,423
Harvest CLO XX Designated Activity Company 4.577% 0.17002 12,299,033 13,161,269
Euro Bobl Future Sept 24 0.16766 104 12,978,641
Madison Park Euro Funding VIII DAC 4.726% 0.16354 11,900,000 12,659,580
Renaissance Hm Eqt 6.55971% 0.16189 30,168,944 12,531,455
LOANCORE 2022-CRE7 ISSUER LTD 6.88303% 0.14960 11,561,981 11,580,047
First Franklin Mortgage Loan Trust 2005-FF4 6.16471% 0.14198 11,539,844 10,990,305
Jyske Realkredit A/S 1.5% 0.13836 97,865,619 10,710,257
CIT Mtg Ln Tr 6.95971% 0.13812 10,678,416 10,691,515
Wind River 2019-3 Clo Ltd / Llc 6.67017% 0.13313 10,300,000 10,305,584
Cqs Us Clo 2022-2 Ltd / Cqs Us Clo 2 FRN 7.17456% 0.13196 10,187,417 10,215,032
Dryden 52 Euro Clo 2017 Designated Activity Company 4.688% 0.12636 9,128,066 9,781,527
Oak Hill European Credit Partners Vii Designated Activity Company 4.637% 0.12586 9,115,714 9,742,974
Blackrock European Clo VII Designated Activity Company 4.526% 0.12458 9,020,370 9,643,294
United States Treasury Bonds 1.5% 0.12262 11,286,574 9,492,155
TRTX 2022-FL5 ISSUER, LTD 6.97884% 0.11833 9,200,113 9,159,863
STATE STREET STIF FUND (EUR) 0.11640 8,407,335 9,010,565
JP Morgan Alt 6 A7 5.91971% 0.11515 10,157,059 8,913,348
Italy (Republic Of) 1.8% 0.11113 8,415,536 8,602,668
Government National Mortgage Association 6.24637% 0.11070 8,674,652 8,569,387
Man Glg Euro Clo V Designated Activity Company 4.409% 0.10467 7,561,333 8,102,100
Lehman Xs Trust 7.75971% 0.10409 8,487,624 8,057,231
CIFC Funding 6.53455% 0.10331 7,985,581 7,997,109
CWMBS Inc 4.74884% 0.10304 8,397,207 7,976,378
Dryden XXXVI Senior Loan Fund 6.61017% 0.10208 7,895,319 7,901,634
CWABS Asset-Backed Certificates Trust 2006-19 5.95971% 0.10196 8,285,409 7,892,717
Park Place Securities Inc. 6.38971% 0.09851 8,391,000 7,625,564
Home Equity Asset Trust 6.13471% 0.09386 7,538,029 7,265,659
Sound Point Clo Ix Ltd 6.79617% 0.09325 7,200,000 7,218,566
Jubilee CLO 2016-XVII Designated Activity Company 4.556% 0.08981 6,500,000 6,951,699
Palmer Square Loan Funding 2021-3 LTD / LLC 6.38617% 0.08577 6,638,000 6,639,671
Carlyle Global Market Strategies Euro CLO 2014-2 DAC 4.578% 0.08514 6,177,734 6,590,627
Bank of America Corp. 5.875% 0.08466 6,580,000 6,553,292
522 Funding Clo 2018-3(A) Ltd/Llc 6.62617% 0.08453 6,540,107 6,543,600
CSMC 2021-NQM8 TRUST 1.841% 0.08317 7,410,939 6,438,249
Gallatin Clo Viii 2017-1 Ltd/Gallatin Clo Viii 2017-1 Llc 6.68017% 0.08075 6,248,254 6,251,023
Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd/LLC 6.78303% 0.07847 6,100,000 6,074,456
BDS 2022-FL11 LTD 7.14225% 0.07846 6,099,941 6,073,289
Apidos Clo Xxvii 6.50868% 0.07704 5,955,658 5,963,447
CWABS Asset-Backed Certificates Trust 2007-8 5.64971% 0.07571 6,332,056 5,860,665
CAPITAL FOUR US CLO II LTD 7.22456% 0.07559 5,800,000 5,851,073
Morgan Stanley ABS Capital I Inc. Trust 2004-NC1 6.50971% 0.07456 6,500,000 5,771,638
Nykredit Realkredit A/S 1.5% 0.06940 47,028,123 5,372,028
Ares European CLO X Designated Activity Company 4.686% 0.06922 4,995,823 5,358,291
Palmer Square European Loan Funding 2024-1 Designated Activity Co. 5.123% 0.06915 5,000,000 5,353,157
CVC Cordatus Opportunity Loan Fund Designated Activity Co. 5.289% 0.06645 4,800,000 5,143,950
TRALEE CLO VII LTD 6.90516% 0.06594 5,100,000 5,104,081
Palmer Square European Loan Funding 2022-2 Designated Activity Company 4.95 0.06479 4,693,421 5,015,006
GOLUB CAPITAL PARTNERS STATIC 2024-1 LTD 6.55693% 0.06454 5,000,000 4,996,267
Anchorage Capital CLO 6 Ltd 6.76456% 0.06210 4,800,000 4,807,200
Fidelity Grand Harbour CLO 2019-1 DAC 4.919% 0.06197 4,472,730 4,797,185
Catamaran CLO Ltd. 2014-1 Ltd. 6.68617% 0.06125 4,734,117 4,741,353
Blackrock European CLO IV Designated Activity Co. 4.756% 0.05949 4,296,429 4,604,717
Ozlm Xxiv Ltd / Llc 6.74617% 0.05948 4,600,000 4,603,920
Octagon Investment Partners XXI Ltd. 6.58359% 0.05931 4,588,124 4,591,239
Cairn CLO X Designated Activity Company 4.686% 0.05924 4,294,657 4,585,578
ROMARK CLO I LTD 6.61801% 0.05830 4,506,510 4,512,885
Bluemountain Clo XXII Ltd 6.67017% 0.05733 4,433,572 4,437,711
Segovia European CLO 6-2019 Designated Activity Company 4.777% 0.05364 3,894,063 4,152,316
St. Paul's CLO IV Designated Activity Company 4.712% 0.05302 3,838,136 4,104,096
Contego CLO IV DAC 4.532% 0.05232 3,783,646 4,050,052
Carval 6.554% 0.05043 3,900,000 3,903,320
Midocean Credit Clo Viii/Midocean Credit Clo Viii LLC 6.63735% 0.05012 3,870,329 3,879,554
Dryden 54 Sr Ln Fd / Dryden 54 Sr Ln FRN 6.47852% 0.04940 3,819,682 3,824,173
Vibrant Clo Vii Ltd 6.62617% 0.04939 3,819,229 3,822,860
Benefit Street Partners Clo Vii, Ltd 6.54017% 0.04913 3,797,744 3,802,895
VENTURE XXIX CLO LTD 6.57399% 0.04907 3,797,292 3,798,241
Ares L Clo Ltd 6.64017% 0.04879 3,772,963 3,777,041
Cumulus Static CLO 2024-1 DAC 5.025% 0.04843 3,500,000 3,749,251
Madison Park Funding XXX Ltd 6.34017% 0.04756 3,678,090 3,681,247
SLM Student Loan Trust 2008-7 6.50948% 0.04681 3,653,342 3,623,761
Bluemountain CLO 2018-3 LTD/LLC 6.51355% 0.04535 3,504,909 3,510,367
Oaktree CLO 2019-1 Ltd. 6.69617% 0.04463 3,450,000 3,454,837
KKR Finan Clo 07-1 6.54017% 0.04460 3,447,713 3,452,557
Mountain View Clo Xvi Ltd / Mountain FRN 6.78856% 0.04397 3,400,000 3,403,277
Carrington Mortgage Loan Trust 5.93971% 0.04344 3,533,338 3,362,847
Carlyle Us Clo Ltd 6.58617% 0.04344 3,359,689 3,362,602
RASC Series 2006-EMX7 Trust 5.93971% 0.04332 3,666,564 3,353,530
Ares European Clo VI Designated Activity Company 4.516% 0.04326 3,125,638 3,348,679
Henley CLO VI Designated Activity Company 4.882% 0.04296 3,100,000 3,325,121
