NPORT-P false 0000810893 XXXXXXXX S000032698 C000100916 C000100920 C000100919 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO RAE PLUS International Fund S000032698 FRE2ROMRMC2BDS43QJ31 2024-03-31 2023-12-31 N 263510453.220000 103446528.840000 160063924.380000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 2356821.170000 MXN CAD AUD HUF GBP JPY USD EUR DKK BRL N MSCI EAFE Value Total Return Index M1EA000V N/A N/A 000000000 1.000000 NC -18.280000 -0.0000114 N/A DFE HU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3228.180000 USD 1113718.000000 HUF 2024-01-04 -18.280000 N N N UMBS PASS THRU POOLS N/A 01F062622 7600000.000000 PA USD 7787921.780000 4.86551 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 7085.550000 0.0044267 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-08-21 0.000000 EUR -394.200000 EUR 100000.000000 EUR 7479.750000 N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 02665WEJ6 400000.000000 PA USD 401414.520000 0.250784 Long DBT CORP US N 2 2025-05-23 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 50461.540000 0.0315259 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 930319.020000 USD 4771978.380000 BRL 2024-02-02 50461.540000 N N N MF1 2021-FL7 LTD N/A 55284AAA6 396610.050000 PA USD 390561.270000 0.244003 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 6.55273 N N N N N N N/A N/A 000000000 1.000000 NC -2144.110000 -0.0013395 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 600000.000000 BRL 119205.610000 USD 2024-07-02 -2144.110000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBA3 200000.000000 PA USD 195460.730000 0.122114 Long DBT CORP US N 2 2027-01-29 Floating 3.96 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20C N/A 83162CRR6 7988.470000 PA USD 7896.840000 0.0049336 Long ABS-O CORP US N 2 2028-03-01 Fixed 5.49 N N N N N N JP MORGAN MORTGAGE TRUST 2008-R2 N/A 46632TAA3 115319.330000 PA USD 105988.790000 0.0662165 Long ABS-MBS CORP US N 2 2037-07-27 Floating 3.74993 N N N N N N N/A N/A 000000000 1.000000 NC -2258.520000 -0.001411 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2663910.930000 BRL 541632.460000 USD 2024-04-02 -2258.520000 N N N N/A N/A 000000000 1.000000 NC 866.890000 0.0005416 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 19013.000000 USD 601723.000000 TWD 2024-02-29 866.890000 N N N CONAGRA BRANDS INC 54930035UDEIH090K650 20600GAB2 250000.000000 PA USD 249483.250000 0.155865 Long DBT CORP US N 2 2024-01-11 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 4780.090000 0.0029864 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-10-20 0.000000 EUR -193.030000 EUR 100000.000000 EUR 4973.120000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 8424C0AG5 300000.000000 PA USD 299146.580000 0.186892 Long DBT CORP US N 2 2024-01-16 None 0 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2023-2 N/A 17295FAA2 243143.590000 PA USD 243196.690000 0.151937 Long ABS-O CORP US N 2 2024-09-16 Fixed 5.739 N N N N N N UMBS PASS THRU POOLS N/A 01F050627 5000000.000000 PA USD 4949218.800000 3.09203 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 5 N N N N N N GSR MORTGAGE LOAN TRUST 2007-1F N/A 3622MPAN8 25018.300000 PA USD 32620.930000 0.0203799 Long ABS-MBS CORP US N 3 2037-01-25 Fixed 5.5 N N N N N N LEHMAN MORTGAGE TRUST 2006-7 N/A 52520QAB0 256838.510000 PA USD 126060.120000 0.0787561 Long ABS-MBS CORP US N 2 2036-11-25 Floating 6 N N N N N N GSR MORTGAGE LOAN TRUST 2004-4 N/A 36228FD45 18970.200000 PA USD 15248.940000 0.0095268 Long ABS-MBS CORP US N 3 2032-04-25 Floating 6.97 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB N/A 02147QAC6 140411.600000 PA USD 81468.560000 0.0508975 Long ABS-MBS CORP US N 3 2036-08-25 Floating 6 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 27798.290000 PA USD 27039.210000 0.0168928 Long ABS-MBS CORP US N 2 2035-10-25 Floating 7.78 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP LL N/A 05377RDL5 300000.000000 PA USD 296432.460000 0.185196 Long ABS-O CORP US N 2 2025-09-22 Fixed 3.35 N N N N N N N/A N/A 000000000 1.000000 NC 8.610000 0.0000054 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 7649.000000 USD 639471.700000 INR 2024-03-20 8.610000 N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAA1 900000.000000 PA USD 844356.240000 0.527512 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.62648 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -323.450000 -0.0002021 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.66500 01/24/24-10Y LCH 2034-01-24 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2024-01-22 XXXX 81.550000 N N N MLCC MORTGAGE INVESTORS INC 2005-1 N/A 59020UVJ1 13430.950000 PA USD 11614.700000 0.0072563 Long ABS-MBS CORP US N 3 2035-04-25 Floating 4.32588 N N N N N N N/A N/A 000000000 -100000.000000 NC -61.990000 -0.0000387 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.89000 01/16/24-10Y LCH 2034-01-16 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.890000 EUR 2024-01-12 XXXX 336.150000 N N N N/A N/A 000000000 1.000000 NC -21604.300000 -0.0134973 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 700000.000000 CAD 506787.480000 USD 2024-01-16 -21604.300000 N N N N/A N/A 000000000 -100000.000000 NC USD -3.620000 -0.0000023 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.97500 01/10/24-10Y LCH 2034-01-10 0.000000 USD 0.000000 USD N/A USD N/A 3.980000 USD 2024-01-08 XXXX 466.380000 N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JA58 250000.000000 PA USD 249736.290000 0.156023 Long DBT CORP US N 2 2024-01-05 None 0 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-12 N/A 41161PVF7 997761.520000 PA USD 545485.700000 0.340792 Long ABS-MBS CORP US N 2 2035-10-19 Floating 7.0118 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797HX8 1700000.000000 PA USD 1700000.000000 1.06208 Long DBT UST US N 2 2024-01-02 None 0 N N N N N N GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-3 N/A 379929AB8 900000.000000 PA USD 901482.390000 0.563202 Long ABS-O CORP US N 2 2026-01-20 Fixed 5.58 N N N N N N N/A N/A 000000000 1.000000 NC USD 6021.040000 0.0037616 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-30 0.000000 USD -705.000000 USD 200000.000000 USD 6726.040000 N N N RESIDENTIAL ACCREDIT LOANS 2007-QS1 N/A 74922KAA3 48914.880000 PA USD 37920.460000 0.0236908 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -123232.760000 -0.0769897 N/A DFE TW N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 76005425.000000 TWD 2387855.000000 USD 2024-02-29 -123232.760000 N N N MELLON RESIDENTIAL FUND CORP 2002-TBC2 N/A 585525FX1 46215.740000 PA USD 42769.670000 0.0267204 Long ABS-MBS CORP US N 2 2032-08-15 Floating 6.33629 N N N N N N VIBRANT CLO IV LTD 2016-4A N/A 92557WAW3 500000.000000 PA USD 496488.860000 0.310182 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.79743 N N N N N N MERRILL LYNCH ALTERNATIVE NOTE ASSET 2007-F1 N/A 59023YAG9 78833.680000 PA USD 28360.920000 0.0177185 Long ABS-MBS CORP US N 3 2037-03-25 Fixed 6 N N N N N N VIBRANT CLO VII LTD N/A 92558BAJ7 293952.410000 PA USD 293379.140000 0.183289 Long ABS-CBDO CORP KY N 2 2030-09-15 Floating 6.71743 N N N N N N COUNTRYWIDE HOME LOANS 2007-5 N/A 12544VCN7 13104.810000 PA USD 6636.030000 0.0041459 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 5.75 N N N N N N N/A N/A 000000000 1.000000 NC -4423.270000 -0.0027634 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-12-19 0.000000 EUR -374.830000 EUR 200000.000000 EUR -4048.440000 N N N N/A N/A 000000000 1.000000 NC 114.170000 0.0000713 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 66000.000000 CAD 49929.250000 USD 2024-01-09 114.170000 N N N N/A N/A 000000000 1.000000 NC -1346.620000 -0.0008413 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3186485907.000000 IDR 205593.000000 USD 2024-03-20 -1346.620000 N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 06428CAC8 500000.000000 PA USD 506380.690000 0.316362 Long DBT CORP US N 2 2025-08-18 Fixed 5.65 N N N N N N CAPITAL ONE PRIME AUTO RECEIVABLES TRUST 2022-2 N/A 14043GAC8 208840.390000 PA USD 208954.380000 0.130544 Long ABS-O CORP US N 2 2025-09-15 Floating 5.98844 N N N N N N N/A N/A 000000000 1.000000 NC USD 1050.430000 0.0006563 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2028-06-20 0.000000 USD -529.360000 USD 100000.000000 USD 1579.790000 N N N N/A N/A 000000000 1.000000 NC USD 10232.450000 0.0063927 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-16 0.000000 USD -530.000000 USD 100000.000000 USD 10762.450000 N N N UMBS PASS THRU POOLS N/A 01F042624 2900000.000000 PA USD 2813113.300000 1.75749 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 4.5 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAB4 301594.570000 PA USD 301782.550000 0.188539 Long ABS-O CORP US N 2 2026-08-10 Fixed 5.98 N N N N N N OCTANE RECEIVABLES TRUST 2023-1A N/A 67571BAA1 508545.410000 PA USD 509755.140000 0.31847 Long ABS-O CORP US N 2 2029-05-21 Fixed 5.87 N N N N N N LCCM 2021-FL2 TRUST N/A 50202KAA4 895517.770000 PA USD 866698.190000 0.54147 Long ABS-CBDO CORP US N 2 2038-12-13 Floating 6.67629 N N N N N N N/A N/A 000000000 1.000000 NC 34640.640000 0.0216418 N/A DFE ZA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 795246.850000 USD 15198360.170000 ZAR 2024-01-17 34640.640000 N N N LEHMAN XS TRUST 2006 GP4 N/A 525161AN5 480548.230000 PA USD 460093.410000 0.287444 Long ABS-MBS CORP US N 2 2046-08-25 Floating 5.92043 N N N N N N N/A N/A 000000000 1.000000 NC 6333.400000 0.0039568 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 150257.450000 USD 2868249.440000 ZAR 2024-01-19 6333.400000 N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4 N/A 81375WFJ0 427103.470000 PA USD 388476.230000 0.242701 Long ABS-MBS CORP US N 2 2036-01-25 Floating 6.43043 N N N N N N N/A N/A 000000000 1.000000 NC -20006.070000 -0.0124988 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4775024.540000 MXN 259941.460000 USD 2024-01-31 -20006.070000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACP8 99717.120000 PA USD 90733.410000 0.0566857 Long ABS-MBS CORP US N 2 2035-11-20 Floating 6.0724 N N N N N N RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4 N/A 74923HAL5 124399.730000 PA USD 100854.000000 0.0630086 Long ABS-MBS CORP US N 3 2037-03-25 Fixed 6 N N N N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849CJL6 200000.000000 PA USD 200412.600000 0.125208 Long DBT CORP US N 2 2024-06-28 Floating 6.53471 N N N N N N N/A N/A 000000000 1.000000 NC -1103.160000 -0.0006892 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 788880073.000000 IDR 50129.000000 USD 2024-03-20 -1103.160000 N N N FANNIE MAE 2003-66 N/A 31393C4W0 43398.090000 PA USD 4078.840000 0.0025483 Long ABS-MBS USGSE US N 2 2033-07-25 Floating 2.19809 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 20516.170000 PA USD 9561.060000 0.0059733 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 N N N N N N SUNTRUST ADJR MRTG LN TR 2007-S1 N/A 855541AA6 141916.270000 PA USD 102867.170000 0.0642663 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.46729 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341SF7 52446.900000 PA USD 46215.160000 0.0288729 Long ABS-MBS CORP US N 3 2035-09-25 Floating 5.47808 N N N N N N N/A N/A 000000000 1.000000 NC -187.000000 -0.0001168 N/A DFE HU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5963260.000000 HUF 17000.000000 USD 2024-01-04 -187.000000 N N N N/A N/A 000000000 1.000000 NC 59808.980000 0.0373657 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2105646.650000 USD 36935863.810000 MXN 2024-01-31 59808.980000 N N N N/A N/A 000000000 1.000000 NC -4553.190000 -0.0028446 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 200000.000000 CAD 146384.510000 USD 2024-01-02 -4553.190000 N N N N/A N/A 000000000 -100000.000000 NC USD -284.310000 -0.0001776 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.21500 01/24/24-10Y LCH 2034-01-24 0.000000 USD 0.000000 USD N/A USD N/A 3.210000 USD 2024-01-22 XXXX 120.690000 N N N N/A N/A 000000000 1.000000 NC USD -3232.430000 -0.0020195 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-29 0.000000 USD 0.000000 USD 100000.000000 USD -3232.430000 N N N N/A N/A 000000000 -100000.000000 NC USD -1283.560000 -0.0008019 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.55000 01/18/24-10Y LCH 2034-01-18 0.000000 USD 0.000000 USD N/A USD