NPORT-P false 0001126087 XXXXXXXX S000011100 C000030635 C000030638 C000030636 Brighthouse Funds Trust I 811-10183 0001126087 549300LQX1AREJYGF247 Brighthouse Investment Advisers, LLC 11225 North Community House Road Charlotte 28277 980-949-5089 PIMCO Total Return Portfolio S000011100 TY07AK2IOS83GROMUB16 2025-12-31 2025-06-30 N 6898429906.61 3339969225.46 3558460681.15 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 2388815740.09000000 0.00000000 0.00000000 0.00000000 AUD BRL CAD EUR GBP JPY USD N Bloomberg US Aggregate LBUSTRUU Freddie Mac S6XOOCT0IEG5ABCC6L87 31349ULF3 12568.00000000 PA USD 12937.54000000 0.000363571250 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.34000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 11300000.00000000 OU Notional Amount USD -129844.91000000 -0.00364890669 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2033-08-15 0.00000000 USD 0.00000000 USD 11300000.00000000 USD -129844.91000000 N N N Morgan Stanley Capital Inc N/A 61744CXM3 529419.15000000 PA USD 520366.88000000 0.014623370232 Long ABS-O CORP US N 2 2035-12-25 Floating 5.05400000 N N N N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 58003UAA6 1910174.49000000 PA USD 1911368.73000000 0.053713358141 Long ABS-CBDO CORP US N 2 2035-12-15 Floating 6.12800000 N N N N N N GSR Mortgage Loan Trust N/A 362341RX9 5461.34000000 PA USD 5244.13000000 0.000147370744 Long ABS-MBS CORP US N 2 2035-09-25 Variable 5.29300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSPN5 4869625.42000000 PA USD 4805447.94000000 0.135042884285 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KRB29 5948102.95000000 PA USD 5847586.43000000 0.164329100528 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.00000000 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DT9 300000.00000000 PA USD 328414.76000000 0.009229124316 Long DBT CORP US N 2 2054-05-01 Fixed 6.85800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CLK0 933.51000000 PA USD 933.24000000 0.000026225946 Long ABS-MBS USGA US N 2 2029-10-20 Floating 4.75000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 5408.80000000 0.000151998307 N/A DFE CN N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 2427515.57000000 USD 17350000.00000000 CNY 2025-08-20 5408.80000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810SE9 6500000.00000000 PA USD 5141855.49000000 0.144496622296 Long DBT UST US N 2 2048-11-15 Fixed 3.37500000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCB0 13300000.00000000 PA USD 12991777.55000000 0.365095436316 Long DBT CORP US N 2 2027-04-22 Fixed 1.57800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GDY6 3879.51000000 PA USD 3942.34000000 0.000110787791 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 6.44500000 N N N N N N SBA TOWER TRUST N/A 78403DAR1 13000000.00000000 PA USD 12290502.90000000 0.345388188918 Long DBT US N 2 2028-01-15 Fixed 2.32800000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBQ3 8600000.00000000 PA USD 7129317.87000000 0.200348367139 Long DBT CORP US N 2 2036-11-15 Fixed 3.18700000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 486.02000000 0.000013658152 N/A DFE CN N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 2433139.49000000 USD 17355000.00000000 CNY 2025-08-20 486.02000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -38609.86000000 -0.00108501578 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 6845776.87000000 SGD 5358935.00000000 USD 2025-08-05 -38609.86000000 N N N Bear Stearns Alt-A Trust N/A 07386HQ87 962845.08000000 PA USD 458089.72000000 0.012873255068 Long ABS-MBS CORP US N 2 2036-05-25 Variable 4.71400000 N N N N N N WEC ENERGY GROUP INC 549300IGLYTZUK3PVP70 92939UAD8 4525000.00000000 PA USD 4240342.88000000 0.119162279984 Long DBT CORP US N 2 2027-10-15 Fixed 1.37500000 N N N N N N GS Mortgage-Backed Securities Trust N/A 36262RAB3 10727150.96000000 PA USD 8737334.18000000 0.245536903815 Long ABS-MBS CORP US N 2 2052-01-25 Variable 2.50000000 N N N N N N Park Place Securities Inc N/A 70069FCY1 2228762.92000000 PA USD 2198747.50000000 0.061789287476 Long ABS-O CORP US N 2 2034-12-25 Floating 6.23400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128JM6N2 2757.02000000 PA USD 2811.21000000 0.000079000732 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.57500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CEG7 419.81000000 PA USD 420.11000000 0.000011805947 Long ABS-MBS USGA US N 2 2027-11-20 Floating 4.75000000 N N N N N N Option One Mortgage Loan Trust N/A 68400XBS8 5974.66000000 PA USD 6212.72000000 0.000174590098 Long ABS-MBS CORP US N 2 2033-08-25 Floating 5.07400000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -43580.69000000 -0.00122470623 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 2601297181.00000000 JPY 18087135.00000000 USD 2025-08-04 -43580.69000000 N N N Residential Asset Securitization Trust N/A 76112FAF8 2853764.30000000 PA USD 1078825.36000000 0.030317192085 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6.00000000 N N N N N N Huntington Auto Trust N/A 446144AC1 1280571.00000000 PA USD 1282088.48000000 0.036029300163 Long ABS-O CORP US N 2 2027-03-15 Fixed 5.50000000 N N N N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KBQ8 7200000.00000000 PA USD 7391158.20000000 0.207706614243 Long DBT CORP US N 2 2031-03-20 Fixed 5.74100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QA4X5 47071.08000000 PA USD 47819.63000000 0.001343829095 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RN0 3100000.00000000 PA USD 2317855.46000000 0.065136463985 Long DBT UST US N 2 2045-08-15 Fixed 2.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131XDUV5 137764.82000000 PA USD 135572.35000000 0.003809859434 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 3.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -2436.69000000 -0.00006847595 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 1730000.00000000 SEK 180421.18000000 USD 2025-07-02 -2436.69000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 410.51000000 0.000011536167 N/A DFE PL N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 18076.37000000 USD 66658.62000000 PLN 2025-07-18 410.51000000 N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 00084DBC3 7500000.00000000 PA USD 7538871.00000000 0.211857645074 Long DBT CORP NL N 2 2026-10-13 Fixed 6.57500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TE8 3917718.00000000 PA USD 2089960.42000000 0.058732148736 Long DBT UST US N 2 2052-02-15 Fixed 0.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LANZ9 30880.69000000 PA USD 31531.28000000 0.000886093252 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7T48 222339.76000000 PA USD 229296.24000000 0.006443691824 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 3100000.00000000 OU Notional Amount USD 11130.04000000 0.000312776815 N/A DCR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Republic of South Africa Government International Bonds Republic of South Africa Government International Bonds Y sell protection 2026-12-20 0.00000000 USD -44895.25000000 USD 3100000.00000000 USD 56025.29000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810RY6 3200000.00000000 PA USD 2280750.02000000 0.064093725471 Long DBT UST US N 2 2047-08-15 Fixed 2.75000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GGL7 5700000.00000000 PA USD 5632319.57000000 0.158279662884 Long DBT CORP US N 2 2028-04-24 Fixed 3.70500000 N N N N N N First Franklin Mtg Loan Asset Backed Certificates N/A 32027NNS6 1178836.10000000 PA USD 1182859.59000000 0.033240766049 Long ABS-O CORP US N 2 2034-10-25 Floating 5.85900000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -2600000.00000000 NC USD -2778.88000000 -0.00007809219 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 2600000.00000000 OU Notional Amount N/A -2778.88000000 0.00000000 DIR US N/A N/A 2035-07-02 0.00000000 N/A 0.00000000 N/A 2600000.00000000 USD 1.00000000 3.70100000 USD 2025-06-30 XXXX 5768.62000000 N N N Bear Stearns Asset Backed Securities Trust N/A 07384YBM7 1574.72000000 PA USD 1570.82000000 0.000044143244 Long ABS-MBS CORP US N 2 2032-10-27 Floating 5.23400000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -359.93000000 -0.00001011476 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 4733637.28000000 NOK 469364.00000000 USD 2025-08-04 -359.93000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AKXW4 1092.58000000 PA USD 1083.79000000 0.000030456708 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QR5B5 4499077.37000000 PA USD 4316128.15000000 0.121292000579 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 4.50000000 N N N N N N Sequoia Mortgage Trust N/A 81743XAA7 50383.80000000 PA USD 49176.54000000 0.001381961033 Long ABS-MBS CORP US N 2 2027-04-19 Floating 5.07200000 N N N N N N UMBS, TBA N/A 01F032674 43500000.00000000 PA USD 39158934.03000000 1.100445882047 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 3.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -417732.08000000 -0.01173912310 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 110174249.00000000 TWD 3368522.00000000 USD 2025-08-20 -417732.08000000 N N N Citigroup Mortgage Loan Trust Inc N/A 17307GW79 344348.64000000 PA USD 356719.30000000 0.010024539596 Long ABS-MBS CORP US N 2 2035-10-25 Floating 7.23000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 4700000.00000000 OU Notional Amount USD 41289.50000000 0.001160319129 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 General Electric Co. General Electric Co. Y sell protection 2026-06-20 9603.75000000 USD 0.00000000 USD 4700000.00000000 USD 31685.75000000 N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397E58 200000.00000000 PA USD 200417.76000000 0.005632147660 Long DBT CORP US N 2 2029-03-08 Fixed 5.80000000 N N N N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114DD7 7900000.00000000 PA USD 8011703.71000000 0.225145208219 Long DBT CORP US N 2 2034-02-15 Fixed 5.45000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -28747.37000000 -0.00080785970 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 3621228.32000000 PEN 991302.58000000 USD 2025-09-17 -28747.37000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -26343.79000000 -0.00074031420 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 11534000.00000000 CAD 8443639.69000000 USD 2025-07-02 -26343.79000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -123234.92000000 -0.00346315249 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 15331557232.00000000 KRW 11246823.43000000 USD 2025-07-16 -123234.92000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -23742.98000000 -0.00066722614 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 78374022.97000000 CNY 10966347.56000000 USD 2025-08-20 -23742.98000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -8153.82000000 -0.00022913896 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 3212925.20000000 NZD 1952346.85000000 USD 2025-08-04 -8153.82000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -54.00000000 NC USD -40500.00000000 -0.00113813256 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 54.00000000 NC N/A -40500.00000000 0.00000000 DIR US Short CBOT 10 Year US Treasury Note TYU5 Comdty 2025-09-19 54.00000000 USD 1000.00000000 112.00000000 USD 2025-07-25 XXXX -22006.62000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312931ST6 32064.12000000 PA USD 32819.23000000 0.000922287273 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 5.50000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CJ6 5200000.00000000 PA USD 4995926.16000000 0.140395710607 Long DBT CORP US N 2 2029-03-15 Fixed 3.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DA66 2282.10000000 PA USD 2369.31000000 0.000066582441 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 6.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -175418.71000000 -0.00492962338 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 5555000.00000000 CHF 6825652.56000000 USD 2025-07-02 -175418.71000000 N N N ADNOC MURBAN RSC LTD 213800OWGH7RAYG61M70 00723L2A6 3900000.00000000 PA USD 3877881.93000000 0.108976388317 Long DBT CORP AE N 2 2029-09-11 Fixed 4.25000000 N N N N N N MASTR Asset Backed Securities Trust N/A 55291KAD9 2921961.98000000 PA USD 983477.76000000 0.027637730134 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.75400000 N N N N N N Countrywide Home Loans N/A 12544TAB0 878633.76000000 PA USD 401899.29000000 0.011294189426 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 5.75000000 N N N N N N Louisiana Local Government Environmental Facilities & Community Development Auth 5493004WIZ1HV87IVF85 54627RAS9 5900000.00000000 PA USD 6031348.75000000 0.169493196368 Long DBT MUN US N 2 2034-12-01 Fixed 5.04800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CGG5 698.64000000 PA USD 701.62000000 0.000019716952 Long ABS-MBS USGA US N 2 2028-05-20 Floating 4.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418WMN7 1436.49000000 PA USD 1433.00000000 0.000040270221 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 4408.11000000 0.000123876878 N/A DFE KR N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 273222.61000000 USD 374361424.00000000 KRW 2025-07-16 4408.11000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406RFE0 71875.33000000 PA USD 71949.19000000 0.002021918926 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 5.99800000 N N N N N N Onslow Bay Financial LLC N/A 670855AA3 5308648.39000000 PA USD 5302317.30000000 0.149005926300 Long ABS-MBS CORP US N 2 2062-11-25 Variable 6.12000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAU5 7900000.00000000 PA USD 8115452.67000000 0.228060765515 Long DBT CORP KY N 2 2029-03-01 Fixed 5.75000000 N N N N N N Countrywide Asset-Backed Certificates N/A 12669LAD2 1568051.91000000 PA USD 1627942.40000000 0.045748500429 Long ABS-O CORP US N 2 2037-09-25 Floating 4.87400000 N N N N N N Texas Natural Gas Securitization Finance Corp N/A 88258MAB1 5900000.00000000 PA USD 5959620.09000000 0.167477474784 Long DBT MUN US N 2 2041-04-01 Fixed 5.16900000 N N N N N N VENTURE GLOBAL LNG INC 54930011XLBUWMQUC829 92332YAD3 3800000.00000000 PA USD 4103859.40000000 0.115326815938 Long DBT CORP US N 2 2032-02-01 Fixed 9.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31368HMB6 156720.11000000 PA USD 161225.48000000 0.004530764688 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410FXA8 16304.93000000 PA USD 16827.54000000 0.000472888181 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418SSA8 31.24000000 PA USD 31.15000000 0.000000875378 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405TTX0 1487.48000000 PA USD 1519.50000000 0.000042701047 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -83309.01000000 -0.00234115302 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 67949533.53000000 ZAR 3748795.00000000 USD 2025-07-23 -83309.01000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -224230.26000000 -0.00630132745 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 63335329.00000000 TWD 1946324.00000000 USD 2025-07-16 -224230.26000000 N N N SOLVAY FINANCE (AMERICA) 54930073OEL5K0Y7NK81 834423AE5 1900000.00000000 PA USD 1971087.25000000 0.055391570305 Long DBT CORP US N 2 2029-06-04 Fixed 5.65000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -41352.23000000 -0.00116208197 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1874232452.00000000 JPY 12973699.00000000 USD 2025-07-02 -41352.23000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GB29 500000.00000000 PA USD 508302.15000000 0.014284326722 Long DBT CORP US N 2 2030-07-23 Fixed 5.04900000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 715638BD3 1680000.00000000 PA 514343.30000000 0.014454095354 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95000000 N N N N N N NATIONAL FUEL GAS CO 8JB38FFW1Y3C1HM8E841 636180BS9 6400000.00000000 PA USD 6466859.84000000 0.181731945901 Long DBT CORP US N 2 2026-10-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SM1 11603052.00000000 PA USD 6734764.81000000 0.189260621753 Long DBT UST US N 2 2050-02-15 Fixed 0.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KVW5 16182.75000000 PA USD 16393.32000000 0.000460685714 Long ABS-MBS USGA US N 2 2038-10-15 Fixed 5.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -2394.55000000 -0.00006729173 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 278000.00000000 CAD 201754.52000000 USD 2025-07-02 -2394.55000000 N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KQ9 5700000.00000000 PA USD 5791912.39000000 0.162764546498 Long DBT CORP US N 2 2029-05-15 Fixed 5.55000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 2119.27000000 0.000059555807 N/A DFE CN N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 151428.41000000 USD 1095000.00000000 CNY 2025-08-20 2119.27000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YRP4 16351.19000000 PA USD 16246.06000000 0.000456547407 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M4T94 1118.12000000 PA USD 1153.56000000 0.000032417387 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407YPX1 179708.47000000 PA USD 184897.44000000 0.005195995026 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 57584.55000000 0.001618243256 N/A DFE TW N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 3855000.00000000 USD 113850274.00000000 TWD 2025-08-20 57584.55000000 N N N Structured Asset Investment Loan Trust N/A 86361KAC1 161028.52000000 PA USD 159960.82000000 0.004495225164 Long ABS-O CORP US N 2 2036-09-25 Floating 4.58400000 N N N N N N GSR Mortgage Loan Trust N/A 36228FNB8 34.01000000 PA USD 35.06000000 0.000000985257 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296UUE8 40031.15000000 PA USD 40560.52000000 0.001139833305 Long ABS-MBS USGA US N 2 2039-03-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405R7C4 168201.79000000 PA USD 173452.74000000 0.004874375623 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 5.50000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308HW0 1600000.00000000 PA USD 1547929.06000000 0.043499962447 Long DBT CORP US N 2 2027-12-01 Fixed 3.30000000 N N N N N N DTE ENERGY CO 549300IX8SD6XXD71I78 233331BK2 3000000.00000000 PA USD 3059091.60000000 0.085966710724 Long DBT CORP US N 2 2029-03-01 Fixed 5.10000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCM1 14241682.00000000 PA USD 13105006.08000000 0.368277388855 Long DBT UST US N 2 2031-07-15 Fixed 0.12500000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -496065.04000000 -0.01394043898 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 130769601.00000000 TWD 3997970.00000000 USD 2025-08-20 -496065.04000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410REW5 834.10000000 PA USD 852.89000000 0.000023967947 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 11925.46000000 0.000335129739 N/A DFE IN N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1142742.00000000 USD 99227144.71000000 INR 2025-08-20 11925.46000000 N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397A86 4700000.00000000 PA USD 4594242.25000000 0.129107573798 Long DBT CORP US N 2 2027-08-17 Fixed 4.12500000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -930.91000000 -0.00002616046 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 66568615.00000000 KRW 48437.14000000 USD 2025-07-16 -930.91000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -88.79000000 -0.00000249518 N/A DFE IN N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 1626963.00000000 USD 139806557.55000000 INR 2025-08-20 -88.79000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406TLC3 16565.03000000 PA USD 17116.06000000 0.000480996181 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 6.81000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -1200000.00000000 NC -1236.62000000 -0.00003475154 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 1200000.00000000 OU Notional Amount N/A -1236.62000000 0.00000000 DIR US N/A N/A 2035-07-07 0.00000000 N/A 0.00000000 N/A 1200000.00000000 EUR 1.00000000 2.64000000 EUR 2025-07-03 XXXX 1935.19000000 N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBC1 7400000.00000000 PA USD 7517199.79000000 0.211248639891 Long DBT CORP US N 2 2026-12-04 Fixed 5.48800000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KX4 2200000.00000000 PA USD 2224677.42000000 0.062517971093 Long DBT CORP US N 2 2035-08-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31382D4Z4 2036.25000000 PA USD 2097.11000000 0.000058933066 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BH21 23483.46000000 PA USD 23477.93000000 0.000659777698 Long ABS-MBS USGA US N 2 2062-12-20 Floating 4.78600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133CEV25 9581235.27000000 PA USD 9757868.02000000 0.274215985346 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6.00000000 N N N N N N United Wholesale Mortgage LLC N/A 918307AC3 10563175.39000000 PA USD 8571029.17000000 0.240863393978 Long ABS-MBS CORP US N 2 2051-12-25 Variable 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QE1 12800000.00000000 PA USD 12874499.97000000 0.361799697217 Long DBT UST US N 2 2040-02-15 Fixed 4.62500000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AZ1 10650000.00000000 PA USD 11583862.50000000 0.325530153005 Long DBT CORP CH N 2 2033-08-12 Fixed 6.53700000 N N N N N N Structured Adjustable Rate Mortgage Loan Trust N/A 863579HD3 70033.53000000 PA USD 69503.09000000 0.001953178529 Long ABS-MBS CORP US N 2 2035-01-25 Variable 3.97200000 N N N N N N Toyota Auto Loan Extended Note Trust 5493000KI9FC40RVHF71 89231WAA1 3900000.00000000 PA USD 3978215.67000000 0.111795970967 Long ABS-O CORP US N 2 2036-06-25 Fixed 4.93000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CD9 13000000.00000000 PA USD 12160993.00000000 0.341748696688 Long DBT CORP DE N 2 2031-09-18 Fixed 3.54700000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 742.50000000 0.000020865763 N/A DFE CA N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 67316.86000000 USD 92679.83000000 CAD 2025-07-02 742.50000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7ZZ2 20430.00000000 PA USD 20960.90000000 0.000589044024 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 5.50000000 N N N N N N ABU DHABI DEVELOPMENT HO 254900G082ZFKTCR2Q75 00402D2C8 5300000.00000000 PA USD 5219349.00000000 0.146674347918 Long DBT CORP AE N 2 2031-10-02 Fixed 4.37500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912834KP2 1600000.00000000 PA USD 727173.71000000 0.020435063786 Long DBT UST US N 2 2041-08-15 None 0.00000000 N N N N N N WALGREENS BOOTS ALLIANCE 549300RPTUOIXG4LIH86 931427AQ1 1500000.00000000 PA USD 1467642.63000000 0.041243750079 Long DBT CORP US N 2 2026-06-01 Fixed 3.45000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -583179.28000000 -0.01638852673 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 22897000.00000000 GBP 30846380.46000000 USD 2025-07-02 -583179.28000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QTA74 398699.37000000 PA USD 399236.31000000 0.011219354259 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5.50000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAY1 3800000.00000000 PA USD 4053496.14000000 0.113911505653 Long DBT CORP ES N 2 2028-11-07 Fixed 6.60700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AM95 30.46000000 PA USD 30.37000000 0.000000853458 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.50000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 6916.23000000 0.000194360163 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2173292.00000000 USD 35413793140.00000000 IDR 2025-07-16 6916.23000000 N N N Catamaran CLO Ltd 549300C8Q7ISEHHDRH76 14889DAJ7 1888355.73000000 PA USD 1888497.36000000 0.053070626015 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 5.63400000 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837BQ5 9200000.00000000 PA USD 9293603.47000000 0.261169204966 Long DBT CORP NL N 2 2029-03-25 Fixed 4.85800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406A2U5 10780.48000000 PA USD 10927.29000000 0.000307079127 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.00000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -2500000.00000000 NC USD -286.35000000 -0.00000804701 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 2500000.00000000 OU Notional Amount N/A -286.35000000 0.00000000 DIR US N/A N/A 2035-07-16 0.00000000 N/A 0.00000000 N/A 2500000.00000000 USD 1.00000000 4.05250000 USD 2025-07-14 XXXX 7182.40000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 -2600000.00000000 NC USD -0.26000000 -0.00000000730 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A 2600000.00000000 OU Notional Amount N/A -0.26000000 0.00000000 DIR US N/A N/A 2035-07-02 0.00000000 N/A 0.00000000 N/A 2600000.00000000 USD 1.00000000 4.05000000 USD 2025-06-30 XXXX 9099.74000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P7PU1 62876.71000000 PA USD 62520.29000000 0.001756947613 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHNG8 398377.39000000 PA USD 374279.45000000 0.010518015612 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -71339.77000000 -0.00200479298 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 5086063305.00000000 KRW 3700543.00000000 USD 2025-07-16 -71339.77000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140A4XN6 10580316.34000000 PA USD 10763041.05000000 0.302463396800 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416B2P2 12974.28000000 PA USD 13316.54000000 0.000374221923 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 206927.35000000 0.005815080410 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1525562.24000000 USD 69330701.56000000 TRY 2025-07-08 206927.35000000 N N N AREIT CRE Trust N/A 04002VAA9 6887465.34000000 PA USD 6876661.66000000 0.193248212532 Long ABS-CBDO CORP KY N 2 2037-01-20 Floating 5.55100000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GA46 5600000.00000000 PA USD 5940290.78000000 0.166934281765 Long DBT CORP US N 2 2029-10-24 Fixed 6.48400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404RSK4 512.93000000 PA USD 520.15000000 0.000014617275 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7KW5 18969.11000000 PA USD 19508.49000000 0.000548228342 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F5BX6 3226477.22000000 PA USD 3162268.39000000 0.088866188876 Long ABS-MBS USGSE US N 2 2043-10-15 Floating 4.60800000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MCG3 9800000.00000000 PA USD 9096390.28000000 0.255627112256 Long DBT CORP JP N 2 2028-09-17 Fixed 1.90200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A3DC1 1271524.56000000 PA USD 1251424.19000000 0.035167571096 Long ABS-MBS USGA US N 2 2048-03-15 Fixed 5.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 17997.24000000 0.000505759136 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 2036766.00000000 USD 84016597.50000000 TRY 2025-08-04 17997.24000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 -2700000.00000000 NC USD -24514.81000000 -0.00068891614 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A 2700000.00000000 OU Notional Amount N/A -24514.81000000 0.00000000 DIR US N/A N/A 2035-07-14 0.00000000 N/A 0.00000000 N/A 2700000.00000000 USD 1.00000000 3.77200000 USD 2025-07-10 XXXX -15672.31000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 11682.09000000 0.000328290546 N/A DFE IN N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 1019703.00000000 USD 88632788.70000000 INR 2025-08-20 11682.09000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 90262.84000000 0.002536569828 N/A DFE PL N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 3188485.00000000 USD 11822264.68000000 PLN 2025-07-18 90262.84000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407GUK2 3456.71000000 PA USD 3492.30000000 0.000098140749 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AWTT0 28463.46000000 PA USD 28193.75000000 0.000792301855 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -1600000.00000000 NC -2592.49000000 -0.00007285425 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 1600000.00000000 OU Notional Amount N/A -2592.49000000 0.00000000 DIR US N/A N/A 2035-07-18 0.00000000 N/A 0.00000000 N/A 1600000.00000000 EUR 1.00000000 2.72000000 EUR 2025-07-16 XXXX 2314.16000000 N N N FHLMC Structured Pass Through Securities S6XOOCT0IEG5ABCC6L87 31395A3J2 1117571.89000000 PA USD 1079736.27000000 0.030342790513 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 5.79900000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 7000000.00000000 OU Notional Amount USD 938000.00000000 0.026359712360 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 T-Mobile USA, Inc. T-Mobile USA, Inc. Y sell protection 2028-06-20 717376.70000000 USD 0.00000000 USD 7000000.00000000 USD 220623.30000000 N N N Banc of America Funding Corporation N/A 058927AA2 316210.87000000 PA USD 300909.20000000 0.008456162002 Long ABS-MBS CORP US N 2 2036-02-20 Variable 6.24900000 N N N N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 60687YBH1 12400000.00000000 PA USD 11041697.68000000 0.310294216217 Long DBT CORP JP N 2 2031-07-10 Fixed 2.20100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6GG7 15195.17000000 PA USD 15608.63000000 0.000438634325 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.50000000 N N N N N N EXTRA SPACE STORAGE LP 549300YNKSKNZFR8UC42 30225VAQ0 13500000.00000000 PA USD 11729588.27000000 0.329625344243 Long DBT US N 2 2031-10-15 Fixed 2.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415QB96 3191.02000000 PA USD 3302.09000000 0.000092795461 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6.00000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016HZT0 6900000.00000000 PA USD 6966994.45000000 0.195786748098 Long DBT CORP CA N 2 2027-01-19 Fixed 4.87500000 N N N N N N IndyMac ARM Trust N/A 45660UAT6 4057.58000000 PA USD 3917.29000000 0.000110083835 Long ABS-MBS CORP US N 2 2032-01-25 Variable 6.63600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312930TR1 565.61000000 PA USD 580.31000000 0.000016307894 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -5333.41000000 -0.00014987969 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 8713000.00000000 CNY 1216457.37000000 USD 2025-08-20 -5333.41000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 60700000.00000000 OU Notional Amount USD -860883.82000000 -0.02419259048 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2029-12-18 0.00000000 USD -1004971.25000000 USD 60700000.00000000 USD 144087.43000000 N N N OMEGA HLTHCARE INVESTORS 549300OJ7ENK42CZ8E73 681936BK5 8900000.00000000 PA USD 8938066.81000000 0.251177899965 Long DBT US N 2 2028-01-15 Fixed 4.75000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 8000000.00000000 OU Notional Amount USD -116028.80000000 -0.00326064583 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-10-31 0.00000000 USD 0.00000000 USD 8000000.00000000 USD -116028.80000000 N N N Accredited Mortgage Loan Trust N/A 004375AW1 2132467.52000000 PA USD 2110766.04000000 0.059316829076 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.01400000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CS7 5500000.00000000 PA USD 5713137.82000000 0.160550820478 Long DBT CORP GB N 2 2029-01-09 Fixed 6.30100000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17312VAE8 397007.32000000 PA USD 350648.58000000 0.009853939987 Long ABS-MBS CORP US N 2 2046-10-25 Variable 4.11800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CA30 809.86000000 PA USD 809.28000000 0.000022742417 Long ABS-MBS USGA US N 2 2026-11-20 Floating 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31376KNN2 44565.79000000 PA USD 45993.68000000 0.001292516178 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.50000000 N N N N N N IXIS Real Estate Capital Trust N/A 45071KAE4 910942.26000000 PA USD 923364.60000000 0.025948427782 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.37900000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 8769000.00000000 PA USD 7396118.43000000 0.207846006819 Long DBT CORP US N 2 2035-11-15 Fixed 3.13700000 N N N N N N MERCEDES-BENZ FIN NA 549300423Z16BB673J12 58769JAZ0 7300000.00000000 PA USD 7382681.19000000 0.207468392979 Long DBT CORP US N 2 2027-11-15 Fixed 4.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A9TL1 54914.05000000 PA USD 54128.83000000 0.001521130478 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ADS48 226.29000000 PA USD 226.17000000 0.000006355838 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 4.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWL4 6500000.00000000 PA USD 6407607.44000000 0.180066832660 Long DBT CORP US N 2 2028-06-05 Fixed 3.69100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6XR7 55154.85000000 PA USD 54211.04000000 0.001523440747 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DPP8 2073.12000000 PA USD 2131.86000000 0.000059909612 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 5.50000000 N N N N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAH6 3900000.00000000 PA USD 3963632.48000000 0.111386153597 Long DBT CORP US N 2 2026-11-21 Fixed 6.