PIMCO Commodity Real Ret Strat A2024-06-30
Security Name % Net Assets Number Of Shares Market Value (USD)
United States Treasury Notes 0.125% 16.27283 830,224,590 790,371,236
United States Treasury Notes 0.125% 10.41273 522,883,334 505,746,068
Pimco Cayman Cmdty Fd Ltd Instl 9.21027 358,054,541 447,342,602
United States Treasury Notes 0.5% 8.49292 437,656,945 412,501,299
TRS R 5.43/91282CDC2 BPS 8.45622 375,000,000 410,718,739
United States Treasury Notes 1.625% 6.18177 305,156,901 300,248,681
Ultra 10 Year US Treasury Note Future Sept 24 5.58398 2,394 271,214,016
TRS R 5.43/91282CFR7 BPS 5.38167 250,000,000 261,387,869
TRS R 5.43/912828V49 BPS 3.82132 150,000,000 185,601,627
United States Treasury Notes 0.125% 3.81413 193,892,074 185,252,194
Federal National Mortgage Association 4% 3.78693 200,889,000 183,931,144
United States Treasury Notes 2.375% 3.64361 174,639,808 176,970,078
United States Treasury Notes 0.75% 3.26780 166,981,025 158,716,999
United States Treasury Notes 0.375% 3.26740 166,925,372 158,697,499
United States Treasury Notes 0.125% 3.24583 162,054,315 157,650,137
United States Treasury Notes 2.125% 3.16663 153,577,065 153,802,988
United States Treasury Notes 0.875% 3.12775 160,311,216 151,914,961
5 Year Treasury Note Future Sept 24 2.87956 1,313 139,860,145
Government National Mortgage Association 3.5% 2.68056 144,900,000 130,194,915
Federal National Mortgage Association 6% 2.64805 128,300,000 128,615,737
TRS R 5.5/912828N71 MYC 2.62779 100,000,000 127,631,899
TRS R 5.49/912828S50 MYC 2.57962 100,000,000 125,292,196
United States Treasury Notes 0.625% 2.55731 128,368,742 124,208,317
United States Treasury Notes 0.375% 2.48776 123,931,513 120,830,367
United States Treasury Notes 1.25% 2.40559 120,945,838 116,839,720
Italy (Republic Of) 1.4% 2.13735 97,933,360 103,811,286
United States Treasury Notes 0.125% 2.12804 114,800,598 103,358,963
TRS R 5.49/91282CCM1 MYC 2.10933 100,000,000 102,450,072
Long-Term Euro BTP Future Sept 24 2.06827 813 100,455,998
Federal National Mortgage Association 4.5% 1.92229 99,000,000 93,365,507
Federal National Mortgage Association 4.5% 1.62869 83,900,000 79,105,246
Japan (Government Of) 0.1% 1.62074 12,054,025,500 78,719,096
Ultra US Treasury Bond Future Sept 24 1.56164 609 75,849,047
10 Year Australian Treasury Bond Future Sept 24 1.55692 997 75,619,506
United States Treasury Notes 0.125% 1.51343 82,119,750 73,507,483
United States Treasury Notes 0.125% 1.43245 72,768,490 69,574,147
United States Treasury Notes 0.125% 1.40810 77,448,707 68,391,188
TRS R 5.46/912828N71 GLM 1.26506 48,100,000 61,443,965
United States Treasury Notes 0.375% 1.25245 64,089,000 60,831,488
United States Treasury Bonds 1.75% 1.21114 59,760,536 58,825,017
France (Republic Of) 0.1% 1.07436 51,679,296 52,181,693
Japan (Government Of) 0.1% 0.84643 6,319,278,880 41,111,061
Federal National Mortgage Association 6.5% 0.80217 38,300,000 38,961,274
Secretaria Tesouro Nacional 0% 0.73089 213,000 35,499,335
United States Treasury Notes 0.625% 0.68368 37,015,188 33,206,376
United States Treasury Notes 1.375% 0.65463 33,656,240 31,795,549
France (Republic Of) 0.1% 0.55660 25,799,688 27,034,254
Federal National Mortgage Association 5.5% 0.44062 21,700,000 21,400,777
France (Republic Of) 0.25% 0.43239 19,606,202 21,001,214
Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd/LLC 6.78303% 0.41518 20,250,000 20,165,203
United States Treasury Bonds 3.875% 0.34584 15,546,402 16,797,508
Canada (Government of) 4.25% 0.32678 20,484,240 15,871,928
United States Treasury Notes 0.25% 0.31335 16,568,868 15,219,249
VMC FINANCE 2022-FL5 LLC 7.23303% 0.30828 15,009,567 14,972,988
Venture 38 CLO LTD 2019 6.75111% 0.30293 14,700,000 14,713,197
United States Treasury Notes 1.125% 0.26881 14,104,974 13,056,170
United States Treasury Bonds 2.125% 0.26411 13,179,285 12,827,856
OCP Euro CLO 2017-2 Designated Activity Co. 4.726% 0.25224 11,430,398 12,251,175
Secretaria Tesouro Nacional 0% 0.24817 68,700 12,053,388
Bluemountain Fuji Eur Clo III DAC 4.626% 0.24287 11,015,748 11,796,120
Italy (Republic Of) 0.4% 0.21945 10,795,166 10,658,691
Ocp Euro Clo 2020-4 Designated Activity Company 4.777% 0.21327 9,700,000 10,358,429
United States Treasury Notes 0.125% 0.21180 11,876,655 10,287,044
Venture 36 Clo Ltd / Llc 6.71617% 0.18541 9,000,000 9,005,258
CVC Cordatus Loan Fund XI Designated Activity Company 4.556% 0.18473 8,382,655 8,972,287
Pimco Fds 0.18345 915,837 8,910,180
Citigroup Mortgage Loan Trust 6.15971% 0.18142 11,000,000 8,811,343
Carlyle Euro CLO 2017-3 DAC 4.606% 0.17879 8,090,607 8,684,007
Harvest CLO XVI Designated Activity Company 4.546% 0.16849 7,670,511 8,183,636
Rasc Ser 2006 Ks7 Trust 5.75971% 0.16538 8,702,899 8,032,677
Crestline Denali Clo Xiv. Ltd 6.72801% 0.16281 7,899,906 7,907,651
Wellfleet Clo X Ltd / Llc 6.75617% 0.15816 7,666,246 7,681,796
Mastr Specialized 6.19971% 0.15681 18,799,582 7,616,244
