NPORT-P false 0001027263 XXXXXXXX S000062647 C000203174 EQ Advisors Trust 811-07953 0001027263 549300Q691FLN6WHB832 1345 Avenue of the Americas New York 10105 212-554-1234 EQ/PIMCO Total Return ESG Portfolio S000062647 549300NBLWYBHQJNZR73 2025-12-31 2025-09-30 N 369972149.11 112230066.06 257742083.05 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 932342.05000000 AUD BRL CAD DKK EUR GBP JPY PEN USD ZAR N Bloomberg U.S. Aggregate Bond Index LEH_AGG Bear Stearns ALT-A Trust N/A 07386HVS7 16024.13920000 PA USD 8723.10000000 0.003384429852 Long ABS-MBS CORP US N 2 2035-09-25 Variable 4.83757560 N N N N N N Beignet, Inc. N/A N/A 3000000.00000000 PA USD 3000000.00000000 1.163954277275 Long ABS-MBS CORP US N 2 2049-06-01 Fixed 6.85000000 N N N N N N Wisconsin Power & Light Co. JWBYHVQVMY66CVCOSO49 976826BR7 300000.00000000 PA USD 303916.50000000 0.117914970036 Long DBT CORP US N 2 2033-04-01 Fixed 4.95000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3142GQEH1 380907.96000000 PA USD 359372.95000000 0.139431227429 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 4.00000000 N N N N N N GS Mortgage Securities Corp. Trust N/A 36257CAA5 339416.32000000 PA USD 292330.69000000 0.113419852334 Long ABS-MBS CORP US Y 2 2034-05-10 Fixed 2.85554600 N N N N N N Citigroup Mortgage Loan Trust N/A 17315MAK1 53448.51860000 PA USD 25822.35000000 0.010018678243 Long ABS-MBS CORP US Y 2 2035-12-25 Fixed 5.50000000 N N N N N N N/A N/A N/A 120000.00000000 PA USD -1343.50000000 -0.00052125752 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-05-15 0.00000000 USD 622.71000000 USD 120000.00000000 USD -1343.50000000 N N N N/A N/A N/A 1.00000000 NC N/A -830.13000000 -0.00032207778 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 1375000.00000000 ZAR 78506.95000000 USD 2025-11-20 -830.13000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 3140ACW58 556935.75000000 PA USD 564245.59000000 0.218918689304 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 5.50000000 N N N N N N Japan International Cooperation Agency 254900XEIG78M2AJB031 47109LAB0 600000.00000000 PA USD 588045.06000000 0.228152520939 Long DBT NUSS JP N 2 2027-04-27 Fixed 2.75000000 N N N N N N N/A N/A N/A 317530.50000000 PA -18.80000000 -0.00000729411 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2029-01-02 0.00000000 USD 0.00000000 USD 317530.50000000 BRL -18.80000000 N N N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 46647PEL6 500000.00000000 PA USD 507311.80000000 0.196829246507 Long DBT CORP US N 2 2028-07-22 Variable 4.97900000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 20871.83000000 0.008097951934 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 4110330.35000000 CAD 2974331.88000000 USD 2025-10-02 20871.83000000 N N N Pikes Peak CLO 4 2549002NRPBIF0UZPU88 72132WAN9 700000.00000000 PA USD 700784.00000000 0.271893511415 Long ABS-CBDO CORP KY Y 2 2034-07-15 Floating 5.52755160 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RF7 100000.00000000 PA USD 118265.82000000 0.045885335681 Long DBT UST US N 2 2044-02-15 Fixed 1.37500000 N N N N N N Republic of Peru 254900STKLK2DBJJZ530 715638BY7 3400000.00000000 PA 1037434.54000000 0.402508790075 Long DBT NUSS PE Y 2 2032-08-12 Fixed 6.15000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810TS7 600000.00000000 PA USD 543190.50000000 0.210749635283 Long DBT UST US N 2 2043-05-15 Fixed 3.87500000 N N N N N N N/A N/A N/A 200000.00000000 PA USD 11141.26000000 0.004322639077 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2054-06-20 4751.44000000 USD 0.00000000 USD 200000.00000000 USD 11141.26000000 N N N BX Trust N/A 05608RAA3 900000.00000000 PA USD 899437.32000000 0.348967971918 Long ABS-MBS CORP US Y 2 2036-10-15 Floating 5.16358080 N N N N N N SG Mortgage Securities Trust N/A 81879MAW9 61310.45000000 PA USD 29098.07000000 0.011289607678 Long ABS-O CORP US N 2 2036-02-25 Floating 4.81239000 N N N N N N N/A N/A N/A 100000.00000000 PA USD 5341.06000000 0.002072249877 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2055-02-15 0.00000000 USD 0.00000000 USD 100000.00000000 USD 5341.06000000 N N N N/A N/A N/A 1.00000000 NC N/A -496.16000000 -0.00019250251 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 437314.73000000 PEN 125186.71000000 USD 2025-12-22 -496.16000000 N N N STARM Mortgage Loan Trust N/A 78473NAC7 19749.32250000 PA USD 16970.19000000 0.006584175078 Long ABS-MBS CORP US N 2 2037-02-25 Variable 5.95816200 N N N N N N N/A N/A N/A 1.00000000 NC N/A 6240.79000000 0.002421331404 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 422452.80000000 USD 18263901.90000000 TRY 2025-10-30 6240.79000000 N N N CWABS Asset-Backed Certificates Trust N/A 126670WD6 626347.11000000 PA USD 611794.69000000 0.237367015413 Long ABS-O CORP US N 2 2036-06-25 Floating 4.85739000 N N N N N N N/A N/A N/A 120000.00000000 PA USD -1309.03000000 -0.00050788368 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-05-15 0.00000000 USD 657.18000000 USD 120000.00000000 USD -1309.03000000 N N N MASTR Asset-Backed Securities Trust N/A 57643GAE7 132425.43000000 PA USD 78869.09000000 0.030600004883 Long ABS-O CORP US N 2 2036-03-25 Floating 4.75238880 N N N N N N VMware LLC 549300BUDHS3LRWBE814 928563AF2 500000.00000000 PA USD 506306.70000000 0.196439283026 Long DBT CORP US N 2 2030-05-15 Fixed 4.70000000 N N N N N N Highwoods Realty LP JUJNVZX73BIYHLR58F51 431282AQ5 100000.00000000 PA USD 98767.87000000 0.038320428247 Long DBT CORP US N 2 2028-03-15 Fixed 4.12500000 N N N N N N N/A N/A N/A 200000.00000000 PA USD -4360.90000000 -0.00169196273 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2035-03-24 0.00000000 USD 0.00000000 USD 200000.00000000 USD -4360.90000000 N N N N/A N/A N/A 2542573.23000000 PA -629.20000000 -0.00024412001 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2029-01-02 0.00000000 USD 0.00000000 USD 2542573.23000000 BRL -629.20000000 N N N Abu Dhabi National Energy Co. PJSC 213800UNJSVQFNUYYW03 00388WAP6 500000.00000000 PA USD 493625.00000000 0.191518976706 Long DBT CORP AE Y 2 2037-03-09 Fixed 4.75000000 N N N N N N Santander Holdings USA, Inc. 549300SMVCQN2P0O6I58 80282KBF2 500000.00000000 PA USD 521354.05000000 0.202277425490 Long DBT CORP US N 2 2029-03-09 Variable 6.49900000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3132DWHE6 5095929.48000000 PA USD 5076273.46000000 1.969516735462 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.00000000 N N N N N N Citigroup Mortgage Loan Trust, Inc. 549300R1KUK063S4I339 17307GRE0 4040.82000000 PA USD 3892.62000000 0.001510277232 Long ABS-MBS CORP US N 2 2035-05-25 Variable 4.46901840 N N N N N N N/A N/A N/A 200000.00000000 PA -71.91000000 -0.00002789998 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2030-04-29 0.00000000 USD 0.00000000 USD 200000.00000000 EUR -71.91000000 N N N N/A N/A N/A 500000.00000000 PA USD 111.02000000 0.000043074067 N/A DCR US N 2 ICE Clear US 549300HWWR1D8OTS2G29 Markit CDX North American Investment Grade Index Series 45-V1 2I65BYEI2 Y Payout of notional amount upon default event with regard to the reference instrument 2030-12-20 11330.97000000 USD 0.00000000 USD 500000.00000000 USD 111.02000000 N N N Republic of South Africa 378900AAFB4F17004C49 N/A 15000000.00000000 PA 853306.92000000 0.331070079787 Long DBT NUSS ZA N 2 2035-02-28 Fixed 8.87500000 N N N N N N Lloyds Bank plc H7FNTJ4851HG0EXQ1Z70 N/A 600000.00000000 PA USD 444624.00000000 0.172507335526 Long DBT CORP GB Y 2 2032-04-02 Variable 0.00001080 N N N N N N GSR Mortgage Loan Trust N/A 362341XG9 3787.06000000 PA USD 3299.66000000 0.001280217790 Long ABS-MBS CORP US N 2 2035-11-25 Variable 4.28998680 N N N N N N RASC Trust N/A 76110W7R1 81080.04870000 PA USD 70355.18000000 0.027296737563 Long ABS-O CORP US N 2 2035-12-25 Floating 4.93238880 N N N N N N Structured Asset Mortgage Investments Trust N/A 86358HNX3 158.87000000 PA USD 151.55000000 0.000058799090 Long ABS-MBS CORP US N 2 2032-09-19 Floating 4.90807080 N N N N N N Deutsche Alt-A Securities, Inc. Mortgage Loan Trust N/A 251510CV3 2117.89000000 PA USD 2096.28000000 0.000813324690 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.77239040 N N N N N N RCKT Mortgage Trust 254900FCN7EI8DTYGA19 74942JAA2 300000.00000000 PA USD 300003.00000000 0.116396591681 Long ABS-O CORP US Y 2 2055-09-25 Variable 4.79499840 N N N N N N N/A N/A N/A -200000.00000000 PA -128.38000000 -0.00004980948 N/A DIR GB N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 Call Written N/A Swaption 1.00000000 2.55000000 EUR 2025-10-17 XXXX 332.76000000 N N N N/A N/A N/A 140000.00000000 PA USD -2171.58000000 -0.00084253994 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-05-15 0.00000000 USD 122.33000000 USD 140000.00000000 USD -2171.58000000 N N N N/A N/A N/A 900000.00000000 PA -10742.87000000 -0.00416806982 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2035-03-19 0.00000000 USD 882.63000000 USD 900000.00000000 AUD -10742.87000000 N N N Mosaic Solar Loan Trust N/A 61946QAA9 982228.09000000 PA USD 839843.52000000 0.325846485782 Long ABS-O CORP US Y 2 2053-01-20 Fixed 2.64000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -360.16000000 -0.00013973659 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 1130000.00000000 ZAR 64986.03000000 USD 2025-10-20 -360.16000000 N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3132DWLU5 252279.76000000 PA USD 257961.05000000 0.100084955839 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6.00000000 N N N N N N N/A N/A N/A 1450000.00000000 PA 7267.94000000 0.002819849949 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2036-03-18 0.00000000 USD 4857.05000000 USD 1450000.00000000 EUR 7267.94000000 N N N N/A N/A N/A 1.00000000 NC N/A 3756.21000000 0.001457352231 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 638492.00000000 USD 94978877.00000000 JPY 2025-10-02 3756.21000000 N N N Benchmark Mortgage Trust N/A 08160JAE7 800000.00000000 PA USD 783202.16000000 0.303870501367 Long ABS-MBS CORP US N 2 2052-03-15 Fixed 4.01560000 N N N N N N SCE Recovery Funding LLC N/A 78433LAG1 360483.37000000 PA USD 357329.14000000 0.138638260299 Long DBT CORP US N 2 2040-06-15 Fixed 4.69700000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JAJT6 9625.74000000 PA USD 8950.88000000 0.003472805020 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.50000000 N N N N N N Southern California Edison Co. 9R1Z5I36FERIBVKW4P77 842400FZ1 50000.00000000 PA USD 42229.01000000 0.016384212271 Long DBT CORP US N 2 2043-10-01 Fixed 4.65000000 N N N N N N Bear Stearns ARM Trust N/A 07384MQ70 6313.01000000 PA USD 5921.01000000 0.002297261638 Long ABS-MBS CORP US N 2 2034-07-25 Variable 4.83867360 N N N N N N JP Morgan Mortgage Acquisition Corp. N/A 46626LFN5 24807.67000000 PA USD 24614.94000000 0.009550221565 Long ABS-O CORP US N 2 2035-05-25 Floating 4.85739000 N N N N N N Newcastle Mortgage Securities Trust N/A 65106AAS2 900000.00000000 PA USD 885935.79000000 0.343729584054 Long ABS-O CORP US N 2 2036-03-25 Floating 4.99239000 N N N N N N NextEra Energy Capital Holdings, Inc. UMI46YPGBLUE4VGNNT48 65339KBW9 2100000.00000000 PA USD 1984261.86000000 0.769863359727 Long DBT CORP US N 2 2028-06-15 Fixed 1.90000000 N N N N N N N/A N/A N/A 200000.00000000 PA USD 9126.00000000 0.003540748911 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2054-06-20 6766.70000000 USD 0.00000000 USD 200000.00000000 USD 9126.00000000 N N N N/A N/A N/A 1.00000000 NC N/A 6408.79000000 0.002486512844 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 103423361.00000000 JPY 705758.70000000 USD 2025-10-02 6408.79000000 N N N United States of America 254900HROIFWPRGM1V77 912810TP3 700000.00000000 PA USD 607319.40000000 0.235630671100 Long DBT UST US N 2 2053-02-15 Fixed 1.50000000 N N N N N N ONEOK Partners LP T4DHW82NMF6BXJT50795 68268NAD5 800000.00000000 PA USD 880356.72000000 0.341564989924 Long DBT CORP US N 2 2037-10-15 Fixed 6.85000000 N N N N N N Weir Group, Inc. 2138009WEPEV2V98AV65 94877DAA2 300000.00000000 PA USD 308089.92000000 0.119534193389 Long DBT CORP US Y 2 2030-05-06 Fixed 5.35000000 N N N N N N N/A N/A N/A 300000.00000000 PA USD 16767.63000000 0.006505584886 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2054-06-20 7071.42000000 USD 0.00000000 USD 300000.00000000 USD 16767.63000000 N N N N/A N/A N/A 1700000.00000000 PA -35315.41000000 -0.01370184084 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-06-01 0.00000000 USD 31424.29000000 USD 1700000.00000000 CAD -35315.41000000 N N N Bear Stearns ARM Trust N/A 07384MG97 6630.44000000 PA USD 5928.31000000 0.002300093927 Long ABS-MBS CORP US N 2 2034-04-25 Variable 5.27842080 N N N N N N N/A N/A N/A -400000.00000000 PA USD -53.27000000 -0.00002066794 N/A DIR US N 2 Bank of America B4TYDEB6GKMZO031MB27 Call Written N/A Swaption 1.00000000 3.32500000 USD 2025-10-14 XXXX 1048.73000000 N N N UBS Group AG 549300SZJ9VS8SGXAN81 902613AS7 200000.00000000 PA USD 200634.80000000 0.077843244543 Long DBT CORP CH Y 2 2027-08-05 Variable 4.70300000 N N N N N N N/A N/A N/A 200000.00000000 PA USD -3918.65000000 -0.00152037647 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2035-03-12 0.00000000 USD 0.00000000 USD 200000.00000000 USD -3918.65000000 N N N N/A N/A N/A 900000.00000000 PA USD -4237.23000000 -0.00164398066 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2032-12-21 107437.51000000 USD 0.00000000 USD 900000.00000000 USD -4237.23000000 N N N N/A N/A N/A 12.00000000 NC -2599.06000000 -0.00100839566 N/A DIR AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long Australia Australia 10 Year Bond 2025-12-15 1360219.80000000 AUD -2599.06000000 N N N Equinix, Inc. 549300EVUN2BTLJ3GT74 29444UBL9 1000000.00000000 PA USD 939862.10000000 0.364652170448 Long DBT CORP US N 2 2028-03-15 Fixed 1.55000000 N N N N N N BRSP Ltd. N/A 05591XAA9 293013.42000000 PA USD 292644.78000000 0.113541714467 Long ABS-CBDO CORP US Y 2 2038-08-19 Floating 5.39807040 N N N N N N FNMA or FHLMC N/A 01F0306A1 7100000.00000000 PA USD 6238015.98000000 2.420255127211 Long ABS-MBS USGSE US N 2 2055-10-25 Fixed 3.00000000 N N N N N N Warwick Finance Residential Mortgages Number Three plc 213800JVKL1PIG7KRI38 N/A 100000.00000000 PA 135792.54000000 0.052685435918 Long ABS-MBS CORP GB Y 2 2049-12-21 Floating 5.62118980 N N N N N N N/A N/A N/A 450000.00000000 PA -10268.39000000 -0.00398397882 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-06-01 0.00000000 USD 7398.00000000 USD 450000.00000000 CAD -10268.39000000 N N N MF1 Ltd. N/A 58003UAA6 116536.91000000 PA USD 116721.10000000 0.045286007864 Long ABS-CBDO CORP KY Y 2 2035-12-15 Floating 5.95735920 N N N N N N HarborView Mortgage Loan Trust N/A 41161PLR2 5424.09000000 PA USD 5236.67000000 0.002031748148 Long ABS-MBS CORP US N 2 2035-05-19 Floating 4.68807120 N N N N N N WaMu Mortgage Pass-Through Certificates Trust N/A 92922F4M7 1957.50000000 PA USD 1936.53000000 0.000751344125 Long ABS-MBS CORP US N 2 2045-10-25 Floating 4.85238960 N N N N N N United States of America 254900HROIFWPRGM1V77 912810UB2 100000.00000000 PA USD 99205.06000000 0.038490051304 Long DBT UST US N 2 2044-05-15 Fixed 4.62500000 N N N N N N N/A N/A N/A -500000.00000000 PA USD -1673.11000000 -0.00064914118 N/A DIR US N 2 Citibank E57ODZWZ7FF32TWEFA76 Put Written N/A Swaption 1.00000000 3.68500000 USD 2025-10-10 XXXX -223.11000000 N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3131Y9ZL0 18642.67000000 PA USD 17329.81000000 0.006723702157 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 3.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912797RP4 3700000.00000000 PA USD 3680328.21000000 1.427911253935 Long STIV UST US N 2 2025-11-18 None 0.