N/A 3.550000 USD 2024-01-16 XXXX -847.310000 N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J6C6 300000.000000 PA USD 300902.400000 0.187989 Long DBT CORP US N 2 2025-08-01 Floating 6.15569 N N N N N N GSAMP TRUST 2006-HE8 N/A 3622M8AE6 605000.000000 PA USD 495244.650000 0.309404 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.70043 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL2 N/A 17312TAA1 1072395.500000 PA USD 715809.950000 0.447203 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.66043 N N N N N N N/A N/A 000000000 1.000000 NC USD 1424.110000 0.0008897 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-03 0.000000 USD -365.000000 USD 100000.000000 USD 1789.110000 N N N N/A N/A 000000000 1.000000 NC -705.770000 -0.0004409 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 64800801.000000 KRW 49810.370000 USD 2024-06-20 -705.770000 N N N CITIMORTGAGE ALTERNATIVE LOAN TRUST 2007-A4 N/A 12566VAJ1 260038.490000 PA USD 220852.280000 0.137978 Long ABS-MBS CORP US N 2 2037-04-25 Floating 6 N N N N N N N/A N/A 000000000 -100000.000000 NC -1127.910000 -0.0007047 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.59000 01/09/24-10Y LCH 2034-01-09 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.590000 EUR 2024-01-05 XXXX -759.780000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796ZY8 2835000.000000 PA USD 2825458.780000 1.76521 Long DBT UST US N 2 2024-01-25 None 0 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAC2 483976.610000 PA USD 485947.310000 0.303596 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.27 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAH3 200000.000000 PA USD 192658.980000 0.120364 Long DBT CORP US N 2 2026-11-16 Fixed 3.5 N N N N N N SEQUOIA MORTGAGE TRUST 2004-3 N/A 81744FAZ0 9285.250000 PA USD 9032.950000 0.0056433 Long ABS-MBS CORP US N 3 2034-05-20 Floating 6.41652 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBL9 100000.000000 PA USD 87808.210000 0.0548582 Long DBT CORP US N 2 2028-03-15 Fixed 1.55 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -672.240000 -0.00042 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.30000 01/18/24-10Y LCH 2034-01-18 0.000000 USD 0.000000 USD N/A USD N/A 3.300000 USD 2024-01-16 XXXX 179.760000 N N N CITIGROUP MTGE LOAN TR INC 2006-FX1 N/A 17309YAC1 329223.820000 PA USD 193420.380000 0.12084 Long ABS-MBS CORP US N 2 2036-10-25 Floating 6.07043 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -0.020000 0 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.12000 01/08/24-10Y LCH 2034-01-08 0.000000 USD 0.000000 USD N/A USD N/A 4.120000 USD 2024-01-04 XXXX 469.980000 N N N N/A N/A 000000000 1.000000 NC USD 1488.120000 0.0009297 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-07 0.000000 USD -397.500000 USD 100000.000000 USD 1885.620000 N N N GSAA HOME EQUITY TRUST 2007-5 N/A 3622ECAA4 628603.070000 PA USD 200133.260000 0.125033 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.57043 N N N N N N N/A N/A 000000000 1.000000 NC -1134.670000 -0.0007089 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 422000.000000 CNY 58429.410000 USD 2024-03-26 -1134.670000 N N N N/A N/A 000000000 1.000000 NC USD -8175.450000 -0.0051076 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-20 45195.720000 USD 0.000000 USD 6200000.000000 USD -53371.170000 N N N N/A N/A 000000000 1.000000 NC USD 5975.670000 0.0037333 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-20 0.000000 USD -342.750000 USD 100000.000000 USD 6318.420000 N N N CITIGROUP MORTGAGE LOAN TRUST 2022-A N/A 17330VAA4 723557.840000 PA USD 726931.930000 0.454151 Long ABS-MBS CORP US N 2 2062-09-25 Fixed 6.17 N N N N N N N/A N/A 000000000 1.000000 NC -3997.310000 -0.0024973 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-29 0.000000 EUR 0.000000 EUR 100000.000000 EUR -3997.310000 N N N N/A N/A 000000000 1.000000 NC -84.500000 -0.0000528 N/A DFE HU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2111100.000000 HUF 6000.000000 USD 2024-01-04 -84.500000 N N N LIBERTY LENDING ABS TRUST 2022-2A N/A 75526GAA9 116994.820000 PA USD 116966.310000 0.0730747 Long ABS-O CORP US N 2 2030-05-15 Fixed 6.63 N N N N N N PRIME MORTGAGE TRUST 2006-1 N/A 74161BAH8 4935.020000 PA USD 4668.640000 0.0029167 Long ABS-MBS CORP US N 3 2036-06-25 Fixed 6 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P5 N/A 14687RAC5 300000.000000 PA USD 303584.220000 0.189664 Long ABS-O CORP US N 2 2029-01-10 Fixed 5.62 N N N N N N N/A N/A 000000000 1.000000 NC USD 106016.800000 0.066234 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-21 66377.000000 USD 0.000000 USD 4400000.000000 USD 39639.800000 N N N FREMONT HOME LOAN TRUST 2006-D N/A 35729VAA5 462886.910000 PA USD 272842.760000 0.170459 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.61043 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 1065228.180000 PA USD 10328452.420000 6.4527 Long STIV RF US N 1 N N N N/A N/A 000000000 1.000000 NC -391.340000 -0.0002445 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1100000.000000 BRL 222083.140000 USD 2024-07-02 -391.340000 N N N BANK OF AMERICA MTGE SEC 2003-D N/A 05948XBS9 10580.250000 PA USD 8463.360000 0.0052875 Long ABS-MBS CORP US N 3 2033-05-25 Floating 5.36079 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-E N/A 05949AHA1 14805.150000 PA USD 13760.580000 0.0085969 Long ABS-MBS CORP US N 3 2034-06-25 Floating 4.99872 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-NC2 N/A 61744CPK6 57179.720000 PA USD 56990.990000 0.0356051 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.38543 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YL8 2038623.000000 PA USD 1994341.480000 1.24597 Long DBT UST US N 2 2024-10-15 Fixed 0.125 N N N N N N COUNTRYWIDE HOME LOANS 2005-R2 N/A 12669GN64 72727.730000 PA USD 68278.920000 0.0426573 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.81043 N N N N N N N/A N/A 000000000 1.000000 NC USD 701110.930000 0.438019 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2024-04-24 0.000000 USD 0.000000 USD 17665551.360000 USD 701110.930000 N N N COUNTRYWIDE HOME LOANS 2005-9 N/A 12669GYY1 128878.880000 PA USD 104156.740000 0.065072 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.07043 N N N N N N N/A N/A 000000000 1038000.000000 PA USD 1038000.000000 0.648491 Long RA US N 2 Repurchase N 2.600000 2024-01-02 1044500.000000 USD 1058816.390000 USD UST N N N ENCORE CREDIT RECEIVABLES TRUST 2005-2 N/A 126673J37 38360.700000 PA USD 37696.010000 0.0235506 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.20543 N N N N N N CANADIAN IMPERIAL BANK OF COMMERCE (CIBC) 2IGI19DL77OX0HC3ZE78 1360Z2N26 200000.000000 PA 150851.670000 0.0942446 Long DBT CORP CA N 2 2024-01-02 None 0 N N N N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 35104AAB4 500000.000000 PA USD 503190.750000 0.314369 Long ABS-O CORP US N 2 2028-05-15 Fixed 5.99 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 9404771.230000 PA 1132773.060000 0.7077 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC -408.590000 -0.0002553 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 783000.000000 MXN 45496.710000 USD 2024-01-31 -408.590000 N N N N/A N/A 000000000 1.000000 NC 8663.940000 0.0054128 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-10-09 0.000000 EUR -473.200000 EUR 200000.000000 EUR 9137.140000 N N N CITIGROUP MORTGAGE LOAN TR 2006-WF2 N/A 17309BAL1 139539.460000 PA USD 72542.200000 0.0453208 Long ABS-MBS CORP US N 2 2036-05-25 Variable 7.25 N N N N N N N/A N/A 000000000 -100000.000000 NC -772.440000 -0.0004826 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.49000 01/16/24-10Y LCH 2034-01-16 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.490000 EUR 2024-01-12 XXXX -374.300000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2F9 200000.000000 PA USD 191274.660000 0.119499 Long DBT CORP US N 2 2027-06-17 Floating 3.196 N N N N N N FREDDIE MAC REMICS 3828 N/A 3137A7VH0 2985.410000 PA USD 1946.660000 0.0012162 Long ABS-MBS USGSE US N 2 2041-02-15 Floating 0 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 7800Z8P20 100000.000000 PA 75079.430000 0.0469059 Long DBT CORP CA N 2 2024-02-02 None 0 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR5 N/A 45660LGV5 561485.630000 PA USD 413268.920000 0.25819 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.00999 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DZ9 200000.000000 PA USD 202859.950000 0.126737 Long DBT CORP GB N 2 2027-08-14 Floating 5.887 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AP3 500000.000000 PA USD 492668.130000 0.307795 Long DBT CORP CH N 2 2028-05-12 Floating 4.751 N N N N N N AMAZONCOM INC ZXTILKJKG63JELOEG630 023135106 10600.000000 NS USD 1610564.000000 1.0062 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -903.530000 -0.0005645 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 538725.000000 BRL 110000.000000 USD 2024-01-03 -903.530000 N N N N/A N/A 000000000 1.000000 NC USD 13765.900000 0.0086003 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-20 7968.290000 USD 0.000000 USD 700000.000000 USD 5797.610000 N N N FREDDIE MAC 3311 N/A 31397H6P8 5887.770000 PA USD 5775.740000 0.0036084 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 5.75292 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAC9 10356.880000 PA USD 9569.380000 0.0059785 Long ABS-MBS CORP US N 3 2035-07-25 Floating 5.44183 N N N N N N N/A N/A 000000000 1.000000 NC -78.770000 -0.0000492 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8088.340000 BRL 1583.620000 USD 2024-02-02 -78.770000 N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAE8 300000.000000 PA USD 305226.780000 0.190691 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.96 N N N N N N N/A N/A 000000000 1.000000 NC -18213.750000 -0.011379 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 800000.000000 CAD 585793.270000 USD 2024-02-01 -18213.750000 N N N N/A N/A 000000000 1.000000 NC 2848.030000 0.0017793 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 355222.360000 USD 1742188.060000 BRL 2024-02-02 2848.030000 N N N TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5 N/A 87277JAA9 900000.000000 PA USD 881742.600000 0.550869 Long ABS-CBDO CORP KY N 2 2039-02-15 Floating 6.98844 N N N N N N JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 48125LRU8 500000.000000 PA USD 504682.380000 0.3153 Long DBT CORP US N 2 2026-12-08 Fixed 5.11 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797GC5 593000.000000 PA USD 592225.860000 0.369993 Long DBT UST US N 2 2024-01-11 None 0 N N N N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 ACI2M7S84 70000000.000000 PA 201650.290000 0.125981 Long DBT MUN HU N 2 2024-01-04 None 0 N N N N N N FANNIE MAE 2009-87 N/A 31398FR45 73527.390000 PA USD 6255.250000 0.003908 Long ABS-MBS USGSE US N 2 2039-11-25 Floating 0.69809 N N N N N N N/A N/A 000000000 1.000000 NC -5395.650000 -0.0033709 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-06 0.000000 EUR -382.140000 EUR 100000.000000 EUR -5013.510000 N N N N/A N/A 000000000 1.000000 NC -5866.160000 -0.0036649 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 1400000.000000 BRL 277283.180000 USD 2024-07-02 -5866.160000 N N N HERTZ VEHICLE FINANCING III LLC 2023-1A N/A 42806MBS7 300000.000000 PA USD 301388.340000 0.188293 Long ABS-O CORP US N 2 2027-06-25 Fixed 5.49 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -178.030000 -0.0001112 N/A DIR US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Written UBS AG BFM8T61CT2L1QCEMIK50 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.74400 01/22/24-10Y LCH 2034-01-22 0.000000 USD 0.000000 USD N/A USD N/A 3.740000 USD 2024-01-18 XXXX 309.450000 N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AB9 100000.000000 PA USD 97958.690000 0.0611997 Long DBT CORP US N 2 2028-02-15 Fixed 4.75 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2023-1 N/A 17331KAC3 383684.510000 PA USD 384396.820000 0.240152 Long ABS-O CORP US N 2 2026-07-15 Floating 6.28844 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -313.380000 -0.0001958 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.17000 01/31/24-10Y LCH 2034-01-31 0.000000 USD 0.000000 USD N/A USD N/A 3.170000 USD 2024-01-29 XXXX 119.120000 N N N MF1 2022-FL9 LLC N/A 55285AAA5 1000000.000000 PA USD 998839.470000 0.624025 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 