Palmer Square European Loan Funding 2022-1 Designated Activity Company 4.62 0.15492 7,056,946 7,524,547
United States Treasury Bonds 1.375% 0.15446 8,744,840 7,502,233
LOANCORE 2022-CRE7 ISSUER LTD 6.88303% 0.15415 7,475,419 7,487,099
Citigroup Mortgage Loan Trust 5.63971% 0.15165 8,934,823 7,365,876
Citigroup Mortgage Loan Trust 5.95471% 0.14728 7,400,000 7,153,192
Bain Capital Euro Clo 2018-1 DESIGNATED ACTIVITY COMPANY 4.637% 0.13862 6,309,817 6,732,765
United States Treasury Bonds 1% 0.13834 8,601,450 6,719,147
Euro-Galaxy III Clo Designated Activity Company 4.511% 0.13023 5,937,987 6,325,181
CWABS Inc. 7.18471% 0.12955 7,501,961 6,292,194
TRTX 2022-FL5 ISSUER, LTD 6.97884% 0.12776 6,232,335 6,205,068
Armada Euro Clo III Designated Activity Company 4.626% 0.12634 5,729,473 6,136,573
Securitized Asset Backed Receivables Llc Trust 5.89971% 0.12610 18,463,667 6,124,827
Carlyle Global Market Strategies Euro CLO 2014-2 DAC 4.578% 0.12428 5,658,285 6,036,460
United States Treasury Notes 0.125% 0.11619 5,996,754 5,643,485
Nykredit Realkredit A/S 1.5% 0.11550 49,109,603 5,609,796
TCI-Symphony CLO 2016-1 Ltd. 6.61017% 0.11485 5,573,056 5,578,255
Ares European CLO XII Designated Activity Company 4.747% 0.11482 5,200,000 5,576,869
Renaissance Hm Eqt 6.55971% 0.11354 13,276,318 5,514,664
STATE STREET STIF FUND (EUR) 0.11311 5,125,790 5,493,568
Palmer Square European Loan Funding 2021-1 Designated Activity Company 4.68 0.10872 4,924,081 5,280,289
Toro European CLO 6 DAC 4.832% 0.10799 4,900,000 5,245,049
J P Morgan Mortgage Acquisition Corporation 5.75971% 0.10670 12,258,469 5,182,461
Man Glg Euro Clo V Designated Activity Company 4.409% 0.10280 4,659,891 4,993,155
Harvest CLO XX Designated Activity Company 4.577% 0.10005 4,541,181 4,859,545
Madison Park Euro Funding XIII DAC 4.656% 0.09888 4,495,030 4,802,692
Government National Mortgage Association 6.24637% 0.09535 4,687,817 4,630,931
Citigroup Mortgage Loan Trust 5.80971% 0.09464 5,575,570 4,596,426
Voya CLO 2013-1 Ltd / Voya CLO 2013-1 LLC 6.80017% 0.09031 4,379,676 4,386,280
CWABS Asset-Backed Certificates Trust 2006-19 5.95971% 0.08993 4,585,129 4,367,814
Italy (Republic Of) 1.8% 0.08536 4,055,680 4,145,864
Tcw Clo 2018-1 Ltd 6.55516% 0.08398 4,073,181 4,079,044
ICG US CLO Ltd. 6.66617% 0.08301 4,025,247 4,031,586
Popular Abs Inc 6.32971% 0.08181 4,300,000 3,973,633
CIT Mtg Ln Tr 6.95971% 0.08052 3,905,980 3,910,771
United States Treasury Bonds 0.75% 0.08043 4,995,432 3,906,660
United States Treasury Bonds 2.125% 0.07989 3,916,809 3,880,312
Bank of America Corp. 5.875% 0.07874 3,840,000 3,824,414
JpMorgan MrtgAcq 5.73971% 0.07821 4,500,000 3,798,634
Ozlm Xxiv Ltd / Llc 6.74617% 0.07624 3,700,000 3,703,153
Wind River 2019-3 Clo Ltd / Llc 6.67017% 0.07622 3,700,000 3,702,006
Oak Hill European Credit Partners Vii Designated Activity Company 4.637% 0.07451 3,385,836 3,618,819
Harvest CLO XII Designated Activity Company 4.696% 0.07418 3,356,669 3,602,849
Aqueduct European CLO 1-2017 Designated Activity Company 4.537% 0.07367 3,334,617 3,577,944
Argent Secs Tr 5.75971% 0.07364 4,158,306 3,576,507
Mountain View Clo Ix Limited 6.71017% 0.07241 3,513,435 3,516,949
TOWD POINT MORTGAGE TRUST 6.45971% 0.07156 3,395,248 3,475,813
Venture 33 Clo Limited & Llc 6.65017% 0.07055 3,423,881 3,426,544
OCP CLO 2014-7 Ltd. 6.70617% 0.06888 3,341,895 3,345,595
Cairn CLO X Designated Activity Company 4.686% 0.06806 3,096,148 3,305,882
United States Treasury Bonds 2.125% 0.06802 3,328,888 3,303,632
Voya Clo 2012-4 Ltd/Llc 6.59017% 0.06528 3,166,311 3,170,710
522 Funding Clo 2018-3(A) Ltd/Llc 6.62617% 0.06493 3,151,859 3,153,542
CVC Cordatus Loan Fund VII Designated Activity Company 4.349% 0.06429 2,918,587 3,122,456
United States Treasury Notes 0.125% 0.06306 3,486,183 3,062,595
BPCRE 2022-FL2 Ltd / BPCRE 2022-FL2 LLC 7.73192% 0.06282 3,054,636 3,051,032
HSI Asset Securitization Corporation Trust 5.75971% 0.06253 6,996,385 3,037,152
Citigroup Mortgage Loan Trust 6.16471% 0.06116 3,200,000 2,970,628
Laurelin 2016-1 Designated Activity Company 4.617% 0.06112 2,766,417 2,968,600
Neuberger Berman Loan Advisers CLO 31 Ltd./ LLC 6.62617% 0.06081 2,950,000 2,953,588
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 6.49348% 0.06059 3,100,000 2,942,744
Park Place Securities Inc. 7.48471% 0.05995 3,099,568 2,911,598
Anchorage Capital CLO 6 Ltd 6.76456% 0.05980 2,900,000 2,904,350
Abfc 06-Opt2 Tst 5.73971% 0.05979 3,177,812 2,903,820
LCM XVII LTD Partnership 6.72017% 0.05802 2,815,586 2,818,143
Dryden XXVI Senior Loan Funding 6.49017% 0.05598 2,717,025 2,718,890
Atlas Senior Loan Fund xiii Ltd/LLC 6.66617% 0.05405 2,623,925 2,625,061
Galaxy Xv Clo Ltd/Galaxy Xv Clo Llc 6.56017% 0.05350 2,596,883 2,598,570
Adagio V CLO Designated Activity Company 4.626% 0.05331 2,427,626 2,589,506
Marble Point Clo X 6.63017% 0.05291 2,567,528 2,569,991
Resident Asset Sec 6.5% 0.05165 11,842,761 2,508,658
Banc Americ 2006-J 4.34714% 0.05138 3,020,687 2,495,587
