PIMCO Long-Term Real Return Fund

Fund Profile

Fund profile

Tickers

PRAIX, PRTPX

Fund manager

Pimco Funds

Total assets

$711.34 mm

Liabilities

$290.51 mm

Net assets

$420.83 mm

Number of holdings

397.00

Top 200 of 397 Holdings

As of Sep 2024

Security	$Holding	Balance	% of Fund	Category	Position	Country
TSY INFL IX N/B 02/44 1.375	44.47 mm	48.71 mm principal	10.57	Debt	Long	USA
TSY INFL IX N/B 02/54 2.125	41.01 mm	39.39 mm principal	9.74	Debt	Long	USA
TSY INFL IX N/B 02/42 0.75	39.41 mm	47.23 mm principal	9.36	Debt	Long	USA
TSY INFL IX N/B 02/45 0.75	36.60 mm	45.73 mm principal	8.70	Debt	Long	USA
TSY INFL IX N/B 02/47 0.875	33.72 mm	41.94 mm principal	8.01	Debt	Long	USA
TSY INFL IX N/B 02/53 1.5	30.55 mm	33.75 mm principal	7.26	Debt	Long	USA
TSY INFL IX N/B 02/43 0.625	27.25 mm	33.91 mm principal	6.48	Debt	Long	USA
TSY INFL IX N/B 02/41 2.125	27.12 mm	25.89 mm principal	6.44	Debt	Long	USA
TSY INFL IX N/B 02/48 1	26.06 mm	31.68 mm principal	6.19	Debt	Long	USA
TSY INFL IX N/B 02/46 1	24.20 mm	29.00 mm principal	5.75	Debt	Long	USA
TSY INFL IX N/B 02/50 0.25	23.69 mm	35.65 mm principal	5.63	Debt	Long	USA
TSY INFL IX N/B 02/49 1	20.51 mm	25.11 mm principal	4.87	Debt	Long	USA
TSY INFL IX N/B 02/51 0.125	20.48 mm	32.39 mm principal	4.87	Debt	Long	USA
TSY INFL IX N/B 02/40 2.125	18.48 mm	17.70 mm principal	4.39	Debt	Long	USA
FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE	18.00 mm	18.30 mm principal	4.28	ABS-mortgage backed security	Long	USA
FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE	14.82 mm	14.50 mm principal	3.52	ABS-mortgage backed security	Long	USA
BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/25 1	14.78 mm	13.37 mm principal	3.51	Debt	Long	Italy
TSY INFL IX N/B 02/52 0.125	14.71 mm	23.61 mm principal	3.50	Debt	Long	USA
GNMA II TBA 30 YR 3.5 JUMBOS	10.90 mm	11.60 mm principal	2.59	ABS-mortgage backed security	Long	USA
FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE	9.58 mm	9.30 mm principal	2.28	ABS-mortgage backed security	Long	USA
FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE	7.99 mm	7.90 mm principal	1.90	ABS-mortgage backed security	Long	USA
JAPAN GOVT CPI LINKED BONDS 03/29 0.1	7.94 mm	1.10 bn principal	1.89	Debt	Long	Japan
GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H02 JF	6.70 mm	6.65 mm principal	1.59	ABS-mortgage backed security	Long	USA
BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/28 1	5.93 mm	5.28 mm principal	1.41	Debt	Long	Italy
MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A	5.74 mm	5.76 mm principal	1.36	ABS-collateralized bond/debt obligation	Long	Cayman Islands
FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE	5.53 mm	5.75 mm principal	1.31	ABS-mortgage backed security	Long	USA
BUONI POLIENNALI DEL TES SR UNSECURED REGS 05/26 0.65	5.29 mm	4.80 mm principal	1.26	Debt	Long	Italy
TSY INFL IX N/B 10/25 0.125	4.40 mm	4.49 mm principal	1.05	Debt	Long	USA
TSY INFL IX N/B 07/34 1.875	4.01 mm	3.91 mm principal	0.95	Debt	Long	USA
FHLMC MULTIFAMILY STRUCTURED P FHMS KBX1 A2	3.46 mm	3.50 mm principal	0.82	ABS-mortgage backed security	Long	USA
ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL4 A 144A	3.28 mm	3.28 mm principal	0.78	ABS-collateralized bond/debt obligation	Long	Cayman Islands