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810TQ1 2800000.00000000 PA USD 2539395.60000000 0.985246790105 Long DBT UST US N 2 2043-02-15 Fixed 3.87500000 N N N N N N New York State Urban Development Corp. 54930039Y2EMGXN6LM88 650036AU0 800000.00000000 PA USD 790357.92000000 0.306646827187 Long DBT MUN US N 2 2026-03-15 Fixed 1.34600000 N N N N N N WaMu Mortgage Pass-Through Certificates Trust N/A 92925GAJ2 9535.27180000 PA USD 8541.41000000 0.003313936901 Long ABS-MBS CORP US N 2 2036-12-25 Variable 4.20554160 N N N N N N Wachovia Mortgage Loan LLC Trust N/A 92977TAC6 2227.14390000 PA USD 2173.76000000 0.000843385749 Long ABS-MBS CORP US N 2 2036-05-20 Variable 6.98749920 N N N N N N N/A N/A N/A 444504.98000000 PA 80.56000000 0.000031256052 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2029-01-02 0.00000000 USD 0.00000000 USD 444504.98000000 BRL 80.56000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 3136BBAR3 1843412.13000000 PA USD 98059.76000000 0.038045692360 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.34939960 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RR1 100000.00000000 PA USD 104808.67000000 0.040664166580 Long DBT UST US N 2 2046-02-15 Fixed 1.00000000 N N N N N N BCAP LLC Trust N/A 05530NAA5 41786.51000000 PA USD 40238.06000000 0.015611754015 Long ABS-MBS CORP US N 2 2047-05-25 Floating 4.69239120 N N N N N N N/A N/A N/A 1.00000000 NC N/A 45.13000000 0.000017509752 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 21697.00000000 USD 661672.00000000 TWD 2025-10-20 45.13000000 N N N CenterPoint Energy Houston Electric LLC 549300S8SEQBOJLKHW63 15189XBC1 300000.00000000 PA USD 292707.00000000 0.113565854879 Long DBT CORP US N 2 2053-04-01 Fixed 5.30000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -966.69000000 -0.00037506098 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 2938270.00000000 GBP 3950712.63000000 USD 2025-10-02 -966.69000000 N N N N/A N/A N/A 800000.00000000 PA USD -11147.63000000 -0.00432511053 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2033-08-15 0.00000000 USD 0.00000000 USD 800000.00000000 USD -11147.63000000 N N N Santander UK Group Holdings plc 549300F5XIFGNNW4CF72 80281LAP0 700000.00000000 PA USD 639206.33000000 0.248002313955 Long DBT CORP GB N 2 2032-03-15 Variable 2.89600000 N N N N N N Northern States Power Co. 3S1GHB0TEH85KX44SB51 665772CS6 872000.00000000 PA USD 539170.94000000 0.209190107265 Long DBT CORP US N 2 2051-06-01 Fixed 2.60000000 N N N N N N N/A N/A N/A -400000.00000000 PA USD -2444.61000000 -0.00094847142 N/A DIR US N 2 Bank of America B4TYDEB6GKMZO031MB27 Put Written N/A Swaption 1.00000000 3.62500000 USD 2025-10-14 XXXX -1342.61000000 N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128P7LZ4 5756.18000000 PA USD 5772.03000000 0.002239459669 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 4.50000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61747YFU4 500000.00000000 PA USD 505022.40000000 0.195940994200 Long DBT CORP US N 2 2030-10-18 Variable 4.65400000 N N N N N N BMW Vehicle Lease Trust N/A 05611UAD5 423425.39000000 PA USD 424959.33000000 0.164877743273 Long ABS-O CORP US N 2 2027-03-25 Fixed 4.98000000 N N N N N N Republic of South Africa 378900AAFB4F17004C49 N/A 1200000.00000000 PA 55065.28000000 0.021364489395 Long DBT NUSS ZA N 2 2036-03-31 Fixed 6.25000000 N N N N N N Nederlandse Waterschapsbank NV JLP5FSPH9WPSHY3NIM24 63983TEH4 400000.00000000 PA USD 402286.68000000 0.156081100625 Long DBT NUSS NL Y 2 2028-06-01 Fixed 4.00000000 N N N N N N N/A N/A N/A 1315000.00000000 PA 32.38000000 0.000012562946 N/A DFE GB N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 Put Purchased N/A Foreign Exchange EUR/USD 1.00000000 1.13150000 EUR 2025-10-10 XXXX -4729.26000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 83368RBQ4 300000.00000000 PA USD 301449.72000000 0.116957896992 Long DBT CORP FR Y 2 2027-01-12 Variable 6.44700000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -6768.16000000 -0.00262594292 N/A DFE N/A N 2 Morgan Stanley & Co. International 4PQUHN3JPFGFNF3BB653 103012646.00000000 JPY 692414.00000000 USD 2025-11-04 -6768.16000000 N N N Home Equity Loan Trust N/A 43710XAD0 169384.48000000 PA USD 165453.39000000 0.064193393660 Long ABS-O CORP US N 2 2037-04-25 Floating 4.50239040 N N N N N N Public Service Electric & Gas Co. 549300RUHPVD434XUK18 74456QCJ3 1500000.00000000 PA USD 1385361.30000000 0.537499070235 Long DBT CORP US N 2 2032-03-15 Fixed 3.10000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SC3 100000.00000000 PA USD 77007.63000000 0.029877786773 Long DBT UST US N 2 2048-05-15 Fixed 3.12500000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45667SAA5 41497.75550000 PA USD 37354.33000000 0.014492910726 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.61238840 N N N N N N N/A N/A N/A 1500000.00000000 PA USD -14559.85000000 -0.00564899989 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2028-05-31 0.00000000 USD 0.00000000 USD 1500000.00000000 USD -14559.85000000 N N N Bear Stearns Asset-Backed Securities I Trust N/A 07389MAB3 100078.74000000 PA USD 98279.51000000 0.038130952011 Long ABS-O CORP US N 2 2036-11-25 Floating 4.57238880 N N N N N N N/A N/A N/A 100000.00000000 PA -1210.16000000 -0.00046952363 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2034-06-01 0.00000000 USD 8.96000000 USD 100000.00000000 CAD -1210.16000000 N N N Wisconsin Power & Light Co. JWBYHVQVMY66CVCOSO49 976826BS5 400000.00000000 PA USD 413936.68000000 0.160601123069 Long DBT CORP US N 2 2034-03-30 Fixed 5.37500000 N N N N N N GreenSky Home Improvement Issuer Trust N/A 39571NAC0 500000.00000000 PA USD 509727.00000000 0.197766307297 Long ABS-O CORP US Y 2 2060-03-25 Fixed 5.32000000 N N N N N N RALI Trust N/A 751151AA9 140219.24000000 PA USD 57653.34000000 0.022368617230 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -11856.11000000 -0.00459998998 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 6375967.66000000 EUR 7489613.30000000 USD 2025-11-04 -11856.11000000 N N N NYO Commercial Mortgage Trust N/A 62955HAA5 400000.00000000 PA USD 398757.36000000 0.154711778255 Long ABS-MBS CORP US Y 2 2038-11-15 Floating 5.36047920 N N N N N N Crown Castle, Inc. 54930012H97VSM0I2R19 22823PX73 600000.00000000 PA USD 599461.02000000 0.232581739429 Long STIV CORP US Y 2 2025-10-07 None 0.00000000 N N N N N N FNMA or FHLMC N/A 01F0406B8 7650000.00000000 PA USD 7210424.12000000 2.797534665148 Long ABS-MBS USGSE US N 2 2055-11-25 Fixed 4.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1409.13000000 0.000546720963 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 73621.00000000 USD 1297459.69000000 ZAR 2025-10-20 1409.13000000 N N N Morgan Stanley Capital I Trust N/A 61770YAA3 800000.00000000 PA USD 705462.88000000 0.273708845545 Long ABS-MBS CORP US Y 2 2042-04-05 Variable 2.50851960 N N N N N N N/A N/A N/A 100000.00000000 PA 1142.28000000 0.000443187230 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2034-09-18 300.01000000 USD 0.00000000 USD 100000.00000000 AUD 1142.28000000 N N N Goldman Sachs Group, Inc. (The) 784F5XWPLTWKTBV3E584 38141GB60 500000.00000000 PA USD 505427.20000000 0.196098050430 Long DBT CORP US N 2 2030-10-23 Variable 4.69200000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3142GRGT1 8980678.82000000 PA USD 9069082.83000000 3.518665916982 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 5.50000000 N N N N N N BlueMountain Fuji Eur CLO V DAC 635400IYPG2G6NM3OV52 N/A 680567.56000000 PA 797757.09000000 0.309517592377 Long ABS-CBDO CORP IE Y 2 2033-01-15 Floating 2.93600160 N N N N N N N/A N/A N/A 1100000.00000000 PA USD 9388.92000000 0.003642757864 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2025-12-18 0.00000000 USD 1.21000000 USD 1100000.00000000 USD 9388.92000000 N N N N/A N/A N/A 400000.00000000 PA USD 161.14000000 0.000062519864 N/A DCR US N 2 ICE Clear US 549300HWWR1D8OTS2G29 Markit CDX North American Investment Grade Index Series 45-V1 2I65BYEI2 Y Payout of notional amount upon default event with regard to the reference instrument 2030-12-20 8992.45000000 USD 0.00000000 USD 400000.00000000 USD 161.14000000 N N N N/A N/A N/A 1303000.00000000 PA 45.26000000 0.000017560190 N/A DFE GB N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 Put Purchased N/A Foreign Exchange EUR/USD 1.00000000 1.12900000 EUR 2025-10-14 XXXX -4994.89000000 N N N N/A N/A N/A 1.00000000 NC N/A -21472.67000000 -0.00833106869 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1493308.54000000 PEN 408097.00000000 USD 2025-11-17 -21472.67000000 N N N C-Bass Trust N/A 12465MAA2 10533.17000000 PA USD 4637.97000000 0.001799461673 Long ABS-O CORP US N 2 2036-11-25 Floating 4.39238880 N N N N N N N/A N/A N/A 31000000.00000000 PA 5554.78000000 0.002155169980 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-06-18 0.00000000 USD 5473.19000000 USD 31000000.00000000 JPY 5554.78000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 3136BXVW1 500000.00000000 PA USD 500305.40000000 0.194110870091 Long ABS-MBS USGSE US N 2 2055-10-25 Floating 5.45000040 N N N N N N United States of America 254900HROIFWPRGM1V77 91282CGW5 800000.00000000 PA USD 864718.49000000 0.335497595024 Long DBT UST US N 2 2028-04-15 Fixed 1.25000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 78016FZW7 300000.00000000 PA USD 305462.76000000 0.118514895350 Long DBT CORP CA N 2 2028-01-12 Fixed 4.90000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1334.27000000 0.000517676424 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 461000.00000000 EUR 542571.32000000 USD 2025-10-02 1334.27000000 N N N Province of Ontario C7PVKCRGLG18EBQGZV36 68333ZBG1 400000.00000000 PA 291019.27000000 0.112911041362 Long DBT NUSS CA N 2 2034-12-02 Fixed 3.80000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376REZ5 109385.12000000 PA USD 109365.37000000 0.042432096732 Long ABS-MBS USGA US N 2 2065-07-20 Floating 5.06581920 N N N N N N N/A N/A N/A 900000.00000000 PA USD 7535.43000000 0.002923631993 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2025-12-18 145.42000000 USD 0.00000000 USD 900000.00000000 USD 7535.43000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 31396L4R8 2304.26000000 PA USD 2253.98000000 0.000874509887 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 4.52287080 N N N N N N Residential Asset Securitization Trust N/A 45660LZW2 32220.33000000 PA USD 18872.07000000 0.007322075532 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.72239000 N N N N N N Commercial Mortgage Trust N/A 12595VAD9 700000.00000000 PA USD 680204.28000000 0.263908893709 Long ABS-MBS CORP US N 2 2051-05-10 Fixed 4.22800000 N N N N N N N/A N/A N/A 200000.00000000 PA USD 11152.57000000 0.004327027184 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2055-02-15 0.00000000 USD 0.00000000 USD 200000.00000000 USD 11152.57000000 N N N N/A N/A N/A 200000.00000000 PA USD -4360.90000000 -0.00169196273 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2035-03-24 0.00000000 USD 0.00000000 USD 200000.00000000 USD -4360.90000000 N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3133BNCS0 277581.46000000 PA USD 262582.07000000 0.101877841170 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 4.00000000 N N N N N N Ventas Realty LP 32SXKSJ72K64GM3HOU64 92277GAJ6 200000.00000000 PA USD 197945.78000000 0.076799945766 Long DBT CORP US N 2 2026-10-15 Fixed 3.25000000 N N N N N N Banc of America Funding Trust N/A 06051GDM8 3553.29000000 PA USD 3324.51000000 0.001289859211 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.33368800 N N N N N N N/A N/A N/A 1400000.00000000 PA 436.65000000 0.000169413545 N/A DFE US N 2 Morgan Stanley Capital Services I7331LVCZKQKX5T7XV54 Put Purchased N/A Foreign Exchange EUR/USD 1.00000000 1.11000000 EUR 2025-11-24 XXXX -6130.81000000 N N N Oracle Corp. 1Z4GXXU7ZHVWFCD8TV52 68389XDH5 600000.00000000 PA USD 598630.92000000 0.232259673281 Long DBT CORP US N 2 2030-09-26 Fixed 4.45000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1128.93000000 0.000438007634 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 84891.31000000 USD 3696676.99000000 TRY 2025-11-10 1128.93000000 N N N Japan Government Bond 353800WZS8AXZXFUC241 N/A 90000000.00000000 PA 518411.81000000 0.201135881213 Long DBT NUSS JP N 2 2054-12-20 Fixed 2.30000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140QSPN5 350098.31000000 PA USD 350607.81000000 0.136030486698 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 166.30000000 0.000064521865 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 6861.00000000 USD 293973.27000000 TRY 2025-10-10 166.30000000 N N N Madison Park Funding XLIX Ltd. N/A 55820VAL7 800000.00000000 PA USD 800682.40000000 0.310652568073 Long ABS-CBDO CORP KY Y 2 2034-10-19 Floating 5.37549120 N N N N N N Elevation CLO Ltd. N/A 28623YAU7 700000.00000000 PA USD 700341.60000000 0.271721866958 Long ABS-CBDO CORP KY Y 2 2034-07-25 Floating 5.44845960 N N N N N N N/A N/A N/A 120000.00000000 PA USD -1926.04000000 -0.00074727416 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-05-15 0.00000000 USD 40.17000000 USD 120000.00000000 USD -1926.04000000 N N N N/A N/A N/A 1.00000000 NC N/A 1279.84000000 0.000496558414 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1255476.00000000 TWD 42534.00000000 USD 2025-10-20 1279.84000000 N N N N/A N/A N/A 1.00000000 NC N/A 2.63000000 0.000001020399 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 32795.26000000 CNY 4614.00000000 USD 2025-10-16 2.63000000 N N N Nationwide Building Society 549300XFX12G42QIKN82 63861VAJ6 500000.00000000 PA USD 511060.20000000 0.198283568578 Long DBT CORP GB Y 2 2027-10-18 Variable 6.55700000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61747YFN0 500000.00000000 PA USD 501432.15000000 0.194548031918 Long DBT CORP US N 2 2028-04-13 Floating 5.21920080 N N N N N N New Orleans Hotel Trust N/A 647622AA7 500000.00000000 PA USD 497008.35000000 0.192831664941 Long ABS-MBS CORP US Y 2 2032-04-15 Floating 5.18671080 N N N N N N Stifel Financial Corp. 549300E5F07FE5GHJX84 860630AG7 900000.00000000 PA USD 880270.11000000 0.341531386564 Long DBT CORP US N 2 2030-05-15 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912834KH0 100000.00000000 PA USD 47425.80000000 0.018400487587 Long DBT UST US N 2 2041-05-15 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -68.88000000 -0.00002672439 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 112803.16000000 USD 600000.00000000 BRL 2025-10-02 -68.88000000 N N N N/A N/A N/A 300000.00000000 PA USD 17157.54000000 0.006656864023 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2054-06-20 6681.51000000 USD 0.00000000 USD 300000.00000000 USD 17157.54000000 N N N N/A N/A N/A -14.00000000 NC -12426.40000000 -0.00482125381 N/A DIR DE N 1 Eurex Clearing 529900LN3S50JPU47S06 Short Federal Republic of Germany Euro-Bund 2025-12-08 -1799980.00000000 EUR -12426.40000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 771000.00000000 PA 867775.85000000 0.336683804108 Long DBT NUSS GB Y 2 2054-07-31 Fixed 4.37500000 N N N N N N Structured Asset Securities Corp. Mortgage Loan Trust N/A 86363MAC5 90181.57000000 PA USD 88329.73000000 0.034270589014 Long ABS-O CORP US Y 2 2037-05-25 Floating 5.17239000 N N N N N N Sunrun Demeter Issuer LLC N/A 86772HAA5 643711.15880000 PA USD 579625.46000000 0.224885844461 Long ABS-O CORP US Y 2 2057-01-30 Fixed 2.27000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418E2D1 42089.05000000 PA USD 42503.37000000 0.016490659770 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 5.50000000 N N N N N N STWD Mortgage Trust N/A 78486EAA6 1200000.00000000 PA USD 1197749.88000000 0.464708698644 Long ABS-MBS CORP KY Y 2 2036-11-15 Floating 5.12300160 N N N N N N Brookfield Finance I UK plc N/A 11272BAA1 700000.00000000 PA USD 610561.70000000 0.236888634085 Long DBT CORP GB N 2 2032-01-30 Fixed 2.34000000 N N N N N N N/A N/A N/A 700000.00000000 PA USD -25007.73000000 -0.00970261809 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2035-02-18 0.00000000 USD 0.00000000 USD 700000.00000000 USD -25007.73000000 N N N N/A N/A N/A 1.00000000 NC N/A 1790.34000000 0.000694624633 N/A DFE N/A N 2 Morgan Stanley & Co. International 4PQUHN3JPFGFNF3BB653 362000.00000000 GBP 488644.14000000 USD 2025-10-02 1790.34000000 N N N N/A N/A N/A 62000.00000000 PA 1261.83000000 0.000489570808 N/A DFE GB N 2 Goldman Sachs 549300TXTCI7WVVJS380 Put Purchased N/A Foreign Exchange EUR/USD 1.00000000 1.10000000 EUR 2025-12-17 XXXX -5829.31000000 N N N Glencore Funding LLC 213800STG1QDNBY87K49 37790AXG3 250000.00000000 PA USD 249518.50000000 0.096809375111 Long STIV CORP US Y 2 2025-10-16 Fixed 0.00000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 31334XML0 28869.78000000 PA USD 26863.77000000 0.010422733331 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418E3E8 39002.33000000 PA USD 39386.26000000 0.015281268597 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 5.50000000 N N N N N N Mizuho Financial Group, Inc. 353800CI5L6DDAN5XZ33 60687YCZ0 300000.00000000 PA USD 312556.23000000 0.121267053599 Long DBT CORP JP N 2 2029-07-06 Variable 5.77800000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SX7 300000.00000000 PA USD 192885.66000000 0.074836696327 Long DBT UST US N 2 2051-05-15 Fixed 2.37500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -226.58000000 -0.00008790958 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 128621.52000000 PEN 36803.00000000 USD 2025-10-17 -226.58000000 N N N United States of America 254900HROIFWPRGM1V77 912810SZ2 2075000.00000000 PA USD 1214523.85000000 0.471216743353 Long DBT UST US N 2 2051-08-15 Fixed 2.00000000 N N N N N N HarborView Mortgage Loan Trust N/A 41161PVK6 45115.65000000 PA USD 32397.52000000 0.012569743992 Long ABS-MBS CORP US N 2 2035-10-19 Floating 5.74806960 N N N N N N Mid-America Apartments LP 549300FXWGE3QSYCUJ38 59523UAR8 400000.00000000 PA USD 376183.12000000 0.145953317187 Long DBT CORP US N 2 2030-03-15 Fixed 2.75000000 N N N N N N Chase Mortgage Finance Trust N/A 16162WQM4 24609.50620000 PA USD 22130.17000000 0.008586168676 Long ABS-MBS CORP US N 2 2036-01-25 Variable 4.43475360 N N N N N N Argent Securities Trust N/A 040104RV5 201445.38000000 PA USD 109597.18000000 0.042522035479 Long ABS-O CORP US N 2 2036-03-25 Floating 4.65239160 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3133KRD92 693461.31000000 PA USD 702671.38000000 0.272625786090 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.50000000 N N N N N N Crown Castle, Inc. 54930012H97VSM0I2R19 22823PXP3 855000.00000000 PA USD 852467.23000000 0.330744292865 Long STIV CORP US Y 2 2025-10-23 Fixed 0.00000000 N N N N