Lehman Abs Mfg Hsg 7.17% 0.04276 3,685,693 3,310,186
Barings Clo Ltd 2016-II / Llc 6.65617% 0.04127 3,188,776 3,194,845
Merrill Lynch Mtg Inv Trust 5.75971% 0.04099 9,249,569 3,173,106
Government National Mortgage Association 6.26226% 0.04086 3,154,214 3,163,071
Option One Mortgage Loan Trust 5.69971% 0.04083 6,591,179 3,160,193
Carlyle Global Market Strategies Clo 2012-4 Ltd/Llc 6.53359% 0.04072 3,149,533 3,151,895
Sound Point Clo Xvi Limited 6.56516% 0.04038 3,123,328 3,125,765
Benefit Street Partners CLO XVI Ltd/Llc 6.60868% 0.03828 2,957,535 2,963,250
Bosphorus CLO V Designated Activity Company 4.753% 0.03805 2,750,000 2,945,692
Armada Euro Clo III Designated Activity Company 4.626% 0.03781 2,732,518 2,926,673
Laurelin 2016-1 Designated Activity Company 4.617% 0.03755 2,708,783 2,906,754
Wamu Wmalt 07-0c1 6% 0.03753 3,963,580 2,905,066
Allegro Clo Ix Ltd / Allegro Clo Ix FRN 6.733867% 0.03748 2,900,000 2,901,273
Adagio Clo VIII Designated Activity Company 4.836% 0.03736 2,700,000 2,892,279
BSST 2022-1700 MORTGAGE TRUST 6.629% 0.03661 3,200,000 2,833,893
Lehman Xs Trust 6.9% 0.03649 3,037,012 2,824,959
OZLM VIII Ltd. 6.55868% 0.03508 2,713,467 2,715,545
Federal National Mortgage Association 4% 0.03485 2,899,647 2,697,690
United States Treasury Bonds 2.375% 0.03467 2,684,362 2,683,572
Alliance Bancorp Tr 5.93971% 0.03400 3,156,690 2,631,988
BlackRock European CLO IX Designated Activity Company 4.619% 0.03312 2,400,000 2,564,035
Babson CLO 2015-I LLC 6.57617% 0.03301 2,553,458 2,555,373
Contego Clo V Designated Activity Company 4.726% 0.03284 2,372,306 2,541,757
Carlyle Global Mkt Strategies Clo 20 FRN 6.54456% 0.03240 2,500,000 2,508,018
RAD CLO 5 LTD 6.70455% 0.03234 2,500,000 2,503,261
Indymac MBS Inc 5.5% 0.03223 4,010,871 2,494,599
CIFC European Funding Clo III Designated Activity Company 4.956% 0.03187 2,300,000 2,466,757
Marble Point Clo X 6.63017% 0.03178 2,457,491 2,459,849
MADISON PARK FUNDING XXIX LTD 6.50693% 0.03165 2,447,588 2,450,252
Gsamp Tr 2007-He2 5.82971% 0.03023 2,999,661 2,340,296
Soundview Home Loan Trust 5.63971% 0.03021 2,646,256 2,338,294
Toro European CLO 5 DAC 4.646% 0.03005 2,167,970 2,326,153
Cedar Funding V Clo Ltd 6.67868% 0.02969 2,296,474 2,298,583
Ammc CLO 22 6.61516% 0.02964 2,291,340 2,294,641
Rali Series 2007-QH8 Trust 6.01973% 0.02944 2,794,401 2,279,213
Voya Clo 2019-1 Ltd / Llc 6.65017% 0.02927 2,262,363 2,265,673
American Home Mortgage Asset Trust 5.66971% 0.02922 4,124,457 2,262,154
Argent Secs Tr 5.75971% 0.02867 2,580,682 2,219,612
Government National Mortgage Association 6.433% 0.02791 2,128,908 2,160,701
United States Treasury Bills 0% 0.02785 2,163,000 2,155,458
Aqueduct European Clo 4 - 2019 Designated Activity Company 4.816% 0.02774 2,000,000 2,147,074
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5.79751% 0.02755 2,185,996 2,132,616
Harvest Clo Xxi DAC 4.666% 0.02746 1,985,688 2,125,498
CWABS Inc. 7.18471% 0.02745 2,533,188 2,124,686
Realkredit Danmark A/S 1.5% 0.02745 18,601,533 2,124,900
United States Treasury Bills 0% 0.02703 2,108,000 2,092,108
GS Mortgage Securities Corp 6.43471% 0.02637 2,196,931 2,041,601
United States Treasury Bills 0% 0.02629 2,046,000 2,034,694
Sound Point CLO XI Ltd 6.73854% 0.02619 2,023,411 2,027,172
NEW RESIDENTIAL MORTGAGE LOAN TRUST 4.5% 0.02612 2,105,731 2,022,044
Carlyle Global Market Strategies CLO 2012-2, Ltd. 6.66617% 0.02587 2,000,000 2,002,300
Banc Americ 2006-J 4.34714% 0.02543 2,382,702 1,968,506
Countrywide Alternative loan Trust 5.64815% 0.02522 2,281,307 1,952,334
Asset Backed Funding Corp 6.15971% 0.02484 1,977,287 1,922,973
Jubilee CLO 2016-XVII Designated Activity Company 4.556% 0.02481 1,800,000 1,920,197
GS MORTGAGE SECURITIES CORPORATION TRUST 2022-GTWY 8.729% 0.02460 1,900,000 1,904,273
Venture Xxvi Clo Ltd 6.68617% 0.02451 1,893,312 1,897,078
MF1 2021-FL7 LTD 6.5264% 0.02441 1,898,171 1,889,867
AMMC CLO XII Ltd. 6.53718% 0.02409 1,862,725 1,864,832
Adagio V CLO Designated Activity Company 4.626% 0.02409 1,747,891 1,864,445
Lehman Xs Trust 5.77971% 0.02396 2,176,968 1,854,839
Kkr Financial Clo 6.77017% 0.02377 1,838,065 1,839,958
Citigroup Mortgage Loan Trust 5.91971% 0.02373 2,756,416 1,836,635
Park Place Securities Inc. 6.50971% 0.02372 1,872,915 1,835,765
VMware Inc 3.9% 0.02356 1,900,000 1,823,615
ARES LII CLO LTD 6.63617% 0.02327 1,800,000 1,801,350
Aegis Asset Backed Secs Trust 6.10471% 0.02325 1,974,409 1,799,540
Osd Clo 2021-23 Ltd/Llc 6.44868% 0.02292 1,771,431 1,774,069
Jyske Realkredit A/S 1% 0.02291 16,106,947 1,773,320
Dryden 50 Senior Loan Fund & LLC 6.55854% 0.02277 1,761,858 1,762,637
ACAS CLO 2015-1 Ltd. 6.47854% 0.02275 1,759,634 1,761,028
Wamu Mortgage Pass-Through CTFS TR 5.85277% 0.02249 2,142,325 1,741,154
Apidos Clo Xvi 6.48854% 0.02215 1,713,212 1,714,929
Euro-Galaxy III Clo Designated Activity Company 4.511% 0.02197 1,596,770 1,700,889
Fremont Home Loan Trust 5.72971% 0.02125 1,882,140 1,645,201
Alternative Loan Trust 5.66315% 0.02094 2,037,422 1,621,215
Voya CLO 2013-1 Ltd / Voya CLO 2013-1 LLC 6.80017% 0.02084 1,610,915 1,613,344
MF1 2021-FL6 LTD 6.5464% 0.02081 1,621,134 1,610,961
Marathon Clo Xiii Ltd / Marathon Clo Xii 6.53398% 0.02069 1,600,000 1,601,599
United States Treasury Bills 0% 0.02041 1,582,000 1,579,694
Lehman Xs Trust 5.95971% 0.02041 1,682,195 1,579,825
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 6.82601% 0.02033 1,743,738 1,573,780
CHL Mortgage Pass-Through Trust 6% 0.01998 3,428,967 1,546,952