CWABS Asset-Backed Certificates Trust 2007-1 5.59971% 0.05030 2,700,856 2,443,078
Venture CDO Ltd. 6.63617% 0.04993 2,421,557 2,425,196
Lehman Xs Trust 6.9% 0.04985 2,603,153 2,421,394
Vibrant Clo Iv. Ltd 6.70617% 0.04945 2,400,000 2,401,649
Novastar Mortgage Funding Trust 5.79971% 0.04878 7,880,800 2,369,005
Allegro Clo Ix Ltd / Allegro Clo Ix FRN 6.733867% 0.04841 2,350,000 2,351,031
CIM TRUST 1.951% 0.04651 2,517,907 2,258,992
Oaktree CLO 2019-1 Ltd. 6.69617% 0.04536 2,200,000 2,203,084
United States Treasury Bills 0% 0.04536 2,220,000 2,203,264
Dryden 59 Euro CLO 2017 B.V. 4.578% 0.04527 2,054,021 2,198,963
BENEFIT STREET PARTNERS CLO XVII LTD 6.67017% 0.04432 2,150,000 2,152,848
Cedar Funding V Clo Ltd 6.67868% 0.04368 2,119,822 2,121,769
Saranac Clo Vi Limited/Llc 6.74841% 0.04276 2,069,975 2,076,955
Madison Park Funding Limited 6.55648% 0.04243 2,059,791 2,060,821
Home Equity Asset Trust 6.13471% 0.04162 2,097,046 2,021,274
JP Morgan Alt 6 A7 5.91971% 0.04145 2,294,236 2,013,311
Carbone CLO, Limited / Carbone CLO LLC 6.72617% 0.04125 2,001,971 2,003,683
Securitized Asset Backed Receivables Llc Trust 5.95971% 0.04122 3,858,624 2,002,000
Halseypoint Clo 3 Ltd / Llc 7.04111% 0.04121 2,000,000 2,001,677
Sound Point CLO XVIII Limited/LLC 6.70617% 0.04092 1,986,204 1,987,495
Kkr Clo 18 Ltd/Kkr Clo 18 Llc 6.52854% 0.04060 1,968,985 1,971,865
VENTURE XXIX CLO LTD 6.57399% 0.04058 1,970,293 1,970,786
Gsamp Tr 2007-He2 5.82971% 0.04015 2,499,717 1,950,247
BSST 2022-1700 MORTGAGE TRUST 6.629% 0.04011 2,200,000 1,948,302
Avoca CLO XIV Designated Activity Company 4.722% 0.04001 1,810,405 1,943,046
Ares European CLO X Designated Activity Company 4.686% 0.03927 1,778,174 1,907,188
LCM 29 LTD 6.66017% 0.03913 1,900,000 1,900,475
Popular Abs Mtg 07 5.76971% 0.03908 2,067,867 1,897,883
Lehman Abs Mfg Hsg 7.17% 0.03866 2,090,545 1,877,555
Madison Park Funding Xxxv Ltd/Llc 6.57617% 0.03816 1,850,000 1,853,673
Dryden 80 CLO Ltd/Dryden 80 CLO LLC 6.56707% 0.03812 1,850,000 1,851,256
Indymac Indx Mtg 5.83971% 0.03634 2,101,701 1,765,030
Voya CLO 2014-4 Ltd 6.69017% 0.03623 1,757,811 1,759,574
Countrywide Alternative loan Trust 5.63315% 0.03623 2,292,702 1,759,459
CIFC Funding 6.77868% 0.03601 1,747,652 1,749,201
United States Treasury Bills 0% 0.03501 1,722,000 1,700,277
CBAM 2017-1 LTD 6.83617% 0.03393 1,647,426 1,647,844
Voya CLO Limited 6.52868% 0.03338 1,619,295 1,621,484
CBAM 2019-10 LTD 6.70617% 0.03298 1,600,000 1,601,974
Lcm Xxvi Ltd/Lcm Xxvi Llc 6.65617% 0.03125 1,516,394 1,518,020
Ares European Clo VI Designated Activity Company 4.516% 0.03114 1,411,790 1,512,534
Sound Point CLO XXII Ltd/LLC 6.66617% 0.03094 1,500,000 1,502,619
Carlyle Global Market Strategies CLO 2012-2, Ltd. 6.66617% 0.03092 1,500,000 1,501,725
Dryden 57 Clo Ltd 6.59399% 0.03052 1,481,625 1,482,337
GSAMP Trust 2006-SD3 5.97971% 0.03048 1,616,384 1,480,464
Oak Hill European Credit Partners IV DAC 4.627% 0.03025 1,370,163 1,469,206
Securitized Asset Backed Receivables Llc Trust 5.71971% 0.02990 1,630,240 1,452,135
Wells Fargo Home Equity Asset Backed Securities 2005-3 Trust 7.85971% 0.02967 1,460,000 1,441,136
RAD CLO 5 LTD 6.70455% 0.02886 1,400,000 1,401,826
MF1 2020-FL4 LTD 7.14332% 0.02852 1,385,858 1,385,443
Bear Stearns Asset Backed Secs 1 Tr 6.40971% 0.02790 1,443,773 1,354,864
Invesco Euro Clo Iii Designated Activity Company 4.826% 0.02651 1,200,000 1,287,704
KKR Finan Clo 07-1 6.54017% 0.02640 1,280,579 1,282,378
United States Treasury Bills 0% 0.02588 1,264,000 1,257,015
Bear Stearns 07-1 4.32149% 0.02581 2,597,038 1,253,536
CWABS Asset-Backed Certificates Trust 2007-6 5.65971% 0.02571 1,423,105 1,248,726
Alliance Bancorp Tr 5.93971% 0.02545 1,482,494 1,236,075
Wind River Clo I Ltd/Corp 6.63854% 0.02536 1,230,462 1,231,556
Indymac Indb 06-1 5.59971% 0.02496 3,837,409 1,212,123
Jyske Realkredit A/S 2% 0.02470 10,274,499 1,199,607
Home Equity Mortgage Loan Asset-Backed Trust Series INDS 2006-A 5.67971% 0.02380 1,555,689 1,155,920
American Home Mortgage Asset Trust 6.07277% 0.02362 4,603,823 1,147,324
Nordea Kredit Realkreditaktieselskab 1.5% 0.02334 9,916,308 1,133,758
ACAS CLO 2015-1 Ltd. 6.47854% 0.02322 1,126,783 1,127,676
New Century Home Equity Loan Trust 2005-1 6.22471% 0.02313 1,167,878 1,123,616
United States Treasury Bonds 0.75% 0.02056 1,331,520 998,500
Cent CLO 21 Limited 6.55648% 0.02031 985,917 986,574
GS Mortgage Securities Corp 6.43471% 0.02002 1,046,501 972,510
HSI Asset Securitization Corporation Trust 5.99971% 0.01987 987,022 965,116
Lehman Xs Trust 5.77971% 0.01793 1,021,842 870,639
VMware Inc 3.9% 0.01779 900,000 863,818
Strctrd Asset Invt 6.17971% 0.01763 846,317 856,305
Jubilee CLO 2016-XVII Designated Activity Company 4.556% 0.01757 800,000 853,421
Struct Asset Mtg 5.89971% 0.01736 2,474,718 843,184
Greywolf Clo V Ltd/ Llc 6.74516% 0.01686 818,319 819,081
Wamu Mortgage Pass-Through CTFS TR 5.89277% 0.01670 938,168 811,193