N N N/A N/A N/A 200000.00000000 PA USD 1759.17000000 0.000682531148 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2035-09-17 0.00000000 USD 0.00000000 USD 200000.00000000 USD 1759.17000000 N N N N/A N/A N/A 1.00000000 NC N/A 7805.72000000 0.003028500393 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 145466678.00000000 JPY 991453.00000000 USD 2025-10-02 7805.72000000 N N N United States of America 254900HROIFWPRGM1V77 912834KP2 300000.00000000 PA USD 139851.90000000 0.054260405730 Long DBT UST US N 2 2041-08-15 None 0.00000000 N N N N N N Extended Stay America Trust N/A 30227FAC4 421638.04000000 PA USD 421637.53000000 0.163588935501 Long ABS-MBS CORP US Y 2 2038-07-15 Floating 5.34448080 N N N N N N Prime Mortgage Trust N/A 74160MDL3 452.38000000 PA USD 429.88000000 0.000166786888 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.67238960 N N N N N N N/A N/A N/A 100000.00000000 PA USD 23.86000000 0.000009257316 N/A DCR US N 2 ICE Clear US 549300HWWR1D8OTS2G29 Markit CDX North American Investment Grade Index Series 45-V1 2I65BYEI2 Y Payout of notional amount upon default event with regard to the reference instrument 2030-12-20 2264.54000000 USD 0.00000000 USD 100000.00000000 USD 23.86000000 N N N HarborView Mortgage Loan Trust N/A 41161PWV1 57291.55200000 PA USD 28172.56000000 0.010930523904 Long ABS-MBS CORP US N 2 2035-12-19 Variable 4.75378560 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140A1GJ0 876010.17000000 PA USD 885126.19000000 0.343415471593 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 5.50000000 N N N N N N N/A N/A N/A 806362.84000000 PA -684.48000000 -0.00026556780 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2027-01-04 0.00000000 USD 0.00000000 USD 806362.84000000 BRL -684.48000000 N N N UBS Group AG 549300SZJ9VS8SGXAN81 225401AP3 300000.00000000 PA USD 296352.36000000 0.114980199000 Long DBT CORP CH Y 2 2031-04-01 Variable 4.19400000 N N N N N N FHF Issuer Trust N/A 31568AAB2 271411.54000000 PA USD 274010.63000000 0.106311948269 Long ABS-O CORP US Y 2 2030-02-15 Fixed 5.69000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140QSMW8 253202.92000000 PA USD 253729.66000000 0.098443241009 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5.00000000 N N N N N N N/A N/A N/A -300000.00000000 PA USD -10.86000000 -0.00000421351 N/A DIR GB N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 Call Written N/A Swaption 1.00000000 3.39800000 USD 2025-10-06 XXXX 945.39000000 N N N N/A N/A N/A 1.00000000 NC N/A 102.39000000 0.000039725759 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 72290.00000000 USD 3180579.28000000 TRY 2025-12-08 102.39000000 N N N BCAP LLC Trust N/A 05534AAN1 6144.22000000 PA USD 6121.37000000 0.002374998264 Long ABS-MBS CORP US Y 2 2037-03-26 Variable 4.48023960 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402C4G4 28375.30000000 PA USD 29307.05000000 0.011370688733 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.50000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3132DVKP9 15127.91000000 PA USD 14057.84000000 0.005454227665 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140QSSU6 920165.22000000 PA USD 895767.41000000 0.347544102771 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4.50000000 N N N N N N Japan Government Bond 353800WZS8AXZXFUC241 N/A 60000000.00000000 PA 383943.44000000 0.148964203073 Long DBT NUSS JP N 2 2055-06-20 Fixed 2.80000000 N N N N N N N/A N/A N/A 181000.00000000 PA USD -3334.11000000 -0.00129358386 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-05-15 368.41000000 USD 0.00000000 USD 181000.00000000 USD -3334.11000000 N N N Choice Hotels International, Inc. 5493003CYRY5RFGTIR97 169905AF3 700000.00000000 PA USD 668396.89000000 0.259327806344 Long DBT CORP US N 2 2029-12-01 Fixed 3.70000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RW0 300000.00000000 PA USD 295654.02000000 0.114709253724 Long DBT UST US N 2 2047-02-15 Fixed 0.87500000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 N/A 800000.00000000 PA 530878.42000000 0.205972735890 Long DBT CORP FR Y 2 2027-07-17 Floating 5.05999865 N N N N N N Mercedes-Benz Finance North America LLC 549300423Z16BB673J12 58769JAF4 600000.00000000 PA USD 602104.62000000 0.233607415938 Long DBT CORP US Y 2 2026-03-30 Fixed 4.80000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3133KQM78 4830445.71000000 PA USD 4808794.69000000 1.865739049322 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5.00000000 N N N N N N N/A N/A N/A -5.00000000 NC USD -13288.15000000 -0.00515559967 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Short United States of America U.S. Treasury Long Bond 2025-12-19 -582968.75000000 USD -13288.15000000 N N N N/A N/A N/A 200000.00000000 PA USD 6006.87000000 0.002330574009 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2055-06-18 18775.72000000 USD 0.00000000 USD 200000.00000000 USD 6006.87000000 N N N GSAA Trust N/A 362334NB6 226634.44000000 PA USD 81529.77000000 0.031632308172 Long ABS-O CORP US N 2 2046-03-25 Variable 5.99493960 N N N N N N N/A N/A N/A -400000.00000000 PA USD -145.84000000 -0.00005658369 N/A DIR US N 2 Bank of America B4TYDEB6GKMZO031MB27 Call Written N/A Swaption 1.00000000 3.57500000 USD 2025-10-02 XXXX 1069.16000000 N N N N/A N/A N/A 1.00000000 NC N/A 160.48000000 0.000062263794 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 6861.00000000 USD 298316.28000000 TRY 2025-10-27 160.48000000 N N N Ocean Trails CLO XI 549300E51CF32RJNO651 67514VAL3 700000.00000000 PA USD 700210.00000000 0.271670808163 Long ABS-CBDO CORP KY Y 2 2034-07-20 Floating 5.35548960 N N N N N N N/A N/A N/A 1.00000000 NC N/A -876.83000000 -0.00034019667 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 2928000.00000000 ZAR 168067.87000000 USD 2025-11-20 -876.83000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 31394FHD0 3173.37000000 PA USD 3154.46000000 0.001223882403 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 4.88050920 N N N N N N Sunnova Helios XI Issuer LLC N/A 86746AAA3 523861.95000000 PA USD 482218.28000000 0.187093343195 Long ABS-O CORP US Y 2 2050-05-20 Fixed 5.30000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 5966.59000000 0.002314945983 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 123194.69000000 USD 2385000.00000000 MXN 2025-12-17 5966.59000000 N N N N/A N/A N/A 1.00000000 NC N/A -743.46000000 -0.00028845114 N/A DFE N/A N 2 Morgan Stanley & Co. International 4PQUHN3JPFGFNF3BB653 2529000.00000000 ZAR 145179.06000000 USD 2025-11-20 -743.46000000 N N N Republic of Philippines 529900RAHBALMYIJ3T08 718286CX3 600000.00000000 PA USD 613125.00000000 0.237883155418 Long DBT NUSS PH N 2 2048-01-17 Fixed 5.50000000 N N N N N N Trinitas CLO XIX Ltd. N/A 89642FAN3 700000.00000000 PA USD 700228.20000000 0.271677869486 Long ABS-CBDO CORP KY Y 2 2033-10-20 Floating 5.43548880 N N N N N N JP Morgan Chase Commercial Mortgage Securities Trust N/A 46654PAA4 800000.00000000 PA USD 799249.84000000 0.310096756626 Long ABS-MBS CORP US Y 2 2038-11-15 Floating 5.53047840 N N N N N N N/A N/A N/A 1450000.00000000 PA 6247.83000000 0.002424062817 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2036-03-18 0.00000000 USD 3836.94000000 USD 1450000.00000000 EUR 6247.83000000 N N N N/A N/A N/A 1400000.00000000 PA 12022.89000000 0.004664698080 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2033-09-20 10890.33000000 USD 0.00000000 USD 1400000.00000000 AUD 12022.89000000 N N N Manulife Financial Corp. 5493007GBX87QOZACS27 56501RAN6 1100000.00000000 PA USD 1053079.39000000 0.408578753433 Long DBT CORP CA N 2 2032-03-16 Fixed 3.70300000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 6578.37000000 0.002552307299 N/A DFE N/A N 2 Morgan Stanley & Co. International 4PQUHN3JPFGFNF3BB653 692414.00000000 USD 103370486.00000000 JPY 2025-10-02 6578.37000000 N N N HA Sustainable Infrastructure Capital, Inc. 254900ZZRL7MWL1X8E92 40408AAA9 500000.00000000 PA USD 512665.60000000 0.198906439310 Long DBT CORP US N 2 2031-01-15 Fixed 6.15000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31414LB98 17828.02000000 PA USD 18538.57000000 0.007192682615 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.50000000 N N N N N N American Home Mortgage Assets Trust N/A N/A 476974.05000000 PA USD 64684.84000000 0.025096732064 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.69999960 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3132DMG82 12093.82000000 PA USD 11223.25000000 0.004354449947 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -233.21000000 -0.00009048192 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 2674000.00000000 ZAR 154055.77000000 USD 2025-11-20 -233.21000000 N N N JP Morgan Mortgage Acquisition Corp. N/A 46626LCC2 38721.47000000 PA USD 38178.94000000 0.014812846838 Long ABS-O CORP US N 2 2035-10-25 Floating 2.70643680 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SF6 700000.00000000 PA USD 523514.25000000 0.203115550167 Long DBT UST US N 2 2049-02-15 Fixed 3.00000000 N N N N N N Crown Castle, Inc. 54930012H97VSM0I2R19 22823PXM0 683000.00000000 PA USD 681155.35000000 0.264277894373 Long STIV CORP US Y 2 2025-10-21 Fixed 0.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810TY4 1200000.00000000 PA USD 1163650.56000000 0.451478682188 Long DBT UST US N 2 2054-02-15 Fixed 2.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912797NU7 2700000.00000000 PA USD 2675151.90000000 1.037918165455 Long STIV UST US N 2 2025-12-26 None 0.00000000 N N N N N N Republic of Peru 254900STKLK2DBJJZ530 715638BY7 1000000.00000000 PA 305127.81000000 0.118384939855 Long DBT NUSS PE Y 2 2032-08-12 Fixed 6.15000000 N N N N N N STWD Ltd. N/A 78486BAA2 358258.79000000 PA USD 358231.24000000 0.138988261350 Long ABS-CBDO CORP KY Y 2 2038-04-18 Floating 5.45032080 N N N N N N Warwick Finance Residential Mortgages Number Three plc 213800JVKL1PIG7KRI38 N/A 215188.28000000 PA 289883.66000000 0.112470441989 Long ABS-MBS CORP GB Y 2 2049-12-21 Floating 4.92118915 N N N N N N N/A N/A N/A 8900000.00000000 PA USD 6018.23000000 0.002334981516 N/A DCR US N 2 ICE Clear US 549300HWWR1D8OTS2G29 Markit CDX North American Investment Grade Index Series 45-V1 2I65BYEI2 Y Payout of notional amount upon default event with regard to the reference instrument 2030-12-20 197649.13000000 USD 0.00000000 USD 8900000.00000000 USD 6018.23000000 N N N Mizuho Financial Group, Inc. 353800CI5L6DDAN5XZ33 60687YDF3 500000.00000000 PA USD 517356.75000000 0.200726534013 Long DBT CORP JP N 2 2030-07-10 Variable 5.38200000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3132DVK38 17246.08000000 PA USD 16026.18000000 0.006217913586 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.50000000 N N N N N N FNMA or FHLMC N/A 01F0526B3 21400000.00000000 PA USD 21567187.50000000 8.367740046477 Long ABS-MBS USGSE US N 2 2055-11-25 Fixed 5.50000000 N N N N N N ING Groep NV 549300NYKK9MWM7GGW15 N/A 300000.00000000 PA USD 289500.00000000 0.112321587757 Long DBT CORP NL Y 2 2029-05-16 Variable 4.87500000 N N N N N N Japan Government Bond 353800WZS8AXZXFUC241 N/A 120000000.00000000 PA 742925.08000000 0.288243608187 Long DBT NUSS JP N 2 2044-12-20 Fixed 2.00000000 N N N N N N Ready Capital Mortgage Financing LLC N/A 75575WAA4 152927.56000000 PA USD 152916.56000000 0.059329294692 Long ABS-CBDO CORP US Y 2 2036-11-25 Floating 5.47238880 N N N N N N N/A N/A N/A 300000.00000000 PA USD -2790.35000000 -0.00108261327 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2030-10-31 0.00000000 USD 0.00000000 USD 300000.00000000 USD -2790.35000000 N N N N/A N/A N/A 1.00000000 NC N/A 2228.22000000 0.000864515399 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 54138.92000000 USD 300000.00000000 BRL 2025-10-02 2228.22000000 N N N N/A N/A N/A 1500000.00000000 PA USD 80404.47000000 0.031195708922 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2054-06-20 38790.78000000 USD 0.00000000 USD 1500000.00000000 USD 80404.47000000 N N N N/A N/A N/A 3500000.00000000 PA USD -24288.24000000 -0.00942346694 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2032-06-15 411760.47000000 USD 0.00000000 USD 3500000.00000000 USD -24288.24000000 N N N Smurfit Westrock Financing DAC 6354005S6ZLHLVX7VT12 83272YAB8 400000.00000000 PA USD 411267.60000000 0.159565560708 Long DBT CORP IE N 2 2035-01-15 Fixed 5.41800000 N N N N N N N/A N/A N/A 200000.00000000 PA -2241.37000000 -0.00086961739 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2034-06-01 0.00000000 USD 196.87000000 USD 200000.00000000 CAD -2241.37000000 N N N Mosaic Solar Loan Trust N/A 618933AA3 133041.02000000 PA USD 131996.59000000 0.051212665172 Long ABS-O CORP US Y 2 2053-11-20 Fixed 5.91000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 99.36000000 0.000038550165 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 600000.00000000 BRL 107977.76000000 USD 2026-04-02 99.36000000 N N N Soundview Home Loan Trust N/A 83612NAC9 69086.03000000 PA USD 17675.49000000 0.006857820729 Long ABS-O CORP US N 2 2037-02-25 Floating 4.49238960 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3618N5RC5 2799998.66000000 PA USD 2634599.66000000 1.022184514388 Long ABS-MBS USGA US N 2 2055-07-20 Fixed 4.00000000 N N N N N N Alba plc 2138008XOOHJFP498784 N/A 169638.00000000 PA 224659.39000000 0.087164419306 Long ABS-MBS CORP GB Y 2 2039-03-17 Floating 4.26278025 N N N N N N HarborView Mortgage Loan Trust N/A 41161PMX8 20371.65000000 PA USD 15126.88000000 0.005868998892 Long ABS-MBS CORP US N 2 2035-07-19 Variable 4.81512600 N N N N N N New York State Electric & Gas Corp. 549300GEC6J0YHUXA160 649840CU7 900000.00000000 PA USD 933727.14000000 0.362271899470 Long DBT CORP US Y 2 2028-08-15 Fixed 5.65000000 N N N N N N Coty, Inc. 549300BO9IWPF3S48F93 N/A 500000.00000000 PA 595889.08000000 0.231195881149 Long DBT CORP US Y 2 2027-05-15 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36179UMN9 30179.91000000 PA USD 30543.55000000 0.011850431888 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140QTED7 30716.01000000 PA USD 31123.96000000 0.012075622122 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RN0 600000.00000000 PA USD 455255.46000000 0.176632179973 Long DBT UST US N 2 2045-08-15 Fixed 2.87500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 160.16000000 0.000062139639 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 6861.00000000 USD 298302.56000000 TRY 2025-10-27 160.16000000 N N N GNMA 549300M8ZYFG0OCMTT87 21H0606B2 3850500.00000000 PA USD 3916379.74000000 1.519495649936 Long ABS-MBS USGA US N 2 2055-11-15 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136APU75 122148.50500000 PA USD 6844.05000000 0.002655387090 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 1.97966520 N N N N N N N/A N/A N/A 700000.00000000 PA USD -9814.48000000 -0.00380786865 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2033-08-15 0.00000000 USD 0.00000000 USD 700000.00000000 USD -9814.48000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 3138EPLH5 27177.00000000 PA USD 27138.73000000 0.010529413621 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.50000000 N N N N N N RALI Trust N/A 761118PE2 6492.93000000 PA USD 5709.41000000 0.002215164063 Long ABS-MBS CORP US N 2 2035-12-25 Variable 5.26306680 N N N N N N JP Morgan Mortgage Trust N/A 46628BAG5 41346.04230000 PA USD 29578.58000000 0.011476038235 Long ABS-MBS CORP US N 2 2036-10-25 Variable 4.27381560 N N N N N N Merrill Lynch Mortgage Investors Trust N/A 59020UVM4 24247.63000000 PA USD 21768.17000000 0.008445718193 Long ABS-MBS CORP US N 2 2035-04-25 Variable 5.08674240 N N N N N N N/A N/A N/A 1.00000000 NC N/A 6653.19000000 0.002581336319 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 755023.45000000 USD 14064576.83000000 MXN 2025-12-17 6653.19000000 N N N New York State Electric & Gas Corp. 549300GEC6J0YHUXA160 649840CW3 1200000.00000000 PA USD 1225293.36000000 0.475395149096 Long DBT CORP US Y 2 2034-08-15 Fixed 5.30000000 N N N N N N Nissan Motor Co. Ltd. 353800DRBDH1LUTNAY26 654744AD3 800000.00000000 PA USD 752008.00000000 0.291767642715 Long DBT CORP JP Y 2 2030-09-17 Fixed 4.81000000 N N N N N N Jyske Realkredit A/S 529900R9HQNZRT2OXB26 N/A 0.80000000 PA 0.10000000 0.000000038798 Long DBT CORP DK N 2 2053-10-01 Fixed 1.50000000 N N N N N N Wells Fargo Mortgage Backed Securities Trust N/A 94984NAA0 274878.05170000 PA USD 259646.15000000 0.100738748956 Long ABS-MBS CORP US N 2 2036-10-25 Variable 6.72927120 N N N N N N Option One Mortgage Loan Trust N/A 68389BAC7 1053191.93000000 PA USD 493573.03000000 0.191498813138 Long ABS-O CORP US N 2 2037-02-25 Floating 4.55239080 N N N N N N Banc of America Funding Trust N/A 05951GAQ5 49361.40640000 PA USD 39123.65000000 0.015179379920 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -37976.59000000 -0.01473433812 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 1600000.00000000 BRL 262648.15000000 USD 2025-10-02 -37976.59000000 N N N Jones Lang LaSalle, Inc. 6SYKCME112RT8TQUO411 48020QAB3 400000.00000000 PA USD 429421.32000000 0.166608927389 Long DBT CORP US N 2 2028-12-01 Fixed 6.87500000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3133WBMK9 895428.79000000 PA USD 905922.14000000 0.351483983243 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 5.