TSY INFL IX N/B 07/32 0.625	2.94 mm	3.14 mm principal	0.70	Debt	Long	USA
MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A	2.88 mm	2.88 mm principal	0.68	ABS-collateralized bond/debt obligation	Long	USA
BX TRUST BX 2022 FOX2 A2 144A	2.83 mm	2.88 mm principal	0.67	ABS-mortgage backed security	Long	USA
TSY INFL IX N/B 10/27 1.625	2.67 mm	2.65 mm principal	0.64	Debt	Long	USA
STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A	2.66 mm	2.68 mm principal	0.63	ABS-collateralized bond/debt obligation	Long	Cayman Islands
TSY INFL IX N/B 01/34 1.75	2.59 mm	2.56 mm principal	0.61	Debt	Long	USA
SAXON ASSET SECURITIES TRUST SAST 2006 2 M1	2.44 mm	2.59 mm principal	0.58	ABS-mortgage backed security	Long	USA
CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A	2.40 mm	2.36 mm principal	0.57	ABS-mortgage backed security	Long	USA
BABSON CLO LTD BABSN 2018 1A A1 144A	1.96 mm	1.96 mm principal	0.47	ABS-collateralized bond/debt obligation	Long	Cayman Islands
IRS EUR 0.19700 11/08/22-30Y LCH	1.91 mm	1.00 contracts	0.45	Interest rate derivative	N/A	N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 4 1A3	1.89 mm	2.45 mm principal	0.45	ABS-mortgage backed security	Long	USA
ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL3 A 144A	1.81 mm	1.82 mm principal	0.43	ABS-collateralized bond/debt obligation	Long	Cayman Islands
BSPDF 2021 FL1 ISSUER LTD BSPDF 2021 FL1 A 144A	1.73 mm	1.77 mm principal	0.41	ABS-collateralized bond/debt obligation	Long	Cayman Islands
TIAA CLO LTD TIA 2018 1A A1AR 144A	1.60 mm	1.60 mm principal	0.38	ABS-collateralized bond/debt obligation	Long	Cayman Islands
JAPAN GOVT CPI LINKED BONDS 03/28 0.1	1.37 mm	189.88 mm principal	0.32	Debt	Long	Japan
HOME EQUITY ASSET TRUST HEAT 2005 8 M2	1.30 mm	1.33 mm principal	0.31	ABS-mortgage backed security	Long	USA
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 2A4	1.29 mm	1.34 mm principal	0.31	ABS-mortgage backed security	Long	USA
TSY INFL IX N/B 10/28 2.375	1.28 mm	1.23 mm principal	0.30	Debt	Long	USA
GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H15 FG	1.28 mm	1.28 mm principal	0.30	ABS-mortgage backed security	Long	USA
MAN GLG EURO CLO GLGE 5A A1R 144A	1.25 mm	1.12 mm principal	0.30	ABS-collateralized bond/debt obligation	Long	Ireland
BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 2A1	1.23 mm	1.43 mm principal	0.29	ABS-mortgage backed security	Long	USA
MASTR SPECIALIZED LOAN TRUST MASD 2005 2 M3 144A	1.17 mm	1.09 mm principal	0.28	ABS-mortgage backed security	Long	USA
TSY INFL IX N/B 07/33 1.375	1.12 mm	1.14 mm principal	0.27	Debt	Long	USA
IRS EUR 0.19500 11/04/22-30Y LCH	1.09 mm	1.00 contracts	0.26	Interest rate derivative	N/A	N/A
MARATHON STATIC CLO LTD MSTAT 2022 18A A1R2 144A	1.05 mm	1.05 mm principal	0.25	ABS-collateralized bond/debt obligation	Long	Cayman Islands
IRS EUR 0.19000 11/04/22-30Y LCH	1.04 mm	1.00 contracts	0.25	Interest rate derivative	N/A	N/A
PIMCO PRV SHORT TERM FLT III MUTUAL FUND	1.04 mm	106.67 k principal	0.25	Short-term investment vehicle	Long	USA
GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 FD	1.01 mm	992.58 k principal	0.24	ABS-mortgage backed security	Long	USA