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A2UF4 28571.28000000 PA USD 28444.65000000 0.000799352656 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410CME9 1061.79000000 PA USD 1100.15000000 0.000030916457 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6.00000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397YT4 1632000.00000000 PA USD 1575422.80000000 0.044272592594 Long DBT CORP US N 2 2027-11-02 Fixed 3.81500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CXW9 138205.64000000 PA USD 135988.63000000 0.003821557751 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 3.50000000 N N N N N N IndyMac Residential Asset Backed Trust N/A 43710BAA4 1848348.70000000 PA USD 1421085.52000000 0.039935400369 Long ABS-O CORP US N 2 2037-04-25 Floating 4.65400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SW9 9600000.00000000 PA USD 6603000.00000000 0.185557761955 Long DBT UST US N 2 2041-02-15 Fixed 1.87500000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -355816.42000000 -0.00999916682 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 95423889.00000000 TWD 2923526.00000000 USD 2025-08-20 -355816.42000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 8391.82000000 0.000235827250 N/A DFE TH N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 410000.00000000 USD 13587564.00000000 THB 2025-07-16 8391.82000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GLG2 6000000.00000000 PA USD 6131771.88000000 0.172315291060 Long DBT CORP US N 2 2029-04-25 Fixed 5.20200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38383KKU5 15963505.27000000 PA USD 16009339.69000000 0.449895084546 Long ABS-MBS USGA US N 2 2073-12-20 Floating 5.20200000 N Y N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -99.21000000 -0.00000278800 N/A DFE CN N 2 Citibank NA E57ODZWZ7FF32TWEFA76 133852.22000000 USD 956146.56000000 CNY 2025-08-05 -99.21000000 N N N Sales Tax Securitization Corp N/A 79467BDH5 2000000.00000000 PA USD 1753553.20000000 0.049278420000 Long DBT MUN US N 2 2034-01-01 Fixed 3.05700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407MZ40 159.78000000 PA USD 164.37000000 0.000004619132 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UWB4 96306.48000000 PA USD 96272.46000000 0.002705452402 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132ADP69 252985.44000000 PA USD 248817.90000000 0.006992290270 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7CQ7 152633.16000000 PA USD 157222.18000000 0.004418263796 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.50000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 1976.94000000 0.000055556044 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 339331.44000000 USD 1436390.00000000 MYR 2025-07-16 1976.94000000 N N N Japan Government Twenty Year Bonds 353800WZS8AXZXFUC241 000000000 1670000000.00000000 PA 10978129.23000000 0.308507813171 Long DBT NUSS JP N 2 2044-12-20 Fixed 2.00000000 N N N N N N HUNTINGTON INGALLS INDUS 5TZLZ6WJTBVJ0QWBG121 446413AZ9 13800000.00000000 PA USD 12848168.60000000 0.361059732036 Long DBT CORP US N 2 2028-08-16 Fixed 2.04300000 N N N N N N Countrywide Asset-Backed Certificates N/A 23245CAA8 4767448.90000000 PA USD 4437741.19000000 0.124709574943 Long ABS-O CORP US N 2 2037-07-25 Floating 4.57400000 N N N N N N NYO Commercial Mortgage Trust N/A 62955HAA5 14000000.00000000 PA USD 13965310.80000000 0.392453705445 Long ABS-MBS CORP US N 2 2038-11-15 Floating 5.52100000 N N N N N N HA SUSTAINABLE INF CAP 254900ZZRL7MWL1X8E92 40408AAA9 4500000.00000000 PA USD 4556099.79000000 0.128035692908 Long DBT CORP US N 2 2031-01-15 Fixed 6.15000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 8192.37000000 0.000230222299 N/A DFE NZ N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 1950245.60000000 USD 3212925.20000000 NZD 2025-07-02 8192.37000000 N N N GS Mortgage Securities Trust N/A 36251PAZ7 13346000.00000000 PA USD 11936017.79000000 0.335426434616 Long ABS-MBS CORP US N 2 2049-10-10 Variable 3.72200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622ABJW3 1754270.33000000 PA USD 1787870.26000000 0.050242799350 Long ABS-MBS USGA US N 2 2049-01-15 Fixed 5.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 190300000.00000000 OU Notional Amount -1149129.55000000 -0.03229288315 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 190300000.00000000 BRL -1149129.55000000 N N N Bear Stearns Adjustable Rate Mortgage Trust N/A 07387AET8 382345.37000000 PA USD 382612.86000000 0.010752201423 Long ABS-MBS CORP US N 2 2035-10-25 Variable 6.46400000 N N N N N N LETRA TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 34500000.00000000 PA 6124314.26000000 0.172105716734 Long DBT NUSS BR N 2 2025-10-01 None 0.00000000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816DL0 5000000.00000000 PA USD 5029300.20000000 0.141333589173 Long DBT CORP US N 2 2026-10-30 Fixed 6.33800000 N N N N N N Soundview Home Equity Loan Trust N/A 83612NAC9 1976635.04000000 PA USD 522576.05000000 0.014685452413 Long ABS-O CORP US N 2 2037-02-25 Floating 4.65400000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -168020.65000000 -0.00472172281 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 43407100.00000000 TWD 1323710.05000000 USD 2025-08-20 -168020.65000000 N N N MortgageIT Trust N/A 61915RBY1 1185105.77000000 PA USD 1122196.09000000 0.031535998021 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.89400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DAZ5 72981.20000000 PA USD 72134.71000000 0.002027132416 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 3.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -6901.57000000 -0.00019394818 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 31070163.22000000 CNY 4349949.00000000 USD 2025-08-20 -6901.57000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128L1WN6 2260.31000000 PA USD 2319.97000000 0.000065195886 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.50000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BE7 5800000.00000000 PA USD 6093178.92000000 0.171230750202 Long DBT CORP CH N 2 2029-09-22 Fixed 6.24600000 N N N N N N Structured Asset Investment Loan Trust N/A 86358EYF7 2748196.89000000 PA USD 2693749.61000000 0.075699855959 Long ABS-O CORP US N 2 2035-11-25 Floating 5.06400000 N N N N N N BNP Paribas Suisse SA R0MUWSFPU8MPRO8K5P83 000000000 500000.00000000 OU Notional Amount USD -3972.41000000 -0.00011163281 N/A DCR FR N 2 BNP Paribas Suisse SA R0MUWSFPU8MPRO8K5P83 Colombia Government International Bonds Colombia Government International Bonds Y sell protection 2027-12-20 0.00000000 USD -21174.02000000 USD 500000.00000000 USD 17201.61000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWKN2 31711.52000000 PA USD 31717.47000000 0.000891325571 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403NZ83 76713.76000000 PA USD 76719.22000000 0.002155966494 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.50000000 N N N N N N Nomura Asset Acceptance Corporation N/A 65535VLL0 542572.94000000 PA USD 249656.58000000 0.007015858888 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.47600000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -37077.60000000 -0.00104195615 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 84207677.69000000 ZAR 4711926.00000000 USD 2025-07-23 -37077.60000000 N N N HarborView Mortgage Loan Trust N/A 41161PLR2 260483.13000000 PA USD 250123.69000000 0.007028985632 Long ABS-MBS CORP US N 2 2035-05-19 Floating 4.87200000 N N N N N N RGA GLOBAL FUNDING 549300Y22K5FOEBMSK42 76209PAE3 6000000.00000000 PA USD 6188970.42000000 0.173922686648 Long DBT CORP US N 2 2029-05-24 Fixed 5.44800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6AX6 8147.48000000 PA USD 8395.77000000 0.000235938253 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 22200000.00000000 OU Notional Amount -138437.69000000 -0.00389038133 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 22200000.00000000 BRL -138437.69000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 -1800000.00000000 NC -0.21000000 -0.00000000590 N/A DIR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Put Written Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 1800000.00000000 OU Notional Amount N/A -0.21000000 0.00000000 DIR US N/A N/A 2030-07-02 0.00000000 N/A 0.00000000 N/A 1800000.00000000 EUR 1.00000000 2.36000000 EUR 2025-06-30 XXXX 2618.63000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617YAR59 45492.93000000 PA USD 42705.79000000 0.001200119766 Long ABS-MBS USGA US N 2 2052-03-15 Fixed 4.00000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 19316.89000000 0.000542843991 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 738736029.00000000 JPY 5149250.08000000 USD 2025-07-02 19316.89000000 N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 417798.87000000 0.011741000040 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 28098674.00000000 USD 157337120.13000000 BRL 2025-09-03 417798.87000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617JV7F0 279167.87000000 PA USD 281664.14000000 0.007915336580 Long ABS-MBS USGA US N 2 2049-05-15 Fixed 5.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 11651.63000000 0.000327434557 N/A DFE TW N 2 Citibank NA E57ODZWZ7FF32TWEFA76 580514.00000000 USD 17278999.00000000 TWD 2025-07-16 11651.63000000 N N N Japan Government Thirty Year Bonds 353800WZS8AXZXFUC241 000000000 1394800000.00000000 PA 8887763.81000000 0.249764283109 Long DBT NUSS JP N 2 2055-03-20 Fixed 2.40000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 500000.00000000 OU Notional Amount USD 6520.00000000 0.000183225292 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 General Electric Co. General Electric Co. Y sell protection 2026-12-20 1631.67000000 USD 0.00000000 USD 500000.00000000 USD 4888.33000000 N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAV7 7450000.00000000 PA USD 7258359.85000000 0.203974709863 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90351DAF4 10200000.00000000 PA USD 10171052.40000000 0.285827308810 Long DBT CORP CH N 2 2026-04-15 Fixed 4.12500000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBA5 5500000.00000000 PA USD 5510489.49000000 0.154855989253 Long DBT CORP US N 2 2025-09-29 Fixed 5.86400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404R3C9 574.49000000 PA USD 587.41000000 0.000016507418 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297BXM8 11570.27000000 PA USD 11685.98000000 0.000328399862 Long ABS-MBS USGA US N 2 2039-02-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128K2F61 9624.87000000 PA USD 9943.56000000 0.000279434308 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 29100000.00000000 OU Notional Amount 3600606.19000000 0.101184374723 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2055-09-17 1599368.94000000 EUR 0.00000000 EUR 29100000.00000000 EUR 1872926.10000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJJT8 39921.33000000 PA USD 40974.95000000 0.001151479633 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406MYP5 8209.01000000 PA USD 8334.01000000 0.000234202672 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 6.33200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407DTL9 2073.37000000 PA USD 2118.33000000 0.000059529391 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131YBXS2 287209.96000000 PA USD 279118.35000000 0.007843794691 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -29499.25000000 -0.00082898906 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 14945134.53000000 CNY 2066200.00000000 USD 2025-08-20 -29499.25000000 N N N Henley Funding Ltd. 635400SRJSVJPTMR4D89 000000000 6300000.00000000 PA 7416643.85000000 0.208422812967 Long ABS-CBDO CORP IE N 2 2034-04-25 Floating 3.14800000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MCT5 2900000.00000000 PA USD 2914498.99000000 0.081903363593 Long DBT CORP JP N 2 2026-01-13 Fixed 5.46400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810UH9 2541300.00000000 PA USD 2455489.14000000 0.069004250995 Long DBT UST US N 2 2055-02-15 Fixed 2.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371FB50 3.91000000 PA USD 3.90000000 0.000000109597 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 8.00000000 N N N N N N Lehman XS Trust N/A 52524HAF7 8454475.44000000 PA USD 7186496.89000000 0.201955214176 Long ABS-MBS CORP US N 2 2047-03-25 Floating 4.83400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376R6V3 3726726.00000000 PA USD 3785513.98000000 0.106380660605 Long ABS-MBS USGA US N 2 2067-09-20 Floating 6.11100000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 1871.30000000 0.000052587345 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 117295.96000000 USD 4830376.66000000 TRY 2025-07-24 1871.30000000 N N N Republic of Peru 254900STKLK2DBJJZ530 715638BE1 7920000.00000000 PA 2424761.26000000 0.068140734920 Long DBT NUSS PE Y 2 2031-08-12 Fixed 6.95000000 N N N N N N WEC ENERGY GROUP INC 549300IGLYTZUK3PVP70 92939UAE6 1711000.00000000 PA USD 1497395.08000000 0.042079854582 Long DBT CORP US N 2 2030-10-15 Fixed 1.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407PFB9 49510.95000000 PA USD 51098.03000000 0.001435958819 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312929LV2 2193.07000000 PA USD 2239.85000000 0.000062944351 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415VYQ2 16298.63000000 PA USD 16661.93000000 0.000468234202 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.50000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -1300000.00000000 NC USD -1695.92000000 -0.00004765880 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 1300000.00000000 OU Notional Amount N/A -1695.92000000 0.00000000 DIR US N/A N/A 2035-07-25 0.00000000 N/A 0.00000000 N/A 1300000.00000000 USD 1.00000000 3.93300000 USD 2025-07-23 XXXX 2854.08000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810TQ1 14400000.00000000 PA USD 12890250.00000000 0.362242305170 Long DBT UST US N 2 2043-02-15 Fixed 3.87500000 N N N N N N JP Morgan Mortgage Trust N/A 465973AC9 10424402.79000000 PA USD 8892912.08000000 0.249908959992 Long ABS-MBS CORP US N 2 2052-03-25 Variable 3.00000000 N N N N N N AMER AIRLN 15-2 AA PTT N/A 02377BAB2 860421.94000000 PA USD 837098.83000000 0.023524183769 Long DBT CORP US N 2 2027-09-22 Fixed 3.60000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 26693062.00000000 PA 31906895.56000000 0.896648815849 Long DBT NUSS IT Y 2 2028-05-15 Fixed 1.30000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 385.73000000 0.000010839799 N/A DFE KR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 20070.32000000 USD 27583243.00000000 KRW 2025-07-16 385.73000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VBJ8 9116.01000000 PA USD 8861.57000000 0.000249028183 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 4.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 6145.95000000 0.000172713725 N/A DFE KR N 2 UBS AG BFM8T61CT2L1QCEMIK50 1163569.62000000 USD 1577262021.00000000 KRW 2025-07-16 6145.95000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128L16J4 1785.37000000 PA USD 1821.90000000 0.000051199104 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.50000000 N N N N N N UMBS, TBA N/A 01F030678 149000000.00000000 PA USD 128905940.46000000 3.622519735649 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 3.00000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 -2800000.00000000 NC USD -37.66000000 -0.00000105832 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Put Written Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 2800000.00000000 OU Notional Amount N/A -37.66000000 0.00000000 DIR US N/A N/A 2035-07-09 0.00000000 N/A 0.00000000 N/A 2800000.00000000 USD 1.00000000 4.01900000 USD 2025-07-07 XXXX 10476.34000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810SL3 2000000.00000000 PA USD 1174375.00000000 0.033002331772 Long DBT UST US N 2 2050-02-15 Fixed 2.00000000 N N N N N N EPR PROPERTIES 549300YSSXFHMPOWZ492 26884UAF6 2500000.00000000 PA USD 2380405.80000000 0.066894256064 Long DBT US N 2 2029-08-15 Fixed 3.75000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 4900000.00000000 OU Notional Amount USD 80551.10000000 0.002263650134 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Verizon Communications, Inc. Verizon Communications, Inc. Y sell protection 2028-06-20 2241.87000000 USD 0.00000000 USD 4900000.00000000 USD 78309.23000000 N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822BZ6 10500000.00000000 PA USD 10135918.07000000 0.284839962506 Long DBT CORP JP N 2 2027-10-13 Fixed 1.64000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DR7 5900000.00000000 PA USD 6265739.23000000 0.176080046723 Long DBT CORP GB N 2 2028-11-03 Fixed 7.39000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -214062.31000000 -0.00601558733 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 61937757.00000000 TWD 1908596.00000000 USD 2025-07-16 -214062.31000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M44E0 3187.25000000 PA USD 3286.32000000 0.000092352292 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31384WFN5 66573.96000000 PA USD 66934.17000000 0.001880986639 Long ABS-MBS USGSE US N 2 2031-02-01 Floating 6.02500000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MCA6 6500000.00000000 PA USD 6496103.19000000 0.182553743656 Long DBT CORP JP N 2 2025-07-08 Fixed 1.47400000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -2500000.00000000 NC USD -11146.33000000 -0.00031323459 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 2500000.00000000 OU Notional Amount N/A -11146.33000000 0.00000000 DIR US N/A N/A 2035-07-25 0.00000000 N/A 0.00000000 N/A 2500000.00000000 USD 1.00000000 3.60500000 USD 2025-07-23 XXXX -2146.33000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 109.00000000 NC USD 601034.17000000 0.016890285543 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT Ultra Long-Term U.S. Treasury Bond Futures WNU5 Comdty 2025-09-19 12383590.83000000 USD 601034.17000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 280300000.00000000 NC USD 12703.20000000 0.000356985818 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Purchased Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 280300000.00000000 OU Notional Amount N/A 12703.20000000 0.00000000 DIR US N/A N/A 2026-07-21 0.00000000 N/A 0.00000000 N/A 280300000.00000000 USD 1.00000000 3.45000000 USD 2025-07-17 XXXX -253581.80000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5PM6 11380.64000000 PA USD 11759.43000000 0.000330463957 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1400000.00000000 OU Notional Amount USD -11122.75000000 -0.00031257195 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Colombia Government International Bonds Colombia Government International Bonds Y sell protection 2027-12-20 0.00000000 USD -59273.92000000 USD 1400000.00000000 USD 48151.17000000 N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HBG3 5100000.00000000 PA USD 5126160.40000000 0.144055558268 Long DBT CORP JP N 2 2026-01-09 Fixed 5.70900000 N N N N N N Structured Asset Mortgage Investments Inc N/A 86359LPD5 26293.74000000 PA USD 25122.89000000 0.000706004428 Long ABS-MBS CORP US N 2 2035-07-19 Floating 4.93200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410K2B9 10377.06000000 PA USD 10642.32000000 0.000299070889 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 6182.70000000 0.000173746475 N/A DFE CN N 2 Bank of America NA B4TYDEB6GKMZO031MB27 2114317.73000000 USD 15122000.00000000 CNY 2025-08-20 6182.70000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36206GNM8 14.42000000 PA USD 14.41000000 0.000000404950 Long ABS-MBS USGA US N 2 2026-01-15 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H042679 33100000.00000000 PA USD 31678619.14000000 0.890233783045 Long ABS-MBS USGA US N 2 2054-07-20 Fixed 4.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 3484.55000000 0.000097922959 N/A DFE BR N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 70391.86000000 USD 401377.91000000 BRL 2025-07-02 3484.55000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410MQS2 2388.28000000 PA USD 2455.14000000 0.000068994439 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617YCQJ6 594984.61000000 PA USD 558531.99000000 0.015695887633 Long ABS-MBS USGA US N 2 2052-03-15 Fixed 4.00000000 N N N N N N BNP Paribas Suisse SA R0MUWSFPU8MPRO8K5P83 000000000 14372446.62000000 OU Notional Amount 3093976.41000000 0.086947045007 N/A DCR FR N 2 BNP Paribas Suisse SA R0MUWSFPU8MPRO8K5P83 iTraxx Europe Crossover S42 2I667KKW7 Y sell protection 2029-12-20 2417353.77000000 EUR 0.00000000 EUR 14372446.62000000 EUR 455726.20000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -297.06000000 -0.00000834799 N/A DFE IN N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 1627052.00000000 USD 139796307.84000000 INR 2025-08-20 -297.06000000 N N N Chase Mortgage Finance Corporation N/A 16162WPB9 81110.54000000 PA USD 73098.55000000 0.002054218285 Long ABS-MBS CORP US N 2 2035-12-25 Variable 4.74500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SC3 3400000.00000000 PA USD 2579617.20000000 0.072492502549 Long DBT UST US N 2 2048-05-15 Fixed 3.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415PZX9 7260.82000000 PA USD 7440.48000000 0.000209092657 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P7N33 11403.47000000 PA USD 11341.02000000 0.000318705783 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 4.00000000 N N N N N N UMBS, TBA N/A 01F052672 29786459.00000000 PA USD 29779644.45000000 0.836868722696 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413Y7J4 10990.79000000 PA USD 11522.06000000 0.000323793376 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CTR7 2845.63000000 PA USD 2893.37000000 0.000081309595 Long ABS-MBS USGA US N 2 2031-10-20 Floating 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KFH2 432000.14000000 PA USD 443925.20000000 0.012475203178 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -36885.54000000 -0.00103655887 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 43630006.04000000 THB 1306581.00000000 USD 2025-07-16 -36885.54000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 3800000.00000000 OU Notional Amount USD 511719.40000000 0.014380358414 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 AES Corp. AES Corp. Y sell protection 2028-12-20 315712.56000000 USD 0.00000000 USD 3800000.00000000 USD 196006.84000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810QX9 39000000.00000000 PA USD 29842617.09000000 0.838638382266 Long DBT UST US N 2 2042-08-15 Fixed 2.75000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAS0 6300000.00000000 PA USD 6569336.15000000 0.184611739137 Long DBT CORP KY N 2 2028-05-04 Fixed 6.37500000 N N N N N N JPN BANK FOR INT'L COOP 549300TJ3QFYVCTSCJ29 471048BM9 11200000.00000000 PA USD 10968303.92000000 0.308231701929 Long DBT NUSS JP N 2 2027-07-21 Fixed 2.87500000 N N N N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 06428CAB0 7100000.00000000 PA USD 7144755.92000000 0.200782207819 Long DBT CORP US N 2 2026-08-18 Floating 5.39000000 N N N N N N BNP Paribas Suisse SA R0MUWSFPU8MPRO8K5P83 000000000 2400000.00000000 OU Notional Amount USD -7483.62000000 -0.00021030497 N/A DCR FR N 2 BNP Paribas Suisse SA R0MUWSFPU8MPRO8K5P83 Colombia Government International Bonds Colombia Government International Bonds Y sell protection 2027-06-20 0.00000000 USD -43274.62000000 USD 2400000.00000000 USD 35791.00000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 -33400000.00000000 NC USD -54292.03000000 -0.00152571673 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Written Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 33400000.00000000 OU Notional Amount N/A -54292.03000000 0.00000000 DIR US N/A N/A 2035-07-21 0.00000000 N/A 0.00000000 N/A 33400000.00000000 USD 1.00000000 3.51500000 USD 2025-07-17 XXXX 212346.63000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CNP7 2474.64000000 PA USD 2476.80000000 0.000069603129 Long ABS-MBS USGA US N 2 2030-04-20 Floating 5.00000000 N N N N N N Arbour CLO 549300YXBWG4ECHKDX72 000000000 5500000.00000000 PA 6484598.30000000 0.182230432792 Long ABS-CBDO CORP IE N 2 2038-05-15 Floating 3.47300000 N N N N N N Mexico Government International Bonds 254900EGTWEU67VP6075 91087BAZ3 2400000.00000000 PA USD 2368560.00000000 0.066561364933 Long DBT NUSS MX N 2 2036-05-07 Fixed 6.00000000 N N N N N N Castlelake LP N/A 000000000 5523322.00000000 PA USD 5217340.90000000 0.146617916214 Long LON CORP US N 3 2031-05-13 Fixed 2.95000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382YQ30 7091544.38000000 PA USD 7099804.61000000 0.199518984363 Long ABS-MBS USGA US N 2 2073-01-20 Floating 5.10200000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAQ4 4481297.50000000 PA USD 4465723.02000000 0.125495921415 Long DBT UST US N 2 2025-10-15 Fixed 0.12500000 N N N N N N Banc of America Alternative Loan Trust N/A 06050AAH6 300442.42000000 PA USD 277689.62000000 0.007803644465 Long ABS-MBS CORP US N 2 2046-11-25 Floating 10.66500000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -1400000.00000000 NC USD -5128.28000000 -0.00014411512 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 1400000.00000000 OU Notional Amount N/A -5128.28000000 0.00000000 DIR US N/A N/A 2035-07-09 0.00000000 N/A 0.00000000 N/A 1400000.00000000 USD 1.00000000 3.68000000 USD 2025-07-07 XXXX -102.28000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CLA2 2422.83000000 PA USD 2423.90000000 0.000068116531 Long ABS-MBS USGA US N 2 2029-09-20 Floating 4.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H020675 8600000.00000000 PA USD 7002120.86000000 0.196773871834 Long ABS-MBS USGA US N 2 2054-07-20 Fixed 2.00000000 N N N N N N First Franklin Mtg Loan Asset Backed Certificates N/A 32027NLS8 2303561.10000000 PA USD 2272146.29000000 0.063851943117 Long ABS-O CORP US N 2 2034-10-25 Floating 5.36400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411CKM2 23808.36000000 PA USD 24621.49000000 0.000691914066 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWMB6 3557677.07000000 PA USD 3616255.22000000 0.101624144371 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388JK53 8169.95000000 PA USD 8254.16000000 0.000231958724 Long ABS-MBS USGSE US N 2 2031-09-01 Floating 6.72200000 N N N N N N VIRGIN MONEY UK PLC 213800ZK9VGCYYR6O495 000000000 500000.00000000 PA 680596.91000000 0.019126160747 Long DBT CORP GB Y 2 2027-09-03 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YN52 2276.96000000 PA USD 2266.40000000 0.000063690460 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 4.00000000 N N N N N N Long Beach Mortgage Loan Trust N/A 54251MAD6 26623653.81000000 PA USD 7712209.58000000 0.216728812569 Long ABS-O CORP US N 2 2036-05-25 Floating 4.75400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404BR61 9956.90000000 PA USD 9987.06000000 0.000280656747 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWKV4 2044583.69000000 PA USD 2044967.50000000 0.057467755955 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 5.50000000 N N N N N N Renaissance Home Equity Loan Trust N/A 759950AW8 52404.46000000 PA USD 47658.24000000 0.001339293707 Long ABS-MBS CORP US N 2 2033-08-25 Floating 3.73300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128L9WD1 6429.79000000 PA USD 6599.52000000 0.000185459966 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.50000000 N N N N N N CHEVY CHASE MORTGAGE FUNDING CORP. 549300TC8R2SGZ2KM445 16678RBU0 6065.88000000 PA USD 5855.39000000 0.000164548396 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.68400000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 48170.91000000 0.001353700780 N/A DFE TW N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 2604567.72000000 USD 77405148.00000000 TWD 2025-07-16 48170.91000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M8GS7 676.01000000 PA USD 694.40000000 0.000019514055 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 5.50000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -2600000.00000000 NC USD -0.26000000 -0.00000000730 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 2600000.00000000 OU Notional Amount N/A -0.26000000 0.00000000 DIR US N/A N/A 2035-07-02 0.00000000 N/A 0.00000000 N/A 2600000.00000000 USD 1.00000000 4.10100000 USD 2025-06-30 XXXX 8547.24000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404KFX5 27958.68000000 PA USD 28276.60000000 0.000794630109 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.00000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AF4 1000000.00000000 PA USD 1046884.82000000 0.029419597792 Long DBT CORP US N 2 2029-01-15 Fixed 6.35000000 N N N N N N Deutsche Bank Securities, Inc. 9J6MBOOO7BECTDTUZW19 000000000 -2465625.00000000 PA USD -2465625.00000000 -0.06928908932 Short RA CORP US N 2 Reverse repurchase N 4.43000000 2025-07-03 2500000.00000000 USD 2482309.00000000 USD UST N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A9VH7 172538.70000000 PA USD 169717.98000000 0.004769421252 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 3.50000000 N N N N N N ICG US CLO Ltd N/A 449249AS0 2600000.00000000 PA USD 2590450.20000000 0.072796931935 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.41900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128QLPH8 46233.72000000 PA USD 47762.78000000 0.001342231495 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 6.59700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385W2N8 1939.22000000 PA USD 2014.58000000 0.000056613805 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 6.00000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -3700000.00000000 NC USD -14506.22000000 -0.00040765435 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 3700000.00000000 OU Notional Amount N/A -14506.22000000 0.00000000 DIR US N/A N/A 2035-07-02 0.00000000 N/A 0.00000000 N/A 3700000.00000000 USD 1.00000000 3.73500000 USD 2025-06-30 XXXX -1833.72000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 200500000.00000000 NC USD 21906.63000000 0.000615620965 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Purchased Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 200500000.00000000 OU Notional Amount N/A 21906.63000000 0.00000000 DIR US N/A N/A 2026-07-23 0.00000000 N/A 0.00000000 N/A 200500000.00000000 USD 1.00000000 3.50000000 USD 2025-07-21 XXXX -148518.37000000 N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XCE8 1200000.00000000 PA USD 1251930.32000000 0.035181794381 Long DBT US N 2 2028-11-15 Fixed 5.80000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 43332.25000000 0.001217724569 N/A DFE JP N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 18087135.00000000 USD 2610877937.00000000 JPY 2025-07-02 43332.25000000 N N N NISSAN MOTOR CO 353800DRBDH1LUTNAY26 654744AD3 14700000.00000000 PA USD 13486084.44000000 0.378986467700 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -54.00000000 NC USD -1687.50000000 -0.00004742219 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 54.00000000 NC N/A -1687.50000000 0.00000000 DIR US Short CBOT 10 Year US Treasury Note TYU5 Comdty 2025-09-19 54.00000000 USD 1000.00000000 108.50000000 USD 2025-07-25 XXXX 16219.98000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M66J2 9272.98000000 PA USD 9525.29000000 0.000267680068 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 76.55000000 0.000002151211 N/A DFE CN N 2 Citibank NA E57ODZWZ7FF32TWEFA76 133409.72000000 USD 956427.62000000 CNY 2025-07-03 76.55000000 N N N COOPERAT RABOBANK UA/NY DG3RU1DBUFHT4ZF9WN62 21688AAW2 8400000.00000000 PA USD 8404169.93000000 0.236174309147 Long DBT CORP NL N 2 2025-07-18 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1300000.00000000 OU Notional Amount USD -4053.63000000 -0.00011391526 N/A DCR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Colombia Government International Bonds Colombia Government International Bonds Y sell protection 2027-06-20 0.00000000 USD -18915.98000000 USD 1300000.00000000 USD 14862.35000000 N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 891160TD5 1100000.00000000 PA USD 1105261.08000000 0.031060089713 Long DBT CORP CA N 2 2026-06-05 Fixed 4.70100000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AY5 3500000.00000000 PA USD 3553054.89000000 0.099848086247 Long DBT CORP GB N 2 2027-08-07 Fixed 5.98500000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 073879G69 1015230.12000000 PA USD 992361.76000000 0.027887388646 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.43900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NWTC9 1300000.00000000 PA USD 1305918.74000000 0.036698979053 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 4.30000000 N N N N N N NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 63906YAM0 10000000.00000000 PA USD 10111720.90000000 0.284159972697 Long DBT CORP GB N 2 2028-03-21 Fixed 4.78900000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -12506.12000000 -0.00035144746 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 686561.82000000 ILS 191337.61000000 USD 2025-07-18 -12506.12000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617AYBE1 17050.01000000 PA USD 16827.08000000 0.000472875254 Long ABS-MBS USGA US N 2 2047-09-15 Fixed 5.00000000 N N N N N N Ares European CLO 635400SFL7VSI4HNPI68 000000000 5441950.57000000 PA 6400515.73000000 0.179867541150 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.05900000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 580000.00000000 OU Notional Amount USD -10750.53000000 -0.00030211181 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2035-03-11 0.00000000 USD 0.00000000 USD 580000.00000000 USD -10750.53000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416JPK1 26137.18000000 PA USD 26556.24000000 0.000746284485 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CZC1 85228.33000000 PA USD 83853.78000000 0.002356462176 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406BB90 9003.09000000 PA USD 9235.52000000 0.000259536941 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 6.43000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636ABC4 12000000.00000000 PA USD 11957471.16000000 0.336029318051 Long DBT CORP DK N 2 2028-04-01 Fixed 4.29800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M53F5 23779.42000000 PA USD 24513.78000000 0.000688887195 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128KQB96 288.13000000 PA USD 297.50000000 0.000008360356 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.50000000 N N N N N N ENEL FINANCE INTL NV 0YQH6LCEF474UTUV4B96 29278GBD9 7800000.00000000 PA USD 7945199.81000000 0.223276313044 Long DBT CORP NL N 2 2029-06-26 Fixed 5.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31349UCW6 7802.40000000 PA USD 7982.36000000 0.000224320590 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 6.93200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M4AH6 57632.15000000 PA USD 59528.76000000 0.001672879521 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.50000000 N N N N N N AES CORP/THE 2NUNNB7D43COUIRE5295 00130HCG8 5000000.00000000 PA USD 4371215.80000000 0.122840075855 Long DBT CORP US N 2 2031-01-15 Fixed 2.45000000 N N N N N N IndyMac ARM Trust N/A 45660UAQ2 182.37000000 PA USD 178.09000000 0.000005004692 Long ABS-MBS CORP US N 2 2032-01-25 Variable 6.62200000 N N N N N N Argent Securities Inc. N/A 040104PT2 3349018.67000000 PA USD 2699179.44000000 0.075852445252 Long ABS-O CORP US N 2 2036-02-25 Floating 5.19400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405U2C2 52003.78000000 PA USD 52365.10000000 0.001471566070 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 5.96000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31408GFA0 1833.85000000 PA USD 1922.37000000 0.000054022516 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128JMZG5 6504.97000000 PA USD 6658.83000000 0.000187126698 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 7.01700000 N N N N N N Park Place Securities Inc N/A 70069FAZ0 1650624.55000000 PA USD 1630767.21000000 0.045827883349 Long ABS-O CORP US N 2 2034-10-25 Floating 5.48400000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 1543.96000000 0.000043388423 N/A DFE JP N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 644458.00000000 USD 93027512.00000000 JPY 2025-07-02 1543.96000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371MLB1 32382.84000000 PA USD 33420.75000000 0.000939191212 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YBQ9 5858.46000000 PA USD 5811.38000000 0.000163311626 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 4.00000000 N N N N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAJ2 7900000.00000000 PA USD 8295562.72000000 0.233122225122 Long DBT CORP US N 2 2029-01-21 Fixed 6.25000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDZ6 2100000.00000000 PA USD 2117220.13000000 0.059498202164 Long DBT CORP US N 2 2028-01-23 Floating 5.55200000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 17482.67000000 0.000491298670 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 630000.00000000 USD 3517838.10000000 BRL 2025-07-02 17482.67000000 N N N United States Treasury 254900HROIFWPRGM1V77 912834JB5 4100000.00000000 PA USD 1968949.15000000 0.055331485336 Long DBT UST US N 2 2040-08-15 None 0.