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -3390.27000000 -0.00131537308 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 5428412.78000000 BRL 1016556.70000000 USD 2025-10-02 -3390.27000000 N N N N/A N/A N/A 1.00000000 NC N/A 2897.71000000 0.001124267316 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 1016556.70000000 USD 5505569.43000000 BRL 2025-12-02 2897.71000000 N N N Santander Holdings USA, Inc. 549300SMVCQN2P0O6I58 80282KBQ8 400000.00000000 PA USD 412868.04000000 0.160186507036 Long DBT CORP US N 2 2031-03-20 Variable 5.74100000 N N N N N N N/A N/A N/A 200000.00000000 PA 1118.88000000 0.000434108387 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2029-10-05 0.00000000 USD 0.00000000 USD 200000.00000000 EUR 1118.88000000 N N N N/A N/A N/A 120000.00000000 PA USD -1585.83000000 -0.00061527787 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-05-15 0.00000000 USD 380.38000000 USD 120000.00000000 USD -1585.83000000 N N N Bear Stearns ARM Trust N/A 07384MZS4 3300.88000000 PA USD 3161.85000000 0.001226749610 Long ABS-MBS CORP US N 2 2034-01-25 Variable 5.92318440 N N N N N N N/A N/A N/A 200000.00000000 PA USD 76.70000000 0.000029758431 N/A DCR US N 2 ICE Clear US 549300HWWR1D8OTS2G29 Markit CDX North American Investment Grade Index Series 45-V1 2I65BYEI2 Y Payout of notional amount upon default event with regard to the reference instrument 2030-12-20 4500.09000000 USD 0.00000000 USD 200000.00000000 USD 76.70000000 N N N N/A N/A N/A 20000000.00000000 PA 3846.41000000 0.001492348457 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-06-18 0.00000000 USD 3793.77000000 USD 20000000.00000000 JPY 3846.41000000 N N N Sumitomo Mitsui Financial Group, Inc. 35380028MYWPB6AUO129 86562MCT5 300000.00000000 PA USD 301002.39000000 0.116784339770 Long DBT CORP JP N 2 2026-01-13 Fixed 5.46400000 N N N N N N United Airlines Pass-Through Trust N/A 90932EAA1 481771.06000000 PA USD 459012.20000000 0.178089737837 Long ABS-O CORP US N 2 2028-10-07 Fixed 2.87500000 N N N N N N JP Morgan Mortgage Trust N/A 46628KAT7 11656.67000000 PA USD 11558.21000000 0.004484409322 Long ABS-MBS CORP US N 2 2034-08-25 Variable 4.95971640 N N N N N N N/A N/A N/A 181000.00000000 PA USD -3621.97000000 -0.00140526915 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-05-15 656.27000000 USD 0.00000000 USD 181000.00000000 USD -3621.97000000 N N N United States of America 254900HROIFWPRGM1V77 912797NA1 200000.00000000 PA USD 199348.72000000 0.077344265104 Long STIV UST US N 2 2025-10-30 None 0.00000000 N N N N N N American Airlines Pass-Through Trust N/A 023771S25 119578.41000000 PA USD 111997.14000000 0.043453183381 Long ABS-O CORP US N 2 2028-10-15 Fixed 3.25000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418E2E9 806734.50000000 PA USD 825406.21000000 0.320245029539 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.00000000 N N N N N N N/A N/A N/A 6161055.21000000 PA 7167.82000000 0.002781004915 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2029-01-02 0.00000000 USD 0.00000000 USD 6161055.21000000 BRL 7167.82000000 N N N N/A N/A N/A 191000.00000000 PA USD -3488.25000000 -0.00135338783 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-05-15 358.69000000 USD 0.00000000 USD 191000.00000000 USD -3488.25000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 31418FAX5 1684281.85000000 PA USD 1722211.54000000 0.668191829452 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.00000000 N N N N N N CHL Mortgage Pass-Through Trust N/A 126670JY5 1618.25990000 PA USD 1402.42000000 0.000544117585 Long ABS-MBS CORP US N 2 2036-02-20 Floating 6.22416960 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416TL80 19978.22000000 PA USD 20352.38000000 0.007896413251 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 5.00000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45661EGE8 160230.74110000 PA USD 109292.76000000 0.042403925159 Long ABS-MBS CORP US N 2 2036-06-25 Variable 3.56138640 N N N N N N Option One Mortgage Loan Trust Asset-Backed Certificates N/A 68389FJJ4 237879.37000000 PA USD 226216.14000000 0.087768414580 Long ABS-O CORP US N 2 2035-11-25 Floating 4.96239120 N N N N N N N/A N/A N/A 400000.00000000 PA -196.47000000 -0.00007622736 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2030-09-17 0.00000000 USD 1981.38000000 USD 400000.00000000 GBP -196.47000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 3138ERDP2 7674.83000000 PA USD 7697.76000000 0.002986613559 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 4.50000000 N N N N N N Nissan Motor Acceptance Co. LLC 7D6DIU2QXTUJRFNNJA49 65480CAC9 800000.00000000 PA USD 772000.00000000 0.299524234018 Long DBT CORP US Y 2 2026-09-16 Fixed 1.85000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3133BHJQ0 214800.76000000 PA USD 209414.18000000 0.081249510177 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4.50000000 N N N N N N N/A N/A N/A 524000.00000000 PA USD 246.86000000 0.000095777917 N/A DFE GB N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 Call Purchased N/A Foreign Exchange USD/SEK 1.00000000 10.20000000 USD 2025-11-26 XXXX -3022.90000000 N N N GSAMP Trust N/A 362463AC5 106974.07000000 PA USD 57848.50000000 0.022444336336 Long ABS-O CORP US N 2 2036-06-25 Floating 4.45239000 N N N N N N Goodman US Finance Three LLC N/A 38239JAA9 500000.00000000 PA USD 492831.30000000 0.191211033203 Long DBT CORP US Y 2 2028-03-15 Fixed 3.70000000 N N N N N N CHL Mortgage Pass-Through Trust N/A 12669F6Z1 11727.23000000 PA USD 11290.26000000 0.004380448806 Long ABS-MBS CORP US N 2 2034-11-25 Variable 5.09672160 N N N N N N N/A N/A N/A 1.00000000 NC N/A -73.03000000 -0.00002833452 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 21644.00000000 USD 656463.00000000 TWD 2025-10-20 -73.03000000 N N N N/A N/A N/A 500000.00000000 PA -6102.44000000 -0.00236765371 N/A DCR US N 2 J.P. Morgan 8I5DZWZKVSZI1NUHU748 iTraxx Europe Crossover Index Series 42-V3 2I667KMF2 Y Payout of notional amount upon default event with regard to the reference instrument 2029-12-20 106195.74000000 USD 0.00000000 USD 500000.00000000 EUR -6102.44000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 1000000.00000000 PA 580800.56000000 0.225341765352 Long DBT NUSS AU Y 2 2035-06-21 Fixed 2.75000000 N N N N N N N/A N/A N/A 100000.00000000 PA USD 921.55000000 0.000357547354 N/A DCR US N 2 ICE Clear US 549300HWWR1D8OTS2G29 Verizon Communications, Inc. Verizon Communications, Inc. Y Payout of notional amount upon default event with regard to the reference instrument 2028-12-20 844.23000000 USD 0.00000000 USD 100000.00000000 USD 921.55000000 N N N STWD Ltd. N/A 78485KAA3 425279.17000000 PA USD 425078.95000000 0.164924154010 Long ABS-CBDO CORP KY Y 2 2038-11-15 Floating 5.72208120 N N N N N N Greywolf CLO III Ltd. 5493002TWMA4NNPZ2B66 39809CAY0 682653.15000000 PA USD 683164.46000000 0.265057398433 Long ABS-CBDO CORP KY Y 2 2033-04-22 Floating 5.56198920 N N N N N N European Investment Bank 5493006YXS1U5GIHE750 298785JV9 500000.00000000 PA USD 491946.10000000 0.190867589094 Long DBT NUSS US N 2 2033-02-14 Fixed 3.75000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137HLZD7 481226.26000000 PA USD 483794.71000000 0.187704974009 Long ABS-MBS USGSE US N 2 2055-06-25 Floating 5.35602960 N N N N N N CWABS Asset-Backed Certificates Trust N/A 12667LAE2 200064.75000000 PA USD 190606.11000000 0.073952265669 Long ABS-O CORP US N 2 2037-05-25 Floating 4.73239080 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SV1 1100000.00000000 PA USD 754307.56000000 0.292659836947 Long DBT UST US N 2 2051-02-15 Fixed 0.12500000 N N N N N N N/A N/A N/A -400000.00000000 PA USD -1392.19000000 -0.00054014850 N/A DIR GB N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 Call Written N/A Swaption 1.00000000 3.55000000 USD 2025-10-27 XXXX -312.19000000 N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 07274NAL7 600000.00000000 PA USD 597377.46000000 0.231773349905 Long DBT CORP US Y 2 2028-12-15 Fixed 4.37500000 N N N N N N Option One Mortgage Loan Trust N/A 68402YAA4 124809.68000000 PA USD 112154.40000000 0.043514197865 Long ABS-O CORP US N 2 2037-03-25 Floating 4.41239040 N N N N N N N/A N/A N/A 1.00000000 NC N/A 6520.06000000 0.002529683908 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 508823.00000000 USD 76211508.00000000 JPY 2025-10-02 6520.06000000 N N N N/A N/A N/A 1.00000000 NC N/A 1249.99000000 0.000484977069 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 220453.61000000 USD 9600644.49000000 TRY 2025-11-20 1249.99000000 N N N Citigroup Mortgage Loan Trust N/A 17309BAL1 95760.73000000 PA USD 47984.39000000 0.018617211994 Long ABS-O CORP US N 2 2036-05-25 Variable 7.25000040 N N N N N N N/A N/A N/A 1.00000000 NC N/A -4613.13000000 -0.00178982413 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 4104121.79000000 CAD 2949433.37000000 USD 2025-11-04 -4613.13000000 N N N N/A N/A N/A 699207.64000000 PA -119.72000000 -0.00004644953 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2029-01-02 0.00000000 USD 53.31000000 USD 699207.64000000 BRL -119.72000000 N N N N/A N/A N/A 1.00000000 NC N/A 811.47000000 0.000314837992 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 35414.39000000 USD 626436.29000000 ZAR 2025-10-20 811.47000000 N N N JP Morgan Mortgage Acquisition Trust N/A 46630XAF5 20575.41000000 PA USD 20405.86000000 0.007917162676 Long ABS-O CORP US N 2 2037-03-25 Floating 4.53238920 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SY5 800000.00000000 PA USD 592426.72000000 0.229852538238 Long DBT UST US N 2 2041-05-15 Fixed 2.25000000 N N N N N N N/A N/A N/A 200000.00000000 PA 563.89000000 0.000218780725 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2034-06-01 0.00000000 USD 0.00000000 USD 200000.00000000 CAD 563.89000000 N N N COPT Defense Properties LP H0TWO5VRNEP6CQAWPX27 22003BAL0 800000.00000000 PA USD 790800.80000000 0.306818657877 Long DBT CORP US N 2 2026-03-15 Fixed 2.25000000 N N N N N N Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates N/A 03072SQ32 47462.19000000 PA USD 47044.05000000 0.018252374405 Long ABS-O CORP US N 2 2035-11-25 Floating 4.97738880 N N N N N N Wells Fargo Commercial Mortgage Trust 549300REQJRID6TODX95 95001RAX7 800000.00000000 PA USD 799292.96000000 0.310113486529 Long ABS-MBS CORP US N 2 2052-01-15 Fixed 4.30200000 N N N N N N Ares European CLO XIV DAC 635400CPKWIBFGMQTE81 N/A 452869.94000000 PA 531816.90000000 0.206336851827 Long ABS-CBDO CORP IE Y 2 2034-10-21 Floating 3.05399880 N N N N N N WaMu Mortgage Pass-Through Certificates Trust N/A 92922FH84 161490.95000000 PA USD 161882.26000000 0.062807849647 Long ABS-MBS CORP US N 2 2045-02-25 Floating 4.77239040 N N N N N N Bear Stearns ARM Trust N/A 07384M2E1 14741.41000000 PA USD 13546.98000000 0.005256021771 Long ABS-MBS CORP US N 2 2034-11-25 Variable 5.39092440 N N N N N N N/A N/A N/A 300000.00000000 PA 1509.99000000 0.000585853106 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2029-10-05 0.00000000 USD 0.00000000 USD 300000.00000000 EUR 1509.99000000 N N N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 46647PBE5 900000.00000000 PA USD 848239.92000000 0.329104161013 Long DBT CORP US N 2 2030-10-15 Variable 2.73900000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1959.14000000 0.000760116460 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1865095.00000000 TWD 63245.00000000 USD 2025-10-20 1959.14000000 N N N JetBlue Pass-Through Trust N/A 477164AA5 634980.24000000 PA USD 600115.76000000 0.232835768570 Long ABS-O CORP US N 2 2032-11-15 Fixed 4.00000000 N N N N N N N/A N/A N/A 116000.00000000 PA USD 0.90000000 0.000000349186 N/A DFE US N 2 Morgan Stanley Capital Services I7331LVCZKQKX5T7XV54 Call Purchased N/A Foreign Exchange USD/SEK 1.00000000 10.12500000 USD 2025-10-14 XXXX -605.20000000 N N N GNMA 549300M8ZYFG0OCMTT87 38376RGB6 90615.83000000 PA USD 90563.86000000 0.035137397404 Long ABS-MBS USGA US N 2 2065-08-20 Floating 5.06581920 N N N N N N Bonos de la Tesoreria 254900STKLK2DBJJZ530 N/A 400000.00000000 PA 121772.44000000 0.047245850797 Long DBT NUSS PE Y 2 2035-08-12 Fixed 6.85000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912797RD1 100000.00000000 PA USD 99775.42000000 0.038711342291 Long STIV UST US N 2 2025-10-21 None 0.00000000 N N N N N N CWABS Asset-Backed Certificates Trust N/A 23243HAA9 590566.89000000 PA USD 540106.67000000 0.209553156243 Long ABS-O CORP US N 2 2047-06-25 Floating 4.55239080 N N N N N N EMC Mortgage Loan Trust N/A 268668AA8 1825.33000000 PA USD 1819.42000000 0.000705907230 Long ABS-O CORP US Y 2 2040-05-25 Floating 5.01239160 N N N N N N Charter Communications Operating LLC N/A 161175CD4 800000.00000000 PA USD 743424.00000000 0.288437181543 Long DBT CORP US N 2 2029-01-15 Fixed 2.25000000 N N N N N N AP Moller - Maersk A/S 549300D2K6PKKKXVNN73 00203QAE7 700000.00000000 PA USD 707611.10000000 0.274542322164 Long DBT CORP DK Y 2 2029-06-20 Fixed 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SL3 1500000.00000000 PA USD 895792.05000000 0.347553662715 Long DBT UST US N 2 2050-02-15 Fixed 2.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1913.45000000 -0.00074238943 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 300000.00000000 BRL 52025.75000000 USD 2026-04-02 -1913.45000000 N N N European Union 529900FZRK8FGMPEOM08 N/A 100000.00000000 PA 115957.97000000 0.044989925055 Long DBT NUSS BE Y 2 2031-12-04 Fixed 2.50000000 N N N N N N Post Road Equipment Finance LLC N/A 73747LAB4 800000.00000000 PA USD 803680.64000000 0.311815839497 Long ABS-O CORP US Y 2 2031-05-15 Fixed 4.90000000 N N N N N N CPPIB Capital, Inc. 549300KW9NB55HTDK075 12593CAY7 500000.00000000 PA 378737.59000000 0.146944412615 Long DBT NUSS CA Y 2 2034-06-02 Fixed 4.30000000 N N N N N N Nissan Motor Acceptance Co. LLC 7D6DIU2QXTUJRFNNJA49 654740BT5 800000.00000000 PA USD 750024.00000000 0.290997880953 Long DBT CORP US Y 2 2028-03-09 Fixed 2.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SM1 100000.00000000 PA USD 74024.03000000 0.028720195446 Long DBT UST US N 2 2050-02-15 Fixed 0.25000000 N N N N N N NovaStar Mortgage Funding Trust N/A 66988YAE2 95148.02000000 PA USD 26712.44000000 0.010364019598 Long ABS-O CORP US N 2 2036-11-25 Floating 4.75238880 N N N N N N Wind River CLO Ltd. N/A 97315VAL1 300000.00000000 PA USD 300310.20000000 0.116515780599 Long ABS-CBDO CORP KY Y 2 2034-07-20 Floating 5.12247960 N N N N N N Securitized Asset-Backed Receivables LLC Trust N/A 81379EAA0 26189.24000000 PA USD 19842.47000000 0.007698575942 Long ABS-O CORP US N 2 2037-05-25 Floating 4.53238920 N N N N N N United States of America 254900HROIFWPRGM1V77 912810UE6 300000.00000000 PA USD 288645.81000000 0.111990175055 Long DBT UST US N 2 2054-11-15 Fixed 4.50000000 N N N N N N DC Office Trust N/A 23312BAA8 1300000.00000000 PA USD 1181122.67000000 0.458257594577 Long ABS-MBS CORP US Y 2 2045-09-15 Fixed 2.96500000 N N N N N N Alternative Loan Trust N/A 12667GC84 85590.61000000 PA USD 44946.13000000 0.017438413420 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.27239080 N N N N N N Bear Stearns ARM Trust N/A 07384M4J8 2918.48000000 PA USD 2613.65000000 0.001014056365 Long ABS-MBS CORP US N 2 2035-01-25 Variable 5.12499960 N N N N N N N/A N/A N/A 400000.00000000 PA USD 18603.01000000 0.007217684353 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2054-06-20 13182.39000000 USD 0.00000000 USD 400000.00000000 USD 18603.01000000 N N N N/A N/A N/A -200000.00000000 PA -434.35000000 -0.00016852118 N/A DIR GB N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 Put Written N/A Swaption 1.00000000 2.75000000 EUR 2025-10-17 XXXX 26.79000000 N N N N/A N/A N/A 1500000.00000000 PA USD -8486.73000000 -0.00329272189 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2028-05-31 0.00000000 USD 0.00000000 USD 1500000.00000000 USD -8486.73000000 N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 31426WSE1 31715.19000000 PA USD 31563.13000000 0.012246013389 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 5.00000000 N N N N N N United Mexican States 254900EGTWEU67VP6075 N/A 500000.00000000 PA 602986.21000000 0.233949459422 Long DBT NUSS MX N 2 2032-05-25 Fixed 4.48990000 N N N N N N Bonos de la Tesoreria 254900STKLK2DBJJZ530 N/A 2400000.00000000 PA 771041.57000000 0.299152377786 Long DBT NUSS PE Y 2 2033-08-12 Fixed 7.30000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810ST6 11000000.00000000 PA USD 7170849.40000000 2.782180276943 Long DBT UST US N 2 2040-11-15 Fixed 1.37500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140XQZ75 292348.34000000 PA USD 283513.57000000 0.109998944155 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 2.50000000 N N N N N N Edison International 549300I7ROF15MAEVP56 281020BC0 350000.00000000 PA USD 363658.82000000 0.141094079669 Long DBT CORP US N 2 2030-03-15 Fixed 6.25000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 459.17000000 0.000178150961 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 181091.70000000 USD 7942319.78000000 TRY 2025-12-03 459.17000000 N N N N/A N/A N/A 4402984.18000000 PA 3970.32000000 0.001540423648 