RFR USD SOFR/2.86500 02/13/24-30Y LCH	953.90 k	1.00 contracts	0.23	Interest rate derivative	N/A	USA
TSY INFL IX N/B 07/29 0.25	911.43 k	960.33 k principal	0.22	Debt	Long	USA
IRS EUR 2.50000 03/19/25-10Y LCH	858.57 k	1.00 contracts	0.20	Interest rate derivative	N/A	N/A
FREDDIE MAC FHR 4687 FG	853.67 k	865.74 k principal	0.20	ABS-mortgage backed security	Long	USA
AMERIQUEST MORTGAGE SECURITIES AMSI 2003 AR3 M4	833.89 k	900.21 k principal	0.20	ABS-mortgage backed security	Long	USA
BEAR STEARNS ALT A TRUST II BSAAT 2007 1 1A1	829.73 k	1.65 mm principal	0.20	ABS-mortgage backed security	Long	USA
WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR4 2A4	806.68 k	825.12 k principal	0.19	ABS-mortgage backed security	Long	USA
LCM LOAN INCOME FUND LTD LCMLF 1A A 144A	770.74 k	769.78 k principal	0.18	ABS-collateralized bond/debt obligation	Long	Cayman Islands
RESIDENTIAL ASSET SECURITIZATI RAST 2007 A6 2A1	748.10 k	3.34 mm principal	0.18	ABS-mortgage backed security	Long	USA
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 8 1A1	747.50 k	792.24 k principal	0.18	ABS-mortgage backed security	Long	USA
REPO BANK AMERICA REPO	742.50 k	742.50 k principal	0.18	Repurchase agreement	Long	USA
AVOCA STATIC CLO AVOST 1A A 144A	724.88 k	650.32 k principal	0.17	ABS-collateralized bond/debt obligation	Long	Ireland
CANADIAN GOVERNMENT RRB BONDS 12/26 4.25	723.49 k	922.72 k principal	0.17	Debt	Long	Canada
RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 3A1	597.30 k	816.74 k principal	0.14	ABS-mortgage backed security	Long	USA
JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 FRE2 M1	583.80 k	590.82 k principal	0.14	ABS-mortgage backed security	Long	USA
BANC OF AMERICA FUNDING CORPOR BAFC 2007 6 A1	563.94 k	606.85 k principal	0.13	ABS-mortgage backed security	Long	USA
LEHMAN XS TRUST LXS 2007 20N A1	556.00 k	583.25 k principal	0.13	ABS-mortgage backed security	Long	USA
ELLINGTON LOAN ACQUISITION TRU ELAT 2007 1 A1 144A	548.83 k	560.54 k principal	0.13	ABS-mortgage backed security	Long	USA
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY2 2A1	416.47 k	476.54 k principal	0.10	ABS-mortgage backed security	Long	USA
INF SWAP US IT 2.31125 02/24/21-10Y LCH	408.12 k	1.00 contracts	0.10	Interest rate derivative	N/A	USA
INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR3 1A1	369.68 k	462.08 k principal	0.09	ABS-mortgage backed security	Long	USA
COUNTRYWIDE HOME LOANS CWHL 2007 1 A1	359.21 k	794.38 k principal	0.09	ABS-mortgage backed security	Long	USA
INF SWAP US IT 2.668 05/14/21-10Y LCH	348.29 k	1.00 contracts	0.08	Interest rate derivative	N/A	USA
TSY INFL IX N/B 01/30 0.125	342.30 k	366.75 k principal	0.08	Debt	Long	USA
INF SWAP US IT 2.703 05/25/21-5Y LCH	337.14 k	1.00 contracts	0.08	Interest rate derivative	N/A	USA
FNMA POOL FM4126 FN 07/49 FIXED VAR	309.27 k	317.73 k principal	0.07	ABS-mortgage backed security	Long	USA
CREDIT SUISSE MORTGAGE TRUST CSMC 2007 6 A1	303.01 k	501.82 k principal	0.07	ABS-mortgage backed security	Long	USA
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH3 M3	294.14 k	300.00 k principal	0.07	ABS-mortgage backed security	Long	USA
CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A3 144A	287.95 k	434.89 k principal	0.07	ABS-mortgage backed security	Long	USA
RFRF USD SOFR/2.23650 11/21/23-30Y LCH	282.99 k	1.00 contracts	0.07	Interest rate derivative	N/A	USA
BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/30 0	259.04 k	243.44 k principal	0.06	Debt	Long	Italy
DEUTSCHE BANK REPO REPO	258.47 k	258.47 k principal	0.06	Repurchase agreement	Long	USA
RFRF USD SOFR/2.28500 11/15/23-30Y LCH	241.87 k	1.00 contracts	0.06	Interest rate derivative	N/A	USA
OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 1 M1	228.33 k	240.41 k principal	0.05	ABS-mortgage backed security	Long	USA
MORGAN STANLEY MORTGAGE LOAN T MSM 2006 16AX 3A1	228.29 k	609.00 k principal	0.05	ABS-mortgage backed security	Long	USA
UBS GROUP AG SR UNSECURED REGS 10/26 VAR	220.26 k	200.00 k principal	0.05	Debt	Long	Switzerland
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 1A1	216.95 k	311.18 k principal	0.05	ABS-mortgage backed security	Long	USA
MORTGAGEIT TRUST MHL 2007 2 A1	213.65 k	287.81 k principal	0.05	ABS-mortgage backed security	Long	USA
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A	212.27 k	228.69 k principal	0.05	ABS-mortgage backed security	Long	USA
GSAMP TRUST GSAMP 2005 HE2 M2	185.59 k	193.80 k principal	0.04	ABS-mortgage backed security	Long	USA
OZLM LTD OZLM 2015 11A A1R 144A	171.54 k	171.42 k principal	0.04	ABS-collateralized bond/debt obligation	Long	Cayman Islands
BAC Bank of America Corporation	162.26 k	160.00 k shares	0.04	Preferred equity	Long	USA
RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF1	162.22 k	383.97 k principal	0.04	ABS-mortgage backed security	Long	USA
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 19 2A3	152.98 k	157.26 k principal	0.04	ABS-mortgage backed security	Long	USA
NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 3A A1 144A	144.40 k	145.84 k principal	0.03	ABS-mortgage backed security	Long	USA
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A	140.36 k	164.93 k principal	0.03	ABS-mortgage backed security	Long	USA
RFR GBP SONIO/4.25000 09/18/24-2Y LCH	138.47 k	1.00 contracts	0.03	Interest rate derivative	N/A	UK
SOLD EUR BOUGHT USD 20241104 Wells Fargo Bank, National Association	131.23 k	1.00 contracts	0.03	DFE	N/A	N/A
BCAP LLC TRUST BCAP 2007 AA3 2A1A	129.13 k	132.93 k principal	0.03	ABS-mortgage backed security	Long	USA
EURO-BOBL FUTURE DEC24 XEUR 20241206	125.30 k	87.00 contracts	0.03	Interest rate derivative	N/A	Germany
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 2A3	121.42 k	133.59 k principal	0.03	ABS-mortgage backed security	Long	USA
INF SWAP EM NI 2.7 04/15/23-30Y LCH	121.14 k	1.00 contracts	0.03	Interest rate derivative	N/A	N/A
BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/36 1	113.80 k	101.75 k principal	0.03	Debt	Long	Italy
UBS GROUP AG SR UNSECURED REGS 01/26 VAR	111.57 k	100.00 k principal	0.03	Debt	Long	Switzerland
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1	105.84 k	108.66 k principal	0.03	ABS-mortgage backed security	Long	USA
INF SWAP EM NI 2.763 09/15/23-30Y LCH	105.60 k	1.00 contracts	0.03	Interest rate derivative	N/A	N/A