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 62900000.00000000 OU Notional Amount USD 23178960.05000000 0.651376033822 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2052-12-21 10755985.56000000 USD 0.00000000 USD 62900000.00000000 USD 12422974.49000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X9NM7 138115.42000000 PA USD 132966.78000000 0.003736637605 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4.00000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400FZ1 400000.00000000 PA USD 323366.84000000 0.009087267472 Long DBT CORP US N 2 2043-10-01 Fixed 4.65000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400JJ3 6300000.00000000 PA USD 6365094.06000000 0.178872120007 Long DBT CORP US N 2 2030-03-15 Fixed 5.25000000 N N N N N N ONTARIO (PROVINCE OF) C7PVKCRGLG18EBQGZV36 68333ZBG1 6100000.00000000 PA 4476663.12000000 0.125803360529 Long DBT NUSS CA N 2 2034-12-02 Fixed 3.80000000 N N N N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 836205BF0 3000000.00000000 PA USD 2976412.95000000 0.083643272097 Long DBT NUSS ZA N 2 2036-11-19 Fixed 7.10000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132AEG67 267575.35000000 PA USD 262910.60000000 0.007388323872 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1800000.00000000 OU Notional Amount -24095.64000000 -0.00067713660 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2035-03-13 0.00000000 EUR 0.00000000 EUR 1800000.00000000 EUR -24095.64000000 N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680CQ4 1900000.00000000 PA USD 1940527.89000000 0.054532789986 Long DBT CORP US N 2 2029-06-01 Fixed 5.37500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CKL9 1296.73000000 PA USD 1299.61000000 0.000036521690 Long ABS-MBS USGA US N 2 2029-07-20 Floating 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6WA5 1721805.61000000 PA USD 1688720.22000000 0.047456481083 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407MZ99 4503.12000000 PA USD 4647.51000000 0.000130604506 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.50000000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816DT3 7700000.00000000 PA USD 7771279.21000000 0.218388789601 Long DBT CORP US N 2 2027-04-23 Fixed 5.64500000 N N N N N N Long Beach Mortgage Loan Trust N/A 542514ND2 5512458.25000000 PA USD 5420737.01000000 0.152333761581 Long ABS-O CORP US N 2 2035-08-25 Floating 5.21400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TP3 4532136.00000000 PA USD 3587603.33000000 0.100818967847 Long DBT UST US N 2 2053-02-15 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402YEW0 416.95000000 PA USD 421.89000000 0.000011855969 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5.00000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAW2 5000000.00000000 PA USD 5033217.80000000 0.141443681720 Long DBT CORP US N 2 2026-06-25 Fixed 5.30000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -12.00000000 NC -1978.96000000 -0.00005561281 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Call Written Eurex Deutschland 529900LN3S50JPU47S06 Eurex Deutschland 529900LN3S50JPU47S06 N/A 12.00000000 NC N/A -1978.96000000 0.00000000 DIR US Short Eurex 10 Year Euro BUND RXU5 Comdty 2025-09-08 12.00000000 EUR 1000.00000000 132.50000000 EUR 2025-07-25 XXXX 4373.62000000 N N N LOGICOR FINANCING SARL 254900IS16Q1A2TQFN22 000000000 4500000.00000000 PA 5170551.86000000 0.145303048798 Long DBT CORP LU Y 2 2027-07-15 Fixed 1.62500000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBX2 10600000.00000000 PA USD 7413032.30000000 0.208321321049 Long DBT CORP US N 2 2050-04-01 Fixed 3.60000000 N N N N N N Ace Securities Corp. N/A 00441VAA6 7509203.69000000 PA USD 2487554.38000000 0.069905349613 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.73400000 N N N N N N Deutsche Bank Securities, Inc. 9J6MBOOO7BECTDTUZW19 000000000 100000.00000000 PA USD 100000.00000000 0.002810203876 Long RA CORP US N 2 Repurchase N 4.47000000 2025-07-01 95500.00000000 USD 102227.00000000 USD UST N N N Stepstone Group Midco 2 GMBH/ The 894500DB5T5ENCFFQU61 000000000 900000.00000000 PA USD 894375.00000000 0.025133760919 Long LON CORP DE N 2 2031-12-19 Floating 8.65100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CW26 62339.30000000 PA USD 61348.60000000 0.001724020735 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 3.50000000 N N N N N N MARS INC 54930073HKEO6GZBSS03 571676AY1 7400000.00000000 PA USD 7497679.48000000 0.210700079383 Long DBT CORP US N 2 2030-03-01 Fixed 4.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416VB37 6869.08000000 PA USD 6969.89000000 0.000195868118 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 5.00000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136BBAR3 20594702.69000000 PA USD 1190956.65000000 0.033468309943 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.34900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385HJD5 1810.28000000 PA USD 1795.77000000 0.000050464798 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 5.61300000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEM4 3400000.00000000 PA USD 3413098.06000000 0.095915013985 Long DBT CORP US N 2 2028-07-22 Floating 5.28000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -130225.36000000 -0.00365959811 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1484099306.00000000 JPY 10213761.00000000 USD 2025-08-04 -130225.36000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410G2H5 326095.90000000 PA USD 334565.18000000 0.009401963657 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3200000.00000000 OU Notional Amount USD -43733.12000000 -0.00122898983 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-10-31 0.00000000 USD 0.00000000 USD 3200000.00000000 USD -43733.12000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 130150.00000000 0.003657480345 N/A DFE JP N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 10213761.00000000 USD 1489574904.00000000 JPY 2025-07-02 130150.00000000 N N N AREIT CRE Trust N/A 00217VAA8 9491444.43000000 PA USD 9505444.31000000 0.267122364463 Long ABS-CBDO CORP US N 2 2039-06-17 Floating 6.55600000 N N N N N N Merrill Lynch First Franklin Mortgage Loan Trust N/A 59025RAV9 8299284.82000000 PA USD 7055807.95000000 0.198282588518 Long ABS-O CORP US N 2 2037-10-25 Floating 5.68400000 N N N N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668CP5 5000000.00000000 PA USD 5028807.65000000 0.141319747514 Long DBT CORP US N 2 2028-03-27 Fixed 5.05000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D54A7 24360.03000000 PA USD 23673.62000000 0.000665276986 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 3.50000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 57926.45000000 0.001627851343 N/A DFE SG N 2 Bank of America NA B4TYDEB6GKMZO031MB27 8183720.00000000 USD 10479253.46000000 SGD 2025-07-02 57926.45000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418VVZ2 45256.86000000 PA USD 45765.52000000 0.001286104417 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5.50000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACG0 2000000.00000000 PA USD 2020071.68000000 0.056768132656 Long DBT CORP US N 2 2026-06-26 Fixed 5.65000000 N N N N N N Countrywide Home Loans N/A 170256AD3 1003274.19000000 PA USD 887281.45000000 0.024934417702 Long ABS-MBS CORP US N 2 2036-09-20 Variable 4.30000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -221932.96000000 -0.00623676864 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 63260767.00000000 TWD 1946066.00000000 USD 2025-07-16 -221932.96000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385XHR1 3675.04000000 PA USD 3813.22000000 0.000107159256 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 6.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SH2 21100000.00000000 PA USD 15146667.92000000 0.425652249025 Long DBT UST US N 2 2049-05-15 Fixed 2.87500000 N N N N N N KREF 2022-Fl3 Ltd 549300DG0FGL1EU1CT79 48275EAA4 9601725.92000000 PA USD 9598691.77000000 0.269742808199 Long ABS-CBDO CORP KY N 2 2039-02-17 Floating 5.76800000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 14904.65000000 0.000418851052 N/A DFE IN N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 1148314.00000000 USD 99961996.85000000 INR 2025-08-20 14904.65000000 N N N SUN COMMUNITIES OPER LP 549300PUNBPJCGT6X741 866677AE7 13200000.00000000 PA USD 11698208.54000000 0.328743509854 Long DBT US N 2 2031-07-15 Fixed 2.70000000 N N N N N N DAIMLER TRUCK FINAN NA 5493003HSDTSCZRXBA58 233853AX8 8100000.00000000 PA USD 8108662.79000000 0.227869956044 Long DBT CORP US N 2 2027-09-25 Floating 5.36600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31349UJM1 22218.14000000 PA USD 22959.36000000 0.000645204824 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 6.51000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 -11700000.00000000 NC USD -793.26000000 -0.00002229222 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 N/A 11700000.00000000 OU Notional Amount N/A -793.26000000 0.00000000 DCR US CDX.NA.IG.S44 2I65BYEH4 sell protection 2030-06-20 0.00000000 N/A 0.00000000 N/A 11700000.00000000 USD 1.00000000 0.90000000 USD 2025-07-16 XXXX 12427.74000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312929FV9 877503.45000000 PA USD 902095.08000000 0.025350710906 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402BEZ3 6963.43000000 PA USD 6990.33000000 0.000196442524 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.00000000 N N N N N N MASTR Asset Securitization Trust N/A 55274QAP0 150349.18000000 PA USD 82385.41000000 0.002315197985 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQRQ1 6672326.56000000 PA USD 6620319.04000000 0.186044462288 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RL4 24382485.00000000 PA USD 17793380.54000000 0.500030269668 Long DBT UST US N 2 2045-02-15 Fixed 0.75000000 N N N N N N BLUE OWL FINANCE LLC 254900OF2NO2GYFV5T41 09581JAR7 13000000.00000000 PA USD 11543370.80000000 0.324392253682 Long DBT CORP US N 2 2031-06-10 Fixed 3.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D53V2 57682.60000000 PA USD 56057.34000000 0.001575325541 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 3.50000000 N N N N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAK9 6900000.00000000 PA USD 7332647.60000000 0.206062347094 Long DBT CORP US N 2 2030-11-21 Fixed 6.37500000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -11161.48000000 -0.00031366034 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 41373172655.00000000 IDR 2535928.89000000 USD 2025-07-16 -11161.48000000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DY2 6700000.00000000 PA USD 6760363.85000000 0.189980006967 Long DBT CORP GB N 2 2027-08-14 Floating 5.93200000 N N N N N N Countrywide Alternative Loan Trust N/A 23245LAD2 7446721.23000000 PA USD 2903954.69000000 0.081607047265 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31336R7E4 23539.48000000 PA USD 23937.37000000 0.000672688899 Long ABS-MBS USGSE US N 2 2032-08-01 Floating 7.71100000 N N N N N N Structured Adjustable Rate Mortgage Loan Trust N/A 863579PM4 1068197.23000000 PA USD 980550.79000000 0.027555476310 Long ABS-MBS CORP US N 2 2035-04-25 Variable 5.20700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CHF6 174.39000000 PA USD 174.48000000 0.000004903243 Long ABS-MBS USGA US N 2 2028-10-20 Floating 4.75000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GK3 800000.00000000 PA USD 580237.74000000 0.016305863461 Long DBT CORP US N 2 2048-03-01 Fixed 4.12500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 85700000.00000000 OU Notional Amount 131582.53000000 0.003697737358 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-01-02 0.00000000 BRL -5005.40000000 BRL 85700000.00000000 BRL 132467.96000000 N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAP6 1900000.00000000 PA USD 2019469.53000000 0.056751211013 Long DBT CORP US N 2 2028-10-25 Fixed 6.75000000 N N N N N N Wells Fargo & Co. PBLD0EJDB5FWOLXP3B76 000000000 2600000.00000000 PA 2934247.85000000 0.082458346822 Long DBT CORP US Y 2 2030-05-04 Fixed 1.74100000 N N N N N N Republic of South Africa 378900AAFB4F17004C49 000000000 299000000.00000000 PA 17526405.92000000 0.492527738548 Long DBT NUSS ZA N 2 2026-12-21 Fixed 10.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6NG9 382778.22000000 PA USD 394729.16000000 0.011092694155 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.50000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 465981AA6 5800000.00000000 PA USD 6168272.74000000 0.173341039643 Long ABS-MBS CORP US N 2 2040-10-05 Fixed 7.23500000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2S1 5400000.00000000 PA USD 5202438.25000000 0.146199121366 Long DBT CORP US N 2 2028-06-02 Fixed 2.39300000 N N N N N N CVS Pass-Through Trust N/A 126650BQ2 381941.37000000 PA USD 394246.15000000 0.011079120589 Long DBT CORP US N 2 2030-01-10 Fixed 6.94300000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -2500000.00000000 NC USD -8022.95000000 -0.00022546125 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 2500000.00000000 OU Notional Amount N/A -8022.95000000 0.00000000 DIR US N/A N/A 2035-07-30 0.00000000 N/A 0.00000000 N/A 2500000.00000000 USD 1.00000000 3.52500000 USD 2025-07-28 XXXX 177.05000000 N N N PIONEER NATURAL RESOURCE FY8JBF7CCL2VE4F1B628 723787AV9 4000000.00000000 PA USD 4019100.92000000 0.112944929848 Long DBT CORP US N 2 2026-03-29 Fixed 5.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GUV3 383.87000000 PA USD 394.27000000 0.000011079790 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.50000000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 715638BY7 58400000.00000000 PA 17010211.44000000 0.478021621261 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15000000 N N N N N N ING Groep NV 549300NYKK9MWM7GGW15 456837AH6 1100000.00000000 PA USD 1094819.70000000 0.030766665648 Long DBT CORP NL N 2 2027-03-29 Fixed 3.95000000 N N N N N N MONDELEZ INTERNATIONAL 549300DV9GIB88LZ5P30 609207BD6 10700000.00000000 PA 8133650.08000000 0.228572149836 Long DBT CORP US N 2 2031-07-03 Fixed 4.62500000 N N N N N N Chase Mortgage Finance Corporation N/A 161927AC2 6437259.98000000 PA USD 5759479.59000000 0.161853118695 Long ABS-MBS CORP US N 2 2063-09-25 Variable 3.25000000 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DP7 2600000.00000000 PA USD 2674919.96000000 0.075170704405 Long DBT CORP US N 2 2027-05-01 Fixed 6.25900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132ADRY6 120535.08000000 PA USD 118581.06000000 0.003332369544 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 3.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 5400000.00000000 OU Notional Amount USD -76384.62000000 -0.00214656355 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-10-31 0.00000000 USD 0.00000000 USD 5400000.00000000 USD -76384.62000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31376KPE0 4300.17000000 PA USD 4480.25000000 0.000125904159 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6.00000000 N N N N N N Mill City Mortgage Trust N/A 59981TAH8 8400000.00000000 PA USD 7503153.00000000 0.210853896454 Long ABS-MBS CORP US N 2 2059-08-25 Variable 3.25000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JM0 5000000.00000000 PA USD 4880114.50000000 0.137141166849 Long DBT CORP US N 2 2030-07-01 Fixed 4.55000000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAU9 5675000.00000000 PA USD 5667544.24000000 0.159269547926 Long DBT CORP GB N 2 2030-09-11 Fixed 4.85800000 N N N N N N Lloyds Bank PLC H7FNTJ4851HG0EXQ1Z70 000000000 12200000.00000000 PA USD 8819160.40000000 0.247836387422 Long DBT CORP GB Y 2 2032-04-02 Variable 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AGKX5 1264.87000000 PA USD 1258.26000000 0.000035359671 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4.00000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1816000.00000000 OU Notional Amount 5078.36000000 0.000142712269 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 1.00000000 NC USD 5078.36000000 0.00000000 DFE XX 1997600.00000000 USD 1816000.00000000 EUR 2025-12-17 1.00000000 1.10000000 EUR 2025-12-17 XXXX -202623.55000000 N N N STARWOOD PROPERTY TRUST BUGSFQZERKRBFWIG5267 85571BAY1 13300000.00000000 PA USD 13175329.79000000 0.370253628480 Long DBT US N 2 2027-01-15 Fixed 4.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417BEN3 18417.50000000 PA USD 18125.56000000 0.000509365189 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWL92 286021.06000000 PA USD 280392.36000000 0.007879596969 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 5.00000000 N N N N N N AMERICAN ELECTRIC POWER 1B4S6S7G0TW5EE83BO58 025537AY7 1700000.00000000 PA USD 1743418.34000000 0.048993609771 Long DBT CORP US N 2 2029-01-15 Fixed 5.20000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397D83 6900000.00000000 PA USD 6954436.38000000 0.195433840728 Long DBT CORP US N 2 2027-03-05 Fixed 5.80000000 N N N N N N Extended Stay America Trust N/A 30227FAA8 12008188.37000000 PA USD 12011940.93000000 0.337560029639 Long ABS-MBS CORP US N 2 2038-07-15 Floating 5.50600000 N N N N N N BENCHMARK Mortgage Trust N/A 08163PBG4 13000000.00000000 PA USD 11883895.40000000 0.333961689191 Long ABS-MBS CORP US N 2 2055-03-15 Fixed 3.45800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31408DRS5 48564.74000000 PA USD 50121.87000000 0.001408526733 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N BCAP LLC Trust N/A 05533XAC6 1878167.61000000 PA USD 708734.81000000 0.019916893103 Long ABS-MBS CORP US N 2 2036-02-26 Variable 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407UMR5 277207.85000000 PA USD 288112.26000000 0.008096541898 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 7.03700000 N N N N N N UDR Inc P3CH2EG5X6Z1XWU1OO74 90265EAM2 1000000.00000000 PA USD 986133.39000000 0.027712358751 Long DBT US N 2 2027-07-01 Fixed 3.50000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACU9 4500000.00000000 PA USD 4572113.85000000 0.128485720643 Long DBT CORP US N 2 2029-01-08 Fixed 5.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31408EXX5 266.44000000 PA USD 273.89000000 0.000007696867 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YU54 983.64000000 PA USD 980.54000000 0.000027555173 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 4.50000000 N N N N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U8B9 7800000.00000000 PA USD 7964698.95000000 0.223824278632 Long DBT CORP US N 2 2028-05-26 Fixed 5.50400000 N N N N N N Hyundai Auto Lease Securitization Trust N/A 448988AD7 1300000.00000000 PA USD 1303553.03000000 0.036632497779 Long ABS-O CORP US N 2 2027-03-15 Fixed 5.02000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128NCBW3 4900.94000000 PA USD 4987.79000000 0.000140167067 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.65700000 N N N N N N GSR Mortgage Loan Trust N/A 3623414A4 1002181.12000000 PA USD 942928.26000000 0.026498206513 Long ABS-MBS CORP US N 2 2036-01-25 Variable 4.72900000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -340372.72000000 -0.00956516737 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 94556850.00000000 TWD 2909173.00000000 USD 2025-08-20 -340372.72000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810UB2 900000.00000000 PA USD 882597.65000000 0.024802793372 Long DBT UST US N 2 2044-05-15 Fixed 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411YCM3 13493.86000000 PA USD 13870.06000000 0.000389776963 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 6.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 5845.29000000 0.000164264566 N/A DFE PE N 2 Citibank NA E57ODZWZ7FF32TWEFA76 245087.00000000 USD 889053.09000000 PEN 2025-07-07 5845.29000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 14013.63000000 0.000393811573 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1101483.96000000 USD 45794195.64000000 TRY 2025-08-08 14013.63000000 N N N First Horizon Mortgage Pass-Through Trust N/A 32051GQL2 53427.96000000 PA USD 38208.52000000 0.001073737310 Long ABS-MBS CORP US N 2 2035-08-25 Variable 6.43100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BN53 246473.06000000 PA USD 253761.58000000 0.007131217757 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M46E8 2594.33000000 PA USD 2672.33000000 0.000075097921 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERM72 2382150.30000000 PA USD 2331349.80000000 0.065515682450 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KKS6 559.00000000 PA USD 565.67000000 0.000015896480 Long ABS-MBS USGA US N 2 2036-03-15 Fixed 5.00000000 N N N N N N BRIXMOR OPERATING PART 549300CJHBL7JBUA6503 11120VAC7 5500000.00000000 PA USD 5479053.58000000 0.153972576092 Long DBT US N 2 2026-06-15 Fixed 4.12500000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 238.00000000 NC USD 191206.34000000 0.005373287978 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 2 Year U.S. Treasury Notes Futures TUU5 Comdty 2025-09-30 49318371.90000000 USD 191206.34000000 N N N Morgan Stanley Capital I Trust N/A 61770YAA3 7500000.00000000 PA USD 6541300.50000000 0.183823880214 Long ABS-MBS CORP US N 2 2042-04-05 Variable 2.50900000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GLS6 9700000.00000000 PA USD 10104663.44000000 0.283961643682 Long DBT CORP US N 2 2029-09-15 Fixed 5.81900000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YER2 5400000.00000000 PA USD 5388843.01000000 0.151437475157 Long DBT CORP US N 2 2028-04-20 Fixed 4.21000000 N N N N N N Arbor Multifamily Mortgage Securities Trust N/A 03881BAE3 7500000.00000000 PA USD 6920223.75000000 0.194472396074 Long ABS-MBS CORP US N 2 2053-05-15 Fixed 2.75600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31381BDB2 410.92000000 PA USD 411.73000000 0.000011570452 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -229211.23000000 -0.00644130287 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 28763865.66000000 SGD 22392783.00000000 USD 2025-07-02 -229211.23000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291GAK2 1859.87000000 PA USD 1882.10000000 0.000052890847 Long ABS-MBS USGA US N 2 2034-05-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371MFY8 85445.28000000 PA USD 87676.38000000 0.002463885029 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 7.52200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133CHD77 850853.93000000 PA USD 865462.50000000 0.024321260723 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SV1 29568720.00000000 PA USD 16093098.45000000 0.452248876466 Long DBT UST US N 2 2051-02-15 Fixed 0.12500000 N N N N N N GEORGIA POWER CO D981X4Z4RWS7PDMJUZ03 373334KS9 5200000.00000000 PA USD 5271459.02000000 0.148138745720 Long DBT CORP US N 2 2028-05-16 Fixed 4.65000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312928XM1 16295.43000000 PA USD 16678.95000000 0.000468712499 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RQ33 255302.08000000 PA USD 256342.33000000 0.007203742094 Long ABS-MBS USGA US N 2 2066-06-20 Floating 5.09600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ASRC8 143139.74000000 PA USD 140093.57000000 0.003936914934 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412YBH4 7167.23000000 PA USD 7513.69000000 0.000211150007 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M06E5 85985.83000000 PA USD 83614.35000000 0.002349733704 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407CFZ5 8781.17000000 PA USD 8996.06000000 0.000252807626 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413D2T3 7328.61000000 PA USD 7682.93000000 0.000215905996 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6.00000000 N N N N N N UNITED AIR 2016-1 A PTT N/A 90931MAA4 1752348.86000000 PA USD 1674345.68000000 0.047052527202 Long DBT CORP US N 2 2028-07-07 Fixed 3.45000000 N N N N N N CANTOR FITZGERALD LP 549300RLUEEVQEMX0450 138616AM9 3300000.00000000 PA USD 3503030.95000000 0.098442311546 Long DBT CORP US N 2 2028-12-12 Fixed 7.20000000 N N N N N N MASSMUTUAL GLOBAL FUNDIN 549300K1IE3K7YU6VG29 57629TBQ9 3800000.00000000 PA USD 3826082.71000000 0.107520724628 Long DBT CORP US N 2 2026-07-10 Floating 5.32500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HHBP5 5289193.50000000 PA USD 5250793.96000000 0.147558015402 Long ABS-MBS USGSE US N 2 2054-05-25 Floating 5.60500000 N N N N N N ReadyCap Commercial Mortgage Trust N/A 75575WAA4 2353055.76000000 PA USD 2353140.23000000 0.066128037959 Long ABS-CBDO CORP US N 2 2036-11-25 Floating 5.63400000 N N N N N N PACIFIC LIFE GF II 6354003EUPCHXTWUU869 6944PL2U2 5500000.00000000 PA USD 5692601.81000000 0.159973716729 Long DBT CORP US N 2 2028-07-18 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296QY37 627722.54000000 PA USD 636024.33000000 0.017873580376 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31400QJ87 1103.78000000 PA USD 1119.91000000 0.000031471754 Long ABS-MBS USGSE US N 2 2033-03-01 Floating 6.49300000 N N N N N N Metlife Securitization Trust N/A 59166DAA5 2761334.86000000 PA USD 2680326.68000000 0.075322644260 Long ABS-MBS CORP US N 2 2057-03-25 Variable 3.75000000 N N N N N N WEYERHAEUSER CO 08IRJODWFYBI7QWRGS31 962166CC6 12000000.00000000 PA USD 12023569.20000000 0.337886807733 Long DBT US N 2 2026-05-15 Fixed 4.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CJ56 1231.29000000 PA USD 1230.21000000 0.000034571409 Long ABS-MBS USGA US N 2 2029-05-20 Floating 4.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CMN3 2998.24000000 PA USD 2997.35000000 0.000084231645 Long ABS-MBS USGA US N 2 2030-01-20 Floating 5.62500000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ADL6 6700000.00000000 PA USD 6653014.24000000 0.186963264066 Long DBT CORP US N 2 2029-10-01 Fixed 4.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M4K69 154.70000000 PA USD 159.54000000 0.000004483399 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 63100000.00000000 OU Notional Amount USD 4604804.53000000 0.129404395400 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2054-06-20 1724615.08000000 USD 0.00000000 USD 63100000.00000000 USD 2880189.45000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132AECH7 398339.08000000 PA USD 391393.37000000 0.010998951655 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QESP8 231063.84000000 PA USD 221058.67000000 0.006212199313 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CY83 11724.97000000 PA USD 11861.48000000 0.000333331770 Long ABS-MBS USGA US N 2 2033-09-20 Floating 4.62500000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 58300000.00000000 OU Notional Amount USD -410117.18000000 -0.01152512888 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-10-31 0.00000000 USD 0.00000000 USD 58300000.00000000 USD -410117.18000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -307406.23000000 -0.00863874179 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 87037935.00000000 TWD 2675456.00000000 USD 2025-07-16 -307406.23000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 4343.26000000 0.000122054460 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 217503.00000000 USD 8985266.43000000 TRY 2025-07-23 4343.26000000 N N N Countrywide Alternative Loan Trust N/A 02150EBP7 2526663.18000000 PA USD 1144677.21000000 0.032167763327 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJNP4 1423628.89000000 PA USD 1338963.72000000 0.037627610362 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406PD71 48511.56000000 PA USD 50258.46000000 0.001412365191 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 6.56300000 N N N N N N Morgan Stanley ReRemic Trust N/A 61759HAZ0 997341.23000000 PA USD 1035491.43000000 0.029099420305 Long ABS-MBS CORP US N 2 2037-03-26 Variable 3.27700000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 38151LAH3 5050000.00000000 PA USD 5064275.04000000 0.142316453483 Long DBT CORP US N 2 2027-05-21 Floating 5.12500000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -91452.37000000 -0.00256999804 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 98582786.68000000 ZAR 5468254.55000000 USD 2025-07-23 -91452.37000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31409HAJ3 18802.25000000 PA USD 19650.09000000 0.000552207590 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 6.00000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -5154960.38000000 -0.14486489642 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 126033070.97000000 EUR 143305777.31000000 USD 2025-07-02 -5154960.38000000 N N N BMW US CAPITAL LLC KK5MZM9DIXLXZL9DZL15 05565ECW3 7300000.00000000 PA USD 7383730.93000000 0.207497892813 Long DBT CORP US N 2 2028-03-21 Fixed 4.75000000 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBU3 7000000.00000000 PA USD 7390462.17000000 0.207687054381 Long DBT CORP US N 2 2030-01-03 Fixed 6.84800000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GLE7 1900000.00000000 PA USD 1905062.27000000 0.053536133758 Long DBT CORP US N 2 2027-01-20 Fixed 5.08000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 10527.49000000 0.000295843932 N/A DFE CN N 2 Bank of America NA B4TYDEB6GKMZO031MB27 2123855.33000000 USD 15221000.00000000 CNY 2025-08-20 10527.49000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M4V42 38731.93000000 PA USD 39943.74000000 0.001122500529 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416CLT1 18799.99000000 PA USD 19708.64000000 0.000553852965 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6E87 39514.25000000 PA USD 40541.06000000 0.001139286439 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KCH5 24200.20000000 PA USD 24753.17000000 0.000695614542 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 6.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -50.00000000 NC USD -1562.50000000 -0.00004390943 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 50.00000000 NC N/A -1562.50000000 0.00000000 DIR US Short CBOT 10 Year US Treasury Note TYU5 Comdty 2025-09-19 50.00000000 USD 1000.00000000 109.00000000 USD 2025-07-25 XXXX 21811.00000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 5922.42000000 0.000166432076 N/A DFE CN N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 2118784.79000000 USD 15152000.00000000 CNY 2025-08-20 5922.42000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128KNKP7 2303.60000000 PA USD 2371.93000000 0.000066656068 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.50000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFH3 4900000.00000000 PA USD 5190186.58000000 0.145854824460 Long DBT CORP US N 2 2029-11-01 Fixed 6.40700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31368HMV2 416831.47000000 PA USD 436964.39000000 0.012279590226 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.00000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 92927XAA2 2639221.75000000 PA USD 2316096.82000000 0.065087042615 Long ABS-MBS CORP US N 2 2037-06-25 Variable 4.03600000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 5700000.00000000 OU Notional Amount USD -119663.52000000 -0.00336278887 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2035-03-24 0.00000000 USD 0.00000000 USD 5700000.00000000 USD -119663.52000000 N N N Republic of South Africa 378900AAFB4F17004C49 000000000 173300000.00000000 PA 9149846.10000000 0.257129329782 Long DBT NUSS ZA N 2 2035-02-28 Fixed 8.87500000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -1400000.00000000 NC USD -14.48000000 -0.00000040691 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 1400000.00000000 OU Notional Amount N/A -14.48000000 0.00000000 DIR US N/A N/A 2035-07-09 0.00000000 N/A 0.00000000 N/A 1400000.00000000 USD 1.00000000 4.03000000 USD 2025-07-07 XXXX 5011.52000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GD83 908.93000000 PA USD 938.54000000 0.000026374887 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 6.93000000 N N N N N N Marble Point CLO Ltd. 254900N4UCG37B1HFL93 56608KAW3 6611085.99000000 PA USD 6604369.13000000 0.185596237299 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 5.46900000 N N N N N N NISSAN MOTOR CO 353800DRBDH1LUTNAY26 654744AC5 5600000.00000000 PA USD 5375771.52000000 0.151070139638 Long DBT CORP JP N 2 2027-09-17 Fixed 4.34500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407YDU0 2117.51000000 PA USD 2185.39000000 0.000061413914 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.50000000 N N N N N N Structured Asset Mortgage Investments Inc N/A 86359LPE3 12032.50000000 PA USD 11927.94000000 0.000335199432 Long ABS-MBS CORP US N 2 2035-07-19 Floating 4.93200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405UTZ2 1589.63000000 PA USD 1604.47000000 0.000045088878 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 6.35000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -7893.68000000 -0.00022182850 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 10134000.00000000 CNY 1413158.52000000 USD 2025-08-20 -7893.68000000 N N N EXPEDIA GROUP INC N/A 30212PBH7 2561000.00000000 PA USD 2334189.54000000 0.065595484934 Long DBT CORP US N 2 2031-03-15 Fixed 2.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AU62 23319.75000000 PA USD 24371.36000000 0.000684884903 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 6.00000000 N N N N N N Romark Credit Funding Ltd N/A 77587BAA2 5700000.00000000 PA USD 5709912.30000000 0.160460176790 Long ABS-CBDO CORP KY N 2 2042-09-15 Fixed 5.53900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292DP48 1121.25000000 PA USD 1134.67000000 0.000031886540 Long ABS-MBS USGA US N 2 2035-11-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128JMY68 1937.10000000 PA USD 1964.17000000 0.000055197181 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 6.52500000 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DS1 200000.00000000 PA USD 217305.68000000 0.006106732642 Long DBT CORP US N 2 2034-05-01 Fixed 6.52800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402GP80 11706.80000000 PA USD 11647.23000000 0.000327310908 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296SRY4 607.37000000 PA USD 615.14000000 0.000017286688 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6SS8 52485.36000000 PA USD 53870.60000000 0.001513873689 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.50000000 N N N N N N EUROPEAN UNION 529900FZRK8FGMPEOM08 000000000 15200000.00000000 PA 18267602.12000000 0.513356862892 Long DBT NUSS XX Y 2 2029-10-05 Fixed 2.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A8SR8 428.80000000 PA USD 426.83000000 0.000011994793 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1032.71000000 0.000029021256 N/A DFE KR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 137374.00000000 USD 186629681.00000000 KRW 2025-07-16 1032.71000000 N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MDL1 1800000.00000000 PA USD 1817607.80000000 0.051078484852 Long DBT CORP JP N 2 2029-07-09 Floating 5.51300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410FSD8 455.41000000 PA USD 470.00000000 0.000013207958 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.50000000 N N N N N N Securitized Asset Backed Receivables LLC Trust N/A 81376VAC1 12915748.35000000 PA USD 8035686.53000000 0.225819174357 Long ABS-O CORP US N 2 2036-03-25 Floating 4.93400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D54W9 98587.03000000 PA USD 95626.15000000 0.002687289774 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 3.