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2029-01-02 0.00000000 USD 153.39000000 USD 4402984.18000000 BRL 3970.32000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 3140QSST9 915130.32000000 PA USD 864250.45000000 0.335316002638 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4.00000000 N N N N N N N/A N/A N/A 229000000.00000000 PA 39969.70000000 0.015507634425 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-06-18 0.00000000 USD 39366.99000000 USD 229000000.00000000 JPY 39969.70000000 N N N N/A N/A N/A 227000.00000000 PA USD -1130.17000000 -0.00043848873 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2035-05-15 0.00000000 USD 296.62000000 USD 227000.00000000 USD -1130.17000000 N N N N/A N/A N/A 300000.00000000 PA USD 10814.88000000 0.004196008611 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2054-12-17 0.00000000 USD 0.00000000 USD 300000.00000000 USD 10814.88000000 N N N Global Payments, Inc. 549300NOMHGVQBX6S778 37940XAD4 700000.00000000 PA USD 647704.96000000 0.251299652868 Long DBT CORP US N 2 2030-05-15 Fixed 2.90000000 N N N N N N Morgan Stanley Bank NA G1MLHIS0N32I3QPILB75 61690U8B9 500000.00000000 PA USD 511013.60000000 0.198265488488 Long DBT CORP US N 2 2028-05-26 Variable 5.50400000 N N N N N N Japan Government Bond 353800WZS8AXZXFUC241 N/A 52000000.00000000 PA 269131.10000000 0.104418764997 Long DBT NUSS JP N 2 2064-03-20 Fixed 2.20000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -208.44000000 -0.00008087154 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 113435.47000000 PEN 32450.00000000 USD 2025-10-16 -208.44000000 N N N Mercedes-Benz Finance North America LLC 549300423Z16BB673J12 58769JAZ0 200000.00000000 PA USD 203129.98000000 0.078811336354 Long DBT CORP US Y 2 2027-11-15 Fixed 4.90000000 N N N N N N RFMSI Trust N/A 762009AL2 45073.63000000 PA USD 35923.51000000 0.013937774373 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6.00000000 N N N N N N N/A N/A N/A 400000.00000000 PA USD 3367.40000000 0.001306499877 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2025-12-18 46.31000000 USD 0.00000000 USD 400000.00000000 USD 3367.40000000 N N N HAT Holdings I LLC N/A 418751AL7 216000.00000000 PA USD 224797.74000000 0.087218096998 Long DBT CORP US Y 2 2027-06-15 Fixed 8.00000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3132DWD67 1943706.98000000 PA USD 1711264.89000000 0.663944696089 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 3.00000000 N N N N N N Expedia Group, Inc. N/A 30212PAR6 500000.00000000 PA USD 477768.15000000 0.185366760579 Long DBT CORP US N 2 2030-02-15 Fixed 3.25000000 N N N N N N Prime Mortgage Trust N/A 74161QAA0 7912.03000000 PA USD 7899.71000000 0.003064967081 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.77239040 N N N N N N Weyerhaeuser Co. 08IRJODWFYBI7QWRGS31 962166CC6 234000.00000000 PA USD 234437.25000000 0.090958079963 Long DBT CORP US N 2 2026-05-15 Fixed 4.75000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3133C1LA6 41548.51000000 PA USD 39238.48000000 0.015223932209 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 4.00000000 N N N N N N Province of British Columbia 54930058TO7MEKUHWL16 110709AK8 200000.00000000 PA 149886.79000000 0.058153790109 Long DBT NUSS CA N 2 2034-06-18 Fixed 4.15000000 N N N N N N RALI Trust N/A 75115DAK1 8615.19810000 PA USD 6901.07000000 0.002677509981 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.00000000 N N N N N N Lehman XS Trust N/A 52522HAC6 7169.61780000 PA USD 8630.97000000 0.003348684816 Long ABS-O CORP US N 2 2036-06-25 Floating 4.62503160 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RA8 1200000.00000000 PA USD 1277269.29000000 0.495561017776 Long DBT UST US N 2 2043-02-15 Fixed 0.62500000 N N N N N N MF1 LLC N/A 55287HAA8 500000.00000000 PA USD 500918.10000000 0.194348588353 Long ABS-CBDO CORP US Y 2 2040-02-18 Floating 5.45583960 N N N N N N Republic of South Africa 378900AAFB4F17004C49 N/A 260000.00000000 PA 13101.94000000 0.005083353034 Long DBT NUSS ZA N 2 2044-01-31 Fixed 8.75000000 N N N N N N FS Rialto Issuer LLC N/A 30326MAA3 301690.65000000 PA USD 301691.74000000 0.117051797063 Long ABS-CBDO CORP US Y 2 2039-01-19 Floating 6.28746840 N N N N N N Republic of Peru 254900STKLK2DBJJZ530 715638BD3 81000.00000000 PA 25812.41000000 0.010014821675 Long DBT NUSS PE Y 2 2031-08-12 Fixed 6.95000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 58104.20000000 0.022543544039 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 977232.00000000 USD 5510318.08000000 BRL 2025-10-02 58104.20000000 N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 38151LAH3 500000.00000000 PA USD 500445.55000000 0.194165246155 Long DBT CORP US N 2 2027-05-21 Floating 4.92998760 N N N N N N N/A N/A N/A 248000.00000000 PA USD 2772.32000000 0.001075617907 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2035-05-15 0.00000000 USD 4331.11000000 USD 248000.00000000 USD 2772.32000000 N N N N/A N/A N/A 1.00000000 NC N/A 43.92000000 0.000017040290 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 56323.22000000 USD 300000.00000000 BRL 2025-10-02 43.92000000 N N N N/A N/A N/A 100000.00000000 PA -1759.87000000 -0.00068280273 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2033-06-01 312.14000000 USD 0.00000000 USD 100000.00000000 CAD -1759.87000000 N N N N/A N/A N/A 12015295.38000000 PA -114488.40000000 -0.04441975429 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2027-01-04 0.00000000 USD 0.00000000 USD 12015295.38000000 BRL -114488.40000000 N N N Citigroup Mortgage Loan Trust N/A 17307GW79 1412.04310000 PA USD 1471.73000000 0.000571008809 Long ABS-MBS CORP US N 2 2035-10-25 Floating 6.48000000 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 90351DAF4 600000.00000000 PA USD 599232.72000000 0.232493162509 Long DBT CORP CH Y 2 2026-04-15 Fixed 4.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912797MS3 500000.00000000 PA USD 499944.40000000 0.193970807593 Long STIV UST US N 2 2025-10-02 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 547.54000000 0.000212437174 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 38975.79000000 USD 1693342.17000000 TRY 2025-11-06 547.54000000 N N N GoodLeap Sustainable Home Solutions Trust N/A 38237KAA8 695263.83000000 PA USD 605510.69000000 0.234928919187 Long ABS-O CORP US Y 2 2049-04-20 Fixed 4.00000000 N N N N N N FHF Trust N/A 30327CAA4 100201.78000000 PA USD 100143.47000000 0.038854140082 Long ABS-O CORP US Y 2 2028-01-18 Fixed 4.43000000 N N N N N N Worldwide Plaza Trust N/A 98162JAA4 900000.00000000 PA USD 608705.82000000 0.236168580930 Long ABS-MBS CORP US Y 2 2036-11-10 Fixed 3.52630000 N N N N N N American Tower Corp. 5493006ORUSIL88JOE18 03027XBG4 400000.00000000 PA USD 353847.00000000 0.137287243050 Long DBT CORP US N 2 2030-10-15 Fixed 1.87500000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31395M2F5 2319.30000000 PA USD 2249.46000000 0.000872756196 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 5.35341960 N N N N N N GNMA 549300M8ZYFG0OCMTT87 21H0506B3 2040000.00000000 PA USD 2027090.68000000 0.786480289137 Long ABS-MBS USGA US N 2 2055-11-15 Fixed 5.00000000 N N N N N N Republic of Chile 549300FLZTJM5YJF8D34 168863EB0 900000.00000000 PA USD 919350.00000000 0.356693788271 Long DBT NUSS CL N 2 2029-01-22 Fixed 4.85000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SJ8 2360000.00000000 PA USD 1504241.34000000 0.583622713915 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N Bear Stearns Structured Products, Inc. Trust N/A 07402FAC9 19526.58000000 PA USD 15402.19000000 0.005975814976 Long ABS-MBS CORP US N 2 2046-12-26 Variable 3.96489960 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2257.67000000 -0.00087594155 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 100000.00000000 BRL 16531.38000000 USD 2025-10-02 -2257.67000000 N N N Oncor Electric Delivery Co. LLC 549300SP2X2BS1KERD24 N/A 500000.00000000 PA 590245.01000000 0.229006068010 Long DBT CORP US Y 2 2031-05-15 Fixed 3.50000000 N N N N N N Bank of America Corp. 9DJT3UXIJIZJI4WXO774 06051GLC1 600000.00000000 PA USD 625342.20000000 0.242623242817 Long DBT CORP US N 2 2028-11-10 Variable 6.20400000 N N N N N N Extended Stay America Trust N/A 30227FAA8 674620.89000000 PA USD 674621.16000000 0.261742728240 Long ABS-MBS CORP US Y 2 2038-07-15 Floating 5.34448080 N N N N N N United States of America 254900HROIFWPRGM1V77 912810TF5 300000.00000000 PA USD 222096.21000000 0.086169944532 Long DBT UST US N 2 2042-02-15 Fixed 2.37500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617A8MD8 24778.72000000 PA USD 22497.71000000 0.008728768594 Long ABS-MBS USGA US N 2 2045-08-15 Fixed 3.00000000 N N N N N N N/A N/A N/A 200000.00000000 PA USD 8017.54000000 0.003110683325 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2054-06-20 7875.16000000 USD 0.00000000 USD 200000.00000000 USD 8017.54000000 N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3132DNG64 884983.71000000 PA USD 811045.80000000 0.314673409325 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 111.84000000 0.000043392215 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 652632.00000000 TWD 21644.00000000 USD 2025-12-15 111.84000000 N N N GSPA Monetization Trust N/A 36298GAA7 167501.70000000 PA USD 173342.89000000 0.067254399416 Long ABS-O CORP US Y 2 2029-10-09 Fixed 6.42200000 N N N N N N First Horizon Alternative Mortgage Securities Trust N/A 32051GQA6 27836.28810000 PA USD 22953.16000000 0.008905476252 Long ABS-MBS CORP US N 2 2035-08-25 Variable 4.60144800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396V4Q8 5126.78000000 PA USD 5035.02000000 0.001953511021 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.52287080 N N N N N N Option One Mortgage Loan Trust N/A 68403HAA0 298715.93000000 PA USD 175784.47000000 0.068201695245 Long ABS-O CORP US N 2 2037-05-25 Floating 4.49238960 N N N N N N Ameren Missouri Securitization Funding I LLC N/A 023940AA7 700000.00000000 PA USD 700177.10000000 0.271658043465 Long DBT CORP US N 2 2039-10-01 Fixed 4.85000000 N N N N N N Structured Asset Mortgage Investments II Trust N/A 86359LPF0 12392.24000000 PA USD 12192.84000000 0.004730636090 Long ABS-MBS CORP US N 2 2035-07-19 Floating 4.74806880 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SP4 400000.00000000 PA USD 200812.36000000 0.077912135117 Long DBT UST US N 2 2050-08-15 Fixed 1.37500000 N N N N N N Barclays plc 213800LBQA1Y9L22JB70 06738EBR5 700000.00000000 PA USD 632375.80000000 0.245352172418 Long DBT CORP GB N 2 2032-03-10 Variable 2.66700000 N N N N N N BlueMountain CLO Ltd. N/A 09630AAN6 313247.70000000 PA USD 313712.56000000 0.121715692015 Long ABS-CBDO CORP KY Y 2 2030-10-25 Floating 5.50846080 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SU3 2450000.00000000 PA USD 1397982.99000000 0.542396093589 Long DBT UST US N 2 2051-02-15 Fixed 1.87500000 N N N N N N N/A N/A N/A 5.00000000 NC USD 1009.58000000 0.000391701653 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long United States of America U.S. Treasury 2 Year Note 2025-12-31 1041992.19000000 USD 1009.58000000 N N N United States of America 254900HROIFWPRGM1V77 912810TB4 625000.00000000 PA USD 353192.38000000 0.137033260467 Long DBT UST US N 2 2051-11-15 Fixed 1.87500000 N N N N N N AP Moller - Maersk A/S 549300D2K6PKKKXVNN73 00203QAF4 300000.00000000 PA USD 318668.31000000 0.123638447485 Long DBT CORP DK Y 2 2033-09-14 Fixed 5.87500000 N N N N N N N/A N/A N/A 68000.00000000 PA 1350.53000000 0.000523985056 N/A DFE GB N 2 HSBC BANK USA N.A. N/A Put Purchased N/A Foreign Exchange EUR/USD 1.00000000 1.09750000 EUR 2025-12-23 XXXX -6545.29000000 N N N N/A N/A N/A 1.00000000 NC N/A 1197.29000000 0.000464530272 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 1705115.00000000 TWD 57226.31000000 USD 2025-10-20 1197.29000000 N N N Prologis LP GL16H1DHB0QSHP25F723 74340XCP4 700000.00000000 PA 513825.15000000 0.199356327038 Long DBT CORP US N 2 2033-02-15 Fixed 4.20000000 N N N N N N N/A N/A N/A 1450000.00000000 PA 9020.44000000 0.003499793240 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2036-03-18 0.00000000 USD 6609.55000000 USD 1450000.00000000 EUR 9020.44000000 N N N Stonepeak ABS N/A 78433XAA8 239246.79000000 PA USD 231184.13000000 0.089695918983 Long ABS-O CORP US Y 2 2033-02-28 Fixed 2.30100000 N N N N N N Renaissance Home Equity Loan Trust N/A 75970HAE0 544628.71000000 PA USD 160765.74000000 0.062374656904 Long ABS-O CORP US N 2 2037-01-25 Variable 5.28500160 N N N N N N GreatAmerica Leasing Receivables Funding LLC 549300JFP7GIDD4UWO79 39154GAH9 500000.00000000 PA USD 501445.95000000 0.194553386108 Long ABS-O CORP US Y 2 2027-10-15 Fixed 4.52000000 N N N N N N Southern California Edison Co. 9R1Z5I36FERIBVKW4P77 842400GK3 100000.00000000 PA USD 76235.48000000 0.029578204342 Long DBT CORP US N 2 2048-03-01 Fixed 4.12500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3618N5PE3 995717.26000000 PA USD 908592.80000000 0.352520158620 Long ABS-MBS USGA US N 2 2055-06-20 Fixed 3.50000000 N N N N N N Lazard Group LLC FI94J2CJ1D7BIGVMS874 52107QAJ4 700000.00000000 PA USD 703384.50000000 0.272902465781 Long DBT CORP US N 2 2028-09-19 Fixed 4.50000000 N N N N N N N/A N/A N/A 26.00000000 NC 47679.98000000 0.018499105553 N/A DIR CA N 1 Canadian Derivatives Clearing 5493004XJK1P32XQLA57 Long Canada Canada 10 Year Bond 2025-12-18 3183960.00000000 CAD 47679.98000000 N N N N/A N/A N/A 1450000.00000000 PA 9169.28000000 0.003557540891 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2036-03-18 0.00000000 USD 6758.39000000 USD 1450000.00000000 EUR 9169.28000000 N N N N/A N/A N/A 188000.00000000 PA 1.55000000 0.000000601376 N/A DFE GB N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 Put Purchased N/A Foreign Exchange AUD/USD 1.00000000 0.62250000 AUD 2025-10-14 XXXX -547.49000000 N N N N/A N/A N/A 800000.00000000 PA -3620.60000000 -0.00140473761 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2056-03-18 0.00000000 USD 11509.55000000 USD 800000.00000000 EUR -3620.60000000 N N N University of Michigan N/A 914455UK4 900000.00000000 PA USD 678169.98000000 0.263119616313 Long DBT MUN US N 2 2052-04-01 Fixed 3.50400000 N N N N N N Goldman Sachs Group, Inc. (The) 784F5XWPLTWKTBV3E584 38141GB29 500000.00000000 PA USD 512121.50000000 0.198695336803 Long DBT CORP US N 2 2030-07-23 Variable 5.04900000 N N N N N N Enel Finance International NV 0YQH6LCEF474UTUV4B96 29278GAN8 2300000.00000000 PA USD 2170942.63000000 0.842292653302 Long DBT CORP NL Y 2 2028-07-12 Fixed 2.12500080 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SD1 12800000.00000000 PA USD 9611411.20000000 3.729081058965 Long DBT UST US N 2 2048-08-15 Fixed 3.00000000 N N N N N N Hilton USA Trust N/A 43289VAA1 600000.00000000 PA USD 502376.34000000 0.194914363248 Long ABS-MBS CORP US Y 2 2035-11-05 Fixed 2.82843800 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SK5 400000.00000000 PA USD 261380.48000000 0.101411642564 Long DBT UST US N 2 2049-11-15 Fixed 2.37500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 939.02000000 0.000364325448 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1111676.00000000 TWD 37468.00000000 USD 2025-10-20 939.02000000 N N N Madison Park Funding XLVI Ltd. N/A 55822AAW7 700000.00000000 PA USD 700560.00000000 0.271806602829 Long ABS-CBDO CORP KY Y 2 2034-10-15 Floating 5.31754920 N N N N N N N/A N/A N/A -400000.00000000 PA USD -680.26000000 -0.00026393051 N/A DIR GB N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 Put Written N/A Swaption 1.00000000 3.85000000 USD 2025-10-27 XXXX 399.74000000 N N N N/A N/A N/A 1.00000000 NC N/A 1283.81000000 0.000498098713 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 209066.48000000 USD 9102022.81000000 TRY 2025-11-19 1283.81000000 N N N MortgageIT Trust N/A 61915RAV8 18196.99000000 PA USD 18163.70000000 0.007047238768 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.89238920 N N N N N N Sprint Spectrum Co. LLC N/A 85208NAE0 200000.00000000 PA USD 201369.18000000 0.078128172790 Long DBT CORP US Y 2 2028-03-20 Fixed 5.15200000 N N N N N N N/A N/A N/A 400000.00000000 PA USD -3610.56000000 -0.00140084225 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2030-10-31 0.00000000 USD 0.00000000 USD 400000.00000000 USD -3610.56000000 N N N N/A N/A N/A 483738.06000000 PA -288.93000000 -0.00011210043 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2027-01-04 0.00000000 USD 0.00000000 USD 483738.06000000 BRL -288.93000000 N N N Kilroy Realty LP 5493008CT3N3JR7P1552 49427RAQ5 1700000.00000000 PA USD 1411995.52000000 0.547832741666 Long DBT CORP US N 2 2032-11-15 Fixed 2.50000000 N N N N N N JDE Peet's NV 724500EHG519SE5ZRT89 47216QAC7 400000.00000000 PA USD 346753.80000000 0.134535189557 Long DBT CORP NL Y 2 2031-09-24 Fixed 2.25000000 N N N N N N DOLP Trust N/A 23345LAA7 1000000.00000000 PA USD 892037.00000000 0.346096760546 Long ABS-MBS CORP US Y 2 2041-05-10 Fixed 2.95600000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1109.20000000 0.000430352694 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1493327.00000000 TWD 50179.00000000 USD 2025-10-20 1109.20000000 N N N GNMA 549300M8ZYFG0OCMTT87 38376RVV5 40461.63000000 PA USD 40558.12000000 0.015735932417 Long ABS-MBS USGA US N 2 2066-06-20 Floating 5.26582080 N N N N N N Thornburg Mortgage Securities Trust N/A 88522XAE1 71531.89000000 PA USD 62535.36000000 0.024262766584 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.58320040 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36179UWB4 882850.39000000 PA USD 894591.59000000 0.347087902531 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 5.