CSMC Mortgage-Backed Trust 6.4205% 0.01579 1,304,225 766,963
Csmc Ser 2015-3r 5.60971% 0.01556 777,494 755,986
United States Treasury Bills 0% 0.01492 733,000 724,516
Indymac Imsc Mtg 5.81971% 0.01490 1,118,457 723,531
Voya CLO 2017-2 Ltd./Voya CLO 2017-2 LLC 6.57017% 0.01478 716,981 717,698
Novastar Mortgage Funding Trust 6.16471% 0.01438 705,983 698,575
United States Treasury Bills 0% 0.01432 700,000 695,427
Cwalt Alt 2006-J8 5.81971% 0.01393 745,574 676,459
United States Treasury Bills 0% 0.01308 638,000 635,121
First Horizon Alternative Mortgage Securities Trust 6% 0.01291 1,609,090 627,040
Citigroup Mortgage Loan Trust 5.91971% 0.01268 924,053 615,708
Nordea Kredit Realkreditaktieselskab 2% 0.01225 5,094,872 594,891
Federal National Mortgage Association 4.5% 0.01206 620,806 585,985
RALI Series QH1 Trust 5.83971% 0.01200 684,598 582,846
RASC Series 2006-EMX7 Trust 5.93971% 0.01175 624,096 570,814
Argent Secs Inc 5.77971% 0.01174 2,365,556 570,076
Harborview Mtg Loan Trust 5.95315% 0.01163 930,435 564,971
Residential Fdg I 5.32218% 0.01099 831,723 533,746
Elevation Clo 2017-8 LTD/Elevation Clo 2017-8 LLC 6.53516% 0.01076 522,127 522,589
State Street Overnight Rate Aud 0.01028 747,932 499,506
Ozlm Xi Ltd./Llc. 6.84111% 0.01013 490,902 491,955
ML Mtg Bkd Secs Tr 4.20884% 0.01011 587,571 491,111
United States Treasury Bonds 0.875% 0.01005 649,455 488,209
UBS Group AG 7.75% 0.00998 400,000 484,596
MASTR Asset Backed Securities Trust 5.75971% 0.00990 1,464,613 480,895
Avolon Holdings Funding Ltd. 2.528% 0.00986 532,000 478,750
Jyske Realkredit A/S 1.5% 0.00967 4,289,962 469,487
Nordea Kredit Realkreditaktieselskab 1.5% 0.00964 4,278,039 468,039
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 2.75% 0.00961 496,233 466,619
Bcap Llc Tr 06-Aa2 5.79971% 0.00926 513,925 449,760
Indymac MBS Inc 5.5% 0.00925 722,642 449,454
Wamu Mortgage Pass-Through CTFS TR 4.42224% 0.00923 548,794 448,418
Realkredit Danmark A/S 2% 0.00919 4,145,167 446,251
Oak Hill European Credit Partners IV DAC 4.627% 0.00907 411,049 440,762
UBS Group AG 4.923% 0.00886 400,000 430,174
United States Treasury Bonds 0.625% 0.00886 572,788 430,569
Apidos Clo Xvi 6.48854% 0.00883 428,303 428,732
Oak Hill European Credit Partners VI Designated Activity Company 4.627% 0.00870 394,559 422,653
Bcap Llc Trust 4.50218% 0.00861 495,088 418,241
OZLM Funding IX Ltd./LLC 6.52456% 0.00850 412,485 412,732
Fremont Home Loan Trust 5.72971% 0.00823 457,091 399,549
Structured Asset Mortgage Investments II Trust 5.95315% 0.00822 429,039 399,366
UBS Group AG 0.65% 0.00817 400,000 396,734
Venture Xxvi Clo Ltd 6.68617% 0.00816 395,617 396,404
Chase Mortgage Financial Trust 4.67511% 0.00804 425,079 390,501
Wamu Mortgage Pass-Through CTFS TR 6.65277% 0.00783 437,986 380,206
Carlyle Euro Clo 2017-2 Designated Activity Co. 4.458% 0.00776 351,183 376,747
United States Treasury Bonds 0.25% 0.00768 609,790 372,781
PALMER SQUARE LOAN FUNDING LTD 6.39017% 0.00762 369,901 370,066
Cwalt Incorporation 5% 0.00743 663,969 360,674
Chase Mortgage Financial Trust 5.5% 0.00718 789,496 348,533
Structured Adj Rate Mtg Loan Trust 5.77971% 0.00708 377,011 343,643
Wamu Mortgage Pass-Through CTFS TR 4.37166% 0.00708 416,773 344,070
GS Mortgage Securities Corp 4.45478% 0.00690 414,228 335,167
Morgan Stanley ML 6.40951% 0.00673 1,472,168 326,990
France (Republic Of) 0.1% 0.00669 352,371 324,980
Nordea Kredit Realkreditaktieselskab 1.5% 0.00664 3,300,000 322,637
STIF FUND (JPY) (SSKC) 0.00654 51,088,930 317,599
Fnma Pass-Thru I 4.5% 0.00645 331,798 313,384
STIF FUND (CAD) 0.00636 422,931 309,081
Morgan Stanley ABS Capital I Inc 5.51971% 0.00624 345,504 303,070
Residential Accredit Loans Inc 5.75971% 0.00622 414,324 302,169
Luminent Mtg 06-6 5.85971% 0.00611 343,026 296,934
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 6.82601% 0.00531 285,859 257,997
Rfmsi Series 2007-S6 Trust 6% 0.00531 343,660 258,003
Atlas Senior Loan Fund X Ltd/Llc 6.68017% 0.00523 253,664 253,925
UBS Group AG 6.373% 0.00517 250,000 251,268
Apidos Clo Xxvii 6.50868% 0.00507 245,876 246,197
Harborview Mtg Loan Trust 5.89315% 0.00505 263,933 245,365
JP Morgan Mortgage Trust 5.82431% 0.00495 345,951 240,541
Bear Stearns Arm Trust 4.91222% 0.00487 282,344 236,423
Chase Mtg Fin Corp 4.35966% 0.00474 297,279 230,012
Csmc Mtg Bkd Trust 5.53186% 0.00470 271,522 228,458
Federal National Mortgage Association 5.89483% 0.00468 230,278 227,102
Resident Asset Sec 6.5% 0.00458 640,364 222,487
CIFC Funding 2017-II, Ltd. 6.53617% 0.00450 218,064 218,372
Indymac MBS Inc 5.14871% 0.00423 218,866 205,360
Bear Stearns Alternative A Trust 5.77971% 0.00421 223,951 204,565
Residential Accredit Loans Inc 0% 0.00418 245,942 203,064
Eversource Energy 2.9% 0.00409 200,000 198,541
Indymac Indx Mtg 5.85971% 0.00409 222,069 198,485
GSAA Home Equity Trust 6.05971% 0.00397 507,404 193,030
CHL Mortgage Pass-Through Trust 4.4251% 0.00383 216,387 185,791