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 -5900000.00000000 NC USD -423.09000000 -0.00001188969 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 N/A 5900000.00000000 OU Notional Amount N/A -423.09000000 0.00000000 DCR US CDX.NA.IG.S44 2I65BYEH4 sell protection 2030-06-20 0.00000000 N/A 0.00000000 N/A 5900000.00000000 USD 1.00000000 0.85000000 USD 2025-07-16 XXXX 7689.41000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7C95 75876.82000000 PA USD 78034.35000000 0.002192924328 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -54.64000000 -0.00000153549 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 401318690.00000000 IDR 24652.07000000 USD 2025-07-16 -54.64000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407UEQ6 741.47000000 PA USD 752.23000000 0.000021139196 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 34470.42000000 0.000968689079 N/A DFE TW N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2197728.53000000 USD 65134080.00000000 TWD 2025-07-16 34470.42000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128KMNX9 3857.06000000 PA USD 3980.07000000 0.000111848081 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.50000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 6265.16000000 0.000176063769 N/A DFE CN N 2 Bank of America NA B4TYDEB6GKMZO031MB27 2399455.33000000 USD 17156000.00000000 CNY 2025-08-20 6265.16000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RGB6 834898.88000000 PA USD 834519.00000000 0.023451685286 Long ABS-MBS USGA US N 2 2065-08-20 Floating 5.04600000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HCS2 10775000.00000000 PA USD 10853878.28000000 0.305016108158 Long DBT CORP US N 2 2028-05-10 Fixed 4.92700000 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3R0 7800000.00000000 PA USD 7892224.86000000 0.221787608945 Long DBT CORP US N 2 2027-01-15 Fixed 5.33900000 N N N N N N Asset Backed Securities Corp Home Equity Ln Trst N/A 04544TAB7 16561.70000000 PA USD 11695.72000000 0.000328673576 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.51400000 N N N N N N Countrywide Alternative Loan Trust N/A 02150BAA7 3787108.61000000 PA USD 1933643.12000000 0.054339313912 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6.00000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -1991.08000000 -0.00005595340 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 1155000.00000000 SEK 120090.33000000 USD 2025-07-02 -1991.08000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C2X1 69411.00000000 PA USD 68266.92000000 0.001918439632 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 3.50000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PBA3 3200000.00000000 PA USD 3191597.57000000 0.089690398629 Long DBT CORP US N 2 2027-01-29 Fixed 3.96000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31395CEC1 1908.10000000 PA USD 1899.77000000 0.000053387410 Long ABS-MBS USGSE US N 2 2034-07-15 Floating 4.66800000 N N N N N N Credit Suisse First Boston Mortgage Securities N/A 225470FG3 754004.29000000 PA USD 559344.36000000 0.015718716886 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 6.00000000 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HBH1 4700000.00000000 PA USD 4844871.44000000 0.136150765010 Long DBT CORP JP N 2 2028-01-18 Fixed 5.84200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CDH6 2918.32000000 PA USD 2911.39000000 0.000081815994 Long ABS-MBS USGA US N 2 2027-08-20 Floating 4.62500000 N N N N N N New Residential Mortgage Loan Trust N/A 64831HAM5 5067625.96000000 PA USD 5118114.21000000 0.143829443925 Long ABS-MBS CORP US N 2 2063-10-25 Variable 6.86400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406PQ85 8370.44000000 PA USD 8624.84000000 0.000242375588 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132AD4R6 65474.47000000 PA USD 64357.82000000 0.001808585952 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 3.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 20800000.00000000 OU Notional Amount USD -186236.96000000 -0.00523363826 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2033-08-15 0.00000000 USD 0.00000000 USD 20800000.00000000 USD -186236.96000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 275672.57000000 0.007746961248 N/A DFE GB N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 31153887.17000000 USD 22897000.00000000 GBP 2025-07-02 275672.57000000 N N N Countrywide Home Loans N/A 12669GN64 360111.22000000 PA USD 346444.96000000 0.009735809695 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.77400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XZBR1 16133.38000000 PA USD 15888.52000000 0.000446499804 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 3.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 25400000.00000000 OU Notional Amount USD 2957243.26000000 0.083104564725 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2055-06-18 2366034.60000000 USD 0.00000000 USD 25400000.00000000 USD 591208.66000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31295MNX4 11022.34000000 PA USD 11040.23000000 0.000310252971 Long ABS-MBS USGSE US N 2 2029-01-01 Floating 7.43400000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 9979.85000000 0.000280454131 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 963633.61000000 USD 40169067.03000000 TRY 2025-08-13 9979.85000000 N N N Bayview Opportunity Master Fund N/A 07336JAD0 10411482.61000000 PA USD 8855861.35000000 0.248867758941 Long ABS-MBS CORP US N 2 2051-11-25 Variable 3.00000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -19.00000000 NC -4028.59000000 -0.00011321159 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Put Written Eurex Deutschland 529900LN3S50JPU47S06 Eurex Deutschland 529900LN3S50JPU47S06 N/A 19.00000000 NC N/A -4028.59000000 0.00000000 DCO US Short Eurex 5 Year Euro BOBL OEQ5 Comdty 2025-09-08 19.00000000 EUR 1000.00000000 117.25000000 EUR 2025-07-25 XXXX 163.16000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CUV6 1218.27000000 PA USD 1216.43000000 0.000034184163 Long ABS-MBS USGA US N 2 2032-04-20 Floating 4.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H032670 39700000.00000000 PA USD 36088630.35000000 1.014164089016 Long ABS-MBS USGA US N 2 2054-07-20 Fixed 3.50000000 N N N N N N J.P. Morgan Alternative Loan Trust N/A 46628GAA7 702796.29000000 PA USD 580824.52000000 0.016322353175 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.79400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DLN0 25315.87000000 PA USD 24572.50000000 0.000690537347 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 3.50000000 N N N N N N Countrywide Home Loans N/A 126694M62 1065544.56000000 PA USD 960990.98000000 0.027005805771 Long ABS-MBS CORP US N 2 2046-04-25 Floating 4.83400000 N N N N N N UMBS, TBA N/A 01F030686 317850000.00000000 PA USD 274935256.58000000 7.726241237858 Long ABS-MBS USGSE US N 2 2055-08-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A2D58 121087.20000000 PA USD 122316.93000000 0.003437355108 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412LGJ3 5085.03000000 PA USD 5347.54000000 0.000150276776 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 6.00000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 -2800000.00000000 NC USD -12279.68000000 -0.00034508404 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Written Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 2800000.00000000 OU Notional Amount N/A -12279.68000000 0.00000000 DIR US N/A N/A 2035-07-08 0.00000000 N/A 0.00000000 N/A 2800000.00000000 USD 1.00000000 3.72500000 USD 2025-07-03 XXXX -1744.68000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JGYY5 374768.68000000 PA USD 368700.53000000 0.010361236586 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 3.50000000 N N N N N N Morgan Stanley Capital Inc 5493005XH7EPFP4PGZ13 61755CAA0 81760.02000000 PA USD 73568.33000000 0.002067420061 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.49400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YTV9 24421.69000000 PA USD 24254.64000000 0.000681604833 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 4.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -6.31000000 -0.00000017732 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 6348.39000000 MXN 329.28000000 USD 2025-09-17 -6.31000000 N N N American Homes 4 Rent 549300N4PXZ37U8QKI55 02666TAA5 1900000.00000000 PA USD 1888575.53000000 0.053072822751 Long DBT US N 2 2028-02-15 Fixed 4.25000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -2500000.00000000 NC USD -6593.13000000 -0.00018528039 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 2500000.00000000 OU Notional Amount N/A -6593.13000000 0.00000000 DIR US N/A N/A 2035-07-30 0.00000000 N/A 0.00000000 N/A 2500000.00000000 USD 1.00000000 3.87500000 USD 2025-07-28 XXXX 1606.87000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CD86 16384.68000000 PA USD 16491.66000000 0.000463449268 Long ABS-MBS USGA US N 2 2027-09-20 Floating 4.62500000 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 000000000 1.86000000 PA 0.24000000 0.000000006744 Long DBT CORP DK N 2 2053-10-01 Fixed 1.50000000 N N N N N N GS Mortgage-Backed Securities Trust N/A 36267EAD3 10118631.95000000 PA USD 8238782.39000000 0.231526582087 Long ABS-MBS CORP US N 2 2052-06-25 Variable 2.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDW3 7500000.00000000 PA USD 7662873.15000000 0.215342358300 Long DBT CORP US N 2 2027-10-22 Fixed 6.07000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BZ6 13300000.00000000 PA USD 9649065.55000000 0.271158414117 Long DBT CORP US N 2 2041-06-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31392CRD8 344.12000000 PA USD 345.20000000 0.000009700823 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 5.32000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AK89 63.23000000 PA USD 63.05000000 0.000001771833 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AXL6 115732.09000000 PA USD 121329.16000000 0.003409596757 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407M2K0 513332.23000000 PA USD 529568.01000000 0.014881940744 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371MMG9 6340.26000000 PA USD 6543.48000000 0.000183885128 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406AV25 219654.95000000 PA USD 222260.66000000 0.006245977682 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 6.03600000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46651QAA5 3431008.99000000 PA USD 3415370.45000000 0.095978872777 Long ABS-MBS CORP US N 2 2031-12-15 Floating 5.80900000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RA8 1674192.00000000 PA USD 1243908.43000000 0.034956362918 Long DBT UST US N 2 2043-02-15 Fixed 0.62500000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 45500000.00000000 OU Notional Amount USD 352329.25000000 0.009901170241 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-06-18 646428.95000000 USD 0.00000000 USD 45500000.00000000 USD -294099.70000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410LET5 4348.09000000 PA USD 4451.71000000 0.000125102126 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N Novastar Home Equity Loan N/A 66989EAA3 1998501.04000000 PA USD 1964322.08000000 0.055201455236 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.63400000 N N N N N N Starwood Commercial Mortgage Trust N/A 78485KAA3 9764678.76000000 PA USD 9739759.30000000 0.273707093395 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 5.65400000 N N N N N N MASSMUTUAL GLOBAL FUNDIN 549300K1IE3K7YU6VG29 57629WDL1 7900000.00000000 PA USD 8058557.82000000 0.226461904235 Long DBT CORP US N 2 2027-12-07 Fixed 5.05000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417QNC4 4908.22000000 PA USD 4969.23000000 0.000139645494 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411AR80 687.10000000 PA USD 699.96000000 0.000019670303 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 3200000.00000000 OU Notional Amount USD -9978.16000000 -0.00028040663 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Colombia Government International Bonds Colombia Government International Bonds Y sell protection 2027-06-20 0.00000000 USD -44493.29000000 USD 3200000.00000000 USD 34515.13000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LXQD5 8022.72000000 PA USD 8289.97000000 0.000232965058 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 5.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 15858.96000000 0.000445669108 N/A DFE TW N 2 Citibank NA E57ODZWZ7FF32TWEFA76 867123.00000000 USD 25764826.00000000 TWD 2025-07-16 15858.96000000 N N N Deutsche Bank Securities, Inc. 9J6MBOOO7BECTDTUZW19 000000000 37600000.00000000 PA USD 37600000.00000000 1.056636657506 Long RA CORP US N 2 Repurchase N 4.44000000 2025-07-01 46277000.00000000 USD 38493706.00000000 USD UST N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 -2500000.00000000 NC USD -943.98000000 -0.00002652776 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Written Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 2500000.00000000 OU Notional Amount N/A -943.98000000 0.00000000 DIR US N/A N/A 2035-07-23 0.00000000 N/A 0.00000000 N/A 2500000.00000000 USD 1.00000000 4.05000000 USD 2025-07-21 XXXX 6993.52000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KXK5 42667.65000000 PA USD 43810.59000000 0.001231166898 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410X6R2 17609.46000000 PA USD 18245.49000000 0.000512735467 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.00000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 929227QB5 17540.62000000 PA USD 16358.24000000 0.000459699894 Long ABS-MBS CORP US N 2 2042-06-25 Floating 5.79900000 N N N N N N Bear Stearns Alt-A Trust N/A 073868BE0 1221583.91000000 PA USD 624404.31000000 0.017547034123 Long ABS-MBS CORP US N 2 2036-11-25 Variable 4.60700000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -1728.38000000 -0.00004857100 N/A DFE IN N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1611127.00000000 USD 138304780.62000000 INR 2025-08-20 -1728.38000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3E1 7900000.00000000 PA USD 8157205.20000000 0.229234096732 Long DBT CORP US N 2 2029-07-25 Fixed 5.57400000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -2500000.00000000 NC USD -10882.13000000 -0.00030581003 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 2500000.00000000 OU Notional Amount N/A -10882.13000000 0.00000000 DIR US N/A N/A 2035-07-16 0.00000000 N/A 0.00000000 N/A 2500000.00000000 USD 1.00000000 3.65250000 USD 2025-07-14 XXXX -3413.38000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312935LP2 8962.44000000 PA USD 9234.79000000 0.000259516426 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSMW8 3937137.03000000 PA USD 3879248.32000000 0.109014786661 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5.00000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAS8 1800000.00000000 PA USD 1802991.98000000 0.050667750512 Long DBT CORP US N 2 2025-12-01 Fixed 5.95000000 N N N N N N Asset Backed Funding Certificates N/A 04542BQB1 4190483.36000000 PA USD 3953068.59000000 0.111089286750 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.25900000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AV0 7000000.00000000 PA USD 7273497.42000000 0.204400106442 Long DBT CORP CH N 2 2028-08-11 Fixed 6.44200000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RR1 2572106.00000000 PA USD 1948212.62000000 0.054748746566 Long DBT UST US N 2 2046-02-15 Fixed 1.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -2247517.73000000 -0.06315983037 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 125756018.74000000 EUR 146210059.13000000 USD 2025-08-04 -2247517.73000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407CC54 14751.33000000 PA USD 14724.34000000 0.000413783973 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -276016.01000000 -0.00775661261 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 22897000.00000000 GBP 31158123.12000000 USD 2025-08-04 -276016.01000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWL43 20285015.36000000 PA USD 20624995.87000000 0.579604433435 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 43550000.00000000 OU Notional Amount -1503131.41000000 -0.04224105715 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2032-06-01 0.00000000 CAD -411099.18000000 CAD 43550000.00000000 CAD -1192920.69000000 N N N ICE Futures Europe - Financial Products Division N/A 000000000 148.00000000 NC 456570.90000000 0.012830573130 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division N/A Long Long Gilt Futures G U5 Comdty 2025-09-26 13435819.88000000 GBP 456570.90000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 -2800000.00000000 NC USD -9098.26000000 -0.00025567965 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Written Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 2800000.00000000 OU Notional Amount N/A -9098.26000000 0.00000000 DIR US N/A N/A 2035-07-09 0.00000000 N/A 0.00000000 N/A 2800000.00000000 USD 1.00000000 3.66900000 USD 2025-07-07 XXXX 1415.74000000 N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397G72 900000.00000000 PA USD 909134.10000000 0.025548521719 Long DBT CORP US N 2 2028-03-20 Fixed 5.91800000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400HS5 3000000.00000000 PA USD 3073998.54000000 0.086385626129 Long DBT CORP US N 2 2027-11-01 Fixed 5.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402HGD7 14710.46000000 PA USD 14758.94000000 0.000414756303 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406XZH8 338.28000000 PA USD 348.42000000 0.000009791312 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SD1 3000000.00000000 PA USD 2218710.93000000 0.062350300559 Long DBT UST US N 2 2048-08-15 Fixed 3.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 3075.33000000 0.000086423042 N/A DFE IL N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1310721.00000000 USD 4425260.17000000 ILS 2025-07-02 3075.33000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31382F2C2 7.70000000 PA USD 7.82000000 0.000000219757 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128KQRY4 19418.87000000 PA USD 19784.39000000 0.000555981694 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31401AME4 11896.61000000 PA USD 12158.54000000 0.000341679762 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132CXLV2 5420876.20000000 PA USD 5228733.89000000 0.146938082460 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 2.50000000 N N N N N N WELLTOWER OP LLC T6IZ0MBEG5ACZDTR7D06 95040QAC8 1102000.00000000 PA USD 1098956.72000000 0.030882924344 Long DBT US N 2 2026-04-01 Fixed 4.25000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 10206.47000000 0.000286822615 N/A DFE IN N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 1140112.00000000 USD 98853410.96000000 INR 2025-08-20 10206.47000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31408JB83 5351.44000000 PA USD 5486.42000000 0.000154179587 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 6.00000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 -2800000.00000000 NC USD -0.03000000 -0.00000000084 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Put Written Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 2800000.00000000 OU Notional Amount N/A -0.03000000 0.00000000 DIR US N/A N/A 2035-07-08 0.00000000 N/A 0.00000000 N/A 2800000.00000000 USD 1.00000000 4.07500000 USD 2025-07-03 XXXX 10534.97000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620A2XZ4 213796.50000000 PA USD 216471.63000000 0.006083294137 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 5.00000000 N N N N N N Capital Four US CLO 2138009KMDCX6G3MTA10 14016CAN6 8200000.00000000 PA USD 8224796.80000000 0.231133558495 Long ABS-CBDO CORP JE N 2 2037-01-20 Floating 6.16900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406DG67 9710.53000000 PA USD 10016.35000000 0.000281479855 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 6.84800000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 68.91000000 0.000001936511 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 958555.90000000 CNY 133852.22000000 USD 2025-07-03 68.91000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 13400000.00000000 OU Notional Amount -28575.13000000 -0.00080301941 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2035-03-19 0.00000000 AUD -21240.07000000 AUD 13400000.00000000 AUD -14416.04000000 N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -1300000.00000000 NC USD -5013.76000000 -0.00014089687 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 1300000.00000000 OU Notional Amount N/A -5013.76000000 0.00000000 DIR US N/A N/A 2035-07-25 0.00000000 N/A 0.00000000 N/A 1300000.00000000 USD 1.00000000 3.58300000 USD 2025-07-23 XXXX -463.76000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407FPF1 1279.84000000 PA USD 1320.86000000 0.000037118858 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N Marathon CLO LTD N/A 56579ABJ8 6418658.01000000 PA USD 6418728.62000000 0.180379360491 Long ABS-CBDO CORP KY N 2 2032-04-15 Floating 5.45600000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1799.29000000 0.000050563717 N/A DFE IN N 2 Citibank NA E57ODZWZ7FF32TWEFA76 503970.00000000 USD 43463632.73000000 INR 2025-08-20 1799.29000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05565ASK0 12500000.00000000 PA USD 11120321.25000000 0.312503698829 Long DBT CORP FR N 2 2031-02-25 Fixed 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A2VH9 1259.60000000 PA USD 1250.33000000 0.000035136822 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 4.00000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163RBQ8 11000000.00000000 PA USD 10602952.80000000 0.297964590592 Long ABS-MBS CORP US N 2 2055-05-15 Variable 4.59100000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810UA4 17000000.00000000 PA USD 16511250.00000000 0.463999787533 Long DBT UST US N 2 2054-05-15 Fixed 4.62500000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 9300000.00000000 OU Notional Amount 39218.69000000 0.001102125146 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Barclays Bank PLC Barclays Bank PLC Y sell protection 2025-12-20 24287.23000000 EUR 0.00000000 EUR 9300000.00000000 EUR 14821.48000000 N N N FS KKR CAPITAL CORP 549300TYRSI1T21B1360 302635AN7 7400000.00000000 PA USD 7588557.48000000 0.213253936461 Long DBT CORP US N 2 2029-08-15 Fixed 6.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202KYM1 247.81000000 PA USD 247.24000000 0.000006947948 Long ABS-MBS USGA US N 2 2026-02-20 Floating 5.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404HTN9 352.87000000 PA USD 357.40000000 0.000010043668 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 10300000.00000000 OU Notional Amount 12686.20000000 0.000356508084 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-01-02 0.00000000 BRL 0.00000000 BRL 10300000.00000000 BRL 12686.20000000 N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 9413.64000000 0.000264542476 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3740451.00000000 USD 4767952.89000000 SGD 2025-07-02 9413.64000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A9YS1 1186473.70000000 PA USD 1177742.32000000 0.033096960330 Long ABS-MBS USGSE US N 2 2042-11-25 Floating 4.80000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SJ8 18500000.00000000 PA USD 11605136.77000000 0.326128003366 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LAFY1 11927.50000000 PA USD 12286.53000000 0.000345276542 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FNHA5 22619.57000000 PA USD 22262.15000000 0.000625611802 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F050684 69700000.00000000 PA USD 68266369.28000000 1.918424155748 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 5.00000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2W3 9200000.00000000 PA USD 9446717.41000000 0.265472018843 Long DBT CORP FR N 2 2030-05-20 Fixed 5.49700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X7XA6 64491.28000000 PA USD 63278.58000000 0.001778257108 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 3.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDA1 500000.00000000 PA USD 499518.85000000 0.014037498085 Long DBT CORP US N 2 2028-04-26 Fixed 4.32300000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACB9 8900000.00000000 PA USD 7967520.12000000 0.223903559261 Long DBT CORP US N 2 2031-02-15 Fixed 2.55000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 188.53000000 0.000005298077 N/A DFE KR N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 25226.02000000 USD 34269360.00000000 KRW 2025-07-16 188.53000000 N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040WAW8 5700000.00000000 PA USD 5953605.03000000 0.167308439335 Long DBT CORP US N 2 2029-02-01 Fixed 5.95000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CU1 8600000.00000000 PA USD 9172944.04000000 0.257778428987 Long DBT CORP DE N 2 2029-11-20 Fixed 6.81900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31380YAM2 4522.79000000 PA USD 4601.33000000 0.000129306754 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 6.00000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 17251.19000000 0.000484793610 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 867889.14000000 USD 15695000.00000000 ZAR 2025-07-23 17251.19000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAM2 4900000.00000000 PA USD 4906803.11000000 0.137891171201 Long DBT CORP US N 2 2026-08-10 Fixed 5.79800000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 32467.46000000 0.000912401819 N/A DFE CN N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1442571.82000000 USD 10519000.00000000 CNY 2025-08-20 32467.46000000 N N N JP Morgan Mortgage Trust N/A 466247ZP1 182324.94000000 PA USD 77773.44000000 0.002185592225 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75000000 N N N N N N DC Office Trust N/A 23312BAA8 1000000.00000000 PA USD 910338.90000000 0.025582379055 Long ABS-MBS CORP US N 2 2045-09-15 Fixed 2.96500000 N N N N N N Countrywide Asset-Backed Certificates N/A 12667HAA9 1174274.53000000 PA USD 1138499.79000000 0.031994165230 Long ABS-O CORP US N 2 2047-04-25 Floating 4.71400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292HS88 288.86000000 PA USD 299.15000000 0.000008406724 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 5.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -23900000.00000000 NC USD -41673.00000000 -0.00117109626 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 23900000.00000000 OU Notional Amount N/A -41673.00000000 0.00000000 DIR US N/A N/A 2035-07-23 0.00000000 N/A 0.00000000 N/A 23900000.00000000 USD 1.00000000 3.48900000 USD 2025-07-21 XXXX 129041.29000000 N N N Japan Government Forty Year Bonds 353800WZS8AXZXFUC241 000000000 724000000.00000000 PA 4042042.15000000 0.113589625182 Long DBT NUSS JP N 2 2064-03-20 Fixed 2.20000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 85479.30000000 0.002402142602 N/A DFE TW N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 4496818.03000000 USD 133708387.00000000 TWD 2025-07-16 85479.30000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -219511.62000000 -0.00616872405 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 62978593.00000000 TWD 1938817.00000000 USD 2025-07-16 -219511.62000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 -1800000.00000000 NC -0.21000000 -0.00000000590 N/A DIR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Call Written Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 1800000.00000000 OU Notional Amount N/A -0.21000000 0.00000000 DIR US N/A N/A 2030-07-02 0.00000000 N/A 0.00000000 N/A 1800000.00000000 EUR 1.00000000 2.10000000 EUR 2025-06-30 XXXX 2618.63000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YUM7 7247.59000000 PA USD 7195.24000000 0.000202200913 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M54E7 11577.51000000 PA USD 11911.44000000 0.000334735748 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.50000000 N N N N N N Republic of Poland Government International Bonds 259400R9L8QEP0TPXS31 731011AY8 3900000.00000000 PA USD 3914594.78000000 0.110008094250 Long DBT NUSS PL N 2 2034-09-18 Fixed 5.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128L8VF9 6611.77000000 PA USD 6694.20000000 0.000188120667 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.50000000 N N N N N N American Home Mortgage Investment Trust N/A 026929AA7 8788205.15000000 PA USD 7374647.84000000 0.207242639466 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.79400000 N N N N N N HARBOUR ENERGY PLC 213800YPC42DYBKVPF97 411618AD3 3700000.00000000 PA USD 3678263.61000000 0.103366706550 Long DBT CORP GB N 2 2035-04-01 Fixed 6.32700000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBW4 6400000.00000000 PA USD 5122413.06000000 0.143950250374 Long DBT CORP US N 2 2040-04-01 Fixed 3.60000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 16024.79000000 0.000450329269 N/A DFE TW N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 1191000.00000000 USD 35122590.00000000 TWD 2025-08-20 16024.79000000 N N N Citigroup Mortgage Loan Trust Inc N/A 17311BAS2 5143728.10000000 PA USD 2802240.83000000 0.078748680429 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.75400000 N N N N N N Wells Fargo Mortgage Backed Securities Trust N/A 949802AA0 40124.13000000 PA USD 39356.27000000 0.001105991425 Long ABS-MBS CORP US N 2 2033-09-25 Variable 6.92000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JJMK2 147621.22000000 PA USD 144271.45000000 0.004054321880 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 3.50000000 N N N N N N Tobacco Settlement Finance Authority N/A 88880LAH6 2250000.00000000 PA USD 2196226.13000000 0.061718431838 Long DBT MUN US N 2 2026-06-01 Fixed 1.82000000 N N N N N N Saxon Asset Securities Trust N/A 80557BAD6 1472446.21000000 PA USD 1367397.04000000 0.038426644623 Long ABS-O CORP US N 2 2047-09-25 Floating 4.83400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31414L2H0 68339.02000000 PA USD 70364.82000000 0.001977394899 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 24118146.73000000 OU Notional Amount 5191946.72000000 0.145904287983 N/A DCR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 iTraxx Europe Crossover S42 2I667KKV9 Y sell protection 2029-12-20 4138032.60000000 EUR 0.00000000 EUR 24118146.73000000 EUR 715593.25000000 N N N HONEYWELL INTERNATIONAL ISRPG12PN4EIEOEMW547 000000000 1760000.00000000 PA 2165470.97000000 0.060854149140 Long DBT CORP US N 2 2034-11-02 Fixed 4.12500000 N N N N N N PROLOGIS LP GL16H1DHB0QSHP25F723 74340XCB5 6200000.00000000 PA USD 5374500.07000000 0.151034409301 Long DBT US N 2 2032-01-15 Fixed 2.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CQT6 537.05000000 PA USD 540.16000000 0.000015179597 Long ABS-MBS USGA US N 2 2030-10-20 Floating 5.50000000 N N N N N N BCAP LLC Trust N/A 05530NAA5 3259408.16000000 PA USD 3108465.62000000 0.087354221348 Long ABS-MBS CORP US N 2 2047-05-25 Floating 4.85400000 N N N N N N GreenPoint Mortgage Funding Trust N/A 39538RAB5 11258.55000000 PA USD 10260.72000000 0.000288347151 Long ABS-MBS CORP US N 2 2045-06-25 Floating 4.87400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CXJ0 871.81000000 PA USD 883.71000000 0.000024834052 Long ABS-MBS USGA US N 2 2033-03-20 Floating 5.