GSAA HOME EQUITY TRUST GSAA 2006 7 AF4A	99.66 k	183.63 k principal	0.02	ABS-mortgage backed security	Long	USA
RESIDENTIAL ASSET SECURITIZATI RAST 2005 A5 A3	99.65 k	160.78 k principal	0.02	ABS-mortgage backed security	Long	USA
ALLIANCE BANCORP TRUST ALBT 2007 OA1 A1	97.56 k	113.24 k principal	0.02	ABS-mortgage backed security	Long	USA
INF SWAP EM NI 2.59 12/15/22-30Y LCH	88.81 k	1.00 contracts	0.02	Interest rate derivative	N/A	N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 1A1A	88.81 k	104.94 k principal	0.02	ABS-mortgage backed security	Long	USA
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 10 1A2A	87.26 k	139.01 k principal	0.02	ABS-mortgage backed security	Long	USA
BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1	80.65 k	134.12 k principal	0.02	ABS-mortgage backed security	Long	USA
3MO EURO EURIBOR SEP26 IFLL 20260914	79.62 k	155.00 contracts	0.02	Interest rate derivative	N/A	UK
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2A1	75.11 k	89.08 k principal	0.02	ABS-mortgage backed security	Long	USA
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A1 144A	73.10 k	259.86 k principal	0.02	ABS-mortgage backed security	Long	USA
EURO-BTP FUTURE DEC24 XEUR 20241206	73.02 k	21.00 contracts	0.02	Interest rate derivative	N/A	Germany
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT2 A4	71.45 k	73.66 k principal	0.02	ABS-mortgage backed security	Long	USA
MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A1	68.88 k	76.79 k principal	0.02	ABS-mortgage backed security	Long	USA
INF SWAP EM NI 2.736 10/15/23-30Y LCH	66.71 k	1.00 contracts	0.02	Interest rate derivative	N/A	N/A
RFR USD SOFR/4.25000 12/20/23-2Y LCH	65.24 k	1.00 contracts	0.02	Interest rate derivative	N/A	USA
US LONG BOND(CBT) DEC24 XCBT 20241219	62.77 k	-80.00 contracts	0.01	Interest rate derivative	N/A	USA
INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 1A	55.53 k	72.22 k principal	0.01	ABS-mortgage backed security	Long	USA
US ULTRA BOND CBT DEC24 XCBT 20241219	51.08 k	-28.00 contracts	0.01	Interest rate derivative	N/A	USA
BOUGHT ZAR SOLD USD 20241018 Citibank, National Association	49.81 k	1.00 contracts	0.01	DFE	N/A	South Africa
TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A	49.28 k	47.77 k principal	0.01	ABS-mortgage backed security	Long	USA
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE3 A2D	46.46 k	67.93 k principal	0.01	ABS-mortgage backed security	Long	USA
BOUGHT ZAR SOLD USD 20241018 UBS AG	44.91 k	1.00 contracts	0.01	DFE	N/A	South Africa
INF SWAP EM NI 2.682 10/15/23-30Y LCH	43.93 k	1.00 contracts	0.01	Interest rate derivative	N/A	N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY13 4A1	42.61 k	48.52 k principal	0.01	ABS-mortgage backed security	Long	USA
RFR EUR ESTRON/3.47500 02/26/24-1Y LCH	41.90 k	1.00 contracts	0.01	Interest rate derivative	N/A	N/A
THORNBURG MORTGAGE SECURITIES TMST 2004 3 A	41.39 k	44.67 k principal	0.01	ABS-mortgage backed security	Long	USA
LEHMAN XS TRUST LXS 2006 8 3A4	37.38 k	38.34 k principal	0.01	ABS-mortgage backed security	Long	USA
DSLA MORTGAGE LOAN TRUST DSLA 2005 AR4 2A1A	36.71 k	43.35 k principal	0.01	ABS-mortgage backed security	Long	USA
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO6 A1	35.00 k	148.54 k principal	0.01	ABS-mortgage backed security	Long	USA