Adjustable Rate Mortgage Trust 5.59995% 0.00372 213,500 180,727
United States Treasury Bills 0% 0.00365 179,000 177,460
Wells Fargo Mortgage Backed Secs 6.16989% 0.00342 178,958 166,124
Sequoia Mtg Trust 4.8981% 0.00341 239,923 165,679
Wamu Mortgage Pass-Through CTFS TR 6.15277% 0.00333 177,266 161,590
Residential Fdg I 6.5% 0.00326 167,890 158,226
Morgan Stanley ML 6.17971% 0.00316 578,795 153,433
Deutsche Alt-A Secs Inc 5.5% 0.00315 187,766 152,895
Bear Stearns Arm Trust 6.22788% 0.00311 160,385 151,215
Countrywide Alternative loan Trust 5.64815% 0.00309 175,091 149,842
ML Alt Nt Asset Tr 6.05971% 0.00308 618,752 149,599
Residential Accredit Loans Inc 4.23263% 0.00305 391,175 148,250
Cwalt Incorporation 6.15277% 0.00302 180,275 146,517
Nykredit Realkredit A/S 1.5% 0.00300 1,494,547 145,952
Crestline Denali Clo Xvi Ltd 6.70617% 0.00279 135,170 135,373
JP Morgan Mortgage Trust 4.14987% 0.00274 147,970 133,283
CWMBS Inc 6% 0.00261 263,661 126,556
Soundview Home Loan Trust 5.57971% 0.00242 425,232 117,716
Citigroup Mortgage Loan Trust 4.18604% 0.00237 189,300 115,255
Cwalt Incorporation 4.62493% 0.00237 131,067 115,337
Indymac MBS Inc 3.97903% 0.00235 143,895 113,955
Indymac MBS Inc 6.01971% 0.00232 160,148 112,455
STIF FUND (NZD) 0.00227 180,842 110,196
CitiMortgage Alternative Loan Trust 6% 0.00225 132,475 109,445
Merrill Lynch Alternative Note Asset Trust Series 2007-AF1 4.77761% 0.00211 211,814 102,495
Merrill Lynch Mortgage Investors, Inc. 5.22613% 0.00209 109,269 101,615
Banc America Mortgage Securitites Inc 5.54624% 0.00206 110,065 100,119
MASTR Asset Backed Securities Trust 5.93971% 0.00203 243,321 98,590
Adjustable Rate Mortgage Trust 5.60377% 0.00201 105,339 97,560
Structured Adj Rate Mtg Loan Trust 5.2688% 0.00200 188,185 97,147
Banc America Mortgage Securitites Inc 5.07287% 0.00197 111,335 95,827
Alternative Loan Trust 6.44366% 0.00193 179,276 93,977
CIM TRUST 6.44983% 0.00177 87,646 85,787
Bear Stearns Alternative A Trust 4.98416% 0.00175 146,893 84,851
Banc America Funding Trust 4.78822% 0.00171 99,630 83,230
Washington Mut Mtg 6.5% 0.00169 104,673 82,116
GS Mortgage Securities Corp 4.968% 0.00164 154,860 79,845
Chase Mortgage Financial Trust 4.64204% 0.00151 80,302 73,580
Bear Stearns Arm Trust 4.81853% 0.00150 82,800 72,913
JP Morgan Mortgage Trust 4.98731% 0.00150 91,738 72,868
CHL Mortgage Pass-Through Trust 5.5% 0.00141 72,359 68,379
Wamu Mortgage Pass-Through CTFS TR 4.17142% 0.00140 82,628 67,917
Structured Asset Mortgage Investments Inc 5.83971% 0.00140 70,676 68,044
Cwalt Incorporation 5.5% 0.00137 95,036 66,474
American Home Mortgage Asset Trust 5.64971% 0.00132 79,068 64,150
Wamu Mortgage Pass-Through CTFS TR 6.13277% 0.00132 72,510 64,044
Cwalt Alt 2007-1t1 6% 0.00132 180,122 64,351
Wachovia Mortgage Loan Trust LLC 3.89223% 0.00130 70,122 62,976
Merrill Lynch Mortgage Investors, Inc. 4.34025% 0.00129 75,379 62,556
GS Mortgage Securities Corp 5.05489% 0.00129 67,663 62,619
JP Morgan Mtg Acc 5.66971% 0.00121 59,500 58,545
Bear Stearns Alternative A Trust 6.19748% 0.00120 63,725 58,043
NEW RESIDENTIAL MORTGAGE LOAN TRUST 4.5% 0.00120 60,771 58,356
Rfmsi Series 2007-S6 Trust 6% 0.00117 75,541 56,712
Cwalt Incorporation 5.87971% 0.00116 65,412 56,193
STIF FUND (SEK) 0.00110 566,751 53,517
Banc Americ 2006-J 5.01992% 0.00107 62,167 51,820
JP Morgan Mortgage Trust 5.09321% 0.00102 64,680 49,731
Banc of America Funding Corporation 6.03315% 0.00100 56,037 48,522
Merrill Lynch Mortgage Investors, Inc. 4.90213% 0.00098 61,223 47,726
Wamu Mortgage Pass-Through CTFS TR 4.24636% 0.00092 51,505 44,895
Indymac MBS Inc 4.76984% 0.00089 48,971 43,122
Federal Home Loan Mortgage Corp. 7.036% 0.00080 38,625 38,966
Wamu Mortgage Pass-Through CTFS TR 6.35277% 0.00080 42,127 38,972
Harborview Mtg L04 5.83315% 0.00076 45,412 37,146
Midocean Credit CLO II / LLC 6.61648% 0.00076 36,708 36,765
Deutsche Alt-B Sec Mtg Ln 2006-Ab4 5.55971% 0.00075 47,062 36,575
JP Morgan Mortgage Trust 5.60094% 0.00071 36,729 34,531
Federal Home Loan Mortgage Corp. 6.3% 0.00070 33,950 34,075
Stwd 2019-Fl1 LTD/LLC 6.52332% 0.00068 33,199 33,075
Federal National Mortgage Association 6.16481% 0.00068 33,876 33,226
CWMBS Inc 5.5% 0.00059 52,647 28,523
Citigroup Mortgage Loan Trust 5.53971% 0.00056 38,367 27,220
Citigroup Mortgage Loan Trust 7.41% 0.00045 23,152 21,902
CWMBS Inc 6.09971% 0.00045 23,890 22,040
Venture XVII CLO Ltd/Llc 6.47017% 0.00040 19,298 19,305
Wamu Mortgage Pass-Through CTFS TR 5.84982% 0.00039 20,573 18,980
Citigroup Mortgage Loan Trust 7.86% 0.00039 21,138 18,933
Cwalt Incorporation 6.5% 0.00038 18,918 18,350
Bear Stearns Arm Trust 8.25003% 0.00037 19,668 18,159
Harborview Mtg Loan Trust 6.03461% 0.00036 18,523 17,577
Realkredit Danmark A/S 2% 0.00035 147,075 17,169
Great Hall Mortgages No.1 PLC 5.4538% 0.00033 12,810 16,137
JP Morgan Mortgage Trust 6.06996% 0.00028 14,064 13,666
Bank of America Corp. 5.55767% 0.00018 9,530 8,655