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31408B5A2 4406.96000000 PA USD 4430.27000000 0.000124499619 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 6.16300000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CH0 7300000.00000000 PA USD 7147588.48000000 0.200861808530 Long DBT CORP US N 2 2027-03-15 Fixed 3.12500000 N N N N N N Citigroup Mortgage Loan Trust Inc 549300R1KUK063S4I339 17307GXP8 174730.44000000 PA USD 176024.77000000 0.004946654909 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.08000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 15300000.00000000 OU Notional Amount USD -306422.28000000 -0.00861109079 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2035-02-15 0.00000000 USD -43702.79000000 USD 15300000.00000000 USD -262719.49000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -46379.53000000 -0.00130335934 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 7207039.11000000 DKK 1091499.15000000 USD 2025-07-02 -46379.53000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KXE9 155759.28000000 PA USD 160753.41000000 0.004517498559 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6NC8 28527.19000000 PA USD 29280.10000000 0.000822830505 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128QLPD7 103342.80000000 PA USD 106710.12000000 0.002998771928 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 6.76400000 N N N N N N MASTR Alternative Loans Trust N/A 5764342H6 609692.31000000 PA USD 56264.30000000 0.001581141539 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.83400000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -301636.72000000 -0.00847660679 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 85153869.00000000 TWD 2616657.00000000 USD 2025-07-16 -301636.72000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CFQ4 1554.75000000 PA USD 1550.66000000 0.000043576707 Long ABS-MBS USGA US N 2 2028-03-20 Floating 5.62500000 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DR3 200000.00000000 PA USD 214938.85000000 0.006040219894 Long DBT CORP US N 2 2031-05-01 Fixed 6.38800000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -28149.04000000 -0.00079104541 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 23192116.04000000 CNY 3223993.00000000 USD 2025-08-20 -28149.04000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 1200000.00000000 OU Notional Amount USD 21266.40000000 0.000597629197 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Verizon Communications, Inc. Verizon Communications, Inc. Y sell protection 2028-12-20 0.00000000 USD -1971.95000000 USD 1200000.00000000 USD 23238.35000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4300000.00000000 OU Notional Amount -12348.42000000 -0.00034701577 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2029-10-05 0.00000000 EUR 0.00000000 EUR 4300000.00000000 EUR -12348.42000000 N N N BENCHMARK Mortgage Trust N/A 08160JAE7 13000000.00000000 PA USD 12654183.10000000 0.355608343996 Long ABS-MBS CORP US N 2 2052-03-15 Fixed 4.01600000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 4583.20000000 0.000128797264 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 235139.00000000 USD 9693840.41000000 TRY 2025-07-21 4583.20000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407UK97 38797.62000000 PA USD 39796.67000000 0.001118367562 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 6.63400000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 10287.15000000 0.000289089888 N/A DFE MX N 2 Bank of America NA B4TYDEB6GKMZO031MB27 1753289.89000000 USD 33255000.00000000 MXN 2025-08-18 10287.15000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3300000.00000000 OU Notional Amount -19013.87000000 -0.00053432851 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2034-06-01 0.00000000 CAD -4814.92000000 CAD 3300000.00000000 CAD -15657.99000000 N N N Greensky Home Improvement Issuer Trust N/A 39571NAB2 6982566.10000000 PA USD 6995178.71000000 0.196578783265 Long ABS-O CORP US N 2 2060-03-25 Fixed 5.12000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -3893.62000000 -0.00010941866 N/A DFE IN N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1611061.00000000 USD 138113037.41000000 INR 2025-08-20 -3893.62000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 603.83000000 0.000016968854 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 6055000.00000000 CAD 4447088.13000000 USD 2025-07-02 603.83000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 3944.99000000 0.000110862261 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 346341.83000000 USD 14255083.38000000 TRY 2025-07-29 3944.99000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 51000000.00000000 NC USD 53392.92000000 0.001500449907 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Call Purchased JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A 51000000.00000000 OU Notional Amount N/A 53392.92000000 0.00000000 DIR US N/A N/A 2026-08-15 0.00000000 N/A 0.00000000 N/A 51000000.00000000 USD 1.00000000 3.70000000 USD 2025-08-13 XXXX 2392.92000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 274300000.00000000 NC USD 227106.69000000 0.006382161005 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Call Purchased JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A 274300000.00000000 OU Notional Amount N/A 227106.69000000 0.01000000 DIR US N/A N/A 2026-08-14 0.00000000 N/A 0.00000000 N/A 274300000.00000000 USD 1.00000000 3.65000000 USD 2025-08-12 XXXX -6048.31000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 191.23000000 0.000005373952 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 492832.15000000 NOK 49095.50000000 USD 2025-08-04 191.23000000 N N N SG Commercial Mortgage Securities Trust N/A 78397FAA1 7100000.00000000 PA USD 6626796.36000000 0.186226488186 Long ABS-MBS CORP US N 2 2037-03-15 Fixed 2.63200000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912834KH0 1000000.00000000 PA USD 461261.89000000 0.012962399512 Long DBT UST US N 2 2041-05-15 None 0.00000000 N N N N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 55285BAA3 8498388.99000000 PA USD 8501660.87000000 0.238914003322 Long ABS-CBDO CORP US N 2 2037-09-17 Floating 6.95300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CQZ2 2064.20000000 PA USD 2062.77000000 0.000057968042 Long ABS-MBS USGA US N 2 2030-11-20 Floating 4.75000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 9200000.00000000 OU Notional Amount USD 670475.76000000 0.018841735797 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2054-12-18 215845.40000000 USD 0.00000000 USD 9200000.00000000 USD 454630.36000000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HBA2 7800000.00000000 PA USD 7925451.38000000 0.222721341898 Long DBT CORP ES N 2 2028-03-14 Fixed 5.55200000 N N N N N N Countrywide Alternative Loan Trust N/A 12667F2Y0 5990773.92000000 PA USD 4744163.36000000 0.133320662643 Long ABS-MBS CORP US N 2 2035-03-25 Fixed 6.00000000 N N N N N N ALLIANT ENERGY FINANCE 54930033ER6EOI5DL570 01882YAE6 3800000.00000000 PA USD 3987007.73000000 0.112043045778 Long DBT CORP US N 2 2029-03-30 Fixed 5.95000000 N N N N N N FLORIDA POWER & LIGHT CO A89MY1K3YLIGJMYWVX50 341081GR2 6900000.00000000 PA USD 6907346.78000000 0.194110526964 Long DBT CORP US N 2 2026-05-15 Fixed 4.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417FBM9 35860.75000000 PA USD 36465.68000000 0.001024759952 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382YJ20 4957585.00000000 PA USD 5010696.10000000 0.140810776034 Long ABS-MBS USGA US N 2 2072-12-20 Floating 5.32200000 N Y N N N N Countrywide Asset-Backed Certificates N/A 12666UAG8 429255.07000000 PA USD 437955.51000000 0.012307442718 Long ABS-O CORP US N 2 2046-10-25 Variable 4.27600000 N N N N N N BRITISH AIR 18-1 A PTT N/A 11043HAA6 991990.59000000 PA USD 948589.12000000 0.026657288220 Long DBT CORP US N 2 2031-09-20 Fixed 4.12500000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 3050000.00000000 PA 3602226.94000000 0.101229921102 Long DBT NUSS RO N 2 2031-03-22 Fixed 5.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CZ49 12620.16000000 PA USD 12416.61000000 0.000348932055 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402QYY1 86932.10000000 PA USD 89502.74000000 0.002515209468 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M43N1 426.90000000 PA USD 437.18000000 0.000012285649 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5GF1 2684.71000000 PA USD 2767.62000000 0.000077775764 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 5.50000000 N N N N N N GoodLeap Sustainable Home Improvement Loan Trust N/A 38237KAA8 9096516.21000000 PA USD 7926007.43000000 0.222736968037 Long ABS-O CORP US N 2 2049-04-20 Fixed 4.00000000 N N N N N N Sunrun Demeter Issuer LLC N/A 86772HAA5 11036656.65000000 PA USD 9766118.94000000 0.274447853020 Long ABS-O CORP US N 2 2057-01-30 Fixed 2.27000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TH1 14500000.00000000 PA USD 11993652.38000000 0.337046084098 Long DBT UST US N 2 2042-05-15 Fixed 3.25000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -6856.93000000 -0.00019269371 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 6382940.87000000 CNY 885806.00000000 USD 2025-07-16 -6856.93000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2400000.00000000 OU Notional Amount -12203.94000000 -0.00034295559 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-04-29 0.00000000 EUR 0.00000000 EUR 2400000.00000000 EUR -12203.94000000 N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JL2 3600000.00000000 PA USD 3600000.00000000 0.101167339548 Long DBT CORP US N 2 2025-07-01 Fixed 3.45000000 N N N N N N Chase Mortgage Finance Corporation N/A 161630BK3 400047.51000000 PA USD 371922.49000000 0.010451780230 Long ABS-MBS CORP US N 2 2037-03-25 Variable 4.66900000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 105474.93000000 0.002964060571 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 7179640.32000000 USD 291292367.06000000 TRY 2025-07-07 105474.93000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406AWU2 1675.57000000 PA USD 1723.74000000 0.000048440608 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.50000000 N N N N N N GSR Mortgage Loan Trust N/A 36297TAB8 734245.02000000 PA USD 445706.55000000 0.012525262745 Long ABS-MBS CORP US N 2 2036-04-25 Variable 4.53700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBP36 869657.03000000 PA USD 903262.93000000 0.025383529872 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385HJE3 7280.82000000 PA USD 7219.69000000 0.000202888008 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 4.88700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411XMB8 10816.75000000 PA USD 11156.39000000 0.000313517304 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31288JQP4 46.49000000 PA USD 46.87000000 0.000001317142 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412EAP1 4072.73000000 PA USD 4211.46000000 0.000118350612 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RH77 47533.96000000 PA USD 47942.98000000 0.001347295482 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 5.69700000 N N N N N N Countrywide Home Loans N/A 12669GPR6 179215.32000000 PA USD 177019.52000000 0.004974609412 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.07400000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAR1 3800000.00000000 PA USD 3880026.59000000 0.109036657635 Long DBT CORP US N 2 2026-12-01 Fixed 6.05000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382YN82 5255631.19000000 PA USD 5259178.22000000 0.147793630202 Long ABS-MBS USGA US N 2 2073-01-20 Floating 5.20200000 N N N N N N State of Illinois 54930048FV8RWPR02D67 452152FA4 4400000.02000000 PA USD 4652990.78000000 0.130758527265 Long DBT MUN US N 2 2035-04-01 Fixed 6.72500000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -9577.23000000 -0.00026913968 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 6326218.49000000 CNY 875153.00000000 USD 2025-07-16 -9577.23000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385XK48 1556.46000000 PA USD 1584.20000000 0.000044519249 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 6.22400000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 19643.14000000 0.000552012281 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1670123.00000000 USD 69577324.18000000 TRY 2025-08-11 19643.14000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LJY3 106729.63000000 PA USD 108403.61000000 0.003046362450 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 5.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 5001.43000000 0.000140550379 N/A DFE XX N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1059865.96000000 USD 904000.00000000 EUR 2025-07-02 5001.43000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 356.98000000 0.000010031865 N/A DFE NO N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 469364.00000000 USD 4734505.60000000 NOK 2025-07-02 356.98000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617YFGP6 6417315.47000000 PA USD 6312534.25000000 0.177395082189 Long ABS-MBS USGA US N 2 2052-04-15 Fixed 5.00000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 456610AA2 1748469.40000000 PA USD 1707157.26000000 0.047974599495 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.67400000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 13905.89000000 0.000390783859 N/A DFE KR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1157638.00000000 USD 1580523161.00000000 KRW 2025-07-08 13905.89000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 2100000.00000000 OU Notional Amount USD -9814.07000000 -0.00027579537 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 SoftBank Group Corp. SoftBank Group Corp. Y sell protection 2026-06-20 0.00000000 USD -13838.95000000 USD 2100000.00000000 USD 4024.88000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EJE38 34.13000000 PA USD 33.99000000 0.000000955188 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 4.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 9200000.00000000 OU Notional Amount -201531.90000000 -0.00566345726 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2027-05-18 0.00000000 EUR -159005.91000000 EUR 9200000.00000000 EUR -42683.41000000 N N N VMWARE LLC 549300BUDHS3LRWBE814 928563AJ4 13500000.00000000 PA USD 13056950.12000000 0.366926918405 Long DBT CORP US N 2 2026-08-15 Fixed 1.40000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1600.65000000 0.000044981528 N/A DFE PE N 2 Citibank NA E57ODZWZ7FF32TWEFA76 56711.00000000 USD 206598.17000000 PEN 2025-07-07 1600.65000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 531.68000000 0.000014941291 N/A DFE TW N 2 Citibank NA E57ODZWZ7FF32TWEFA76 5820621.79000000 USD 169857385.00000000 TWD 2025-07-16 531.68000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 73902.63000000 0.002076814572 N/A DFE TW N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 591008.60000000 USD 19347908.00000000 TWD 2025-08-20 73902.63000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -560361.30000000 -0.01574729497 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 147646234.00000000 TWD 4513657.00000000 USD 2025-08-20 -560361.30000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128NCBF0 4246.85000000 PA USD 4316.78000000 0.000121310318 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 6.55200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407FUW8 36965.64000000 PA USD 38072.35000000 0.001069910655 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 7.34800000 N N N N N N Hyatt Hotels Corp T27JQIMTYSH41TCD5186 448579AF9 2700000.00000000 PA USD 2700299.21000000 0.075883913072 Long DBT CORP US N 2 2026-03-15 Fixed 4.85000000 N N N N N N Lehman Mortgage Trust N/A 52520RAB8 2601656.75000000 PA USD 1796331.33000000 0.050480572667 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.03400000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QDP4 3000000.00000000 PA USD 3211917.00000000 0.090261416039 Long DBT CORP MX N 2 2033-02-07 Fixed 10.00000000 N N N N N N HUDSON PACIFIC PROPERTIE 5493007NTUGLGZ8T3526 44409MAB2 2400000.00000000 PA USD 2156311.68000000 0.060596754417 Long DBT US N 2 2029-04-01 Fixed 4.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402JYY7 469.28000000 PA USD 470.97000000 0.000013235217 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RHU6 37056.57000000 PA USD 37277.26000000 0.001047567005 Long ABS-MBS USGSE US N 2 2042-08-01 Floating 5.69700000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 6185.32000000 0.000173820102 N/A DFE DK N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 1132612.38000000 USD 7212859.93000000 DKK 2025-07-02 6185.32000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AEPK3 5596.23000000 PA USD 5449.18000000 0.000153133067 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416WEW8 7092.41000000 PA USD 7072.64000000 0.000198755603 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 4.50000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 400000.00000000 OU Notional Amount USD 5183.57000000 0.000145668885 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Boeing Co. Boeing Co. Y sell protection 2029-12-20 0.00000000 USD -6272.86000000 USD 400000.00000000 USD 11456.43000000 N N N HSI Asset Securitization Corporation Trust N/A 44328BAE8 8166848.78000000 PA USD 1931864.00000000 0.054289317013 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.77400000 N N N N N N UMBS, TBA N/A 01F052680 371313541.00000000 PA USD 370953006.69000000 10.42453577343 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412QBP3 5194.75000000 PA USD 5281.91000000 0.000148432439 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418MYZ9 113795.65000000 PA USD 118435.76000000 0.003328286318 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 6.00000000 N N N N N N FirstEnergy Corp 549300SVYJS666PQJH88 337932AH0 1300000.00000000 PA USD 1285424.50000000 0.036123049126 Long DBT CORP US N 2 2027-07-15 Fixed 3.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297VKR8 2280.66000000 PA USD 2314.38000000 0.000065038796 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.50000000 N N N N N N Fixed Income Clearing Corp 549300H47WTHXPU08X20 000000000 13779016.37000000 PA USD 13779016.37000000 0.387218452152 Long RA CORP US N 2 Repurchase N 3.25000000 2025-07-01 14053500.00000000 USD 14054596.70000000 USD UST N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BPF52 340657.11000000 PA USD 336194.38000000 0.009447747498 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 5.00000000 N N N N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 60687YBL2 9800000.00000000 PA USD 8573634.86000000 0.240936619179 Long DBT CORP JP N 2 2031-09-08 Fixed 1.97900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LVF0 6517.23000000 PA USD 6602.20000000 0.000185535280 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 5.00000000 N N N N N N MASTR Asset Backed Securities Trust N/A 55291KAB3 4512954.05000000 PA USD 1509353.42000000 0.042415908316 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.53400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410UF72 6990.75000000 PA USD 7154.26000000 0.000201049291 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 5.50000000 N N N N N N NATIONAL RURAL UTIL COOP 4NYF266XZC35SCTGX023 63743HFG2 3600000.00000000 PA USD 3657338.24000000 0.102778660991 Long DBT CORP US N 2 2028-03-15 Fixed 4.80000000 N N N N N N Morgan Stanley BAML Trust N/A 61766RAW6 1399627.19000000 PA USD 1391490.74000000 0.039103726714 Long ABS-MBS CORP US N 2 2049-11-15 Fixed 2.95200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CMP8 436.69000000 PA USD 437.81000000 0.000012303353 Long ABS-MBS USGA US N 2 2030-01-20 Floating 5.62500000 N N N N N N CSAIL Commercial Mortgage Trust 5493006MX7HG5PC85C29 12637UAX7 10413.38000000 PA USD 10393.97000000 0.000292091747 Long ABS-MBS CORP US N 2 2049-11-15 Fixed 3.31400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31409WA76 976.29000000 PA USD 1011.51000000 0.000028425493 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6.00000000 N N N N N N Banc of America Mortgage Securities N/A 05952FAN3 3965527.68000000 PA USD 3143296.93000000 0.088333052171 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6.00000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -1878.58000000 -0.00005279192 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 3502658.10000000 THB 105976.18000000 USD 2025-07-16 -1878.58000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31376KPN0 155.94000000 PA USD 158.44000000 0.000004452487 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 6.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 3861.50000000 0.000108516022 N/A DFE IN N 2 Citibank NA E57ODZWZ7FF32TWEFA76 935262.00000000 USD 80704225.61000000 INR 2025-08-20 3861.50000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EW30 66827.50000000 PA USD 66900.29000000 0.001880034542 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KLY8 2439.20000000 PA USD 2532.84000000 0.000071177967 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WH3F7 3600.19000000 PA USD 3574.11000000 0.000100439777 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419BWX9 178.64000000 PA USD 178.06000000 0.000005003849 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -362698.91000000 -0.01019257882 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 97663206.00000000 TWD 2993600.00000000 USD 2025-08-20 -362698.91000000 N N N Countrywide Alternative Loan Trust N/A 12668BDC4 314539.66000000 PA USD 297094.06000000 0.008348948790 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.87900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128JNAL9 8573.73000000 PA USD 8847.27000000 0.000248626324 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.84100000 N N N N N N BOSTON PROPERTIES LP BVHHEFJI6SHNOKQT2572 10112RBF0 1811000.00000000 PA USD 1447327.44000000 0.040672851822 Long DBT US N 2 2033-10-01 Fixed 2.45000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291AGX1 1971.52000000 PA USD 1995.07000000 0.000056065534 Long ABS-MBS USGA US N 2 2033-10-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417MXZ1 958.82000000 PA USD 964.60000000 0.000027107226 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M55D8 5634.81000000 PA USD 5790.44000000 0.000162723169 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.50000000 N N N N N N Ace Securities Corp. N/A 00442PAA8 1172221.04000000 PA USD 1140514.81000000 0.032050791400 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.73400000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -23277.98000000 -0.00065415869 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1600000.00000000 BRL 264502.16000000 USD 2025-10-02 -23277.98000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406H3D7 21024.80000000 PA USD 21533.99000000 0.000605149021 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 6.21000000 N N N N N N BANQUE FED CRED MUTUEL VBHFXSYT7OG62HNT8T76 06675FBA4 5900000.00000000 PA USD 5989509.61000000 0.168317431234 Long DBT CORP FR N 2 2026-07-13 Fixed 5.89600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H060671 21000000.00000000 PA USD 21306752.67000000 0.598763189456 Long ABS-MBS USGA US N 2 2054-07-20 Fixed 6.00000000 N N N N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J6G7 7300000.00000000 PA USD 7356916.42000000 0.206744350414 Long DBT CORP US N 2 2026-12-11 Floating 5.46600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWJ53 16544707.85000000 PA USD 16834485.76000000 0.473083371390 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406BJF8 6178.05000000 PA USD 6343.58000000 0.000178267531 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 6.50800000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3000000.00000000 OU Notional Amount -7698.85000000 -0.00021635338 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2029-10-05 0.00000000 EUR 0.00000000 EUR 3000000.00000000 EUR -7698.85000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128L3H58 27406.68000000 PA USD 28101.81000000 0.000789718153 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LN77 51100.65000000 PA USD 51776.41000000 0.001455022680 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617NR7A5 384558.61000000 PA USD 379798.76000000 0.010673119475 Long ABS-MBS USGA US N 2 2050-06-15 Fixed 5.00000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 -2500000.00000000 NC USD -18864.75000000 -0.00053013793 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Call Written Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 2500000.00000000 OU Notional Amount N/A -18864.75000000 0.00000000 DIR US N/A N/A 2035-07-23 0.00000000 N/A 0.00000000 N/A 2500000.00000000 USD 1.00000000 3.70000000 USD 2025-07-21 XXXX -10927.25000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LJB3 8027.11000000 PA USD 8125.72000000 0.000228349298 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 5.00000000 N N N N N N SOUTHERN CALIF GAS CO XY0N0J73VHV5F4CUJV89 842434CW0 12500000.00000000 PA USD 12244493.50000000 0.344095230976 Long DBT CORP US N 2 2027-04-15 Fixed 2.95000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 35800000.00000000 OU Notional Amount USD 125801.20000000 0.003535270198 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2025-12-18 12065.95000000 USD 0.00000000 USD 35800000.00000000 USD 113735.25000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617YD3J9 2161171.53000000 PA USD 2019181.09000000 0.056743105261 Long ABS-MBS USGA US N 2 2052-03-15 Fixed 4.00000000 N N N N N N Towd Point Mortgage Trust N/A 89170VAA6 4672702.45000000 PA USD 4441608.34000000 0.124818249742 Long ABS-MBS CORP US N 2 2062-07-25 Variable 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DB43 100582.95000000 PA USD 98815.96000000 0.002776929938 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 5506.87000000 0.000154754274 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 466340.00000000 USD 19351244.64000000 TRY 2025-08-07 5506.87000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410FDB8 3487.56000000 PA USD 3587.87000000 0.000100826461 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6.00000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 -49200000.00000000 NC USD -493720.03000000 -0.01387453942 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Written Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 49200000.00000000 OU Notional Amount N/A -493720.03000000 -0.01000000 DIR US N/A N/A 2035-08-06 0.00000000 N/A 0.00000000 N/A 49200000.00000000 USD 1.00000000 3.70750000 USD 2025-08-04 XXXX 12750.56000000 N N N JP MORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 48125LRV6 7700000.00000000 PA USD 7763085.25000000 0.218158522619 Long DBT CORP US N 2 2026-12-08 Floating 5.39100000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -42281.51000000 -0.00118819663 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 3212925.20000000 NZD 1916156.46000000 USD 2025-07-02 -42281.51000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPYV4 2285314.55000000 PA USD 2129416.79000000 0.059840953176 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404LAU4 174591.76000000 PA USD 176381.92000000 0.004956691553 Long ABS-MBS USGSE US N 2 2034-05-01 Floating 6.41000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 -2500000.00000000 NC USD -13.08000000 -0.00000036757 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Written Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 2500000.00000000 OU Notional Amount N/A -13.08000000 0.00000000 DIR US N/A N/A 2035-07-11 0.00000000 N/A 0.00000000 N/A 2500000.00000000 USD 1.00000000 4.12000000 USD 2025-07-09 XXXX 7986.92000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -1428695.96000000 -0.04014926924 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 154834853.71000000 BRL 27069740.24000000 USD 2025-07-02 -1428695.96000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RC53 2791040.05000000 PA USD 2856785.23000000 0.080281489272 Long ABS-MBS USGA US N 2 2066-09-20 Variable 7.51900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419FWM4 32886.90000000 PA USD 32652.32000000 0.000917596762 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 4.00000000 N N N N N N THAMES WATER SUPER SEN 635400LBEYCV7F4FC741 000000000 7141.00000000 PA 10735.03000000 0.000301676229 Long DBT CORP GB N 2 2027-10-10 Fixed 9.75000000 N N N N N N First Franklin Mtg Loan Asset Backed Certificates N/A 32027LAF2 16312000.00000000 PA USD 13286543.22000000 0.373378952601 Long ABS-O CORP US N 2 2036-10-25 Floating 4.74400000 N N N N N N Republic of South Africa 378900AAFB4F17004C49 000000000 63800000.00000000 PA 3136208.71000000 0.088133858738 Long DBT NUSS ZA N 2 2037-01-31 Fixed 8.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297DK89 324.70000000 PA USD 326.12000000 0.000009164636 Long ABS-MBS USGA US N 2 2039-04-15 Fixed 5.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 63500000.00000000 OU Notional Amount USD -445966.85000000 -0.01253257770 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2028-05-31 0.00000000 USD 0.00000000 USD 63500000.00000000 USD -445966.85000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 8728.24000000 0.000245281338 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 758000.53000000 USD 31381979.94000000 TRY 2025-08-05 8728.24000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312930QW3 4577.00000000 PA USD 4684.73000000 0.000131650464 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405UMM8 3674.52000000 PA USD 3732.57000000 0.000104892826 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 6.85300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31408DLD4 103988.23000000 PA USD 107527.35000000 0.003021737757 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405JC36 69487.41000000 PA USD 71337.91000000 0.002004740712 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 3200000.00000000 OU Notional Amount USD -2344.42000000 -0.00006588298 N/A DCR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Colombia Government International Bonds Colombia Government International Bonds Y sell protection 2026-12-20 0.00000000 USD -24452.30000000 USD 3200000.00000000 USD 22107.88000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406GCS6 13205.34000000 PA USD 13390.63000000 0.000376304003 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402GW58 550.28000000 PA USD 557.20000000 0.000015658455 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -1600000.00000000 NC -1474.83000000 -0.00004144572 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 1600000.00000000 OU Notional Amount N/A -1474.83000000 0.00000000 DIR US N/A N/A 2035-07-18 0.00000000 N/A 0.00000000 N/A 1600000.00000000 EUR 1.00000000 2.46000000 EUR 2025-07-16 XXXX 3431.82000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371HHR2 420.04000000 PA USD 428.91000000 0.000012053245 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 6.00000000 N N N N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U7Z7 7900000.00000000 PA USD 7946064.90000000 0.223300623836 Long DBT CORP US N 2 2028-01-14 Floating 5.42700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HKL30 44851.38000000 PA USD 43907.76000000 0.001233897573 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 3.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 53334.91000000 0.001498819708 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 5162035.00000000 USD 210394222.53000000 TRY 2025-07-18 53334.91000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DFK3 227596.02000000 PA USD 221184.60000000 0.006215738203 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YTF4 70.50000000 PA USD 70.34000000 0.000001976697 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.50000000 N N N N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 80413TBE8 6000000.00000000 PA USD 5102975.46000000 0.143404014186 Long DBT NUSS SA N 2 2053-01-18 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M66H6 15093.84000000 PA USD 15516.86000000 0.000436055401 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -24787.63000000 -0.00069658293 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 45443092.26000000 CNY 6347524.00000000 USD 2025-08-20 -24787.63000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 663.34000000 0.000018641206 N/A DFE ID N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 350000.00000000 USD 5695501000.00000000 IDR 2025-07-14 663.34000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -305144.45000000 -0.00857518116 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 85755714.00000000 TWD 2633775.00000000 USD 2025-07-16 -305144.45000000 N N N Dryden Senior Loan Fund 54930064P37IJ78XTR63 26244RAF8 3656459.38000000 PA USD 3655735.40000000 0.102733617919 Long ABS-CBDO CORP KY N 2 2029-10-19 Floating 5.41900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241K4C9 17638.82000000 PA USD 17872.06000000 0.000502241322 Long ABS-MBS USGA US N 2 2039-04-15 Fixed 5.00000000 N N N N N N NEW YORK LIFE GLOBAL FDG 635400DPNHEAUHB7ZI15 64953BBK3 7800000.00000000 PA USD 7815188.78000000 0.219622738039 Long DBT CORP US N 2 2026-01-16 Floating 4.92700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620A8NL3 10743.89000000 PA USD 10881.61000000 0.000305795426 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 5.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 8155.70000000 0.000229191797 N/A DFE CN N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 454310.27000000 USD 3298000.00000000 CNY 2025-08-20 8155.70000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BMS4 18088.13000000 PA USD 18962.97000000 0.000532898118 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.00000000 N N N N N N AMEREN CORP XRZQ5S7HYJFPHJ78L959 023608AQ5 7200000.00000000 PA USD 7329855.17000000 0.205983874118 Long DBT CORP US N 2 2029-01-15 Fixed 5.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -6122.51000000 -0.00017205501 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1578024974.00000000 KRW 1163569.62000000 USD 2025-07-08 -6122.51000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 8600000.00000000 OU Notional Amount -1999.30000000 -0.00005618440 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 8600000.00000000 BRL -1999.30000000 N N N UMBS, TBA N/A 01F032682 155000000.00000000 PA USD 139501560.85000000 3.920278270572 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 3.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1200000.00000000 OU Notional Amount 1822.90000000 0.000051227206 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2035-03-24 0.00000000 EUR 0.00000000 EUR 1200000.00000000 EUR 1822.90000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 23000000.00000000 OU Notional Amount USD -168884.40000000 -0.00474599595 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2028-05-31 0.00000000 USD 0.00000000 USD 23000000.00000000 USD -168884.40000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -72454.96000000 -0.00203613209 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 4700000.00000000 BRL 772899.19000000 USD 2025-10-02 -72454.96000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5R93 23108.29000000 PA USD 23737.10000000 0.000667060904 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.50000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -91.00000000 NC 109752.77000000 0.003084276596 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex 10 Year Euro BUND Futures RXU5 Comdty 2025-09-08 -11936822.64000000 EUR 109752.77000000 N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J6D4 4700000.00000000 PA USD 4759916.07000000 0.133763345910 Long DBT CORP US N 2 2026-08-07 Fixed 5.45000000 N N N N N N Countrywide Alternative Loan Trust N/A 02147RAJ9 1398301.01000000 PA USD 1327096.17000000 0.037294108012 Long ABS-MBS CORP US N 2 2036-08-25 Floating 6.00000000 N N N N N N Countrywide Alternative Loan Trust N/A 12667GDJ9 334807.80000000 PA USD 18689.54000000 0.000525214177 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.56600000 N N N N N N UMBS, TBA N/A 01F060683 44500000.00000000 PA USD 45177485.80000000 1.269579457188 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 3400000.00000000 OU Notional Amount USD 42477.54000000 0.001193705475 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Boeing Co. Boeing Co. Y sell protection 2027-12-20 0.00000000 USD -71381.94000000 USD 3400000.00000000 USD 113859.48000000 N N N Structured Asset Securities Corporation N/A 86364LAC6 26702.41000000 PA USD 26553.90000000 0.000746218727 Long ABS-O CORP US N 2 2037-08-25 Floating 6.23400000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 2600000.00000000 PA 3122010.95000000 0.087734872736 Long DBT NUSS RO N 2 2030-03-10 Fixed 5.25000000 N N N N N N NISSAN MOTOR ACCEPTANCE 7D6DIU2QXTUJRFNNJA49 65480CAC9 13500000.00000000 PA USD 12874398.12000000 0.361796835024 Long DBT CORP US N 2 2026-09-16 Fixed 1.85000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296LQL8 403.39000000 PA USD 412.05000000 0.000011579445 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KNH3 62351.02000000 PA USD 64072.15000000 0.001800558042 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406BZG8 2217.07000000 PA USD 2252.62000000 0.000063303214 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407HPR1 64581.97000000 PA USD 66651.75000000 0.001873050062 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.50000000 N N N N N N Venture CDO Ltd 54930010DKR017G3JK24 92331AAU8 2258329.18000000 PA USD 2258552.75000000 0.063469936929 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 5.52100000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFF7 7900000.00000000 PA USD 8124761.72000000 0.228322368799 Long DBT CORP US N 2 2029-07-20 Fixed 5.44900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CN36 4548.87000000 PA USD 4546.48000000 0.000127765357 Long ABS-MBS USGA US N 2 2030-05-20 Floating 5.00000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -1164.98000000 -0.00003273831 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 136429572.00000000 KRW 100000.00000000 USD 2025-07-14 -1164.98000000 N N N First Franklin Mtg Loan Asset Backed Certificates N/A 320275AD2 4206522.91000000 PA USD 1692034.72000000 0.047549625290 Long ABS-O CORP US N 2 2036-12-25 Floating 4.71400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LDQQ0 5550.56000000 PA USD 5679.88000000 0.000159616207 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 7500000.00000000 OU Notional Amount 12853.32000000 0.000361204496 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-01-02 0.00000000 BRL 0.00000000 BRL 7500000.00000000 BRL 12853.32000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5NL0 15183.01000000 PA USD 15664.21000000 0.000440196236 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 5.