7.50575 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6 N/A 80287DAC1 500000.000000 PA USD 509444.350000 0.318276 Long ABS-O CORP US N 2 2028-07-17 Fixed 5.93 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 9433.670000 PA USD 9159.680000 0.0057225 Long ABS-MBS CORP US N 3 2035-07-25 Floating 5.52818 N N N N N N N/A N/A 000000000 1.000000 NC USD 6075.690000 0.0037958 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-23 0.000000 USD -351.250000 USD 100000.000000 USD 6426.940000 N N N N/A N/A 000000000 1.000000 NC -1994.300000 -0.0012459 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 105000.000000 AUD 69571.900000 USD 2024-01-09 -1994.300000 N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR14 N/A 45668GAD4 983251.760000 PA USD 893123.950000 0.557979 Long ABS-MBS CORP US N 2 2046-11-25 Floating 5.87043 N N N N N N N/A N/A 000000000 1.000000 NC -46.640000 -0.0000291 N/A DFE HU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1751000.000000 HUF 5000.000000 USD 2024-01-04 -46.640000 N N N USAA AUTO OWNER TRUST 2023-A N/A 90291VAB6 300000.000000 PA USD 300750.300000 0.187894 Long ABS-O CORP US N 2 2026-07-15 Fixed 5.83 N N N N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAN2 199569.030000 PA USD 163521.830000 0.10216 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.3709 N N N N N N CITIMORTGAGE ALTERNATIVE LN TR 2007-A6 N/A 18976GAG1 176271.870000 PA USD 153968.100000 0.0961916 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 2457.910000 0.0015356 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1539769.000000 USD 128633842.030000 INR 2024-02-29 2457.910000 N N N COUNTRYWIDE HOME LOANS 2004-15 N/A 12669FL50 19154.220000 PA USD 18737.390000 0.0117062 Long ABS-MBS CORP US N 2 2034-10-20 Floating 6.03679 N N N N N N FANNIE MAE REMICS 2007-25 N/A 31396VCB2 3555.930000 PA USD 3461.500000 0.0021626 Long ABS-MBS USGSE US N 2 2037-04-25 Floating 5.78191 N N N N N N N/A N/A 000000000 1.000000 NC 16.400000 0.0000102 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 219.810000 USD 4029.080000 MXN 2024-01-31 16.400000 N N N THEOREM FUNDING TRUST 2022-1A N/A 88339XAA2 7150.630000 PA USD 7138.090000 0.0044595 Long ABS-O CORP US N 2 2028-02-15 Fixed 1.85 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 344691.920000 PA USD 144972.940000 0.0905719 Long ABS-MBS CORP US N 2 2037-09-25 Floating 6.57043 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAE4 3307094.690000 PA USD 843637.210000 0.527063 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.87043 N N N N N N GSAA HOME EQUITY TRUST 2006-5 N/A 362334GR9 290180.570000 PA USD 99320.680000 0.0620506 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.61043 N N N N N N FANNIE MAE REMICS 2007-70 N/A 31396WRQ1 6161.630000 PA USD 6062.490000 0.0037875 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 5.80191 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UM6 17759.020000 PA USD 16700.460000 0.0104336 Long ABS-MBS CORP US N 2 2034-11-21 Floating 5.38579 N N N N N N N/A N/A 000000000 1.000000 NC -5.670000 -0.0000035 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 50117.230000 USD 771624920.000000 IDR 2024-03-20 -5.670000 N N N N/A N/A 000000000 -100000.000000 NC USD -25.620000 -0.000016 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.00000 01/18/24-10Y LCH 2034-01-18 0.000000 USD 0.000000 USD N/A USD N/A 4.000000 USD 2024-01-16 XXXX 410.630000 N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAD7 145079.490000 PA USD 134060.780000 0.0837545 Long ABS-MBS CORP US N 3 2035-07-25 Floating 5.44183 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -1575.460000 -0.0009843 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.60000 01/17/24-10Y LCH 2034-01-17 0.000000 USD 0.000000 USD N/A USD N/A 3.600000 USD 2024-01-12 XXXX -1117.960000 N N N AAMES MORTGAGE INVESTMENT TRUST 2005-2 N/A 126673L42 379451.900000 PA USD 380322.210000 0.237607 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.46043 N N N N N N N/A N/A 000000000 1.000000 NC -4737.500000 -0.0029598 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-12-13 0.000000 EUR -378.890000 EUR 200000.000000 EUR -4358.610000 N N N N/A N/A 000000000 1.000000 NC -2099.710000 -0.0013118 N/A DFE JP N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7600000.000000 JPY 51834.990000 USD 2024-01-09 -2099.710000 N N N N/A N/A 000000000 -100000.000000 NC USD -652.360000 -0.0004076 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.47500 01/10/24-10Y LCH 2034-01-10 0.000000 USD 0.000000 USD N/A USD N/A 3.480000 USD 2024-01-08 XXXX -182.360000 N N N N/A N/A 000000000 1.000000 NC USD 10941.310000 0.0068356 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-03 0.000000 USD -775.000000 USD 200000.000000 USD 11716.310000 N N N AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC N/A 05377RHL1 300000.000000 PA USD 306618.600000 0.19156 Long ABS-O CORP US N 2 2028-08-21 Fixed 5.9 N N N N N N N/A N/A 000000000 1.000000 NC 2089.750000 0.0013056 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 179892.880000 USD 267000.000000 AUD 2024-01-09 2089.750000 N N N N/A N/A 000000000 1.000000 NC -267.340000 -0.000167 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 206130.320000 USD 1000000.000000 BRL 2024-01-03 -267.340000 N N N N/A N/A 000000000 1.000000 NC USD 1891031.450000 1.18142 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 1552991.990000 USD 0.000000 USD 13100000.000000 USD 338039.460000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAD2 395569.610000 PA USD 403215.340000 0.251909 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.69043 N N N N N N N/A N/A 000000000 1.000000 NC USD 7850.450000 0.0049046 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-11-01 0.000000 USD -407.500000 USD 100000.000000 USD 8257.950000 N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-NET N/A 126438AE0 900000.000000 PA USD 830870.280000 0.519087 Long ABS-MBS CORP US N 2 2037-08-15 Fixed 2.8159 N N N N N N N/A N/A 000000000 1.000000 NC USD 8578.070000 0.0053592 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-04 0.000000 USD -692.500000 USD 200000.000000 USD 9270.570000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI2KW5L7 2251535.690000 PA 2392.530000 0.0014947 Long DBT NUSS AR N 2 2024-05-20 Fixed 3.75 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-A N/A 05948XT27 12102.740000 PA USD 11529.010000 0.0072028 Long ABS-MBS CORP US N 3 2034-02-25 Fixed 4.16735 N N N N N N AREIT TRUST 2022-CRE6 N/A 04002VAA9 536444.870000 PA USD 532943.010000 0.332956 Long ABS-MBS CORP KY N 2 2037-01-20 Floating 6.58777 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-3 N/A 80285XAB1 640920.420000 PA USD 642150.790000 0.401184 Long ABS-O CORP US N 2 2026-08-17 Fixed 6.08 N N N N N N N/A N/A 000000000 1.000000 NC 943.490000 0.0005894 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 36054.000000 USD 1116953.000000 TWD 2024-03-20 943.490000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-N3 N/A 14686RAA0 340886.660000 PA USD 342547.900000 0.214007 Long ABS-O CORP US N 2 2027-09-10 Fixed 6.41 N N N N N N FANNIE MAE REMICS 2007-22 N/A 31396PT92 135059.160000 PA USD 11091.750000 0.0069296 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 0.59809 N N N N N N N/A N/A 000000000 1.000000 NC -15323.360000 -0.0095733 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1168000.000000 EUR 1274387.750000 USD 2024-01-09 -15323.360000 N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 03065UAA7 218485.380000 PA USD 218486.060000 0.136499 Long ABS-O CORP US N 2 2024-09-18 Fixed 5.723 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -3.080000 -0.0000019 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.98900 01/10/24-10Y LCH 2034-01-10 0.000000 USD 0.000000 USD N/A USD N/A 3.990000 USD 2024-01-08 XXXX 459.920000 N N N N/A N/A 000000000 1.000000 NC -4781.160000 -0.002987 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 1000000.000000 BRL 201081.820000 USD 2024-01-03 -4781.160000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAN0 100000.000000 PA USD 100024.670000 0.0624905 Long DBT CORP US N 2 2026-08-10 Floating 6.4183 N N N N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J6B8 600000.000000 PA USD 606426.850000 0.378865 Long DBT CORP US N 2 2025-08-01 Fixed 5.55 N N N N N N MARLETTE FUNDING TRUST 2023-1A N/A 57110PAA9 443463.380000 PA USD 443205.860000 0.276893 Long ABS-O CORP US N 2 2033-04-15 Fixed 6.07 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAM2 500000.000000 PA USD 505064.880000 0.315539 Long DBT CORP US N 2 2026-08-10 Floating 5.798 N N N N N N N/A N/A 000000000 1.000000 NC -1400.870000 -0.0008752 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 309393.070000 USD 1508507.790000 BRL 2024-04-02 -1400.870000 N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 89236TKY0 400000.000000 PA USD 400414.950000 0.250159 Long DBT CORP US N 2 2024-08-22 Floating 5.92 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2005-FF10 N/A 32027NWP2 737526.140000 PA USD 681360.940000 0.425681 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.19043 N N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAC8 179723.400000 PA USD 153306.770000 0.0957785 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.83426 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 17062.580000 PA USD 165967.720000 0.103688 Long STIV RF US N 1 N N N MARATHON OIL CORPORATION 1FRVQX2CRLGC1XLP5727 56584TA36 600000.000000 PA USD 599548.150000 0.374568 Long DBT CORP US N 2 2024-01-03 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -476.590000 -0.0002977 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 500000.000000 BRL 100648.170000 USD 2024-07-02 -476.590000 N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49455LAN0 350000.000000 PA USD 348633.680000 0.217809 Long DBT CORP US N 2 2024-01-22 None 0 N N N N N N PAGAYA AI DEBT TRUST 2022-3 N/A 69547MAA4 511834.650000 PA USD 510853.720000 0.319156 Long ABS-O CORP US N 2 2030-03-15 Fixed 6.06 N N N N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 1502955.210000 PA USD 1252783.960000 0.782677 Long ABS-MBS CORP US N 2 2037-07-25 Floating 6.07043 N N N N N N HONDA AUTO RECEIVABLES OWNER TRUST 2023-3 N/A 43815QAB3 500000.000000 PA USD 501585.200000 0.313366 Long ABS-O CORP US N 2 2026-03-18 Fixed 5.71 N N N N N N N/A N/A 000000000 1.000000 NC USD 14917.440000 0.0093197 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-25 0.000000 USD -687.500000 USD 200000.000000 USD 15604.940000 N N N CHEVY CHASE MORTGAGE FUND CORP 2005-2A N/A 16678RDL8 266035.400000 PA USD 237792.820000 0.148561 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.70043 N N N N N N N/A N/A 000000000 1.000000 NC -16966.000000 -0.0105995 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2000000.000000 BRL 394759.960000 USD 2024-01-03 -16966.000000 N N N N/A N/A 000000000 1.000000 NC -20273.010000 -0.0126656 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10628555.720000 MXN 602852.140000 USD 2024-01-31 -20273.010000 N N N MERRILL LYNCH MTGE INVESTORS 2006-A3 N/A 59023CAK8 106245.980000 PA USD 95148.970000 0.0594444 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.34726 N N N N N N N/A N/A 000000000 1.000000 NC USD -44262.870000 -0.0276532 N/A DCR US N 3 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -291073.610000 USD 1117646.110000 USD 246810.740000 N N N BEAR STEARNS ADJ RATE MTGE TR 2006-1 N/A 07387AGZ2 6124.710000 PA USD 5738.320000 0.003585 Long ABS-MBS CORP US N 2 2036-02-25 Floating 7.66 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST VII 2022-3A N/A 76088TAA9 283891.370000 PA USD 281103.220000 0.175619 Long ABS-O CORP US N 2 2030-11-25 Fixed 5.38 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2005-AA10 N/A 32051GA88 63670.540000 PA USD 48483.170000 0.0302899 Long ABS-MBS CORP US N 2 2035-12-25 Floating 6.10653 N N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR1 N/A 93934FJQ6 722396.700000 PA USD 545102.200000 0.340553 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.97043 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2022-1 N/A 69546MAA5 117764.750000 PA USD 115994.660000 0.0724677 Long ABS-O CORP US N 2 2029-10-15 Fixed 2.03 N N N N N N N/A N/A 000000000 1.000000 NC -1045.400000 -0.0006531 N/A DFE CH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 