Nordea Kredit Realkreditaktieselskab 1% 0.00018 80,212 8,785
Bear Stearns Arm Trust 6.63994% 0.00017 9,277 8,309
Citigroup Mortgage Loan Trust 6.83% 0.00016 8,396 7,912
ACE Securities Corp Home Equity Loan Trust Series 2007-SL2 5.57971% 0.00014 17,840 6,665
Sequoia Mtg Trust 6.15315% 0.00013 6,604 6,288
Structured Asset M 5.87971% 0.00010 5,903 5,088
Merrill Lynch Mtg Inv Trust 5.67121% 0.00010 5,174 4,950
CWMBS Inc 3.68137% 0.00010 5,550 5,082
Wells Fargo Mortgage Backed Secs 6.47755% 0.00007 3,661 3,381
STIF FUND (BRL) 0.00005 14,284 2,572
Nykredit Realkredit A/S 2% 0.00005 19,308 2,253
Nykredit Realkredit A/S 1% 0.00004 18,691 1,926
Jyske Realkredit A/S 2.5% 0.00003 9,985 1,319
STATE STREET STIF FUND (GBP) 0.00002 603 762
STIF FUND (CHF) 0.00002 885 985
Realkredit Danmark A/S 2.5% 0.00002 8,081 1,068
Nykredit Realkredit A/S 2.5% 0.00002 8,604 1,136
STIF FUND (ILS) 0.00001 961 255
Jyske Realkredit A/S 0.5% 0.00001 5,507 630
Nordea Kredit Realkreditaktieselskab 2.5% 0.00001 2,038 269
STIF FUND (PLN) 0.00000 97 24
STIF FUND (MXN) 0.00000 645 35
STIF FUND (SGD) 0.00000 153 113
Nykredit Realkredit A/S 1% 0.00000 340 37
RFR EUR ESTRON/3.47500 02/26/24-1Y LCH Receive 21.17242 959,500,000 1,028,344,585
Cash Offset 12.35028 599,853,152 599,853,152
IRS EUR 2.75000 09/18/24-10Y LCH Receive 12.17953 554,100,000 591,559,902
EUROPEAN MONETARY UNION EURO Purchased 7.89164 357,228,038 383,296,754
JAPANESE YEN Purchased 6.32630 51,539,248,147 307,268,386
JAPANESE YEN Purchased 5.88114 46,200,771,059 285,646,717
IRS EUR 2.50000 09/18/24-30Y LCH Receive 3.82847 173,500,000 185,948,708
RFRF USD SOFR/2.30000 11/15/23-5Y LCH Receive 3.79922 201,300,000 184,527,885
RFR USD SOFR/3.08500 02/13/24-10Y LCH Receive 3.38179 176,500,000 164,253,512
INF SWAP US IT 1.79375 08/24/20-7Y LCH Receive 2.15638 90,200,000 104,735,400
INF SWAP US IT 1.9975 07/25/19-10Y LCH Receive 1.97241 95,800,000 95,800,000
RFR USD SOFR/2.86500 02/13/24-30Y LCH Receive 1.82211 88,500,000 88,500,000
INF SWAP US IT 2.51 09/08/23-1Y LCH Receive 1.23945 60,200,000 60,200,000
RFR JPY MUTK/0.55000 09/14/23-5Y LCH Receive 1.19801 9,360,000,000 58,187,244
RFR USD SOFR/4.25000 12/20/23-2Y LCH Receive 1.15956 56,320,000 56,320,000
INF SWAP EM NI 2.57 06/15/22-10Y LCH Receive 1.01083 45,400,000 49,095,938
INF SWAP US IT 1.89 08/27/20-7Y LCH Receive 0.95288 40,100,000 46,281,228
IRO EUR 2Y P 2.80000 L 09/01/25 GST 0.89066 86,700,000 43,259,130
RFR USD SOFR/3.75724 06/03/24-9Y* LCH Receive 0.88944 43,200,000 43,200,000
IRS EUR 2.63492 06/10/24-9Y* LCH Receive 0.83723 37,942,000 40,664,357
BRAZILIAN REAL-NDF Purchased 0.78691 213,000,000 38,220,029
INF SWAP US IT 2.31125 02/24/21-10Y LCH Receive 0.78504 34,100,000 38,129,453
CANADIAN DOLLAR Purchased 0.75104 49,910,433 36,477,907
INF SWAP EM NI 1.38 03/15/21-10Y LCH Receive 0.70832 32,100,000 34,403,190
INF SWAP US IT 1.954 06/03/19-10Y LCH Receive 0.66605 32,350,000 32,350,000
INF SWAP US IT 2.335 02/05/18-10Y LCH Receive 0.66131 32,120,000 32,120,000
IRS EUR 2.91510 06/12/23-9Y* LCH Receive 0.65338 29,400,000 31,734,829
SOUTH KOREA WON-NDF Purchased 0.63444 42,267,926,164 30,814,686
INDIAN RUPEE-INR-NDF Purchased 0.61167 2,479,903,856 29,708,926
TAIWANESE DOLLAR-NDF Purchased 0.60851 951,355,314 29,555,543
RFR USD SOFR/3.50000 06/20/24-30Y CME Receive 0.60737 29,500,000 29,500,000
RFR JPY MUTK/0.50000 12/15/21-10Y LCH Receive 0.59913 4,681,000,000 29,099,838
IRO FWD EUR 2Y P 2.95000 L 09/15/25 CBK 0.55314 63,900,000 26,866,114
INF SWAP US IT 2.7675 05/13/21-5Y LCH Receive 0.55004 24,600,000 26,715,350
RFRF USD SOFR/2.28500 11/15/23-30Y LCH Receive 0.53943 26,200,000 26,200,000
IRO EUR 2Y P 2.46500 L 12/04/25 GLM 0.53877 42,400,000 26,167,831
IRS EUR 1.00000 05/13/22-5Y LCH Receive 0.52508 25,200,000 25,503,220
INF SWAP US IT 1.7975 08/25/20-7Y LCH Receive 0.51860 21,700,000 25,188,234
CHINESE - YUAN RENMINBI (CNH) Purchased 0.50720 176,593,151 24,634,495
IRS EUR 0.65000 04/12/22-5Y LCH Receive 0.44838 21,700,000 21,777,604
INF SWAP EM NI 2.6 05/15/22-10Y LCH Receive 0.43075 19,100,000 20,921,556
INF SWAP EM NI 2.356 11/15/23-10Y LCH Receive 0.42808 19,400,000 20,791,959
RFRF USD SOFR/2.34000 11/21/23-5Y LCH Receive 0.42680 22,580,000 20,729,549
SWISS FRANCS Purchased 0.41867 18,181,069 20,334,746
SOUTH AFRICAN RAND Purchased 0.41769 369,129,935 20,287,183
RFRF USD SOFR/2.23650 11/21/23-30Y LCH Receive 0.41384 20,100,000 20,100,000
POLISH ZLOTY Purchased 0.40208 79,789,910 19,529,158
IRS EUR 0.19700 11/08/22-30Y LCH Receive 0.38616 17,500,000 18,755,633
IRO EUR 2Y P 2.90000 L 08/29/25 GLM 0.37237 40,200,000 18,086,049
INF SWAP US IT 2.364 05/10/18-10Y LCH Receive 0.32448 15,760,000 15,760,000
INF SWAP EM NI 3.0 05/15/22-5Y LCH Receive 0.32189 14,300,000 15,634,233
RFR JPY MUT+5.89/0.3000 09/20/17-10Y LCH Receive 0.31934 2,495,000,000 15,510,382
INF SWAP US IT 2.36 05/09/18-10Y LCH Receive 0.31830 15,460,000 15,460,000
AUSTRALIAN DOLLARS Purchased 0.31463 22,915,806 15,281,661