Park Place Securities Inc. 6.19471% 0.01988 1,596,474 1,539,218
Saxon Asset Securities Trust 6.17971% 0.01987 1,915,000 1,537,910
Harvest CLO XVI Designated Activity Company 4.546% 0.01958 1,420,465 1,515,488
CBAM 2019-10 LTD 6.70617% 0.01940 1,500,000 1,501,851
Carlyle US CLO 2017-4 Ltd./ Carlyle US CLO 2017-4 LLC 6.77017% 0.01927 1,489,088 1,491,424
Alternative Loan Trust 6% 0.01895 2,874,832 1,466,598
CBAM 2017-1 LTD 6.83617% 0.01885 1,459,148 1,459,519
Park Place Securities Inc. 7.18471% 0.01862 1,635,737 1,441,038
Ozlm Xi Ltd./Llc. 6.84111% 0.01840 1,421,031 1,424,080
Citigroup Mortgage Loan Trust 6.13471% 0.01838 1,444,825 1,422,432
Madison Park Euro Funding IX DAC 4.786% 0.01837 1,331,000 1,422,363
Carlyle Global Market Strategies Clo 2016-1 Ltd/Llc 6.63648% 0.01831 1,417,068 1,417,423
United States Treasury Bills 0% 0.01806 1,410,000 1,397,868
Carrington Mortgage Loan Trust 6.05971% 0.01795 1,448,639 1,389,706
LCM XV Limited Partnership 6.58617% 0.01743 1,348,007 1,349,340
UBS Group AG 4.923% 0.01723 1,240,000 1,333,538
Federal Home Loan Mortgage Corp. 4.5% 0.01683 1,380,352 1,302,770
M360 2021-CRE3 LTD 6.95812% 0.01671 1,318,808 1,293,488
Bear Stearns 07-1 4.32149% 0.01671 2,680,143 1,293,649
Fnma Pass-Thru I 4.5% 0.01652 1,354,069 1,278,923
Toro European CLO 5 DAC 4.646% 0.01621 1,169,819 1,255,173
Structured Asset Securities Corp. 6.02971% 0.01581 1,254,664 1,223,934
Lcm Xxv Ltd/Lcm Xxv Llc 6.42456% 0.01578 1,220,923 1,221,276
UBS Group AG 7.75% 0.01565 1,000,000 1,211,489
Denali Capital Clo XII LTD/LLC 6.64017% 0.01560 1,206,949 1,207,531
Venture 33 Clo Limited & Llc 6.65017% 0.01558 1,204,939 1,205,876
Cifc Funding Ltd 6.68854% 0.01554 1,201,143 1,202,601
Federal Home Loan Mortgage Corp. 4% 0.01535 1,272,257 1,188,194
Indymac Indb 06-1 5.59971% 0.01525 3,736,179 1,180,148
Rockford Tower Europe Clo 2018-1 Designated Activity Company 5.22% 0.01524 1,100,000 1,180,036
Dryden XXXV CLO 2014 B.V. 4.868% 0.01521 1,100,000 1,177,462
Nomura Home Equity 5.89471% 0.01497 1,165,004 1,158,732
DRYDEN 60 CLO LTD 6.64017% 0.01471 1,136,890 1,138,484
APIDOS CLO XXIV 6.53617% 0.01438 1,111,195 1,112,767
Saranac Clo Vi Limited/Llc 6.74841% 0.01437 1,108,915 1,112,654
Crestline Denali Clo Xv LTD 6.61617% 0.01409 1,090,090 1,090,979
Wells Fargo Mortgage Backed Secs 5.96787% 0.01390 1,258,034 1,076,213
Wind River Clo I Ltd/Corp 6.63854% 0.01387 1,072,711 1,073,664
Bastille Euro Clo 2020-3 Designated Activity Company 5.056% 0.01386 1,000,000 1,072,625
Invesco Euro Clo I DAC 4.556% 0.01377 1,000,000 1,066,059
First Franklin Mortgage Loan Trust 5.56471% 0.01374 1,215,235 1,063,754
Harvest CLO VIII Designated Activity Company 4.636% 0.01364 983,933 1,056,051
Argent Secs Inc 5.93971% 0.01351 1,179,998 1,046,038
Nordea Kredit Realkreditaktieselskab 1.5% 0.01351 10,700,000 1,046,127
Nordea Kredit Realkreditaktieselskab 2% 0.01341 8,891,052 1,038,144
Securitised Asset Backed LLC 5.77971% 0.01336 2,973,416 1,034,556
STIF FUND (JPY) (SSKC) 0.01288 160,390,858 997,084
Stwd 2019-Fl1 LTD/LLC 6.52332% 0.01271 987,676 983,983
Wellfleet Clo X Ltd / Llc 6.75617% 0.01257 970,726 972,695
Dryden 44 Euro CLO 2015 BV 4.786% 0.01241 900,000 960,993
Bluemountain Fuji Eur Clo V Designated Activity Company 4.816% 0.01241 900,000 960,646
Federal National Mortgage Association 4% 0.01239 1,031,854 959,281
Nordea Kredit Realkreditaktieselskab 1.5% 0.01215 8,596,060 940,453
HSI Asset Securitization Corporation Trust 5.99971% 0.01204 953,444 932,283
Federal National Mortgage Association 4.5% 0.01196 980,739 925,729
United States Treasury Bills 0% 0.01190 925,000 921,092
Bcap Llc Trust 4.50218% 0.01175 1,076,661 909,542
Halseypoint Clo 3 Ltd / Llc 7.04111% 0.01164 900,000 900,755
Alternative Loan Trust 4.76901% 0.01154 1,053,570 893,122
GSamp Trust 5.59971% 0.01114 1,694,963 862,541
Struct Asset Mtg 5.87971% 0.01096 1,298,726 848,245
CHL Mortgage Pass-Through Trust 4.52993% 0.01090 932,131 843,725
Cbam 2018-5 6.59868% 0.01053 814,009 814,768
State Street Overnight Rate Aud 0.01044 1,210,591 808,493
BENEFIT STREET PARTNERS CLO XVII LTD 6.67017% 0.01035 800,000 801,060
RAD CLO 4 LTD 6.5564% 0.01035 800,000 801,516
Alternative Loan Trust 6% 0.01004 947,580 777,363
Crestline Denali Clo Xiv. Ltd 6.72801% 0.01002 774,501 775,260
Wamu Mortgage Pass-Through CTFS TR 4.37166% 0.00969 933,089 750,146
Lloyds Banking Group PLC 4.947% 0.00956 700,000 740,403
Lehman Xs Trust 5.81971% 0.00936 768,474 724,763
Atlas Senior Loan Fund X Ltd/Llc 6.68017% 0.00918 710,258 710,990
JP Morgan Alt Loan 5.91971% 0.00916 784,492 708,688
CVC Cordatus Loan Fund VII Designated Activity Company 4.349% 0.00911 659,036 705,071
Carlyle Global Market Strategies CLO 2014-1 Limited 6.54868% 0.00909 703,086 703,543
Wamu Mortgage Pass-Through CTFS TR 4.84556% 0.00905 782,315 700,644
Wamu Mortgage Pass-Through CTFS TR 4.40391% 0.00892 819,212 690,115
Aqueduct European CLO 1-2017 Designated Activity Company 4.537% 0.00867 625,241 670,865
Morgan Stanley ABS Capital I Inc 5.67971% 0.00849 1,500,564 657,266
Indymac Indx Mtg 5.85971% 0.00837 850,699 647,618
Invesco Euro Clo Iii Designated Activity Company 4.826% 0.00832 600,000 643,852
New Century Home Equity Loan Trust 2005-1 6.22471% 0.00810 651,316 626,632
Home Equity Asset Trust 6.07471% 0.00803 633,696 621,750
Bcap Llc Tr 06-Aa2 5.79971% 0.00791 699,354 612,037
Black Diamond CLO 2017-2 Designated Activity Company 4.757% 0.00789 569,828 610,727
GSAA Home Equity Trust 6.72% 0.00775 1,141,890 600,250
UBS Group AG 0.65% 0.00769 600,000 595,101