21558.430000 CHF 24600.770000 USD 2024-01-09 -1045.400000 N N N AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST 2023-1 N/A 02582JJZ4 400000.000000 PA USD 403225.920000 0.251916 Long ABS-MBS CORP US N 2 2028-05-15 Fixed 4.87 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-61 N/A 12668AVL6 18144.370000 PA USD 15944.580000 0.0099614 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.99043 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECG8 400000.000000 PA USD 415089.070000 0.259327 Long DBT CORP GB N 2 2034-05-09 Floating 6.224 N N N N N N N/A N/A 000000000 -100000.000000 NC -262.390000 -0.0001639 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.33000 01/17/24-10Y LCH 2034-01-17 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.330000 EUR 2024-01-15 XXXX 160.800000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZJ2 357339.000000 PA USD 344616.560000 0.215299 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N N/A N/A 000000000 1.000000 NC USD -344487.980000 -0.215219 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-06-15 0.000000 USD -317881.150000 USD 4200000.000000 USD -26606.830000 N N N MARLETTE FUNDING TRUST 2022-3A N/A 57109NAB5 200000.000000 PA USD 199689.680000 0.124756 Long ABS-O CORP US N 2 2032-11-15 Fixed 5.95 N N N N N N N/A N/A 000000000 1.000000 NC -102102.800000 -0.0637888 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5398165.350000 CAD 3972291.760000 USD 2024-01-09 -102102.800000 N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 21262.830000 PA USD 20702.710000 0.012934 Long ABS-MBS CORP US N 2 2045-12-25 Floating 6.01043 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2004-4 N/A 885220GF4 116234.770000 PA USD 108438.250000 0.0677468 Long ABS-MBS CORP US N 3 2044-12-25 Floating 5.24256 N N N N N N CREDIT SUISSE MRTG CAPITAL CERT 2006-7 N/A 22942KAJ9 26456.990000 PA USD 21991.770000 0.0137394 Long ABS-MBS CORP US N 3 2036-08-25 Fixed 5.75 N N N N N N ARROW ELECTRONICS INC 549300YNNLBXT8N8R512 04273LA47 250000.000000 PA USD 249760.150000 0.156038 Long DBT CORP US N 2 2024-01-04 None 0 N N N N N N N/A N/A 000000000 -100000.000000 NC -3.510000 -0.0000022 N/A DIR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.86000 01/10/24-5Y LCH 2029-01-10 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.860000 EUR 2024-01-08 XXXX 225.900000 N N N FREDDIE MAC REMICS 3922 N/A 3137AFHT2 468428.140000 PA USD 425511.550000 0.265838 Long ABS-MBS USGSE US N 2 2041-09-15 Floating 0 N N N N N N COUNTRYWIDE ASSET BACKED CERT 2007-QH1 N/A 12669HAA7 335330.310000 PA USD 316744.290000 0.197886 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.87043 N N N N N N NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1 N/A 66988UAA8 964300.070000 PA USD 338364.700000 0.211394 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.88043 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 41678.240000 PA USD 36829.130000 0.023009 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.511 N N N N N N GSAA HOME EQUITY TRUST 2006-10 N/A 362375AD9 519006.720000 PA USD 136360.040000 0.085191 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.79548 N N N N N N N/A N/A 000000000 1.000000 NC 7.370000 0.0000046 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6545.000000 USD 547175.090000 INR 2024-03-20 7.370000 N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT N/A 46645WBA0 700000.000000 PA USD 578687.060000 0.361535 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 4.5487 N N N N N N OPTION ONE MORTGAGE LOAN TR 2005-1 N/A 68389FGK4 546093.150000 PA USD 513515.740000 0.320819 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.25043 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACL9 400000.000000 PA USD 399915.080000 0.249847 Long DBT CORP US N 2 2025-08-04 Floating 6.50468 N N N N N N AVON FINANCE 4A N/A ACI2JTXR2 600000.000000 PA 763172.550000 0.476792 Long ABS-MBS CORP GB N 2 2049-12-28 Floating 6.08955 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A N/A 96041CAA0 440331.000000 PA USD 440424.130000 0.275155 Long ABS-O CORP US N 2 2024-08-15 Fixed 5.781 N N N N N N N/A N/A 000000000 1.000000 NC USD -3116.710000 -0.0019472 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-26 0.000000 USD 0.000000 USD 100000.000000 USD -3116.710000 N N N N/A N/A 000000000 -100000.000000 NC -0.340000 -0.0000002 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 3.03000 01/08/24-10Y LCH 2034-01-08 0.000000 EUR 0.000000 EUR N/A EUR N/A 3.030000 EUR 2024-01-04 XXXX 362.600000 N N N N/A N/A 000000000 1.000000 NC 37243.670000 0.023268 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 834227.510000 USD 122800000.000000 JPY 2024-01-09 37243.670000 N N N CBAM 2018-5 LTD 8A N/A 12478CAA9 270426.870000 PA USD 270576.320000 0.169043 Long ABS-CBDO CORP KY N 2 2029-10-20 Floating 6.79743 N N N N N N N/A N/A 000000000 1.000000 NC USD 3568.110000 0.0022292 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-23 0.000000 USD -780.000000 USD 200000.000000 USD 4348.110000 N N N N/A N/A 000000000 1.000000 NC -2911.270000 -0.0018188 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 199459800.000000 KRW 152579.690000 USD 2024-06-20 -2911.270000 N N N CARVANA AUTO RECEIVABLES TRUST 2019-3A N/A 14686XAG4 429446.160000 PA USD 426584.420000 0.266509 Long ABS-O CORP US N 2 2026-07-15 Fixed 4.6 N N N N N N FREDDIE MAC REMICS 3951 N/A 3137AHVF2 110524.740000 PA USD 98329.970000 0.0614317 Long ABS-MBS USGSE US N 2 2040-02-15 Floating 0 N N N N N N N/A N/A 000000000 1.000000 NC -64768.630000 -0.0404642 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 22988000.000000 CNY 3179921.180000 USD 2024-03-26 -64768.630000 N N N PAGAYA AI DEBT TRUST 2022-2 N/A 69546VAA5 60785.270000 PA USD 60446.120000 0.0377637 Long ABS-O CORP US N 2 2030-01-15 Fixed 4.97 N N N N N N N/A N/A 000000000 1.000000 NC 72.060000 0.000045 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 3040.850000 USD 53792.640000 MXN 2024-04-19 72.060000 N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF15 N/A 32028GAE5 155247.820000 PA USD 152432.030000 0.095232 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.63043 N N N N N N N/A N/A 000000000 1.000000 NC USD -12772.440000 -0.0079796 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-11-22 0.000000 USD -910.000000 USD 200000.000000 USD -11862.440000 N N N N/A N/A 000000000 -200000.000000 NC USD -634.160000 -0.0003962 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.23500 01/24/24-10Y LCH 2034-01-24 0.000000 USD 0.000000 USD N/A USD N/A 3.230000 USD 2024-01-22 XXXX 185.840000 N N N WASHINGTON MUTUAL 2003-AR6 N/A 9292274D5 60899.560000 PA USD 55970.710000 0.0349677 Long ABS-MBS CORP US N 3 2033-06-25 Floating 5.34592 N N N N N N N/A N/A 000000000 -2.000000 NC -25282.580000 -0.0157953 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2024-03-07 -312903.630000 EUR -25282.580000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCB0 200000.000000 PA USD 184642.200000 0.115355 Long DBT CORP US N 2 2027-04-22 Floating 1.578 N N N N N N MORGAN STANLEY DEAN WITTER CAP I2002-AM3 N/A 61746WWR7 137613.150000 PA USD 132921.430000 0.0830427 Long ABS-MBS CORP US N 3 2033-02-25 Floating 6.45043 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-AF1 N/A 65535AAA2 369214.510000 PA USD 86704.710000 0.0541688 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.532 N N N N N N N/A N/A 000000000 1.000000 NC -135227.050000 -0.0844832 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2054-03-20 12613.960000 EUR 0.000000 EUR 1300000.000000 EUR -147841.010000 N N N UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A N/A 91680YAY7 44228.210000 PA USD 43224.400000 0.0270045 Long ABS-O CORP US N 2 2030-06-17 Fixed 4.25 N N N N N N THEOREM FUNDING TRUST 2022-2A N/A 88339FAA1 268524.890000 PA USD 267686.260000 0.167237 Long ABS-O CORP US N 2 2028-12-15 Fixed 6.06 N N N N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-1 N/A 03067BAC3 420548.630000 PA USD 420778.630000 0.262882 Long ABS-O CORP US N 2 2026-10-19 Floating 6.0681 N N N N N N N/A N/A 000000000 1.000000 NC -188.590000 -0.0001178 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 64985000.000000 KRW 50000.000000 USD 2024-01-22 -188.590000 N N N CARRIER GLOBAL CORPORATION 549300JE3W6CWY2NAN77 ACI2L5PF6 100000.000000 PA 111390.230000 0.0695911 Long DBT CORP US N 2 2025-05-29 Fixed 4.375 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2023-2A N/A 379928AC8 473352.650000 PA USD 472669.890000 0.295301 Long ABS-O CORP US N 2 2027-01-15 Fixed 5.7 N N N N N N N/A N/A 000000000 -302.000000 NC USD -467794.950000 -0.292255 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2024-09-17 -72085512.500000 USD -467794.950000 N N N N/A N/A 000000000 1.000000 NC 6396.650000 0.0039963 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 270373.510000 USD 39000000.000000 JPY 2024-01-09 6396.650000 N N N CREDIT SUISSE MORTGAGE TRUST 2010-16 N/A 12644WAT3 942188.660000 PA USD 804482.130000 0.502601 Long ABS-MBS CORP US N 2 2050-06-25 Variable 4.14552 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAC5 300487.880000 PA USD 284315.320000 0.177626 Long ABS-MBS CORP US N 2 2047-06-25 Floating 6.81474 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RBQ4 500000.000000 PA USD 509020.850000 0.318011 Long DBT CORP FR N 2 2027-01-12 Floating 6.447 N N N N N N FREDDIE MAC REMICS 3848 N/A 3137A9D52 218870.570000 PA USD 220826.880000 0.137962 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -3757.020000 -0.0023472 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-22 0.000000 EUR 0.000000 EUR 100000.000000 EUR -3757.020000 N N N N/A N/A 000000000 -100000.000000 NC USD -1793.810000 -0.0011207 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.67000 01/08/24-10Y LCH 2034-01-08 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2024-01-04 XXXX -1323.810000 N N N BANK OF AMERICA CREDIT CARD TRUST 2023-A1 N/A 05522RDG0 400000.000000 PA USD 401705.120000 0.250965 Long ABS-MBS CORP US N 2 2028-05-15 Fixed 4.79 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 295996.420000 PA USD 283022.100000 0.176818 Long ABS-O CORP US N 2 2030-09-25 Fixed 4.32 N N N N N N N/A N/A 000000000 1.000000 NC -2566.780000 -0.0016036 N/A DFE KR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 239571926.000000 KRW 184194.000000 USD 2024-06-20 -2566.780000 N N N N/A N/A 000000000 1.000000 NC USD -52590.260000 -0.0328558 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-09-13 81897.690000 USD 0.000000 USD 1500000.000000 USD -134487.950000 N N N DBGS MORTGAGE TRUST 2018-5BP N/A 33830CAC4 500000.000000 PA USD 429644.400000 0.268421 Long ABS-MBS CORP US N 2 2033-06-15 Floating 6.43901 N N N N N N N/A N/A 000000000 1.000000 NC 335.730000 0.0002097 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6136.000000 USD 195886.000000 TWD 2024-02-29 335.730000 N N N N/A N/A 000000000 1.000000 NC USD 4320.660000 0.0026993 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-30 0.000000 USD -751.250000 USD 200000.000000 USD 5071.910000 N N N N/A N/A 000000000 -100000.000000 NC USD -18.180000 -0.0000114 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.05000 01/17/24-10Y LCH 2034-01-17 0.000000 USD 0.000000 USD N/A USD N/A 4.050000 USD 2024-01-12 XXXX 439.320000 N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAD3 667630.180000 PA USD 488894.300000 0.305437 Long ABS-MBS CORP US N 2 2037-10-25 Floating 6.77043 N N N N N N N/A N/A 000000000 1.000000 NC -111.650000 -0.0000698 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7900000.000000 JPY 55952.050000 USD 2024-01-09 -111.650000 N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 208063.630000 PA USD 204451.480000 0.127731 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.68043 N N N N N N FHLMC PASS THRU POOLS N/A 3133BH3J3 394301.480000 PA USD 382846.360000 0.239183 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4.5 N N N N N N FIDELITY GRAND HARBOUR CLO 2022-1 DESIGNATED ACTIVITY CO 22-1A N/A ACI27G891 1000000.000000 PA 1108428.770000 0.692491 Long ABS-CBDO CORP IE N 2 2036-10-15 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC USD 5797.140000 0.0036218 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-18 0.000000 USD -337.500000 USD 100000.000000 USD 6134.640000 N N N N/A N/A 000000000 1.000000 NC -807.210000 -0.0005043 N/A DFE