IRS EUR 0.65000 05/11/22-5Y LCH Receive 0.30532 14,800,000 14,829,232
INF SWAP US IT 2.165 04/16/19-10Y LCH Receive 0.29442 14,300,000 14,300,000
INF SWAP EM NI 2.359 08/15/22-8Y LCH Receive 0.28050 12,400,000 13,623,763
BRAZILIAN REAL-NDF Purchased 0.27879 68,700,000 13,540,684
INF SWAP EM NI 3.13 05/15/22-5Y LCH Receive 0.27504 12,300,000 13,358,479
INF SWAP EM NI 2.72 06/15/22-10Y LCH Receive 0.26969 12,300,000 13,098,785
INF SWAP EM NI 2.39 11/15/23-10Y LCH Receive 0.24935 11,300,000 12,110,780
INF SWAP EM NI 2.68 04/15/23-30Y LCH Receive 0.24714 11,200,000 12,003,605
INF SWAP EM NI 2.59 03/15/22-30Y LCH Receive 0.24273 11,000,000 11,789,255
INF SWAP EM NI 2.3625 11/15/23-10Y LCH Receive 0.24052 10,900,000 11,682,080
IRS EUR 0.70000 04/11/22-5Y LCH Receive 0.23793 11,500,000 11,556,162
INF SWAP EM NI 2.763 09/15/23-30Y LCH Receive 0.23611 10,700,000 11,467,730
MEXICAN NUEVO PESO Purchased 0.23579 219,053,009 11,452,418
IRS EUR 1.00000 05/18/22-5Y LCH Receive 0.23332 11,200,000 11,332,373
INF SWAP US IT 2.69 06/01/21-5Y LCH Receive 0.23298 10,400,000 11,315,997
INF SWAP EM NI 2.47 07/15/22-10Y LCH Receive 0.22257 9,900,000 10,810,450
INF SWAP US IT 2.813 05/14/21-5Y LCH Receive 0.21863 9,800,000 10,618,891
INF SWAP US IT 2.703 05/25/21-5Y LCH Receive 0.21484 9,590,000 10,434,896
INF SWAP US IT 2.3525 05/09/18-10Y LCH Receive 0.21145 10,270,000 10,270,000
INF SWAP EM NI 2.59 12/15/22-30Y LCH Receive 0.19859 9,000,000 9,645,754
IRS EUR 0.19500 11/04/22-30Y LCH Receive 0.19749 8,950,000 9,592,167
INF SWAP FR NI 1.6175 07/15/18-10Y LCH Receive 0.19330 8,760,000 9,388,534
SINGAPORE DOLLARS Purchased 0.19282 12,683,149 9,365,103
DANISH KRONER Purchased 0.19173 64,823,850 9,312,512
IRS EUR 0.19000 11/04/22-30Y LCH Receive 0.18977 8,600,000 9,217,054
INF SWAP US IT 2.41875 03/05/21-5Y LCH Receive 0.18470 8,100,000 8,971,085
NEW ZEALAND DOLLAR Purchased 0.16120 12,891,124 7,829,579
CHINESE - YUAN RENMINBI (CNH) Purchased 0.13155 45,750,175 6,389,556
INF SWAP EM NI 1.71 03/15/18-15Y LCH Receive 0.13148 5,200,000 6,385,816
INF SWAP FR NI 1.91 01/15/18-20Y LCH Receive 0.12357 5,600,000 6,001,803
INF SWAP EM NI 2.736 10/15/23-30Y LCH Receive 0.12136 5,500,000 5,894,628
INF SWAP EM NI 2.7 04/15/23-30Y LCH Receive 0.11254 5,100,000 5,465,927
BRAZILIAN REAL-NDF Purchased 0.10662 29,647,811 5,178,350
INF SWAP EM NI 2.58 03/15/22-30Y LCH Receive 0.09047 4,100,000 4,394,177
BRAZILIAN REAL-NDF Purchased 0.08663 24,205,114 4,207,458
IRS EUR 0.55000 08/10/22-2Y LCH Receive 0.08351 3,800,000 4,055,858
INF SWAP EM NI 2.5475 11/15/23-30Y LCH Receive 0.07530 3,500,000 3,657,419
INF SWAP EM NI 2.682 10/15/23-30Y LCH Receive 0.07502 3,400,000 3,643,952
INF SWAP EM NI 2.421 05/15/22-30Y LCH Receive 0.07348 3,330,000 3,568,929
RFR JPY MUT+5.89/0.3000 03/20/18-10Y LCH Receive 0.07276 568,470,000 3,533,943
INF SWAP EM NI 2.55 04/15/22-30Y LCH Receive 0.06620 3,000,000 3,215,251
INF SWAP EM NI 2.62 11/15/23-30Y LCH Receive 0.06519 3,100,000 3,166,256
MEXICAN NUEVO PESO Purchased 0.05859 52,723,660 2,845,750
VM CASH FUT DOM BOS USD 0.05800 2,816,863 2,816,863
Discovery Communications, LLC 0% 0.05646 2,750,000 2,742,350
Canadian Natural Resources Limited 0% 0.05231 2,550,000 2,540,469
Crown Castle Inc. 0% 0.05138 2,500,000 2,495,613
Intel Corporation 0% 0.04934 2,400,000 2,396,382
AUSTRALIAN DOLLARS Purchased 0.04780 3,490,000 2,321,782
Intel Corporation 0% 0.04625 2,250,000 2,246,269
BRITISH POUND STERLING Purchased 0.04562 1,754,000 2,215,689
INF SWAP EM NI 1.95 11/15/18-30Y LCH Receive 0.04457 2,020,000 2,164,936
Southern California Edison Company 0% 0.04321 2,100,000 2,098,690
KEURIG DR PEPPER INC 0% 0.03592 1,750,000 1,744,400
Alimentation Couche-Tard Inc. 0% 0.03395 1,650,000 1,648,741
Crown Castle Inc. 0% 0.03378 1,650,000 1,640,919
NextEra Energy Capital Holdings Inc 0% 0.03169 1,550,000 1,538,977
INDONESIAN RUPIAH-NDF Purchased 0.03074 24,519,924,231 1,493,219
Southern California Edison Company 0% 0.02984 1,450,000 1,449,322
VM CASH CCP LCH MSC USD 0.02771 1,345,887 1,345,887
ISRAELI SHEKEL Purchased 0.02739 4,930,279 1,330,422
ISRAELI SHEKEL Purchased 0.02584 4,808,071 1,254,894
Huntington Ingalls Industries, Inc. 0% 0.02469 1,200,000 1,199,238
Alimentation Couche-Tard Inc. 0% 0.02361 1,150,000 1,146,813
Constellation Energy Generation LLC 0% 0.02261 1,100,000 1,097,973
NextEra Energy Capital Holdings Inc 0% 0.02261 1,100,000 1,097,999
Crown Castle Inc. 0% 0.02253 1,100,000 1,094,303
FIXED INC CLEARING CORP REPO (FICC) 0.02071 1,005,855 1,005,855
Southern California Edison Company 0% 0.02056 1,000,000 998,437
L3 Harris Technologies Inc 0% 0.02055 1,000,000 998,031
VM CASH CCP LCH MSC EUR 0.02022 916,364 982,114
NextEra Energy Capital Holdings Inc 0% 0.01953 950,000 948,417
NextEra Energy Capital Holdings Inc 0% 0.01953 950,000 948,562
Crown Castle Inc. 0% 0.01952 950,000 948,027
GLOBAL PMTS INC 0% 0.01852 900,000 899,553