FREMONT HOME LOAN TRUST FHLT 2006 C 1A1	34.97 k	38.87 k principal	0.01	ABS-mortgage backed security	Long	USA
SOLD EUR BOUGHT USD 20241002 MORGAN STANLEY & CO. INTERNATIONAL PLC	34.61 k	1.00 contracts	0.01	DFE	N/A	N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 7 2A2	33.94 k	84.42 k principal	0.01	ABS-mortgage backed security	Long	USA
STRUCTURED ADJUSTABLE RATE MOR SARM 2005 15 4A1	33.90 k	39.32 k principal	0.01	ABS-mortgage backed security	Long	USA
RFR JPY MUTK/0.50000 12/15/21-10Y LCH	33.72 k	1.00 contracts	0.01	Interest rate derivative	N/A	Japan
RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A9	32.43 k	105.88 k principal	0.01	ABS-mortgage backed security	Long	USA
GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR6 3A1	31.65 k	36.70 k principal	0.01	ABS-mortgage backed security	Long	USA
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR17 A1A1	30.66 k	33.86 k principal	0.01	ABS-mortgage backed security	Long	USA
WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 AR8 A1	30.09 k	33.73 k principal	0.01	ABS-mortgage backed security	Long	USA
INDYMAC INDB MORTGAGE LOAN TRU INDB 2006 1 A1	29.59 k	90.54 k principal	0.01	ABS-mortgage backed security	Long	USA
BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 3A1	27.55 k	29.12 k principal	0.01	ABS-mortgage backed security	Long	USA
INF SWAP EM NI 2.59 03/15/22-30Y LCH	26.50 k	1.00 contracts	0.01	Interest rate derivative	N/A	N/A
COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 2A1	26.43 k	28.99 k principal	0.01	ABS-mortgage backed security	Long	USA
FREDDIE MAC FHR 4255 SN	24.51 k	24.46 k principal	0.01	ABS-mortgage backed security	Long	USA
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 3A1	22.87 k	25.28 k principal	0.01	ABS-mortgage backed security	Long	USA
BOUGHT JPY SOLD USD 20241002 Wells Fargo Bank, National Association	21.91 k	1.00 contracts	0.01	DFE	N/A	Japan
WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR9 1A6	17.66 k	17.73 k principal	0.00	ABS-mortgage backed security	Long	USA
WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 4A1	16.43 k	17.02 k principal	0.00	ABS-mortgage backed security	Long	USA
CIM TRUST CIM 2019 INV1 A2 144A	16.27 k	16.72 k principal	0.00	ABS-mortgage backed security	Long	USA
RFR JPY MUT+5.89/0.4500 03/20/19-10Y LCH	15.73 k	1.00 contracts	0.00	Interest rate derivative	N/A	Japan
BOUGHT NZD SOLD USD 20241002 BNP PARIBAS	15.50 k	1.00 contracts	0.00	DFE	N/A	New Zealand
SOLD CHF BOUGHT USD 20241002 UBS AG	14.20 k	1.00 contracts	0.00	DFE	N/A	Switzerland
JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AV5	12.94 k	13.07 k principal	0.00	ABS-mortgage backed security	Long	USA
BOUGHT GBP SOLD USD 20241002 BARCLAYS BANK PLC	12.50 k	1.00 contracts	0.00	DFE	N/A	UK
BOUGHT PLN SOLD USD 20241002 Goldman Sachs Bank USA	12.16 k	1.00 contracts	0.00	DFE	N/A	Poland
AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528	11.21 k	12.00 k principal	0.00	Debt	Long	Cayman Islands
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 1A	11.21 k	12.00 k principal	0.00	ABS-mortgage backed security	Long	USA
GOLD 100 OZ FUTR DEC24 XCEC 20241227	10.95 k	-4.00 contracts	0.00	Commodity derivative	N/A	USA