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -170.22000000 -0.00006604276 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1586000.00000000 ZAR 91341.49000000 USD 2025-11-20 -170.22000000 N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132XXNS4 51896.71000000 PA USD 48384.79000000 0.018772561091 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36185G6X8 4974.30000000 PA USD 4507.17000000 0.001748713266 Long ABS-MBS USGA US N 2 2045-07-15 Fixed 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 3980.32000000 0.001544303496 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 125564.83000000 USD 2377180.81000000 MXN 2025-10-20 3980.32000000 N N N WaMu Asset-Backed Certificates Trust N/A 92926SAD8 194120.43000000 PA USD 66893.26000000 0.025953565365 Long ABS-O CORP US N 2 2037-04-25 Floating 4.77239040 N N N N N N LPL Holdings, Inc. 549300Z5YF8CCRMYUL26 50212YAL8 500000.00000000 PA USD 510376.45000000 0.198018283999 Long DBT CORP US N 2 2030-03-15 Fixed 5.20000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3132DWKN2 780583.48000000 PA USD 788267.39000000 0.305835733409 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 5.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912797RB5 1400000.00000000 PA USD 1399056.82000000 0.542812723263 Long STIV UST US N 2 2025-10-07 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -9660.03000000 -0.00374794441 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 520846.09000000 PEN 140249.91000000 USD 2025-10-27 -9660.03000000 N N N Province of Quebec 549300WN65YFEQH74Y36 74814ZFT5 1500000.00000000 PA 1147712.33000000 0.445294891861 Long DBT NUSS CA N 2 2034-09-01 Fixed 4.45000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -225.45000000 -0.00008747116 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 94837.99000000 PEN 27078.00000000 USD 2025-10-17 -225.45000000 N N N Bear Stearns Structured Products, Inc. Trust N/A 07402FAA3 18968.94000000 PA USD 13256.04000000 0.005143141485 Long ABS-MBS CORP US N 2 2036-01-26 Variable 4.97199960 N N N N N N N/A N/A N/A 300000.00000000 PA -5165.84000000 -0.00200426718 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-06-01 0.00000000 USD 6611.75000000 USD 300000.00000000 CAD -5165.84000000 N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128M8Q80 19603.36000000 PA USD 19196.22000000 0.007447840792 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4.00000000 N N N N N N Southern California Edison Co. 9R1Z5I36FERIBVKW4P77 842400JJ3 500000.00000000 PA USD 510249.15000000 0.197968893539 Long DBT CORP US N 2 2030-03-15 Fixed 5.25000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 81.92000000 0.000031783711 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 3430.00000000 USD 148254.89000000 TRY 2025-10-20 81.92000000 N N N FHF Issuer Trust N/A 30336NAC5 418869.12000000 PA USD 423634.68000000 0.164363799262 Long ABS-O CORP US Y 2 2030-06-15 Fixed 5.89000000 N N N N N N N/A N/A N/A 244.00000000 NC USD 121680.36000000 0.047210125160 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long United States of America U.S. Treasury 10 Year Note 2025-12-19 27450000.00000000 USD 121680.36000000 N N N Alternative Loan Trust N/A 02147DAB7 204942.09050000 PA USD 200348.21000000 0.077732051991 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.65239160 N N N N N N BMW US Capital LLC KK5MZM9DIXLXZL9DZL15 05565ECW3 200000.00000000 PA USD 202972.72000000 0.078750321871 Long DBT CORP US Y 2 2028-03-21 Fixed 4.75000000 N N N N N N WaMu Mortgage Pass-Through Certificates Trust N/A 93364FAM3 35998.77000000 PA USD 32793.52000000 0.012723385956 Long ABS-MBS CORP US N 2 2037-07-25 Variable 4.66183080 N N N N N N United Airlines Pass-Through Trust N/A 90931GAA7 368777.08000000 PA USD 377105.47000000 0.146311174930 Long ABS-O CORP US N 2 2027-10-15 Fixed 5.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RY6 300000.00000000 PA USD 217171.71000000 0.084259313585 Long DBT UST US N 2 2047-08-15 Fixed 2.75000000 N N N N N N N/A N/A N/A 300000.00000000 PA USD 1276.44000000 0.000495239265 N/A DCR US N 2 Goldman Sachs FOR8UP27PHTHYVLBNG30 Verizon Communications, Inc. Verizon Communications, Inc. Y Payout of notional amount upon default event with regard to the reference instrument 2029-12-20 4522.84000000 USD 0.00000000 USD 300000.00000000 USD 1276.44000000 N N N GNMA 549300M8ZYFG0OCMTT87 38376RPV2 40783.60860000 PA USD 40974.17000000 0.015897353476 Long ABS-MBS USGA US N 2 2066-01-20 Floating 5.46581880 N N N N N N Goldman Sachs Group, Inc. (The) 784F5XWPLTWKTBV3E584 38141GA87 500000.00000000 PA USD 523030.15000000 0.202927726745 Long DBT CORP US N 2 2030-04-25 Variable 5.72700000 N N N N N N Arbor Realty Commercial Real Estate Notes Ltd. N/A 03880XAA4 395732.29000000 PA USD 395732.13000000 0.153538035122 Long ABS-CBDO CORP KY Y 2 2037-01-15 Floating 5.82207840 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RXJ0 428.10000000 PA USD 426.25000000 0.000165378503 Long ABS-MBS USGA US N 2 2066-08-20 Floating 4.91582160 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394VL73 1366.18000000 PA USD 1397.01000000 0.000542018588 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 6.37301160 N N N N N N FNMA or FHLMC N/A 01F0606B6 5930000.00000000 PA USD 6056707.50000000 2.349910200277 Long ABS-MBS USGSE US N 2 2055-11-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138AU6B8 6032.36000000 PA USD 6038.87000000 0.002342989522 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 4.50000000 N N N N N N Japan Government Bond 353800WZS8AXZXFUC241 N/A 97000000.00000000 PA 570694.32000000 0.221420698260 Long DBT NUSS JP N 2 2055-03-20 Fixed 2.40000000 N N N N N N Thornburg Mortgage Securities Trust N/A 88522EAC7 19493.73000000 PA USD 13723.55000000 0.005324528240 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.63320080 N N N N N N First American Financial Corp. 549300B6VEZK3N0A1P55 31847RAG7 700000.00000000 PA USD 676156.53000000 0.262338428400 Long DBT CORP US N 2 2030-05-15 Fixed 4.00000000 N N N N N N N/A N/A N/A 1525194.71000000 PA 1902.01000000 0.000737950891 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2029-01-02 0.00000000 USD 0.00000000 USD 1525194.71000000 BRL 1902.01000000 N N N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 46647PDW3 500000.00000000 PA USD 509834.55000000 0.197808035058 Long DBT CORP US N 2 2027-10-22 Variable 6.07000000 N N N N N N Tesla Sustainable Energy Trust N/A 88164AAB0 434918.07000000 PA USD 438051.61000000 0.169957348375 Long ABS-O CORP US Y 2 2050-06-21 Fixed 5.08000000 N N N N N N Alternative Loan Trust N/A 23243AAB2 37548.15970000 PA USD 38710.18000000 0.015018959861 Long ABS-MBS CORP US N 2 2046-09-20 Floating 4.43991960 N N N N N N N/A N/A N/A 228.00000000 NC USD 26442.98000000 0.010259473224 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long United States of America U.S. Treasury 5 Year Note 2025-12-31 24896531.36000000 USD 26442.98000000 N N N N/A N/A N/A 1000.00000000 PA -3.96000000 -0.00000153641 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2056-03-18 0.00000000 USD 14.95000000 USD 1000.00000000 EUR -3.96000000 N N N Republic of South Africa 378900AAFB4F17004C49 N/A 1200000.00000000 PA 60047.59000000 0.023297549740 Long DBT NUSS ZA N 2 2048-02-28 Fixed 8.75000000 N N N N N N N/A N/A N/A -500000.00000000 PA USD -1969.71000000 -0.00076421745 N/A DIR US N 2 Bank of America B4TYDEB6GKMZO031MB27 Put Written N/A Swaption 1.00000000 3.67500000 USD 2025-10-14 XXXX -669.71000000 N N N United States of America 254900HROIFWPRGM1V77 912810RL4 500000.00000000 PA USD 509873.79000000 0.197823259580 Long DBT UST US N 2 2045-02-15 Fixed 0.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418EE63 8745797.97000000 PA USD 8533038.07000000 3.310688719911 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912797QY6 1000000.00000000 PA USD 992412.00000000 0.385040730739 Long STIV UST US N 2 2025-12-11 None 0.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810UH9 200000.00000000 PA USD 199609.80000000 0.077445560165 Long DBT UST US N 2 2055-02-15 Fixed 2.37500000 N N N N N N Host Hotels & Resorts LP FXB7X4WXVA8QPMNOGS12 44107TBA3 300000.00000000 PA USD 266611.68000000 0.103441268435 Long DBT CORP US N 2 2031-12-15 Fixed 2.90000000 N N N N N N FNMA or FHLMC N/A 01F0426A6 400000.00000000 PA USD 388125.00000000 0.150586584622 Long ABS-MBS USGSE US N 2 2055-10-25 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402C4J8 13484.38000000 PA USD 13927.04000000 0.005403479259 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.50000000 N N N N N N Republic of South Africa 378900AAFB4F17004C49 N/A 6500000.00000000 PA 356963.97000000 0.138496579904 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7.00000000 N N N N N N Alternative Loan Trust N/A 02149JCB0 227459.76950000 PA USD 87968.41000000 0.034130402361 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140B0B56 39996.30000000 PA USD 39754.53000000 0.015424151744 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 5.00000000 N N N N N N Republic of Peru 254900STKLK2DBJJZ530 715638BE1 100000.00000000 PA 31867.17000000 0.012363976275 Long DBT NUSS PE Y 2 2031-08-12 Fixed 6.95000000 N N N N N N EPR Properties 549300YSSXFHMPOWZ492 26884UAG4 800000.00000000 PA USD 738332.80000000 0.286461873537 Long DBT CORP US N 2 2031-11-15 Fixed 3.60000000 N N N N N N N/A N/A N/A 200000.00000000 PA USD -1750.10000000 -0.00067901212 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2030-10-31 0.00000000 USD 0.00000000 USD 200000.00000000 USD -1750.10000000 N N N Sandstone Peak Ltd. 5493000VXRKO2Z5KET86 800130AN6 700000.00000000 PA USD 701369.90000000 0.272120831685 Long ABS-CBDO CORP KY Y 2 2034-10-15 Floating 5.59755000 N N N N N N N/A N/A N/A 646000.00000000 PA 1.32000000 0.000000512139 N/A DFE GB N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 Put Purchased N/A Foreign Exchange AUD/USD 1.00000000 0.62500000 AUD 2025-10-08 XXXX -2490.41000000 N N N Bear Stearns Asset-Backed Securities I Trust N/A 07388HAP4 12438.76000000 PA USD 12214.83000000 0.004739167874 Long ABS-O CORP US N 2 2036-08-25 Floating 4.59239040 N N N N N N N/A N/A N/A 5300000.00000000 PA USD 458581.77000000 0.177922737557 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2052-12-21 1611161.14000000 USD 0.00000000 USD 5300000.00000000 USD 458581.77000000 N N N N/A N/A N/A 200000.00000000 PA USD 7946.03000000 0.003082938535 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2054-06-20 7946.67000000 USD 0.00000000 USD 200000.00000000 USD 7946.03000000 N N N GS Mortgage Securities Trust N/A 36251PBD5 100000.00000000 PA USD 88389.77000000 0.034293883619 Long ABS-MBS CORP US Y 2 2049-10-10 Variable 3.72177360 N N N N N N RWE Finance US LLC 529900J7MYLKI84UP772 749983AC6 600000.00000000 PA USD 592043.46000000 0.229703839200 Long DBT CORP US Y 2 2035-09-18 Fixed 5.12500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 11738.14000000 0.004554219420 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 762000.00000000 USD 33251013.00000000 TRY 2025-11-10 11738.14000000 N N N WaMu Mortgage Pass-Through Certificates Trust N/A 92990GAC7 63801.30950000 PA USD 52425.93000000 0.020340461821 Long ABS-MBS CORP US N 2 2037-05-25 Variable 3.41127720 N N N N N N N/A N/A N/A 1.00000000 NC N/A 2416.93000000 0.000937732003 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 3076019.00000000 TWD 103493.00000000 USD 2025-10-20 2416.93000000 N N N United States of America 254900HROIFWPRGM1V77 912810SH2 1300000.00000000 PA USD 947427.78000000 0.367587538980 Long DBT UST US N 2 2049-05-15 Fixed 2.87500000 N N N N N N N/A N/A N/A 200000.00000000 PA USD -3946.60000000 -0.00153122065 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2035-03-04 0.00000000 USD 0.00000000 USD 200000.00000000 USD -3946.60000000 N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61747YFQ3 500000.00000000 PA USD 522258.15000000 0.202628202511 Long DBT CORP US N 2 2030-04-18 Variable 5.65600000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -12923.45000000 -0.00501410163 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1626000.00000000 AUD 1063000.75000000 USD 2025-10-02 -12923.45000000 N N N United States of America 254900HROIFWPRGM1V77 912810UN6 2133000.00000000 PA USD 2178659.64000000 0.845286735568 Long DBT UST US N 2 2045-08-15 Fixed 4.87500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 323.72000000 0.000125598426 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 13536.14000000 USD 581905.12000000 TRY 2025-10-14 323.72000000 N N N N/A N/A N/A 1.00000000 NC N/A -4.55000000 -0.00000176533 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 657766.00000000 TWD 21697.00000000 USD 2025-12-15 -4.55000000 N N N N/A N/A N/A 1.00000000 NC N/A -17076.61000000 -0.00662546441 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 3080712.31000000 PEN 863961.05000000 USD 2026-05-26 -17076.61000000 N N N Digital Dutch Finco BV 549300ONZ5IS6B6IMJ70 N/A 1200000.00000000 PA 1209689.46000000 0.469341073714 Long DBT CORP NL Y 2 2032-01-15 Fixed 1.00000000 N N N N N N N/A N/A N/A 500000.00000000 PA 5309.90000000 0.002060160272 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2034-09-18 1901.55000000 USD 0.00000000 USD 500000.00000000 AUD 5309.90000000 N N N N/A N/A N/A 1.00000000 NC N/A 3323.11000000 0.001289316032 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 146046.18000000 USD 6214995.19000000 TRY 2025-10-03 3323.11000000 N N N AES Corp. (The) 2NUNNB7D43COUIRE5295 00130HCE3 1400000.00000000 PA USD 1388066.68000000 0.538548716443 Long DBT CORP US N 2 2026-01-15 Fixed 1.37500000 N N N N N N GoodLeap Sustainable Home Solutions Trust N/A 38237CAA6 405639.21000000 PA USD 395360.52000000 0.153393856106 Long ABS-O CORP US Y 2 2055-07-20 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137FUKP8 156374.36000000 PA USD 154293.64000000 0.059863580744 Long ABS-MBS USGSE US N 2 2040-08-15 Floating 4.80980880 N Y N N N N Norinchukin Bank (The) 5493007VSMFZCPV1NB83 656029AL9 600000.00000000 PA USD 613415.82000000 0.237995989145 Long DBT CORP JP Y 2 2028-03-09 Fixed 5.43000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140AFCP9 58021.80000000 PA USD 58701.75000000 0.022775384332 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 5.50000000 N N N N N N JP Morgan Mortgage Trust N/A 466247ZP1 10419.02000000 PA USD 4378.21000000 0.001698678752 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75000000 N N N N N N N/A N/A N/A 693000.00000000 PA 1.05000000 0.000000407383 N/A DFE GB N 2 HSBC BANK USA N.A. N/A Put Purchased N/A Foreign Exchange AUD/USD 1.00000000 0.61750000 AUD 2025-10-10 XXXX -1821.63000000 N N N N/A N/A N/A 1.00000000 NC N/A -568.44000000 -0.00022054605 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 322680.89000000 PEN 92330.00000000 USD 2025-10-17 -568.44000000 N N N Bear Stearns ALT-A Trust N/A 07386HSY8 10858.26840000 PA USD 10394.08000000 0.004032744624 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.42490120 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RYV2 185193.22000000 PA USD 189373.72000000 0.073474117132 Long ABS-MBS USGA US N 2 2066-09-20 Variable 7.18338960 N N N N N N N/A N/A N/A 1.00000000 NC N/A 2049.33000000 0.000795108806 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 54317.81000000 USD 300000.00000000 BRL 2025-10-02 2049.33000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 31418EXU9 64603.97000000 PA USD 65300.48000000 0.025335591001 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 5.50000000 N N N N N N N/A N/A N/A 100000.00000000 PA -1319.63000000 -0.00051199632 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2034-06-01 100.51000000 USD 0.00000000 USD 100000.00000000 CAD -1319.63000000 N N N Clearway Energy Operating LLC 549300Z3NFMM54NWBB87 18539UAD7 600000.00000000 PA USD 549720.00000000 0.213282981768 Long DBT CORP US Y 2 2031-02-15 Fixed 3.75000000 N N N N N N Equinix, Inc. 549300EVUN2BTLJ3GT74 29444UBU9 1200000.00000000 PA USD 1149995.64000000 0.446180781342 Long DBT CORP US N 2 2032-04-15 Fixed 3.90000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -351.28000000 -0.00013629128 N/A DFE N/A N 2 Morgan Stanley & Co. 9R7GPTSO7KV3UQJZQ078 35082.00000000 USD 1056950.00000000 TWD 2025-10-20 -351.28000000 N N N N/A N/A N/A 1.00000000 NC N/A 12.06000000 0.000004679096 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 1869000.00000000 ZAR 107852.79000000 USD 2025-11-20 12.06000000 N N N N/A N/A N/A 1.00000000 NC N/A 60.01000000 0.000023282965 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 44062.26000000 USD 280531.61000000 DKK 2025-10-02 60.01000000 N N N Citigroup Mortgage Loan Trust, Inc. 549300R1KUK063S4I339 17307GXQ6 21657.98000000 PA USD 