Wamu Mtg Pass-Through Ctfs Ser 2007 3.41901% 0.00762 777,373 589,842
Voya CLO 2017-2 Ltd./Voya CLO 2017-2 LLC 6.57017% 0.00753 582,547 583,129
STIF FUND (CAD) 0.00751 795,035 581,017
Neugerger Berman CLO XIV Ltd 6.61648% 0.00747 577,593 578,457
Washington Mut Mtg 6.12277% 0.00746 695,542 577,383
Harborview Mtg Loan Trust 5.95315% 0.00730 930,435 564,971
Rali Ser 06-Qo6 Tr 5.61936% 0.00728 2,475,739 563,256
Mastr Adjustable Rate Mortgages Trust 5.66971% 0.00727 662,463 562,560
Federal Home Loan Mortgage Corp. 4% 0.00700 579,274 542,194
CWMBS Inc 6% 0.00694 1,118,845 537,038
CVC Cordatus Loan Fund III Designated Activity Company 4.608% 0.00670 483,415 518,338
Wamu Mortgage Pass-Through CTFS TR 3.76733% 0.00665 617,399 514,648
UBS Group AG 1% 0.00655 500,000 507,160
Voya Clo 2019-2 Ltd / Voya Clo 144A FRN 6.52456% 0.00647 500,000 501,179
Tiaa CLO IV Ltd / Tiaa CLO IV LLC 6.4646% 0.00646 500,000 500,000
Vibrant Clo Iv. Ltd 6.70617% 0.00646 500,000 500,344
ICG US CLO Ltd. 6.64617% 0.00614 475,306 475,565
CIFC Funding 6.77868% 0.00611 472,338 472,757
OCP Euro CLO 2017-2 Designated Activity Co. 4.726% 0.00603 435,859 467,156
Indymac Indx Mtg 5.69971% 0.00598 483,345 462,519
VMC FINANCE 2022-FL5 LLC 7.23303% 0.00594 461,123 460,000
Fnma Pass-Thru I 4% 0.00591 488,871 457,451
Man GLG Euro CLO IV Designated Activity Company 4.528% 0.00589 425,498 455,973
CWABS Asset-Backed Certificates Trust 2007-12 6.19971% 0.00587 476,303 454,592
CWABS Asset-Backed Certificates Trust 2007-9 5.70971% 0.00586 482,232 453,603
Ameriquest Mortgage Securities 6.38971% 0.00573 449,444 443,551
Residential Accredit Loans Inc 6.01971% 0.00559 624,809 432,736
Wamu Mortgage Pass-Through CTFS TR 6.55971% 0.00519 445,865 402,081
Anchorage Capital CLO 2012-1 Ltd. 6.73017% 0.00517 400,000 400,337
Bear Stearns Arm Trust 4.91222% 0.00511 472,325 395,506
Wells Fargo Home Equity Asset Backed Securities 2005-3 Trust 7.85971% 0.00510 400,000 394,832
Novastar Mortgage Funding Trust 6.53971% 0.00506 393,485 391,845
UBS Group AG 7% 0.00504 300,000 390,289
Resident Asset Sec 6.5% 0.00492 1,797,794 380,828
Venture Xxiv Clo Ltd/Llc 6.48617% 0.00491 379,685 379,983
Cwalt Incorporation 5.75% 0.00479 956,715 370,492
Wamu Mortgage Pass-Through CTFS TR 3.84738% 0.00479 435,644 370,839
Novastar Mortgage Funding Trust 5.79971% 0.00478 1,231,375 370,157
Wamu Mortgage Pass-Through CTFS TR 4.25579% 0.00462 410,517 357,862
Merrill Lynch Mortgage Investors, Inc. 5.75907% 0.00454 389,513 351,503
Homebanc Mtg Trust 4.89939% 0.00442 395,126 341,774
Washington Mut Mtg 6.13971% 0.00420 343,506 324,972
Harborview Mtg Loan Trust 5.93315% 0.00409 348,377 316,795
Bear Stearns Arm 4.40613% 0.00409 363,781 316,588
CWABS Inc. 5.805% 0.00407 360,985 315,428
Cwalt Incorporation 6.15277% 0.00401 381,583 310,129
Citigroup Mortgage Loan Trust 5.2613% 0.00391 343,475 302,963
OCTAGON LOAN FUNDING LLC 6.76735% 0.00388 300,080 300,422
Eversource Energy 2.9% 0.00385 300,000 297,811
Novastar Mortgage Funding Trust 6.16471% 0.00377 295,053 291,958
Federal National Mortgage Association 4% 0.00377 315,858 291,831
Saxon Asset Securities Trust 6.17971% 0.00372 306,812 287,942
Wells Fargo Mortgage Backed Secs 6.16989% 0.00363 303,073 281,339
Bear Stearns Alternative A Trust 4.38557% 0.00355 508,204 274,667
Federal National Mortgage Association 4% 0.00352 294,356 272,622
Wamu Mtg Pass-Through Ctfs Ser 2007 5.92277% 0.00350 341,492 270,848
Argent Secs Inc 5.77971% 0.00345 1,106,693 266,702
Saranac CLO VII Ltd/ Saranac CLO VII LLC 6.81735% 0.00335 258,846 259,234
Federal Home Loan Mortgage Corp. 4% 0.00331 276,659 255,860
First Horizon Alternative Mortgage Securities Trust 6% 0.00331 657,760 256,320
Sequoia Mtg Trust 5.85315% 0.00322 291,665 249,278
Federal Home Loan Mortgage Corp. 6.35277% 0.00318 257,955 246,115
Structured Adj Rate Mtg Loan Trust 5.77971% 0.00315 267,384 243,718
Nykredit Realkredit A/S 1.5% 0.00314 2,490,912 243,253
CWABS Inc. 6.23971% 0.00312 254,961 241,183
Wamu Mortgage Pass-Through CTFS TR 6.15277% 0.00302 270,221 234,004
Bear Stearns Alternative A Trust 4.32381% 0.00282 324,336 218,084
Bear Stearns Arm Trust 6.00833% 0.00278 221,082 215,409
Lehman Abs Corp 6.80971% 0.00275 208,960 212,913
Merrill Lynch Mortgage Investors, Inc. 6.20842% 0.00272 233,133 210,558
Wamu Mortgage Pass-Through CTFS TR 4.448% 0.00266 220,751 205,672
Indymac MBS Inc 5.14871% 0.00265 218,866 205,360
Structured Adj Rate Mtg Loan Trust 4.21559% 0.00257 292,678 199,192
IndyMac INDA Mortgage Loan Trust 3.6963% 0.00239 242,664 185,041
Federal Home Loan Mortgage Corp. 4% 0.00239 199,627 184,997
Structured Asset Mortgage Investments II Trust 5.95315% 0.00237 197,358 183,708
GS Mortgage Securities Corp 4.45478% 0.00232 222,404 179,955
Banc America Mortgage Securitites Inc 5.07287% 0.00231 207,614 178,695
Bear Stearns Arm Trust 5.50275% 0.00227 194,648 175,610
Morgan Stanley ABS Capital I Inc 5.79971% 0.00226 415,025 175,034
American Home Mortgage Asset Trust 5.64971% 0.00225 214,827 174,296
Cwalt Incorporation 6.09673% 0.00221 187,235 171,016
STIF FUND (NZD) 0.00219 278,281 169,571
Greenpoint Mta Tr 5.89971% 0.00215 186,889 166,711
Luminent Mortgage Trust 5.81971% 0.00215 184,533 166,758
CWMBS Inc 6.03971% 0.00213 182,267 165,001
Federal National Mortgage Association 4% 0.00210 174,492 162,461
Nomura Asset Acceptance Corp Alt Ln tr 6.32% 0.00205 168,925 158,919
Harborview Mtg Loan Trust 6.07315% 0.00199 234,798 153,796
Structured Asset M 5.87971% 0.00197 177,084 152,632
Federal Home Loan Mortgage Corp. 4% 0.00196 162,200 151,929