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 60528.66000000 0.001700978749 N/A DFE PL N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1541366.22000000 USD 5774871.89000000 PLN 2025-07-10 60528.66000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411ENM5 1084.85000000 PA USD 1105.12000000 0.000031056125 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.50000000 N N N N N N COREBRIDGE GLOB FUNDING 54930057MDZ7KOVOTV71 00138CAU2 2600000.00000000 PA USD 2633046.10000000 0.073993963568 Long DBT CORP US N 2 2026-07-02 Fixed 5.75000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122EF1 7800000.00000000 PA USD 7986033.43000000 0.224423821016 Long DBT CORP US N 2 2029-02-22 Fixed 4.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CLS1 197566.33000000 PA USD 194724.76000000 0.005472162753 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 3.50000000 N N N N N N IVORY COAST 254900ICW11T82O6H590 000000000 4900000.00000000 PA 5452364.85000000 0.153222568367 Long DBT NUSS CI N 2 2031-10-17 Fixed 5.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411FE42 27281.54000000 PA USD 28513.41000000 0.000801284953 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6.00000000 N N N N N N UNITED AIR 2020-1 A PTT N/A 90931GAA7 5087946.66000000 PA USD 5191734.16000000 0.145898314614 Long DBT CORP US N 2 2027-10-15 Fixed 5.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412PG70 9888.73000000 PA USD 9866.24000000 0.000277261458 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 23700000.00000000 OU Notional Amount -509280.93000000 -0.01431183243 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2027-05-13 0.00000000 EUR 0.00000000 EUR 23700000.00000000 EUR -509280.93000000 N N N Banc of America Funding Corporation N/A 06051GDM8 144660.15000000 PA USD 134771.60000000 0.003787356727 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.49000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGVH4 77728.61000000 PA USD 80033.41000000 0.002249101990 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 5.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 3789.00000000 NC USD 7347018.23000000 0.206466191095 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 10 Year U.S. Treasury Notes TYU5 Comdty 2025-09-19 417494606.77000000 USD 7347018.23000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 138312.55000000 0.003886864641 N/A DFE TW N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1601322.32000000 USD 50761388.00000000 TWD 2025-07-16 138312.55000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -2500000.00000000 NC USD -8827.63000000 -0.00024807440 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 2500000.00000000 OU Notional Amount N/A -8827.63000000 0.00000000 DIR US N/A N/A 2035-07-28 0.00000000 N/A 0.00000000 N/A 2500000.00000000 USD 1.00000000 3.56400000 USD 2025-07-24 XXXX -452.63000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3900000.00000000 OU Notional Amount -34512.18000000 -0.00096986262 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2033-06-01 19197.73000000 CAD 0.00000000 CAD 3900000.00000000 CAD -47796.29000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 -2500000.00000000 NC USD -4356.25000000 -0.00012241950 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Written Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 2500000.00000000 OU Notional Amount N/A -4356.25000000 0.00000000 DIR US N/A N/A 2035-07-28 0.00000000 N/A 0.00000000 N/A 2500000.00000000 USD 1.00000000 3.90500000 USD 2025-07-24 XXXX 3581.25000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KVV7 146237.77000000 PA USD 148171.17000000 0.004163911962 Long ABS-MBS USGA US N 2 2038-10-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412QSK6 15749.51000000 PA USD 15074.48000000 0.000423623621 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 4.00000000 N N N N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 80413TBF5 7800000.00000000 PA USD 7866577.45000000 0.221066864435 Long DBT NUSS SA N 2 2030-01-16 Fixed 4.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CUH7 89.24000000 PA USD 90.35000000 0.000002539019 Long ABS-MBS USGA US N 2 2032-03-20 Floating 5.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406AZX3 475.28000000 PA USD 479.18000000 0.000013465934 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.50000000 N N N N N N Flex Ltd 549300EAQH74YHD07T53 33938XAA3 8160000.00000000 PA USD 8211790.79000000 0.230768063098 Long DBT CORP SG N 2 2029-06-15 Fixed 4.87500000 N N N N N N JPMorgan Securities LLC ZBUT11V806EZRVTWT807 000000000 -17273500.00000000 PA USD -17273500.00000000 -0.48542056658 Short RA CORP US N 2 Reverse repurchase N 4.45000000 2025-07-08 11300000.00000000 USD 10503495.00000000 USD UST N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287YAY5 1300000.00000000 PA USD 1287570.52000000 0.036183356663 Long DBT CORP US N 2 2026-05-14 Fixed 3.20000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RW0 7175520.00000000 PA USD 5196693.84000000 0.146037691733 Long DBT UST US N 2 2047-02-15 Fixed 0.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411DS67 307.01000000 PA USD 315.87000000 0.000008876590 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -366087.48000000 -0.01028780455 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 103863420.00000000 TWD 3203288.31000000 USD 2025-08-20 -366087.48000000 N N N Banco Espirito Santo SA 635400JV7IJL16OWIT96 000000000 3100000.00000000 PA 803362.34000000 0.022576119619 Long DBT CORP PT Y 2 2018-01-15 None 0.00000000 Y N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AKPF2 7124248.80000000 PA USD 6706405.91000000 0.188463678846 Long ABS-MBS USGSE US N 2 2042-01-15 Fixed 3.50000000 N N N N N N NISSAN MOTOR CO 353800DRBDH1LUTNAY26 654744AB7 3600000.00000000 PA USD 3577299.62000000 0.100529412589 Long DBT CORP JP N 2 2025-09-17 Fixed 3.52200000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AK3 7800000.00000000 PA USD 8016850.30000000 0.225289837891 Long DBT CORP US N 2 2029-08-15 Fixed 6.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -1200000.00000000 NC -0.08000000 -0.00000000224 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 1200000.00000000 OU Notional Amount N/A -0.08000000 0.00000000 DIR US N/A N/A 2035-07-07 0.00000000 N/A 0.00000000 N/A 1200000.00000000 EUR 1.00000000 2.38000000 EUR 2025-07-03 XXXX 3171.73000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 57000000.00000000 OU Notional Amount USD 6271618.52000000 0.176245266758 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2032-06-15 6117779.04000000 USD 0.00000000 USD 57000000.00000000 USD 153839.48000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 129324000.00000000 OU Notional Amount USD 2208000.00000000 0.062049301589 N/A DCR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 iShares iBoxx $ Investment Grade Corporate Bond ETF iShares iBoxx $ Investment Grade Corporate Bond ETF Y equity-performance leg 2025-09-24 0.00000000 USD 0.00000000 USD 129324000.00000000 USD -2208000.00000000 N N N Banc of America Funding Corporation N/A 05951EAM9 41488.04000000 PA USD 36069.98000000 0.001013639976 Long ABS-MBS CORP US N 2 2047-01-20 Variable 5.07800000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3100000.00000000 OU Notional Amount USD 148231.77000000 0.004165614946 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2055-02-15 0.00000000 USD 0.00000000 USD 3100000.00000000 USD 148231.77000000 N N N Harvest CLO 635400EXPHDZLGQCVU09 000000000 7808790.75000000 PA 9175705.35000000 0.257856027427 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 2.91600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410RH93 281.14000000 PA USD 290.71000000 0.000008169543 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LXP6 33588.61000000 PA USD 33991.52000000 0.000955231012 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 5.00000000 N N N N N N Manhattan West N/A 563136AA8 12300000.00000000 PA USD 11632060.80000000 0.326884623500 Long ABS-MBS CORP US N 2 2039-09-10 Fixed 2.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31376KR32 37413.43000000 PA USD 38565.96000000 0.001083782102 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CS23 421.18000000 PA USD 421.52000000 0.000011845571 Long ABS-MBS USGA US N 2 2031-08-20 Floating 4.62500000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 50999.49000000 0.001433189644 N/A DFE TW N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 3696000.00000000 USD 109032000.00000000 TWD 2025-08-20 50999.49000000 N N N Merrill Lynch Mortgage Investors Trust N/A 59023EAE8 8223655.84000000 PA USD 1718256.41000000 0.048286508239 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.93400000 N N N N N N Countrywide Asset-Backed Certificates N/A 12668WAC1 547.09000000 PA USD 22008.67000000 0.000618488497 Long ABS-O CORP US N 2 2032-10-25 Variable 4.38800000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 11248.82000000 0.000316114775 N/A DFE TH N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 410000.00000000 USD 13680347.00000000 THB 2025-07-16 11248.82000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XNR71 2121517.64000000 PA USD 2122188.72000000 0.059637829672 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 5.50000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -59329.56000000 -0.00166728159 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 10454767.77000000 SGD 8183720.00000000 USD 2025-08-05 -59329.56000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFA8 4700000.00000000 PA USD 4782039.30000000 0.134385053777 Long DBT CORP US N 2 2029-02-01 Fixed 5.12300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CR40 2170.90000000 PA USD 2166.55000000 0.000060884472 Long ABS-MBS USGA US N 2 2031-04-20 Floating 4.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31414UZ68 2619.23000000 PA USD 2745.80000000 0.000077162578 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407DZ40 9743.21000000 PA USD 9856.69000000 0.000276993084 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31394VL73 131711.32000000 PA USD 134877.95000000 0.003790345379 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 6.78200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CFH4 947.69000000 PA USD 947.16000000 0.000026617127 Long ABS-MBS USGA US N 2 2028-02-20 Floating 5.62500000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -9796.79000000 -0.00027530977 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4756488.41000000 SGD 3740451.00000000 USD 2025-08-05 -9796.79000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -2634.28000000 -0.00007402863 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 3429000.00000000 MXN 178629.33000000 USD 2025-09-17 -2634.28000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810QB7 9600000.00000000 PA USD 9346125.02000000 0.262645167600 Long DBT UST US N 2 2039-05-15 Fixed 4.25000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -87285.34000000 -0.00245289600 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 4850203.63000000 ILS 1352765.00000000 USD 2025-07-18 -87285.34000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403JR81 113.70000000 PA USD 115.25000000 0.000003238759 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.00000000 N N N N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 315.00000000 NC 244064.37000000 0.006858706386 N/A DIR CA N 1 The Montreal Exchange / Bourse De Montreal N/A Long Montreal Exchange 10 Year Canadian Bond Futures CNU5 Comdty 2025-09-18 38097645.34000000 CAD 244064.37000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128KRVH4 1409.05000000 PA USD 1431.25000000 0.000040221042 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YPM3 17564.03000000 PA USD 17440.24000000 0.000490106300 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 4.00000000 N N N N N N Bear Stearns Alt-A Trust N/A 07386HSY8 215703.74000000 PA USD 205717.93000000 0.005781093243 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.46700000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1600000.00000000 OU Notional Amount USD 30251.84000000 0.000850138380 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2055-02-15 0.00000000 USD 0.00000000 USD 1600000.00000000 USD 30251.84000000 N N N Structured Adjustable Rate Mortgage Loan Trust N/A 863579VM7 33317.24000000 PA USD 28998.37000000 0.000814913317 Long ABS-MBS CORP US N 2 2035-08-25 Variable 4.72800000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 8547.87000000 0.000240212574 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1082384.00000000 USD 44255434.61000000 TRY 2025-07-25 8547.87000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375UYN4 3097353.22000000 PA USD 3112968.53000000 0.087480762299 Long ABS-MBS USGA US N 2 2067-01-20 Floating 5.44600000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 14600000.00000000 OU Notional Amount USD 170107.05000000 0.004780354913 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Boeing Co. Boeing Co. Y sell protection 2030-06-20 24601.49000000 USD 0.00000000 USD 14600000.00000000 USD 145505.56000000 N N N COMM Mortgage Trust N/A 12635WAA5 11600000.00000000 PA USD 11396338.80000000 0.320260354719 Long ABS-MBS CORP US N 2 2036-02-10 Fixed 3.54500000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 -2500000.00000000 NC USD -16227.55000000 -0.00045602723 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Written Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 2500000.00000000 OU Notional Amount N/A -16227.55000000 0.00000000 DIR US N/A N/A 2035-07-18 0.00000000 N/A 0.00000000 N/A 2500000.00000000 USD 1.00000000 3.69700000 USD 2025-07-16 XXXX -9008.80000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 52528.19000000 0.001476149231 N/A DFE KR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 3281436.00000000 USD 4495567320.00000000 KRW 2025-07-16 52528.19000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 4085.99000000 0.000114824649 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 351714.00000000 USD 14694083.35000000 TRY 2025-08-14 4085.99000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 -2500000.00000000 NC USD -8308.75000000 -0.00023349281 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Call Written Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 2500000.00000000 OU Notional Amount N/A -8308.75000000 0.00000000 DIR US N/A N/A 2035-07-28 0.00000000 N/A 0.00000000 N/A 2500000.00000000 USD 1.00000000 3.55500000 USD 2025-07-24 XXXX -371.25000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413TJC7 2101.84000000 PA USD 2177.68000000 0.000061197247 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4430000.00000000 OU Notional Amount USD -153281.10000000 -0.00430751141 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2035-02-18 0.00000000 USD 0.00000000 USD 4430000.00000000 USD -153281.10000000 N N N Harvest CLO 6354001WPDJHCROVSI55 000000000 9060000.00000000 PA 10629543.94000000 0.298711855840 Long ABS-CBDO CORP IE N 2 2034-10-21 Floating 3.18600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5ED8 40626.00000000 PA USD 41888.85000000 0.001177162086 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GDF7 4028.06000000 PA USD 4069.83000000 0.000114370520 Long ABS-MBS USGSE US N 2 2033-06-01 Floating 6.07800000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 129800000.00000000 OU Notional Amount -67658.53000000 -0.00190134263 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-01-04 6597.36000000 BRL 0.00000000 BRL 129800000.00000000 BRL -68825.56000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 -2500000.00000000 NC USD -21866.40000000 -0.00061449042 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Call Written Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 2500000.00000000 OU Notional Amount N/A -21866.40000000 0.00000000 DIR US N/A N/A 2035-07-11 0.00000000 N/A 0.00000000 N/A 2500000.00000000 USD 1.00000000 3.77000000 USD 2025-07-09 XXXX -13866.40000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132CWJA3 15131.36000000 PA USD 15068.97000000 0.000423468779 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 4.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -442.06000000 -0.00001242278 N/A DFE ID N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1837539.14000000 USD 29840533110.00000000 IDR 2025-07-16 -442.06000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -162700.42000000 -0.00457221350 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 11880103.00000000 AUD 7656191.78000000 USD 2025-07-02 -162700.42000000 N N N Citicorp Mortgage Securities, Inc. N/A 17312XAQ7 642473.55000000 PA USD 562946.76000000 0.015819951671 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416XMX5 22426.26000000 PA USD 21648.42000000 0.000608364738 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297HXT0 191052.70000000 PA USD 193459.93000000 0.005436618452 Long ABS-MBS USGA US N 2 2039-04-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620A9TG6 3253.03000000 PA USD 3294.07000000 0.000092570082 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 5.00000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAW1 3900000.00000000 PA USD 3484732.02000000 0.097928074306 Long DBT CORP US N 2 2030-10-15 Fixed 3.00000000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748CA8 2900000.00000000 PA USD 2932706.35000000 0.082415027529 Long DBT CORP US N 2 2030-03-15 Fixed 4.65000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NVD6 1127.32000000 PA USD 1163.05000000 0.000032684076 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.50000000 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAQ8 1900000.00000000 PA USD 1944939.79000000 0.054656773371 Long DBT CORP FR N 2 2027-10-19 Fixed 6.61200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202KZ40 230.28000000 PA USD 229.88000000 0.000006460096 Long ABS-MBS USGA US N 2 2026-05-20 Floating 4.87500000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 3929.94000000 0.000110439326 N/A DFE ID N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 678359.00000000 USD 11082629110.00000000 IDR 2025-07-16 3929.94000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410FYT6 111903.15000000 PA USD 117301.47000000 0.003296410456 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312944HJ3 129082.01000000 PA USD 124946.10000000 0.003511240145 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.00000000 N N N N N N UMBS, TBA N/A 01F022683 3000000.00000000 PA USD 2487615.03000000 0.069907054001 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296TBZ5 284.46000000 PA USD 286.91000000 0.000008062755 Long ABS-MBS USGA US N 2 2039-03-15 Fixed 5.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGW5 24916787.00000000 PA USD 24869899.84000000 0.698894889347 Long DBT UST US N 2 2028-04-15 Fixed 1.25000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 4100000.00000000 PA 4540755.89000000 0.127604498036 Long DBT NUSS RO N 2 2037-05-30 Fixed 5.62500000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 -2600000.00000000 NC USD -161.80000000 -0.00000454690 N/A DCR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Put Written Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 N/A 2600000.00000000 OU Notional Amount N/A -161.80000000 0.00000000 DCR US CDX.NA.IG.S44 2I65BYEH4 sell protection 2030-06-20 0.00000000 N/A 0.00000000 N/A 2600000.00000000 USD 1.00000000 1.00000000 USD 2025-07-16 XXXX 2503.20000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31384USH8 24069.05000000 PA USD 24124.97000000 0.000677960842 Long ABS-MBS USGSE US N 2 2028-10-01 Floating 6.67600000 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 000000000 2.34000000 PA 0.29000000 0.000000008149 Long DBT CORP DK N 2 2053-10-01 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XMRF5 86601.74000000 PA USD 86794.51000000 0.002439102684 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5.50000000 N N N N N N JP Morgan Mortgage Trust N/A 46632GAA1 3764366.80000000 PA USD 3284663.00000000 0.092305726950 Long ABS-MBS CORP US N 2 2037-12-26 Variable 4.33700000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -8816.57000000 -0.00024776359 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 12662842.93000000 THB 381101.00000000 USD 2025-07-16 -8816.57000000 N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AN7 5519000.00000000 PA USD 5556486.10000000 0.156148587770 Long DBT CORP US N 2 2027-06-15 Fixed 5.75000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 23900000.00000000 OU Notional Amount -146541.96000000 -0.00411812784 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 23900000.00000000 BRL -146541.96000000 N N N United Wholesale Mortgage LLC N/A 90355RAE2 4673077.06000000 PA USD 4167172.54000000 0.117106044253 Long ABS-MBS CORP US N 2 2051-11-25 Variable 2.50000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -419429.51000000 -0.01178682434 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 154941708.17000000 BRL 28098674.00000000 USD 2025-07-02 -419429.51000000 N N N Bear Stearns Structured Products Inc. N/A 07402FAC9 256339.43000000 PA USD 201387.77000000 0.005659406919 Long ABS-MBS CORP US N 2 2046-12-26 Variable 4.12000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 -2700000.00000000 NC USD -24.30000000 -0.00000068287 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A 2700000.00000000 OU Notional Amount N/A -24.30000000 0.00000000 DIR US N/A N/A 2035-07-14 0.00000000 N/A 0.00000000 N/A 2700000.00000000 USD 1.00000000 4.12200000 USD 2025-07-10 XXXX 8818.20000000 N N N CADILLAC FAIRVIEW PRP TR N/A 68327LAB2 1700000.00000000 PA USD 1680197.86000000 0.047216985392 Long DBT CORP CA N 2 2027-03-20 Fixed 3.87500000 N N N N N N Sales Tax Securitization Corp N/A 79467BDG7 10100000.00000000 PA USD 9017559.77000000 0.253411814208 Long DBT MUN US N 2 2033-01-01 Fixed 3.00700000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -6207.74000000 -0.00017445015 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 7195350.20000000 DKK 1132612.38000000 USD 2025-08-04 -6207.74000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -2500000.00000000 NC USD -2713.60000000 -0.00007625769 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 2500000.00000000 OU Notional Amount N/A -2713.60000000 0.00000000 DIR US N/A N/A 2035-07-25 0.00000000 N/A 0.00000000 N/A 2500000.00000000 USD 1.00000000 3.95500000 USD 2025-07-23 XXXX 5661.40000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -46842.04000000 -0.00131635682 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 78796877.58000000 THB 2379492.00000000 USD 2025-07-16 -46842.04000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YYC5 5632.83000000 PA USD 5653.12000000 0.000158864197 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 4.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2000000.00000000 OU Notional Amount -11523.55000000 -0.00032383524 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2034-06-01 1032.88000000 CAD 0.00000000 CAD 2000000.00000000 CAD -12240.71000000 N N N CREDIT OPPORTUNITIES PARTNERS 549300G9QPHCCGZE5W46 000000000 1500000.00000000 PA USD 1516500.00000000 0.042616741784 Long DBT CORP US N 3 2030-03-20 Fixed 6.74000000 N N N N N N Sequoia Mortgage Trust N/A 81743PBW5 32871.85000000 PA USD 32653.47000000 0.000917629079 Long ABS-MBS CORP US N 2 2033-07-20 Floating 5.13200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H040681 39300000.00000000 PA USD 36529471.83000000 1.026552633376 Long ABS-MBS USGA US N 2 2054-08-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31295MZJ2 3508.33000000 PA USD 3568.76000000 0.000100289431 Long ABS-MBS USGSE US N 2 2031-11-01 Floating 6.67700000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 67167000.00000000 OU Notional Amount USD -1026990.15000000 -0.02886051700 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2032-05-15 0.00000000 USD -72506.47000000 USD 67167000.00000000 USD -954483.68000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DBG3 4972.88000000 PA USD 5132.27000000 0.000144227250 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 5.50000000 N N N N N N Asset Backed Funding Certificates N/A 04542BJY9 839601.84000000 PA USD 842586.54000000 0.023678399608 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.13400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128L4R55 3718.68000000 PA USD 3818.35000000 0.000107303419 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.50000000 N N N N N N MASTR Alternative Loans Trust N/A 576434D92 1812332.47000000 PA USD 1880859.30000000 0.052855980957 Long ABS-MBS CORP US N 2 2035-02-25 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403VKB4 277.28000000 PA USD 283.35000000 0.000007962712 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 6.00000000 N N N N N N UNITED AIR 2016-2 AA PTT N/A 90932EAA1 3118114.43000000 PA USD 2943871.08000000 0.082728779204 Long DBT CORP US N 2 2028-10-07 Fixed 2.87500000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -7626.46000000 -0.00021431907 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 746243.94000000 SGD 579274.00000000 USD 2025-07-02 -7626.46000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 23.15000000 0.000000650562 N/A DFE IN N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 6848.37000000 USD 590508.44000000 INR 2025-08-20 23.15000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241L6G6 6174.18000000 PA USD 6296.81000000 0.000176953198 Long ABS-MBS USGA US N 2 2033-12-15 Fixed 5.00000000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 073852AC9 122349.85000000 PA USD 122643.77000000 0.003446539978 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.93400000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 7670000000.00000000 OU Notional Amount -845199.33000000 -0.02375182433 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2032-06-18 0.00000000 JPY -206118077.00000000 JPY 7670000000.00000000 JPY 564044.65000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 7362000.00000000 OU Notional Amount USD 40814.93000000 0.001146982744 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Call Purchased Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 1.00000000 NC USD 40814.93000000 0.00000000 DFE US 75092400.00000000 SEK 7362000.00000000 USD 2025-11-26 1.00000000 10.20000000 USD 2025-11-26 XXXX -5123.95000000 N N N Deutsche Bank Securities, Inc. 9J6MBOOO7BECTDTUZW19 000000000 -39195000.00000000 PA USD -39195000.00000000 -1.10145940933 Short RA CORP US N 2 Reverse repurchase N 4.44000000 2025-07-09 52000000.00000000 USD 40287747.00000000 USD UST N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1600000.00000000 OU Notional Amount USD 72827.68000000 0.002046606286 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2055-02-15 0.00000000 USD 0.00000000 USD 1600000.00000000 USD 72827.68000000 N N N Chile Government International Bonds 549300FLZTJM5YJF8D34 168863DY1 12500000.00000000 PA USD 10807625.00000000 0.303716296691 Long DBT NUSS CL N 2 2042-03-07 Fixed 4.34000000 N N N N N N Spirit AeroSystems Inc ZD2NBKV6GCC3UMGBM518 85205TAK6 1600000.00000000 PA USD 1572784.48000000 0.044198450423 Long DBT CORP US N 2 2028-06-15 Fixed 4.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MGQD0 33542.08000000 PA USD 33959.37000000 0.000954327532 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 5.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -18641.32000000 -0.00052385909 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 16768000.00000000 CNY 2332671.41000000 USD 2025-08-20 -18641.32000000 N N N Barclays PLC 213800LBQA1Y9L22JB70 06738EBD6 2000000.00000000 PA USD 2020908.80000000 0.056791657435 Long DBT CORP GB N 2 2029-05-16 Fixed 4.97200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132FCAZ8 5014.36000000 PA USD 5165.37000000 0.000145157427 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407YHH5 47801.21000000 PA USD 48710.96000000 0.001368877286 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 6.21300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128JMW45 2143.38000000 PA USD 2190.27000000 0.000061551052 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 7.40000000 N N N N N N KKR FINANCIAL CLO LTD 254900VCKMCY079T6M57 48255PAA3 6000000.00000000 PA USD 6005466.00000000 0.168765838324 Long ABS-CBDO CORP KY N 2 2035-04-15 Floating 5.58600000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -2449.62000000 -0.00006883931 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 3311724.19000000 NOK 326114.00000000 USD 2025-07-02 -2449.62000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RLJ3 1113401.00000000 PA USD 1117290.67000000 0.031398145718 Long ABS-MBS USGA US N 2 2065-10-20 Floating 5.04600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402YJD7 56838.26000000 PA USD 57041.82000000 0.001602991436 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9ZZ8 20931.49000000 PA USD 20819.22000000 0.000585062527 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371HNM6 525.25000000 PA USD 539.46000000 0.000015159925 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 6.00000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DA0 12000000.00000000 PA USD 11863345.92000000 0.333384206908 Long DBT CORP US N 2 2026-02-01 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407JHM7 2756.81000000 PA USD 2833.58000000 0.000079629374 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6.00000000 N N N N N N BAT INTL FINANCE PLC 21380041YBGOQDFAC823 05530QAQ3 8300000.00000000 PA USD 8710117.11000000 0.244772048659 Long DBT CORP GB N 2 2029-02-02 Fixed 5.93100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RDH9 173361.93000000 PA USD 179517.76000000 0.005044815050 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 6.00000000 N N N N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 124857AR4 300000.00000000 PA USD 292007.81000000 0.008206014795 Long DBT CORP US N 2 2027-01-15 Fixed 2.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292KZ75 3260.97000000 PA USD 3345.72000000 0.000094021553 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 5.50000000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAD3 10500000.00000000 PA USD 10490383.47000000 0.294801162917 Long DBT CORP US N 2 2025-08-01 Fixed 4.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GDV2 69914.71000000 PA USD 72155.45000000 0.002027715252 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 7.01500000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 -32200000.00000000 NC USD -404160.55000000 -0.01135773544 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A 32200000.00000000 OU Notional Amount N/A -404160.55000000 -0.01000000 DIR US N/A N/A 2035-08-14 0.00000000 N/A 0.00000000 N/A 32200000.00000000 USD 1.00000000 3.73900000 USD 2025-08-12 XXXX -171224.38000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810RF7 7156812.00000000 PA USD 6007194.47000000 0.168814411855 Long DBT UST US N 2 2044-02-15 Fixed 1.37500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QD3 57100000.00000000 PA USD 55973613.42000000 1.572972654060 Long DBT UST US N 2 2039-11-15 Fixed 4.37500000 N N N N N N Japan Government Thirty Year Bonds 353800WZS8AXZXFUC241 000000000 1270000000.00000000 PA 7917734.11000000 0.222504470878 Long DBT NUSS JP N 2 2054-12-20 Fixed 2.30000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RMG8 7152540.17000000 PA USD 7183591.49000000 0.201873566512 Long ABS-MBS USGA US N 2 2065-12-20 Floating 5.44600000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAZ6 5900000.00000000 PA USD 5979945.77000000 0.168048667832 Long DBT CORP GB N 2 2028-01-05 Fixed 5.46200000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810UE6 5100000.00000000 PA USD 4860140.63000000 0.136579860380 Long DBT UST US N 2 2054-11-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CA55 244.88000000 PA USD 244.21000000 0.000006862798 Long ABS-MBS USGA US N 2 2027-01-20 Floating 5.62500000 N N N N N N FHLMC Structured Pass Through Securities S6XOOCT0IEG5ABCC6L87 31395HHV5 240352.71000000 PA USD 220054.42000000 0.006183977840 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 5.59900000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 2.12000000 0.000000059576 N/A DFE PE N 2 Citibank NA E57ODZWZ7FF32TWEFA76 100.00000000 USD 361.80000000 PEN 2025-07-07 2.12000000 N N N U.K. Gilts ECTRVYYCEF89VWYS6K36 000000000 12954000.00000000 PA 15402165.49000000 0.432832251641 Long DBT NUSS GB Y 2 2054-07-31 Fixed 4.37500000 N N N N N N Countrywide Alternative Loan Trust N/A 12668BJZ7 1257271.09000000 PA USD 850517.87000000 0.023901286151 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAN0 4900000.00000000 PA USD 4904067.00000000 0.137814280932 Long DBT CORP US N 2 2026-08-10 Floating 5.42700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31391LV69 30889.30000000 PA USD 31454.64000000 0.000883939512 Long ABS-MBS USGSE US N 2 2032-09-01 Floating 7.11700000 N N N N N N BGC GROUP INC 2549001IGRCG4F0RLD36 088929AC8 4000000.00000000 PA USD 4278862.44000000 0.120244758152 Long DBT CORP US N 2 2028-05-25 Fixed 8.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411UWK3 11738.78000000 PA USD 12231.06000000 0.000343717722 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 6.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 13400000.00000000 OU Notional Amount USD -163542.98000000 -0.00459589116 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2033-08-15 0.00000000 USD 0.00000000 USD 13400000.00000000 USD -163542.98000000 N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 4247.45000000 0.000119362004 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 490000.00000000 USD 16051028.00000000 THB 2025-07-16 4247.45000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410RHZ5 99.77000000 PA USD 101.37000000 0.000002848703 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.00000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DJ6 3900000.00000000 PA USD 3741260.84000000 0.105137057149 Long DBT CORP US N 2 2030-04-01 Fixed 3.75000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1835280.00000000 OU Notional Amount USD 4547.11000000 0.000127783061 N/A DCR GB N 3 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Petroleos Mexicanos Petroleos Mexicanos Y sell protection 2026-07-06 0.00000000 USD 0.00000000 USD 1835280.00000000 USD 4547.11000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -182986.60000000 -0.00514229652 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 49359861.00000000 TWD 1513317.00000000 USD 2025-08-20 -182986.60000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371MAF4 31097.17000000 PA USD 32055.13000000 0.000900814505 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CKZ8 1528.98000000 PA USD 1534.20000000 0.000043114147 Long ABS-MBS USGA US N 2 2029-08-20 Floating 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GDL4 14152.98000000 PA USD 14635.40000000 0.000411284578 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.42900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415VQA6 243354.07000000 PA USD 255122.85000000 0.007169472220 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NG2 8100000.00000000 PA USD 7920464.23000000 0.222581192816 Long DBT CORP US N 2 2028-02-24 Fixed 3.07000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P7PY3 3358.74000000 PA USD 3339.70000000 0.000093852378 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 4.00000000 N N N N N N Gemgarto 635400KLHB2FIID9TE45 000000000 1153338.04000000 PA 1584135.96000000 0.044517450154 Long ABS-MBS CORP GB N 2 2067-12-16 Floating 5.12400000 N N N N N N CHOICE HOTELS INTL INC 5493003CYRY5RFGTIR97 169905AF3 2500000.00000000 PA USD 2359671.58000000 0.066311582210 Long DBT CORP US N 2 2029-12-01 Fixed 3.