21517.34000000 0.008348399976 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.18999840 N N N N N N N/A N/A N/A 1500000.00000000 PA USD 110001.04000000 0.042678727004 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2054-12-18 16225.30000000 USD 0.00000000 USD 1500000.00000000 USD 110001.04000000 N N N San Diego Gas & Electric Co. KNIRVXKVNJJ4P8OTMS63 797440CE2 500000.00000000 PA USD 512749.50000000 0.198938991231 Long DBT CORP US N 2 2028-08-15 Fixed 4.95000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -977.92000000 -0.00037941805 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 200000.00000000 BRL 34981.55000000 USD 2026-04-02 -977.92000000 N N N United States of America 254900HROIFWPRGM1V77 912810RH3 1800000.00000000 PA USD 1439961.84000000 0.558683247593 Long DBT UST US N 2 2044-08-15 Fixed 3.12500000 N N N N N N N/A N/A N/A 800000.00000000 PA -3956.66000000 -0.00153512377 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2056-03-18 0.00000000 USD 11173.49000000 USD 800000.00000000 EUR -3956.66000000 N N N HAT Holdings I LLC N/A 418751AE3 86000.00000000 PA USD 85110.54000000 0.033021592358 Long DBT CORP US Y 2 2026-06-15 Fixed 3.37500000 N N N N N N First Horizon Mortgage Pass-Through Trust N/A 32051GTX3 18801.52000000 PA USD 17218.62000000 0.006680562132 Long ABS-MBS CORP US N 2 2035-10-25 Variable 4.74729120 N N N N N N N/A N/A N/A 1.00000000 NC N/A -26.97000000 -0.00001046394 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 300000.00000000 BRL 53912.23000000 USD 2026-04-02 -26.97000000 N N N Northern States Power Co. 3S1GHB0TEH85KX44SB51 665772CV9 700000.00000000 PA USD 605962.70000000 0.235104292178 Long DBT CORP US N 2 2052-06-01 Fixed 4.50000000 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAR6 500000.00000000 PA USD 531044.50000000 0.206037172399 Long DBT CORP FR Y 2 2029-10-19 Variable 6.71400000 N N N N N N N/A N/A N/A 100000.00000000 PA USD 2627.34000000 0.001019367876 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2055-02-15 0.00000000 USD 0.00000000 USD 100000.00000000 USD 2627.34000000 N N N N/A N/A N/A 400000.00000000 PA USD 21058.80000000 0.008170493444 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2054-06-20 10726.60000000 USD 0.00000000 USD 400000.00000000 USD 21058.80000000 N N N N/A N/A N/A 200000.00000000 PA USD 10499.96000000 0.004073824451 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2054-06-20 5392.74000000 USD 0.00000000 USD 200000.00000000 USD 10499.96000000 N N N Regatta XVI Funding Ltd. 254900XPJFGKL5R4O429 75888TAL9 650013.31000000 PA USD 651141.08000000 0.252632815058 Long ABS-CBDO CORP KY Y 2 2033-01-15 Floating 5.51755080 N N N N N N N/A N/A N/A 1.00000000 NC N/A 3133.62000000 0.001215796800 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 141963.76000000 USD 6032749.98000000 TRY 2025-10-01 3133.62000000 N N N N/A N/A N/A 271000.00000000 PA USD -242.64000000 -0.00009414062 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2035-05-15 0.00000000 USD 1460.71000000 USD 271000.00000000 USD -242.64000000 N N N Bear Stearns ALT-A Trust N/A 07386HQ87 45849.85170000 PA USD 21698.08000000 0.008418524341 Long ABS-MBS CORP US N 2 2036-05-25 Variable 4.71383640 N N N N N N Bear Stearns ARM Trust N/A 07384MSH6 8.39000000 PA USD 8.85000000 0.000003433665 Long ABS-MBS CORP US N 2 2033-02-25 Variable 6.25017600 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SE9 600000.00000000 PA USD 481341.60000000 0.186753204716 Long DBT UST US N 2 2048-11-15 Fixed 3.37500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -66.33000000 -0.00002573502 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 279886.70000000 DKK 44062.26000000 USD 2025-11-04 -66.33000000 N N N N/A N/A N/A 200000.00000000 PA USD 10644.80000000 0.004130020163 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2054-06-20 5247.90000000 USD 0.00000000 USD 200000.00000000 USD 10644.80000000 N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61747YFP5 500000.00000000 PA USD 510961.35000000 0.198245216285 Long DBT CORP US N 2 2028-04-13 Variable 5.65200000 N N N N N N Morgan Stanley ABS Capital I, Inc. Trust N/A 61749NAE7 406985.69000000 PA USD 193447.71000000 0.075054763161 Long ABS-O CORP US N 2 2036-08-25 Floating 4.77239040 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UZZ6 149099.31000000 PA USD 151119.83000000 0.058632190836 Long ABS-MBS USGA US N 2 2067-04-20 Floating 5.59185120 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396VN53 327.23000000 PA USD 321.56000000 0.000124760379 Long ABS-MBS USGSE US N 2 2037-05-25 Floating 4.72051080 N N N N N N N/A N/A N/A 1370785.05000000 PA -1222.87000000 -0.00047445492 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2027-01-04 65.66000000 USD 0.00000000 USD 1370785.05000000 BRL -1222.87000000 N N N Equinix, Inc. 549300EVUN2BTLJ3GT74 29444UBS4 800000.00000000 PA USD 721647.68000000 0.279988301274 Long DBT CORP US N 2 2031-05-15 Fixed 2.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -446.78000000 -0.00017334383 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 337210.78000000 PEN 96622.00000000 USD 2025-10-22 -446.78000000 N N N Norinchukin Bank (The) 5493007VSMFZCPV1NB83 656029AN5 500000.00000000 PA USD 510668.25000000 0.198131497952 Long DBT CORP JP Y 2 2029-10-16 Fixed 5.09400000 N N N N N N Volkswagen Group of America Finance LLC 5493002SQ1AVQBY41K40 928668CW0 600000.00000000 PA USD 602067.18000000 0.233592889789 Long DBT CORP US Y 2 2028-09-11 Fixed 4.55000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SG4 100000.00000000 PA USD 94440.70000000 0.036641552237 Long DBT UST US N 2 2049-02-15 Fixed 1.00000000 N N N N N N N/A N/A N/A 200000.00000000 PA USD 1567.95000000 0.000608340703 N/A DCR US N 2 ICE Clear US 549300HWWR1D8OTS2G29 Verizon Communications, Inc. Verizon Communications, Inc. Y Payout of notional amount upon default event with regard to the reference instrument 2028-06-20 1653.44000000 USD 0.00000000 USD 200000.00000000 USD 1567.95000000 N N N N/A N/A N/A 1.00000000 NC N/A 3.52000000 0.000001365706 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 18000.00000000 CNY 2534.52000000 USD 2025-10-16 3.52000000 N N N Bear Stearns ARM Trust N/A 07384M4K5 964.42000000 PA USD 915.00000000 0.000355006054 Long ABS-MBS CORP US N 2 2035-01-25 Variable 5.02817040 N N N N N N Accredited Mortgage Loan Trust N/A 00437NAD4 21727.60000000 PA USD 21592.74000000 0.008377654027 Long ABS-O CORP US N 2 2036-09-25 Floating 4.53238920 N N N N N N CHL Mortgage Pass-Through Trust N/A 12669GHG9 1524.60000000 PA USD 1535.06000000 0.000595579884 Long ABS-MBS CORP US N 2 2035-02-20 Variable 5.38795080 N N N N N N N/A N/A N/A 120000.00000000 PA USD -1358.84000000 -0.00052720921 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-05-15 0.00000000 USD 607.37000000 USD 120000.00000000 USD -1358.84000000 N N N N/A N/A N/A 630000.00000000 PA USD -8430.62000000 -0.00327095206 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2033-08-15 0.00000000 USD 0.00000000 USD 630000.00000000 USD -8430.62000000 N N N Republic of South Africa 378900AAFB4F17004C49 N/A 1510000.00000000 PA 80082.62000000 0.031070836028 Long DBT NUSS ZA N 2 2040-01-31 Fixed 9.00000000 N N N N N N N/A N/A N/A 800000.00000000 PA 7769.28000000 0.003014362229 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2034-09-18 3769.04000000 USD 0.00000000 USD 800000.00000000 AUD 7769.28000000 N N N Sunnova Sol IV Issuer LLC N/A 86745AAA4 1407271.55000000 PA USD 1209225.24000000 0.469160963429 Long ABS-O CORP US Y 2 2049-02-22 Fixed 2.79000000 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 902613AU2 500000.00000000 PA USD 501786.35000000 0.194685456120 Long DBT CORP CH Y 2 2027-01-12 Variable 5.71100000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1751.37000000 0.000679504867 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 83897.00000000 USD 1481075.69000000 ZAR 2025-10-20 1751.37000000 N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3133KRBP8 1664131.89000000 PA USD 1619488.06000000 0.628336684811 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 4.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1411.96000000 0.000547818960 N/A DFE N/A N 2 Morgan Stanley & Co. International 4PQUHN3JPFGFNF3BB653 94455486.00000000 JPY 640121.00000000 USD 2025-10-02 1411.96000000 N N N Republic of Peru 254900STKLK2DBJJZ530 715638BE1 221000.00000000 PA 70426.45000000 0.027324389236 Long DBT NUSS PE Y 2 2031-08-12 Fixed 6.95000000 N N N N N N RASC Trust N/A 75406AAD1 91111.73000000 PA USD 89519.41000000 0.034732166722 Long ABS-O CORP US N 2 2036-02-25 Floating 4.87239120 N N N N N N Landmark Mortgage Securities No. 3 plc 213800S8KWEEVI3XTK68 N/A 343736.28000000 PA 453011.83000000 0.175761685728 Long ABS-MBS CORP GB Y 2 2044-04-17 Floating 4.40057140 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2083.64000000 -0.00080842056 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 300000.00000000 BRL 51855.56000000 USD 2026-04-02 -2083.64000000 N N N N/A N/A N/A 100000.00000000 PA USD 5168.95000000 0.002005473820 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2054-06-20 2777.39000000 USD 0.00000000 USD 100000.00000000 USD 5168.95000000 N N N Madison Park Funding XXXVI Ltd. N/A 55819PBE8 700000.00000000 PA USD 699981.80000000 0.271582270041 Long ABS-CBDO CORP KY Y 2 2035-04-15 Floating 5.37755040 N N N N N N Lloyds Banking Group plc 549300PPXHEU2JF0AM85 53944YAZ6 400000.00000000 PA USD 405666.76000000 0.157392520150 Long DBT CORP GB N 2 2028-01-05 Variable 5.46200000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 09659W2C7 300000.00000000 PA USD 295523.40000000 0.114658575155 Long DBT CORP FR Y 2 2027-11-16 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137FUKQ6 115180.88200000 PA USD 113570.28000000 0.044063537725 Long ABS-MBS USGSE US N 2 2040-10-15 Floating 4.80980880 N Y N N N N NXP BV N/A 62947QBB3 500000.00000000 PA USD 500710.00000000 0.194267848724 Long DBT CORP US N 2 2026-03-01 Fixed 5.35000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -310.76000000 -0.00012057014 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 280513.54000000 DKK 43808.67000000 USD 2025-10-02 -310.76000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 31393APU5 4470.47000000 PA USD 4463.49000000 0.001731766092 Long ABS-MBS USGSE US N 2 2033-04-25 Fixed 5.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -110.82000000 -0.00004299647 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 91070.78000000 PEN 26106.00000000 USD 2025-10-20 -110.82000000 N N N N/A N/A N/A 1.00000000 NC N/A 437.11000000 0.000169592018 N/A DFE N/A N 2 Morgan Stanley & Co. 9R7GPTSO7KV3UQJZQ078 1050074.00000000 TWD 35082.00000000 USD 2025-12-15 437.11000000 N N N United States of America 254900HROIFWPRGM1V77 912810SS8 1700000.00000000 PA USD 911093.07000000 0.353490225274 Long DBT UST US N 2 2050-11-15 Fixed 1.62500000 N N N N N N N/A N/A N/A 900000.00000000 PA 7469.36000000 0.002897997840 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2034-03-20 6415.05000000 USD 0.00000000 USD 900000.00000000 AUD 7469.36000000 N N N European Union 529900FZRK8FGMPEOM08 N/A 100000.00000000 PA 81126.81000000 0.031475965833 Long DBT NUSS BE Y 2 2043-02-04 Fixed 1.25000000 N N N N N N FHF Trust N/A 30331GAC5 89173.51000000 PA USD 89824.91000000 0.034850696066 Long ABS-O CORP US Y 2 2028-06-15 Fixed 6.57000000 N N N N N N CVC Cordatus Loan Fund VII DAC 635400CLBI5JM6YQBR92 N/A 396501.30000000 PA 464295.96000000 0.180139756187 Long ABS-CBDO CORP IE Y 2 2031-09-15 Floating 2.64399840 N N N N N N N/A N/A N/A 1.00000000 NC N/A -3228.48000000 -0.00125260103 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 100000.00000000 BRL 15560.57000000 USD 2025-10-02 -3228.48000000 N N N N/A N/A N/A 1.00000000 NC N/A -2.95000000 -0.00000114455 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 17427.66000000 PEN 5014.00000000 USD 2025-10-20 -2.95000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 31393XGV3 3520.67000000 PA USD 3512.79000000 0.001362908981 Long ABS-MBS USGSE US N 2 2044-03-25 Floating 4.82051160 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SA7 1000000.00000000 PA USD 754318.50000000 0.292664081501 Long DBT UST US N 2 2048-02-15 Fixed 3.00000000 N N N N N N Banc of America Mortgage Trust N/A 05948XBV2 31.56000000 PA USD 30.99000000 0.000012023647 Long ABS-MBS CORP US N 2 2033-05-25 Variable 7.02166680 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RXT8 151713.32000000 PA USD 152145.05000000 0.059029960571 Long ABS-MBS USGA US N 2 2066-08-20 Floating 5.29581960 N N N N N N Broadcom, Inc. 549300WV6GIDOZJTV909 11135FBP5 115000.00000000 PA USD 99484.74000000 0.038598562882 Long DBT CORP US Y 2 2035-11-15 Fixed 3.13700000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 13.64000000 0.000005292112 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 1382000.00000000 ZAR 79754.62000000 USD 2025-11-20 13.64000000 N N N N/A N/A N/A 1.00000000 NC N/A -115.26000000 -0.00004471912 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 107009.89000000 PEN 30690.00000000 USD 2025-10-20 -115.26000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 3140ACWS8 48759.31000000 PA USD 49225.57000000 0.019098770917 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 5.50000000 N N N N N N BNG Bank NV 529900GGYMNGRQTDOO93 05591F2Y5 600000.00000000 PA USD 621576.18000000 0.241162084454 Long DBT NUSS NL Y 2 2030-02-01 Fixed 4.75000000 N N N N N N Soundview Home Loan Trust N/A 83613FAA9 467071.83000000 PA USD 364800.52000000 0.141537041868 Long ABS-O CORP US N 2 2037-10-25 Floating 5.17239000 N N N N N N Standard Chartered plc U4LOSYZ7YG4W3S5F2G91 85325C2A9 500000.00000000 PA USD 508625.00000000 0.197338748093 Long DBT CORP GB Y 2 2030-10-15 Variable 5.00500000 N N N N N N N/A N/A N/A 1400000.00000000 PA USD 97476.65000000 0.037819454567 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2048-02-15 202771.68000000 USD 0.00000000 USD 1400000.00000000 USD 97476.65000000 N N N Broadcom, Inc. 549300WV6GIDOZJTV909 11135FBQ3 46000.00000000 PA USD 39298.72000000 0.015247304411 Long DBT CORP US Y 2 2036-11-15 Fixed 3.18700000 N N N N N N Oracle Corp. 1Z4GXXU7ZHVWFCD8TV52 6840C2YK5 600000.00000000 PA USD 596472.24000000 0.231422138341 Long STIV CORP US Y 2 2025-11-19 Fixed 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -196.06000000 -0.00007606829 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 112440.58000000 PEN 32170.00000000 USD 2025-10-23 -196.06000000 N N N GNMA 549300M8ZYFG0OCMTT87 36179UKZ4 2384.92000000 PA USD 2413.66000000 0.000936463293 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 5.00000000 N N N N N N Marriott International, Inc. 225YDZ14ZO8E1TXUSU86 571903BW2 500000.00000000 PA USD 498083.65000000 0.193248864952 Long DBT CORP US N 2 2031-10-15 Fixed 4.50000000 N N N N N N N/A N/A N/A 1300000.00000000 PA USD 24186.45000000 0.009383973976 N/A DCR GB N 2 Morgan Stanley & Co. International 4PQUHN3JPFGFNF3BB653 Republic of South Africa Republic of South Africa Y Payout of notional amount upon default event with regard to the reference instrument 2026-12-20 0.00000000 USD 14391.33000000 USD 1300000.00000000 USD 24186.45000000 N N N United States of America 254900HROIFWPRGM1V77 912828N71 200000.00000000 PA USD 271174.20000000 0.105211456658 Long DBT UST US N 2 2026-01-15 Fixed 0.62500000 N N N N N N N/A N/A N/A 248000.00000000 PA USD 2695.23000000 0.001045708162 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2035-05-15 0.00000000 USD 4254.02000000 USD 248000.00000000 USD 2695.23000000 N N N N/A N/A N/A 200000.00000000 PA -3589.80000000 -0.00139278768 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2033-06-01 694.32000000 USD 0.00000000 USD 200000.00000000 CAD -3589.80000000 N N N MSSG Trust N/A 55375KAS5 700000.00000000 PA USD 668688.79000000 0.259441059095 Long ABS-MBS CORP US Y 2 2039-09-13 Fixed 3.39700000 N N N N N N Florida Power & Light Co. A89MY1K3YLIGJMYWVX50 341081GK7 100000.00000000 PA USD 102605.40000000 0.039809331400 Long DBT CORP US N 2 2028-04-01 Fixed 5.05000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -6659.64000000 -0.00258383882 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 75947633.00000000 JPY 508823.00000000 USD 2025-11-04 -6659.64000000 N N N BIG Commercial Mortgage Trust N/A 05551UAA3 562523.64000000 PA USD 556993.30000000 0.216104911316 Long ABS-MBS CORP US Y 2 2039-02-15 Floating 5.49205920 N N N N N N American Airlines Pass-Through Trust N/A 023771R91 179487.26000000 PA USD 172320.37000000 0.066857677241 Long ABS-O CORP US N 2 2028-10-15 Fixed 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 42.45000000 0.000016469953 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 18746.60000000 USD 100000.00000000 BRL 2025-10-02 42.45000000 N N N N/A N/A N/A 1300000.00000000 PA USD -14838.04000000 -0.00575693337 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2033-08-15 0.00000000 USD 0.00000000 USD 1300000.00000000 USD -14838.04000000 N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128KKPB9 23051.63000000 PA USD 24303.80000000 0.009429503988 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6.00000000 N N N N N N Japan Government Bond 353800WZS8AXZXFUC241 N/A 67100000.00000000 PA 441491.27000000 0.171291884032 Long DBT NUSS JP N 2 2045-03-20 Fixed 2.40000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3132DVM36 415328.88000000 PA USD 431593.33000000 0.167451634165 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6.00000000 N N N N N N N/A N/A N/A 250000.00000000 PA -5561.42000000 -0.00215774619 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-06-01 0.00000000 USD 4253.25000000 USD 250000.00000000 CAD -5561.42000000 N N N N/A N/A N/A 1.00000000 NC N/A 5.46000000 0.000002118396 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 69287.24000000 CNY 9748.00000000 USD 2025-10-16 5.46000000 N N N California Health Facilities Financing Authority 5493007RI8BUDOGHZ546 13032UD88 1300000.00000000 PA USD 1227501.99000000 0.476252063874 Long DBT MUN US N 2 2037-06-01 Fixed 4.19000000 N N N N N N N/A N/A N/A 245000.00000000 PA 107.67000000 0.000041774319 N/A DFE US N 2 Bank of America B4TYDEB6GKMZO031MB27 Put Purchased N/A Foreign Exchange EUR/USD 1.00000000 1.11500000 EUR 2025-11-26 XXXX -835.93000000 N N N N/A N/A N/A 500000.00000000 PA USD -4856.66000000 -0.00188431006 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2030-10-31 0.00000000 USD 0.00000000 USD 500000.00000000 USD -4856.66000000 N N N Bear Stearns ARM Trust N/A 07384MTN2 505.27000000 PA USD 509.40000000 0.000197639436 Long ABS-MBS CORP US N 2 2033-04-25 Variable 6.57452520 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380V2S9 115471.29000000 PA USD 111837.99000000 0.043391435607 Long ABS-MBS USGA US N 2 2043-10-20 Floating 4.69469160 N N N N N N Sumitomo Mitsui Trust Bank Ltd. 5493006GGLR4BTEL8O61 86563VBH1 300000.00000000 PA USD 308935.47000000 0.119862253902 Long DBT CORP JP Y 2 2028-03-09 Fixed 5.