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 21 1A	10.75 k	11.04 k principal	0.00	ABS-mortgage backed security	Long	USA
BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 2 3A2	10.30 k	11.84 k principal	0.00	ABS-mortgage backed security	Long	USA
SOLD CAD BOUGHT USD 20241002 STANDARD CHARTERED BANK	10.03 k	1.00 contracts	0.00	DFE	N/A	Canada
FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA8 1A7	9.94 k	24.86 k principal	0.00	ABS-mortgage backed security	Long	USA
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 3A11	9.09 k	10.05 k principal	0.00	ABS-mortgage backed security	Long	USA
FHLMC STRUCTURED PASS THROUGH FSPC T 35 A	9.01 k	8.83 k principal	0.00	ABS-mortgage backed security	Long	USA
EURO-BUXL 30Y BND DEC24 XEUR 20241206	8.74 k	6.00 contracts	0.00	Interest rate derivative	N/A	Germany
ACE SECURITIES CORP. ACE 2006 HE4 A2A	8.29 k	21.58 k principal	0.00	ABS-mortgage backed security	Long	USA
HOME EQUITY ASSET TRUST HEAT 2004 3 M1	7.97 k	8.03 k principal	0.00	ABS-mortgage backed security	Long	USA
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 7 3CB	7.94 k	9.41 k principal	0.00	ABS-mortgage backed security	Long	USA
BOUGHT AUD SOLD USD 20241002 Wells Fargo Bank, National Association	7.94 k	1.00 contracts	0.00	DFE	N/A	Australia
INF SWAP EM NI 2.58 03/15/22-30Y LCH	7.71 k	1.00 contracts	0.00	Interest rate derivative	N/A	N/A
BOUGHT CNH SOLD USD 20241025 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED	7.55 k	1.00 contracts	0.00	DFE	N/A	China
BOUGHT CNH SOLD USD 20241025 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED	7.47 k	1.00 contracts	0.00	DFE	N/A	China
CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1	7.09 k	15.52 k principal	0.00	ABS-mortgage backed security	Long	USA
MLCC MORTGAGE INVESTORS INC MLCC 2004 D A1	6.53 k	6.44 k principal	0.00	ABS-mortgage backed security	Long	USA
BOUGHT NZD SOLD USD 20241104 Wells Fargo Bank, National Association	5.68 k	1.00 contracts	0.00	DFE	N/A	New Zealand
INF SWAP GB NI 3.5 08/15/24-10Y LCH	5.43 k	1.00 contracts	0.00	Interest rate derivative	N/A	UK
BOUGHT IDR SOLD USD 20241016 Citibank, National Association	4.74 k	1.00 contracts	0.00	DFE	N/A	Indonesia
BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 J 2A4	4.62 k	5.23 k principal	0.00	ABS-mortgage backed security	Long	USA
SOLD ILS BOUGHT USD 20241018 JPMorgan Chase Bank, National Association	4.36 k	1.00 contracts	0.00	DFE	N/A	Israel
RFR JPY MUT+5.89/0.3000 03/20/18-10Y LCH	4.23 k	1.00 contracts	0.00	Interest rate derivative	N/A	Japan
BOUGHT CHF SOLD USD 20241002 UBS AG	4.22 k	1.00 contracts	0.00	DFE	N/A	Switzerland
BOUGHT IDR SOLD USD 20241016 Citibank, National Association	4.08 k	1.00 contracts	0.00	DFE	N/A	Indonesia
BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1	4.01 k	4.36 k principal	0.00	ABS-mortgage backed security	Long	USA
BOUGHT IDR SOLD USD 20241023 NOMURA GLOBAL FINANCIAL PRODUCTS INC.	3.87 k	1.00 contracts	0.00	DFE	N/A	Indonesia
RFR JPY MUT+5.89/0.3000 09/20/17-10Y LCH	3.58 k	1.00 contracts	0.00	Interest rate derivative	N/A	Japan
SOLD MXN BOUGHT USD 20241218 Goldman Sachs Bank USA	3.54 k	1.00 contracts	0.00	DFE	N/A	Mexico