Bear Stearns Arm Trust 6.22788% 0.00195 160,385 151,215
Wamu Mortgage Pass-Through CTFS TR 4.17142% 0.00188 177,060 145,536
Nomura Asset Acceptance Corp Alt Ln tr 6.638% 0.00185 156,504 143,131
Indymac MBS Inc 6.01971% 0.00184 202,320 142,068
1ST Horizon Mtg 6.23116% 0.00178 200,516 138,009
CWABS Asset-Backed Certificates Trust 2007-2 5.59971% 0.00172 148,443 133,209
Federal Home Loan Mortgage Corp. 5.72983% 0.00170 128,800 131,245
Government National Mortgage Association 3.75% 0.00170 132,454 131,243
Federal National Mortgage Association 6.353% 0.00170 132,107 131,936
Structured Adj Rate Mtg Loan Trust 7.25391% 0.00168 147,256 130,182
United States Treasury Bills 0% 0.00168 131,000 130,409
Mastr Adjustable Rate Mortgages Trust 5.29437% 0.00167 148,450 129,134
1ST Horizon Mtg 6.78483% 0.00167 133,746 129,128
Avolon Holdings Funding Ltd. 2.528% 0.00166 143,000 128,687
Federal Home Loan Mortgage Corp. 4.5% 0.00161 131,877 124,553
Bear Stearns Alternative A Trust 4.82651% 0.00160 195,891 124,172
Strctrd Asset Invt 6.16471% 0.00159 123,927 122,977
Washington Mut Mtg 6.5% 0.00159 157,009 123,174
Federal Home Loan Mortgage Corp. 6.338% 0.00158 120,598 121,944
Indymac MBS Inc 3.53706% 0.00152 140,194 117,617
Federal National Mortgage Association 6.353% 0.00152 117,563 117,409
JP Morgan Mtg Acc 5.66971% 0.00151 119,001 117,090
Merrill Lynch Mortgage Investors, Inc. 5.95971% 0.00150 125,297 115,885
Federal Home Loan Mortgage Corp. 4% 0.00149 124,529 115,718
Harborview Mtg Loan Trust 6.13315% 0.00148 125,863 114,819
Chevy Chase Funding Llc 5.63971% 0.00144 124,514 111,658
Structured Adj Rate Mtg Loan Trust 5.16027% 0.00144 128,099 111,085
UBS Group AG 2.125% 0.00143 100,000 110,987
Citigroup Mortgage Loan Trust 4.55965% 0.00142 123,730 109,586
PALMER SQUARE LOAN FUNDING LTD 6.38735% 0.00141 109,383 109,428
Wamu Mortgage Pass-Through CTFS TR 6.2916% 0.00140 113,229 108,212
France (Republic Of) 0.1% 0.00140 117,457 108,327
Federal National Mortgage Association 6.08732% 0.00133 105,330 102,665
Fnma Pass-Thru I 4% 0.00132 110,073 102,279
Harborview Mtg L04 5.83315% 0.00132 124,884 102,151
Wamu Mortgage Pass-Through CTFS TR 6.25971% 0.00131 110,742 101,530
Merrill Lynch Mtg Inv Trust 5.49485% 0.00130 112,764 100,968
UBS Group AG 2.875% 0.00130 100,000 100,318
CIM TRUST 6.44983% 0.00129 102,254 100,084
Harborview Mtg Loan Trust 5.49618% 0.00128 111,966 99,428
Structured Asset Mortgage Investments II Trust 5.91971% 0.00127 127,822 98,145
Merrill Lynch Mortgage Investors, Inc. 5.3791% 0.00125 104,372 96,672
Wamu Mortgage Pass-Through CTFS TR 4.7089% 0.00125 110,115 97,065
MASTR Alternative Loan Trust 5.85971% 0.00124 916,238 95,755
Merrill Lynch Mortgage Investors, Inc. 5.78258% 0.00124 111,819 95,694
Banc America Mortgage Securitites Inc 5.54624% 0.00121 102,985 93,679
CSMC Mortgage-Backed Trust 6.0789% 0.00120 345,241 92,893
Federal National Mortgage Association 5.89483% 0.00116 91,236 89,977
Indymac Indx Mtg 5.75971% 0.00115 255,779 89,260
Indymac MBS Inc 3.44804% 0.00112 117,353 86,560
Federal Home Loan Mortgage Corp. 4% 0.00110 91,517 85,240
Adjustable Rate Mortgage Trust 5.60377% 0.00109 90,809 84,103
Structured Asset Mortgage Investments II Trust 6.07971% 0.00108 106,488 83,228
Grifonas Finance No1 plc 4.181% 0.00107 78,846 82,458
JP Morgan Mortgage Trust 5.85615% 0.00106 88,572 81,922
Mastr Adjustable Rate Mortgages Trust 5.99413% 0.00106 88,748 82,421
United States Treasury Bills 0% 0.00105 82,000 81,464
CWMBS Inc 5.87315% 0.00104 95,278 80,249
CHL Mortgage Pass-Through Trust 4.37138% 0.00103 94,356 79,368
Wamu Mortgage Pass-Through CTFS TR 4.73997% 0.00103 91,085 79,800
JP Morgan Mortgage Trust 4.98731% 0.00094 91,738 72,868
Chaseflex Trust 5.95971% 0.00093 171,384 71,812
Banc America Funding Trust 6.3368% 0.00092 80,264 71,374
Salomon Brothers Mtg Secs VII Inc 6.5% 0.00090 125,336 69,841
Indymac MBS Inc 3.70469% 0.00089 87,671 68,539
Indymac MBS Inc 3.80416% 0.00089 95,774 69,187
Midocean Credit CLO II / LLC 6.61648% 0.00089 68,455 68,561
CHL Mortgage Pass-Through Trust 5.5% 0.00088 72,359 68,379
Banc America Funding Trust 6.2527% 0.00086 78,954 66,296
Bear Stearns Arm Trust 5.69979% 0.00085 70,064 65,911
Indymac MBS Inc 6.05971% 0.00085 114,134 65,754
Cwmbs Chl Mtg Tr 2 4.48292% 0.00083 77,688 64,278
Morgan Stanley ML 6.20097% 0.00077 172,643 59,748
Morgan Stanley ABS Capital I Inc 5.68971% 0.00077 111,934 59,652
Wells Fargo National Bank West (Nevada) 6.47617% 0.00077 59,771 59,771
Banc Americ 2006-J 5.01992% 0.00076 70,455 58,729
Federal Home Loan Mortgage Corp. 5.71971% 0.00075 56,495 57,926
Bear Stearns Arm Trust 4.81853% 0.00074 65,369 57,563
Federal Home Loan Mortgage Corp. 4% 0.00074 59,727 57,200
Residential Accredit Loans Inc 6.51277% 0.00074 68,237 56,904
First Horizon Alt 6.25% 0.00073 144,512 56,853
Structured Asset Securities Corp. 7.28229% 0.00073 60,070 56,759
Adjustable Rate Mortgage Trust 6.65782% 0.00072 58,825 55,477
Chase Mortgage Financial Trust 4.64204% 0.00072 60,529 55,462
Federal National Mortgage Association 6.092% 0.00072 55,003 55,670
Indymac MBS Inc 3.80416% 0.00071 77,215 54,926
Wamu Mortgage Pass-Through CTFS TR 4.24636% 0.00071 63,080 54,984
GS Mortgage Securities Corp 5.05489% 0.00070 58,595 54,227
JP Morgan Alt Loan 6% 0.00069 104,964 53,339
Federal National Mortgage Association 4% 0.00068 56,258 52,277
Federal Home Loan Mortgage Corp. 4% 0.00067 55,937 52,095
Federal National Mortgage Association 5.79983% 0.00066 50,971 50,794