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -3924.31000000 -0.00152257246 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 94649160.00000000 JPY 638492.00000000 USD 2025-11-04 -3924.31000000 N N N N/A N/A N/A 200000.00000000 PA USD 9865.45000000 0.003827644241 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2054-06-20 6027.25000000 USD 0.00000000 USD 200000.00000000 USD 9865.45000000 N N N N/A N/A N/A 1.00000000 NC N/A 2983.63000000 0.001157602966 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 194972.28000000 USD 8461991.92000000 TRY 2025-11-03 2983.63000000 N N N Argent Securities, Inc. Asset-Backed Pass-Through Certificates N/A N/A 615839.60000000 PA USD 164463.35000000 0.063809273229 Long ABS-O CORP US N 2 2036-07-25 Floating 4.57238880 N N N N N N ONE Mortgage Trust N/A 682413AA7 700000.00000000 PA USD 689596.67000000 0.267552997880 Long ABS-MBS CORP US Y 2 2036-03-15 Floating 4.96447920 N N N N N N N/A N/A N/A 300000.00000000 PA 1572.93000000 0.000610272867 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2029-10-05 0.00000000 USD 0.00000000 USD 300000.00000000 EUR 1572.93000000 N N N N/A N/A N/A 1.00000000 NC N/A -26704.30000000 -0.01036086140 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 5914967.66000000 EUR 6917763.48000000 USD 2025-10-02 -26704.30000000 N N N N/A N/A N/A 23.00000000 NC 13602.81000000 0.005277682960 N/A DIR GB N 1 ICE Clear Europe 5R6J7JCQRIPQR1EEP713 Long United Kingdom of Great Britain and Northern Ireland Long Gilt 2025-12-29 2089320.00000000 GBP 13602.81000000 N N N N/A N/A N/A 6400000.00000000 PA USD -285932.52000000 -0.11093745988 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2034-06-20 218955.00000000 USD 0.00000000 USD 6400000.00000000 USD -285932.52000000 N N N CFCRE Commercial Mortgage Trust N/A 12532BAB3 63477.21000000 PA USD 63187.24000000 0.024515686089 Long ABS-MBS CORP US N 2 2054-12-10 Fixed 3.64360000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397KE31 2944.49000000 PA USD 2949.20000000 0.001144244651 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 5.20656120 N N N N N N N/A N/A N/A 400000.00000000 PA -195.90000000 -0.00007600621 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2030-09-17 0.00000000 USD 1981.95000000 USD 400000.00000000 GBP -195.90000000 N N N Crown Point CLO 7 Ltd. N/A 22846MAJ2 212977.97000000 PA USD 212989.26000000 0.082636586730 Long ABS-CBDO CORP KY Y 2 2031-10-20 Floating 5.55549120 N N N N N N United States of America 254900HROIFWPRGM1V77 912797RC3 1300000.00000000 PA USD 1298106.94000000 0.503645708391 Long STIV UST US N 2 2025-10-14 None 0.00000000 N N N N N N Ares XXVII CLO Ltd. 549300BC3E2Y44TL8536 00190YBP9 700000.00000000 PA USD 700000.00000000 0.271589331364 Long ABS-CBDO CORP KY Y 2 2034-10-28 Floating 5.46381000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 4238.61000000 0.001644516079 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 2949433.37000000 USD 4110625.29000000 CAD 2025-10-02 4238.61000000 N N N N/A N/A N/A 1.00000000 NC N/A -394.37000000 -0.00015300954 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 214618.50000000 PEN 61395.00000000 USD 2025-10-16 -394.37000000 N N N N/A N/A N/A 120000.00000000 PA USD -1787.84000000 -0.00069365467 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-05-15 0.00000000 USD 178.37000000 USD 120000.00000000 USD -1787.84000000 N N N Morgan Stanley Mortgage Loan Trust N/A 61745M4R1 35824.57000000 PA USD 29124.85000000 0.011299997910 Long ABS-MBS CORP US N 2 2035-07-25 Variable 5.25151800 N N N N N N Smurfit Kappa Treasury ULC 635400B3DOXSWFOWJT40 83272GAD3 600000.00000000 PA USD 617760.72000000 0.239681744125 Long DBT CORP IE N 2 2030-01-15 Fixed 5.20000000 N N N N N N Mondelez International, Inc. 549300DV9GIB88LZ5P30 609207BD6 700000.00000000 PA 526928.18000000 0.204440102976 Long DBT CORP US N 2 2031-07-03 Fixed 4.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810TH1 3300000.00000000 PA USD 2769872.16000000 1.074668182712 Long DBT UST US N 2 2042-05-15 Fixed 3.25000000 N N N N N N RALI Trust N/A 74923XAA4 148353.89780000 PA USD 134799.68000000 0.052300221370 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.47239160 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617A36W5 10889.06000000 PA USD 9903.78000000 0.003842515697 Long ABS-MBS USGA US N 2 2045-08-15 Fixed 3.00000000 N N N N N N N/A N/A N/A -200000.00000000 PA -11.87000000 -0.00000460537 N/A DIR US N 2 Morgan Stanley Capital Services I7331LVCZKQKX5T7XV54 Call Written N/A Swaption 1.00000000 2.55000000 EUR 2025-10-06 XXXX 503.70000000 N N N Romania Government Bond 315700IASY927EDWBK92 N/A 600000.00000000 PA 684882.07000000 0.265723804935 Long DBT NUSS RO Y 2 2036-02-22 Fixed 5.62500000 N N N N N N Ready Capital Mortgage Financing LLC N/A 75575RAA5 3576.61000000 PA USD 3587.51000000 0.001391899203 Long ABS-CBDO CORP US Y 2 2039-10-25 Floating 6.53190840 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1065.08000000 0.000413234807 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 36513.01000000 USD 200000.00000000 BRL 2025-10-02 1065.08000000 N N N Pacific Gas and Electric Co. 1HNPXZSMMB7HMBMVBS46 694308KK2 1100000.00000000 PA USD 1180723.06000000 0.458102551988 Long DBT CORP US N 2 2053-04-01 Fixed 6.70000000 N N N N N N N/A N/A N/A -500000.00000000 PA USD -120.92000000 -0.00004691511 N/A DIR US N 2 Bank of America B4TYDEB6GKMZO031MB27 Call Written N/A Swaption 1.00000000 3.37500000 USD 2025-10-14 XXXX 1179.08000000 N N N NXP BV N/A 62954HBB3 1400000.00000000 PA USD 1416800.00000000 0.549696806681 Long DBT CORP US N 2 2033-01-15 Fixed 5.00000000 N N N N N N Specialty Underwriting & Residential Finance Trust N/A 84751NAE4 473169.82000000 PA USD 262208.33000000 0.101732835746 Long ABS-O CORP US N 2 2037-11-25 Floating 4.57238880 N N N N N N JP Morgan Chase Commercial Mortgage Securities Trust N/A 46654EAA9 700000.00000000 PA USD 681899.61000000 0.264566655910 Long ABS-MBS CORP US Y 2 2038-06-15 Floating 5.27547960 N N N N N N N/A N/A N/A 2200000.00000000 PA 1239.05000000 0.000480732515 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2027-05-18 0.00000000 USD 59505.13000000 USD 2200000.00000000 EUR 1239.05000000 N N N Structured Asset Mortgage Investments II Trust N/A 86360UAC0 546111.95000000 PA USD 437482.47000000 0.169736530729 Long ABS-MBS CORP US N 2 2046-07-25 Floating 4.65239160 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36179UKY7 175676.53000000 PA USD 173573.01000000 0.067343682469 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 4.50000000 N N N N N N Fremont Home Loan Trust N/A 35729PMF4 275667.08000000 PA USD 249829.66000000 0.096930100449 Long ABS-O CORP US N 2 2035-11-25 Floating 4.88738880 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 31426UJU9 718210.49000000 PA USD 713869.12000000 0.276970338546 Long ABS-MBS USGSE US N 2 2055-07-01 Fixed 5.00000000 N N N N N N ING Groep NV 549300NYKK9MWM7GGW15 456837BR3 600000.00000000 PA USD 614133.42000000 0.238274407008 Long DBT CORP NL N 2 2031-03-25 Variable 5.06600000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3133BWPG2 3747339.25000000 PA USD 3538992.81000000 1.373075272815 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 4.00000000 N N N N N N N/A N/A N/A 1600000.00000000 PA USD 30541.01000000 0.011849446407 N/A DCR US N 2 Bank of America B4TYDEB6GKMZO031MB27 Republic of South Africa Republic of South Africa Y Payout of notional amount upon default event with regard to the reference instrument 2026-12-20 0.00000000 USD 18485.47000000 USD 1600000.00000000 USD 30541.01000000 N N N N/A N/A N/A -25.00000000 NC USD -27768.88000000 -0.01077390221 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Short United States of America U.S. Treasury 10 Year Ultra Note 2025-12-19 -2876953.13000000 USD -27768.88000000 N N N Alternative Loan Trust N/A 12668BB44 24541.29500000 PA USD 21173.55000000 0.008215014695 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.67238960 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3618N5AY5 557053.38000000 PA USD 508311.65000000 0.197217173068 Long ABS-MBS USGA US N 2 2054-11-20 Fixed 3.50000000 N N N N N N N/A N/A N/A 1276000.00000000 PA 96.86000000 0.000037580203 N/A DFE US N 2 Morgan Stanley Capital Services I7331LVCZKQKX5T7XV54 Put Purchased N/A Foreign Exchange EUR/USD 1.00000000 1.14500000 EUR 2025-10-08 XXXX -7876.39000000 N N N N/A N/A N/A 1.00000000 NC N/A -41.87000000 -0.00001624492 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 100000.00000000 BRL 17937.86000000 USD 2026-04-02 -41.87000000 N N N Morgan Stanley ABS Capital I, Inc. Trust N/A 61749KAE3 223415.71000000 PA USD 80092.79000000 0.031074781833 Long ABS-O CORP US N 2 2036-07-25 Floating 4.57238880 N N N N N N HSBC Holdings plc MLU0ZO3ML4LN2LL2TL39 404280ER6 500000.00000000 PA USD 512295.55000000 0.198762865550 Long DBT CORP GB N 2 2031-03-03 Variable 5.13000000 N N N N N N Deutsche Alt-A Securities Mortgage Loan Trust N/A 25151UAA5 82765.07690000 PA USD 77567.61000000 0.030095050479 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.57238880 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138ENEW5 66456.61000000 PA USD 68410.29000000 0.026542149885 Long ABS-MBS USGSE US N 2 2038-05-01 Variable 6.54099840 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2.59000000 -0.00000100488 N/A DFE N/A N 2 Morgan Stanley & Co. 9R7GPTSO7KV3UQJZQ078 33109.74000000 CNY 4653.00000000 USD 2025-10-16 -2.59000000 N N N FNMA or FHLMC N/A 01F0326B5 11200000.00000000 PA USD 10235312.64000000 3.971145308860 Long ABS-MBS USGSE US N 2 2055-11-25 Fixed 3.50000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3132DWLL5 49728.19000000 PA USD 50217.70000000 0.019483702236 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 5.50000000 N N N N N N Arbor Multifamily Mortgage Securities Trust N/A 03881BAE3 600000.00000000 PA USD 559695.78000000 0.217153432368 Long ABS-MBS CORP US Y 2 2053-05-15 Fixed 2.75630000 N N N N N N N/A N/A N/A 139000.00000000 PA USD 1659.56000000 0.000643883986 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2035-05-15 0.00000000 USD 2533.23000000 USD 139000.00000000 USD 1659.56000000 N N N United States of America 254900HROIFWPRGM1V77 912810TE8 400000.00000000 PA USD 250804.98000000 0.097308509744 Long DBT UST US N 2 2052-02-15 Fixed 0.12500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1379.33000000 0.000535159017 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 84685.83000000 USD 3690185.04000000 TRY 2025-11-07 1379.33000000 N N N United States of America 254900HROIFWPRGM1V77 912834JB5 300000.00000000 PA USD 148110.90000000 0.057464771855 Long DBT UST US N 2 2040-08-15 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 11157.94000000 0.004329110662 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 7474546.89000000 USD 6375967.66000000 EUR 2025-10-02 11157.94000000 N N N N/A N/A N/A 31000000.00000000 PA 5554.74000000 0.002155154460 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-06-18 0.00000000 USD 5473.15000000 USD 31000000.00000000 JPY 5554.74000000 N N N N/A N/A N/A -300000.00000000 PA USD -537.77000000 -0.00020864656 N/A DIR GB N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 Put Written N/A Swaption 1.00000000 3.69800000 USD 2025-10-06 XXXX 418.48000000 N N N United States of America 254900HROIFWPRGM1V77 912810RG5 900000.00000000 PA USD 750180.60000000 0.291058639366 Long DBT UST US N 2 2044-05-15 Fixed 3.37500000 N N N N N N N/A N/A N/A 100000.00000000 PA -1415.58000000 -0.00054922346 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2034-06-01 196.46000000 USD 0.00000000 USD 100000.00000000 CAD -1415.58000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 31418CUA0 8044.12000000 PA USD 7490.20000000 0.002906083442 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382YN82 292677.43000000 PA USD 293052.38000000 0.113699857055 Long ABS-MBS USGA US N 2 2073-01-20 Floating 5.28881040 N N N N N N Store Capital LLC 254900Z9PIEFQ6AYXK50 862121AD2 500000.00000000 PA USD 436440.50000000 0.169332262250 Long DBT CORP US N 2 2031-12-01 Fixed 2.70000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TPV48 23.98000000 PA USD 23.93000000 0.000009284475 Long ABS-MBS USGSE US N 2 2030-09-15 Floating 4.98656160 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 3132DWFE8 395298.74000000 PA USD 373938.38000000 0.145082392279 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 176.29000000 0.000068397833 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 70046.42000000 USD 3052622.98000000 TRY 2025-11-25 176.29000000 N N N N/A N/A N/A -500000.00000000 PA USD -105.28000000 -0.00004084703 N/A DIR US N 2 Citibank E57ODZWZ7FF32TWEFA76 Call Written N/A Swaption 1.00000000 3.38500000 USD 2025-10-10 XXXX 1419.72000000 N N N N/A N/A N/A 679000.00000000 PA -1308.07000000 -0.00050751122 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2056-03-18 0.00000000 USD 11533.64000000 USD 679000.00000000 EUR -1308.07000000 N N N Ally Financial, Inc. 549300JBN1OSM8YNAI90 02005NBP4 1500000.00000000 PA USD 1392737.10000000 0.540360768221 Long DBT CORP US N 2 2028-11-02 Fixed 2.20000000 N N N N N N Sumitomo Mitsui Trust Bank Ltd. 5493006GGLR4BTEL8O61 86563VBA6 1600000.00000000 PA USD 1568250.72000000 0.608457377794 Long DBT CORP JP Y 2 2027-03-10 Fixed 2.80000000 N N N N N N European Union 529900FZRK8FGMPEOM08 N/A 1000000.00000000 PA 1193558.84000000 0.463082638999 Long DBT NUSS BE Y 2 2029-10-05 Fixed 2.87500000 N N N N N N N/A N/A N/A 229000000.00000000 PA 40786.46000000 0.015824524857 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-06-18 0.00000000 USD 40183.75000000 USD 229000000.00000000 JPY 40786.46000000 N N N GNMA 549300M8ZYFG0OCMTT87 38376RC95 83556.70000000 PA USD 83718.56000000 0.032481525333 Long ABS-MBS USGA US N 2 2066-10-20 Floating 5.23581840 N N N N N N N/A N/A N/A -200000.00000000 PA -36.51000000 -0.00001416532 N/A DIR US N 2 Morgan Stanley Capital Services I7331LVCZKQKX5T7XV54 Put Written N/A Swaption 1.00000000 2.79000000 EUR 2025-10-06 XXXX 479.06000000 N N N N/A N/A N/A 80000.00000000 PA 874.24000000 0.000339191795 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2035-03-24 0.00000000 USD 0.00000000 USD 80000.00000000 EUR 874.24000000 N N N GSR Mortgage Loan Trust N/A 362341RX9 13438.69000000 PA USD 12942.33000000 0.005021426787 Long ABS-MBS CORP US N 2 2035-09-25 Variable 5.19129720 N N N N N N Fremont Home Loan Trust N/A 35729NAB1 2009.38000000 PA USD 908.47000000 0.000352472514 Long ABS-O CORP US N 2 2037-01-25 Floating 4.33239120 N N N N N N N/A N/A N/A 6128215.51000000 PA -5173.39000000 -0.00200719647 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2027-01-04 0.00000000 USD 0.00000000 USD 6128215.51000000 BRL -5173.39000000 N N N United States of America 254900HROIFWPRGM1V77 912810SW9 1071100.00000000 PA USD 752211.36000000 0.291846543295 Long DBT UST US N 2 2041-02-15 Fixed 1.87500000 N N N N N N Structured Adjustable Rate Mortgage Loan Trust N/A 86363GAA2 23878.21630000 PA USD 19648.17000000 0.007623190504 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.67238960 N N N N N N Federative Republic of Brazil 254900ZFY40OYEADAP90 N/A 1800000.00000000 PA 315855.23000000 0.122547015319 Long STIV NUSS BR N 2 2026-04-01 None 0.00000000 N N N N N N 2025-10-30 EQ Advisors Trust Brian Walsh Brian Walsh Chief Financial Officer and Treasurer XXXX