Intel Corporation 0% 0.01846 900,000 896,597
TARGA RES CORP 0% 0.01846 900,000 896,447
VM CASH CCP CME MSC USD 0.01778 863,441 863,441
Conagra Brands Inc 0% 0.01747 850,000 848,523
KEURIG DR PEPPER INC 0% 0.01641 800,000 796,818
L3 Harris Technologies Inc 0% 0.01641 800,000 796,818
Southern California Edison Company 0% 0.01438 700,000 698,467
L3 Harris Technologies Inc 0% 0.01437 700,000 697,976
Constellation Brands, Inc. 0% 0.01437 700,000 697,975
L3 Harris Technologies Inc 0% 0.01436 700,000 697,434
NextEra Energy Capital Holdings Inc 0% 0.01431 700,000 695,131
Marathon Oil Corporation 0% 0.01337 650,000 649,274
VW Credit, Inc. 0% 0.01335 650,000 648,217
NextEra Energy Capital Holdings Inc 0% 0.01233 600,000 598,817
Intel Corporation 0% 0.01232 600,000 598,188
Alimentation Couche-Tard Inc. 0% 0.01129 550,000 548,390
TARGA RES CORP 0% 0.01128 550,000 548,109
VW Credit, Inc. 0% 0.01123 550,000 545,404
AUSTRALIAN DOLLARS Purchased 0.01113 807,000 540,803
INDONESIAN RUPIAH-NDF Purchased 0.01099 8,719,868,439 534,007
VM CASH CCP LCH MSC JPY 0.01057 82,562,354 513,256
Constellation Brands, Inc. 0% 0.01028 500,000 499,203
Constellation Brands, Inc. 0% 0.01027 500,000 498,635
Alimentation Couche-Tard Inc. 0% 0.01027 500,000 498,926
Constellation Brands, Inc. 0% 0.01026 500,000 498,307
TARGA RES CORP 0% 0.01025 500,000 497,683
Constellation Brands, Inc. 0% 0.01025 500,000 498,060
Entergy Corp Disc Coml Paper 4 0% 0.01024 500,000 497,376
Marriott International, Inc. 0% 0.01022 500,000 496,444
VM CASH FUT FOR BOS AUD 0.01006 731,344 488,428
VM CASH FUT FOR BOS EUR 0.01006 455,729 488,428
Alimentation Couche-Tard Inc. 0% 0.00925 450,000 449,103
VW Credit, Inc. 0% 0.00925 450,000 449,182
Intercontinental Exchange Inc 0% 0.00924 450,000 448,743
Penske Truck Leasing Co LP / PTL Finance Corp. 0% 0.00924 450,000 449,025
Dominion Energy Inc 0% 0.00924 450,000 448,700
Penske Truck Leasing Co LP / PTL Finance Corp. 0% 0.00823 400,000 399,756
Bacardi-Martini Finance BV 0% 0.00822 400,000 399,233
VW Credit, Inc. 0% 0.00822 400,000 399,395
Alimentation Couche-Tard Inc. 0% 0.00822 400,000 399,388
Bacardi-Martini Finance BV 0% 0.00821 400,000 398,711
VW Credit, Inc. 0% 0.00821 400,000 398,965
Southern California Edison Company 0% 0.00821 400,000 398,724
Entergy Corp Disc Coml Paper 4 0% 0.00820 400,000 398,338
VW Credit, Inc. 0% 0.00820 400,000 398,465
Penske Truck Leasing Co LP / PTL Finance Corp. 0% 0.00817 400,000 396,678
Parker-Hannifin Corp. 0% 0.00816 400,000 396,242
Entergy Corp Disc Coml Paper 4 0% 0.00720 350,000 349,790
Entergy Corp Disc Coml Paper 4 0% 0.00718 350,000 348,929
Constellation Brands, Inc. 0% 0.00717 350,000 348,178
Marriott International, Inc. 0% 0.00716 350,000 347,891
Intercontinental Exchange Inc 0% 0.00617 300,000 299,767
Intercontinental Exchange Inc 0% 0.00617 300,000 299,488
Penske Truck Leasing Co LP / PTL Finance Corp. 0% 0.00617 300,000 299,492
Campbell Soup Company 0% 0.00617 300,000 299,858
Alimentation Couche-Tard Inc. 0% 0.00617 300,000 299,817
GLOBAL PMTS INC 0% 0.00616 300,000 298,992
Constellation Brands, Inc. 0% 0.00616 300,000 299,327
Intercontinental Exchange Inc 0% 0.00616 300,000 299,209
Intercontinental Exchange Inc 0% 0.00616 300,000 299,395
Intercontinental Exchange Inc 0% 0.00615 300,000 298,883
VW Credit, Inc. 0% 0.00614 300,000 298,239
Marriott International, Inc. 0% 0.00614 300,000 298,146
Intercontinental Exchange Inc 0% 0.00514 250,000 249,612
Constellation Brands, Inc. 0% 0.00514 250,000 249,881
Huntington Ingalls Industries, Inc. 0% 0.00514 250,000 249,881
Penske Truck Leasing Co LP / PTL Finance Corp. 0% 0.00514 250,000 249,732
MICROCHIP TECHNOLOGY INC. 0% 0.00514 250,000 249,457
Intercontinental Exchange Inc 0% 0.00513 250,000 248,992
VW Credit, Inc. 0% 0.00513 250,000 249,236
Constellation Brands, Inc. 0% 0.00513 250,000 248,988
AT&T Inc 0% 0.00513 250,000 249,359
Intercontinental Exchange Inc 0% 0.00513 250,000 249,186
Constellation Brands, Inc. 0% 0.00512 250,000 248,738
Constellation Brands, Inc. 0% 0.00512 250,000 248,864
L3 Harris Technologies Inc 0% 0.00512 250,000 248,810
KEURIG DR PEPPER INC 0% 0.00512 250,000 248,695
Bacardi-Martini Finance BV 0% 0.00511 250,000 248,044
VW Credit, Inc. 0% 0.00510 250,000 247,716
CANADIAN DOLLAR Purchased 0.00463 31,272 224,977
NORWEGIAN KRONER Purchased 0.00347 1,791,684 168,296
INF SWAP EM NI 2.4875 05/15/22-15Y LCH Receive 0.00265 120,000 128,610
DANISH KRONER Purchased 0.00263 61 127,595
SOUTH KOREA WON-NDF Purchased 0.00206 137,779,699 100,000
SOUTH KOREA WON-NDF Purchased 0.00205 137,379,530 99,446
MEXICAN NUEVO PESO Purchased 0.00183 1,627,000 88,956
SINGAPORE DOLLARS Purchased 0.00136 33 66,083
THAILAND BAHT Purchased 0.00103 1,835,100 50,116
CASH COLLATERAL CME MSC USD 0.00084 41,000 41,000
INDONESIAN RUPIAH-NDF Purchased 0.00062 492,360,000 30,000
NORWEGIAN KRONER Purchased 0.00004 19 2,146
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