Structured Asset Mortgage Investments II Trust 6.15315% 0.00065 55,895 50,055
Banc America Funding Trust 6.388% 0.00064 62,054 49,475
JP Morgan Mortgage Trust 4.96174% 0.00062 49,611 48,039
Morgan Stanley ML 5.75% 0.00062 100,647 47,729
New York Mortgage Trust, Inc. 4.96478% 0.00061 56,498 47,372
Federal Home Loan Mortgage Corp. 6.55277% 0.00059 49,267 45,635
Structured Asset Mortgage Investments II Trust 5.95315% 0.00056 47,471 43,654
GS Mortgage Securities Corp 5.43486% 0.00056 48,226 43,124
Cwalt Incorporation 5.5% 0.00056 65,432 43,382
Morgan Stanley ML 6% 0.00055 77,506 42,268
Fnma Pass-Thru I 4% 0.00055 45,517 42,293
Cwalt Incorporation 5% 0.00054 77,262 41,970
Merrill Lynch Mortgage Investors, Inc. 4.90213% 0.00054 53,570 41,761
Harborview Mtg Loan Trust 6.00167% 0.00053 46,055 40,769
Federal National Mortgage Association 6.16481% 0.00052 40,833 40,050
Jyske Realkredit A/S 0.5% 0.00051 346,320 39,592
Federal Home Loan Mortgage Corp. 7.036% 0.00050 38,625 38,966
CWMBS Inc 5.5% 0.00049 70,196 38,030
JP Morgan Mortgage Trust 4.78186% 0.00048 50,455 37,266
Indymac MBS Inc 5.5% 0.00048 40,207 37,332
Structured Adj Rate Mtg Loan Trust 4.82475% 0.00045 41,288 34,666
Federal Home Loan Mortgage Corp. 6.3% 0.00044 33,950 34,075
TBW Mortgage-Bkd 6.47% 0.00043 1,230,258 33,496
JP Morgan Mortgage Trust 5.26627% 0.00043 35,736 32,975
Mellon Residential 6.30332% 0.00042 34,760 32,536
Nomura Asset Acceptance Corp Alt Ln tr 7.32369% 0.00042 41,495 32,296
Wamu Mortgage Pass-Through CTFS TR 6.13277% 0.00041 36,255 32,022
Countrywide Alternative loan Trust 5.63315% 0.00040 40,223 30,868
Federal National Mortgage Association 5.49822% 0.00040 31,989 31,211
Indymac MBS Inc 4.76712% 0.00039 33,088 29,953
ML Mtg Inv Mtg LA 5.69971% 0.00038 102,160 29,204
Federal Home Loan Mortgage Corp. 7.588% 0.00038 28,733 29,358
Citigroup Mortgage Loan Trust 6.23845% 0.00037 33,140 28,908
Csab Mtg Bkd 06-4 6.1837% 0.00036 157,959 27,676
Structured Asset Securities Corp. 6.94366% 0.00036 28,257 27,861
Indymac MBS Inc 3.24742% 0.00036 33,075 27,828
United States Treasury Notes 0.75% 0.00035 28,730 27,308
Great Hall Mortgages No.1 PLC 5.4538% 0.00035 21,350 26,894
Mellon Residential 5.88332% 0.00035 28,727 27,225
Residential Accredit Loans Inc 5.75971% 0.00035 37,183 27,118
Citigroup Mortgage Loan Trust 7.41% 0.00033 27,011 25,552
CWMBS Inc 4.86396% 0.00033 33,357 25,856
Structured Adj Rate Mtg Loan Trust 4.17195% 0.00033 30,058 25,812
Cwalt Alt 2006-J8 6% 0.00032 58,846 24,831
Washington Mut Mtg 5.15828% 0.00032 26,446 24,946
Bear Stearns Arm Trust 5.03562% 0.00031 25,538 23,948
Chase Mortgage Financial Trust 5.67267% 0.00031 25,744 24,041
Federal National Mortgage Association 4% 0.00031 26,339 24,305
Structured Asset M 5.71971% 0.00031 64,081 24,328
1ST Horizon Mtg 5.81829% 0.00029 23,569 22,564
Wamu Mortgage Pass-Through CTFS TR 6.55277% 0.00029 25,001 22,760
Wamu Mortgage Pass-Through CTFS TR 6.03111% 0.00028 22,309 21,672
Federal Home Loan Mortgage Corp. 4% 0.00028 23,662 21,936
Structured Asset Mortgage Investments Inc 6.11315% 0.00028 22,974 21,860
Bear Stearns Alternative A Trust 4.98416% 0.00026 35,254 20,364
Cwalt Incorporation 6.5% 0.00024 18,918 18,350
Bear Stearns Arm Trust 5.41582% 0.00024 20,288 18,235
Sequoia Mtg Trust 6.22804% 0.00023 18,383 17,964
GS Mortgage Securities Corp 4.3335% 0.00023 20,018 17,565
Federal National Mortgage Association 5.88983% 0.00023 17,833 17,677
Structured Asset Mortgage Investments II Trust 6.11315% 0.00022 18,772 17,329
Federal National Mortgage Association 5.79983% 0.00021 16,143 15,932
Mellon Residential 6.0094% 0.00021 16,123 16,149
Mellon Residential 6.14332% 0.00021 17,042 16,012
Bear Stearns Alternative A Trust 5.3102% 0.00021 17,443 16,120
Venture XVII CLO Ltd/Llc 6.47017% 0.00021 16,632 16,638
CWMBS Inc 7.49885% 0.00020 16,537 15,562
Structured Asset Mortgage Investments II Trust 5.95315% 0.00019 15,264 14,788
Resident Asset Sec 5.85971% 0.00019 55,030 15,068
Mellon Residential 5.92332% 0.00018 14,429 13,741
Merrill Lynch Mtg Inv Trust 5.61971% 0.00018 68,784 13,858
Federal National Mortgage Association 4% 0.00018 14,764 14,162
Citigroup Mortgage Loan Trust 6.83% 0.00017 14,120 13,307
Sequoia Mtg Trust 6.35315% 0.00017 14,897 13,029
Cwalt Incorporation 5.5% 0.00016 15,487 12,297
Federal National Mortgage Association 3.84% 0.00016 12,517 12,214
Wamu Mortgage Pass-Through CTFS TR 4.82355% 0.00015 13,603 11,728
Federal National Mortgage Association 4% 0.00015 11,948 11,356
Federal Home Loan Mortgage Corp. 4% 0.00015 12,715 11,817
Wamu Mortgage Pass-Through CTFS TR 6.35277% 0.00014 11,912 11,020
Federal Home Loan Mortgage Corp. 5.751% 0.00013 9,708 9,846
Wamu Mortgage Pass-Through CTFS TR 6.03971% 0.00013 10,983 10,348
GS Mortgage Securities Corp 4.3752% 0.00013 11,570 9,880
JP Morgan Mortgage Trust 5.82431% 0.00012 13,040 9,066
Sequoia Mtg Trust 6.25315% 0.00012 9,525 8,945
Federal Home Loan Mortgage Corp. 5.882% 0.00012 9,518 9,580
JP Morgan Mortgage Trust 5.77047% 0.00011 9,311 8,785
Structured Adj Rate Mtg Loan Trust 6.55277% 0.00011 9,781 8,710
Wells Fargo Mortgage Backed Secs 6.47755% 0.00011 9,152 8,452
Federal National Mortgage Association 6.352% 0.00011 8,450 8,438
Chase Mortgage Financial Trust 6.18119% 0.00011 9,357 8,876
Lehman Brothers Holdings Inc. 1.15% 0.00010 1,600,000,000 7,957
Merrill Lynch Mortgage Investors, Inc. 6.17404% 0.00010 9,418 7,888
Sequoia Mtg Trust 6.21315% 0.00009 7,574 7,120
Federal Home Loan Mortgage Corp. 7% 0.00009 7,031 7,234
Sequoia Mtg Trust 6.15315% 0.00009 6,934 6,603