HU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 19016100.000000 HUF 54000.000000 USD 2024-01-04 -807.210000 N N N READY CAPITAL MORTGAGE FINANCING 2022-FL10 LLC N/A 755931AA0 695821.080000 PA USD 701696.800000 0.438385 Long ABS-MBS CORP US N 2 2039-10-25 Floating 7.90795 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2007-3 N/A 026935AH9 198800.710000 PA USD 171459.590000 0.107119 Long ABS-MBS CORP US N 2 2046-11-25 Variable 6.75 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -581.200000 -0.0003631 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.68500 01/24/24-10Y LCH 2034-01-24 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2024-01-22 XXXX 238.800000 N N N CPS AUTO RECEIVABLES TRUST 2023-C N/A 223928AA0 447010.030000 PA USD 447802.310000 0.279765 Long ABS-O CORP US N 2 2026-09-15 Fixed 6.13 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -1618.640000 -0.0010112 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.64750 01/08/24-10Y LCH 2034-01-08 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2024-01-04 XXXX -1163.640000 N N N FANNIE MAE-ACES 2020-M33 N/A 3136BBAR3 456061.390000 PA USD 36292.520000 0.0226738 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.24166 N N N N N N N/A N/A 000000000 1.000000 NC USD 243831.740000 0.152334 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-06-21 112145.490000 USD 0.000000 USD 2100000.000000 USD 131686.250000 N N N N/A N/A 000000000 -5.000000 NC -22879.150000 -0.0142938 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2024-03-07 -757420.200000 EUR -22879.150000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEZ4 600000.000000 PA USD 600805.650000 0.375354 Long DBT CORP US N 2 2027-01-28 Floating 5.05 N N N N N N N/A N/A 000000000 1.000000 NC USD 4417051.500000 2.75955 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2024-09-04 0.000000 USD 0.000000 USD 103354060.040000 USD 4417051.500000 N N N BANC OF AMERICA FUNDING CORP 2006-6 N/A 05950RBJ7 25791.360000 PA USD 22749.970000 0.0142131 Long ABS-MBS CORP US N 3 2036-08-25 Fixed 6 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 757684.210000 PA USD 301912.310000 0.18862 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.95043 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBW5 100000.000000 PA USD 91945.330000 0.0574429 Long DBT CORP US N 2 2027-02-04 Floating 1.04 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR1 N/A 17307G2Z0 31169.260000 PA USD 29914.750000 0.0186893 Long ABS-MBS CORP US N 2 2035-10-25 Floating 7.11 N N N N N N N/A N/A 000000000 1.000000 NC 831.450000 0.0005194 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 49630.450000 USD 924302.610000 ZAR 2024-01-19 831.450000 N N N CIFC FUNDING 2018-III LTD 2018-3A N/A 12551YAA1 499913.760000 PA USD 501129.870000 0.313081 Long ABS-CBDO CORP KY N 2 2031-07-18 Floating 6.75665 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZS6 400000.000000 PA USD 403701.340000 0.252213 Long DBT CORP US N 2 2028-03-15 Floating 7.19879 N N N N N N N/A N/A 000000000 1.000000 NC -1883.060000 -0.0011764 N/A DFE DK N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2997911.790000 DKK 442206.000000 USD 2024-01-09 -1883.060000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797GN1 1900000.000000 PA USD 1887840.840000 1.17943 Long DBT UST US N 2 2024-02-15 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 3679.880000 0.002299 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 148617.850000 USD 1079000.000000 CNY 2024-03-26 3679.880000 N N N N/A N/A 000000000 1.000000 NC -11909.340000 -0.0074404 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-11-08 0.000000 EUR -712.710000 EUR 300000.000000 EUR -11196.630000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TS7 1600000.000000 PA USD 1525875.010000 0.953291 Long DBT UST US N 2 2043-05-15 Fixed 3.875 N N N N N N DLLAA LLC 2023 1A N/A 23292HAB7 500000.000000 PA USD 502369.500000 0.313856 Long ABS-O CORP US N 2 2026-07-20 Fixed 5.93 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB N/A 02149HAJ9 273951.770000 PA USD 147346.690000 0.0920549 Long ABS-MBS CORP US N 3 2037-03-25 Fixed 5.75 N N N N N N FANNIE MAE REMICS 2011-60 N/A 31397U3F4 291657.300000 PA USD 246715.740000 0.154136 Long ABS-MBS USGSE US N 2 2039-08-25 None 0 N N N N N N WASHINGTON MUTUAL 2004-AR14 N/A 939336V91 63378.060000 PA USD 57452.880000 0.0358937 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.24012 N N N N N N LIBERTY LENDING ABS TRUST 2022-1A N/A 50203YAA3 127817.860000 PA USD 127110.030000 0.079412 Long ABS-O CORP US N 2 2029-11-15 Fixed 3.76 N N N N N N N/A N/A 000000000 1.000000 NC 1271.120000 0.0007941 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 541632.460000 USD 2637208.450000 BRL 2024-01-03 1271.120000 N N N CARMAX AUTO OWNER TRUST 2022-4 N/A 14318UAC5 264186.840000 PA USD 264505.290000 0.16525 Long ABS-O CORP US N 2 2025-12-15 Floating 6.23844 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 2597980.000000 PA USD 2521940.140000 1.57558 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -389.220000 -0.0002432 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.28500 01/23/24-10Y LCH 2034-01-23 0.000000 USD 0.000000 USD N/A USD N/A 3.290000 USD 2024-01-19 XXXX 28.280000 N N N N/A N/A 000000000 1.000000 NC 12.050000 0.0000075 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 6596.000000 USD 551824.660000 INR 2024-03-20 12.050000 N N N BANK OF AMERICA MTGE SECURITIES 2004-L N/A 05949AZE3 9300.870000 PA USD 8921.610000 0.0055738 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.03313 N N N N N N N/A N/A 000000000 1.000000 NC USD 311318.600000 0.194496 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-06-21 321529.830000 USD 0.000000 USD 17200000.000000 USD -10211.230000 N N N N/A N/A 000000000 1.000000 NC -3183.770000 -0.0019891 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 372614851.000000 KRW 287292.000000 USD 2024-06-20 -3183.770000 N N N GSAA HOME EQUITY TRUST 2007-5 N/A 3622ECAF3 574995.610000 PA USD 273369.470000 0.170788 Long ABS-MBS CORP US N 2 2047-04-25 Floating 6.11043 N N N N N N FANNIE MAE REMICS 2007-32 N/A 31396VDR6 449811.410000 PA USD 39779.880000 0.0248525 Long ABS-MBS USGSE US N 2 2037-04-25 Floating 0.64809 N N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 78972.040000 PA USD 69334.260000 0.0433166 Long ABS-MBS CORP US N 2 2046-02-25 Floating 6.0118 N N N N N N N/A N/A 000000000 25300000.000000 PA USD 25300000.000000 15.8062 Long RA US N 2 Repurchase N 5.450000 2024-01-02 35496000.000000 USD 25632687.790000 USD UST N N N N/A N/A 000000000 1.000000 NC USD -3623.390000 -0.0022637 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-12-20 97509.090000 USD 0.000000 USD 1300000.000000 USD -101132.480000 N N N N/A N/A 000000000 -100000.000000 NC USD -717.750000 -0.0004484 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.48900 01/10/24-10Y LCH 2034-01-10 0.000000 USD 0.000000 USD N/A USD N/A 3.490000 USD 2024-01-08 XXXX -254.750000 N N N N/A N/A 000000000 1.000000 NC USD 14451.000000 0.0090283 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-12-20 0.000000 USD -5260.460000 USD 1500000.000000 USD 19711.460000 N N N N/A N/A 000000000 1.000000 NC 8301.880000 0.0051866 N/A DFE ID N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1362008.000000 USD 21100227936.000000 IDR 2024-03-20 8301.880000 N N N MORGAN STANLEY MTGE LN TRUST 2006-11 N/A 61749WAP2 123361.800000 PA USD 53646.560000 0.0335157 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 N N N N N N N/A N/A 000000000 -100000.000000 NC -2.760000 -0.0000017 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.96000 01/09/24-10Y LCH 2034-01-09 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.960000 EUR 2024-01-05 XXXX 365.370000 N N N GSAMP TRUST 2007-NC1 N/A 3622MGAC2 211123.030000 PA USD 104710.900000 0.0654182 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.57043 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-4 N/A 802927AC7 1037897.360000 PA USD 1040872.910000 0.650286 Long ABS-O CORP US N 2 2027-02-16 Fixed 6.18 N N N N N N CHASE FUNDING MTGE LN ASSET BK 2002-3 N/A 161546DB9 37075.600000 PA USD 35640.670000 0.0222665 Long ABS-MBS CORP US N 2 2032-08-25 Floating 6.11043 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A N/A 96041CAE2 500000.000000 PA USD 500053.550000 0.312409 Long ABS-O CORP US N 2 2026-10-15 Floating 6.00844 N N N N N N N/A N/A 000000000 1.000000 NC 418.240000 0.0002613 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 49901.150000 USD 774825136.000000 IDR 2024-03-20 418.240000 N N N N/A N/A 000000000 1.000000 NC -589.640000 -0.0003684 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 320000.000000 DKK 46812.860000 USD 2024-01-09 -589.640000 N N N N/A N/A 000000000 -100000.000000 NC USD -26.530000 -0.0000166 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.99500 01/18/24-10Y LCH 2034-01-18 0.000000 USD 0.000000 USD N/A USD N/A 4.000000 USD 2024-01-16 XXXX 422.220000 N N N THORNBURG MORTGAGE SECURITIES TR 2004-1 N/A 885220EW9 63150.510000 PA USD 61489.140000 0.0384154 Long ABS-MBS CORP US N 2 2044-03-25 Floating 2.84761 N N N N N N CAPITAL FOUR US CLO 2022-1A N/A 14016CAN6 500000.000000 PA USD 500000.000000 0.312375 Long ABS-CBDO CORP JE N 2 2037-01-20 Floating 7.49397 N N N N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 03065UAB5 800000.000000 PA USD 803638.640000 0.502074 Long ABS-O CORP US N 2 2027-04-19 Fixed 6.19 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 8911Z1P29 200000.000000 PA 150193.580000 0.0938335 Long DBT CORP CA N 2 2024-02-02 None 0 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 31621YAG4 250000.000000 PA USD 249311.750000 0.155758 Long DBT CORP US N 2 2024-01-16 None 0 N N N N N N WASHINGTON MUTUAL 2005-AR12 N/A 92922F3L0 27186.150000 PA USD 24310.980000 0.0151883 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.61543 N N N N N N FANNIE MAE 2010-111 N/A 31398NWE0 16950.690000 PA USD 16711.220000 0.0104403 Long ABS-MBS USGSE US N 2 2040-10-25 Floating 5.97191 N N N N N N CSAB MORTGAGE BACKED TR 2006-4 N/A 12628LAJ9 2809877.080000 PA USD 528775.590000 0.330353 Long ABS-MBS CORP US N 2 2036-12-25 Variable 6.1837 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC8 N/A 86358EEC6 420029.270000 PA USD 381740.490000 0.238493 Long ABS-MBS CORP US N 2 2033-08-25 Floating 8.62043 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AP2 N/A 65535VLL0 40086.020000 PA USD 21133.850000 0.0132034 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.476 N N N N N N HERTZ VEHICLE FINANCING LLC 2022-3A N/A 42806MAS8 150000.000000 PA USD 149446.430000 0.0933667 Long ABS-O CORP US N 2 2025-03-25 Fixed 3.37 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-4 N/A 88522YAB5 441.330000 PA USD 430.560000 0.000269 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.82572 N N N N N N N/A N/A 000000000 302.000000 NC USD 269005.480000 0.168061 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A 90SOFR 2024-06-18 71730662.500000 USD 269005.480000 N N N CRB SECURITIZATION TRUST 2023-1 N/A 12670DAA3 750370.780000 PA USD 759384.530000 0.474426 Long ABS-O CORP US N 2 2033-10-20 Fixed 6.96 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAG6 5346.620000 PA USD 5086.620000 0.0031779 Long ABS-MBS CORP US N 3 2047-06-25 Floating 6.81474 N N N N N N N/A N/A 000000000 1.000000 NC -218.420000 -0.0001365 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 154915.650000 USD 1096000.000000 CNY 2024-03-26 -218.420000 N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74767GAJ1 250000.000000 PA USD 249190.350000 0.155682 Long DBT CORP US N 2 2024-01-18 None 0 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37961CA51 350000.000000 PA USD 349592.690000 0.218408 Long DBT CORP US N 2 2024-01-05 None 0 N N N N N N COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2006-19 N/A 12543XAG1 342553.620000 PA USD 172450.090000 0.107738 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 N N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAE4 60243.780000 PA USD 52392.740000 0.0327324 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.00679 N N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2005-1 N/A 251510DG5 50735.880000 PA USD 47582.980000 0.0297275 Long ABS-MBS CORP US N 3 2035-02-25 Floating 5.97043 N N N N N N N/A N/A 000000000 1.000000 NC 1894.360000 0.0011835 