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404NBP0 4498.50000000 PA USD 4648.38000000 0.000130628954 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.56900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312928T46 90819.37000000 PA USD 92957.50000000 0.002612295268 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.50000000 N N N N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 80413TBC2 6000000.00000000 PA USD 6043180.56000000 0.169825694351 Long DBT NUSS SA N 2 2028-01-18 Fixed 4.75000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4600000.00000000 OU Notional Amount USD 122520.54000000 0.003443076964 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2054-12-17 0.00000000 USD 0.00000000 USD 4600000.00000000 USD 122520.54000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 13400000.00000000 OU Notional Amount -7043.66000000 -0.00019794120 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 13400000.00000000 BRL -7043.66000000 N N N Morgan Stanley Capital I Trust N/A 61691UBE8 800000.00000000 PA USD 746826.64000000 0.020987351186 Long ABS-MBS CORP US N 2 2052-11-15 Fixed 3.12700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128KLJU2 5579.47000000 PA USD 5746.53000000 0.000161489208 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128JM7E1 8504.40000000 PA USD 8745.67000000 0.000245771157 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.54000000 N N N N N N Morgan Stanley Capital Inc N/A 61749KAA1 2277410.24000000 PA USD 2065748.19000000 0.058051735710 Long ABS-O CORP US N 2 2036-07-25 Floating 4.68400000 N N N N N N PRP Advisors, LLC N/A 74390KAK4 4243697.07000000 PA USD 4264227.65000000 0.119833490716 Long ABS-MBS CORP US N 2 2068-08-25 Variable 6.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291KBJ5 380.12000000 PA USD 378.88000000 0.000010647300 Long ABS-MBS USGA US N 2 2034-07-15 Fixed 5.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SF6 16500000.00000000 PA USD 12157148.52000000 0.341640658962 Long DBT UST US N 2 2049-02-15 Fixed 3.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 36000000.00000000 OU Notional Amount -1392094.54000000 -0.03912069472 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2035-09-17 0.00000000 EUR -1575874.93000000 EUR 36000000.00000000 EUR 313782.93000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31392CRC0 2925.02000000 PA USD 2934.16000000 0.000082455878 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 5.32000000 N N N N N N UMBS, TBA N/A 01F042681 92700000.00000000 PA USD 88631302.45000000 2.490720297107 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 4.50000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 22104.04000000 0.000621168588 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1720231.82000000 USD 33303000.00000000 MXN 2025-12-17 22104.04000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402DJS0 1037.38000000 PA USD 1065.50000000 0.000029942722 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 5.50000000 N N N N N N CK HUTCHISON INTL 23 2549003AJI1YI8883K46 12570FAA9 2700000.00000000 PA USD 2719874.54000000 0.076434019754 Long DBT CORP KY N 2 2028-04-21 Fixed 4.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31283H6F7 7457.15000000 PA USD 7677.70000000 0.000215759023 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31288H7A2 371.43000000 PA USD 375.65000000 0.000010556530 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 5.50000000 N N N N N N Credit Suisse Mortgage Trust N/A 12648WAW2 6651129.10000000 PA USD 5917536.16000000 0.166294830552 Long ABS-MBS CORP US N 2 2036-10-27 Variable 3.49400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UUM2 43890.58000000 PA USD 43800.71000000 0.001230889250 Long ABS-MBS USGA US N 2 2049-06-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385JRN0 880.82000000 PA USD 916.80000000 0.000025763949 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382YN90 6986376.04000000 PA USD 6980339.11000000 0.196161760251 Long ABS-MBS USGA US N 2 2073-01-20 Floating 5.20200000 N Y N N N N United States Treasury 254900HROIFWPRGM1V77 912810TY4 12855345.00000000 PA USD 11756257.35000000 0.330374799763 Long DBT UST US N 2 2054-02-15 Fixed 2.12500000 N N N N N N UMBS, TBA N/A 01F050676 -33400000.00000000 PA USD -32728665.34000000 -0.91974222206 Short ABS-MBS USGSE US N 2 2054-07-01 Fixed 5.00000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -32648.93000000 -0.00091750149 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 11880103.00000000 AUD 7791161.63000000 USD 2025-08-05 -32648.93000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M75R3 81210.20000000 PA USD 83618.76000000 0.002349857634 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128KDK95 10731.19000000 PA USD 10915.96000000 0.000306760731 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 5.50000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBV1 1500000.00000000 PA USD 1479129.39000000 0.041566551453 Long DBT CORP US N 2 2033-03-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DKG6 30946.16000000 PA USD 30709.28000000 0.000862993376 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622AADC5 1403784.10000000 PA USD 1381263.80000000 0.038816328850 Long ABS-MBS USGA US N 2 2048-04-15 Fixed 5.00000000 N N N N N N AIB GROUP PLC 635400AKJBGNS5WNQL34 00135TAD6 6700000.00000000 PA USD 7088283.43000000 0.199195215716 Long DBT CORP IE N 2 2029-09-13 Fixed 6.60800000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 14845.80000000 0.000417197247 N/A DFE TW N 2 Citibank NA E57ODZWZ7FF32TWEFA76 866962.00000000 USD 25730565.00000000 TWD 2025-07-16 14845.80000000 N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAJ6 7500000.00000000 PA USD 7689433.43000000 0.216088756319 Long DBT CORP GB N 2 2027-10-18 Fixed 6.55700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EQ86 48168704.02000000 PA USD 47362384.48000000 1.330979564587 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5.00000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACA3 13500000.00000000 PA USD 12455845.47000000 0.350034652229 Long DBT CORP US N 2 2028-09-15 Fixed 2.10000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFK6 3400000.00000000 PA USD 3471226.12000000 0.097548530981 Long DBT CORP US N 2 2030-01-16 Fixed 5.17300000 N N N N N N Small Business Administration Participation Certs N/A 83162CSE4 230849.16000000 PA USD 236801.74000000 0.006654611676 Long ABS-O USGA US N 2 2028-12-01 Fixed 6.22000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7B88 12224.08000000 PA USD 12546.71000000 0.000352588130 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 5.50000000 N N N N N N CAIXABANK SA 7CUNS533WID6K7DGFI87 12803RAB0 6300000.00000000 PA USD 6451942.83000000 0.181312747508 Long DBT CORP ES N 2 2027-09-13 Fixed 6.68400000 N N N N N N Toro European CLO 635400B4VLIGNRNR9O61 000000000 14793999.52000000 PA 17372822.84000000 0.488211740880 Long ABS-CBDO CORP IE N 2 2034-02-15 Floating 2.95300000 N N N N N N Qatar Government International Bonds 52990074F6OJOAXK4P65 000000000 1500000.00000000 PA USD 1413523.01000000 0.039722878420 Long DBT NUSS QA Y 2 2048-04-23 Fixed 5.10300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128NHK36 34847.85000000 PA USD 35588.29000000 0.001000103505 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 7.04400000 N N N N N N BRITISH COLUMBIA PROV OF 54930058TO7MEKUHWL16 110709AK8 2500000.00000000 PA 1893445.93000000 0.053209690921 Long DBT NUSS CA N 2 2034-06-18 Fixed 4.15000000 N N N N N N CPPIB CAPITAL INC 549300KW9NB55HTDK075 12593CAY7 5400000.00000000 PA 4137230.77000000 0.116264619472 Long DBT NUSS CA Y 2 2034-06-02 Fixed 4.30000000 N N N N N N PINNACLE WEST CAPITAL TWSEY0NEDUDCKS27AH81 723484AM3 3000000.00000000 PA USD 3041997.12000000 0.085486320984 Long DBT CORP US N 2 2028-05-15 Fixed 4.90000000 N N N N N N Ford Credit Auto Lease Trust N/A 345290AE0 1400000.00000000 PA USD 1409579.64000000 0.039612061683 Long ABS-O CORP US N 2 2027-06-15 Fixed 5.05000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -5583.56000000 -0.00015690941 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 139000.00000000 CHF 169600.76000000 USD 2025-07-02 -5583.56000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406ABY7 27971.67000000 PA USD 28844.84000000 0.000810598811 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -278898.30000000 -0.00783761083 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 20766505.87000000 PEN 5576922.07000000 USD 2025-08-14 -278898.30000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -1546.52000000 -0.00004346036 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 92685240.00000000 JPY 644458.00000000 USD 2025-08-04 -1546.52000000 N N N Bear Stearns Alt-A Trust N/A 073868AV3 1383599.46000000 PA USD 794775.37000000 0.022334808255 Long ABS-MBS CORP US N 2 2036-11-25 Variable 4.60800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410UK68 12821.03000000 PA USD 12955.62000000 0.000364079335 Long ABS-MBS USGSE US N 2 2036-08-01 Floating 6.35500000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -11901.80000000 -0.00033446484 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 33224448.59000000 CNY 4647036.00000000 USD 2025-08-20 -11901.80000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 313920ZH6 5608.00000000 PA USD 5604.95000000 0.000157510522 Long ABS-MBS USGSE US N 2 2031-09-18 Floating 4.81600000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 92922FH84 3076081.51000000 PA USD 3063282.86000000 0.086084493675 Long ABS-MBS CORP US N 2 2045-02-25 Floating 4.93400000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -191.13000000 -0.00000537114 N/A DFE NO N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 49095.50000000 USD 492926.68000000 NOK 2025-07-02 -191.13000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810RH3 116300000.00000000 PA USD 91699823.93000000 2.576952006685 Long DBT UST US N 2 2044-08-15 Fixed 3.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBRJ9 208991.33000000 PA USD 205048.62000000 0.005762284267 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410QD40 3247.14000000 PA USD 3364.36000000 0.000094545375 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.00000000 N N N N N N Structured Asset Mortgage Investments Inc N/A 86359LPF0 81188.65000000 PA USD 79507.00000000 0.002234308795 Long ABS-MBS CORP US N 2 2035-07-19 Floating 4.93200000 N N N N N N MMAF Equipment Finance LLC N/A 55318CAB0 4290482.35000000 PA USD 4302185.50000000 0.120900183688 Long ABS-O CORP US N 2 2027-09-13 Fixed 5.20000000 N N N N N N KOREA DEVELOPMENT BANK 549300ML2LNRZUCS7149 500630DY1 1700000.00000000 PA USD 1704957.83000000 0.047912791028 Long DBT NUSS KR N 2 2026-10-23 Floating 5.05100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5ZZ6 2105.48000000 PA USD 2170.93000000 0.000061007559 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.50000000 N N N N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 45262BAC7 12800000.00000000 PA USD 12401598.98000000 0.348510215265 Long DBT CORP GB N 2 2029-07-26 Fixed 3.87500000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613BH0 9900000.00000000 PA USD 10283080.80000000 0.288975535249 Long DBT CORP CH N 2 2035-02-08 Fixed 5.69900000 N N N N N N INTL FLAVOR & FRAGRANCES BZLRL03D3GPGMOGFO832 459506AQ4 3437000.00000000 PA USD 3037445.24000000 0.085358403876 Long DBT CORP US N 2 2030-11-01 Fixed 2.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402YGE8 4380.08000000 PA USD 4431.98000000 0.000124547673 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.00000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -3395.54000000 -0.00009542159 N/A DFE TW N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 633765.29000000 USD 18393770.00000000 TWD 2025-07-16 -3395.54000000 N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAH6 3000000.00000000 PA USD 2980171.29000000 0.083748889113 Long DBT CORP GB N 2 2025-09-02 Fixed 1.20000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -117464.23000000 -0.00330098434 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 38811493.00000000 TWD 1216333.59000000 USD 2025-08-20 -117464.23000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382Y3J0 7677158.64000000 PA USD 7713780.22000000 0.216772950755 Long ABS-MBS USGA US N 2 2073-03-20 Floating 5.18200000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 21100000.00000000 OU Notional Amount USD 340554.00000000 0.009570261709 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 AT&T, Inc. AT&T, Inc. Y sell protection 2028-06-20 0.00000000 USD -73354.44000000 USD 21100000.00000000 USD 413908.44000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 19672000.00000000 OU Notional Amount 59808.59000000 0.001680743314 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Put Purchased Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 1.00000000 NC USD 59808.59000000 0.00000000 DFE XX 21835920.00000000 USD 19672000.00000000 EUR 2025-11-24 1.00000000 1.11000000 EUR 2025-11-24 XXXX -32473.69000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 65910.62000000 0.001852222798 N/A DFE PL N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 3036143.00000000 USD 11185153.85000000 PLN 2025-07-18 65910.62000000 N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NBW4 2700000.00000000 PA USD 2748004.52000000 0.077224529543 Long DBT CORP CA N 2 2026-11-15 Fixed 5.90000000 N N N N N N Countrywide Asset-Backed Certificates N/A 23243LAA0 1348958.93000000 PA USD 1272167.82000000 0.035750509391 Long ABS-O CORP US N 2 2037-02-25 Floating 4.71400000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -83309.01000000 -0.00234115302 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 67949533.53000000 ZAR 3748795.00000000 USD 2025-07-23 -83309.01000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A8WX0 1652.46000000 PA USD 1644.38000000 0.000046210430 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4.00000000 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DU6 200000.00000000 PA USD 219669.41000000 0.006173158274 Long DBT CORP US N 2 2064-05-01 Fixed 7.00800000 N N N N N N Home Equity Loan Trust N/A 43710XAD0 3733234.96000000 PA USD 3597334.38000000 0.101092430191 Long ABS-O CORP US N 2 2037-04-25 Floating 4.66400000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 8053.29000000 0.000226313867 N/A DFE TW N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 453065.83000000 USD 13455149.00000000 TWD 2025-07-16 8053.29000000 N N N THAMES WATER SUPER SEN 635400LBEYCV7F4FC741 000000000 7840.00000000 PA 11794.68000000 0.000331454554 Long DBT CORP GB N 2 2027-10-10 Fixed 9.75000000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAQ4 3200000.00000000 PA USD 3258741.54000000 0.091577281077 Long DBT CORP US N 2 2029-07-15 Fixed 5.37500000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 22600000.00000000 OU Notional Amount 603548.71000000 0.016960949244 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 AUD -358361.64000000 AUD 22600000.00000000 AUD 831599.10000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390STH4 61225.31000000 PA USD 61685.35000000 0.001733484096 Long ABS-MBS USGSE US N 2 2042-07-01 Floating 5.69700000 N N N N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J6B8 3100000.00000000 PA USD 3100000.00000000 0.087116320166 Long DBT CORP US N 2 2025-08-01 Fixed 5.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XDR85 100845.47000000 PA USD 99283.78000000 0.002790076634 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 3.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -586367.84000000 -0.01647813176 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 53569117.96000000 CAD 38752070.17000000 USD 2025-07-02 -586367.84000000 N N N Thames SSNM N/A 000000000 15085.00000000 PA 19360.51000000 0.000544069802 Long ABS-MBS CORP GB N 3 2027-10-10 Fixed 9.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31414AWK4 1996.06000000 PA USD 2049.53000000 0.000057595971 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.50000000 N N N N N N CREDIT AGRICOLE SA 969500TJ5KRTCJQWXH05 22535WAM9 2600000.00000000 PA USD 2614986.87000000 0.073486462386 Long DBT CORP FR N 2 2028-09-11 Floating 5.60600000 N N N N N N Credit Suisse First Boston Mortgage Securities N/A 22540VK43 17419.26000000 PA USD 16713.80000000 0.000469691855 Long ABS-MBS CORP US N 2 2032-03-25 Variable 5.06300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407JEZ1 4334.18000000 PA USD 4529.87000000 0.000127298582 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418SSR1 9317.17000000 PA USD 9433.09000000 0.000265089060 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5.00000000 N N N N N N CONSUMERS 23 SECURE FUND N/A 21071BAB1 7700000.00000000 PA USD 7903530.17000000 0.222105311205 Long DBT CORP US N 2 2030-09-01 Fixed 5.21000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31349UEJ3 11134.69000000 PA USD 11495.59000000 0.000323049515 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 6.40200000 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DQ5 300000.00000000 PA USD 317145.46000000 0.008912434010 Long DBT CORP US N 2 2029-05-01 Fixed 6.29800000 N N N N N N Empire State Development Corp 54930039Y2EMGXN6LM88 650036AU0 8100000.00000000 PA USD 7937357.67000000 0.223055932921 Long DBT MUN US N 2 2026-03-15 Fixed 1.34600000 N N N N N N DSLA Mortgage Loan Trust N/A 23332UBF0 123482.79000000 PA USD 116693.62000000 0.003279328632 Long ABS-MBS CORP US N 2 2044-07-19 Variable 5.27400000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 414000000.00000000 NC USD 259300.62000000 0.007286876074 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Purchased Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 414000000.00000000 OU Notional Amount N/A 259300.62000000 0.01000000 DIR US N/A N/A 2026-08-06 0.00000000 N/A 0.00000000 N/A 414000000.00000000 USD 1.00000000 3.65000000 USD 2025-08-04 XXXX -247849.38000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5NM8 15967.26000000 PA USD 16440.83000000 0.000462020841 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YMK0 11508.53000000 PA USD 11448.74000000 0.000321732935 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ET67 926536.92000000 PA USD 927784.72000000 0.026072642165 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 32601.41000000 0.000916166087 N/A DFE AU N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 7786290.79000000 USD 11880103.00000000 AUD 2025-07-02 32601.41000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 6605.71000000 0.000185633918 N/A DFE ID N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2604820.00000000 USD 42418191290.00000000 IDR 2025-07-16 6605.71000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 21100000.00000000 OU Notional Amount 533805.38000000 0.015001019480 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2034-09-18 135573.74000000 AUD 0.00000000 AUD 21100000.00000000 AUD 444789.71000000 N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RBQ4 5000000.00000000 PA USD 5045050.45000000 0.141776203309 Long DBT CORP FR N 2 2027-01-12 Fixed 6.44700000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 41800000.00000000 OU Notional Amount 269763.39000000 0.007580901242 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2027-06-15 0.00000000 NZD -364628.02000000 NZD 41800000.00000000 NZD 522235.23000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -8206.17000000 -0.00023061010 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 769807.27000000 SGD 597226.21000000 USD 2025-07-02 -8206.17000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385XAS6 3550.67000000 PA USD 3689.11000000 0.000103671512 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 6.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 3963.87000000 0.000111392828 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 235138.00000000 USD 9591749.30000000 TRY 2025-07-11 3963.87000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M8Y24 21868.64000000 PA USD 22383.15000000 0.000629012148 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412RBR7 119789.79000000 PA USD 122756.56000000 0.003449709607 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912834LB2 21300000.00000000 PA USD 9386567.50000000 0.263781683741 Long DBT UST US N 2 2042-02-15 None 0.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2900000.00000000 OU Notional Amount 41924.23000000 0.001178156336 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2027-12-21 1635.61000000 NZD 0.00000000 NZD 2900000.00000000 NZD 40942.48000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617LC4N5 1660617.42000000 PA USD 1472508.77000000 0.041380498534 Long ABS-MBS USGA US N 2 2049-11-15 Fixed 3.00000000 N N N N N N Venture CDO Ltd 549300JZGSLL2771YV05 92331LBC3 3192146.65000000 PA USD 3192251.99000000 0.089708789165 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 5.58100000 N N N N N N REPUBLIC SERVICES INC NKNQHM6BLECKVOQP7O46 760759BB5 3800000.00000000 PA USD 3880850.55000000 0.109059812591 Long DBT CORP US N 2 2029-04-01 Fixed 4.87500000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MDM9 5900000.00000000 PA USD 6077116.58000000 0.170779365701 Long DBT CORP JP N 2 2029-07-09 Fixed 5.31600000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 27000000.00000000 OU Notional Amount -749426.10000000 -0.02106040131 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2027-04-12 0.00000000 EUR 0.00000000 EUR 27000000.00000000 EUR -749426.10000000 N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397C35 3190000.00000000 PA USD 3312980.62000000 0.093101509805 Long DBT CORP US N 2 2027-11-04 Fixed 7.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417VY64 3619.73000000 PA USD 3611.13000000 0.000101480115 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 4.50000000 N N N N N N PRKCM Trust N/A 69377TAA4 5435306.48000000 PA USD 5416307.91000000 0.152209294841 Long ABS-MBS CORP US N 2 2057-08-25 Variable 5.33500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31401V5J6 2778.12000000 PA USD 2840.58000000 0.000079826089 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.50000000 N N N N N N Citizens Auto Receivables Trust N/A 17331KAD1 4310182.22000000 PA USD 4337773.85000000 0.121900288879 Long ABS-O CORP US N 2 2028-01-18 Fixed 5.84000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5B33 18577.85000000 PA USD 19162.86000000 0.000538515434 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 12620.31000000 0.000354656440 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 381476067.00000000 JPY 2661667.68000000 USD 2025-07-02 12620.31000000 N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAX3 2000000.00000000 PA USD 2055122.62000000 0.057753135530 Long DBT CORP FR N 2 2029-05-30 Fixed 5.28100000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -50.00000000 NC USD -26562.50000000 -0.00074646040 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 50.00000000 NC N/A -26562.50000000 0.00000000 DIR US Short CBOT 10 Year US Treasury Note TYU5 Comdty 2025-09-19 50.00000000 USD 1000.00000000 112.50000000 USD 2025-07-25 XXXX -5532.50000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RHT9 39449.13000000 PA USD 39496.07000000 0.001109920090 Long ABS-MBS USGSE US N 2 2042-08-01 Floating 5.69700000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 -6000000.00000000 NC USD -81166.20000000 -0.00228093569 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A 6000000.00000000 OU Notional Amount N/A -81166.20000000 0.00000000 DIR US N/A N/A 2035-08-15 0.00000000 N/A 0.00000000 N/A 6000000.00000000 USD 1.00000000 3.75650000 USD 2025-08-13 XXXX -30102.37000000 N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XFE1 5740000.00000000 PA USD 5783516.95000000 0.162528617518 Long DBT CORP US N 2 2028-04-04 Fixed 5.05000000 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAY5 500000.00000000 PA USD 466749.55000000 0.013116613946 Long DBT CORP JP N 2 2028-07-14 Fixed 2.17200000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 -2500000.00000000 NC USD -11906.23000000 -0.00033458933 N/A DIR KY N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Written Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 2500000.00000000 OU Notional Amount N/A -11906.23000000 0.00000000 DIR KY N/A N/A 2035-07-16 0.00000000 N/A 0.00000000 N/A 2500000.00000000 USD 1.00000000 3.66400000 USD 2025-07-14 XXXX -4468.73000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406BQQ6 11148.87000000 PA USD 11497.36000000 0.000323099256 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 6.52300000 N N N N N N JDE PEET'S NV 724500EHG519SE5ZRT89 000000000 2200000.00000000 PA 2711202.50000000 0.076190317750 Long DBT CORP NL Y 2 2034-01-23 Fixed 4.50000000 N N N N N N COLUMBIA PIPELINES OPCO N/A 19828TAA4 3000000.00000000 PA USD 3166889.85000000 0.088996061324 Long DBT CORP US N 2 2030-08-15 Fixed 5.92700000 N N N N N N GREENSAIF PIPELINES BIDC 549300YWDGUXPB8GRP47 39541EAD5 6700000.00000000 PA USD 6766979.90000000 0.190165931461 Long DBT CORP LU N 2 2036-02-23 Fixed 5.85300000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 24979.65000000 0.000701979092 N/A DFE CN N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 1693352.07000000 USD 12254000.00000000 CNY 2025-08-20 24979.65000000 N N N BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 06368D8Z0 8950000.00000000 PA USD 9129331.24000000 0.256552820391 Long DBT CORP CA N 2 2028-06-28 Fixed 4.68900000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 500000.00000000 OU Notional Amount USD 7414.00000000 0.000208348515 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Verizon Communications, Inc. Verizon Communications, Inc. Y sell protection 2027-12-20 0.00000000 USD -4261.95000000 USD 500000.00000000 USD 11675.95000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6NA2 4117.88000000 PA USD 4245.88000000 0.000119317884 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SP4 34100000.00000000 PA USD 16812898.61000000 0.472476728464 Long DBT UST US N 2 2050-08-15 Fixed 1.37500000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397B51 2685000.00000000 PA USD 2517457.53000000 0.070745689093 Long DBT CORP US N 2 2028-02-16 Fixed 2.90000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -1389.67000000 -0.00003905256 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 3845000.00000000 SEK 405019.87000000 USD 2025-07-02 -1389.67000000 N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAR6 7500000.00000000 PA USD 7943256.75000000 0.223221709096 Long DBT CORP FR N 2 2029-10-19 Fixed 6.71400000 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAS8 9600000.00000000 PA USD 8709247.78000000 0.244747618714 Long DBT CORP JP N 2 2030-07-16 Fixed 2.67900000 N N N N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U8E3 6700000.00000000 PA USD 6780257.02000000 0.190539045602 Long DBT CORP US N 2 2028-07-14 Fixed 4.96800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6RH3 17597.74000000 PA USD 18069.38000000 0.000507786417 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.50000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 639057AN8 7800000.00000000 PA USD 8099886.60000000 0.227623327212 Long DBT CORP GB N 2 2035-03-01 Fixed 5.77800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297D6G8 9215.96000000 PA USD 9290.41000000 0.000261079461 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 5.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 4098.83000000 0.000115185479 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 225898.00000000 USD 9248715.92000000 TRY 2025-07-14 4098.83000000 N N N ABU DHABI NATIONAL ENERG 213800UNJSVQFNUYYW03 00388WAQ4 7000000.00000000 PA USD 6888952.00000000 0.193593596143 Long DBT CORP AE N 2 2031-10-09 Fixed 4.37500000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 3925.58000000 0.000110316801 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 235851.00000000 USD 9611093.35000000 TRY 2025-07-10 3925.58000000 N N N UMBS, TBA N/A 01F040685 147100000.00000000 PA USD 136745576.57000000 3.842829493504 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 4.00000000 N N N N N N CREDIT AGRICOLE SA 969500TJ5KRTCJQWXH05 22535WAH0 4000000.00000000 PA USD 3923710.56000000 0.110264266253 Long DBT CORP FR N 2 2027-01-26 Fixed 1.24700000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CT4 1400000.00000000 PA USD 1243814.87000000 0.034953733691 Long DBT CORP GB N 2 2032-05-24 Fixed 2.80400000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 5349.81000000 0.000150340567 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 360000.00000000 USD 11864988.00000000 THB 2025-07-16 5349.81000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -2729.89000000 -0.00007671547 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 12584978.82000000 TRY 306517.84000000 USD 2025-07-29 -2729.89000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -2.00000000 NC 1258.15000000 0.000035356580 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex 5 Year Euro BOBL Futures OEU5 Comdty 2025-09-08 -236428.08000000 EUR 1258.15000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410G4B6 115924.25000000 PA USD 121528.75000000 0.003415205643 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A7VK4 3363.91000000 PA USD 3342.31000000 0.000093925725 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 17167.42000000 0.000482439502 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 980377.00000000 USD 39719974.16000000 TRY 2025-07-01 17167.42000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CKU7 115633.90000000 PA USD 113981.65000000 0.003203116746 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 3.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 8552.58000000 0.000240344934 N/A DFE IN N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1817840.00000000 USD 156952305.60000000 INR 2025-08-20 8552.58000000 N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 74814ZFT5 16400000.00000000 PA 12671386.08000000 0.356091782807 Long DBT NUSS CA N 2 2034-09-01 Fixed 4.45000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 780082AQ6 1300000.00000000 PA USD 1314228.79000000 0.036932508400 Long DBT CORP CA N 2 2026-12-14 Fixed 4.85100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5VU1 424.35000000 PA USD 437.54000000 0.000012295766 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EK2C8 1.93000000 PA USD 1.92000000 0.000000053955 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 4.50000000 N N N N N N Banco Espirito Santo SA 635400JV7IJL16OWIT96 000000000 1700000.00000000 PA 440553.54000000 0.012380452658 Long DBT CORP PT Y 2 2017-05-08 None 0.00000000 Y N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 -2600000.00000000 NC USD -2561.00000000 -0.00007196932 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A 2600000.00000000 OU Notional Amount N/A -2561.00000000 0.00000000 DIR US N/A N/A 2035-07-02 0.00000000 N/A 0.00000000 N/A 2600000.00000000 USD 1.00000000 3.70000000 USD 2025-06-30 XXXX 6539.00000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -2500000.00000000 NC USD -4060.05000000 -0.00011409568 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 2500000.00000000 OU Notional Amount N/A -4060.05000000 0.00000000 DIR US N/A N/A 2035-07-28 0.00000000 N/A 0.00000000 N/A 2500000.00000000 USD 1.00000000 3.91400000 USD 2025-07-24 XXXX 3564.95000000 N N N 1211 Avenue of the Americas Trust N/A 90117PAA3 12100000.00000000 PA USD 11566964.75000000 0.325055291780 Long ABS-MBS CORP US N 2 2035-08-10 Fixed 3.90100000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1700000.00000000 OU Notional Amount USD -1245.47000000 -0.00003500024 N/A DCR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Colombia Government International Bonds Colombia Government International Bonds Y sell protection 2026-12-20 0.00000000 USD -25173.80000000 USD 1700000.00000000 USD 23928.33000000 N N N GS Mortgage Securities Trust N/A 36257CAA5 7552012.98000000 PA USD 6577865.23000000 0.184851423674 Long ABS-MBS CORP US N 2 2034-05-10 Fixed 2.85600000 N N N N N N Liberty Street Trust N/A 902055AA0 11600000.00000000 PA USD 11066812.96000000 0.311000006790 Long ABS-MBS CORP US N 2 2036-02-10 Fixed 3.59700000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -3075.35000000 -0.00008642360 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 4425233.96000000 ILS 1310721.00000000 USD 2025-07-09 -3075.35000000 N N N Park Place Securities Inc N/A 70069FKG1 3015331.94000000 PA USD 2955628.37000000 0.083059183024 Long ABS-O CORP US N 2 2035-09-25 Floating 5.16900000 N N N N N N CROWN CASTLE INC 54930012H97VSM0I2R19 22822VAZ4 12500000.00000000 PA USD 12160575.75000000 0.341736971112 Long DBT US N 2 2027-03-15 Fixed 2.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406XDV1 11.88000000 PA USD 12.04000000 0.000000338348 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CEE2 1254.44000000 PA USD 1252.92000000 0.000035209606 Long ABS-MBS USGA US N 2 2027-11-20 Floating 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSYM7 357055.24000000 PA USD 357536.10000000 0.010047493341 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5.50000000 N N N N N N JPMorgan Securities LLC ZBUT11V806EZRVTWT807 000000000 -31903875.00000000 PA USD -31903875.00000000 -0.89656393195 Short RA CORP US N 2 Reverse repurchase N 4.44000000 2025-07-07 50200000.00000000 USD 40187695.00000000 USD UST N N N Adjustable Rate Mortgage Trust N/A 007036QH2 106631.81000000 PA USD 74809.82000000 0.002102308461 Long ABS-MBS CORP US N 2 2035-11-25 Variable 5.10700000 N N N N N N ReadyCap Commercial Mortgage Trust N/A 75575RAA5 461631.57000000 PA USD 461692.51000000 0.012974500812 Long ABS-CBDO CORP US N 2 2039-10-25 Floating 6.69300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31376KTH9 1768.48000000 PA USD 1848.18000000 0.000051937626 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SG4 2804362.00000000 PA USD 2033615.97000000 0.057148754818 Long DBT UST US N 2 2049-02-15 Fixed 1.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CMM5 1588.71000000 PA USD 1593.40000000 0.000044777788 Long ABS-MBS USGA US N 2 2030-01-20 Floating 5.