Government National Mortgage Association 3.625% 0.00006 4,756 4,730
CWMBS Inc 6.09971% 0.00006 4,778 4,408
Federal National Mortgage Association 6.765% 0.00006 4,361 4,352
Federal National Mortgage Association 6.5% 0.00006 4,712 4,669
Mellon Residential 6.18332% 0.00006 5,201 4,956
Federal National Mortgage Association 6.08102% 0.00005 3,856 3,925
Merrill Lynch Mtg Inv Trust 5.67121% 0.00005 3,757 3,594
Federal National Mortgage Association 3.884% 0.00005 3,858 3,754
CWMBS Inc 4.71165% 0.00005 4,022 3,617
Mastr Adjustable Rate Mortgages Trust 4.53361% 0.00005 4,020 3,828
Federal National Mortgage Association 5.736% 0.00004 2,728 2,715
Federal National Mortgage Association 4.525% 0.00004 3,125 3,034
Harborview Mtg Loan Trust 5.89315% 0.00004 3,069 2,853
Nykredit Realkredit A/S 1% 0.00004 32,853 3,384
Merrill Lynch Mortgage Investors, Inc. 6.37404% 0.00004 3,217 2,925
Federal National Mortgage Association 5.185% 0.00004 3,242 3,206
Federal National Mortgage Association 7.103% 0.00003 2,399 2,399
Nykredit Realkredit A/S 2.5% 0.00003 18,852 2,489
Indymac MBS Inc 5.3421% 0.00003 2,368 2,367
Nordea Kredit Realkreditaktieselskab 1% 0.00002 12,681 1,389
STIF FUND (SEK) 0.00002 17,834 1,684
Federal National Mortgage Association 3.893% 0.00002 1,972 1,923
Federal Home Loan Mortgage Corp. 6.5% 0.00002 1,458 1,434
Structured Asset Securities Corp. 7.8685% 0.00001 922 832
JP Morgan Mortgage Trust 5.48021% 0.00001 824 807
STIF FUND (CHF) 0.00001 1,018 1,133
Structured Asset Securities Corp. 7.28229% 0.00001 823 759
Jyske Realkredit A/S 2.5% 0.00001 6,980 922
Realkredit Danmark A/S 2.5% 0.00001 8,098 1,070
STATE STREET STIF FUND (GBP) 0.00001 320 404
STIF FUND (SGD) 0.00001 999 737
Nordea Kredit Realkreditaktieselskab 2.5% 0.00001 3,289 434
Structured Asset Securities Corp. 6.81413% 0.00000 375 363
STIF FUND (PLN) 0.00000 278 69
Realkredit Danmark A/S 1% 0.00000 2,801 289
Ambac Assurance Corporation 5.1% 0.00000 1 1
STIF FUND (BRL) 0.00000 1,367 246
STIF FUND (MXN) 0.00000 10 1
RFR EUR ESTRON/3.47500 02/26/24-1Y LCH Receive 20.89416 1,509,100,000 1,617,378,648
IRS EUR 2.75000 09/18/24-10Y LCH Receive 12.04997 873,700,000 932,766,443
EUROPEAN MONETARY UNION EURO Purchased 9.13778 660,531,888 707,339,159
Cash Offset 8.44178 653,462,413 653,462,413
RFRF USD SOFR/2.30000 11/15/23-5Y LCH Receive 3.88897 328,400,000 301,038,040
IRS EUR 2.50000 09/18/24-30Y LCH Receive 3.73273 269,600,000 288,943,929
RFR USD SOFR/3.08500 02/13/24-10Y LCH Receive 3.47982 289,450,000 269,366,454
JAPANESE YEN Purchased 2.64630 34,359,498,764 204,845,591
RFR USD SOFR/4.86800 12/22/23-2Y LCH Receive 2.36797 183,300,000 183,300,000
RFR USD SOFR/2.86500 02/13/24-30Y LCH Receive 1.87190 144,900,000 144,900,000
IRS EUR 2.91510 06/12/23-9Y* LCH Receive 1.56318 112,100,000 121,002,529
JAPANESE YEN Purchased 1.52094 18,737,218,401 117,732,924
INF SWAP EM NI 1.38 03/15/21-10Y LCH Receive 1.51192 109,200,000 117,035,152
INF SWAP US IT 2.41875 03/05/21-5Y LCH Receive 1.13318 79,200,000 87,717,274
Inf Swap Us It 1.76 11/04/19-10Y Lch Receive 1.01281 78,400,000 78,400,000
INF SWAP US IT 2.31375 02/26/21-5Y LCH Receive 0.97225 67,600,000 75,260,434
RFR USD SOFR/4.87000 12/22/23-2Y LCH Receive 0.94305 73,000,000 73,000,000
RFR USD SOFR/3.75724 06/03/24-9Y* LCH Receive 0.88880 68,800,000 68,800,000
IRO EUR 2Y P 2.80000 L 09/01/25 GST 0.86695 134,500,000 67,109,031
RFR JPY MUTK/0.55000 09/14/23-5Y LCH Receive 0.82558 10,280,000,000 63,906,503
CANADIAN DOLLAR Purchased 0.81765 86,599,649 63,292,858
INF SWAP US IT 2.42 08/24/23-1Y LCH Receive 0.79966 61,900,000 61,900,000
IRS EUR 0.19700 11/08/22-30Y LCH Receive 0.75319 54,400,000 58,303,226
RFR JPY MUTK/0.50000 12/15/21-10Y LCH Receive 0.71009 8,842,000,000 54,967,052
INF SWAP US IT 2.5 09/07/23-1Y LCH Receive 0.70923 54,900,000 54,900,000
RFR USD SOFR/4.76000 01/18/24-2Y LCH Receive 0.63779 49,370,000 49,370,000
INF SWAP US IT 2.7675 05/13/21-5Y LCH Receive 0.63413 45,200,000 49,086,741
INDIAN RUPEE-INR-NDF Purchased 0.63313 4,091,324,711 49,009,601
TAIWANESE DOLLAR-NDF Purchased 0.61823 1,540,422,931 47,855,975
SOUTH KOREA WON-NDF Purchased 0.60879 64,640,217,387 47,125,126
RFR USD SOFR/3.50000 06/20/24-30Y CME Receive 0.60330 46,700,000 46,700,000
RFRF USD SOFR/2.28500 11/15/23-30Y LCH Receive 0.55162 42,700,000 42,700,000
INF SWAP EM NI 2.5025 03/15/23-5Y LCH Receive 0.53939 39,300,000 41,753,193
IRO FWD EUR 2Y P 2.95000 L 09/15/25 CBK 0.53609 98,700,000 41,497,424
IRO EUR 2Y P 2.46500 L 12/04/25 GLM 0.52302 65,600,000 40,486,078
CHINESE - YUAN RENMINBI (CNH) Purchased 0.51145 283,802,742 39,590,082
INF SWAP US IT 2.31125 02/24/21-10Y LCH Receive 0.49835 34,500,000 38,576,719
INF SWAP EM NI 2.72 06/15/22-10Y LCH Receive 0.48564 35,300,000 37,592,448
IRS EUR 0.19500 11/04/22-30Y LCH Receive 0.47199 34,090,000 36,535,974
IRS EUR 1.00000 05/13/22-5Y LCH Receive 0.46936 35,900,000 36,331,968
INF SWAP EM NI 2.6 05/15/22-10Y LCH Receive 0.45423 32,100,000 35,161,358
IRS EUR 0.65000 05/11/22-5Y LCH Receive 0.44010 34,000,000 34,067,154
SOUTH AFRICAN RAND Purchased 0.43710 615,633,534 33,834,949
RFRF USD SOFR/2.34000 11/21/23-5Y LCH Receive 0.43668 36,820,000 33,802,568
IRS EUR 0.19000 11/04/22-30Y LCH Receive 0.43045 31,090,000 33,320,722
RFR USD SOFR/4.75000 01/18/24-2Y LCH Receive 0.43019 33,300,000 33,300,000
RFRF USD SOFR/2.23650 11/21/23-30Y LCH Receive 0.42244 32,700,000 32,700,000
INF SWAP US IT 2.165 04/16/19-10Y LCH Receive 0.41856 32,400,000 32,400,000
INF SWAP EM NI 2.356 11/15/23-10Y LCH Receive 0.40983 29,600,000 31,723,814