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 121623.430000 USD 600000.000000 BRL 2024-01-03 1894.360000 N N N N/A N/A 000000000 -200000.000000 NC USD -278.160000 -0.0001738 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75000 01/18/24-10Y LCH 2034-01-18 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2024-01-16 XXXX 573.840000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GL84 55934.710000 PA USD 50849.630000 0.0317683 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.4118 N N N N N N N/A N/A 000000000 1.000000 NC -828.700000 -0.0005177 N/A DFE KR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 61353424.000000 KRW 47000.000000 USD 2024-06-20 -828.700000 N N N N/A N/A 000000000 -100000.000000 NC -1577.520000 -0.0009856 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.65000 01/08/24-10Y LCH 2034-01-08 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.650000 EUR 2024-01-04 XXXX -1214.580000 N N N GSAMP TRUST 2007-NC1 N/A 3622MGAA6 1156750.540000 PA USD 618623.710000 0.386485 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.60043 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAD6 438498.690000 PA USD 108002.620000 0.0674747 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.69043 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF12 N/A 32027GAE6 162236.360000 PA USD 150936.530000 0.0942977 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.78043 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -1053.580000 -0.0006582 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.56000 01/09/24-10Y LCH 2034-01-09 0.000000 USD 0.000000 USD N/A USD N/A 3.560000 USD 2024-01-05 XXXX -541.080000 N N N N/A N/A 000000000 -100000.000000 NC USD -1276.650000 -0.0007976 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.59400 01/09/24-10Y LCH 2034-01-09 0.000000 USD 0.000000 USD N/A USD N/A 3.590000 USD 2024-01-05 XXXX -776.650000 N N N N/A N/A 000000000 1.000000 NC 480.840000 0.0003004 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 49974.000000 USD 776910796.000000 IDR 2024-03-20 480.840000 N N N WASHINGTON MUTUAL 2005-AR7 N/A 92922FQ50 48351.670000 PA USD 47302.850000 0.0295525 Long ABS-MBS CORP US N 3 2035-08-25 Floating 5.20638 N N N N N N BANK OF AMERICA AUTO TRUST 2023-1A N/A 06428AAB4 600000.000000 PA USD 600939.000000 0.375437 Long ABS-O CORP US N 2 2026-05-15 Fixed 5.83 N N N N N N N/A N/A 000000000 1.000000 NC -312.590000 -0.0001953 N/A DFE HU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11558250.000000 HUF 33000.000000 USD 2024-01-04 -312.590000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828WU0 3498525.000000 PA USD 3438711.800000 2.14834 Long DBT UST US N 2 2024-07-15 Fixed 0.125 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -1848.260000 -0.0011547 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.68400 01/03/24-10Y LCH 2034-01-03 0.000000 USD 0.000000 USD N/A USD N/A 3.680000 USD 2023-12-29 XXXX -1390.760000 N N N N/A N/A 000000000 1.000000 NC USD 71135.380000 0.0444419 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2024-05-15 0.000000 USD 0.000000 USD 1795461.120000 USD 71135.380000 N N N N/A N/A 000000000 -100000.000000 NC USD -0.850000 -0.0000005 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.01000 01/09/24-10Y LCH 2034-01-09 0.000000 USD 0.000000 USD N/A USD N/A 4.010000 USD 2024-01-05 XXXX 511.650000 N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAJ4 6379.700000 PA USD 6030.040000 0.0037673 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.53816 N N N N N N N/A N/A 000000000 118.000000 NC USD 250268.690000 0.156356 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-03-28 24294632.720000 USD 250268.690000 N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAD4 1543400.020000 PA USD 623413.220000 0.389478 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.62043 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -4.550000 -0.0000028 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.95500 01/10/24-10Y LCH 2034-01-10 0.000000 USD 0.000000 USD N/A USD N/A 3.960000 USD 2024-01-08 XXXX 480.450000 N N N UMBS PASS THRU POOLS N/A 01F052623 4000000.000000 PA USD 4018125.040000 2.51033 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -2774.470000 -0.0017334 N/A DFE ID N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1151388000.000000 IDR 72000.000000 USD 2024-03-20 -2774.470000 N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37961CAH5 300000.000000 PA USD 299032.640000 0.186821 Long DBT CORP US N 2 2024-01-17 None 0 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A2 N/A 589929M96 27519.850000 PA USD 25278.910000 0.015793 Long ABS-MBS CORP US N 3 2033-02-25 Floating 7.29937 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI1VZWM8 4870352.850000 PA 253263.510000 0.158226 Long DBT NUSS MX N 2 2031-11-27 Fixed 2.75 N N N N N N UPSTART SECURITIZATION TRUST 2022-3 N/A 91683TAB5 368455.120000 PA USD 361821.450000 0.226048 Long ABS-O CORP US N 2 2032-06-20 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 10688.860000 0.0066779 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-12 0.000000 USD -790.000000 USD 200000.000000 USD 11478.860000 N N N N/A N/A 000000000 1.000000 NC USD 30422.640000 0.0190066 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2051-12-07 43000.000000 USD 0.000000 USD 1000000.000000 USD -12577.360000 N N N N/A N/A 000000000 1.000000 NC USD 16197.590000 0.0101195 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-09-27 0.000000 USD -1227.750000 USD 300000.000000 USD 17425.340000 N N N DRYDEN 60 CLO LTD N/A 26251NAB6 492942.130000 PA USD 493093.020000 0.30806 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.70548 N N N N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74767GAH5 250000.000000 PA USD 249231.690000 0.155708 Long DBT CORP US N 2 2024-01-17 None 0 N N N N N N SPECIALTY UNDERWRITING & RESID 2006-AB1 N/A 84751PKW8 484225.050000 PA USD 461919.510000 0.288584 Long ABS-MBS CORP US N 2 2036-12-25 Floating 6.07043 N N N N N N N/A N/A 000000000 1.000000 NC 55.810000 0.0000349 N/A DFE HK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 667365.950000 HKD 85672.000000 USD 2024-03-20 55.810000 N N N N/A N/A 000000000 1.000000 NC USD -42317.530000 -0.0264379 N/A DE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A AMAZONCOM INC Y 2024-01-08 0.000000 USD 0.000000 USD 1562652.000000 USD -42317.530000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19 N/A 38380VEU1 111107.910000 PA USD 105968.290000 0.0662037 Long ABS-MBS USGSE US N 2 2047-08-20 Floating 5.80729 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAR4 200000.000000 PA USD 195423.680000 0.122091 Long DBT CORP GB N 2 2026-03-18 Floating 3.511 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -204.990000 -0.0001281 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.73500 01/23/24-10Y LCH 2034-01-23 0.000000 USD 0.000000 USD N/A USD N/A 3.730000 USD 2024-01-19 XXXX 212.510000 N N N DAIMLER TRUCK FINANCE NORTH AMERICA LLC 5493003HSDTSCZRXBA58 233853AN0 150000.000000 PA USD 150017.800000 0.0937237 Long DBT CORP US N 2 2025-01-17 Fixed 5.2 N N N N N N N/A N/A 000000000 1.000000 NC 233.850000 0.0001461 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 50000.000000 USD 773308785.000000 IDR 2024-01-08 233.850000 N N N CBAM 2018-5 LTD 5A N/A 12481QAC9 666581.650000 PA USD 665556.710000 0.415807 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 6.68444 N N N N N N N/A N/A 000000000 1.000000 NC -22.090000 -0.0000138 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 714000.000000 CNY 100756.950000 USD 2024-03-26 -22.090000 N N N N/A N/A 000000000 1.000000 NC -7673.640000 -0.0047941 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-27 0.000000 EUR -431.440000 EUR 100000.000000 EUR -7242.200000 N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC N/A 76089RAA2 493685.980000 PA USD 496861.570000 0.310414 Long ABS-O CORP US N 2 2032-01-26 Fixed 7.13 N N N N N N N/A N/A 000000000 1.000000 NC -1020.240000 -0.0006374 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 515000.000000 CNY 71670.520000 USD 2024-03-26 -1020.240000 N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA3 N/A 320516AA5 499070.160000 PA USD 386743.940000 0.241618 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.85588 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 8424C0AH3 350000.000000 PA USD 348945.240000 0.218004 Long DBT CORP US N 2 2024-01-17 None 0 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6 N/A 07387YAE3 823522.950000 PA USD 716692.180000 0.447754 Long ABS-MBS CORP US N 2 2037-08-25 Floating 6.52043 N N N N N N N/A N/A 000000000 1.000000 NC -6110.660000 -0.0038176 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-20 0.000000 EUR -398.500000 EUR 100000.000000 EUR -5712.160000 N N N N/A N/A 000000000 1.000000 NC USD -7979.890000 -0.0049854 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-19 0.000000 USD -840.000000 USD 200000.000000 USD -7139.890000 N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341WZ8 9116.320000 PA USD 8974.810000 0.005607 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.48929 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 21943.920000 PA USD 19388.540000 0.012113 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.52308 N N N N N N NYMT LOAN TRUST 2022-SP1 N/A 62956BAA7 441718.320000 PA USD 432845.570000 0.27042 Long ABS-MBS CORP US N 2 2062-07-25 Variable 5.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797FW2 851000.000000 PA USD 850752.940000 0.531508 Long DBT UST US N 2 2024-01-04 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -6829.170000 -0.0042665 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 300000.000000 CAD 219676.530000 USD 2024-02-02 -6829.170000 N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U7W4 250000.000000 PA USD 257161.640000 0.160662 Long DBT CORP US N 2 2026-10-30 Fixed 5.882 N N N N N N PAGAYA AI DEBT TRUST 2023-5 N/A 69546PAA8 408204.990000 PA USD 409446.590000 0.255802 Long ABS-O CORP US N 2 2031-04-15 Fixed 7.179 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-11CB N/A 12667GJJ3 346912.060000 PA USD 269600.730000 0.168433 Long ABS-MBS CORP US N 2 2025-06-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 1004203.030000 0.627376 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-06-15 744696.700000 USD 0.000000 USD 3300000.000000 USD 259506.330000 N N N FANNIE MAE 2007-15 N/A 31396PWK3 180436.710000 PA USD 14964.030000 0.0093488 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 0.92809 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2023-3A N/A 36267PAC0 500000.000000 PA USD 501577.800000 0.313361 Long ABS-O CORP US N 2 2027-03-15 Fixed 6.04 N N N N N N N/A N/A 000000000 1.000000 NC -2468.230000 -0.001542 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3971645.470000 DKK 585862.730000 USD 2024-01-09 -2468.230000 N N N N/A N/A 000000000 1.000000 NC 10.920000 0.0000068 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6419.000000 USD 536949.990000 INR 2024-03-20 10.920000 N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VV7 44880.680000 PA USD 25340.120000 0.0158312 Long ABS-MBS CORP US N 3 2035-08-25 Variable 5.55005 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KBP4 200000.000000 PA USD 201905.990000 0.126141 Long DBT CORP US N 2 2025-03-01 Fixed 6.051 N N N N N N N/A N/A 000000000 1.000000 NC -904.960000 -0.0005654 N/A DFE SE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 274546.160000 SEK 26321.870000 USD 2024-01-09 -904.960000 N N N N/A N/A 000000000 1.000000 NC -53939.610000 -0.0336988 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2034-03-21 0.000000 JPY -4867.160000 JPY 630000000.000000 JPY -49072.450000 N N N BHG SECURITIZATION TRUST 2022-C N/A 08860DAA1 264549.000000 PA USD 262889.400000 0.16424 Long ABS-O CORP US N 2 2035-10-17 Fixed 5.32 N N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AB9 1032857.110000 PA USD 902640.990000 0.563925 Long ABS-MBS CORP US N 2 2047-02-25 Floating 5.7618 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB N/A 12668AZ65 450913.620000 PA USD 332780.520000 0.207905 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 24.450000 0.0000153 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 15408.070000 USD 1288738.680000 INR 2024-03-20 24.450000 N N N N/A N/A 000000000 1.000000 NC 5014.180000 0.0031326 