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CPA8 1528.20000000 PA USD 1525.74000000 0.000042876404 Long ABS-MBS USGA US N 2 2030-06-20 Floating 4.87500000 N N N N N N ING Groep NV 549300NYKK9MWM7GGW15 45685NAA4 6800000.00000000 PA USD 6801795.13000000 0.191144310404 Long DBT CORP NL N 2 2026-01-06 Fixed 4.62500000 N N N N N N Citigroup Mortgage Loan Trust Inc 549300R1KUK063S4I339 17307GXQ6 30410.03000000 PA USD 29694.61000000 0.000834479081 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.18000000 N N N N N N Bear Stearns Alt-A Trust N/A 07386HVS7 326838.69000000 PA USD 186921.86000000 0.005252885355 Long ABS-MBS CORP US N 2 2035-09-25 Variable 4.90500000 N N N N N N DBGS Mortgage Trust N/A 23307EAA9 12550000.00000000 PA USD 11828856.92000000 0.332414995693 Long ABS-MBS CORP US N 2 2037-04-10 Fixed 3.84300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DPM8 3308881.42000000 PA USD 3166427.23000000 0.088983060759 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402DP79 76884.66000000 PA USD 78968.41000000 0.002219173318 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.50000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280ER6 7400000.00000000 PA USD 7498804.87000000 0.210731705136 Long DBT CORP GB N 2 2031-03-03 Fixed 5.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417KN94 38502.34000000 PA USD 37507.75000000 0.001054044244 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410F2H7 248.44000000 PA USD 256.40000000 0.000007205362 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 15227.63000000 0.000427927448 N/A DFE ID N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 3450120.52000000 USD 56288716284.00000000 IDR 2025-07-16 15227.63000000 N N N IndyMac INDX Mortgage Loan Trust N/A 45661EAV6 2691517.93000000 PA USD 2436627.68000000 0.068474205515 Long ABS-MBS CORP US N 2 2046-05-25 Floating 4.85400000 N N N N N N ESSENT GROUP LTD 254900QUO860OUT6ZF83 29669JAA7 2900000.00000000 PA USD 3003474.58000000 0.084403759072 Long DBT CORP BM N 2 2029-07-01 Fixed 6.25000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 37510.43000000 0.001054119557 N/A DFE SG N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 5358935.00000000 USD 6861580.37000000 SGD 2025-07-02 37510.43000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -19.00000000 NC -2461.92000000 -0.00006918497 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Call Written Eurex Deutschland 529900LN3S50JPU47S06 Eurex Deutschland 529900LN3S50JPU47S06 N/A 19.00000000 NC N/A -2461.92000000 0.00000000 DCO US Short Eurex 5 Year Euro BOBL OEQ5 Comdty 2025-09-08 19.00000000 EUR 1000.00000000 118.50000000 EUR 2025-07-25 XXXX 998.31000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406BEZ9 5481.56000000 PA USD 5583.65000000 0.000156911948 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 6.46100000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810UC0 11300000.00000000 PA USD 10319195.26000000 0.289990425204 Long DBT UST US N 2 2054-08-15 Fixed 4.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RB6 83700000.00000000 PA USD 64511121.30000000 1.812894031448 Long DBT UST US N 2 2043-05-15 Fixed 2.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AN52 8030.85000000 PA USD 8004.34000000 0.000224938272 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.50000000 N N N N N N DOLP Trust N/A 23345LAA7 13200000.00000000 PA USD 11746495.20000000 0.330100463445 Long ABS-MBS CORP US N 2 2041-05-10 Fixed 2.95600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128QLPS4 30328.38000000 PA USD 31087.38000000 0.000873618757 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 7.14400000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 3322.86000000 0.000093379140 N/A DFE IN N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1615022.00000000 USD 139073581.98000000 INR 2025-08-20 3322.86000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWKP7 3387196.01000000 PA USD 3445353.01000000 0.096821443840 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292JBM1 4517.23000000 PA USD 4510.63000000 0.000126757899 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405DH59 3996.32000000 PA USD 3997.48000000 0.000112337337 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 5.50000000 N N N N N N NYKREDIT REALKREDIT AS LIU16F6VZJSD6UKHD557 000000000 1.91000000 PA 0.24000000 0.000000006744 Long DBT CORP DK Y 2 2052-10-01 Fixed 1.50000000 N N N N N N FRESENIUS MED CARE III 5299006ZHLMXOOUVTU44 35805BAC2 12100000.00000000 PA USD 11632693.89000000 0.326902414620 Long DBT CORP US N 2 2026-12-01 Fixed 1.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CCW4 495.02000000 PA USD 495.66000000 0.000013929056 Long ABS-MBS USGA US N 2 2027-06-20 Floating 4.87500000 N N N N N N 10 RENEW POWER SUBSIDIAR N/A 75973PAA7 13100000.00000000 PA USD 12428964.68000000 0.349279247227 Long DBT CORP IN N 2 2028-07-14 Fixed 4.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 27750000.00000000 OU Notional Amount USD -318957.94000000 -0.00896336839 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-04-30 0.00000000 USD 0.00000000 USD 27750000.00000000 USD -318957.94000000 N N N Chase Mortgage Finance Corporation N/A 16163CAN2 674835.32000000 PA USD 560736.80000000 0.015757847289 Long ABS-MBS CORP US N 2 2036-09-25 Variable 4.89700000 N N N N N N GOODMAN US FIN THREE N/A 38239JAA9 10800000.00000000 PA USD 10586126.30000000 0.297491731637 Long DBT US N 2 2028-03-15 Fixed 3.70000000 N N N N N N VOLKSWAGEN BANK GMBH 529900GJD3OQLRZCKW37 000000000 2000000.00000000 PA 2353773.19000000 0.066145825425 Long DBT CORP DE Y 2 2026-07-31 Fixed 2.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 400000.00000000 OU Notional Amount USD -1247.27000000 -0.00003505082 N/A DCR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Colombia Government International Bonds Colombia Government International Bonds Y sell protection 2027-06-20 0.00000000 USD -5451.35000000 USD 400000.00000000 USD 4204.08000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 2400000.00000000 OU Notional Amount USD -1758.32000000 -0.00004941237 N/A DCR GB N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Colombia Government International Bonds Colombia Government International Bonds Y sell protection 2026-12-20 0.00000000 USD -33379.47000000 USD 2400000.00000000 USD 31621.15000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -364.10000000 -0.00001023195 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 350528.35000000 NOK 34412.61000000 USD 2025-07-02 -364.10000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810SA7 9900000.00000000 PA USD 7355777.32000000 0.206712339382 Long DBT UST US N 2 2048-02-15 Fixed 3.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 13920000.00000000 OU Notional Amount -114269.19000000 -0.00321119720 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-03-19 0.00000000 GBP -276663.92000000 GBP 13920000.00000000 GBP 242710.06000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382YNR0 3870229.31000000 PA USD 3813835.81000000 0.107176561770 Long ABS-MBS USGA US N 2 2072-01-20 Floating 4.80200000 N Y N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CU38 3101.22000000 PA USD 3100.43000000 0.000087128404 Long ABS-MBS USGA US N 2 2032-05-20 Floating 4.87500000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAG0 3000000.00000000 PA USD 2997122.10000000 0.084225241433 Long DBT CORP IE N 2 2025-10-01 Fixed 4.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JPME2 3588006.49000000 PA USD 3525069.41000000 0.099061637203 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F042475 100000.00000000 PA USD 99354.57000000 0.002792065977 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 4.50000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MBD6 4900000.00000000 PA USD 5008739.13000000 0.140755781187 Long DBT CORP IE N 2 2027-01-15 Fixed 6.10000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAS0 12400000.00000000 PA USD 12027939.49000000 0.338009621792 Long DBT CORP US N 2 2032-11-15 Fixed 4.30000000 N N N N N N NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 63906YAP3 5500000.00000000 PA USD 5586783.57000000 0.157000008447 Long DBT CORP GB N 2 2030-03-21 Fixed 5.02200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RZX7 2137965.29000000 PA USD 2144667.81000000 0.060269537931 Long ABS-MBS USGA US N 2 2066-09-20 Floating 5.29600000 N N N N N N Citimortgage Alternative Loan Trust N/A 18974BAE9 3178295.78000000 PA USD 2448271.12000000 0.068801409917 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.08400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GPF4 52078.29000000 PA USD 53747.77000000 0.001510421915 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DDA7 181936.77000000 PA USD 176812.81000000 0.004968800440 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297USC5 7521.08000000 PA USD 7743.52000000 0.000217608699 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412PPU9 18549.69000000 PA USD 18507.51000000 0.000520098763 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N Bear Stearns Structured Products Inc. N/A 07402FAA3 246224.18000000 PA USD 172884.31000000 0.004858401581 Long ABS-MBS CORP US N 2 2036-01-26 Variable 5.06200000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -12.00000000 NC -4806.04000000 -0.00013505952 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Put Written Eurex Deutschland 529900LN3S50JPU47S06 Eurex Deutschland 529900LN3S50JPU47S06 N/A 12.00000000 NC N/A -4806.04000000 0.00000000 DIR US Short Eurex 10 Year Euro BUND RXU5 Comdty 2025-09-08 12.00000000 EUR 1000.00000000 129.00000000 EUR 2025-07-25 XXXX 678.20000000 N N N CHENIERE CORP CHRISTI HD 549300I7CIEWU1BBLQ53 16412XAG0 9000000.00000000 PA USD 9084366.99000000 0.255289233294 Long DBT CORP US N 2 2027-06-30 Fixed 5.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31349ULB2 9147.68000000 PA USD 9457.89000000 0.000265785991 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CDX6 19092810.00000000 PA USD 17304007.11000000 0.486277878568 Long DBT UST US N 2 2032-01-15 Fixed 0.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31414LB98 2995.18000000 PA USD 3074.19000000 0.000086391006 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.50000000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748CB6 800000.00000000 PA USD 812347.76000000 0.022828628240 Long DBT CORP US N 2 2031-11-15 Fixed 4.85000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 3449000.00000000 OU Notional Amount 10709.41000000 0.000300956254 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 Put Purchased BNP Paribas SA R0MUWSFPU8MPRO8K5P83 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 N/A 1.00000000 NC USD 10709.41000000 0.00000000 DFE XX 3828390.00000000 USD 3449000.00000000 EUR 2025-11-26 1.00000000 1.11000000 EUR 2025-11-26 XXXX -3804.59000000 N N N Onslow Bay Financial LLC N/A 67112FAD2 3399967.57000000 PA USD 3333488.34000000 0.093677818548 Long ABS-MBS CORP US N 2 2057-06-25 Floating 5.08400000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 3045.00000000 NC USD 3454664.17000000 0.097083106420 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year U.S. Treasury Notes FVU5 Comdty 2025-09-30 328450335.83000000 USD 3454664.17000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617YD2W1 5421732.93000000 PA USD 5080526.58000000 0.142773154890 Long ABS-MBS USGA US N 2 2052-03-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LBU97 793.17000000 PA USD 813.78000000 0.000022868877 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.50000000 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HBQ1 2900000.00000000 PA USD 2919896.81000000 0.082055053339 Long DBT CORP JP N 2 2027-07-02 Floating 5.59100000 N N N N N N AMER AIRLN 14-1 A PTT N/A 02377AAA6 2164895.84000000 PA USD 2126030.55000000 0.059745792928 Long DBT CORP US N 2 2026-10-01 Fixed 3.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RH69 18878.19000000 PA USD 18916.90000000 0.000531603457 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 5.69700000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QC5 15100000.00000000 PA USD 15043375.00000000 0.422749507383 Long DBT UST US N 2 2039-08-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402QWA5 68446.75000000 PA USD 70414.45000000 0.001978789603 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSSK8 2874215.01000000 PA USD 2880042.39000000 0.080935062884 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.50000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CV9 4700000.00000000 PA USD 4777203.70000000 0.134249163558 Long DBT CORP DE N 2 2028-02-08 Fixed 5.70600000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDU7 7900000.00000000 PA USD 8111027.09000000 0.227936397694 Long DBT CORP US N 2 2029-07-24 Fixed 5.29900000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810UG1 19600000.00000000 PA USD 19079375.00000000 0.536169335832 Long DBT UST US N 2 2055-02-15 Fixed 4.62500000 N N N N N N F&G ANNUITIES & LIFE INC N/A 30190AAF1 4100000.00000000 PA USD 4227420.70000000 0.118799140380 Long DBT CORP US N 2 2029-06-04 Fixed 6.50000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -894.40000000 -0.00002513446 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 807512.46000000 ZAR 44646.34000000 USD 2025-07-23 -894.40000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406VHE9 10162.45000000 PA USD 10492.92000000 0.000294872444 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 6.62800000 N N N N N N AIR CANADA 2017-1AA PTT N/A 00908PAA5 867359.99000000 PA USD 811163.22000000 0.022795340251 Long DBT CORP CA N 2 2030-01-15 Fixed 3.30000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GVX9 7500000.00000000 PA USD 7623961.13000000 0.214248851206 Long DBT CORP US N 2 2027-10-28 Floating 6.29400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LXA42 14162.44000000 PA USD 14114.93000000 0.000396658310 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 4.50000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JP3 10900000.00000000 PA USD 10795756.87000000 0.303382778041 Long DBT CORP US N 2 2026-01-01 Fixed 3.15000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -381168.92000000 -0.01071162376 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 25000000.00000000 BRL 4115395.70000000 USD 2025-10-02 -381168.92000000 N N N Anchorage Capital CLO LTD 54930064GO7DB3TVDY21 03328QBL4 9800000.00000000 PA USD 9815121.40000000 0.275824922051 Long ABS-CBDO CORP KY N 2 2034-04-22 Floating 5.71200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YSY4 496.61000000 PA USD 493.21000000 0.000013860206 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810ST6 54600000.00000000 PA USD 34784038.93000000 0.977502410361 Long DBT UST US N 2 2040-11-15 Fixed 1.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A9VC8 4182.94000000 PA USD 4115.45000000 0.000115652535 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M4AZ6 179.29000000 PA USD 185.26000000 0.000005206183 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.50000000 N N N N N N GS Mortgage-Backed Securities Trust N/A 36267BAB3 12351777.99000000 PA USD 10521071.57000000 0.295663561093 Long ABS-MBS CORP US N 2 2052-08-26 Variable 3.00000000 N N N N N N Nelnet Student Loan Trust N/A 64032PAB8 2198364.54000000 PA USD 2275089.66000000 0.063934657815 Long ABS-O CORP US N 2 2041-02-20 Fixed 6.64000000 N N N N N N CREDIT AGRICOLE SA 969500TJ5KRTCJQWXH05 22535WAJ6 4100000.00000000 PA USD 4309145.26000000 0.121095767133 Long DBT CORP FR N 2 2029-10-03 Fixed 6.31600000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 7300000.00000000 OU Notional Amount USD -101517.45000000 -0.00285284731 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-10-31 0.00000000 USD 0.00000000 USD 7300000.00000000 USD -101517.45000000 N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBK1 2900000.00000000 PA USD 2877026.03000000 0.080850297018 Long DBT US N 2 2025-09-15 Fixed 1.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31368HNQ2 542844.48000000 PA USD 556278.74000000 0.015632566714 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.50000000 N N N N N N Towd Point Mortgage Funding 635400ZB5U3EBVBSFK52 000000000 5948859.23000000 PA 8179418.09000000 0.229858324227 Long ABS-MBS CORP GB N 2 2053-07-20 Floating 5.22300000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DV8 7500000.00000000 PA USD 8024713.80000000 0.225510818273 Long DBT CORP GB N 2 2034-03-09 Fixed 6.25400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132ADYF9 40035.78000000 PA USD 39370.07000000 0.001106379233 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 3.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -11025.59000000 -0.00030984155 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 33619368243.00000000 IDR 2058711.00000000 USD 2025-07-16 -11025.59000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 79521.25000000 0.002234709250 N/A DFE PL N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 1902038.00000000 USD 7143571.61000000 PLN 2025-07-10 79521.25000000 N N N Residential Asset Securities Corporation N/A 76110WRS7 426944.08000000 PA USD 405355.65000000 0.011391320189 Long ABS-MBS CORP US N 2 2033-06-25 Floating 4.72400000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -516.48000000 -0.00001451414 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1963693688.00000000 IDR 120376.00000000 USD 2025-07-16 -516.48000000 N N N Structured Adjustable Rate Mortgage Loan Trust N/A 86361PAJ5 5041851.09000000 PA USD 2124277.57000000 0.059696530616 Long ABS-MBS CORP US N 2 2036-10-25 Variable 4.75000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 3473738.25000000 0.097619126955 N/A DFE BR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 52615465.00000000 USD 304738250.19000000 BRL 2025-07-02 3473738.25000000 N N N FHLMC Structured Pass Through Securities S6XOOCT0IEG5ABCC6L87 31395M2F5 21763.88000000 PA USD 21027.84000000 0.000590925174 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 5.59900000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 10900000.00000000 OU Notional Amount -530913.04000000 -0.01491973883 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2033-12-20 0.00000000 CAD -47395.77000000 CAD 10900000.00000000 CAD -530913.04000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M55N6 10265.08000000 PA USD 10569.53000000 0.000297025341 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 13487.62000000 0.000379029620 N/A DFE KR N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 1440547.00000000 USD 1960642089.00000000 KRW 2025-07-16 13487.62000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JVPM8 1961520.70000000 PA USD 1701699.67000000 0.047821230090 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NLQZ5 784758.10000000 PA USD 773153.10000000 0.021727178386 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.00000000 N N N N N N Countrywide Alternative Loan Trust 549300WJBLP6N8ETXD40 02147HAF9 3673550.15000000 PA USD 3191734.66000000 0.089694251138 Long ABS-MBS CORP US N 2 2046-06-25 Floating 4.95400000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -157194.97000000 -0.00441749914 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 14798941.14000000 PEN 4005776.62000000 USD 2025-10-31 -157194.97000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DUJ57 292623.61000000 PA USD 263569.24000000 0.007406832999 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BN61 28997.01000000 PA USD 29794.81000000 0.000837294905 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.50000000 N N N N N N Brazil Government International Bonds 254900ZFY40OYEADAP90 105756CH1 7800000.00000000 PA USD 7718570.11000000 0.216907556429 Long DBT NUSS BR N 2 2034-03-15 Fixed 6.12500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KZ35 13425.04000000 PA USD 13580.79000000 0.000381647887 Long ABS-MBS USGA US N 2 2039-02-15 Fixed 5.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 11287.48000000 0.000317201200 N/A DFE TW N 2 Citibank NA E57ODZWZ7FF32TWEFA76 581226.00000000 USD 17289149.00000000 TWD 2025-07-16 11287.48000000 N N N Morgan Stanley Capital Inc N/A 61748LAD4 137936.55000000 PA USD 119127.01000000 0.003347711852 Long ABS-O CORP US N 2 2036-06-25 Floating 4.73400000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 10982.54000000 0.000308631764 N/A DFE TW N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 570000.00000000 USD 16955334.00000000 TWD 2025-07-14 10982.54000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 5616.31000000 0.000157829761 N/A DFE PE N 2 Citibank NA E57ODZWZ7FF32TWEFA76 268900.00000000 USD 972611.30000000 PEN 2025-07-07 5616.31000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6ND6 13538.67000000 PA USD 13896.00000000 0.000390505930 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.50000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163NBK0 12646000.00000000 PA USD 11948418.82000000 0.335774928841 Long ABS-MBS CORP US N 2 2055-01-15 Variable 2.95500000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 31300000.00000000 OU Notional Amount USD 112377.52000000 0.003158037423 N/A DCR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Republic of South Africa Government International Bonds Republic of South Africa Government International Bonds Y sell protection 2026-12-20 0.00000000 USD -451581.27000000 USD 31300000.00000000 USD 563958.79000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 2700000.00000000 OU Notional Amount USD 59691.60000000 0.001677455657 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.NA.IG.S44 2I65BYEH4 Y sell protection 2030-06-20 42117.75000000 USD 0.00000000 USD 2700000.00000000 USD 17573.85000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H050680 37100000.00000000 PA USD 36421720.36000000 1.023524597389 Long ABS-MBS USGA US N 2 2054-08-20 Fixed 5.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912834KV9 300000.00000000 PA USD 134243.20000000 0.003772507610 Long DBT UST US N 2 2041-11-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419EZC6 14947.94000000 PA USD 14851.28000000 0.000417351246 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 4.00000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 408.39000000 0.000011476591 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 340000.00000000 USD 11054998.00000000 THB 2025-07-16 408.39000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297VZW1 16841.27000000 PA USD 17160.21000000 0.000482236886 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -752.00000000 NC USD -1667898.30000000 -0.04687134268 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Ultra 10 Year U.S. Treasury Notes Futures UXYU5 Comdty 2025-09-19 -84259851.70000000 USD -1667898.30000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9J78 664298.51000000 PA USD 682102.64000000 0.019168474829 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 5.50000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECE3 9300000.00000000 PA USD 10555034.07000000 0.296617976585 Long DBT CORP GB N 2 2033-11-02 Fixed 7.43700000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -49092.95000000 -0.00137961198 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3200000.00000000 BRL 526467.32000000 USD 2025-10-02 -49092.95000000 N N N Dewolf Park clo, ltd N/A 25211AAE9 1216270.49000000 PA USD 1217067.15000000 0.034202068227 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 5.43800000 N N N N N N PINNACLE WEST CAPITAL TWSEY0NEDUDCKS27AH81 723484AN1 1000000.00000000 PA USD 1023678.52000000 0.028767453450 Long DBT CORP US N 2 2030-05-15 Fixed 5.15000000 N N N N N N MEXICAN UDIBONOS 254900EGTWEU67VP6075 000000000 8500847.00000000 PA 420686.48000000 0.011822147768 Long DBT NUSS MX N 2 2034-08-24 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M4XA6 8786.17000000 PA USD 9057.50000000 0.000254534216 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.50000000 N N N N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668AT9 10900000.00000000 PA USD 10890456.51000000 0.306044030996 Long DBT CORP US N 2 2025-11-13 Fixed 4.62500000 N N N N N N GSAMP Trust N/A 3622MAAD3 2128919.57000000 PA USD 1048075.19000000 0.029453049616 Long ABS-O CORP US N 2 2036-12-25 Floating 4.60400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QR4E0 260210.03000000 PA USD 249727.66000000 0.007017856381 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 4.50000000 N N N N N N Securitized Asset Backed Receivables LLC Trust N/A 813765AC8 5991868.77000000 PA USD 3068241.86000000 0.086223851685 Long ABS-O CORP US N 2 2036-05-25 Floating 4.93400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405RDJ2 102354.03000000 PA USD 104646.56000000 0.002940781685 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 7.43500000 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAR3 13100000.00000000 PA USD 10291089.75000000 0.289200603072 Long DBT US N 2 2033-11-15 Fixed 2.65000000 N N N N N N Specialty Underwriting & Residential Finance N/A 84752EAD5 2254877.73000000 PA USD 1653588.65000000 0.046469212341 Long ABS-O CORP US N 2 2037-04-25 Floating 4.70400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31414SXK4 977.81000000 PA USD 999.61000000 0.000028091078 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.50000000 N N N N N N FLORIDA POWER & LIGHT CO A89MY1K3YLIGJMYWVX50 341081GN1 4400000.00000000 PA USD 4432863.60000000 0.124572504720 Long DBT CORP US N 2 2028-05-15 Fixed 4.40000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACK1 5000000.00000000 PA USD 5001494.75000000 0.140552199339 Long DBT CORP US N 2 2025-07-11 Fixed 6.00000000 N N N N N N DUKE ENERGY PROGRESS LLC 0NIFZ782LS46WOC9QK20 26442UAL8 12600000.00000000 PA USD 10939038.01000000 0.307409270192 Long DBT CORP US N 2 2031-08-15 Fixed 2.00000000 N N N N N N DAIMLER TRUCK FINAN NA 5493003HSDTSCZRXBA58 233853AV2 3200000.00000000 PA USD 3230781.09000000 0.090791535427 Long DBT CORP US N 2 2027-01-15 Fixed 5.00000000 N N N N N N GSAMP Trust N/A 36242DRX3 3389557.68000000 PA USD 2966425.64000000 0.083362608324 Long ABS-O CORP US N 2 2034-12-25 Floating 5.75400000 N N N N N N United Wholesale Mortgage LLC N/A 90355RAC6 14449075.94000000 PA USD 11721364.93000000 0.329394251623 Long ABS-MBS CORP US N 2 2051-11-25 Variable 2.50000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -166578.00000000 -0.00468118141 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 47214854.00000000 TWD 1451514.21000000 USD 2025-07-16 -166578.00000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -4291.83000000 -0.00012060917 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 1162005.00000000 TWD 35641.70000000 USD 2025-08-20 -4291.83000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -600.54000000 -0.00001687639 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 1565000.00000000 NOK 154666.64000000 USD 2025-07-02 -600.54000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -43300.45000000 -0.00121683092 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1222957055.00000000 JPY 8449162.00000000 USD 2025-07-02 -43300.45000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31391XDM8 176734.55000000 PA USD 177807.80000000 0.004996761688 Long ABS-MBS USGSE US N 2 2041-09-01 Floating 5.74700000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HBJ3 2200000.00000000 PA USD 2284201.85000000 0.064190728932 Long DBT CORP ES N 2 2030-01-17 Fixed 5.56500000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -3700000.00000000 NC USD -0.37000000 -0.00000001039 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 3700000.00000000 OU Notional Amount N/A -0.37000000 0.00000000 DIR US N/A N/A 2035-07-02 0.00000000 N/A 0.00000000 N/A 3700000.00000000 USD 1.00000000 4.13500000 USD 2025-06-30 XXXX 12672.13000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6WG9 1910996.15000000 PA USD 1962214.92000000 0.055142239744 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QY7 2800000.00000000 PA USD 2132921.87000000 0.059939453070 Long DBT UST US N 2 2042-11-15 Fixed 2.75000000 N N N N N N GS Mortgage Securities Trust N/A 36251XAS6 417919.22000000 PA USD 415190.29000000 0.011667693623 Long ABS-MBS CORP US N 2 2049-11-10 Variable 3.27800000 N N N N N N Japan Government Twenty Year Bonds 353800WZS8AXZXFUC241 000000000 923600000.00000000 PA 6455419.16000000 0.181410439468 Long DBT NUSS JP N 2 2045-03-20 Fixed 2.40000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KF3 5000000.00000000 PA USD 5057872.20000000 0.142136520625 Long DBT CORP US N 2 2027-06-15 Fixed 5.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C4C5 24650.32000000 PA USD 24573.27000000 0.000690558986 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CUU8 245.09000000 PA USD 247.83000000 0.000006964528 Long ABS-MBS USGA US N 2 2032-04-20 Floating 4.87500000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 68469.08000000 0.001924120740 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 597155.42000000 USD 19422480.00000000 TWD 2025-07-16 68469.08000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 -2500000.00000000 NC USD -250.80000000 -0.00000704799 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Put Written Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 2500000.00000000 OU Notional Amount N/A -250.80000000 0.00000000 DIR US N/A N/A 2035-07-18 0.00000000 N/A 0.00000000 N/A 2500000.00000000 USD 1.00000000 4.09700000 USD 2025-07-16 XXXX 6967.95000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296XX41 5158.36000000 PA USD 5222.38000000 0.000146759525 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 5.00000000 N N N N N N Option One Mortgage Loan Trust N/A 68400DAA2 3659909.84000000 PA USD 2345452.12000000 0.065911986394 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.71400000 N N N N N N RBSSP Resecuritization Trust N/A 74930PAL8 1861348.74000000 PA USD 1847843.91000000 0.051928181187 Long ABS-MBS CORP US N 2 2036-06-27 Floating 4.66100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DSK6 35570.55000000 PA USD 37288.20000000 0.001047874441 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.00000000 N N N N N N Deutsche Bank Securities, Inc. 9J6MBOOO7BECTDTUZW19 000000000 -8569500.00000000 PA USD -8569500.00000000 -0.24082042118 Short RA CORP US N 2 Reverse repurchase N 4.40000000 2025-07-03 8700000.00000000 USD 8623081.00000000 USD UST N N N Nelnet Student Loan Trust N/A 64032PAA0 2088446.31000000 PA USD 2133421.63000000 0.059953497345 Long ABS-O CORP US N 2 2041-02-20 Floating 6.50200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YCJ4 16521.73000000 PA USD 16390.46000000 0.000460605342 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388FNB5 29891.32000000 PA USD 29880.64000000 0.000839706903 Long ABS-MBS USGSE US N 2 2041-08-01 Floating 5.69700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417ACL1 9088.99000000 PA USD 9005.74000000 0.000253079654 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385W2D0 1708.19000000 PA USD 1775.79000000 0.000049903319 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 6.00000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACB1 5900000.00000000 PA USD 5936484.83000000 0.166827326811 Long DBT CORP US N 2 2026-03-30 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RG5 12200000.00000000 PA USD 10034976.53000000 0.282003299436 Long DBT UST US N 2 2044-05-15 Fixed 3.37500000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 -2500000.00000000 NC USD -244.63000000 -0.00000687460 N/A DIR KY N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Put Written Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 2500000.00000000 OU Notional Amount N/A -244.63000000 0.00000000 DIR KY N/A N/A 2035-07-16 0.00000000 N/A 0.00000000 N/A 2500000.00000000 USD 1.00000000 4.06400000 USD 2025-07-14 XXXX 7192.87000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGSJ4 920347.32000000 PA USD 943121.69000000 0.026503642291 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -263537.57000000 -0.00740594300 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 21761627.78000000 PEN 5870889.95000000 USD 2025-08-25 -263537.57000000 N N N Long Beach Mortgage Loan Trust N/A 542514NT7 385560.66000000 PA USD 378933.30000000 0.010648798285 Long ABS-O CORP US N 2 2045-08-25 Floating 4.95400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GRN5 226272.68000000 PA USD 233525.84000000 0.006562552207 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 2191.22000000 0.000061577749 N/A DFE BR N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 150000.00000000 USD 826870.10000000 BRL 2025-07-02 2191.22000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406QVM6 1567.97000000 PA USD 1616.92000000 0.000045438748 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 5.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 282655.75000000 0.007943202843 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 11424111.49000000 USD 221459257.26000000 MXN 2025-09-17 282655.75000000 N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020BC0 6200000.00000000 PA USD 6297090.20000000 0.176961072897 Long DBT CORP US N 2 2030-03-15 Fixed 6.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LCUJ3 3353.53000000 PA USD 3440.69000000 0.000096690403 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 11800000.00000000 OU Notional Amount 307090.76000000 0.008629876441 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2034-03-20 0.00000000 AUD -439668.80000000 AUD 11800000.00000000 AUD 589375.14000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 2249758.11000000 0.063222789615 N/A DFE XX N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 146210059.13000000 USD 126032289.57000000 EUR 2025-07-02 2249758.11000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 3573.23000000 0.000100415047 N/A DFE TH N 2 Bank of America NA B4TYDEB6GKMZO031MB27 400000.00000000 USD 13106320.00000000 THB 2025-07-16 3573.23000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133CCNP7 713609.61000000 PA USD 704336.90000000 0.019793302866 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWKH5 2677427.33000000 PA USD 2724014.19000000 0.076550352359 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.00000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AU2 4000000.00000000 PA USD 4024007.68000000 0.113082819807 Long DBT CORP CH N 2 2027-01-12 Fixed 5.71100000 N N N N N N NYKREDIT REALKREDIT AS LIU16F6VZJSD6UKHD557 000000000 1.88000000 PA 0.24000000 0.000000006744 Long DBT CORP DK Y 2 2052-10-01 Fixed 1.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2800000.00000000 OU Notional Amount 25930.66000000 0.000728704412 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2034-06-01 0.00000000 CAD 0.00000000 CAD 2800000.00000000 CAD 25930.66000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133C5ZJ3 489071.74000000 PA USD 480517.13000000 0.013503511013 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.00000000 N N N N N N PIEDMONT OPERATING PARTN 549300WKGDPAS39FBD10 720198AE0 12900000.00000000 PA USD 11573412.89000000 0.325236497660 Long DBT US N 2 2030-08-15 Fixed 3.15000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -37949.71000000 -0.00106646422 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 4537004.80000000 ILS 1309022.00000000 USD 2025-07-02 -37949.71000000 N N N 2025-08-26 Brighthouse Funds Trust I Alan Otis Alan Otis Treasurer