SWISS FRANCS Purchased 0.40514 28,039,346 31,360,807
INF SWAP US IT 2.56 09/12/23-1Y LCH Receive 0.40306 31,200,000 31,200,000
POLISH ZLOTY Purchased 0.39777 125,749,933 30,790,666
INF SWAP EM NI 3.72 09/15/22-2Y LCH Receive 0.39598 28,600,000 30,652,064
IRO EUR 2Y P 2.90000 L 08/29/25 GLM 0.36093 62,100,000 27,938,897
IRS EUR 0.55000 08/10/22-2Y LCH Receive 0.31437 22,800,000 24,335,149
Inf Swap Us It 1.8825 11/20/19-10Y Lch Receive 0.30100 23,300,000 23,300,000
AUSTRALIAN DOLLARS Purchased 0.28849 33,485,374 22,331,398
INF SWAP US IT 2.37 06/06/18-10Y LCH Receive 0.28808 22,300,000 22,300,000
INF SWAP US IT 2.703 05/25/21-5Y LCH Receive 0.28690 20,410,000 22,208,156
INF SWAP US IT 2.69 06/01/21-5Y LCH Receive 0.28675 20,400,000 22,196,763
DANISH KRONER Purchased 0.28024 151,002,090 21,692,769
INF SWAP US IT 2.813 05/14/21-5Y LCH Receive 0.26316 18,800,000 20,370,934
INF SWAP US IT 2.565 09/12/23-1Y LCH Receive 0.25966 20,100,000 20,100,000
INF SWAP EM NI 3.52 09/15/22-2Y LCH Receive 0.25060 18,100,000 19,398,684
MEXICAN NUEVO PESO Purchased 0.24821 367,267,326 19,213,688
INF SWAP EM NI 2.39 11/15/23-10Y LCH Receive 0.23676 17,100,000 18,326,933
INF SWAP EM NI 2.3625 11/15/23-10Y LCH Receive 0.22707 16,400,000 17,576,708
INF SWAP EM NI 2.763 09/15/23-30Y LCH Receive 0.22568 16,300,000 17,469,533
INF SWAP EM NI 2.359 08/15/22-8Y LCH Receive 0.22426 15,800,000 17,359,311
BRITISH POUND STERLING Purchased 0.22369 13,739,000 17,315,497
INF SWAP EM NI 3.13 05/15/22-5Y LCH Receive 0.22308 15,900,000 17,268,278
IRS EUR 0.70000 04/11/22-5Y LCH Receive 0.21420 16,500,000 16,580,580
INF SWAP EM NI 2.47 07/15/22-10Y LCH Receive 0.21301 15,100,000 16,488,666
IRS EUR 1.00000 05/18/22-5Y LCH Receive 0.21045 16,100,000 16,290,287
INF SWAP EM NI 2.59 12/15/22-30Y LCH Receive 0.20907 15,100,000 16,183,432
INF SWAP EM NI 2.57 06/15/22-10Y LCH Receive 0.20117 14,400,000 15,572,280
SINGAPORE DOLLARS Purchased 0.19280 20,226,644 14,924,098
INF SWAP US IT 2.379 07/09/18-10Y LCH Receive 0.18990 14,700,000 14,700,000
RFR JPY MUT+5.89/0.4500 03/20/19-10Y LCH Receive 0.17872 2,225,400,000 13,834,390
INF SWAP US IT 2.645 09/10/21-7Y LCH Receive 0.17484 12,700,000 13,534,027
NEW ZEALAND DOLLAR Purchased 0.17115 21,812,966 13,248,367
Cmbx.Na.Aaa.12 Sp Sal 0.15769 12,300,000 12,206,580
INF SWAP EM NI 2.7 04/15/23-30Y LCH Receive 0.14676 10,600,000 11,360,555
IRS EUR 2.87880 06/12/23-9Y* LCH Receive 0.14604 10,500,000 11,304,469
CHINESE - YUAN RENMINBI (CNH) Purchased 0.13540 75,043,378 10,480,857
INF SWAP US IT 2.573 08/26/21-7Y LCH Receive 0.12757 9,200,000 9,875,177
INF SWAP US IT 1.9975 07/25/19-10Y LCH Receive 0.11756 9,100,000 9,100,000
INF SWAP EM NI 2.736 10/15/23-30Y LCH Receive 0.11492 8,300,000 8,895,529
INF SWAP EM NI 2.59 03/15/22-30Y LCH Receive 0.10938 7,900,000 8,466,829
RFR JPY MUT+5.89/0.3000 03/20/18-10Y LCH Receive 0.09169 1,141,690,000 7,097,414
INF SWAP EM NI 2.5475 11/15/23-30Y LCH Receive 0.08100 6,000,000 6,269,860
INF SWAP EM NI 2.58 03/15/22-30Y LCH Receive 0.07892 5,700,000 6,108,978
INF SWAP EM NI 2.682 10/15/23-30Y LCH Receive 0.07477 5,400,000 5,787,453
INF SWAP EM NI 2.62 11/15/23-30Y LCH Receive 0.07257 5,500,000 5,617,551
INF SWAP FR NI 1.41 11/15/19-20Y LCH Receive 0.06507 4,700,000 5,037,227
INF SWAP EM NI 2.421 05/15/22-30Y LCH Receive 0.06134 4,430,000 4,747,855
MEXICAN NUEVO PESO Purchased 0.05761 82,623,153 4,459,558
PERUVIAN SOL-NDF Purchased 0.04241 12,306,923 3,282,722
JAPANESE YEN Purchased 0.03591 1,177,365 2,779,904
INF SWAP US IT 2.51 09/08/23-1Y LCH Receive 0.03230 2,500,000 2,500,000
ISRAELI SHEKEL Purchased 0.02862 8,209,153 2,215,217
ISRAELI SHEKEL Purchased 0.02619 7,767,327 2,027,333
CASH COLLATERAL FUT GSC USD 0.02465 1,908,000 1,908,000
RFR USD SOFR/4.75750 01/18/24-2Y LCH Receive 0.01938 1,500,000 1,500,000
VM CASH FUT DOM GSC USD 0.01807 1,398,894 1,398,894
VM CASH CCP CME GSC USD 0.01753 1,356,961 1,356,961
INDONESIAN RUPIAH-NDF Purchased 0.01642 20,775,873,864 1,270,897
INF SWAP EM NI 2.55 04/15/22-30Y LCH Receive 0.01592 1,150,000 1,232,513
FIXED INC CLEARING CORP REPO (FICC) 0.01470 1,137,565 1,137,565
VM CASH CCP LCH GSC EUR 0.01319 952,858 1,021,226
VM CASH CCP LCH GSC JPY 0.01316 163,921,267 1,019,031
INDONESIAN RUPIAH-NDF Purchased 0.01088 13,750,566,812 842,088
VM CASH FUT FOR GSC AUD 0.01004 1,163,938 777,336
VM CASH CCP LCH GSC USD 0.01004 777,336 777,336
VM CASH FUT FOR GSC EUR 0.01004 725,296 777,336
IRS EUR 0.65000 04/12/22-5Y LCH Receive 0.00778 600,000 602,146
SWEDISH KRONER Purchased 0.00666 5,433,826 515,245
CASH COLLATERAL LCH GSC USD 0.00641 496,000 496,000
CASH COLLATERAL CME GSC USD 0.00554 429,000 429,000
CANADIAN DOLLAR Purchased 0.00504 54,262 390,358
DANISH KRONER Purchased 0.00384 141 297,253
NORWEGIAN KRONER Purchased 0.00337 2,774,349 260,600
Inf Swap Fr Ni 1.91 01/15/18-20Y Lch Receive 0.00277 200,000 214,350
SOUTH KOREA WON-NDF Purchased 0.00194 206,669,549 150,000
SOUTH KOREA WON-NDF Purchased 0.00193 206,069,295 149,168
MEXICAN NUEVO PESO Purchased 0.00191 2,711,000 148,224
SINGAPORE DOLLARS Purchased 0.00155 4,477 120,061
THAILAND BAHT Purchased 0.00129 3,670,200 100,233
INF SWAP EM NI 2.4875 05/15/22-15Y LCH Receive 0.00069 50,000 53,588
INDONESIAN RUPIAH-NDF Purchased 0.00065 820,600,000 50,000
INDONESIAN RUPIAH-NDF Purchased 0.00065 815,550,000 50,000
INDONESIAN RUPIAH-NDF Purchased 0.00064 815,644,650 49,725
NORWEGIAN KRONER Purchased 0.00004 30 3,324
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