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 262607.690000 USD 1300000.000000 BRL 2024-01-03 5014.180000 N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAH7 300000.000000 PA USD 298407.520000 0.18643 Long DBT CORP US N 2 2024-02-15 Fixed 1.625 N N N N N N N/A N/A 000000000 1.000000 NC -147.380000 -0.0000921 N/A DFE HU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4457573.000000 HUF 12700.000000 USD 2024-01-04 -147.380000 N N N MASTR ASSET SECURITIZATION TRUST 2006-2 N/A 55274QBB0 168019.340000 PA USD 98281.500000 0.0614014 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 N N N N N N BANC OF AMERICA FUNDING CORP 2006-H N/A 05950PAK9 680883.060000 PA USD 599247.430000 0.37438 Long ABS-MBS CORP US N 2 2046-09-20 Floating 4.50337 N N N N N N N/A N/A 000000000 1.000000 NC -4710.670000 -0.002943 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 417135969.000000 KRW 320472.000000 USD 2024-06-20 -4710.670000 N N N N/A N/A 000000000 -100000.000000 NC USD -0.530000 -0.0000003 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.04400 01/09/24-10Y LCH 2034-01-09 0.000000 USD 0.000000 USD N/A USD N/A 4.040000 USD 2024-01-05 XXXX 499.470000 N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAA6 53451.600000 PA USD 47372.340000 0.0295959 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.89043 N N N N N N CLNC 2019-FL1 LTD N/A 12565DAA1 366.980000 PA USD 366.460000 0.0002289 Long ABS-CBDO CORP KY N 2 2035-08-20 Floating 6.72023 N N N N N N N/A N/A 000000000 -100000.000000 NC -179.670000 -0.0001122 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.74000 01/17/24-10Y LCH 2034-01-17 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.740000 EUR 2024-01-15 XXXX 243.520000 N N N IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1 N/A 45254TRR7 67583.870000 PA USD 58589.250000 0.0366037 Long ABS-MBS CORP US N 3 2035-07-25 Floating 5.12474 N N N N N N N/A N/A 000000000 1.000000 NC USD 5548.030000 0.0034661 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-10 0.000000 USD -358.750000 USD 100000.000000 USD 5906.780000 N N N ARROW ELECTRONICS INC 549300YNNLBXT8N8R512 04273LAG0 250000.000000 PA USD 249262.310000 0.155727 Long DBT CORP US N 2 2024-01-16 None 0 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR4 N/A 362341FR5 7402.100000 PA USD 6783.900000 0.0042382 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.64931 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1 N/A 12668AFH3 127301.850000 PA USD 74912.070000 0.0468013 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBF2 100000.000000 PA USD 97461.690000 0.0608892 Long DBT CORP US N 2 2025-10-15 Floating 2.301 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR6 N/A 25150RAF2 874406.190000 PA USD 748016.370000 0.467324 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.85043 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAC2 400000.000000 PA USD 401143.120000 0.250614 Long ABS-O CORP US N 2 2028-04-10 Fixed 5.42 N N N N N N N/A N/A 000000000 1.000000 NC -2106.000000 -0.0013157 N/A DFE ID N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1569532752.000000 IDR 99824.000000 USD 2024-03-20 -2106.000000 N N N WASHING MUTUAL MTGE P/T 2006-7 N/A 93935HAB3 719937.130000 PA USD 202329.550000 0.126406 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.63043 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAP6 5688.020000 PA USD 5609.140000 0.0035043 Long ABS-MBS CORP US N 2 2036-06-25 Floating 7.03521 N N N N N N N/A N/A 000000000 1.000000 NC 1948.990000 0.0012176 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1493440.350000 BRL 309393.070000 USD 2024-01-03 1948.990000 N N N N/A N/A 000000000 1.000000 NC 156.570000 0.0000978 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 102774.920000 USD 500000.000000 BRL 2024-01-03 156.570000 N N N N/A N/A 000000000 1.000000 NC USD -2901.240000 -0.0018126 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-02 0.000000 USD 0.000000 USD 100000.000000 USD -2901.240000 N N N N/A N/A 000000000 1.000000 NC USD 391547.060000 0.244619 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 516498.300000 USD 0.000000 USD 7900000.000000 USD -124951.240000 N N N N/A N/A 000000000 1.000000 NC -387.350000 -0.000242 N/A DFE HU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 15747750.000000 HUF 45000.000000 USD 2024-01-04 -387.350000 N N N N/A N/A 000000000 1.000000 NC -5168.160000 -0.0032288 N/A DFE KR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 385848445.000000 KRW 295624.000000 USD 2024-06-20 -5168.160000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDC4 216446.360000 PA USD 198421.180000 0.123964 Long ABS-MBS CORP US N 2 2036-01-25 Floating 6.4918 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797JB4 1600000.000000 PA USD 1593419.380000 0.995489 Long DBT UST US N 2 2024-01-30 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 5339.500000 0.0033359 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-02 0.000000 USD -386.250000 USD 100000.000000 USD 5725.750000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GJS9 200000.000000 PA USD 183304.280000 0.114519 Long DBT CORP US N 2 2027-07-22 Floating 1.734 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2022-2A N/A 36265NAB9 109274.700000 PA USD 108896.740000 0.0680333 Long ABS-O CORP US N 2 2026-01-15 Fixed 3.55 N N N N N N N/A N/A 000000000 1.000000 NC USD 15954.500000 0.0099676 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-11-01 0.000000 USD -839.750000 USD 200000.000000 USD 16794.250000 N N N N/A N/A 000000000 1.000000 NC 151958.360000 0.094936 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-03-20 0.000000 EUR -29853.490000 EUR 2900000.000000 EUR 181811.850000 N N N N/A N/A 000000000 1.000000 NC USD 148901.640000 0.0930264 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-06-21 92819.510000 USD 0.000000 USD 3700000.000000 USD 56082.130000 N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 06428CAD6 300000.000000 PA USD 300795.740000 0.187922 Long DBT CORP US N 2 2025-08-18 Floating 6.13211 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI1HXQZ7 600000.000000 PA 123517.790000 0.0771678 Long DBT NUSS BR N 2 2024-01-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -20.610000 -0.0000129 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12002.220000 MXN 683.050000 USD 2024-01-31 -20.610000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12 N/A 23243AAD8 44781.000000 PA USD 40102.840000 0.0250543 Long ABS-MBS CORP US N 2 2046-09-20 Floating 5.6824 N N N N N N N/A N/A 000000000 1.000000 NC -5834.580000 -0.0036452 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 1000000.000000 BRL 200028.400000 USD 2024-01-03 -5834.580000 N N N CITIZENS AUTO RECEIVABLES TRUST 2023-1 N/A 17331KAB5 383684.510000 PA USD 384501.370000 0.240217 Long ABS-O CORP US N 2 2026-07-15 Fixed 6.13 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-24 N/A 02151GAK3 155444.170000 PA USD 58418.190000 0.0364968 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 7 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB N/A 02146TAG2 996464.830000 PA USD 591995.770000 0.36985 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR12 N/A 45660LMG1 298734.360000 PA USD 271817.080000 0.169818 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.95043 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 190815.530000 PA USD 162578.530000 0.101571 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.85043 N N N N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74767GA28 250000.000000 PA USD 249841.130000 0.156088 Long DBT CORP US N 2 2024-01-02 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 12.750000 0.000008 N/A DFE IN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 6281.000000 USD 525578.380000 INR 2024-03-20 12.750000 N N N FANNIE MAE REMICS 2007-32 N/A 31396VDT2 832027.080000 PA USD 96561.650000 0.0603269 Long ABS-MBS USGSE US N 2 2037-04-25 Floating 1.33809 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-4A N/A 96041AAC0 900000.000000 PA USD 905146.650000 0.565491 Long ABS-O CORP US N 2 2027-01-15 Fixed 6.23 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI1VBJN4 3600000.000000 PA 705247.570000 0.440604 Long DBT NUSS BR N 2 2024-07-01 None 0 N N N N N N FANNIE MAE 2007-4 N/A 31396PMQ1 75182.120000 PA USD 8711.410000 0.0054425 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 1.74809 N N N N N N SEQUOIA MORTGAGE TRUST 2007-1 N/A 81744HAH6 132160.140000 PA USD 90837.920000 0.056751 Long ABS-MBS CORP US N 2 2046-09-20 Floating 3.62696 N N N N N N GREYSTONE COMMERCIAL REAL ESTATE NOTES 2019-FL2 N/A 39809LAA2 135737.510000 PA USD 135535.090000 0.0846756 Long ABS-CBDO CORP KY N 2 2037-09-15 Floating 6.65629 N N N N N N N/A N/A 000000000 1.000000 NC USD 5731.780000 0.0035809 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-06-20 10340.960000 USD 0.000000 USD 600000.000000 USD -4609.180000 N N N CREDIT SUISSE AG/NEW YORK BRANCH 549300D0YARF5HYP1809 22550L2L4 400000.000000 PA USD 409106.020000 0.255589 Long DBT CORP CH N 2 2025-01-09 Fixed 7.95 N N N N N N N/A N/A 000000000 136.000000 NC USD 271407.650000 0.169562 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-03-19 15330812.430000 USD 271407.650000 N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JA33 250000.000000 PA USD 249811.730000 0.15607 Long DBT CORP US N 2 2024-01-03 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 1123664.730000 0.70201 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2024-03-20 0.000000 USD 0.000000 USD 28280862.720000 USD 1123664.730000 N N N ADJUSTABLE RATE MORTAGE TRUST 2005-10 N/A 007036TD8 824992.060000 PA USD 647789.620000 0.404707 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.92326 N N N N N N N/A N/A 000000000 1.000000 NC -393.470000 -0.0002458 N/A DFE HU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 9608622.000000 HUF 27300.000000 USD 2024-01-04 -393.470000 N N N MADISON PARK FUNDING XI LTD 2013-11A N/A 55818KAV3 1015572.880000 PA USD 1014303.410000 0.633687 Long ABS-CBDO CORP KY N 2 2029-07-23 Floating 6.57354 N N N N N N N/A N/A 000000000 1.000000 NC -1441.050000 -0.0009003 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 925797.230000 ZAR 49102.450000 USD 2024-01-19 -1441.050000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLV9 600000.000000 PA USD 612482.860000 0.382649 Long DBT CORP US N 2 2027-09-15 Floating 5.933 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -504.020000 -0.0003149 N/A DIR US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Written UBS AG BFM8T61CT2L1QCEMIK50 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.34400 01/22/24-10Y LCH 2034-01-22 0.000000 USD 0.000000 USD N/A USD N/A 3.340000 USD 2024-01-18 XXXX -16.540000 N N N MASTER CREDIT CARD TRUST II 2023-2A N/A 576339DJ1 500000.000000 PA USD 502089.650000 0.313681 Long ABS-MBS CORP CA N 2 2027-01-21 Floating 6.1881 N N N N N N N/A N/A 000000000 1.000000 NC 5.630000 0.0000035 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 771426957.000000 IDR 50117.230000 USD 2024-01-08 5.630000 N N N N/A N/A 000000000 1.000000 NC -10.820000 -0.0000068 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 5054.450000 MXN 285.510000 USD 2024-01-31 -10.820000 N N N COUNTRYWIDE HOME LOANS 2006-20 N/A 12544AAW5 363153.870000 PA USD 185966.090000 0.116182 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 0641ZPNH6 700000.000000 PA 526892.570000 0.329176 Long DBT CORP CA N 2 2024-01-16 None 0 N N N N N N UMBS PASS THRU POOLS N/A 01F060626 4400000.000000 PA USD 4467890.590000 2.79132 Long ABS-MBS USGSE US N 2 2054-02-13 Fixed 6 N N N N N N FIFTH THIRD AUTO TRUST 2023-1 N/A 31680EAB7 500000.000000 PA USD 500926.100000 0.312954 Long ABS-O CORP US N 2 2026-11-16 Fixed 5.8 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAM7 200000.000000 PA USD 196258.920000 0.122613 Long DBT CORP IE N 2 2024-08-14 Fixed 2.875 N N N N N N MLCC MORTGAGE INVESTORS INC 2006-1 N/A 59020U4S1 1791.190000 PA USD 1752.590000 0.0010949 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.90323 N N N N N N CHASE MORGAGE FINANCE CORP 2005-A2 N/A 16162WPX1 16685.720000 PA USD 15120.530000 0.0094466 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.45689 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR12 N/A 94984GAD9 5707.040000 PA USD 5357.760000 0.0033473 Long ABS-MBS CORP US N 2 2036-09-25 Floating 6.13199 N N N N N N N/A N/A 000000000 1.000000 NC -757.030000 -0.000473 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1602114748.000000 IDR 103288.940000 USD 2024-03-20 -757.030000 N N N HILTON ORLANDO TRUST 2018-ORL N/A 432885AG6 700000.000000 PA USD 694151.710000 0.433672 Long ABS-MBS CORP US N 2 2034-12-15 Floating 6.70881 N N N N N N TOYOTA AUTO RECEIVABLES 2023-C OWNER TRUST N/A 89231FAA8 217266.110000 PA USD 217284.100000 0.135748 Long ABS-O CORP US N 2 2024-08-15 Fixed 5.604 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-13T1 N/A 12668BZM8 74095.000000 PA USD 37472.430000 0.0234109 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 6 N N N N N N RESIDENTIAL ASSET SEC CORP 2003-KS4 N/A 76110WRT5 96177.810000 PA USD 87380.000000 0.0545907 Long ABS-MBS CORP US N 2 2033-06-25 Floating 6.05043 N N N N N N N/A N/A 000000000 1.000000 NC -4512.690000 -0.0028193 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-15 0.000000 EUR -377.360000 EUR 100000.000000 EUR -4135.330000 N N N GS MORTGAGE SECURITIES CORP II 2022-GTWY N/A 36266DAA2 1000000.000000 PA USD 1008269.600000 0.629917 Long ABS-MBS CORP US N 2 2039-08-15 Floating 8.762 N N N N N N N/A N/A 000000000 1.000000 NC -5288.440000 -0.003304 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 374341038.000000 KRW 286533.000000 USD 2024-06-20 -5288.440000 N N N FREDDIE MAC 3218 N/A 31397BJY8 160460.880000 PA USD 13966.480000 0.0087256 Long ABS-MBS USGSE US N 2 2036-09-15 Floating 1.11708 N N N N N N AMBAC ASSURANCE CORPORATION 549300RYYRVPPB8NC636 023138AA8 28.780000 PA USD 37.630000 0.0000235 Long DBT CORP US N 2 2099-12-31 Fixed 5.1 N N N N N N DT AUTO OWNER TRUST 2023-3A N/A 23345WAA3 592006.010000 PA USD 594634.750000 0.371498 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.29 N N N N N N ENTERPRISE FLEET FINANCING LLC 2022-1 N/A 29375JAB0 358432.430000 PA USD 352590.590000 0.220281 Long ABS-O CORP US N 2 2028-01-20 Fixed 3.03 N N N N N N MARLETTE FUNDING TRUST 2022-3A N/A 57109NAA7 143029.690000 PA USD 142651.260000 0.0891214 Long ABS-O CORP US N 2 2032-11-15 Fixed 5.18 N N N N N N N/A N/A 000000000 1.000000 NC USD 2560.290000 0.0015995 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-08-22 0.000000 USD -635.000000 USD 200000.000000 USD 3195.290000 N N N N/A N/A 000000000 1.000000 NC -8017.430000 -0.0050089 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 35300000.000000 JPY 242495.050000 USD 2024-01-09 -8017.430000 N N N SARANAC CLO II LTD 2014-2A N/A 80317EAA7 130450.280000 PA USD 130633.360000 0.0816132 Long ABS-CBDO CORP JE N 2 2029-11-20 Floating 6.85871 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20H N/A 83162CRY1 63158.430000 PA USD 63862.330000 0.039898 Long ABS-O CORP US N 2 2028-08-01 Fixed 6.02 N N N N N N N/A N/A 000000000 7.000000 NC USD 82020.260000 0.0512422 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-03-19 931546.880000 USD 82020.260000 N N N N/A N/A 000000000 1.000000 NC 41.200000 0.0000257 N/A DFE KR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 64615000.000000 KRW 50000.000000 USD 2024-01-31 41.200000 N N N ARROW ELECTRONICS INC 549300YNNLBXT8N8R512 04273LAC9 250000.000000 PA USD 249435.090000 0.155835 Long DBT CORP US N 2 2024-01-12 None 0 N N N N N N FANNIE MAE REMICS 2011-40 N/A 31397SWJ9 3332.990000 PA USD 2264.860000 0.001415 Long ABS-MBS USGSE US N 2 2040-11-25 Floating 0 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -511.400000 -0.0003195 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.62000 01/31/24-10Y LCH 2034-01-31 0.000000 USD 0.000000 USD N/A USD N/A 3.620000 USD 2024-01-29 XXXX -78.900000 N N N N/A N/A 000000000 1.000000 NC 10612.440000 0.0066301 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2033-10-20 0.000000 GBP -539.420000 GBP 100000.000000 GBP 11151.860000 N N N RESIDENTIAL ACCREDIT LOANS 2007-QH7 N/A 75115LAA5 31007.130000 PA USD 28201.460000 0.0176189 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.97043 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBC1 1200000.000000 PA USD 1222055.460000 0.76348 Long DBT CORP US N 2 2026-12-04 Fixed 5.488 N N N N N N N/A N/A 000000000 1.000000 NC USD 367615.010000 0.229668 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.41 Y Single Leg Swap 2028-12-20 242188.100000 USD 0.000000 USD 18600000.000000 USD 125426.910000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI0TJTX9 958102.200000 PA 55176.210000 0.0344714 Long DBT NUSS MX N 2 2028-11-30 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -548.120000 -0.0003424 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 199936.650000 CNY 27672.360000 USD 2024-03-26 -548.120000 N N N N/A N/A 000000000 -100000.000000 NC USD -1255.690000 -0.0007845 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.54500 01/18/24-10Y LCH 2034-01-18 0.000000 USD 0.000000 USD N/A USD N/A 3.540000 USD 2024-01-16 XXXX -806.940000 N N N N/A N/A 000000000 1.000000 NC -5772.940000 -0.0036066 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 2698332.620000 MXN 152423.430000 USD 2024-01-31 -5772.940000 N N N SPECIALTY UNDERWRT& RES FIN 2006-BC3 N/A 84751WAD6 129623.170000 PA USD 74567.350000 0.046586 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.77043 N N N N N N N/A N/A 000000000 1.000000 NC -2616.310000 -0.0016345 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-12-29 0.000000 EUR 0.000000 EUR 100000.000000 EUR -2616.310000 N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-2 N/A 80287JAB0 615885.870000 PA USD 616047.850000 0.384876 Long ABS-O CORP US N 2 2026-03-16 Fixed 5.87 N N N N N N FHLMC PASS THRU POOLS N/A 3128MMWV1 465000.730000 PA USD 445704.610000 0.278454 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AA9 400249.740000 PA USD 382225.770000 0.238796 Long ABS-MBS CORP US N 2 2047-08-25 Floating 6.21043 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAB2 1918896.210000 PA USD 821483.880000 0.513222 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.58043 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810TT5 1200000.000000 PA USD 1213312.500000 0.758018 Long DBT UST US N 2 2053-08-15 Fixed 4.125 N N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAB6 39583.870000 PA USD 33300.370000 0.0208044 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.39682 N N N N N N GSAA HOME EQUITY TRUST 2006-4 N/A 362334FF6 543649.210000 PA USD 88096.340000 0.0550382 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.8954 N N N N N N N/A N/A 000000000 1.000000 NC 14864.220000 0.0092864 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-10-03 0.000000 EUR -765.930000 EUR 200000.000000 EUR 15630.150000 N N N BANC OF AMERICA FUNDING CORP 2007-D N/A 05952GAT8 29951.880000 PA USD 24689.400000 0.0154247 Long ABS-MBS CORP US N 3 2037-06-20 Floating 4.3058 N N N N N N COUNTRYWIDE HOME LOANS 2004-29 N/A 12669GJB8 10083.400000 PA USD 8445.680000 0.0052764 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.80043 N N N N N N FANNIE MAE 2010-2 N/A 31398G7B9 434978.050000 PA USD 33071.690000 0.0206616 Long ABS-MBS USGSE US N 2 2037-05-25 Floating 0.94809 N N N N N N FREDDIE MAC 2764 N/A 31394TYD1 107238.410000 PA USD 107868.990000 0.0673912 Long ABS-MBS USGSE US N 2 2034-03-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -6068.310000 -0.0037912 N/A DFE GB N 2 UBS AG BFM8T61CT2L1QCEMIK50 679000.000000 GBP 859447.650000 USD 2024-01-09 -6068.310000 N N N ASSET BACKED SEC HOME EQTY LN 2004-HE3 N/A 04541GJT0 1204396.560000 PA USD 1180970.810000 0.737812 Long ABS-MBS CORP US N 2 2034-06-25 Floating 6.28043 N N N N N N FNMA PASS THRU POOLS N/A 3138E0LC1 97837.020000 PA USD 95160.330000 0.0594515 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N BHG SECURITIZATION TRUST 2022-C N/A 08860DAB9 900000.000000 PA USD 895832.730000 0.559672 Long ABS-O CORP US N 2 2035-10-17 Fixed 5.93 N N N N N N STRUCTURED ADJUSTABLE RT MTG LN 2004-20 N/A 863579HD3 60199.150000 PA USD 59349.300000 0.0370785 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.35122 N N N N N N N/A N/A 000000000 1.000000 NC -4684.590000 -0.0029267 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-08 0.000000 EUR -378.380000 EUR 100000.000000 EUR -4306.210000 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AGE9 155114.470000 PA USD 139684.040000 0.0872677 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.63546 N N N N N N EMC MORTGAGE LOAN TRUST 2002-B N/A 268668BD1 14282.930000 PA USD 13651.890000 0.008529 Long ABS-MBS CORP US N 3 2041-02-25 Floating 6.77043 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -565.920000 -0.0003536 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.45500 01/10/24-10Y LCH 2034-01-10 0.000000 USD 0.000000 USD N/A USD N/A 3.460000 USD 2024-01-08 XXXX -80.920000 N N N WASHINGTON MUTUAL MTGE P/T 2006-AR2 N/A 93934FMN9 87948.180000 PA USD 68449.670000 0.042764 Long ABS-MBS CORP US N 2 2046-04-25 Floating 5.9518 N N N N N N N/A N/A 000000000 1.000000 NC USD 67177.110000 0.0419689 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-12-20 0.000000 USD -296086.080000 USD 26600000.000000 USD 363263.190000 N N N N/A N/A 000000000 1.000000 NC USD -427784.780000 -0.267259 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2024-06-15 0.000000 USD -468943.890000 USD 11800000.000000 USD 41159.110000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-31 N/A 12667GZB2 678602.840000 PA USD 623348.350000 0.389437 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.07043 N N N N N N MORGAN STANLEY REREMIC TRUST 2011-R2 N/A 61760JAA8 113365.290000 PA USD 55800.980000 0.0348617 Long ABS-MBS CORP US N 2 2037-05-26 Floating 5.25 N N N N N N N/A N/A 000000000 1.000000 NC 5557.170000 0.0034718 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 459491.030000 USD 8518213.350000 ZAR 2024-01-19 5557.170000 N N N LOANCORE ISSUER LTD 2021-CRE6 N/A 53948HAA4 900000.000000 PA USD 880938.810000 0.550367 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 6.77629 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 0641ZPPA9 800000.000000 PA 600774.310000 0.375334 Long DBT CORP CA N 2 2024-02-01 None 0 N N N N N N IMPAC CMB TR 2004-10 N/A 45254NLJ4 163982.400000 PA USD 145097.450000 0.0906497 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.11043 N N N N N N N/A N/A 000000000 1.000000 NC -364.540000 -0.0002277 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 69000.000000 CAD 51714.860000 USD 2024-01-09 -364.540000 N N N N/A N/A 000000000 1.000000 NC 5381.420000 0.003362 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 214257.800000 USD 291000.000000 CAD 2024-01-09 5381.420000 N N N WASHINGTON MUTUAL 2005-AR14 N/A 92922F4C9 249750.200000 PA USD 226706.170000 0.141635 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.92268 N N N N N N N/A N/A 000000000 1.000000 NC -22.270000 -0.0000139 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 50000.000000 USD 769350000.000000 IDR 2024-01-31 -22.270000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29277EA46 250000.000000 PA USD 249760.980000 0.156038 Long DBT CORP US N 2 2024-01-04 None 0 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2007-SA2 N/A 74958XAB0 231068.810000 PA USD 192289.180000 0.120133 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.65722 N N N N N N N/A N/A 000000000 1.000000 NC 146329.640000 0.0914195 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-09-20 0.000000 AUD -7543.160000 AUD 7900000.000000 AUD 153872.800000 N N N N/A N/A 000000000 -100000.000000 NC -348.010000 -0.0002174 N/A DIR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 2.44000 01/10/24-5Y LCH 2029-01-10 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.440000 EUR 2024-01-08 XXXX -118.600000 N N N GSPA MONETIZATION TRUST N/A 36298GAA7 35876.020000 PA USD 34843.560000 0.0217685 Long DBT CORP US N 2 2029-10-09 Fixed 6.422 N N N N N N FREMONT HOME LOAN TRUST 2005-A N/A 35729PHN3 174425.440000 PA USD 169584.790000 0.105948 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.20543 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A N/A 96041CAC6 500000.000000 PA USD 501675.350000 0.313422 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.96 N N N N N N N/A N/A 000000000 -33.000000 NC USD -74164.460000 -0.0463343 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-03-28 -3586558.600000 USD -74164.460000 N N N 2024-02-21 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX