NPORT-P false 0000810893 XXXXXXXX S000014994 C000040829 C000040830 C000064168 C000200459 C000040832 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Emerging Markets Local Currency and Bond Fund S000014994 3KMZTL8PZ5381E27RD29 2024-03-31 2023-12-31 N 2014579907.660000 485727228.780000 1528852678.880000 0.000000 0.000000 148400360.680000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 550000.000000 0.000000 0.000000 43327054.530000 ZAR DOP MYR BRL PLN JPY INR AUD CLP RON UYU CNY DKK KRW COP TRY RSD ZMW THB EUR PHP USD HUF AED SGD IDR CZK PEN GBP MXN ILS N JP Morgan GBI-EM Global Diversified Composite Index JGENVUUG N/A N/A 000000000 -32547192.000000 PA -8398818.480000 -0.549354 Short RA PL N 2 Reverse repurchase N 6.350000 2025-10-01 38600000.000000 PLN 34487640.530000 PLN N N N N/A N/A 000000000 1.000000 NC 40082.610000 0.0026217 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1664248.590000 USD 26243536077.000000 IDR 2024-03-20 40082.610000 N N N N/A N/A 000000000 1.000000 NC -459619.510000 -0.030063 N/A DIR CL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Sinacofi Chile Interbank Rate N/A N/A Y 2027-06-01 0.000000 CLP 0.000000 CLP 15023700000.000000 CLP -459619.510000 N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI1YYXQ8 16130000000.000000 PA 18310729.280000 1.19768 Long DBT NUSS CL N 2 2028-10-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 15648.980000 0.0010236 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 219126.620000 USD 924000.000000 PLN 2024-01-22 15648.980000 N N N INTEROCEANICA IV FINANCE LIMITED 5493001ZIZ6W7IU0RP65 P52715AB8 187248.010000 PA USD 173984.300000 0.0113801 Long DBT CORP KY N 2 2025-11-30 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 3449.610000 0.0002256 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2027-06-20 0.000000 USD -4463.110000 USD 200000.000000 USD 7912.720000 N N N KAISA GROUP HOLDINGS LTD 254900N8L3L7NRJT0120 ACI1HZHT6 4300000.000000 PA USD 156778.000000 0.0102546 Long DBT CORP KY N 2 2025-01-15 Fixed 0 Y Y N N N N N/A N/A 000000000 1.000000 NC -27646.180000 -0.0018083 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 679502.000000 USD 16783699.400000 ZMW 2024-01-16 -27646.180000 N N N N/A N/A 000000000 1.000000 NC 8797.800000 0.0005755 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 450925.220000 USD 1781583000.000000 COP 2024-01-03 8797.800000 N N N N/A N/A 000000000 -90940884.230000 PA -5131386.920000 -0.335637 Short RA ZA N 2 Reverse repurchase N 8.650000 2025-08-13 142400000.000000 ZAR 93610752.510000 ZAR N N N N/A N/A 000000000 1.000000 NC -5305.150000 -0.000347 N/A DFE MX N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2529000.000000 USD 44127256.500000 MXN 2024-06-28 -5305.150000 N N N N/A N/A 000000000 1.000000 NC 35842.520000 0.0023444 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3597639.250000 USD 4814000.000000 CAD 2024-01-09 35842.520000 N N N N/A N/A 000000000 1.000000 NC 20111.660000 0.0013155 N/A DFE CL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 3411867.610000 USD 3023735534.000000 CLP 2024-01-05 20111.660000 N N N N/A N/A 000000000 1.000000 NC 23336.140000 0.0015264 N/A DFE PE N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1486000.000000 USD 5596905.170000 PEN 2024-03-20 23336.140000 N N N N/A N/A 000000000 -960000.000000 NC USD -63408.000000 -0.0041474 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-11-07 N/A 41.150000 USD 2024-11-07 XXXX 27350.400000 N N N N/A N/A 000000000 1.000000 NC -412191.500000 -0.0269608 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2026-11-04 179303.780000 ZAR 0.000000 ZAR 257500000.000000 ZAR -591495.280000 N N N N/A N/A 000000000 -2500000.000000 NC USD -31392.250000 -0.0020533 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 -20173.500000 N N N SUNAC SERVICES HOLDINGS LIMITED 549300K4OFRSVPWF2W77 BLN9QR902 1050781.000000 NS 251643.780000 0.0164596 Long EC CORP KY N 1 N N N N/A N/A 000000000 1.000000 NC -110996.330000 -0.0072601 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1263000.000000 USD 29680500.000000 ZMW 2024-02-01 -110996.330000 N N N THAILAND GOVT N/A ACI287LN4 743730000.000000 PA 23093739.830000 1.51053 Long DBT NUSS TH N 2 2037-06-17 Fixed 3.39 N N N N N N N/A N/A 000000000 1.000000 NC 1366.130000 0.0000894 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2026-01-02 0.000000 BRL 0.000000 BRL 12690000.000000 BRL 1366.130000 N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1Z8QZ2 1.000000 PA 0.100000 0 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 -17189.920000 -0.0011244 N/A DFE KZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 256637540.340000 KZT 541429.410000 USD 2024-02-01 -17189.920000 N N N N/A N/A 000000000 1.000000 NC 10871.090000 0.0007111 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 451758.140000 USD 7891000.000000 MXN 2024-01-31 10871.090000 N N N N/A N/A 000000000 1.000000 NC 9495.440000 0.0006211 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 111449.570000 USD 476000.000000 PLN 2024-01-22 9495.440000 N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI06T3P7 42064000000.000000 PA 3023734.180000 0.197778 Long DBT NUSS ID N 2 2029-03-15 Fixed 9 N N N N N N BBVA COLOMBIA SA 5493009W53901OCHI065 ACI2D13V3 183000000.000000 PA 48525.930000 0.003174 Long DBT CORP CO N 2 2024-04-25 Fixed 16.412 N N N N N N N/A N/A 000000000 1.000000 NC -16846.440000 -0.0011019 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 995000.000000 EUR 1093176.640000 PLN 2024-09-11 -16846.440000 N N N N/A N/A 000000000 1.000000 NC 144927.870000 0.0094795 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 387447058.800000 DOP 6774000.000000 USD 2024-03-07 144927.870000 N N N BANC OF AMERICA FUNDING CORP 2006-B N/A 058928AF9 10939.570000 PA USD 9610.150000 0.0006286 Long ABS-MBS CORP US N 3 2036-03-20 Floating 2.37149 N N N N N N N/A N/A 000000000 1.000000 NC 193062.180000 0.0126279 N/A DFE PL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2055263.050000 EUR 8893226.000000 PLN 2024-09-11 193062.180000 N N N N/A N/A 000000000 1.000000 NC -64683.560000 -0.0042309 N/A DFE CZ N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 249730501.810000 CZK 11079510.370000 USD 2024-03-20 -64683.560000 N N N MEXICO GOVT 254900EGTWEU67VP6075 929FKUII9 22620000.000000 PA 1307513.530000 0.0855225 Long DBT NUSS MX N 2 2029-05-31 Fixed 8.5 N N N N N N EGYPTIAN GOVT 529900GFIVH4086NMH82 ACI1MLSB8 3600000.000000 PA USD 2511100.800000 0.164247 Long DBT NUSS EG N 2 2032-05-29 Fixed 7.625 N N N N N N BANCO DAVIVIENDA SA 549300P161V4IPKAQS70 ACI2HFCL0 2889000000.000000 PA 768473.670000 0.0502647 Long DBT CORP CO N 2 2025-06-09 Fixed 13.4557 N N N N N N N/A N/A 000000000 1.000000 NC 188.810000 0.0000123 N/A DFE TH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 8569.660000 USD 296974.750000 THB 2024-03-20 188.810000 N N N THAILAND GOVT N/A ACI16S3F9 260810000.000000 PA 7896068.310000 0.51647 Long DBT NUSS TH N 2 2038-06-17 Fixed 3.3 N N N N N N N/A N/A 000000000 1.000000 NC -257.660000 -0.0000169 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 381640.960000 USD 1501000.000000 PLN 2024-01-22 -257.660000 N N N N/A N/A 000000000 1.000000 NC -7014.200000 -0.0004588 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 734653.000000 USD 23047533.920000 TRY 2024-03-20 -7014.200000 N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC6 N/A 61744CSY3 2100274.580000 PA USD 2023546.720000 0.132357 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.40043 N N N N N N N/A N/A 000000000 1.000000 NC 11691.140000 0.0007647 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 37718201557.000000 IDR 2461220.330000 USD 2024-03-20 11691.140000 N N N N/A N/A 000000000 1.000000 NC 23810.850000 0.0015574 N/A DFE TH N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 974090.280000 USD 33836000.000000 THB 2024-03-20 23810.850000 N N N N/A N/A 000000000 1.000000 NC -27499.650000 -0.0017987 N/A DFE EG N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 23782605.000000 EGP 679503.000000 USD 2024-01-18 -27499.650000 N N N STRUCTURED ASSET SECURITIES CO-2007-BNC1 N/A 86364XAA4 5294085.210000 PA USD 3310248.540000 0.216519 Long ABS-MBS CORP US N 2 2037-10-25 Floating 5.69043 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 Y55745UT1 15750000.000000 PA 3529601.600000 0.230866 Long DBT NUSS MY N 2 2030-09-30 Fixed 4.245 N N N N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI27NC59 95021000000.000000 PA 6397410.740000 0.418445 Long DBT NUSS ID N 2 2033-02-15 Fixed 7 N N N N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 B45ZFWII4 22905000000.000000 PA 1800624.280000 0.117776 Long DBT NUSS ID N 2 2030-08-15 Fixed 10.5 N N N N N N N/A N/A 000000000 1.000000 NC -403519.930000 -0.0263936 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2028-10-02 0.000000 CLP -6067.180000 CLP 7589000000.000000 CLP -397452.750000 N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 ACI2FQHN9 12100000.000000 PA 592843.870000 0.038777 Long DBT NUSS CZ N 2 2034-04-14 Fixed 4.9 N N N N N N CONSTELLATION OIL SERVICES HOLDING SA 5493005YJTU769NW5I10 944PZA905 823266.000000 NS USD 89238.740000 0.005837 Long EC CORP US Y 3 N N N N/A N/A 000000000 1.000000 NC -2266822.060000 -0.14827 N/A DIR HU N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 BUBOR HKK 6M N/A N/A Y 2026-08-02 0.000000 HUF -217171.190000 HUF 5709600000.000000 HUF -2049650.870000 N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI0Q86D5 69000000.000000 PA 16211733.910000 1.06039 Long DBT NUSS PL N 2 2027-07-25 Fixed 2.5 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI0SZJH0 55500000.000000 PA 2934038.340000 0.191911 Long DBT NUSS MX N 2 2047-11-07 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC -18956.960000 -0.0012399 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 611983.000000 USD 15268975.850000 ZMW 2024-01-16 -18956.960000 N N N N/A N/A 000000000 1.000000 NC 10059.140000 0.000658 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1010226.020000 USD 924000.000000 EUR 2024-01-09 10059.140000 N N N N/A N/A 000000000 1.000000 NC -344957.820000 -0.0225632 N/A DFE HU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2828382000.000000 HUF 7784150.550000 USD 2024-01-24 -344957.820000 N N N N/A N/A 000000000 1.000000 NC -14292.860000 -0.0009349 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3156680.670000 USD 15391027.940000 BRL 2024-04-02 -14292.860000 N N N N/A N/A 000000000 1.000000 NC 279432.370000 0.0182773 N/A DIR CL N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 Sinacofi Chile Interbank Rate N/A N/A Y 2029-06-21 0.000000 CLP 0.000000 CLP 3550000000.000000 CLP 279432.370000 N N N N/A N/A 000000000 1.000000 NC 332637.520000 0.0217573 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4828000.000000 USD 21059736000.000000 COP 2024-10-03 332637.520000 N N N N/A N/A 000000000 1.000000 NC -22612.090000 -0.001479 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3170000.000000 USD 15288751.500000 BRL 2024-01-03 -22612.090000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0725J7 1035150000.000000 PA 52082602.460000 3.40665 Long DBT NUSS ZA N 2 2030-01-31 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC 570245.280000 0.0372989 N/A DIR HU N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 BUBOR HKK 6M N/A N/A Y 2029-05-23 0.000000 HUF 0.000000 HUF 1155300000.000000 HUF 570245.280000 N N N N/A N/A 000000000 -1200000.000000 NC USD -307.440000 -0.0000201 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 4927.560000 N N N N/A N/A 000000000 1.000000 NC 543.110000 0.0000355 N/A DFE MX N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 101292.780000 USD 1737000.000000 MXN 2024-01-31 543.110000 N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI1893B8 38600000.000000 PA 8764865.870000 0.573297 Long DBT NUSS PL N 2 2029-10-25 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC -139605.850000 -0.0091314 N/A DFE EG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 78810000.000000 EGP 2130000.000000 USD 2024-01-24 -139605.850000 N N N N/A N/A 000000000 1.000000 NC 2964.920000 0.0001939 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 131057.440000 USD 2286000.000000 MXN 2024-01-31 2964.920000 N N N N/A N/A 000000000 1.000000 NC 103630.210000 0.0067783 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1317981.770000 USD 5595000.000000 PLN 2024-01-22 103630.210000 N N N RESIDENTIAL ASSET SEC TRUST 2006-R1 N/A 76113MAB1 128453.710000 PA USD 37309.680000 0.0024404 Long ABS-MBS CORP US N 2 2046-01-25 Floating 5.87043 N N N N N N N/A N/A 000000000 1.000000 NC 19120.340000 0.0012506 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 -772.120000 EUR 400000.000000 EUR 19892.460000 N N N N/A N/A 000000000 1.000000 NC 147.410000 0.0000096 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2526668.190000 USD 17902000.000000 CNY 2024-03-26 147.410000 N N N N/A N/A 000000000 1.000000 NC -1340.180000 -0.0000877 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 294640.000000 GBP 374235.110000 USD 2024-01-09 -1340.180000 N N N N/A N/A 000000000 1.000000 NC 555432.150000 0.03633 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2030-01-31 0.000000 ZAR 0.000000 ZAR 178600000.000000 ZAR 555432.150000 N N N N/A N/A 000000000 -100000.000000 NC USD -3.620000 -0.0000002 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 INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI1Z26W4 121951000000.000000 PA 7847967.030000 0.513324 Long DBT NUSS ID N 2 2032-04-15 Fixed 6.375 N N N N N N N/A N/A 000000000 1.000000 NC 10412.470000 0.0006811 N/A DFE JP N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 1693057.080000 USD 240000000.000000 JPY 2024-01-10 10412.470000 N N N N/A N/A 000000000 1.000000 NC 130949.580000 0.0085652 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 65168801.000000 ZMW 2642692.660000 USD 2024-03-20 130949.580000 N N N N/A N/A 000000000 1.000000 NC -239661.120000 -0.0156759 N/A DFE EG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1523486.000000 USD 56291741.260000 EGP 2024-03-20 -239661.120000 N N N N/A N/A 000000000 1.000000 NC 54970.560000 0.0035955 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2029-05-31 0.000000 MXN 0.000000 MXN 82200000.000000 MXN 54970.560000 N N N N/A N/A 000000000 1.000000 NC USD -2160.750000 -0.0001413 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A BANCO DO BRASIL SA Y Single Leg Swap 2024-12-20 0.000000 USD -118938.230000 USD 5300000.000000 USD 116777.480000 N N N BANCOLOMBIA SA 54930052NWJRPNMP1W58 ACI2HM756 6993000000.000000 PA 1855625.990000 0.121374 Long DBT CORP CO N 2 2025-06-14 Fixed 13.456 N N N N N N N/A N/A 000000000 1.000000 NC 1377.950000 0.0000901 N/A DFE HU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 214793.210000 USD 75213000.000000 HUF 2024-01-24 1377.950000 N N N N/A N/A 000000000 1.000000 NC -145647.160000 -0.0095266 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2028-10-01 202896.140000 CLP 0.000000 CLP 8861500000.000000 CLP -348543.300000 N N N N/A N/A 000000000 1.000000 NC 2022.340000 0.0001323 N/A DFE HU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 149256.950000 USD 52635000.000000 HUF 2024-01-24 2022.340000 N N N N/A N/A 000000000 1.000000 NC 25348.870000 0.001658 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 13803000.000000 USD 51278145.000000 PEN 2024-03-20 25348.870000 N N N N/A N/A 000000000 1.000000 NC -150516.310000 -0.009845 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 51335000.000000 CNY 7095270.680000 USD 2024-03-26 -150516.310000 N N N N/A N/A 000000000 1.000000 NC 292425.150000 0.0191271 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16750995.380000 USD 82790119.560000 BRL 2024-01-03 292425.150000 N N N N/A N/A 000000000 1.000000 NC USD 120601.750000 0.0078884 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-17 0.000000 USD -6300.000000 USD 1200000.000000 USD 126901.750000 N N N N/A N/A 000000000 1.000000 NC 635534.450000 0.0415694 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 147400000.000000 BRL 635534.450000 N N N BANCO DAVIVIENDA SA 549300P161V4IPKAQS70 ACI2H8Q07 10182000000.000000 PA 2655968.290000 0.173723 Long DBT CORP CO N 2 2025-05-12 Fixed 11.6785 N N N N N N ZAMBIA GOVT 213800DMLAZ6LGMMD849 ACI1XS9P1 44800000.000000 PA 1638099.590000 0.107146 Long DBT NUSS ZM N 2 2025-07-04 Fixed 12 N N N N N N GSMPS MORTGAGE LOAN TRUST 2006-RP1 N/A 3623413V9 198552.180000 PA USD 160052.160000 0.0104688 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.82043 N N N N N N WORLD BANK (INTERNATIONAL BANK FOR RECONSTRUCTION AND DEVELOPMENT: IBRD) ZTMSNXROF84AHWJNKQ93 ACI1VN2V8 222900000000.000000 PA 14124334.940000 0.923852 Long DBT CORP N/A N 2 2026-02-09 Fixed 4.6 N N N N N N N/A N/A 000000000 -42950925.000000 PA -11198242.560000 -0.73246 Short RA PL N 2 Reverse repurchase N 5.900000 2025-07-30 50000000.000000 PLN 45881673.500000 PLN N N N N/A N/A 000000000 1.000000 NC -59714.200000 -0.0039058 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 -5060.160000 EUR 2700000.000000 EUR -54654.040000 N N N N/A N/A 000000000 1.000000 NC 74893.760000 0.0048987 N/A DIR TH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Thailand Overnight Repo Rate ON Y 2028-12-20 0.000000 THB 0.000000 THB 128000000.000000 THB 74893.760000 N N N N/A N/A 000000000 1.000000 NC 159318.490000 0.0104208 N/A DIR HU N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 BUBOR HKK 6M N/A N/A Y 2028-11-06 91739.310000 HUF 0.000000 HUF 971500000.000000 HUF 67579.180000 N N N N/A N/A 000000000 1.000000 NC -602.000000 -0.0000394 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2024-03-15 7619.200000 ZAR 0.000000 ZAR 31400000.000000 ZAR -8221.200000 N N N N/A N/A 000000000 -3900000.000000 NC USD -5424.120000 -0.0003548 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 11189.880000 N N N N/A N/A 000000000 1.000000 NC 35768.090000 0.0023395 N/A DFE PL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 320206.600000 USD 1401000.000000 PLN 2024-01-22 35768.090000 N N N N/A N/A 000000000 1.000000 NC 1007438.450000 0.0658951 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-09-20 0.000000 EUR -45377.860000 EUR 24100000.000000 EUR 1052816.310000 N N N N/A N/A 000000000 1.000000 NC -47769.620000 -0.0031245 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2024-04-01 0.000000 BRL 0.000000 BRL 755800000.000000 BRL -47769.620000 N N N MORGAN STANLEY MORTGAGE TRUST-2006-16AX N/A 617487AF0 220144.670000 PA USD 78305.750000 0.0051219 Long ABS-MBS CORP US N 2 2036-11-25 Floating 7.04937 N N N N N N N/A N/A 000000000 1.000000 NC -68260.690000 -0.0044648 N/A DFE EG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 718930.000000 USD 25234443.000000 EGP 2024-02-13 -68260.690000 N N N N/A N/A 000000000 1.000000 NC -297.720000 -0.0000195 N/A DFE GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 18000.000000 GBP 22646.740000 USD 2024-01-09 -297.720000 N N N N/A N/A 000000000 1.000000 NC -28921.530000 -0.0018917 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3017472.400000 USD 94208505.800000 TRY 2024-03-15 -28921.530000 N N N N/A N/A 000000000 1.000000 NC -78574.920000 -0.0051395 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1167800000.000000 JPY 8208917.300000 USD 2024-01-09 -78574.920000 N N N N/A N/A 000000000 1.000000 NC -1057275.990000 -0.0691549 N/A DIR TH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Thailand Overnight Repo Rate ON Y 2029-03-20 0.000000 THB -294535.230000 THB 1972780000.000000 THB -762740.760000 N N N N/A N/A 000000000 1.000000 NC -179956.360000 -0.0117707 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9514276.040000 CAD 7001171.300000 USD 2024-01-09 -179956.360000 N N N N/A N/A 000000000 -800000.000000 NC USD -24.640000 -0.0000016 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 3679.360000 N N N MERRILL LYNCH MORTGAGE INVS 2005-WMC1 N/A 59020UQV0 1894210.650000 PA USD 1835276.450000 0.120043 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.22043 N N N N N N N/A N/A 000000000 -960000.000000 NC USD -113677.440000 -0.0074355 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-11-07 N/A 41.150000 USD 2024-11-07 XXXX -22919.040000 N N N N/A N/A 000000000 1.000000 NC -19483.160000 -0.0012744 N/A DFE HU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 817448000.000000 HUF 2329960.230000 USD 2024-01-24 -19483.160000 N N N N/A N/A 000000000 1.000000 NC 126853.890000 0.0082973 N/A DFE EG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 24803630.550000 EGP 709689.000000 USD 2024-02-29 126853.890000 N N N N/A N/A 000000000 1.000000 NC 1457.270000 0.0000953 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 433000.000000 USD 69063500.000000 KES 2024-02-05 1457.270000 N N N N/A N/A 000000000 1.000000 NC 25990.100000 0.0017 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 411546.240000 USD 1722000.000000 PLN 2024-01-22 25990.100000 N N N N/A N/A 000000000 1.000000 NC -486445.530000 -0.0318177 N/A DFE TW N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 3517000.000000 USD 90488893.000000 TWD 2024-06-20 -486445.530000 N N N N/A N/A 000000000 1.000000 NC -12662.250000 -0.0008282 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2116000.000000 USD 7799576.000000 PEN 2024-03-20 -12662.250000 N N N N/A N/A 000000000 1.000000 NC USD -7296959.310000 -0.477283 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.41 Y Single Leg Swap 2028-12-20 0.000000 USD -6097249.350000 USD 369200000.000000 USD -1199709.960000 N N N N/A N/A 000000000 1.000000 NC 95303.320000 0.0062336 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 -5205.170000 EUR 2200000.000000 EUR 100508.490000 N N N N/A N/A 000000000 1.000000 NC -49046.600000 -0.0032081 N/A DFE EG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 278592.000000 USD 9990309.120000 EGP 2024-03-05 -49046.600000 N N N N/A N/A 000000000 1.000000 NC -5690.400000 -0.0003722 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 33110649229.000000 IDR 2144611.000000 USD 2024-03-20 -5690.400000 N N N N/A N/A 000000000 1.000000 NC -6076.590000 -0.0003975 N/A DFE EG N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 35833002.800000 EGP 923531.000000 USD 2024-02-12 -6076.590000 N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 ACI23DMF2 1147800000.000000 PA 3155682.440000 0.206408 Long DBT NUSS HU N 2 2028-03-23 Fixed 4.5 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI1YW3C6 28100000.000000 PA 5555797.950000 0.363397 Long DBT NUSS PL N 2 2032-04-25 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC 6284.070000 0.000411 N/A DFE HU N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 307940.560000 USD 109329000.000000 HUF 2024-01-24 6284.070000 N N N N/A N/A 000000000 -1000000.000000 NC -3480.090000 -0.0002276 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 -1192.850000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI225YR1 36200000.000000 PA 7525605.540000 0.492239 Long DBT NUSS RO N 2 2029-07-25 Fixed 4.85 N N N N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI27N2X9 110210000000.000000 PA 7144824.470000 0.467332 Long DBT NUSS ID N 2 2028-08-15 Fixed 6.375 N N N N N N N/A N/A 000000000 1.000000 NC 5129.800000 0.0003355 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1675000.000000 USD 49511325.000000 TRY 2024-01-02 5129.800000 N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 2753121.290000 PA USD 2432519.210000 0.159108 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.52308 N N N N N N N/A N/A 000000000 1.000000 NC 222995.380000 0.0145858 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL -1054161.730000 BRL 148000000.000000 BRL 1277157.110000 N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI2KMNX3 5151669600.000000 PA 6665576.660000 0.435986 Long DBT NUSS CL N 2 2039-10-01 Fixed 3.4 N N N N N N N/A N/A 000000000 -93561235.260000 PA -5131967.050000 -0.335674 Short RA ZA N 2 Reverse repurchase N 8.750000 2025-12-18 95000000.000000 ZAR 99453249.450000 ZAR N N N N/A N/A 000000000 1.000000 NC 5633.330000 0.0003685 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1361818.000000 USD 40571418.040000 TRY 2024-01-10 5633.330000 N N N N/A N/A 000000000 1.000000 NC -8578.610000 -0.0005611 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1384000.000000 EUR 1519640.720000 USD 2024-01-09 -8578.610000 N N N ODEBRECHT OIL & GAS FINANCE LIMITED N/A 67576JAB7 1280714.000000 PA USD 44024.540000 0.0028796 Long DBT CORP KY N 2 2024-02-05 None 0 N N N N N N SUNAC CHINA HOLDINGS LIMITED 549300OLARYHDXP3WK18 ACI2L7Q61 390867.000000 PA USD 24429.190000 0.0015979 Long DBT CORP KY N 2 2028-09-30 Fixed 6.75 N N Y N N N N/A N/A 000000000 1.000000 NC 279685.690000 0.0182938 N/A DIR CL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Sinacofi Chile Interbank Rate N/A N/A Y 2029-06-04 0.000000 CLP 0.000000 CLP 4085000000.000000 CLP 279685.690000 N N N N/A N/A 000000000 1.000000 NC -148695.670000 -0.009726 N/A DFE HU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 933738000.000000 HUF 2534979.090000 USD 2024-01-24 -148695.670000 N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 000000000 9245.000000 NS USD 229581.090000 0.0150166 Long EC CORP LU Y 3 N N N N/A N/A 000000000 1.000000 NC -36374.580000 -0.0023792 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 695000.000000 USD 16958000.000000 ZMW 2024-01-16 -36374.580000 N N N N/A N/A 000000000 1.000000 NC 127896.460000 0.0083655 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 342503420.400000 DOP 5988000.000000 USD 2024-03-07 127896.460000 N N N N/A N/A 000000000 1.000000 NC 2088.290000 0.0001366 N/A DFE HU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 127008.540000 USD 44917000.000000 HUF 2024-01-24 2088.290000 N N N N/A N/A 000000000 1.000000 NC -3553.360000 -0.0002324 N/A DFE TR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3261810.650000 USD 96761612.930000 TRY 2024-01-11 -3553.360000 N N N N/A N/A 000000000 1.000000 NC -328474.530000 -0.021485 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 19983092000.000000 COP 4828000.000000 USD 2024-01-03 -328474.530000 N N N DEVELOPMENT BANK OF SOUTHERN AFRICA LIMITED 2549007IAZ4HOFUNIH94 ACI216ZV0 196700000.000000 PA 10696464.490000 0.69964 Long DBT MUN ZA N 3 2024-10-21 Fixed 8.6 N N N N N N N/A N/A 000000000 1.000000 NC 6225.630000 0.0004072 N/A DFE MY N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 462621.960000 USD 2148000.000000 MYR 2024-01-17 6225.630000 N N N N/A N/A 000000000 1.000000 NC 1421.930000 0.000093 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 101991.130000 USD 407000.000000 PLN 2024-01-22 1421.930000 N N N BEAR STEARNS ALT-A TRUST 2007-2 N/A 073870AG2 6665219.360000 PA USD 4834272.940000 0.316203 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.88444 N N N N N N N/A N/A 000000000 1.000000 NC -126355.390000 -0.0082647 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 -10565.950000 EUR 2800000.000000 EUR -115789.440000 N N N N/A N/A 000000000 1.000000 NC 101561.740000 0.006643 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2026-12-21 0.000000 ZAR 0.000000 ZAR 76500000.000000 ZAR 101561.740000 N N N N/A N/A 000000000 1.000000 NC -43615.470000 -0.0028528 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2024-04-01 0.000000 BRL 0.000000 BRL 662000000.000000 BRL -43615.470000 N N N N/A N/A 000000000 1.000000 NC 138.520000 0.0000091 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 7992.240000 USD 32000.000000 PLN 2024-01-22 138.520000 N N N N/A N/A 000000000 1.000000 NC -19977.490000 -0.0013067 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 491017.000000 USD 12128119.900000 ZMW 2024-01-16 -19977.490000 N N N N/A N/A 000000000 1.000000 NC -50382.330000 -0.0032954 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 53502000.000000 MXN 3086303.670000 USD 2024-01-31 -50382.330000 N N N N/A N/A 000000000 1.000000 NC USD -2329381.040000 -0.152361 N/A DFE US N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 -3374000000.000000 PHP 59068627.450000 USD 2025-06-20 -2021688.630000 N N N N/A N/A 000000000 1.000000 NC -27061.160000 -0.00177 N/A DFE EG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 679504.000000 USD 33173385.280000 EGP 2024-12-16 -27061.160000 N N N TRANSNET SOC LTD 378900B07CD6F01EA796 565692II3 103000000.000000 PA 5052659.950000 0.330487 Long DBT CORP ZA N 2 2029-03-30 Fixed 10 N N N N N N N/A N/A 000000000 1.000000 NC 635656.690000 0.0415774 N/A DFE PL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 10461555.690000 USD 43675000.000000 PLN 2024-01-22 635656.690000 N N N N/A N/A 000000000 1.000000 NC -15344.550000 -0.0010037 N/A DFE PH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 80014107.860000 PHP 1429883.000000 USD 2024-03-20 -15344.550000 N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 3268604.610000 PA USD 31692390.340000 2.07295 Long STIV RF US N 1 N N N N/A N/A 000000000 1.000000 NC -36097.570000 -0.0023611 N/A DFE PE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 53311010.920000 PEN 14366834.000000 USD 2024-01-22 -36097.570000 N N N N/A N/A 000000000 1.000000 NC -979709.250000 -0.0640813 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2033-10-20 0.000000 CLP 0.000000 CLP 11005540000.000000 CLP -979709.250000 N N N N/A N/A 000000000 1.000000 NC -20405.840000 -0.0013347 N/A DFE KZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 354726408.000000 KZT 751539.000000 USD 2024-02-02 -20405.840000 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI0675L2 20270000.000000 PA 4438408.220000 0.29031 Long DBT NUSS MY N 2 2028-06-15 Fixed 3.733 N N N N N N KAISA GROUP HOLDINGS LTD 254900N8L3L7NRJT0120 ACI1XF359 4200000.000000 PA USD 151410.000000 0.0099035 Long DBT CORP KY N 2 2025-11-11 Fixed 11.7 Y Y N N N N N/A N/A 000000000 1.000000 NC 2307.370000 0.0001509 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 488300.000000 USD 79837050.000000 KES 2024-04-11 2307.370000 N N N N/A N/A 000000000 1.000000 NC 34054.720000 0.0022275 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1801000.000000 USD 62221506.310000 THB 2024-03-20 34054.720000 N N N N/A N/A 000000000 1.000000 NC 3905.820000 0.0002555 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 377200.000000 USD 63181000.000000 KES 2024-06-06 3905.820000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BK9CXBII1 1.400000 PA 0.160000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N SUNAC CHINA HOLDINGS LIMITED 549300OLARYHDXP3WK18 ACI2L7PT2 130289.000000 PA USD 12377.460000 0.0008096 Long DBT CORP KY N 2 2027-09-30 Fixed 6.25 N N Y N N N N/A N/A 000000000 1.000000 NC 309612.550000 0.0202513 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2027-03-04 0.000000 MXN 0.000000 MXN 187300000.000000 MXN 309612.550000 N N N N/A N/A 000000000 1.000000 NC -475094.330000 -0.0310752 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 18270000.000000 PLN 4167059.540000 USD 2024-01-22 -475094.330000 N N N N/A N/A 000000000 1.000000 NC 7282.390000 0.0004763 N/A DIR MY N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A Klibor Interbank Offered Rate Y 2029-03-20 11718.500000 MYR 0.000000 MYR 8600000.000000 MYR -4436.110000 N N N N/A N/A 000000000 1.000000 NC -393475.210000 -0.0257366 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2033-10-26 0.000000 CLP 0.000000 CLP 3462700000.000000 CLP -393475.210000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 S69124FF7 30200000.000000 PA 1728346.370000 0.113049 Long DBT NUSS ZA N 2 2026-12-21 Fixed 10.5 N N N N N N N/A N/A 000000000 1.000000 NC 307139.640000 0.0200896 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2031-12-13 0.000000 PLN 0.000000 PLN 12000000.000000 PLN 307139.640000 N N N N/A N/A 000000000 1.000000 NC -83351.040000 -0.0054519 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2030-01-31 0.000000 ZAR 0.000000 ZAR 128550000.000000 ZAR -83351.040000 N N N N/A N/A 000000000 1.000000 NC 1535003.230000 0.100402 N/A DFE MY N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 78484740.900000 USD 366606149.000000 MYR 2024-01-17 1535003.230000 N N N N/A N/A 000000000 1.000000 NC -20822.650000 -0.001362 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8616520.900000 BRL 1753000.000000 USD 2024-01-03 -20822.650000 N N N N/A N/A 000000000 1.000000 NC 11923.060000 0.0007799 N/A DFE KZ N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1077000.000000 USD 500266500.000000 KZT 2024-02-01 11923.060000 N N N N/A N/A 000000000 -10200000.000000 NC USD -362263.200000 -0.0236951 N/A DFE LU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-06-26 N/A 4.920000 USD 2024-06-26 XXXX 58966.200000 N N N N/A N/A 000000000 1.000000 NC -184347.100000 -0.0120579 N/A DFE EG N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 62058000.000000 EGP 1670471.060000 USD 2024-01-17 -184347.100000 N N N N/A N/A 000000000 1.000000 NC 256234.010000 0.0167599 N/A DFE MY N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 19666807.570000 USD 90722000.000000 MYR 2024-04-09 256234.010000 N N N N/A N/A 000000000 1.000000 NC -8154.820000 -0.0005334 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2820000.000000 PLN 708368.110000 USD 2024-01-22 -8154.820000 N N N POINSETTIA FINANCE LIMITED 549300P2JTF5JKW10Z65 G7150PAA8 3154250.000000 PA USD 2678768.890000 0.175214 Long DBT CORP KY N 2 2031-06-17 Fixed 6.625 N N N N N N N/A N/A 000000000 1.000000 NC -0.040000 0 N/A DFE TR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 696.000000 TRY 23.260000 USD 2024-01-17 -0.040000 N N N TOWER BRIDGE FUNDING PLC 2022-1X N/A ACI22Y5B5 690375.490000 PA 875506.410000 0.0572656 Long ABS-MBS CORP GB N 2 2063-12-20 Floating 5.91221 N N N N N N BANCO DE CREDITO DEL PERU SA 549300EQYQ8SCQZ4BY14 05971U2B2 19300000.000000 PA 5067208.660000 0.331439 Long DBT CORP PE N 2 2024-09-17 Fixed 4.65 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB6 N/A 1248RHAA5 10127.260000 PA USD 6487.270000 0.0004243 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.57737 N N N N N N N/A N/A 000000000 -4685000.000000 NC USD -187264.140000 -0.0122487 N/A DFE LU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-06-06 N/A 14950.000000 USD 2024-06-06 XXXX -28794.010000 N N N N/A N/A 000000000 1.000000 NC -19696.500000 -0.0012883 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2030-12-04 0.000000 COP 0.000000 COP 2958600000.000000 COP -19696.500000 N N N N/A N/A 000000000 1.000000 NC -1523918.580000 -0.0996773 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2027-04-25 0.000000 PLN 0.000000 PLN 82900000.000000 PLN -1523918.580000 N N N N/A N/A 000000000 -14150000.000000 NC USD -466185.900000 -0.0304925 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Written MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-06-26 N/A 17.450000 USD 2024-06-26 XXXX 23106.950000 N N N CREDIT BASED ASSET SRVC & SEC 2006-CB1 N/A 81375WHH2 1737123.420000 PA USD 1428918.810000 0.0934635 Long ABS-MBS CORP US N 2 2036-01-25 Variable 5.736 N N N N N N N/A N/A 000000000 1.000000 NC 65134.390000 0.0042603 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 563982.900000 USD 2476000.000000 PLN 2024-01-22 65134.390000 N N N N/A N/A 000000000 1.000000 NC -374781.120000 -0.0245139 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 62110000.000000 BRL 12411368.420000 USD 2024-01-03 -374781.120000 N N N N/A N/A 000000000 1.000000 NC 27376.020000 0.0017906 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2550000.000000 USD 9557400.000000 PEN 2024-03-20 27376.020000 N N N N/A N/A 000000000 1.000000 NC 34576.080000 0.0022616 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 12799025.370000 USD 90838522.760000 CNY 2024-02-16 34576.080000 N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BK99HJII9 1.670000 PA 0.200000 0 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC -15082.610000 -0.0009865 N/A DFE KZ N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 133429800.970000 KZT 275283.270000 USD 2024-02-02 -15082.610000 N N N N/A N/A 000000000 1.000000 NC USD 127604.530000 0.0083464 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-10 0.000000 USD -8251.250000 USD 2300000.000000 USD 135855.780000 N N N N/A N/A 000000000 1.000000 NC 425916.020000 0.0278585 N/A DFE HU N 2 UBS AG BFM8T61CT2L1QCEMIK50 7493742.240000 USD 2755507473.000000 HUF 2024-01-24 425916.020000 N N N N/A N/A 000000000 1.000000 NC -38388.780000 -0.002511 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 13883060.040000 CNY 1923000.000000 USD 2024-02-16 -38388.780000 N N N BANCO DAVIVIENDA SA 549300P161V4IPKAQS70 ACI2HF9P5 8647000000.000000 PA 2300413.400000 0.150467 Long DBT CORP CO N 2 2025-06-07 Fixed 13.4557 N N N N N N N/A N/A 000000000 1.000000 NC -665298.280000 -0.0435162 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2033-03-21 0.000000 PLN -99379.460000 PLN 29200000.000000 PLN -565918.820000 N N N N/A N/A 000000000 1.000000 NC -38128.910000 -0.002494 N/A DFE HU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 192609000.000000 HUF 515452.410000 USD 2024-01-24 -38128.910000 N N N N/A N/A 000000000 1.000000 NC -114362.790000 -0.0074803 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2028-10-03 0.000000 CLP -846.870000 CLP 2718600000.000000 CLP -113515.920000 N N N N/A N/A 000000000 1.000000 NC -352419.330000 -0.0230512 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14371000.000000 PLN 3299052.660000 USD 2024-01-22 -352419.330000 N N N N/A N/A 000000000 1.000000 NC 29230.720000 0.0019119 N/A DFE TR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 652800.000000 USD 26363328.000000 TRY 2024-10-30 29230.720000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI08MN29 239300000.000000 PA 11430802.080000 0.747672 Long DBT NUSS ZA N 2 2032-03-31 Fixed 8.25 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-12 N/A 41161PVF7 309686.410000 PA USD 169308.500000 0.0110742 Long ABS-MBS CORP US N 2 2035-10-19 Floating 7.0118 N N N N N N N/A N/A 000000000 -3506000.000000 NC USD -96702.490000 -0.0063252 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Call Written MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-08-13 N/A 15370.000000 USD 2024-08-13 XXXX 15173.970000 N N N DOMINICAN REPUBLIC GOVT N/A ACI2FG3T3 133400000.000000 PA 2779296.870000 0.18179 Long DBT NUSS DO N 2 2034-02-10 Fixed 13.625 N N N N N N N/A N/A 000000000 1.000000 NC 196467.980000 0.0128507 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8157650.960000 USD 142495000.000000 MXN 2024-01-31 196467.980000 N N N N/A N/A 000000000 1.000000 NC -34796.730000 -0.002276 N/A DFE AU N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 3726000.000000 AUD 2504781.140000 USD 2024-01-09 -34796.730000 N N N CHINA GOVT 300300CHN201808MOF68 ACI1MYJT1 10400000.000000 PA 1490320.750000 0.0974797 Long DBT NUSS CN N 2 2027-06-04 Fixed 2.85 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR41 N/A 45668NAC1 593872.090000 PA USD 596271.930000 0.0390013 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.83043 N N N N N N N/A N/A 000000000 1.000000 NC 192503.220000 0.0125914 N/A DFE TR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 6462100.000000 USD 203039182.000000 TRY 2024-02-09 192503.220000 N N N N/A N/A 000000000 1.000000 NC 226914.310000 0.0148421 N/A DIR MY N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Klibor Interbank Offered Rate Y 2029-03-20 251323.330000 MYR 0.000000 MYR 267970000.000000 MYR -24409.020000 N N N N/A N/A 000000000 2085000.000000 NC 1211551.010000 0.0792458 N/A DFE LU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2024-08-22 N/A 4.400000 EUR 2024-08-22 XXXX 689145.390000 N N N N/A N/A 000000000 1.000000 NC 112507.410000 0.0073589 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 23638500.000000 ZMW 1030000.000000 USD 2024-02-01 112507.410000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1K4YK1 48600000.000000 PA 10038614.260000 0.656611 Long DBT NUSS RO N 2 2028-01-26 Fixed 4.15 N N N N N N CHINA GOVT 300300CHN201808MOF68 BGSQDVII6 123260000.000000 PA 18086734.640000 1.18303 Long DBT NUSS CN N 2 2028-11-22 Fixed 3.25 N N N N N N VOYA CLO LTD 2017-1A N/A 92916MAF8 2024715.240000 PA USD 2023196.700000 0.132334 Long ABS-CBDO CORP KY N 2 2030-04-17 Floating 6.61444 N N N N N N N/A N/A 000000000 1.000000 NC -140732.350000 -0.0092051 N/A DIR CL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Sinacofi Chile Interbank Rate N/A N/A Y 2029-06-14 0.000000 CLP 0.000000 CLP 1715500000.000000 CLP -140732.350000 N N N CORSAIR INTERNATIONAL LIMITED 213800F3PS68ENYG4O41 ACI2363N1 2600000.000000 PA 2870270.400000 0.18774 Long DBT CORP JE N 2 2029-01-28 Floating 9.152 N N N N N N N/A N/A 000000000 -957000.000000 NC USD -111724.010000 -0.0073077 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-11-11 N/A 41.160000 USD 2024-11-11 XXXX -20904.710000 N N N N/A N/A 000000000 1.000000 NC USD -78940.310000 -0.0051634 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-15 0.000000 USD -7401.250000 USD 1700000.000000 USD -71539.060000 N N N N/A N/A 000000000 1.000000 NC 208214.740000 0.013619 N/A DIR KR N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SOUTH KOREAN WON 3 MONTH N/A N/A Y 2033-12-20 28762.970000 KRW 0.000000 KRW 5212980000.000000 KRW 179451.770000 N N N N/A N/A 000000000 1.000000 NC 38417.900000 0.0025129 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 81105300.000000 KES 527000.000000 USD 2024-06-10 38417.900000 N N N N/A N/A 000000000 1.000000 NC -19845.940000 -0.0012981 N/A DFE CL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 3023735534.000000 CLP 3397460.810000 USD 2024-03-20 -19845.940000 N N N N/A N/A 000000000 1.000000 NC 66715.410000 0.0043638 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2034821.880000 USD 32359772416.000000 IDR 2024-03-20 66715.410000 N N N N/A N/A 000000000 1.000000 NC USD -80810.810000 -0.0052857 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 2500000.000000 USD -80810.810000 N N N N/A N/A 000000000 1.000000 NC -38720.180000 -0.0025326 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1877000.000000 EUR 2055263.050000 PLN 2024-09-11 -38720.180000 N N N N/A N/A 000000000 1.000000 NC -27676.430000 -0.0018103 N/A DFE EG N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1823795.000000 USD 60094045.250000 EGP 2024-01-17 -27676.430000 N N N N/A N/A 000000000 1.000000 NC -23799.220000 -0.0015567 N/A DFE ZA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 8504043.690000 USD 155239863.360000 ZAR 2024-01-12 -23799.220000 N N N N/A N/A 000000000 1.000000 NC -16811.760000 -0.0010996 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2028-10-01 0.000000 CLP 0.000000 CLP 1343200000.000000 CLP -16811.760000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797GC5 14000.000000 PA USD 13981.720000 0.0009145 Long DBT UST US N 2 2024-01-11 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -42868.540000 -0.002804 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2219500.000000 GBP 2787323.560000 USD 2024-06-14 -42868.540000 N N N N/A N/A 000000000 1.000000 NC 15234.270000 0.0009965 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2024-03-20 0.000000 PLN -8001.610000 PLN 6600000.000000 PLN 23235.880000 N N N N/A N/A 000000000 1.000000 NC 10774.230000 0.0007047 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 34533810.000000 DOP 603000.000000 USD 2024-01-24 10774.230000 N N N N/A N/A 000000000 1.000000 NC 702.990000 0.000046 N/A DFE HU N 2 UBS AG BFM8T61CT2L1QCEMIK50 31513620.000000 HUF 91529.910000 USD 2024-01-04 702.990000 N N N N/A N/A 000000000 1.000000 NC -147094.570000 -0.0096212 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2028-10-30 0.000000 MXN -31817.520000 MXN 94600000.000000 MXN -115277.050000 N N N N/A N/A 000000000 1.000000 NC -28913.700000 -0.0018912 N/A DFE EG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 23830205.280000 EGP 679504.000000 USD 2024-01-18 -28913.700000 N N N BCAP LLC TRUST 2006-AA2 N/A 05530MAA7 165062.500000 PA USD 153371.370000 0.0100318 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.81043 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI1N27G1 19449000.000000 PA 4136971.990000 0.270593 Long DBT NUSS MY N 2 2050-06-15 Fixed 4.065 N N N N N N N/A N/A 000000000 1.000000 NC 115392.180000 0.0075476 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 313191000.000000 DOP 5487128.010000 USD 2024-01-26 115392.180000 N N N N/A N/A 000000000 1.000000 NC 27797.780000 0.0018182 N/A DIR TH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Thailand Overnight Repo Rate ON Y 2026-03-20 37133.240000 THB 0.000000 THB 1109068000.000000 THB -9335.460000 N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 ACI11VHC9 180000000.000000 PA 6927550.160000 0.453121 Long DBT NUSS CZ N 2 2033-10-13 Fixed 2 N N N N N N CHINA GOVT 300300CHN201808MOF68 ACI23S543 1780000.000000 PA 253891.270000 0.0166067 Long DBT NUSS CN N 2 2032-02-17 Fixed 2.75 N N N N N N SEQUOIA MORTGAGE TRUST 2007-1 N/A 81744HAA1 17040.480000 PA USD 11086.090000 0.0007251 Long ABS-MBS CORP US N 2 2047-01-20 Floating 3.70118 N N N N N N N/A N/A 000000000 1.000000 NC 98013.240000 0.0064109 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2033-11-16 0.000000 CLP 0.000000 CLP 2437000000.000000 CLP 98013.240000 N N N N/A N/A 000000000 1.000000 NC -56258.890000 -0.0036798 N/A DIR CN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2029-03-20 0.000000 CNY -102764.670000 CNY 240680000.000000 CNY 46505.780000 N N N N/A N/A 000000000 1.000000 NC 921508.380000 0.0602745 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 -67072.720000 EUR 12400000.000000 EUR 988581.100000 N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 000000000 1027.000000 NS USD 25503.490000 0.0016681 Long EC CORP LU Y 3 N N N N/A N/A 000000000 1.000000 NC 388213.520000 0.0253925 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2033-05-18 0.000000 ZAR 0.000000 ZAR 94400000.000000 ZAR 388213.520000 N N N VALE SA 254900SMTWBX7RU2SR20 B011X9II2 114742900.000000 PA 8450525.460000 0.552736 Long DBT CORP BR N 2 2049-12-29 Variable 1.37804 N N N N N N N/A N/A 000000000 1.000000 NC 80062.300000 0.0052368 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12603416.210000 USD 11175449153.000000 CLP 2024-01-08 80062.300000 N N N N/A N/A 000000000 1.000000 NC -226600.610000 -0.0148216 N/A DFE HU N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 1393134000.000000 HUF 3777433.240000 USD 2024-01-24 -226600.610000 N N N N/A N/A 000000000 1.000000 NC -11.290000 -0.0000007 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 390817.140000 TRY 13050.250000 USD 2024-01-19 -11.290000 N N N N/A N/A 000000000 1.000000 NC -141676.870000 -0.0092669 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 72626178032.000000 IDR 4574877.360000 USD 2024-03-20 -141676.870000 N N N N/A N/A 000000000 1.000000 NC -1.230000 -0.0000001 N/A DFE EG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 8.000000 USD 288.000000 EGP 2024-02-29 -1.230000 N N N GSAMP TRUST 2004-HE1 N/A 36228FR32 2157206.370000 PA USD 1965386.500000 0.128553 Long ABS-MBS CORP US N 2 2034-05-25 Floating 6.29543 N N N N N N N/A N/A 000000000 1.000000 NC 196602.720000 0.0128595 N/A DFE JP N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4167369.000000 USD 588995097.000000 JPY 2024-11-07 196602.720000 N N N N/A N/A 000000000 1.000000 NC -5865.830000 -0.0003837 N/A DFE KZ N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 108263325.600000 KZT 229566.000000 USD 2024-02-05 -5865.830000 N N N N/A N/A 000000000 1.000000 NC -26767.390000 -0.0017508 N/A DFE KZ N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 333005128.850000 KZT 697392.940000 USD 2024-02-05 -26767.390000 N N N N/A N/A 000000000 1.000000 NC -93598.530000 -0.0061221 N/A DFE TR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1170000.000000 USD 35108775.000000 TRY 2024-04-19 -93598.530000 N N N N/A N/A 000000000 1.000000 NC 11469.920000 0.0007502 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1618000.000000 USD 25090811400.000000 IDR 2024-03-20 11469.920000 N N N N/A N/A 000000000 1.000000 NC 143963.800000 0.0094165 N/A DFE CO N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2061000.000000 USD 8920008000.000000 COP 2024-08-15 143963.800000 N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 B1KNGGII4 85700000.000000 PA 3989746.710000 0.260964 Long DBT NUSS CZ N 2 2036-12-04 Fixed 4.2 N N N N N N N/A N/A 000000000 1.000000 NC -72007.850000 -0.0047099 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2024-07-01 0.000000 BRL 0.000000 BRL 206200000.000000 BRL -72007.850000 N N N N/A N/A 000000000 1.000000 NC -275414.160000 -0.0180144 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 11733000.000000 PLN 2705778.580000 USD 2024-01-22 -275414.160000 N N N N/A N/A 000000000 1.000000 NC 20690.800000 0.0013534 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 196552.850000 USD 855000.000000 PLN 2024-01-22 20690.800000 N N N N/A N/A 000000000 1.000000 NC 715056.200000 0.0467708 N/A DIR KR N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SOUTH KOREAN WON 3 MONTH N/A N/A Y 2028-12-20 0.000000 KRW 0.000000 KRW 24118700000.000000 KRW 715056.200000 N N N N/A N/A 000000000 1.000000 NC -355882.700000 -0.0232778 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 20089308000.000000 COP 4828000.000000 USD 2024-01-03 -355882.700000 N N N N/A N/A 000000000 1.000000 NC -21583.490000 -0.0014117 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2030-01-31 0.000000 ZAR 0.000000 ZAR 20560000.000000 ZAR -21583.490000 N N N N/A N/A 000000000 1.000000 NC 51437.760000 0.0033645 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 173642900.000000 KES 1121000.000000 USD 2024-04-04 51437.760000 N N N N/A N/A 000000000 1.000000 NC 121077.400000 0.0079195 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4235052.120000 USD 74301872.000000 MXN 2024-01-31 121077.400000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 902NXHII8 5297000000.000000 PA 1630157.370000 0.106626 Long DBT NUSS US N 2 2033-02-09 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC 114650.120000 0.0074991 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 314358509.500000 DOP 5495000.000000 USD 2024-03-04 114650.120000 N N N N/A N/A 000000000 1.000000 NC -63956.880000 -0.0041833 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 1600000.000000 EUR -63956.880000 N N N THAILAND GOVT N/A ACI0NHH46 23000000.000000 PA 620722.380000 0.0406005 Long DBT NUSS TH N 2 2046-06-17 Fixed 2.875 N N N N N N N/A N/A 000000000 1.000000 NC 181225.690000 0.0118537 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2028-10-03 0.000000 COP 0.000000 COP 13847600000.000000 COP 181225.690000 N N N N/A N/A 000000000 1.000000 NC 19300.840000 0.0012624 N/A DFE CL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3023735534.000000 CLP 3451280.110000 USD 2024-01-05 19300.840000 N N N N/A N/A 000000000 -500000.000000 NC USD -1345.600000 -0.000088 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/3.20500 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 704.400000 N N N ESKOM HOLDINGS SOC LTD 3789001900ED06F65111 531711II2 363100000.000000 PA 4297452.510000 0.28109 Long DBT CORP ZA N 2 2032-12-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 327177.700000 0.0214002 N/A DFE RO N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 19037908.170000 USD 87317365.820000 RON 2024-02-20 327177.700000 N N N N/A N/A 000000000 1.000000 NC -126630.150000 -0.0082827 N/A DFE EG N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2128482.660000 USD 73858348.300000 EGP 2024-02-05 -126630.150000 N N N BANCO DO BRASIL SA/LONDON BRANCH QE0Q0253K88YAGNPE356 ACI2J3525 135000000.000000 PA 7481119.490000 0.489329 Long DBT CORP BR N 2 2026-07-29 Fixed 8.5 N N N N N N N/A N/A 000000000 1.000000 NC -951.090000 -0.0000622 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 37308948180.000000 IDR 2422000.000000 USD 2024-03-20 -951.090000 N N N CITIGROUP MTGE LOAN TR INC 2006-AR7 N/A 172987AD1 24672.090000 PA USD 22450.090000 0.0014684 Long ABS-MBS CORP US N 2 2046-07-25 Floating 4.81598 N N N N N N N/A N/A 000000000 1.000000 NC 4294650.560000 0.280907 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 92863096.130000 USD 471953470.310000 BRL 2024-01-03 4294650.560000 N N N RESIDENTIAL ASSET MTGE PROD 2005-RS2 N/A 76112BKF6 1475433.020000 PA USD 1451065.650000 0.0949121 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.62543 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI1S5B09 22220000.000000 PA 4487968.570000 0.293551 Long DBT NUSS MY N 2 2031-04-15 Fixed 2.632 N N N N N N N/A N/A 000000000 1.000000 NC -2818.630000 -0.0001844 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 631000.000000 USD 9698470000.000000 IDR 2024-08-15 -2818.630000 N N N N/A N/A 000000000 1.000000 NC -118704.760000 -0.0077643 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 -8407.130000 EUR 2200000.000000 EUR -110297.630000 N N N SUNAC CHINA HOLDINGS LIMITED 549300OLARYHDXP3WK18 ACI2L7W15 392280.000000 PA USD 31382.400000 0.0020527 Long DBT CORP KY N 2 2032-09-30 Fixed 1 N N Y Y N SUNAC CHINA HOLDINGS LIMITED HKD XXXX N N N N/A N/A 000000000 1.000000 NC USD -17270.820000 -0.0011297 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-20 452312.910000 USD 0.000000 USD 8300000.000000 USD -469583.730000 N N N VENTURE 36 CLO LTD N/A 92332LAU3 4000000.000000 PA USD 3988723.960000 0.260897 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 6.80743 N N N N N N N/A N/A 000000000 -1200000.000000 NC USD -15402.720000 -0.0010075 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 -10167.720000 N N N N/A N/A 000000000 -14150000.000000 NC USD -494245.350000 -0.0323279 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Call Written MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-06-26 N/A 17.450000 USD 2024-06-26 XXXX -4952.500000 N N N N/A N/A 000000000 1.000000 NC -2326545.760000 -0.152176 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1219740847.200000 MXN 69183753.610000 USD 2024-01-31 -2326545.760000 N N N N/A N/A 000000000 1.000000 NC 18418.050000 0.0012047 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 54221432.000000 DOP 947000.000000 USD 2024-01-05 18418.050000 N N N N/A N/A 000000000 1.000000 NC -23340.650000 -0.0015267 N/A DFE EG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1538080.000000 USD 50679736.000000 EGP 2024-01-17 -23340.650000 N N N N/A N/A 000000000 1.000000 NC 161522.860000 0.010565 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2863880.870000 USD 11907000.000000 PLN 2024-01-22 161522.860000 N N N N/A N/A 000000000 -1200000.000000 NC USD -19423.680000 -0.0012705 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 -13963.680000 N N N OI SA (AKA: BRASIL TELECOM S/A) 254900YEMWCRRAGD4978 ACI1TX4B1 2500000.000000 PA 271495.910000 0.0177581 Long DBT CORP BR N 3 2035-02-25 Fixed 4.49948 N N Y N N N N/A N/A 000000000 -400000.000000 NC USD -1137.240000 -0.0000744 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 482.760000 N N N N/A N/A 000000000 1.000000 NC 168917.060000 0.0110486 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2027-03-04 0.000000 MXN 0.000000 MXN 267000000.000000 MXN 168917.060000 N N N N/A N/A 000000000 1.000000 NC -729.750000 -0.0000477 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 507499.000000 TWD 16080.440000 USD 2024-03-20 -729.750000 N N N WASHINGTON MUTUAL 2004-RP1 N/A 92922FYJ1 202937.750000 PA USD 181487.900000 0.0118709 Long ABS-MBS CORP US N 2 2034-05-25 Floating 5.84043 N N N N N N N/A N/A 000000000 1.000000 NC 23796.230000 0.0015565 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1078200.080000 USD 998000.000000 EUR 2024-01-09 23796.230000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 BPXR8CII6 185900000.000000 PA 7541488.150000 0.493278 Long DBT NUSS ZA N 2 2044-01-31 Fixed 8.75 N N N N N N N/A N/A 000000000 1.000000 NC 8819483.650000 0.576869 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2029-03-20 7176566.800000 GBP 0.000000 GBP 89100000.000000 GBP 1642916.850000 N N N N/A N/A 000000000 1.000000 NC 18920.440000 0.0012376 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 409052.000000 USD 60306086.000000 JPY 2024-01-09 18920.440000 N N N N/A N/A 000000000 1.000000 NC 296693.640000 0.0194063 N/A DFE EG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 57550972.500000 EGP 1649025.000000 USD 2024-02-29 296693.640000 N N N MEXICO GOVT 254900EGTWEU67VP6075 B44NNDII5 125500000.000000 PA 7081241.980000 0.463174 Long DBT NUSS MX N 2 2038-11-18 Fixed 8.5 N N N N N N N/A N/A 000000000 1.000000 NC 15226.310000 0.0009959 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1878893.000000 USD 58917387.250000 TRY 2024-03-01 15226.310000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2BPJ03 126200000.000000 PA 6754795.360000 0.441821 Long DBT NUSS MX N 2 2033-05-26 Fixed 7.5 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAE1 303536.390000 PA USD 255680.930000 0.0167237 Long ABS-MBS CORP US N 2 2047-06-25 Floating 6.81474 N N N N N N N/A N/A 000000000 1.000000 NC -54942.550000 -0.0035937 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 2100000.000000 EUR -54942.550000 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI1V3XF3 21810000.000000 PA 4510017.560000 0.294994 Long DBT NUSS MY N 2 2036-07-15 Fixed 3.447 N N N N N N VIBRANT CLO VI LTD 2017-6A N/A 92558EAJ1 808058.770000 PA USD 807959.750000 0.0528475 Long ABS-CBDO CORP KY N 2 2029-06-20 Floating 6.582 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2007-2AX N/A 61751TAD1 3216666.260000 PA USD 1133695.690000 0.0741534 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.95043 N N N N N N N/A N/A 000000000 1.000000 NC 326584.100000 0.0213614 N/A DFE ID N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 8422632.480000 USD 134721691000.000000 IDR 2024-03-20 326584.100000 N N N N/A N/A 000000000 1.000000 NC -59555.390000 -0.0038954 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4978000.000000 PLN 1205285.440000 USD 2024-01-22 -59555.390000 N N N N/A N/A 000000000 1.000000 NC -198562.170000 -0.0129877 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 11126000.000000 PLN 2628400.280000 USD 2024-01-22 -198562.170000 N N N N/A N/A 000000000 1.000000 NC 460971.090000 0.0301514 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 81100000.000000 BRL 460971.090000 N N N FONDO MIVIVIENDA SA 549300X41PNOK11PZ670 344593AE8 39400000.000000 PA 10599540.450000 0.6933 Long DBT CORP PE N 2 2024-02-14 Fixed 7 N N N N N N N/A N/A 000000000 1.000000 NC 7447.800000 0.0004871 N/A DFE ZA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2391243.860000 USD 43929062.700000 ZAR 2024-01-17 7447.800000 N N N N/A N/A 000000000 1.000000 NC 4954.560000 0.0003241 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1454506.580000 USD 10340000.000000 CNY 2024-03-26 4954.560000 N N N N/A N/A 000000000 1.000000 NC -221447.360000 -0.0144845 N/A DFE HU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1230529000.000000 HUF 3315240.260000 USD 2024-01-24 -221447.360000 N N N N/A N/A 000000000 1.000000 NC -5024.510000 -0.0003286 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2251000.000000 USD 187556921.600000 INR 2024-03-20 -5024.510000 N N N N/A N/A 000000000 1.000000 NC 50830.580000 0.0033248 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1075811.000000 USD 158756353.000000 JPY 2024-01-09 50830.580000 N N N N/A N/A 000000000 1.000000 NC USD 1082687.380000 0.070817 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-06-20 837843.090000 USD 0.000000 USD 56200000.000000 USD 244844.290000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 B1W32LII9 185500000.000000 PA 6666338.120000 0.436035 Long DBT NUSS ZA N 2 2036-03-31 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC -19812.720000 -0.0012959 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 14749813.000000 TWD 468754.000000 USD 2024-03-20 -19812.720000 N N N N/A N/A 000000000 -2100000.000000 NC -57.960000 -0.0000038 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 7700.270000 N N N N/A N/A 000000000 1.000000 NC 5402.210000 0.0003534 N/A DFE HU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 85917.190000 USD 31773000.000000 HUF 2024-01-24 5402.210000 N N N N/A N/A 000000000 1.000000 NC 8654.590000 0.0005661 N/A DFE BR N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 1562827.960000 USD 7696927.700000 BRL 2024-04-02 8654.590000 N N N N/A N/A 000000000 1.000000 NC -37757.340000 -0.0024697 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2776000.000000 PLN 667585.800000 USD 2024-01-22 -37757.340000 N N N N/A N/A 000000000 1.000000 NC 45446.340000 0.0029726 N/A DFE EG N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 8815425.900000 EGP 252591.000000 USD 2024-02-29 45446.340000 N N N N/A N/A 000000000 1.000000 NC 86500.280000 0.0056579 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2033-11-30 14586.680000 PLN 0.000000 PLN 10600000.000000 PLN 71913.600000 N N N N/A N/A 000000000 1.000000 NC 49207.590000 0.0032186 N/A DIR MY N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Klibor Interbank Offered Rate Y 2028-12-20 0.000000 MYR 0.000000 MYR 16900000.000000 MYR 49207.590000 N N N COUNTRYWIDE HOME LOANS 2007-HY4 N/A 17025RAA3 15271.210000 PA USD 13426.080000 0.0008782 Long ABS-MBS CORP US N 2 2047-09-25 Floating 4.43042 N N N N N N N/A N/A 000000000 1.000000 NC 129970.060000 0.0085012 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2031-03-26 0.000000 COP 0.000000 COP 6198160000.000000 COP 129970.060000 N N N SERBIA GOVT 254900W94OCY91V32O78 948FJBII0 3400000.000000 PA 3765171.290000 0.246274 Long LON NUSS RS N 3 2030-08-11 Floating 8.127 N N N N N N N/A N/A 000000000 1.000000 NC -62240.410000 -0.0040711 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2030-09-01 0.000000 CLP 0.000000 CLP 2681300000.000000 CLP -62240.410000 N N N BEAR STEARNS ALT-A TRUST 2006-R1 N/A 073866BN4 262939.280000 PA USD 180638.600000 0.0118153 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.17038 N N N N N N ONEMAIN FINANCIAL ISSUANCE TRUST 2022-S1 N/A 68267HAA5 7300000.000000 PA USD 7116359.010000 0.465471 Long ABS-O CORP US N 2 2035-05-14 Fixed 4.13 N N N N N N N/A N/A 000000000 1.000000 NC 89350.510000 0.0058443 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 5736571.760000 USD 28300000.000000 BRL 2024-01-03 89350.510000 N N N N/A N/A 000000000 1.000000 NC -16137.050000 -0.0010555 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4017551.200000 USD 122427239.470000 TRY 2024-02-12 -16137.050000 N N N N/A N/A 000000000 1.000000 NC 1326448.830000 0.0867611 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-10-27 61284.440000 EUR 0.000000 EUR 17000000.000000 EUR 1265164.390000 N N N N/A N/A 000000000 1.000000 NC -536221.410000 -0.0350735 N/A DIR HU N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 BUBOR HKK 6M N/A N/A Y 2024-12-12 0.000000 HUF 0.000000 HUF 3983900000.000000 HUF -536221.410000 N N N N/A N/A 000000000 1.000000 NC 195578.950000 0.0127925 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2027-03-04 0.000000 MXN 0.000000 MXN 114300000.000000 MXN 195578.950000 N N N N/A N/A 000000000 1.000000 NC -113182.810000 -0.0074031 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 26109000.000000 MXN 1417521.360000 USD 2024-01-31 -113182.810000 N N N N/A N/A 000000000 1.000000 NC USD -26111.160000 -0.0017079 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 900000.000000 USD -26111.160000 N N N N/A N/A 000000000 1.000000 NC 10703.820000 0.0007001 N/A DFE HU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1294396.560000 USD 454087000.000000 HUF 2024-01-24 10703.820000 N N N N/A N/A 000000000 1.000000 NC -29102.890000 -0.0019036 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 26594177880.000000 IDR 1698000.000000 USD 2024-03-20 -29102.890000 N N N N/A N/A 000000000 -10200000.000000 NC USD -390853.800000 -0.0255652 N/A DFE LU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-06-26 N/A 4.920000 USD 2024-06-26 XXXX 30375.600000 N N N N/A N/A 000000000 1.000000 NC -17986.820000 -0.0011765 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 665000.000000 USD 9975000000.000000 IDR 2024-06-10 -17986.820000 N N N BBVA COLOMBIA SA 5493009W53901OCHI065 ACI2KTZF4 1626000000.000000 PA 444725.480000 0.0290888 Long DBT CORP CO N 2 2026-05-10 Fixed 13.2291 N N N N N N N/A N/A 000000000 1.000000 NC 410294.480000 0.0268368 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 186658.830000 BRL 0.000000 BRL 53200000.000000 BRL 223635.650000 N N N N/A N/A 000000000 1.000000 NC 401523.080000 0.026263 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 26081770.960000 USD 102631768727.600000 COP 2024-01-03 401523.080000 N N N N/A N/A 000000000 1.000000 NC 125000.040000 0.0081761 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5813843.710000 USD 101298000.000000 MXN 2024-01-31 125000.040000 N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 ACI239370 1659500000.000000 PA 4421398.650000 0.289197 Long DBT NUSS HU N 2 2032-11-24 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC -579134.950000 -0.0378804 N/A DFE EG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 6183483.000000 USD 217349427.450000 EGP 2024-02-13 -579134.950000 N N N N/A N/A 000000000 1.000000 NC -354918.910000 -0.0232147 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2026-01-02 0.000000 BRL 0.000000 BRL 156500000.000000 BRL -354918.910000 N N N GSAMP TRUST 2007-SEA1 N/A 3622MLAA5 1241138.420000 PA USD 1218201.690000 0.0796808 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.77043 N N N N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI29G360 510000000.000000 PA 658401.950000 0.0430651 Long DBT NUSS CL N 2 2034-05-01 Fixed 7 N N N N N N N/A N/A 000000000 1.000000 NC 105157.890000 0.0068782 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8694909.200000 USD 161189417.780000 ZAR 2024-01-19 105157.890000 N N N N/A N/A 000000000 1.000000 NC -142334.710000 -0.0093099 N/A DFE EG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 930913.000000 USD 33559413.650000 EGP 2024-02-29 -142334.710000 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI1LRNH8 49130000.000000 PA 10509460.210000 0.687408 Long DBT NUSS MY N 2 2030-10-15 Fixed 3.465 N N N N N N N/A N/A 000000000 1.000000 NC -35772.550000 -0.0023398 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 19813454.010000 BRL 4036469.390000 USD 2024-02-02 -35772.550000 N N N N/A N/A 000000000 1.000000 NC -54842.960000 -0.0035872 N/A DFE EG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1164347.000000 USD 56412612.150000 EGP 2024-12-16 -54842.960000 N N N N/A N/A 000000000 1.000000 NC -7456.120000 -0.0004877 N/A DFE TW N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 5416144.000000 TWD 171946.000000 USD 2024-03-20 -7456.120000 N N N CITIGROUP MORTGAGE LOAN TR 2004-HYB2 N/A 17307GEC8 5962.290000 PA USD 5291.550000 0.0003461 Long ABS-MBS CORP US N 2 2034-03-25 Floating 4.31783 N N N N N N N/A N/A 000000000 1.000000 NC 9281.440000 0.0006071 N/A DFE EG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 13766500.000000 EGP 366422.680000 USD 2024-02-12 9281.440000 N N N N/A N/A 000000000 1.000000 NC 78785.600000 0.0051532 N/A DFE GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5581598.600000 USD 4439000.000000 GBP 2024-06-14 78785.600000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA3 N/A 02150TAA8 5626177.220000 PA USD 4949728.990000 0.323755 Long ABS-MBS CORP US N 2 2047-04-25 Floating 5.75043 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -652.360000 -0.0000427 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 -350138.610000 -0.0229021 N/A DIR HU N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 BUBOR HKK 6M N/A N/A Y 2026-09-13 0.000000 HUF -102397.850000 HUF 1043200000.000000 HUF -247740.760000 N N N N/A N/A 000000000 1.000000 NC -13518.400000 -0.0008842 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6227211.580000 ILS 1710396.500000 USD 2024-03-20 -13518.400000 N N N N/A N/A 000000000 1.000000 NC 281507.100000 0.018413 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7273664.180000 USD 36700000.000000 BRL 2024-01-03 281507.100000 N N N N/A N/A 000000000 1.000000 NC -32079.290000 -0.0020983 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6136032.180000 PEN 1622645.030000 USD 2024-03-20 -32079.290000 N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 BP5FPDII2 32292000000.000000 PA 2175472.230000 0.142294 Long DBT NUSS ID N 2 2042-06-15 Fixed 7.125 N N N N N N N/A N/A 000000000 1.000000 NC -78626.240000 -0.0051428 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11221451623.000000 CLP 12603416.210000 USD 2024-03-20 -78626.240000 N N N N/A N/A 000000000 1.000000 NC 3677.350000 0.0002405 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 131107.160000 USD 2299000.000000 MXN 2024-01-31 3677.350000 N N N N/A N/A 000000000 -16404573.000000 NC USD -26608.220000 -0.0017404 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Call Written MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-03-07 N/A 19.500000 USD 2024-03-07 XXXX 158976.710000 N N N N/A N/A 000000000 1.000000 NC 142.310000 0.0000093 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 21200.930000 USD 84000.000000 PLN 2024-01-22 142.310000 N N N STRUCTURED ADJ RATE MTGE LOAN 2006-2 N/A 863579V47 37709.590000 PA USD 27517.270000 0.0017999 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.52015 N N N N N N N/A N/A 000000000 1.000000 NC 6203.570000 0.0004058 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 117273.190000 USD 1254315.220000 NOK 2024-01-09 6203.570000 N N N CHINA GOVT 300300CHN201808MOF68 ACI1T21W6 2900000.000000 PA 429348.920000 0.0280831 Long DBT NUSS CN N 2 2030-11-19 Fixed 3.27 N N N N N N N/A N/A 000000000 1.000000 NC USD 75447.000000 0.0049349 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-23 0.000000 USD -4245.000000 USD 1200000.000000 USD 79692.000000 N N N N/A N/A 000000000 1.000000 NC 651007.600000 0.0425814 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2031-02-01 0.000000 COP 0.000000 COP 13423000000.000000 COP 651007.600000 N N N N/A N/A 000000000 1.000000 NC USD 40929.790000 0.0026772 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-16 0.000000 USD -2120.000000 USD 400000.000000 USD 43049.790000 N N N N/A N/A 000000000 5381000.000000 NC USD 92391.770000 0.0060432 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-11-05 N/A 167.000000 USD 2024-11-05 XXXX -182846.380000 N N N N/A N/A 000000000 1.000000 NC USD 695492.930000 0.0454912 N/A DCR US N 3 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A ESKOM HOLDINGS SOC LTD Y Single Leg Swap 2029-06-30 0.000000 USD 0.000000 USD 8000000.000000 USD 695492.930000 N N N DOMINICAN REPUBLIC GOVT N/A 25714RDA9 43700000.000000 PA 767632.720000 0.0502097 Long DBT MUN DO N 2 2025-10-03 Fixed 12 N N N N N N N/A N/A 000000000 1.000000 NC -43546.750000 -0.0028483 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2031-03-26 0.000000 COP 0.000000 COP 14268750000.000000 COP -43546.750000 N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1W77N5 1.290000 PA 0.150000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N DOMINICAN REPUBLIC GOVT N/A P3579ECD7 59600000.000000 PA 1027715.050000 0.0672213 Long DBT NUSS DO N 2 2026-06-05 Fixed 9.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 22785.770000 0.0014904 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-03 0.000000 USD -5840.000000 USD 1600000.000000 USD 28625.770000 N N N N/A N/A 000000000 1.000000 NC -74953.200000 -0.0049026 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 -6054.120000 EUR 1600000.000000 EUR -68899.080000 N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QA2 N/A 761118TR9 92374.740000 PA USD 78541.830000 0.0051373 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.36524 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 854413.750000 PA USD 721620.340000 0.0472001 Long ABS-MBS CORP US N 2 2037-10-25 Variable 5.79131 N N N N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2KQJS0 134900000.000000 PA 4755438.150000 0.311046 Long DBT NUSS TR N 2 2033-10-05 Fixed 26.2 N N N N N N N/A N/A 000000000 1.000000 NC USD 106888.500000 0.0069914 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-12 0.000000 USD -7900.000000 USD 2000000.000000 USD 114788.500000 N N N N/A N/A 000000000 1.000000 NC -79349.030000 -0.0051901 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2028-07-17 0.000000 COP 0.000000 COP 65754000000.000000 COP -79349.030000 N N N DOMINICAN REPUBLIC GOVT N/A 000000000 642550000.000000 PA 13501407.570000 0.883107 Long DBT NUSS DO N 2 2033-02-03 Fixed 13.625 N N N N N N N/A N/A 000000000 1.000000 NC -148977.300000 -0.0097444 N/A DFE CO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 16328915789.310000 COP 4059647.160000 USD 2024-01-09 -148977.300000 N N N N/A N/A 000000000 -282498.660000 PA -16174.910000 -0.001058 Short RA ZA N 2 Reverse repurchase N 8.650000 2025-06-13 500000.000000 ZAR 302725.850000 ZAR N N N N/A N/A 000000000 1.000000 NC 822367.440000 0.0537898 N/A DFE PL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 50587898.620000 USD 202334000.000000 PLN 2024-01-22 822367.440000 N N N N/A N/A 000000000 1.000000 NC -28529.120000 -0.001866 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2030-09-01 0.000000 CLP 0.000000 CLP 1976000000.000000 CLP -28529.120000 N N N N/A N/A 000000000 1.000000 NC -305118.160000 -0.0199573 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2033-03-20 0.000000 PLN 0.000000 PLN 14700000.000000 PLN -305118.160000 N N N N/A N/A 000000000 1.000000 NC 28338.470000 0.0018536 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3757785.000000 USD 117768981.900000 TRY 2024-03-01 28338.470000 N N N N/A N/A 000000000 1.000000 NC 30140.590000 0.0019715 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 403838.550000 USD 1708000.000000 PLN 2024-01-22 30140.590000 N N N N/A N/A 000000000 -4685000.000000 NC USD -31122.460000 -0.0020357 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-06-06 N/A 14950.000000 USD 2024-06-06 XXXX 112496.220000 N N N N/A N/A 000000000 1.000000 NC -9295.120000 -0.000608 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3643979.040000 CNY 505042.000000 USD 2024-03-26 -9295.120000 N N N N/A N/A 000000000 1.000000 NC -1529.750000 -0.0001001 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 10539000.000000 CNY 1486019.660000 USD 2024-03-26 -1529.750000 N N N N/A N/A 000000000 1.000000 NC 25.900000 0.0000017 N/A DFE KZ N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2001.000000 USD 930965.250000 KZT 2024-01-31 25.900000 N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAP6 7127.150000 PA USD 7028.320000 0.0004597 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 -47147.580000 -0.0030839 N/A DFE EG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1172294.000000 USD 57207947.200000 EGP 2024-12-16 -47147.580000 N N N N/A N/A 000000000 1.000000 NC -328474.530000 -0.021485 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 19983092000.000000 COP 4828000.000000 USD 2024-01-03 -328474.530000 N N N N/A N/A 000000000 1.000000 NC -2042961.780000 -0.133627 N/A DIR HU N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 BUBOR HKK 6M N/A N/A Y 2028-01-16 4079.350000 HUF 0.000000 HUF 6147700000.000000 HUF -2047041.130000 N N N N/A N/A 000000000 1.000000 NC -10627.200000 -0.0006951 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2030-09-01 0.000000 CLP 0.000000 CLP 255800000.000000 CLP -10627.200000 N N N N/A N/A 000000000 1.000000 NC -27328.400000 -0.0017875 N/A DFE EG N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 679503.000000 USD 33159746.400000 EGP 2024-12-16 -27328.400000 N N N N/A N/A 000000000 1.000000 NC 1223.270000 0.00008 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2025-11-28 0.000000 ZAR -9092.080000 ZAR 161600000.000000 ZAR 10315.350000 N N N N/A N/A 000000000 1.000000 NC -90080.380000 -0.005892 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2028-11-13 0.000000 CLP -22033.170000 CLP 2590400000.000000 CLP -68047.210000 N N N N/A N/A 000000000 1.000000 NC -4266.300000 -0.0002791 N/A DFE GB N 2 UBS AG BFM8T61CT2L1QCEMIK50 183000.000000 GBP 229002.360000 USD 2024-01-09 -4266.300000 N N N N/A N/A 000000000 1.000000 NC -256609.560000 -0.0167845 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 131062984000.000000 IDR 8255000.000000 USD 2024-03-20 -256609.560000 N N N N/A N/A 000000000 1.000000 NC 1410.380000 0.0000923 N/A DFE EG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 45133319.000000 EGP 1172294.000000 USD 2024-02-12 1410.380000 N N N MEXICO GOVT 254900EGTWEU67VP6075 975UCXII2 302900000.000000 PA 16697939.990000 1.09219 Long DBT NUSS MX N 2 2031-05-29 Fixed 7.75 N N N N N N BANCO DAVIVIENDA SA 549300P161V4IPKAQS70 ACI2D7MW7 2550000000.000000 PA 665547.540000 0.0435325 Long DBT CORP CO N 2 2024-02-21 Fixed 15.3889 N N N N N N N/A N/A 000000000 1.000000 NC -97934.710000 -0.0064058 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 57042071.700000 MXN 3246296.680000 USD 2024-01-31 -97934.710000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2C9W52 41054300000.000000 PA 12628889.740000 0.826037 Long DBT NUSS CO N 2 2033-02-09 Fixed 13.25 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI1M8TD2 1105000.000000 PA 222392.920000 0.0145464 Long DBT NUSS PL N 2 2030-10-25 Fixed 1.25 N N N N N N ESKOM HOLDINGS SOC LTD 3789001900ED06F65111 529867II6 143600000.000000 PA 4459601.010000 0.291696 Long DBT CORP ZA N 2 2027-08-18 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 16824.080000 0.0011004 N/A DFE ZA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1559578.710000 USD 28882000.000000 ZAR 2024-01-22 16824.080000 N N N N/A N/A 000000000 1.000000 NC 111728.690000 0.007308 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2033-11-17 0.000000 CLP 0.000000 CLP 4836500000.000000 CLP 111728.690000 N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 ACI1J5Y87 100000000.000000 PA 6485.330000 0.0004242 Long DBT CORP KY N 3 2025-01-23 Fixed 6.9 N N N N N N N/A N/A 000000000 1.000000 NC 25072.510000 0.00164 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 840078.000000 USD 26118865.000000 TWD 2024-03-20 25072.510000 N N N N/A N/A 000000000 1.000000 NC USD 231340.000000 0.0151316 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-11-01 0.000000 USD -12182.000000 USD 2900000.000000 USD 243522.000000 N N N N/A N/A 000000000 1.000000 NC -5470.820000 -0.0003578 N/A DFE GB N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 1453521.090000 USD 1136000.000000 GBP 2024-01-09 -5470.820000 N N N N/A N/A 000000000 1.000000 NC -246037.700000 -0.016093 N/A DFE CH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5073818.870000 CHF 5789839.660000 USD 2024-01-09 -246037.700000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI17K571 4012600000.000000 PA 854137.700000 0.0558679 Long DBT NUSS CO N 2 2034-10-18 Fixed 7.25 N N N N N N N/A N/A 000000000 1.000000 NC -13282.450000 -0.0008688 N/A DFE CN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 5604371.690000 CNY 777758.430000 USD 2024-03-26 -13282.450000 N N N N/A N/A 000000000 1.000000 NC -35193.470000 -0.002302 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 11814849.420000 CNY 1634000.000000 USD 2024-02-16 -35193.470000 N N N N/A N/A 000000000 1.000000 NC -122939.460000 -0.0080413 N/A DFE PL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6254421.510000 PLN 1458261.070000 EUR 2024-09-11 -122939.460000 N N N N/A N/A 000000000 1.000000 NC 108080.790000 0.0070694 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 484534000.000000 DOP 8422079.070000 USD 2024-02-08 108080.790000 N N N WELLS FARGO HOME EQUITY TRUST 2007-1 N/A 9497EVAC9 2000000.000000 PA USD 1786504.800000 0.116853 Long ABS-MBS CORP US N 2 2037-03-25 Floating 6.11043 N N N N N N N/A N/A 000000000 1.000000 NC -815761.130000 -0.0533577 N/A DIR CL N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 Sinacofi Chile Interbank Rate N/A N/A Y 2026-03-14 0.000000 CLP 0.000000 CLP 15998900000.000000 CLP -815761.130000 N N N N/A N/A 000000000 1.000000 NC -15342.960000 -0.0010036 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2029-03-01 0.000000 MXN 0.000000 MXN 44300000.000000 MXN -15342.960000 N N N N/A N/A 000000000 -1942000.000000 NC USD -133483.370000 -0.008731 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-10-30 N/A 40.250000 USD 2024-10-30 XXXX 61415.750000 N N N N/A N/A 000000000 1.000000 NC -1989.170000 -0.0001301 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 18581936.790000 CNY 2622234.000000 USD 2024-02-09 -1989.170000 N N N N/A N/A 000000000 1.000000 NC 409958.310000 0.0268148 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5326642.060000 USD 97848363.890000 MXN 2024-01-31 409958.310000 N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0Q6 68.000000 PA 689985.100000 0.0451309 Long ABS-MBS CORP GB N 2 2049-12-21 Variable 0 N N N N N N N/A N/A 000000000 1.000000 NC -74153.900000 -0.0048503 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-22 0.000000 EUR -4227.050000 EUR 1000000.000000 EUR -69926.850000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI26RR14 103700000.000000 PA 5450219.420000 0.356491 Long DBT NUSS MX N 2 2053-07-31 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC 370456.250000 0.024231 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 14327000.000000 USD 104128636.000000 CNY 2024-03-26 370456.250000 N N N N/A N/A 000000000 -1100000.000000 NC USD -20330.860000 -0.0013298 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 -15298.360000 N N N N/A N/A 000000000 1.000000 NC 45796.940000 0.0029955 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2405504.950000 USD 17367000.000000 CNY 2024-03-26 45796.940000 N N N HARBORVIEW MORTGAGE LOAN TR 2006-6 N/A 41161UAJ1 1333.980000 PA USD 1265.530000 0.0000828 Long ABS-MBS CORP US N 3 2036-08-19 Floating 4.72455 N N N N N N N/A N/A 000000000 1.000000 NC 852331.420000 0.0557497 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2024-07-01 0.000000 BRL 0.000000 BRL 453800000.000000 BRL 852331.420000 N N N CHINA GOVT 300300CHN201808MOF68 ACI1RLL61 76080000.000000 PA 12529101.920000 0.81951 Long DBT NUSS CN N 2 2050-09-14 Fixed 3.81 N N N N N N N/A N/A 000000000 1.000000 NC 40549.000000 0.0026523 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 109966000.000000 DOP 1922025.530000 USD 2024-03-07 40549.000000 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI1H1416 17005000.000000 PA 3547155.810000 0.232014 Long DBT NUSS MY N 2 2040-05-22 Fixed 3.757 N N N N N N N/A N/A 000000000 1.000000 NC 331985.490000 0.0217147 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2028-06-05 181364.270000 COP 0.000000 COP 30026100000.000000 COP 150621.220000 N N N FISH POND RE LTD N/A 33774EAA2 550000.000000 PA USD 550468.750000 0.0360053 Long DBT CORP KY N 3 2027-01-08 Floating 5.84586 N N N N N N N/A N/A 000000000 1.100000 NC USD 0.000000 0 N/A DE US Y 3 None N/A Call Purchased CONSTELLATION OIL SERVICES HOLDING SA CONSTELLATION CLASS D EQUITY PLACEHOLDER N/A 0.010000 USD 2071-06-10 XXXX 0.000000 N N N N/A N/A 000000000 1.000000 NC -27013.430000 -0.0017669 N/A DFE KZ N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 489492558.750000 KZT 1038711.000000 USD 2024-01-31 -27013.430000 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI1WVDP0 1.340000 PA 0.150000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 ACI06HZS2 108400000.000000 PA 4599150.680000 0.300824 Long DBT NUSS CZ N 2 2028-08-25 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -344275.620000 -0.0225186 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 -504740000.000000 PHP 8869092.000000 USD 2025-06-20 -334134.620000 N N N N/A N/A 000000000 1.000000 NC -17107.590000 -0.001119 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1304000.000000 EUR 1422775.360000 USD 2024-01-09 -17107.590000 N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI2KY1N3 32959000000.000000 PA 2177742.280000 0.142443 Long DBT NUSS ID N 2 2029-04-15 Fixed 6.875 N N N N N N N/A N/A 000000000 1.000000 NC -46464.360000 -0.0030392 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 58636371.000000 TWD 1892381.000000 USD 2024-03-06 -46464.360000 N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 BK71WRII3 124180000000.000000 PA 8624247.610000 0.564099 Long DBT NUSS ID N 2 2040-04-15 Fixed 7.5 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI0RXZM7 29808100000.000000 PA 6453137.440000 0.42209 Long DBT NUSS CO N 2 2032-06-30 Fixed 7 N N N N N N N/A N/A 000000000 1.000000 NC 32667.820000 0.0021368 N/A DFE EG N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 37051000.000000 EGP 988026.670000 USD 2024-02-13 32667.820000 N N N N/A N/A 000000000 1.000000 NC -94618.870000 -0.0061889 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2024-08-19 0.000000 PLN 0.000000 PLN 63200000.000000 PLN -94618.870000 N N N THAILAND GOVT N/A ACI0J29T8 215633000.000000 PA 6573236.650000 0.429946 Long DBT NUSS TH N 2 2036-06-17 Fixed 3.4 N N N N N N SUNAC CHINA HOLDINGS LIMITED 549300OLARYHDXP3WK18 ACI2L7QV6 390867.000000 PA USD 28142.420000 0.0018408 Long DBT CORP KY N 2 2029-09-30 Fixed 7 N N Y N N N N/A N/A 000000000 1.000000 NC -1877522.670000 -0.122806 N/A DIR HU N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 BUBOR HKK 6M N/A N/A Y 2027-01-17 0.000000 HUF -417404.870000 HUF 11533000000.000000 HUF -1460117.800000 N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI2CJZC2 82000000.000000 PA 22104728.380000 1.44584 Long DBT NUSS PL N 2 2033-10-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 144480.490000 0.0094503 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 348846000.000000 DOP 6124747.180000 USD 2024-01-19 144480.490000 N N N N/A N/A 000000000 1.000000 NC 22234.760000 0.0014543 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1098329.570000 USD 157900000.000000 JPY 2024-01-09 22234.760000 N N N CONSTELLATION OIL SERVICES HOLDING SA 5493005YJTU769NW5I10 21038MAM5 756345.000000 PA USD 550240.990000 0.0359905 Long DBT CORP LU N 2 2026-12-31 Fixed 3 N N Y N N N N/A N/A 000000000 1.000000 NC -123063.140000 -0.0080494 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 -7364.670000 EUR 3100000.000000 EUR -115698.470000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI1RC3R5 2400700000.000000 PA 451273.420000 0.0295171 Long DBT NUSS CO N 2 2050-10-26 Fixed 7.25 N N N N N N N/A N/A 000000000 1.000000 NC 95063.230000 0.0062179 N/A DFE CO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 26751284789.310000 COP 6892884.510000 USD 2024-03-20 95063.230000 N N N N/A N/A 000000000 -10200000.000000 NC USD -356082.000000 -0.0232908 N/A DFE LU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-06-26 N/A 17.450000 USD 2024-06-26 XXXX -3376.200000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 614878II9 844000000.000000 PA 48302130.380000 3.15937 Long DBT NUSS ZA N 2 2026-12-21 Fixed 10.5 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-C N/A 43709BAF6 1300000.000000 PA USD 1153648.470000 0.0754584 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.95043 N N N N N N HIPOTECARIA SU CASITA SA N/A ACI012L97 742577.000000 NS 0.040000 0 Long EC CORP MX N 3 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1HV6Q3 27400000.000000 PA 5366712.530000 0.351029 Long DBT NUSS RO N 2 2034-10-11 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC -12356.630000 -0.0008082 N/A DFE KZ N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 240928935.000000 KZT 512070.000000 USD 2024-02-01 -12356.630000 N N N N/A N/A 000000000 1.000000 NC 115.630000 0.0000076 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 82142.140000 USD 105518150.000000 KRW 2024-06-20 115.630000 N N N N/A N/A 000000000 1.000000 NC 57024.440000 0.0037299 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2030-09-01 0.000000 CLP 0.000000 CLP 1386850000.000000 CLP 57024.440000 N N N N/A N/A 000000000 1.000000 NC 6482.860000 0.000424 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 6560000.000000 PLN 1673287.970000 USD 2024-01-22 6482.860000 N N N N/A N/A 000000000 1.000000 NC -57730.280000 -0.0037761 N/A DFE CL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2722383250.000000 CLP 3019000.000000 USD 2024-03-20 -57730.280000 N N N N/A N/A 000000000 1.000000 NC -170159.380000 -0.0111299 N/A DFE EG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1081675.000000 USD 39967134.080000 EGP 2024-03-20 -170159.380000 N N N N/A N/A 000000000 1.000000 NC 579379.250000 0.0378963 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2024-07-03 0.000000 PLN 0.000000 PLN 50900000.000000 PLN 579379.250000 N N N N/A N/A 000000000 1.000000 NC 1192087.160000 0.0779727 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 -174796.250000 EUR 22750000.000000 EUR 1366883.410000 N N N N/A N/A 000000000 1.000000 NC -415401.200000 -0.0271708 N/A DIR CL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Sinacofi Chile Interbank Rate N/A N/A Y 2032-09-20 0.000000 CLP 0.000000 CLP 3100000000.000000 CLP -415401.200000 N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 L26915AA3 106066.000000 PA USD 98323.180000 0.0064312 Long DBT CORP LU N 2 2030-06-15 Fixed 7.5 N N N N N N N/A N/A 000000000 1.000000 NC 4202.280000 0.0002749 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2024-03-20 0.000000 PLN -13301.080000 PLN 2700000.000000 PLN 17503.360000 N N N AMERIQUEST MTGE SECURITIES INC 2005-R5 N/A 03072SE68 1800000.000000 PA USD 1703590.200000 0.111429 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.44543 N N N N N N N/A N/A 000000000 1.000000 NC 25955.480000 0.0016977 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2033-11-28 15498.640000 ZAR 0.000000 ZAR 51000000.000000 ZAR 10456.840000 N N N JP MORGAN RESECURITIZATION TRUST SERIES 2016-1 N/A 46647AAA7 234697.250000 PA USD 224576.140000 0.0146892 Long ABS-MBS CORP US N 2 2056-03-25 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC -20960.810000 -0.001371 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 40973856000.000000 IDR 2640000.000000 USD 2024-03-20 -20960.810000 N N N N/A N/A 000000000 -83660800.000000 PA -21919393.070000 -1.43372 Short RA PL N 2 Reverse repurchase N 5.900000 2025-07-05 100000000.000000 PLN 91763347.000000 PLN N N N N/A N/A 000000000 -960000.000000 NC USD -109876.800000 -0.0071869 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-11-07 N/A 40.930000 USD 2024-11-07 XXXX -19120.800000 N N N N/A N/A 000000000 1.000000 NC 704.660000 0.0000461 N/A DFE HU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 106801.790000 USD 37405000.000000 HUF 2024-01-24 704.660000 N N N N/A N/A 000000000 58143000.000000 NC 123841.120000 0.0081003 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A ECTRVYYCEF89VWYS6K36 000000000 0.000000 NC USD 0.000000 0.000000 DFE GB 0.000000 N/A 0.000000 N/A 2024-06-12 N/A 1.160000 GBP 2024-06-12 XXXX -107153.920000 N N N N/A N/A 000000000 -5945000.000000 NC USD -163974.990000 -0.0107254 N/A DFE US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-08-13 N/A 15370.000000 USD 2024-08-13 XXXX 25670.510000 N N N N/A N/A 000000000 1.000000 NC 46120.210000 0.0030167 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1892381.000000 USD 58625963.000000 TWD 2024-03-06 46120.210000 N N N N/A N/A 000000000 1.000000 NC USD 46344.870000 0.0030313 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-12 0.000000 USD -2850.000000 USD 500000.000000 USD 49194.870000 N N N ROCHESTER FINANCING NO 3 PLC N/A ACI1YJ4X8 1396237.570000 PA 1766528.870000 0.115546 Long ABS-MBS CORP GB N 2 2044-12-18 Floating 5.89315 N N N N N N N/A N/A 000000000 1.000000 NC 1022553.300000 0.0668837 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15330618.390000 USD 278933687.450000 MXN 2024-01-31 1022553.300000 N N N N/A N/A 000000000 1.000000 NC -32158.560000 -0.0021034 N/A DFE CL N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 11055924444.000000 CLP 12506418.910000 USD 2024-01-19 -32158.560000 N N N N/A N/A 000000000 1500000.000000 NC USD 7168.500000 0.0004689 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-06-16 N/A 92.600000 USD 2025-06-16 XXXX -82831.500000 N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AF6 5100000.000000 PA 1348088.560000 0.0881765 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0GYHC9 379700000.000000 PA 16188909.330000 1.05889 Long DBT NUSS ZA N 2 2040-01-31 Fixed 9 N N N N N N N/A N/A 000000000 1.000000 NC 602047.460000 0.039379 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 9008760.970000 USD 37825000.000000 PLN 2024-01-22 602047.460000 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI2594Z5 6310000.000000 PA 1430465.200000 0.0935646 Long DBT NUSS MY N 2 2029-04-30 Fixed 4.504 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797GP6 7962000.000000 PA USD 7894536.070000 0.51637 Long DBT UST US N 2 2024-02-29 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -5043.160000 -0.0003299 N/A DFE ID N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 1129000.000000 USD 17352730000.000000 IDR 2024-08-15 -5043.160000 N N N N/A N/A 000000000 1.000000 NC -137087.740000 -0.0089667 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 166754164.000000 TWD 5376045.000000 USD 2024-03-05 -137087.740000 N N N N/A N/A 000000000 1.000000 NC 1655567.390000 0.108288 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2031-01-15 1065852.360000 COP 0.000000 COP 34133000000.000000 COP 589715.030000 N N N N/A N/A 000000000 1.000000 NC 33943.270000 0.0022202 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 101640000.000000 KES 660000.000000 USD 2024-04-04 33943.270000 N N N N/A N/A 000000000 1.000000 NC -413440.760000 -0.0270426 N/A DIR IN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Financial Benchmarks India Overnight Mumbai Interbank Outright Rate N/A N/A Y 2034-03-20 0.000000 INR -323479.080000 INR 1592820000.000000 INR -89961.680000 N N N NEW CENTURY HOME EQUITY LOAN TR 2006-2 N/A 64360YAB1 1428452.650000 PA USD 1375232.220000 0.0899519 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.79043 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638CZ3 4700000.000000 PA 1151285.920000 0.0753039 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.4 N N N N N N N/A N/A 000000000 1.000000 NC -22242.990000 -0.0014549 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 240000000.000000 JPY 1681226.560000 USD 2024-01-10 -22242.990000 N N N BANCO DAVIVIENDA SA 549300P161V4IPKAQS70 ACI2KW3B1 750000000.000000 PA 195426.080000 0.0127825 Long DBT CORP CO N 2 2026-04-28 Fixed 10.9427 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1X8QV3 1.610000 PA 0.190000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 P87324BE1 7700000.000000 PA 2098459.710000 0.137257 Long DBT NUSS PE N 2 2037-08-12 Fixed 6.9 N N N N N N N/A N/A 000000000 1.000000 NC USD 26786.050000 0.001752 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-08-07 0.000000 USD -7155.000000 USD 1800000.000000 USD 33941.050000 N N N THAILAND GOVT N/A ACI2HF033 953870000.000000 PA 27829205.670000 1.82027 Long DBT NUSS TH N 2 2027-03-17 Fixed 2.25 N N N N N N N/A N/A 000000000 1.000000 NC 940858.170000 0.0615401 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-03-20 622156.910000 EUR 0.000000 EUR 20400000.000000 EUR 318701.260000 N N N N/A N/A 000000000 1.000000 NC 159121.560000 0.0104079 N/A DFE CO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2278000.000000 USD 9859184000.000000 COP 2024-08-15 159121.560000 N N N N/A N/A 000000000 -957000.000000 NC USD -65003.270000 -0.0042518 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-11-11 N/A 41.160000 USD 2024-11-11 XXXX 25816.030000 N N N N/A N/A 000000000 1.000000 NC -87.080000 -0.0000057 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3828074.750000 USD 113372453.200000 TRY 2024-01-08 -87.080000 N N N N/A N/A 000000000 1.000000 NC -11620.480000 -0.0007601 N/A DFE EG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 223390.000000 USD 10767398.000000 EGP 2024-12-16 -11620.480000 N N N N/A N/A 000000000 1.000000 NC USD 55632.960000 0.0036389 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-12-20 0.000000 USD -1636270.200000 USD 19960000.000000 USD 1691903.160000 N N N N/A N/A 000000000 1.000000 NC -57.800000 -0.0000038 N/A DFE TR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 110477.080000 TRY 3637.920000 USD 2024-01-18 -57.800000 N N N N/A N/A 000000000 1.000000 NC 182965.560000 0.0119675 N/A DFE NG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 287820000.000000 NGN 468000.000000 USD 2024-01-29 182965.560000 N N N N/A N/A 000000000 1.000000 NC -154539.740000 -0.0101082 N/A DIR IN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Financial Benchmarks India Overnight Mumbai Interbank Outright Rate N/A N/A Y 2028-12-20 0.000000 INR -35745.720000 INR 663660000.000000 INR -118794.020000 N N N DOMINICAN REPUBLIC GOVT N/A 25714PER5 990600000.000000 PA 17892392.590000 1.17032 Long DBT MUN DO N 2 2025-12-05 Fixed 13 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI0TJ8B0 62244000.000000 PA 14647539.430000 0.958074 Long DBT NUSS MY N 2 2037-04-07 Fixed 4.762 N N N N N N N/A N/A 000000000 1.000000 NC -9221.680000 -0.0006032 N/A DFE EG N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 61254.000000 USD 2214332.100000 EGP 2024-02-29 -9221.680000 N N N N/A N/A 000000000 1.000000 NC -101648.560000 -0.0066487 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-04 0.000000 EUR -6855.700000 EUR 1700000.000000 EUR -94792.860000 N N N N/A N/A 000000000 -194284078.100000 PA -10651742.260000 -0.696715 Short RA ZA N 2 Reverse repurchase N 8.900000 2024-01-04 195100000.000000 ZAR 204245568.080000 ZAR N N N N/A N/A 000000000 1.000000 NC 2820.060000 0.0001845 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1629000.000000 USD 25126999200.000000 IDR 2024-03-20 2820.060000 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 BDVLNFII4 12500000.000000 PA 2751467.460000 0.179969 Long DBT NUSS MY N 2 2029-08-15 Fixed 3.885 N N N N N N N/A N/A 000000000 1.000000 NC -202584.350000 -0.0132507 N/A DIR HU N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 BUBOR HKK 6M N/A N/A Y 2028-01-17 0.000000 HUF 0.000000 HUF 662500000.000000 HUF -202584.350000 N N N N/A N/A 000000000 1.000000 NC USD -62883.570000 -0.0041131 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 -220830000.000000 PHP 3986101.000000 USD 2029-03-20 -63962.460000 N N N GSAMP TRUST 2007-FM2 N/A 3622MHAC0 944388.310000 PA USD 544528.350000 0.0356168 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.56043 N N N N N N N/A N/A 000000000 1.000000 NC 3660897.000000 0.239454 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2028-12-20 554619.310000 AUD 0.000000 AUD 144680000.000000 AUD 3106277.690000 N N N THAILAND GOVT N/A B75489II5 68960000.000000 PA 2199703.490000 0.143879 Long DBT NUSS TH N 2 2032-06-25 Fixed 3.775 N N N N N N N/A N/A 000000000 1.000000 NC 26158.840000 0.001711 N/A DFE CN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1461511.000000 USD 10539853.190000 CNY 2024-03-26 26158.840000 N N N N/A N/A 000000000 1.000000 NC 110777.010000 0.0072458 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 255270.150000 BRL 0.000000 BRL 66920000.000000 BRL -144493.140000 N N N N/A N/A 000000000 1.000000 NC -170321.710000 -0.0111405 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 8514000.000000 PLN 1992967.730000 USD 2024-01-22 -170321.710000 N N N N/A N/A 000000000 1.000000 NC 6514.410000 0.0004261 N/A DFE KZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 951000.000000 USD 440313000.000000 KZT 2024-02-05 6514.410000 N N N N/A N/A 000000000 -1.000000 NC USD -12400.010000 -0.0008111 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-03-19 -133078.130000 USD -12400.010000 N N N N/A N/A 000000000 1.000000 NC 384107.310000 0.0251239 N/A DFE TH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 19798313.790000 USD 684328716.150000 THB 2024-03-20 384107.310000 N N N N/A N/A 000000000 1.000000 NC -600.960000 -0.0000393 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 56768.480000 USD 1812049.880000 TRY 2024-04-08 -600.960000 N N N N/A N/A 000000000 1.000000 NC 9208.650000 0.0006023 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 328000.000000 USD 13054400.000000 TRY 2024-11-01 9208.650000 N N N N/A N/A 000000000 1.000000 NC -36585.490000 -0.002393 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2028-10-01 0.000000 CLP 0.000000 CLP 2906700000.000000 CLP -36585.490000 N N N URUGUAY GOVT 549300RDR012H2V82H43 760942AV4 3138353.320000 PA 82608.750000 0.0054033 Long DBT NUSS UY N 2 2037-06-26 Fixed 3.7 N N N N N N N/A N/A 000000000 1.000000 NC -7424965.790000 -0.485656 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL -2299063.570000 BRL 245300000.000000 BRL -5125902.220000 N N N BANCOLOMBIA SA 54930052NWJRPNMP1W58 ACI2HRP22 13770800000.000000 PA 3551346.520000 0.232288 Long DBT CORP CO N 2 2026-04-20 Fixed 10.388 N N N N N N RUSSIAN GOVT 5493004EHVGF71PDBU58 ACI1SXKR9 100000.000000 PA 44786.150000 0.0029294 Long DBT NUSS RU N 2 2027-11-20 Fixed 1.125 Y N N N N N N/A N/A 000000000 1.000000 NC -85114.820000 -0.0055672 N/A DFE EG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 565366.000000 USD 20437980.900000 EGP 2024-02-29 -85114.820000 N N N N/A N/A 000000000 1.000000 NC -59310.460000 -0.0038794 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-11-22 0.000000 EUR -3035.290000 EUR 1500000.000000 EUR -56275.170000 N N N N/A N/A 000000000 1.000000 NC 1165745.020000 0.0762497 N/A DFE HU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 21423882.020000 USD 7859668192.000000 HUF 2024-01-24 1165745.020000 N N N N/A N/A 000000000 -31100000.000000 NC USD -1046763.800000 -0.0684673 N/A DFE LU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-06-20 N/A 4.970000 USD 2024-06-20 XXXX 244697.910000 N N N N/A N/A 000000000 1.000000 NC 145680.740000 0.0095288 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2026-01-02 0.000000 BRL 0.000000 BRL 259400000.000000 BRL 145680.740000 N N N IVORY COAST GOVT (AKA: COTE D'IVOIRE) 254900ICW11T82O6H590 949BVLII2 10000000.000000 PA 11044388.620000 0.722397 Long LON MUN TZ N 3 2024-06-28 Floating 6.915 N N N N N N N/A N/A 000000000 1.000000 NC USD -319557.960000 -0.0209018 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-12-20 1141314.890000 USD 0.000000 USD 34200000.000000 USD -1460872.850000 N N N N/A N/A 000000000 1.000000 NC 80612.960000 0.0052728 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 167008000.000000 KES 1088000.000000 USD 2024-06-06 80612.960000 N N N N/A N/A 000000000 1.000000 NC -64110.880000 -0.0041934 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3436000.000000 PLN 808929.110000 USD 2024-01-22 -64110.880000 N N N ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 ACI1W7BZ3 34300000.000000 PA 1992042.760000 0.130297 Long DBT CORP N/A N 2 2024-03-12 Fixed 4.7 N N N N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 ACI1X98N9 378400000.000000 PA 14574755.660000 0.953313 Long DBT NUSS CZ N 2 2032-06-23 Fixed 1.75 N N N N N N N/A N/A 000000000 -1942000.000000 NC USD -203851.740000 -0.0133336 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-10-30 N/A 40.250000 USD 2024-10-30 XXXX -8952.620000 N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 BPLJ0DII3 68502000000.000000 PA 4619387.950000 0.302147 Long DBT NUSS ID N 2 2043-06-15 Fixed 7.125 N N N N N N N/A N/A 000000000 1.000000 NC 106028.930000 0.0069352 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2861000.000000 USD 45686736800.000000 IDR 2024-03-20 106028.930000 N N N N/A N/A 000000000 1.000000 NC 335374.820000 0.0219364 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4828000.000000 USD 21653580000.000000 COP 2025-04-03 335374.820000 N N N N/A N/A 000000000 1.000000 NC -10312.340000 -0.0006745 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 19805952.440000 BRL 4067000.000000 USD 2024-01-03 -10312.340000 N N N N/A N/A 000000000 1.000000 NC 651001.220000 0.042581 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2026-01-02 0.000000 BRL 0.000000 BRL 210800000.000000 BRL 651001.220000 N N N N/A N/A 000000000 1.000000 NC -2967.110000 -0.0001941 N/A DFE TR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5078175.000000 USD 150720234.000000 TRY 2024-01-11 -2967.110000 N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI1T0F05 1525000000.000000 PA 1526679.040000 0.0998578 Long DBT NUSS CL N 2 2028-10-01 Fixed 2.3 N N N N N N N/A N/A 000000000 1.000000 NC USD 161975.850000 0.0105946 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-09-27 0.000000 USD -12270.750000 USD 3000000.000000 USD 174246.600000 N N N N/A N/A 000000000 1.000000 NC 311494.400000 0.0203744 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4828000.000000 USD 21281824000.000000 COP 2025-01-03 311494.400000 N N N N/A N/A 000000000 1.000000 NC -91688.150000 -0.0059972 N/A DFE EG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 595096.000000 USD 21423456.000000 EGP 2024-02-29 -91688.150000 N N N N/A N/A 000000000 -1200000.000000 NC -3148.640000 -0.0002059 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 1929.660000 N N N WASHINGTON MUTUAL 2006-AR10 N/A 93363EAA3 36600.880000 PA USD 30561.720000 0.001999 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.4694 N N N N N N N/A N/A 000000000 1.000000 NC 635247.070000 0.0415506 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2025-05-21 0.000000 PLN 0.000000 PLN 39700000.000000 PLN 635247.070000 N N N ECUADOR GOVT 5299003Y2U5XK0A35H71 ACI1Q6M72 120000.000000 PA USD 38400.000000 0.0025117 Long DBT NUSS EC N 2 2040-07-31 Variable 2.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 107562.050000 0.0070355 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-20 0.000000 USD -6169.500000 USD 1800000.000000 USD 113731.550000 N N N N/A N/A 000000000 1.000000 NC USD -39596.770000 -0.00259 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 -157120000.000000 PHP 2826407.630000 USD 2029-03-20 -39088.240000 N N N N/A N/A 000000000 1.000000 NC -151961.820000 -0.0099396 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 34200000.000000 BRL -151961.820000 N N N N/A N/A 000000000 1.000000 NC 45012.510000 0.0029442 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1764180.640000 USD 2397000.000000 CAD 2024-01-09 45012.510000 N N N CHINA GOVT 300300CHN201808MOF68 ACI1Y2TW0 75700000.000000 PA 11017141.170000 0.720615 Long DBT NUSS CN N 2 2031-05-27 Fixed 3.02 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR39 N/A 45660KAA9 304462.390000 PA USD 280753.290000 0.0183637 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.83043 N N N N N N N/A N/A 000000000 1.000000 NC -1108060.380000 -0.0724766 N/A DFE PL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 63615771.500000 PLN 14982276.810000 EUR 2024-08-26 -1108060.380000 N N N N/A N/A 000000000 1.000000 NC 13260.570000 0.0008674 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1648584.780000 USD 25589332912.000000 IDR 2024-03-20 13260.570000 N N N N/A N/A 000000000 1.000000 NC 36394.600000 0.0023805 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3132965.870000 USD 4650000.000000 AUD 2024-01-09 36394.600000 N N N N/A N/A 000000000 1.000000 NC -341830.580000 -0.0223586 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 106885000.000000 CNY 14744678.480000 USD 2024-03-26 -341830.580000 N N N N/A N/A 000000000 1.000000 NC -372179.150000 -0.0243437 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 23251000.000000 EUR 25301684.720000 USD 2024-01-09 -372179.150000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2DF128 8300000.000000 PA 1954043.140000 0.127811 Long DBT NUSS RO N 2 2031-04-28 Fixed 7.35 N N N N N N N/A N/A 000000000 1.000000 NC -94591.540000 -0.0061871 N/A DIR IL N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 TELBOR ILS 3M N/A N/A Y 2028-11-06 0.000000 ILS -63202.490000 ILS 20300000.000000 ILS -31389.050000 N N N N/A N/A 000000000 1.000000 NC -40873.010000 -0.0026734 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1666000.000000 EUR 1798732.050000 USD 2024-01-09 -40873.010000 N N N N/A N/A 000000000 1.000000 NC -15477.770000 -0.0010124 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1409260.000000 USD 44442423.360000 TRY 2024-03-27 -15477.770000 N N N N/A N/A 000000000 1.000000 NC 141444.090000 0.0092516 N/A DIR CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Sinacofi Chile Interbank Rate N/A N/A Y 2029-05-24 0.000000 CLP -38264.450000 CLP 2445900000.000000 CLP 179708.540000 N N N BBVA COLOMBIA SA 5493009W53901OCHI065 ACI2KW396 3748000000.000000 PA 1021678.030000 0.0668265 Long DBT CORP CO N 2 2026-04-28 Fixed 13.093 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2JSF94 2650000.000000 PA 3099094.430000 0.202707 Long DBT NUSS RO N 2 2033-09-18 Fixed 6.375 N N N N N N N/A N/A 000000000 1.000000 NC -235065.280000 -0.0153753 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 56100000.000000 BRL 11111133.120000 USD 2024-07-02 -235065.280000 N N N N/A N/A 000000000 1.000000 NC 21034.980000 0.0013759 N/A DFE EG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 44070533.950000 EGP 1164347.000000 USD 2024-02-12 21034.980000 N N N N/A N/A 000000000 1.000000 NC -4624445.380000 -0.302478 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2024-01-02 0.000000 BRL -413834.110000 BRL 233950000.000000 BRL -4210611.270000 N N N WAMU ASSET-BACKED CERTIFICATES 2007-HE3 N/A 93364EAD6 4763019.450000 PA USD 4105300.760000 0.268522 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.71043 N N N N N N N/A N/A 000000000 1.000000 NC -335292.080000 -0.021931 N/A DFE EG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3472989.000000 USD 120946841.930000 EGP 2024-02-12 -335292.080000 N N N N/A N/A 000000000 1.000000 NC 265459.530000 0.0173633 N/A DFE MX N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 14670294.550000 USD 254757000.000000 MXN 2024-01-31 265459.530000 N N N N/A N/A 000000000 1.000000 NC 119752.370000 0.0078328 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 7199357.410000 USD 225592584.380000 TRY 2024-02-20 119752.370000 N N N N/A N/A 000000000 1.000000 NC -5159.500000 -0.0003375 N/A DFE BR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1292000.000000 USD 6359999.200000 BRL 2024-06-28 -5159.500000 N N N N/A N/A 000000000 1.000000 NC 8989.080000 0.000588 N/A DFE EG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 13766500.000000 EGP 366130.320000 USD 2024-02-12 8989.080000 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI17H4J3 14380000.000000 PA 3197938.280000 0.209172 Long DBT NUSS MY N 2 2029-07-09 Fixed 4.13 N N N N N N N/A N/A 000000000 1.000000 NC 164470.490000 0.0107578 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7987763.260000 USD 57757000.000000 CNY 2024-03-26 164470.490000 N N N NMC OPCO SPV LTD N/A 943UKWII4 14081857.160000 PA 3901242.850000 0.255175 Long LON CORP AE N 3 2025-03-25 Floating 11.6398 N N N N N N N/A N/A 000000000 1.000000 NC 205966.940000 0.013472 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 10787116.060000 USD 53400000.000000 BRL 2024-01-03 205966.940000 N N N N/A N/A 000000000 1.000000 NC 45352.140000 0.0029664 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 1940887.350000 USD 33879000.000000 MXN 2024-01-31 45352.140000 N N N N/A N/A 000000000 1.000000 NC -919993.090000 -0.0601754 N/A DIR HU N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 BUBOR HKK 6M N/A N/A Y 2031-06-29 0.000000 HUF -541689.180000 HUF 1905500000.000000 HUF -378303.910000 N N N N/A N/A 000000000 1.000000 NC 413312.970000 0.0270342 N/A DIR HU N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 BUBOR HKK 6M N/A N/A Y 2028-11-03 112935.860000 HUF 0.000000 HUF 2092700000.000000 HUF 300377.110000 N N N N/A N/A 000000000 1.000000 NC -5598.080000 -0.0003662 N/A DFE BR N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 7618786.310000 BRL 1562827.960000 USD 2024-01-03 -5598.080000 N N N N/A N/A 000000000 1.000000 NC 65169.330000 0.0042626 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 13696996.050000 ZMW 596819.000000 USD 2024-01-31 65169.330000 N N N N/A N/A 000000000 -3974000.000000 NC USD -114304.160000 -0.0074765 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-03-04 N/A 31.000000 USD 2024-03-04 XXXX -58930.440000 N N N N/A N/A 000000000 1.000000 NC 244013.130000 0.0159605 N/A DIR CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2024-06-07 0.000000 COP -3044.480000 COP 27580700000.000000 COP 247057.610000 N N N N/A N/A 000000000 1.000000 NC 67523.830000 0.0044166 N/A DFE MX N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2299145.560000 USD 40367938.000000 MXN 2024-01-31 67523.830000 N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XC8 57053.630000 PA USD 31760.560000 0.0020774 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.97558 N N N N N N N/A N/A 000000000 1.000000 NC 25243.290000 0.0016511 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4053613.350000 USD 19813454.010000 BRL 2024-01-03 25243.290000 N N N N/A N/A 000000000 1.000000 NC 7333.410000 0.0004797 N/A DFE MX N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 160399.730000 USD 2861000.000000 MXN 2024-01-31 7333.410000 N N N BBVA COLOMBIA SA 5493009W53901OCHI065 ACI2K6GP3 2365000000.000000 PA 647959.250000 0.0423821 Long DBT CORP CO N 2 2026-05-04 Fixed 13.3651 N N N N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI2FK1C3 10610000000.000000 PA 12847588.680000 0.840342 Long DBT NUSS CL N 2 2033-04-01 Fixed 6 N N N N N N N/A N/A 000000000 -960000.000000 NC USD -64801.920000 -0.0042386 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-11-07 N/A 40.930000 USD 2024-11-07 XXXX 25954.080000 N N N CITIMORTGAGE ALTERNATIVE LN TR 2007-A6 N/A 18976GAE6 48526.260000 PA USD 42386.230000 0.0027724 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 N N N N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI0WR943 91004000000.000000 PA 6332278.960000 0.414185 Long DBT NUSS ID N 2 2038-05-15 Fixed 7.5 N N N N N N N/A N/A 000000000 1.000000 NC -2232.700000 -0.000146 N/A DFE PL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 268260.890000 USD 1047000.000000 PLN 2024-01-22 -2232.700000 N N N N/A N/A 000000000 -1200000.000000 NC -2156.010000 -0.000141 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 2922.290000 N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAA1 28362.790000 PA USD 24738.660000 0.0016181 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.27184 N N N N N N N/A N/A 000000000 1.000000 NC 149384.670000 0.009771 N/A DFE CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2185000.000000 USD 9443570000.000000 COP 2024-08-15 149384.670000 N N N GREENPOINT MTGE FUNDING TR 2005-AR1 N/A 39538RAB5 62202.590000 PA USD 58714.560000 0.0038404 Long ABS-MBS CORP US N 2 2045-06-25 Floating 5.91043 N N N N N N N/A N/A 000000000 1.000000 NC USD -3457.680000 -0.0002262 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 TURKEY GOVT TURKEY (REP OF) SR UNSUB Y Single Leg Swap 2024-12-20 48765.200000 USD 0.000000 USD 800000.000000 USD -52222.880000 N N N N/A N/A 000000000 1.000000 NC 452942.490000 0.0296263 N/A DIR IN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Financial Benchmarks India Overnight Mumbai Interbank Outright Rate N/A N/A Y 2029-03-20 380216.750000 INR 0.000000 INR 2409790000.000000 INR 72725.740000 N N N N/A N/A 000000000 1.000000 NC -105196.290000 -0.0068807 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 2800000.000000 EUR -105196.290000 N N N ZAMBIA GOVT 213800DMLAZ6LGMMD849 ACI1MX048 6600000.000000 PA 240236.170000 0.0157135 Long DBT NUSS ZM N 2 2025-04-27 Fixed 11 N N N N N N N/A N/A 000000000 1.000000 NC 33172.070000 0.0021697 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4178000.000000 USD 64844231200.000000 IDR 2024-03-20 33172.070000 N N N N/A N/A 000000000 1.000000 NC 69006.960000 0.0045136 N/A DIR CN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 CHINA FIXING REPO RATES 7 DAY N/A N/A Y 2028-12-20 0.000000 CNY 0.000000 CNY 74900000.000000 CNY 69006.960000 N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 ACI1KXFT9 377300000.000000 PA 14247435.110000 0.931904 Long DBT NUSS CZ N 2 2031-03-13 Fixed 1.2 N N N N N N N/A N/A 000000000 1.000000 NC -373056.380000 -0.0244011 N/A DIR IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 TELBOR ILS 3M N/A N/A Y 2028-06-20 0.000000 ILS 0.000000 ILS 27400000.000000 ILS -373056.380000 N N N N/A N/A 000000000 1.000000 NC -35614.890000 -0.0023295 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 214200000.000000 BRL -35614.890000 N N N N/A N/A 000000000 1.000000 NC USD -40517.180000 -0.0026502 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 1300000.000000 USD -40517.180000 N N N N/A N/A 000000000 1.000000 NC -3287823.870000 -0.215052 N/A DFE PL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 126237000.000000 PLN 28787248.810000 USD 2024-01-22 -3287823.870000 N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 977BFFII8 2175000000.000000 PA 6516784.660000 0.426253 Long DBT NUSS HU N 2 2028-10-22 Fixed 6.75 N N N N N N N/A N/A 000000000 1.000000 NC -52487.030000 -0.0034331 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 17402715.510000 CNY 2403856.000000 USD 2024-03-26 -52487.030000 N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI06JNF9 147128000000.000000 PA 10808093.020000 0.706941 Long DBT NUSS ID N 2 2034-03-15 Fixed 8.375 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 989RJPII3 137327000.000000 PA 6290053.310000 0.411423 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7 N N N N N N THAILAND GOVT N/A ACI29CBT0 226903000.000000 PA 7011780.740000 0.45863 Long DBT NUSS TH N 2 2033-06-17 Fixed 3.35 N N N N N N N/A N/A 000000000 1.000000 NC -279033.330000 -0.0182512 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 54896302.000000 EUR 60337722.270000 USD 2024-01-09 -279033.330000 N N N BEAR STEARNS ABS SEC INC 2004-HE2 N/A 07384YQY5 492474.320000 PA USD 489720.260000 0.0320319 Long ABS-MBS CORP US N 2 2034-03-25 Floating 6.37043 N N N N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI0G6707 18574000000.000000 PA 1356439.180000 0.0887227 Long DBT NUSS ID N 2 2031-05-15 Fixed 8.75 N N N N N N N/A N/A 000000000 1.000000 NC 16791.600000 0.0010983 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8414763.040000 USD 1188100000.000000 JPY 2024-01-09 16791.600000 N N N N/A N/A 000000000 1.000000 NC 29715.890000 0.0019437 N/A DFE MY N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2372258.510000 USD 10989487.560000 MYR 2024-02-06 29715.890000 N N N THAILAND GOVT N/A ACI2HJGX2 1007317000.000000 PA 29437059.680000 1.92543 Long DBT NUSS TH N 2 2029-03-17 Fixed 2.4 N N N N N N N/A N/A 000000000 1.000000 NC -24348.970000 -0.0015926 N/A DFE ID N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 29754586476.000000 IDR 1908000.000000 USD 2024-03-20 -24348.970000 N N N N/A N/A 000000000 1.000000 NC -15434.230000 -0.0010095 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2028-11-30 0.000000 ZAR 0.000000 ZAR 131600000.000000 ZAR -15434.230000 N N N ECOPETROL SA 254900IDGKCJICKBPA66 948EFDII3 7700000.000000 PA USD 7557268.640000 0.49431 Long LON CORP US N 3 2024-08-16 Floating 6.63757 N N N N N N N/A N/A 000000000 1.000000 NC 533747.090000 0.0349116 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 21880696.590000 USD 158802000.000000 CNY 2024-03-26 533747.090000 N N N OPTION ONE MORTGAGE LOAN TRUST 2007-3 N/A 68402BAA4 383279.230000 PA USD 255956.860000 0.0167418 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.69043 N N N N N N THAILAND GOVT N/A ACI1Q9KK9 30000000.000000 PA 775940.580000 0.0507531 Long DBT NUSS TH N 2 2035-12-17 Fixed 1.585 N N N N N N N/A N/A 000000000 -22.000000 NC USD -49442.980000 -0.003234 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-03-28 -2391039.070000 USD -49442.980000 N N N N/A N/A 000000000 1.000000 NC 15862.150000 0.0010375 N/A DFE HU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 326247.190000 USD 119031000.000000 HUF 2024-01-24 15862.150000 N N N KAISA GROUP HOLDINGS LTD 254900N8L3L7NRJT0120 ACI1NWXD3 300000.000000 PA USD 9750.000000 0.0006377 Long DBT CORP KY N 2 2025-04-16 Fixed 0 Y Y N N N N N/A N/A 000000000 1.000000 NC 1009507.740000 0.0660304 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2031-02-08 0.000000 PLN 0.000000 PLN 19600000.000000 PLN 1009507.740000 N N N N/A N/A 000000000 1.000000 NC 408522.930000 0.0267209 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5427429.640000 USD 99543000.000000 MXN 2024-01-31 408522.930000 N N N N/A N/A 000000000 1.000000 NC -263217.600000 -0.0172167 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 78779000.000000 MXN 4355394.530000 USD 2024-01-31 -263217.600000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI087B66 100000000.000000 PA 5410164.300000 0.353871 Long DBT NUSS MX N 2 2034-11-23 Fixed 7.75 N N N N N N N/A N/A 000000000 1.000000 NC 102688.110000 0.0067167 N/A DFE PL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1093176.640000 EUR 4730230.000000 PLN 2024-09-11 102688.110000 N N N N/A N/A 000000000 1.000000 NC 13522.930000 0.0008845 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 62889000.000000 DOP 1092619.620000 USD 2024-02-08 13522.930000 N N N N/A N/A 000000000 1.000000 NC 107120.860000 0.0070066 N/A DFE NG N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 168510000.000000 NGN 274000.000000 USD 2024-01-29 107120.860000 N N N N/A N/A 000000000 1.000000 NC 52758.330000 0.0034508 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11084850.000000 ZMW 483000.000000 USD 2024-02-01 52758.330000 N N N N/A N/A 000000000 1.000000 NC USD 1185462.930000 0.0775394 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-21 0.000000 USD -207253.390000 USD 49200000.000000 USD 1392716.320000 N N N CHINA GOVT 300300CHN201808MOF68 ACI1T9Y39 56750000.000000 PA 8303082.720000 0.543092 Long DBT NUSS CN N 2 2027-12-03 Fixed 3.28 N N N N N N BANCO DAVIVIENDA SA 549300P161V4IPKAQS70 ACI2HM780 4251000000.000000 PA 1130743.580000 0.0739603 Long DBT CORP CO N 2 2025-06-13 Fixed 13.4557 N N N N N N N/A N/A 000000000 1.000000 NC 1808947.150000 0.118321 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 63686152.620000 USD 1117140456.400000 MXN 2024-01-31 1808947.150000 N N N N/A N/A 000000000 1.000000 NC -34770.880000 -0.0022743 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2030-01-31 0.000000 ZAR 0.000000 ZAR 32700000.000000 ZAR -34770.880000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1NN643 1.650000 PA 0.190000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 902BAF001 12288000000.000000 PA 2662472.930000 0.174148 Long DBT NUSS US N 2 2032-06-30 Fixed 7 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI29YYS9 45000000.000000 PA 12592223.140000 0.823639 Long DBT NUSS PL N 2 2028-07-25 Fixed 7.5 N N N N N N N/A N/A 000000000 -3506000.000000 NC USD -68251.300000 -0.0044642 N/A DFE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Written MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-08-13 N/A 15370.000000 USD 2024-08-13 XXXX 43625.160000 N N N N/A N/A 000000000 1.000000 NC 854878.120000 0.0559163 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2028-06-06 0.000000 CZK -127704.080000 CZK 318230000.000000 CZK 982582.200000 N N N N/A N/A 000000000 1.000000 NC 35604.480000 0.0023288 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 85412250.000000 KES 561000.000000 USD 2024-04-08 35604.480000 N N N N/A N/A 000000000 1.000000 NC 16600.400000 0.0010858 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1604000.000000 USD 263457000.000000 KES 2024-04-08 16600.400000 N N N N/A N/A 000000000 1.000000 NC 26724.350000 0.001748 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 660000.000000 USD 26565000.000000 TRY 2024-10-31 26724.350000 N N N N/A N/A 000000000 1.000000 NC 1138.260000 0.0000745 N/A DFE HU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 333854.760000 USD 116555000.000000 HUF 2024-01-24 1138.260000 N N N N/A N/A 000000000 1.000000 NC -50000.340000 -0.0032704 N/A DFE EG N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1545000.000000 USD 50289750.000000 EGP 2024-01-18 -50000.340000 N N N N/A N/A 000000000 1.000000 NC -99881.970000 -0.0065331 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 43990289658.000000 IDR 2756974.780000 USD 2024-03-20 -99881.970000 N N N N/A N/A 000000000 1.000000 NC 168948.270000 0.0110507 N/A DIR IN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Financial Benchmarks India Overnight Mumbai Interbank Outright Rate N/A N/A Y 2033-12-20 28526.280000 INR 0.000000 INR 509010000.000000 INR 140421.990000 N N N ACE SECURITIES CORP 2005-HE2 N/A 004421MG5 1111339.930000 PA USD 1081437.110000 0.0707352 Long ABS-MBS CORP US N 2 2035-04-25 Floating 6.49043 N N N N N N ZAMBIA GOVT 213800DMLAZ6LGMMD849 ACI2JTYS9 16400000.000000 PA 634495.900000 0.0415014 Long DBT NUSS ZM N 2 2024-06-17 Fixed 11 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AGE9 35787.780000 PA USD 32227.690000 0.002108 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.63546 N N N N N N IMPAC CMB TRUST 2003-2F N/A 45254NDQ7 306742.910000 PA USD 296691.820000 0.0194062 Long ABS-MBS CORP US N 3 2033-01-25 Variable 5.73 N N N N N N N/A N/A 000000000 1.000000 NC -530492.060000 -0.0346987 N/A DFE EG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3758578.000000 USD 142450106.200000 EGP 2024-04-02 -530492.060000 N N N N/A N/A 000000000 1.000000 NC -33146.720000 -0.0021681 N/A DFE MX N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 20997706.480000 MXN 1189874.000000 USD 2024-03-11 -33146.720000 N N N N/A N/A 000000000 1.000000 NC 27870.150000 0.0018229 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2033-11-29 7468.050000 CLP 0.000000 CLP 1220900000.000000 CLP 20402.100000 N N N N/A N/A 000000000 1.000000 NC -300824.590000 -0.0196765 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2026-05-28 0.000000 PLN 0.000000 PLN 16700000.000000 PLN -300824.590000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797GM3 471000.000000 PA USD 468451.600000 0.0306407 Long DBT UST US N 2 2024-02-08 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -530378.120000 -0.0346913 N/A DIR CL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Sinacofi Chile Interbank Rate N/A N/A Y 2029-05-22 0.000000 CLP 0.000000 CLP 6734700000.000000 CLP -530378.120000 N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI2KT0J4 18830000000.000000 PA 22348883.100000 1.46181 Long DBT NUSS CL N 2 2034-10-01 Fixed 5.8 N N N N N N N/A N/A 000000000 1.000000 NC USD -17377.540000 -0.0011366 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 -99575000.000000 PHP 1786419.090000 USD 2029-03-20 -19298.420000 N N N N/A N/A 000000000 1.000000 NC -526921.440000 -0.0344652 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 156218000.000000 CNY 21522798.100000 USD 2024-03-26 -526921.440000 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI12HLK6 20690000.000000 PA 4650913.250000 0.304209 Long DBT NUSS MY N 2 2028-10-31 Fixed 4.369 N N N N N N N/A N/A 000000000 1.000000 NC 29032.630000 0.001899 N/A DFE CL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3086684650.000000 CLP 3521000.000000 USD 2024-02-29 29032.630000 N N N N/A N/A 000000000 -1920000.000000 NC USD -128837.760000 -0.0084271 N/A DFE LU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-10-28 N/A 40.380000 USD 2024-10-28 XXXX 63621.120000 N N N N/A N/A 000000000 1.000000 NC 208153.040000 0.013615 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2028-11-02 17546.820000 ZAR 0.000000 ZAR 212100000.000000 ZAR 190606.220000 N N N N/A N/A 000000000 1.000000 NC 416548.640000 0.0272458 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 14982276.810000 PLN 13813000.000000 EUR 2024-08-26 416548.640000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1N9610 1.350000 PA 0.150000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC 164990.860000 0.0107918 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 9073327.280000 USD 36359000.000000 PLN 2024-01-22 164990.860000 N N N N/A N/A 000000000 1.000000 NC -216116.450000 -0.0141359 N/A DFE HU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1185546000.000000 HUF 3191284.640000 USD 2024-01-24 -216116.450000 N N N N/A N/A 000000000 1.000000 NC 56778.250000 0.0037138 N/A DIR MY N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Klibor Interbank Offered Rate Y 2027-03-20 38261.530000 MYR 0.000000 MYR 286290000.000000 MYR 18516.720000 N N N N/A N/A 000000000 1.000000 NC -31768.380000 -0.0020779 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 59263887100.000000 IDR 3817000.000000 USD 2024-03-20 -31768.380000 N N N N/A N/A 000000000 1.000000 NC -70824.060000 -0.0046325 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2030-01-31 0.000000 ZAR 0.000000 ZAR 61400000.000000 ZAR -70824.060000 N N N N/A N/A 000000000 1.000000 NC 5570.530000 0.0003644 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL 0.000000 BRL 3500000.000000 BRL 5570.530000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1Z08B2 56500000.000000 PA 10405710.290000 0.680622 Long DBT NUSS RO N 2 2036-04-28 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC -166556.610000 -0.0108942 N/A DIR SG N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Singapore Domestic Interbank Overnight Rate Average Y 2028-12-20 0.000000 SGD -115947.540000 SGD 6240000.000000 SGD -50609.070000 N N N STRATTON MORTGAGE FUNDING 2020-1 PLC 20-1 N/A ACI1Q98N7 400825.040000 PA 510912.760000 0.0334181 Long ABS-MBS CORP GB N 2 2052-03-12 Floating 6.09563 N N N N N N N/A N/A 000000000 1.000000 NC -195091.160000 -0.0127606 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 94980970.650000 ZAR 4989046.620000 USD 2024-01-22 -195091.160000 N N N CREDIT-BASED ASSET SERVC SEC 2005-CB5 N/A 12489WNA8 1586000.000000 PA USD 1431059.380000 0.0936035 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.11543 N N N N N N N/A N/A 000000000 1.000000 NC 10519.200000 0.000688 N/A DFE CN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 32073682.000000 USD 227097705.400000 CNY 2024-02-16 10519.200000 N N N N/A N/A 000000000 1.000000 NC -523320.160000 -0.0342296 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2027-03-24 0.000000 PLN 0.000000 PLN 48900000.000000 PLN -523320.160000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI06HB74 456000000.000000 PA 19452759.330000 1.27238 Long DBT NUSS ZA N 2 2037-01-31 Fixed 8.5 N N N N N N SOCAR TURKEY ENERJI ANONIM SIRKETI 789000J4L7UFTRMDR776 941WJKII0 8300000.000000 PA 9048251.450000 0.591833 Long LON CORP TR N 2 2026-08-11 Floating 7.387 N N N N N N SUNAC CHINA HOLDINGS LIMITED 549300OLARYHDXP3WK18 ACI2L7QQ7 183607.000000 PA USD 10557.400000 0.0006905 Long DBT CORP KY N 2 2030-09-30 Fixed 7.25 N N Y N N N N/A N/A 000000000 1.000000 NC -454916.800000 -0.0297554 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4510000000.000000 JPY 31551068.730000 USD 2024-01-09 -454916.800000 N N N N/A N/A 000000000 1.000000 NC 367933.810000 0.024066 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 14706295.460000 USD 106798000.000000 CNY 2024-03-26 367933.810000 N N N N/A N/A 000000000 1.000000 NC USD 117756.580000 0.0077023 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-11-01 0.000000 USD -6112.500000 USD 1500000.000000 USD 123869.080000 N N N N/A N/A 000000000 1.000000 NC -259696.720000 -0.0169864 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2025-10-05 39157.460000 JPY 0.000000 JPY 23100000000.000000 JPY -298854.180000 N N N BEAR STEARNS ASSETBACKED SEC 2006-3 N/A 07388GAE1 1096000.000000 PA USD 1061213.400000 0.0694124 Long ABS-MBS CORP US N 2 2036-08-25 Floating 6.31043 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BY7 11200000.000000 PA 2960508.200000 0.193643 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N N/A N/A 000000000 1.000000 NC -397610.050000 -0.0260071 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2025-07-09 8816.480000 ZAR 0.000000 ZAR 162400000.000000 ZAR -406426.530000 N N N LCM 30 LTD N/A 50200YAQ1 1750000.000000 PA USD 1745254.230000 0.114155 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.75743 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI1V3D81 44134300000.000000 PA 8318158.590000 0.544079 Long DBT NUSS CO N 2 2036-07-09 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC -3757.160000 -0.0002458 N/A DFE MX N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1831000.000000 USD 31949668.300000 MXN 2024-06-28 -3757.160000 N N N N/A N/A 000000000 1.000000 NC -3051.450000 -0.0001996 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 75000.000000 USD 1852500.000000 ZMW 2024-01-16 -3051.450000 N N N N/A N/A 000000000 1.000000 NC 7903.970000 0.000517 N/A DFE MX N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 104426.230000 USD 1916000.000000 MXN 2024-01-31 7903.970000 N N N NOMURA ASSET ACCEPTANCE CORP 2006-WF1 N0RUIPD25XQCBR0TK507 65537BAF7 8044108.770000 PA USD 2154956.410000 0.140953 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.34 N N N N N N N/A N/A 000000000 1.000000 NC USD 181543.120000 0.0118745 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-02 0.000000 USD -13132.500000 USD 3400000.000000 USD 194675.620000 N N N N/A N/A 000000000 1.000000 NC 41030.240000 0.0026837 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 1406992.620000 USD 2124500.000000 AUD 2024-01-09 41030.240000 N N N N/A N/A 000000000 -500000.000000 NC USD -1705.550000 -0.0001116 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/3.65500 01/24/24-10Y LCH 2034-01-24 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2024-01-22 XXXX 344.450000 N N N N/A N/A 000000000 1.000000 NC 86304.400000 0.005645 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4658819.290000 USD 141581518.220000 TRY 2024-01-16 86304.400000 N N N N/A N/A 000000000 1.000000 NC 4737.600000 0.0003099 N/A DFE PE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1486082.000000 USD 5518119.680000 PEN 2024-01-22 4737.600000 N N N N/A N/A 000000000 1.000000 NC 44145.770000 0.0028875 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2029-05-31 0.000000 MXN 0.000000 MXN 74620000.000000 MXN 44145.770000 N N N N/A N/A 000000000 1.000000 NC 76705.320000 0.0050172 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2026-03-20 0.000000 PLN 0.000000 PLN 7500000.000000 PLN 76705.320000 N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1WZT66 1.860000 PA 0.210000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 -5945000.000000 NC USD -115731.320000 -0.0075698 N/A DFE US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Written NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-08-13 N/A 15370.000000 USD 2024-08-13 XXXX 73914.180000 N N N N/A N/A 000000000 1.000000 NC 5419.770000 0.0003545 N/A DFE HU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 162052.310000 USD 58269000.000000 HUF 2024-01-24 5419.770000 N N N N/A N/A 000000000 1.000000 NC -50193.940000 -0.0032831 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2030-01-31 0.000000 ZAR 0.000000 ZAR 54100000.000000 ZAR -50193.940000 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI251NJ7 33438000.000000 PA 7858565.800000 0.514017 Long DBT NUSS MY N 2 2042-10-15 Fixed 4.696 N N N N N N N/A N/A 000000000 1.000000 NC -41080.500000 -0.002687 N/A DFE HU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 198216000.000000 HUF 528616.010000 USD 2024-01-24 -41080.500000 N N N FINANCIERA DE DESARROLLO TERRITORIAL S A FINDETER (AKA: FINDETER) 54930036EU95I2CWYJ76 P40420AA2 3616000000.000000 PA 897650.390000 0.058714 Long DBT CORP CO N 2 2024-08-12 Fixed 7.875 N N N N N N N/A N/A 000000000 1.000000 NC -116255.970000 -0.0076041 N/A DFE NZ N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 5087770.000000 NZD 3099996.070000 USD 2024-01-09 -116255.970000 N N N N/A N/A 000000000 1.000000 NC -39637.980000 -0.0025927 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 12092000.000000 CNY 1667112.900000 USD 2024-03-26 -39637.980000 N N N N/A N/A 000000000 1.000000 NC USD -391140.400000 -0.0255839 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-12-20 91732.130000 USD 0.000000 USD 40600000.000000 USD -482872.530000 N N N N/A N/A 000000000 1.000000 NC -260519.540000 -0.0170402 N/A DFE CZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 39503699.530000 USD 879401336.130000 CZK 2024-03-20 -260519.540000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 902BAMII8 25461000000.000000 PA 5993486.310000 0.392025 Long DBT NUSS US N 2 2030-09-18 Fixed 7.75 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR15 N/A 94985AAA7 476988.500000 PA USD 444594.110000 0.0290802 Long ABS-MBS CORP US N 2 2036-10-25 Floating 6.47821 N N N N N N N/A N/A 000000000 -2000000.000000 NC -33696.310000 -0.002204 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 0.000000 0.000000 DIR N/A IRS EUR R 2.76000 01/03/24-5Y LCH 2029-01-03 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.760000 EUR 2023-12-29 XXXX -29855.580000 N N N N/A N/A 000000000 1.000000 NC -67148.270000 -0.0043921 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5633000.000000 EUR 6152836.900000 USD 2024-01-09 -67148.270000 N N N N/A N/A 000000000 1.000000 NC -103205.270000 -0.0067505 N/A DFE NG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 555000.000000 USD 456210000.000000 NGN 2024-01-29 -103205.270000 N N N N/A N/A 000000000 1.000000 NC -525478.000000 -0.0343707 N/A DFE MY N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 67720863.600000 MYR 14327000.000000 USD 2024-03-20 -525478.000000 N N N N/A N/A 000000000 1.000000 NC 17357.270000 0.0011353 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 336000.000000 USD 13752480.000000 TRY 2024-11-08 17357.270000 N N N N/A N/A 000000000 1.000000 NC -291857.200000 -0.0190899 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2026-03-21 115718.820000 JPY 0.000000 JPY 21785000000.000000 JPY -407576.020000 N N N N/A N/A 000000000 1.000000 NC -162.720000 -0.0000106 N/A DFE MY N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 10963214.660000 MYR 2396069.210000 USD 2024-02-06 -162.720000 N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2GGZ75 3100000.000000 PA 878815.180000 0.057482 Long DBT NUSS PE N 2 2033-08-12 Fixed 7.3 N N N N N N N/A N/A 000000000 1.000000 NC -49361.990000 -0.0032287 N/A DFE EG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 17845080.000000 EGP 484000.000000 USD 2024-01-17 -49361.990000 N N N N/A N/A 000000000 1.000000 NC -143118.290000 -0.0093612 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2024-07-01 0.000000 BRL 0.000000 BRL 224500000.000000 BRL -143118.290000 N N N N/A N/A 000000000 1.000000 NC -88147.600000 -0.0057656 N/A DIR TH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Thailand Overnight Repo Rate ON Y 2029-03-20 0.000000 THB -96612.500000 THB 459238000.000000 THB 8464.900000 N N N N/A N/A 000000000 -2650011.960000 PA -2930182.100000 -0.191659 Short RA LU N 2 Reverse repurchase N 4.140000 2025-12-18 2650000.000000 EUR 2807256.670000 EUR N N N N/A N/A 000000000 -31100000.000000 NC USD -1249691.300000 -0.0817405 N/A DFE LU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-06-20 N/A 4.970000 USD 2024-06-20 XXXX 41770.410000 N N N N/A N/A 000000000 1.000000 NC -31687.000000 -0.0020726 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2025-01-02 0.000000 BRL 0.000000 BRL 196270000.000000 BRL -31687.000000 N N N N/A N/A 000000000 1.000000 NC 17097.850000 0.0011183 N/A DFE ZA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 344210.700000 USD 6618030.700000 ZAR 2024-01-19 17097.850000 N N N N/A N/A 000000000 1.000000 NC -258428.870000 -0.0169035 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15239000.000000 PLN 3613589.890000 USD 2024-01-22 -258428.870000 N N N N/A N/A 000000000 1.000000 NC 2179.550000 0.0001426 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 91971.940000 USD 1626983.620000 MXN 2024-04-19 2179.550000 N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 ACI111TF5 45400000.000000 PA 1928100.520000 0.126114 Long DBT NUSS CZ N 2 2029-07-23 Fixed 2.75 N N N N N N N/A N/A 000000000 -2500000.000000 NC USD -663.250000 -0.0000434 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 10555.500000 N N N FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-1 N/A 31659TEY7 1548267.530000 PA USD 1078513.250000 0.070544 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.85043 N N N N N N IVORY COAST GOVT (AKA: COTE D'IVOIRE) 254900ICW11T82O6H590 937JLBII2 2730000.000000 PA 2908301.480000 0.190228 Long LON NUSS CI N 3 2027-03-19 Floating 9.055 N N N N N N N/A N/A 000000000 1.000000 NC 5030.530000 0.000329 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1501000.000000 USD 7315693.880000 BRL 2024-01-03 5030.530000 N N N N/A N/A 000000000 1.000000 NC -71897.670000 -0.0047027 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 49904782.000000 TWD 1576870.000000 USD 2024-02-29 -71897.670000 N N N N/A N/A 000000000 1.000000 NC 1040099.430000 0.0680314 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2033-09-21 372293.770000 MXN 0.000000 MXN 228100000.000000 MXN 667805.660000 N N N N/A N/A 000000000 1.000000 NC -1992899.010000 -0.130353 N/A DFE ZA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 874371641.200000 ZAR 45751073.500000 USD 2024-01-17 -1992899.010000 N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI1DMRZ4 297003000000.000000 PA 19764773.430000 1.29278 Long DBT NUSS ID N 2 2030-09-15 Fixed 7 N N N N N N N/A N/A 000000000 1.000000 NC 81794.640000 0.0053501 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 15107438.660000 USD 73783219.660000 BRL 2024-01-03 81794.640000 N N N N/A N/A 000000000 1.000000 NC -336.130000 -0.000022 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 82562.890000 MXN 4504.320000 USD 2024-01-31 -336.130000 N N N N/A N/A 000000000 1.000000 NC -43836.120000 -0.0028673 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 480000000.000000 JPY 3381269.880000 USD 2024-02-13 -43836.120000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 902BAM907 53223300000.000000 PA 11862741.750000 0.775925 Long DBT NUSS US N 2 2031-03-26 Fixed 7 N N N N N N N/A N/A 000000000 1.000000 NC -102601.540000 -0.006711 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2033-10-20 0.000000 CLP 0.000000 CLP 1185100000.000000 CLP -102601.540000 N N N N/A N/A 000000000 1.000000 NC 21023.060000 0.0013751 N/A DFE JP N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 3404082.940000 USD 480000000.000000 JPY 2024-02-13 21023.060000 N N N N/A N/A 000000000 1.000000 NC 135662.870000 0.0088735 N/A DFE NO N 2 UBS AG BFM8T61CT2L1QCEMIK50 2704103.000000 USD 28847222.080000 NOK 2024-01-09 135662.870000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638BK7 3800000.000000 PA 1034545.450000 0.0676681 Long DBT NUSS PE N 2 2042-02-12 Fixed 6.85 N N N N N N N/A N/A 000000000 1.000000 NC 570.580000 0.0000373 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 15059.210000 USD 266595.030000 MXN 2024-01-31 570.580000 N N N N/A N/A 000000000 1.000000 NC 14768.630000 0.000966 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 39147000.000000 DOP 686155.080000 USD 2024-01-25 14768.630000 N N N N/A N/A 000000000 1.000000 NC 22021.720000 0.0014404 N/A DFE EG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 36687200.000000 EGP 968000.000000 USD 2024-02-13 22021.720000 N N N N/A N/A 000000000 1.000000 NC -708.750000 -0.0000464 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1609780.880000 USD 48055339.810000 TRY 2024-01-17 -708.750000 N N N N/A N/A 000000000 1.000000 NC -39548.440000 -0.0025868 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2028-11-29 0.000000 EUR -2286.560000 EUR 1100000.000000 EUR -37261.880000 N N N N/A N/A 000000000 1.000000 NC -406.180000 -0.0000266 N/A DFE TR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 600495.000000 USD 17728266.160000 TRY 2024-01-05 -406.180000 N N N N/A N/A 000000000 -500000.000000 NC USD -7877.300000 -0.0005152 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/3.60000 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 -5589.800000 N N N INDYMAC INDX MORTGAGE LOAN TR 2005-16IP N/A 45660LUD9 106364.040000 PA USD 84994.030000 0.0055593 Long ABS-MBS CORP US N 2 2045-07-25 Floating 6.11043 N N N N N N N/A N/A 000000000 1.000000 NC -44907.760000 -0.0029374 N/A DFE GB N 2 UBS AG BFM8T61CT2L1QCEMIK50 5024846.000000 GBP 6360223.950000 USD 2024-01-09 -44907.760000 N N N N/A N/A 000000000 1.000000 NC USD -31167.370000 -0.0020386 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 1300000.000000 USD -31167.370000 N N N N/A N/A 000000000 1.000000 NC -98957.540000 -0.0064727 N/A DFE TH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 73034597.250000 THB 2055000.000000 USD 2024-03-20 -98957.540000 N N N MEXICO GOVT 254900EGTWEU67VP6075 B1GCCFII9 29100000.000000 PA 1854013.250000 0.121268 Long DBT NUSS MX N 2 2036-11-20 Fixed 10 N N N N N N N/A N/A 000000000 1.000000 NC -48914.270000 -0.0031994 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2025-11-29 0.000000 CLP -10481.550000 CLP 4503500000.000000 CLP -38432.720000 N N N N/A N/A 000000000 1.000000 NC 446.250000 0.0000292 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 75888.800000 USD 540313.080000 CNY 2024-02-16 446.250000 N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI02BD46 190622000000.000000 PA 12236947.040000 0.800401 Long DBT NUSS ID N 2 2028-05-15 Fixed 6.125 N N N N N N N/A N/A 000000000 1.000000 NC -30849.710000 -0.0020178 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2032-06-30 0.000000 COP 0.000000 COP 9011400000.000000 COP -30849.710000 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI1WV5T1 20364000.000000 PA 4593390.440000 0.300447 Long DBT NUSS MY N 2 2041-09-30 Fixed 4.417 N N N N N N N/A N/A 000000000 1.000000 NC 394.430000 0.0000258 N/A DFE ID N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 234887.770000 USD 3622909000.000000 IDR 2024-03-20 394.430000 N N N RUSSIAN GOVT 5493004EHVGF71PDBU58 ACI0T3YR1 889000000.000000 PA 3660588.240000 0.239434 Long DBT NUSS RU N 2 2033-03-23 Fixed 7.7 Y N N N N N N/A N/A 000000000 1.000000 NC 186.840000 0.0000122 N/A DFE KR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 13408.000000 USD 17439115.000000 KRW 2024-06-20 186.840000 N N N N/A N/A 000000000 1.000000 NC 16.000000 0.000001 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 16906.000000 USD 21707110.000000 KRW 2024-06-20 16.000000 N N N N/A N/A 000000000 1.000000 NC 10305.100000 0.000674 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 659200.000000 USD 110992800.000000 KES 2024-06-06 10305.100000 N N N N/A N/A 000000000 1.000000 NC USD 119578.410000 0.0078214 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-31 0.000000 USD -5475.000000 USD 1500000.000000 USD 125053.410000 N N N N/A N/A 000000000 -964000.000000 NC USD -69909.280000 -0.0045727 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-10-31 N/A 39.800000 USD 2024-10-31 XXXX 26563.020000 N N N N/A N/A 000000000 1.000000 NC 794294.540000 0.0519536 N/A DIR TH N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Thailand Overnight Repo Rate ON Y 2026-03-20 256932.100000 THB 0.000000 THB 4741720000.000000 THB 537362.440000 N N N N/A N/A 000000000 1.000000 NC -1710.160000 -0.0001119 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 780000.000000 ILS 214221.740000 USD 2024-03-20 -1710.160000 N N N N/A N/A 000000000 1.000000 NC 225912.590000 0.0147766 N/A DFE EG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 130500840.000000 EGP 3763000.000000 USD 2024-02-05 225912.590000 N N N N/A N/A 000000000 1.000000 NC 18455.010000 0.0012071 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 660813.230000 USD 996604.000000 AUD 2024-01-09 18455.010000 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI1LDCL2 21530000.000000 PA 4658740.820000 0.304721 Long DBT NUSS MY N 2 2027-09-30 Fixed 3.422 N N N N N N N/A N/A 000000000 1.000000 NC -106133.040000 -0.006942 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 29700000.000000 BRL 5900677.880000 USD 2024-07-02 -106133.040000 N N N N/A N/A 000000000 1.000000 NC -10719.560000 -0.0007012 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2027-07-25 0.000000 PLN 0.000000 PLN 6320000.000000 PLN -10719.560000 N N N CANADA SQUARE FUNDING 6 N/A ACI23B4N9 1568439.500000 PA 1987521.630000 0.130001 Long ABS-MBS CORP GB N 2 2059-01-17 Floating 6.06712 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BD3 7100000.000000 PA 1984825.510000 0.129825 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N N/A N/A 000000000 1.000000 NC -188823.830000 -0.0123507 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2028-10-02 0.000000 CLP 0.000000 CLP 3855000000.000000 CLP -188823.830000 N N N N/A N/A 000000000 1500000.000000 NC USD 122706.000000 0.008026 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2025-06-16 N/A 92.600000 USD 2025-06-16 XXXX 32706.000000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797GN1 3632000.000000 PA USD 3608756.800000 0.236043 Long DBT UST US N 2 2024-02-15 None 0 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 1.940000 PA 0.230000 0 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 382349.850000 0.0250089 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5608463.240000 USD 102184433.510000 MXN 2024-01-31 382349.850000 N N N N/A N/A 000000000 1.000000 NC 552457.090000 0.0361354 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2028-07-20 0.000000 CLP 0.000000 CLP 7185000000.000000 CLP 552457.090000 N N N N/A N/A 000000000 1.000000 NC -84705.730000 -0.0055405 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2030-01-31 0.000000 ZAR 0.000000 ZAR 61000000.000000 ZAR -84705.730000 N N N N/A N/A 000000000 1.000000 NC 10005.350000 0.0006544 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 179034.740000 USD 744000.000000 PLN 2024-01-22 10005.350000 N N N N/A N/A 000000000 1.000000 NC -143383.420000 -0.0093785 N/A DIR IN N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 Financial Benchmarks India Overnight Mumbai Interbank Outright Rate N/A N/A Y 2025-12-20 0.000000 INR -31536.810000 INR 1875830000.000000 INR -111846.610000 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4E9 3230.850000 PA USD 3022.200000 0.0001977 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.9238 N N N N N N N/A N/A 000000000 1.000000 NC -45495.560000 -0.0029758 N/A DFE EG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 297555.000000 USD 10726857.750000 EGP 2024-02-29 -45495.560000 N N N N/A N/A 000000000 3966000.000000 PA USD 3966000.000000 0.25941 Long RA US N 2 Repurchase N 2.600000 2024-01-02 3990700.000000 USD 4045398.330000 USD UST N N N ZAMBIA GOVT 213800DMLAZ6LGMMD849 ACI1ZGCS5 15400000.000000 PA 585744.230000 0.0383127 Long DBT NUSS ZM N 2 2024-06-28 Fixed 10 N N N N N N N/A N/A 000000000 1.000000 NC -33992.720000 -0.0022234 N/A DFE EG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2039203.000000 USD 67089778.700000 EGP 2024-01-17 -33992.720000 N N N N/A N/A 000000000 1.000000 NC 28095.970000 0.0018377 N/A DFE KZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2002268.000000 USD 932556321.000000 KZT 2024-01-31 28095.970000 N N N N/A N/A 000000000 1.000000 NC -43197.470000 -0.0028255 N/A DFE GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2219500.000000 GBP 2786994.630000 USD 2024-06-14 -43197.470000 N N N N/A N/A 000000000 1.000000 NC 10970.080000 0.0007175 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 157489.030000 USD 663000.000000 PLN 2024-01-22 10970.080000 N N N N/A N/A 000000000 1.000000 NC -89254.170000 -0.005838 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2033-10-25 0.000000 PLN 0.000000 PLN 16800000.000000 PLN -89254.170000 N N N BANCO DAVIVIENDA SA 549300P161V4IPKAQS70 ACI2HZ3S1 7300257000.000000 PA 1959028.700000 0.128137 Long DBT CORP CO N 2 2026-03-08 Fixed 12.9568 N N N N N N CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA N/A 224939AA6 55600000.000000 PA 15164535.750000 0.99189 Long DBT CORP PE N 3 2043-12-15 Fixed 10.1 N N N N N N EMPRESAS PUBLICAS DE MEDELLIN ESP 549300SU25TO8EMXB434 P9379RAV9 1090000000.000000 PA 270926.150000 0.0177209 Long DBT CORP CO N 2 2024-09-10 Fixed 7.625 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI0V6W28 20690000.000000 PA 4560774.780000 0.298314 Long DBT NUSS MY N 2 2027-11-16 Fixed 3.899 N N N N N N N/A N/A 000000000 1.000000 NC 155461.370000 0.0101685 N/A DFE CO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2278000.000000 USD 9844377000.000000 COP 2024-08-15 155461.370000 N N N N/A N/A 000000000 -1600000.000000 NC USD -8182.400000 -0.0005352 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 -1262.400000 N N N N/A N/A 000000000 -27597000.000000 NC -66719.910000 -0.0043641 N/A DFE LU N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 Put Written SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2024-03-15 N/A 4.220000 EUR 2024-03-15 XXXX 87986.590000 N N N SUNAC CHINA HOLDINGS LIMITED 549300OLARYHDXP3WK18 ACI2L7N56 130289.000000 PA USD 15660.740000 0.0010243 Long DBT CORP KY N 2 2026-09-30 Fixed 6 N N Y N N N N/A N/A 000000000 1.000000 NC 16317.830000 0.0010673 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1817021.260000 USD 31271000.000000 MXN 2024-01-31 16317.830000 N N N N/A N/A 000000000 -209512468.490000 PA -53534006.590000 -3.50158 Short RA PL N 2 Reverse repurchase N 11.300000 2024-01-05 222679000.000000 PLN 220396665.640000 PLN N N N N/A N/A 000000000 1.000000 NC -2011.450000 -0.0001316 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 908723.000000 USD 28966454.350000 TRY 2024-03-29 -2011.450000 N N N N/A N/A 000000000 1.000000 NC 6361.380000 0.0004161 N/A DIR BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A Brazil Cetip DI Interbank Deposit Rate Y 2025-01-02 0.000000 BRL 0.000000 BRL 30800000.000000 BRL 6361.380000 N N N N/A N/A 000000000 1.000000 NC -191644.220000 -0.0125352 N/A DFE JP N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 588325859.000000 JPY 4167369.000000 USD 2024-11-07 -191644.220000 N N N CHINA GOVT 300300CHN201808MOF68 ACI28Z7D0 89800000.000000 PA 12747673.580000 0.833807 Long DBT NUSS CN N 2 2029-09-25 Fixed 2.62 N N N N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI1D2T45 126249000000.000000 PA 8768717.070000 0.573549 Long DBT NUSS ID N 2 2035-06-15 Fixed 7.5 N N N N N N N/A N/A 000000000 1.000000 NC -70872.370000 -0.0046357 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 19956000.000000 CNY 2745859.400000 USD 2024-03-26 -70872.370000 N N N N/A N/A 000000000 1.000000 NC -1907315.220000 -0.124755 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2032-10-30 0.000000 CLP 0.000000 CLP 18995000000.000000 CLP -1907315.220000 N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AA8 43378.040000 PA USD 36881.690000 0.0024124 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.27006 N N N N N N N/A N/A 000000000 1.000000 NC 2917.410000 0.0001908 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 244308.410000 USD 973000.000000 PLN 2024-01-22 2917.410000 N N N N/A N/A 000000000 1.000000 NC -15272.940000 -0.000999 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2361000.000000 PLN 584624.450000 USD 2024-01-22 -15272.940000 N N N N/A N/A 000000000 -180661927.000000 PA -10039796.760000 -0.656688 Short RA N/A N 2 Reverse repurchase N 8.600000 2025-10-10 184500000.000000 ZAR 193148679.190000 ZAR N N N NOVASTAR HOME EQUITY LOAN 2004-1 N/A 66987XEB7 4407347.020000 PA USD 4237825.030000 0.27719 Long ABS-MBS CORP US N 2 2034-06-25 Floating 6.22043 N N N N N N N/A N/A 000000000 1.000000 NC -15712.780000 -0.0010277 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1056935.000000 USD 34129488.090000 TRY 2024-04-24 -15712.780000 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI1RLW28 24738000.000000 PA 5541196.250000 0.362442 Long DBT NUSS MY N 2 2035-05-31 Fixed 4.254 N N N N N N N/A N/A 000000000 1.000000 NC 3619.970000 0.0002368 N/A DFE HU N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 157416.960000 USD 56030000.000000 HUF 2024-01-24 3619.970000 N N N N/A N/A 000000000 -2100000.000000 NC -23686.020000 -0.0015493 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 -15927.790000 N N N N/A N/A 000000000 1.000000 NC -10350.220000 -0.000677 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2740000.000000 PLN 685845.820000 USD 2024-01-22 -10350.220000 N N N COUNTRYWIDE ASSET-BACKED CERT 2006-3 N/A 126670WD6 3500000.000000 PA USD 3366301.400000 0.220185 Long ABS-MBS CORP US N 2 2036-06-25 Floating 6.05543 N N N N N N N/A N/A 000000000 1.000000 NC -69211.890000 -0.004527 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2033-05-18 0.000000 CLP 0.000000 CLP 2201210000.000000 CLP -69211.890000 N N N N/A N/A 000000000 1.000000 NC -82613.490000 -0.0054036 N/A DFE EG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 30433600.000000 EGP 827000.000000 USD 2024-01-17 -82613.490000 N N N ECUADOR GOVT 5299003Y2U5XK0A35H71 ACI1Q6J43 8900000.000000 PA USD 4165200.000000 0.27244 Long DBT NUSS EC N 2 2030-07-31 Variable 6 N N N N N N N/A N/A 000000000 1.000000 NC -408336.920000 -0.0267087 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 103051685240.060000 COP 26081770.960000 USD 2024-01-22 -408336.920000 N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI28Q5P5 86770000000.000000 PA 5902433.980000 0.38607 Long DBT NUSS ID N 2 2038-06-15 Fixed 7.125 N N N N N N N/A N/A 000000000 1.000000 NC USD -166041.700000 -0.0108605 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-11-22 0.000000 USD -11830.000000 USD 2600000.000000 USD -154211.700000 N N N N/A N/A 000000000 1.000000 NC 106517.590000 0.0069672 N/A DFE MY N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 6445358.640000 USD 29976073.950000 MYR 2024-02-06 106517.590000 N N N N/A N/A 000000000 -400000.000000 NC USD -1293.800000 -0.0000846 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 326.200000 N N N EGYPTIAN GOVT 529900GFIVH4086NMH82 M1487WCY9 1614000.000000 PA USD 1236582.240000 0.080883 Long DBT NUSS EG N 2 2029-03-01 Fixed 7.6003 N N N N N N N/A N/A 000000000 1.000000 NC 327865.830000 0.0214452 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3041062.370000 USD 13259000.000000 PLN 2024-01-22 327865.830000 N N N AMERICAN HOME MORTGAGE ASSETS 2007-3 N/A 026935AH9 433014.870000 PA USD 373462.210000 0.0244276 Long ABS-MBS CORP US N 2 2046-11-25 Variable 6.75 N N N N N N N/A N/A 000000000 1.000000 NC 342846.030000 0.0224251 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 20982127.900000 USD 363737000.000000 MXN 2024-01-31 342846.030000 N N N LUMINENT MORTGAGE TRUST 2006-7 N/A 55028BAA5 12643.430000 PA USD 11542.610000 0.000755 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.83043 N N N N N N STATE OIL COMPANY OF THE AZERBAIJAN REPUBLIC 2549002HARR1VE257O76 948EXSII0 3650000.000000 PA USD 3622102.320000 0.236916 Long LON MUN AZ N 3 2024-11-26 Floating 8.3053 N N N N N N N/A N/A 000000000 1.000000 NC -1770146.370000 -0.115783 N/A DFE ZA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 921202558.680000 ZAR 48522511.980000 USD 2024-01-19 -1770146.370000 N N N TANZANIA GOVT N/A 938RLZII0 3600000.000000 PA 3944413.900000 0.257998 Long LON NUSS TZ N 3 2028-04-26 Floating 9.502 N N N N N N TBW MTGE BACKED PASS THRU CERT 2006-6 N/A 87222PAU7 1293576.690000 PA USD 303429.110000 0.0198469 Long ABS-MBS CORP US N 2 2037-01-25 Variable 6.54 N N N N N N N/A N/A 000000000 1.000000 NC 17482.370000 0.0011435 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1285704.130000 USD 1912000.000000 AUD 2024-01-09 17482.370000 N N N CORSAIR INTERNATIONAL LIMITED 213800F3PS68ENYG4O41 ACI2363S0 6600000.000000 PA 7286071.020000 0.476571 Long DBT CORP JE N 2 2027-01-28 Floating 8.802 N N N N N N N/A N/A 000000000 -2000000.000000 NC -0.220000 0 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 0.000000 0.000000 DIR N/A IRS EUR R 3.09000 01/03/24-5Y LCH 2029-01-03 0.000000 EUR 0.000000 EUR N/A EUR N/A 3.090000 EUR 2023-12-29 XXXX 3840.510000 N N N N/A N/A 000000000 1.000000 NC -15718.300000 -0.0010281 N/A DFE BR N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 7984526.000000 BRL 1628000.000000 USD 2024-01-03 -15718.300000 N N N N/A N/A 000000000 1.000000 NC -4247.520000 -0.0002778 N/A DFE SG N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 859837.130000 SGD 649571.000000 USD 2024-03-20 -4247.520000 N N N N/A N/A 000000000 1.000000 NC USD 213355.450000 0.0139553 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-03 0.000000 USD -15112.500000 USD 3900000.000000 USD 228467.950000 N N N N/A N/A 000000000 1.000000 NC 11738.120000 0.0007678 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 35137834.300000 DOP 613000.000000 USD 2024-03-06 11738.120000 N N N N/A N/A 000000000 1.000000 NC -8818.240000 -0.0005768 N/A DFE EG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 529001.000000 USD 17404132.900000 EGP 2024-01-17 -8818.240000 N N N N/A N/A 000000000 1.000000 NC 66091.510000 0.0043229 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 171819000.000000 KES 1123000.000000 USD 2024-04-08 66091.510000 N N N N/A N/A 000000000 -4015500.780000 PA USD -4036163.880000 -0.264 Short RA US N 2 Reverse repurchase N 4.750000 2024-11-24 158003605.240000 UYU 166130199.930000 UYU N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAF6 3613526.570000 PA USD 3165986.250000 0.207083 Long ABS-MBS CORP US N 2 2038-01-19 Floating 5.85023 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0R4 68.000000 PA 11124.460000 0.0007276 Long ABS-MBS CORP GB N 2 2049-12-21 Fixed 0 N N N N N N N/A N/A 000000000 1.000000 NC -91835.700000 -0.0060068 N/A DFE EG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 957677.000000 USD 33375043.450000 EGP 2024-02-12 -91835.700000 N N N N/A N/A 000000000 1.000000 NC 34104.350000 0.0022307 N/A DFE EG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6306170.000000 EGP 179000.000000 USD 2024-03-05 34104.350000 N N N N/A N/A 000000000 1.000000 NC -41471.490000 -0.0027126 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2025-11-30 0.000000 PLN -11607.610000 PLN 45000000.000000 PLN -29863.880000 N N N N/A N/A 000000000 1.000000 NC 28532.600000 0.0018663 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 29609293.870000 USD 4176300000.000000 JPY 2024-01-09 28532.600000 N N N N/A N/A 000000000 1.000000 NC 622705.980000 0.0407303 N/A DFE PL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 15509744.190000 EUR 63782272.020000 PLN 2024-08-26 622705.980000 N N N N/A N/A 000000000 1.000000 NC 26580.900000 0.0017386 N/A DFE CN N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 1532390.000000 USD 11045007.400000 CNY 2024-03-26 26580.900000 N N N CHINA GOVT 300300CHN201808MOF68 ACI29K9P3 5900000.000000 PA 868314.910000 0.0567952 Long DBT NUSS CN N 2 2052-10-25 Fixed 3.12 N N N N N N N/A N/A 000000000 1.000000 NC -74104.560000 -0.0048471 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2033-04-01 0.000000 CLP 0.000000 CLP 2078800000.000000 CLP -74104.560000 N N N N/A N/A 000000000 1.000000 NC -64400.840000 -0.0042124 N/A DIR CL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Sinacofi Chile Interbank Rate N/A N/A Y 2029-05-22 0.000000 CLP 0.000000 CLP 10120000000.000000 CLP -64400.840000 N N N BANCOLOMBIA SA 54930052NWJRPNMP1W58 ACI2GS0T9 3838000000.000000 PA 1017282.830000 0.066539 Long DBT CORP CO N 2 2025-06-08 Fixed 13.32 N N N N N N N/A N/A 000000000 1.000000 NC USD -120123.470000 -0.0078571 N/A DFE US N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 -476650000.000000 PHP 8574383.880000 USD 2029-03-20 -118580.760000 N N N N/A N/A 000000000 -27597000.000000 NC -229010.760000 -0.0149793 N/A DFE US N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 Call Written SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2024-03-15 N/A 4.430000 EUR 2024-03-15 XXXX -39419.460000 N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 262051AA3 154380.000000 PA USD 143110.260000 0.0093606 Long DBT CORP LU N 2 2030-06-15 Fixed 7.5 N N N N N N N/A N/A 000000000 1.000000 NC -73431.560000 -0.0048031 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 -5872.840000 EUR 3100000.000000 EUR -67558.720000 N N N INTEROCEANICA IV FINANCE LIMITED 5493001ZIZ6W7IU0RP65 46062NAB3 19710.360000 PA USD 18314.180000 0.0011979 Long DBT CORP KY N 2 2025-11-30 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -2772808.060000 -0.181365 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 109886000.000000 PLN 25147702.070000 USD 2024-01-22 -2772808.060000 N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 ACI27J804 275400000.000000 PA 13243090.270000 0.866211 Long DBT NUSS CZ N 2 2030-09-30 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -40555.050000 -0.0026526 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2033-11-17 0.000000 MXN 0.000000 MXN 42600000.000000 MXN -40555.050000 N N N N/A N/A 000000000 1.000000 NC -216.030000 -0.0000141 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 362592.770000 TRY 11913.560000 USD 2024-01-18 -216.030000 N N N N/A N/A 000000000 1.000000 NC -127958.280000 -0.0083696 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2028-10-09 0.000000 PLN 0.000000 PLN 38600000.000000 PLN -127958.280000 N N N N/A N/A 000000000 1.000000 NC 15330.240000 0.0010027 N/A DFE CL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1164527000.000000 CLP 1337000.000000 USD 2024-01-08 15330.240000 N N N N/A N/A 000000000 1.000000 NC -355.600000 -0.0000233 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 326421.760000 USD 9683301.510000 TRY 2024-01-11 -355.600000 N N N N/A N/A 000000000 1.000000 NC 190318.530000 0.0124485 N/A DFE EG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 58238640.000000 EGP 1692000.000000 USD 2024-02-13 190318.530000 N N N N/A N/A 000000000 1.000000 NC 60828.720000 0.0039787 N/A DFE BR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 4384000.000000 USD 21591200.000000 BRL 2024-01-03 60828.720000 N N N N/A N/A 000000000 -1920000.000000 NC USD -206292.480000 -0.0134933 N/A DFE LU N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-10-28 N/A 40.380000 USD 2024-10-28 XXXX -13833.600000 N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI1VBJN4 85800000.000000 PA 16808400.340000 1.09941 Long DBT NUSS BR N 2 2024-07-01 None 0 N N N N N N N/A N/A 000000000 -1600000.000000 NC USD -5014.080000 -0.000328 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 1905.920000 N N N N/A N/A 000000000 1.000000 NC 82012.530000 0.0053643 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1458261.070000 PLN 1380667.000000 EUR 2024-09-11 82012.530000 N N N N/A N/A 000000000 1.000000 NC 893932.990000 0.0584708 N/A DFE CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10002000.000000 USD 45694137000.000000 COP 2025-04-03 893932.990000 N N N N/A N/A 000000000 -800000.000000 NC USD -5742.000000 -0.0003756 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 -2038.000000 N N N N/A N/A 000000000 1.000000 NC -304397.980000 -0.0199102 N/A DFE TR N 2 UBS AG BFM8T61CT2L1QCEMIK50 4154000.000000 USD 125561711.800000 TRY 2024-04-19 -304397.980000 N N N N/A N/A 000000000 1.000000 NC -2930.240000 -0.0001917 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 40329320936.000000 IDR 2616172.600000 USD 2024-03-20 -2930.240000 N N N N/A N/A 000000000 1.000000 NC 440201.710000 0.0287929 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 105568160.150000 USD 519215882.070000 BRL 2024-04-02 440201.710000 N N N N/A N/A 000000000 1.000000 NC 3093.800000 0.0002024 N/A DFE SE N 2 UBS AG BFM8T61CT2L1QCEMIK50 131578.160000 USD 1357986.740000 SEK 2024-01-09 3093.800000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI2KW5L7 3150653.920000 PA 3347.950000 0.000219 Long DBT NUSS AR N 2 2024-05-20 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC -49110.790000 -0.0032123 N/A DFE EG N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 278593.000000 USD 9987559.050000 EGP 2024-03-05 -49110.790000 N N N N/A N/A 000000000 1.000000 NC 63674.600000 0.0041649 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 -3236.490000 GBP 600000.000000 GBP 66911.090000 N N N N/A N/A 000000000 1.000000 NC 303275.090000 0.0198368 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 15183591.520000 USD 283742000.000000 ZAR 2024-01-22 303275.090000 N N N N/A N/A 000000000 1.000000 NC 16631.840000 0.0010879 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1932000.000000 USD 30005312400.000000 IDR 2024-03-20 16631.840000 N N N N/A N/A 000000000 1.000000 NC 129201.110000 0.0084509 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 59400000.000000 BRL 129201.110000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI01W4Q2 521800000.000000 PA 27130465.700000 1.77456 Long DBT NUSS MX N 2 2042-11-13 Fixed 7.75 N N N N N N CONSTELLATION OIL SERVICES HOLDING SA 5493005YJTU769NW5I10 21038MAP8 313587.000000 PA USD 310893.420000 0.0203351 Long DBT CORP LU N 3 2025-06-30 Fixed 13.5 N N N N N N N/A N/A 000000000 1.000000 NC -4754.810000 -0.000311 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 19760042.060000 TRY 630505.490000 USD 2024-03-01 -4754.810000 N N N N/A N/A 000000000 1.000000 NC 134442.000000 0.0087937 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2033-07-17 0.000000 COP 0.000000 COP 39098000000.000000 COP 134442.000000 N N N N/A N/A 000000000 1.000000 NC USD -19306.900000 -0.0012628 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 PETROLEOS MEXICANOS (PEMEX) PEMEX SR UNSEC Y Single Leg Swap 2024-06-20 0.000000 USD -225893.860000 USD 7300000.000000 USD 206586.960000 N N N BANCO DAVIVIENDA SA 549300P161V4IPKAQS70 ACI2GS0Y8 7383000000.000000 PA 1946292.870000 0.127304 Long DBT CORP CO N 2 2024-12-13 Fixed 13.501 N N N N N N N/A N/A 000000000 1.000000 NC 110918.740000 0.007255 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 13813000.000000 EUR 15509744.190000 PLN 2024-08-26 110918.740000 N N N N/A N/A 000000000 1.000000 NC 5347.640000 0.0003498 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2499739.220000 USD 9049000.000000 ILS 2024-03-20 5347.640000 N N N N/A N/A 000000000 1.000000 NC -86012.350000 -0.0056259 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 50185901.000000 TWD 1572043.000000 USD 2024-02-29 -86012.350000 N N N SERBIA GOVT 254900W94OCY91V32O78 ACI1K5CK2 345400000.000000 PA 2911558.420000 0.190441 Long DBT NUSS RS N 2 2032-08-20 Fixed 4.5 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AC3 6100000.000000 PA 1687711.190000 0.110391 Long DBT NUSS PE N 2 2028-08-12 Fixed 6.35 N N N N N N N/A N/A 000000000 1.000000 NC 266182.310000 0.0174106 N/A DIR CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2026-02-11 0.000000 COP 0.000000 COP 16064000000.000000 COP 266182.310000 N N N N/A N/A 000000000 1.000000 NC -41395.470000 -0.0027076 N/A DFE AU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3726000.000000 AUD 2498182.400000 USD 2024-01-09 -41395.470000 N N N PERU PAYROLL DEDUCTION FINANCE LIMITED N/A ACI01Y8E1 1747717.860000 PA USD 1447404.720000 0.0946726 Long DBT CORP KY N 3 2029-11-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -1042646.130000 -0.0681979 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2027-04-08 0.000000 PLN 0.000000 PLN 76800000.000000 PLN -1042646.130000 N N N N/A N/A 000000000 1.000000 NC 304496.840000 0.0199167 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 8039656.880000 USD 142325024.710000 MXN 2024-01-31 304496.840000 N N N N/A N/A 000000000 1.000000 NC 10375.930000 0.0006787 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 344624.440000 USD 6055190.000000 MXN 2024-01-31 10375.930000 N N N N/A N/A 000000000 1.000000 NC 41140.450000 0.0026909 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1120958.390000 USD 1705000.000000 AUD 2024-01-09 41140.450000 N N N N/A N/A 000000000 1.000000 NC 316229.400000 0.0206841 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2391000.000000 USD 11648952000.000000 COP 2025-10-06 316229.400000 N N N THAILAND GOVT N/A ACI27N3Q3 327054000.000000 PA 10043662.330000 0.656941 Long DBT NUSS TH N 2 2043-06-17 Fixed 3.45 N N N N N N N/A N/A 000000000 -2700000.000000 NC -9.240000 -0.0000006 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 9831.270000 N N N N/A N/A 000000000 -10752000.000000 NC USD -305539.580000 -0.0199849 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-03-01 N/A 31.000000 USD 2024-03-01 XXXX -160269.310000 N N N N/A N/A 000000000 1.000000 NC -877923.790000 -0.0574237 N/A DFE HU N 2 UBS AG BFM8T61CT2L1QCEMIK50 4164704419.000000 HUF 11091935.150000 USD 2024-01-24 -877923.790000 N N N N/A N/A 000000000 1.000000 NC -179445.120000 -0.0117372 N/A DIR IL N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 TELBOR ILS 3M N/A N/A Y 2028-05-18 0.000000 ILS -2043.120000 ILS 25800000.000000 ILS -177402.000000 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI2CNTP1 13090000.000000 PA 2850372.660000 0.186439 Long DBT NUSS MY N 2 2028-07-31 Fixed 3.599 N N N N N N N/A N/A 000000000 -2700000.000000 NC -42593.110000 -0.002786 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 -32752.600000 N N N BANCOLOMBIA SA 54930052NWJRPNMP1W58 ACI2CNZ41 11855500000.000000 PA 3059551.960000 0.200121 Long DBT CORP CO N 2 2024-01-27 Fixed 5.917 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A4 N/A 46628LAB4 187999.060000 PA USD 128148.330000 0.008382 Long ABS-MBS CORP US N 3 2036-06-25 Floating 4.43571 N N N N N N SAXON ASSET SECURITIES TRUST 2007-3 N/A 80557BAD6 3354684.310000 PA USD 3065436.720000 0.200506 Long ABS-MBS CORP US N 2 2047-09-25 Floating 5.87043 N N N N N N ODEBRECHT OIL & GAS FINANCE LIMITED N/A 000000000 299000.000000 PA USD 10278.130000 0.0006723 Long DBT CORP KY N 2 2024-02-05 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -2112.120000 -0.0001382 N/A DFE TR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5078175.000000 USD 150745624.880000 TRY 2024-01-11 -2112.120000 N N N N/A N/A 000000000 1.000000 NC USD 13764.260000 0.0009003 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 POLAND GOVT POLAND GOVT Y Single Leg Swap 2024-06-20 13377.210000 USD 0.000000 USD 3000000.000000 USD 387.050000 N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 1.670000 PA 0.200000 0 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 1.450000 PA 0.170000 0 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 -23016.520000 -0.0015055 N/A DFE TW N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 17612178.000000 TWD 560362.000000 USD 2024-03-20 -23016.520000 N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 000000000 9571.000000 NS USD 237676.640000 0.0155461 Long EC CORP LU N 3 N N N N/A N/A 000000000 1.000000 NC -71.080000 -0.0000046 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7947.750000 USD 31000.000000 PLN 2024-01-22 -71.080000 N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI159LR6 59147000000.000000 PA 4142977.530000 0.270986 Long DBT NUSS ID N 2 2029-05-15 Fixed 8.25 N N N N N N N/A N/A 000000000 1.000000 NC -313186.770000 -0.0204851 N/A DFE EG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 95115000.000000 EGP 2529654.260000 USD 2024-01-17 -313186.770000 N N N N/A N/A 000000000 1.000000 NC 120723.300000 0.0078963 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6938928800.000000 CLP 7996000.000000 USD 2024-01-08 120723.300000 N N N N/A N/A 000000000 1.000000 NC 173453.940000 0.0113454 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2028-11-16 0.000000 CLP -1417.130000 CLP 6873100000.000000 CLP 174871.070000 N N N STRUCTURED ASSET MTG INV INC 2007-AR2 N/A 86363DAA9 1058174.760000 PA USD 967551.720000 0.0632861 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.77043 N N N N N N N/A N/A 000000000 1.000000 NC 1642856.700000 0.107457 N/A DFE HU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 39184799.490000 USD 14205273511.000000 HUF 2024-01-24 1642856.700000 N N N N/A N/A 000000000 1.000000 NC USD 78151.400000 0.0051118 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2026-12-20 0.000000 USD -19512.340000 USD 4900000.000000 USD 97663.740000 N N N N/A N/A 000000000 1.000000 NC 19885.220000 0.0013007 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 15237297.590000 BRL 3156680.670000 USD 2024-01-03 19885.220000 N N N N/A N/A 000000000 1.000000 NC -357304.100000 -0.0233707 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 175500000.000000 BRL 35771648.470000 USD 2024-01-03 -357304.100000 N N N N/A N/A 000000000 1.000000 NC 8231.160000 0.0005384 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 520800.000000 USD 87819900.000000 KES 2024-06-10 8231.160000 N N N N/A N/A 000000000 1.000000 NC -7320.550000 -0.0004788 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 619568.790000 USD 20068452.680000 TRY 2024-04-24 -7320.550000 N N N N/A N/A 000000000 1.000000 NC 85607.830000 0.0055995 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 383328033.900000 DOP 6657000.000000 USD 2024-01-19 85607.830000 N N N N/A N/A 000000000 -10200000.000000 NC USD -336304.200000 -0.0219972 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-06-26 N/A 17.450000 USD 2024-06-26 XXXX 16401.600000 N N N N/A N/A 000000000 1.000000 NC -143295.810000 -0.0093728 N/A DIR KR N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SOUTH KOREAN WON 3 MONTH N/A N/A Y 2025-12-20 0.000000 KRW -28589.760000 KRW 21236700000.000000 KRW -114706.050000 N N N N/A N/A 000000000 151.000000 NC 690802.370000 0.0451844 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2024-03-07 22874090.070000 EUR 690802.370000 N N N BANCOLOMBIA SA 54930052NWJRPNMP1W58 ACI2GPTF4 4128000000.000000 PA 1092870.680000 0.0714831 Long DBT CORP CO N 2 2024-09-01 Floating 15.875 N N N N N N ECUADOR GOVT 5299003Y2U5XK0A35H71 ACI1Q6JR2 3396000.000000 PA USD 1220862.000000 0.0798548 Long DBT NUSS EC N 2 2035-07-31 Variable 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 176974.440000 0.0115756 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2024-07-01 0.000000 BRL 0.000000 BRL 184300000.000000 BRL 176974.440000 N N N N/A N/A 000000000 -1000000.000000 NC -35.110000 -0.0000023 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 2252.130000 N N N N/A N/A 000000000 1.000000 NC -102768.570000 -0.0067219 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 31871400.000000 CNY 4400000.000000 USD 2024-02-16 -102768.570000 N N N JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2 N/A 46628TAA9 3346887.460000 PA USD 2885772.050000 0.188754 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.74043 N N N N N N N/A N/A 000000000 1.000000 NC 5776.290000 0.0003778 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 283627.830000 USD 1139000.000000 PLN 2024-01-22 5776.290000 N N N N/A N/A 000000000 1.000000 NC -16205.510000 -0.00106 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 11230985.000000 TWD 355805.000000 USD 2024-03-20 -16205.510000 N N N N/A N/A 000000000 1.000000 NC -87226.560000 -0.0057054 N/A DFE EG N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2694500.000000 USD 90535200.000000 EGP 2024-01-24 -87226.560000 N N N N/A N/A 000000000 1.000000 NC -295267.580000 -0.019313 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10422369000.000000 COP 2391000.000000 USD 2024-01-09 -295267.580000 N N N N/A N/A 000000000 1.000000 NC 17441.610000 0.0011408 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3053088229.000000 CLP 3482517.460000 USD 2024-01-08 17441.610000 N N N N/A N/A 000000000 1.000000 NC -37142.780000 -0.0024295 N/A DFE EG N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 923531.000000 USD 45068312.800000 EGP 2024-12-16 -37142.780000 N N N N/A N/A 000000000 1.000000 NC -943744.630000 -0.0617289 N/A DFE CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 42418482000.000000 COP 10002000.000000 USD 2024-01-03 -943744.630000 N N N N/A N/A 000000000 1.000000 NC 12271.170000 0.0008026 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7687322.000000 USD 642206567.200000 INR 2024-02-29 12271.170000 N N N N/A N/A 000000000 1.000000 NC -43032.190000 -0.0028147 N/A DFE KZ N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 448078954.420000 KZT 932526.440000 USD 2024-01-31 -43032.190000 N N N N/A N/A 000000000 -12.000000 NC USD -47434.800000 -0.0031026 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-03-19 -1352718.740000 USD -47434.800000 N N N N/A N/A 000000000 1.000000 NC 296220.580000 0.0193754 N/A DIR CL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Sinacofi Chile Interbank Rate N/A N/A Y 2026-06-20 0.000000 CLP 0.000000 CLP 5445000000.000000 CLP 296220.580000 N N N N/A N/A 000000000 1.000000 NC USD -425589.830000 -0.0278372 N/A DFE US N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 -253478470000.000000 IDR 16194637.750000 USD 2029-03-20 -392412.600000 N N N N/A N/A 000000000 1.000000 NC -244359.270000 -0.0159832 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2028-11-15 0.000000 CZK -46584.880000 CZK 170600000.000000 CZK -197774.390000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI0BJ3C2 11539300000.000000 PA 2714251.890000 0.177535 Long DBT NUSS CO N 2 2030-09-18 Fixed 7.75 N N N N N N N/A N/A 000000000 1.000000 NC 197039.480000 0.0128881 N/A DFE HU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7619724.060000 USD 2719707042.000000 HUF 2024-01-24 197039.480000 N N N INDONESIA GOVT 529900FWX0GRR7WG5W79 ACI1Q75B0 335833000000.000000 PA 21783252.550000 1.42481 Long DBT NUSS ID N 2 2031-02-15 Fixed 6.5 N N N N N N N/A N/A 000000000 -1300000.000000 NC -805.830000 -0.0000527 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 4354.400000 N N N N/A N/A 000000000 1.000000 NC 133888.420000 0.0087574 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5376045.000000 USD 166657395.000000 TWD 2024-03-05 133888.420000 N N N FIRST FRANKLIN MTG LOAN 2006-FF14 N/A 32027LAF2 2000000.000000 PA USD 1584549.200000 0.103643 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.78043 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 8949660.390000 PA USD 87053346.620000 5.69403 Long STIV RF US N 1 N N N N/A N/A 000000000 1.000000 NC -273516.030000 -0.0178903 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 172318000.000000 MXN 9829049.440000 USD 2024-01-31 -273516.030000 N N N N/A N/A 000000000 1.000000 NC -53205.720000 -0.0034801 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2028-11-16 0.000000 ZAR 0.000000 ZAR 185500000.000000 ZAR -53205.720000 N N N N/A N/A 000000000 1.000000 NC USD 19381.770000 0.0012677 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-12-20 286326.020000 USD 0.000000 USD 2300000.000000 USD -266944.250000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI1VZWM8 468671659.500000 PA 24371423.090000 1.5941 Long DBT NUSS MX N 2 2031-11-27 Fixed 2.75 N N N N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI2HK453 2585000000.000000 PA 2929467.150000 0.191612 Long DBT NUSS CL N 2 2037-11-01 Fixed 5.3 N N N N N N THAILAND GOVT N/A ACI1SGHJ8 71760000.000000 PA 1782490.210000 0.11659 Long DBT NUSS TH N 2 2042-06-17 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC 51243.760000 0.0033518 N/A DFE CH N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1479787.280000 USD 1287000.000000 CHF 2024-01-09 51243.760000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 989RJQII1 500000.000000 PA 16549.130000 0.0010825 Long DBT NUSS ZA N 2 2041-02-28 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC -7033.780000 -0.0004601 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1123313.000000 GBP 1424844.470000 USD 2024-01-09 -7033.780000 N N N N/A N/A 000000000 1.000000 NC -1765.510000 -0.0001155 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4285688.960000 USD 65964467335.000000 IDR 2024-03-20 -1765.510000 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 B1YBKVII7 14360000.000000 PA 3124274.730000 0.204354 Long DBT NUSS MY N 2 2027-05-31 Fixed 3.502 N N N N N N N/A N/A 000000000 1.000000 NC -131608.870000 -0.0086083 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2028-11-10 0.000000 ZAR 0.000000 ZAR 145200000.000000 ZAR -131608.870000 N N N N/A N/A 000000000 1.000000 NC -15388.710000 -0.0010066 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1466869.000000 USD 46062620.340000 TRY 2024-03-22 -15388.710000 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI136ZL2 12810000.000000 PA 3066644.220000 0.200585 Long DBT NUSS MY N 2 2038-06-08 Fixed 4.893 N N N N N N N/A N/A 000000000 1.000000 NC -6701.550000 -0.0004383 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2025-11-22 0.000000 ZAR 0.000000 ZAR 177600000.000000 ZAR -6701.550000 N N N N/A N/A 000000000 1.000000 NC 1699622.210000 0.11117 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 40322894.110000 USD 769719693.380000 ZAR 2024-01-19 1699622.210000 N N N N/A N/A 000000000 1.000000 NC 18212.470000 0.0011913 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 334950.000000 USD 13786542.000000 TRY 2024-11-12 18212.470000 N N N N/A N/A 000000000 1.000000 NC -88258.040000 -0.0057728 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 36419739680.000000 IDR 2276945.280000 USD 2024-03-20 -88258.040000 N N N N/A N/A 000000000 1.000000 NC 51657.500000 0.0033788 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2028-11-16 0.000000 CLP 0.000000 CLP 1958800000.000000 CLP 51657.500000 N N N N/A N/A 000000000 1.000000 NC -24012.620000 -0.0015706 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 15916516.000000 USD 112489976.830000 CNY 2024-02-16 -24012.620000 N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1547G7 10300000.000000 PA 2166591.140000 0.141713 Long DBT NUSS RO N 2 2029-02-12 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 31307.280000 0.0020478 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1976822.000000 USD 14227207.700000 CNY 2024-03-26 31307.280000 N N N N/A N/A 000000000 1.000000 NC 12618.270000 0.0008253 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1780600.000000 USD 291128100.000000 KES 2024-04-04 12618.270000 N N N N/A N/A 000000000 1.000000 NC 24082.760000 0.0015752 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2855685.600000 USD 44343085985.000000 IDR 2024-03-20 24082.760000 N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF11 N/A 32028PAE5 6205279.790000 PA USD 5631329.880000 0.368337 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.77043 N N N N N N N/A N/A 000000000 1.000000 NC 1049.480000 0.0000686 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 498000.000000 USD 79331400.000000 KES 2024-02-05 1049.480000 N N N N/A N/A 000000000 -964000.000000 NC USD -93377.860000 -0.0061077 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2024-10-31 N/A 39.800000 USD 2024-10-31 XXXX 3094.440000 N N N N/A N/A 000000000 1.000000 NC -122212.500000 -0.0079937 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 -7969.980000 EUR 2000000.000000 EUR -114242.520000 N N N N/A N/A 000000000 1.000000 NC -5623.860000 -0.0003678 N/A DFE TR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1717204.610000 USD 52415953.520000 TRY 2024-02-13 -5623.860000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796ZY8 4856000.000000 PA USD 4839657.070000 0.316555 Long DBT UST US N 2 2024-01-25 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 10298.050000 0.0006736 N/A DFE KZ N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1057000.000000 USD 490448000.000000 KZT 2024-02-02 10298.050000 N N N N/A N/A 000000000 1.000000 NC 3375.710000 0.0002208 N/A DFE HU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 393252.810000 USD 138000000.000000 HUF 2024-01-24 3375.710000 N N N N/A N/A 000000000 1.000000 NC 95766.640000 0.006264 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2028-11-06 65792.820000 PLN 0.000000 PLN 58700000.000000 PLN 29973.820000 N N N N/A N/A 000000000 1.000000 NC -247751.360000 -0.0162051 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 514011371.770000 BRL 105568160.150000 USD 2024-01-03 -247751.360000 N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 445545AR7 2700000.000000 PA USD 2811528.900000 0.183898 Long DBT NUSS HU N 2 2028-05-22 Fixed 6.125 N N N N N N COUNTRYWIDE HOME LOANS 2004-R2 N/A 12669UCB4 174885.920000 PA USD 156304.960000 0.0102237 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.87729 N N N N N N CHINA GOVT 300300CHN201808MOF68 ACI281ZN2 121630000.000000 PA 17152639.830000 1.12193 Long DBT NUSS CN N 2 2032-09-01 Fixed 2.6 N N N N N N N/A N/A 000000000 1.000000 NC 16796.960000 0.0010987 N/A DFE EG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 9058464.500000 EGP 223390.000000 USD 2024-03-20 16796.960000 N N N N/A N/A 000000000 1.000000 NC 22133.290000 0.0014477 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4018000.000000 USD 19959415.000000 BRL 2024-06-24 22133.290000 N N N SUNAC CHINA HOLDINGS LIMITED 549300OLARYHDXP3WK18 ACI2L7WC1 260578.000000 PA USD 24911.260000 0.0016294 Long DBT CORP KY N 2 2027-09-30 Fixed 6.5 N N Y N N N N/A N/A 000000000 1.000000 NC -10018.760000 -0.0006553 N/A DFE CN N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 3790738.260000 CNY 525033.000000 USD 2024-03-26 -10018.760000 N N N N/A N/A 000000000 1.000000 NC 23166.130000 0.0015153 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 66650844.800000 DOP 1159000.000000 USD 2024-04-12 23166.130000 N N N N/A N/A 000000000 1.000000 NC -13452.870000 -0.0008799 N/A DFE GB N 2 UBS AG BFM8T61CT2L1QCEMIK50 1312201.000000 GBP 1659199.430000 USD 2024-01-09 -13452.870000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638DC3 9700000.000000 PA 2250563.620000 0.147206 Long DBT NUSS PE N 2 2040-08-12 Fixed 5.35 N N N N N N BANCO DAVIVIENDA SA 549300P161V4IPKAQS70 ACI2HWWV9 6358000000.000000 PA 1728305.520000 0.113046 Long DBT CORP CO N 2 2026-06-06 Fixed 13.1838 N N N N N N N/A N/A 000000000 -3900000.000000 NC USD -13108.680000 -0.0008574 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 3505.320000 N N N BANCOLOMBIA SA 54930052NWJRPNMP1W58 ACI2GXG53 10200000000.000000 PA 2687826.100000 0.175807 Long DBT CORP CO N 2 2024-12-14 Fixed 13.637 N N N N N N N/A N/A 000000000 1.000000 NC -77126.210000 -0.0050447 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2030-01-31 0.000000 ZAR 0.000000 ZAR 128550000.000000 ZAR -77126.210000 N N N N/A N/A 000000000 1.000000 NC 9507068.590000 0.621843 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 85655695.480000 USD 374529528.490000 PLN 2024-01-22 9507068.590000 N N N N/A N/A 000000000 1.000000 NC -11831.830000 -0.0007739 N/A DFE EG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 78104.000000 USD 2820335.440000 EGP 2024-02-29 -11831.830000 N N N N/A N/A 000000000 1.000000 NC -380953.970000 -0.0249176 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2033-10-05 0.000000 CLP 0.000000 CLP 5073000000.000000 CLP -380953.970000 N N N N/A N/A 000000000 1.000000 NC 568397.710000 0.0371781 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2028-12-30 0.000000 AUD 0.000000 AUD 39870000.000000 AUD 568397.710000 N N N WORLD BANK (INTERNATIONAL BANK FOR RECONSTRUCTION AND DEVELOPMENT: IBRD) ZTMSNXROF84AHWJNKQ93 ACI1YZFN2 307100000000.000000 PA 19376998.770000 1.26742 Long DBT CORP N/A N 2 2026-04-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -189840.200000 -0.0124172 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2028-11-17 0.000000 CLP 0.000000 CLP 8551500000.000000 CLP -189840.200000 N N N URUGUAY GOVT 549300RDR012H2V82H43 917288BL5 158836412.700000 PA 4275651.760000 0.279664 Long DBT NUSS UY N 2 2040-07-02 Fixed 3.875 N N N N N N N/A N/A 000000000 -1300000.000000 NC -10041.780000 -0.0006568 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 -4881.550000 N N N N/A N/A 000000000 1.000000 NC -790558.140000 -0.0517092 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2054-03-20 73706.530000 EUR 0.000000 EUR 7600000.000000 EUR -864264.670000 N N N N/A N/A 000000000 1.000000 NC 14594.900000 0.0009546 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 534515.550000 USD 805640.000000 AUD 2024-01-09 14594.900000 N N N N/A N/A 000000000 1.000000 NC -431162.040000 -0.0282017 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 364002117.930000 MXN 20909355.080000 USD 2024-01-31 -431162.040000 N N N N/A N/A 000000000 1.000000 NC USD -75809.050000 -0.0049586 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-19 0.000000 USD -7980.000000 USD 1900000.000000 USD -67829.050000 N N N N/A N/A 000000000 1.000000 NC 19256.580000 0.0012595 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 336000.000000 USD 13826400.000000 TRY 2024-11-08 19256.580000 N N N FORESEA HOLDING SA 254900BAD50AKYGIMV79 000000000 1063.000000 NS USD 26397.480000 0.0017266 Long EC CORP LU N 3 N N N N/A N/A 000000000 1.000000 NC -418.680000 -0.0000274 N/A DFE TR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1331358.000000 USD 39418062.160000 TRY 2024-01-08 -418.680000 N N N N/A N/A 000000000 1.000000 NC -779557.770000 -0.0509897 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 319112318251.000000 IDR 19944519.890000 USD 2024-03-20 -779557.770000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI1YTYS4 8492500000.000000 PA 1891108.340000 0.123695 Long DBT NUSS CO N 2 2031-03-26 Fixed 7 N N N N N N N/A N/A 000000000 1.000000 NC 187244.390000 0.0122474 N/A DFE HU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7002604.550000 USD 2501583000.000000 HUF 2024-01-24 187244.390000 N N N CREDIT BASED ASSET SRVC & SEC 2007-SP2 N/A 1248MHAF9 3712306.970000 PA USD 3651496.410000 0.238839 Long ABS-MBS CORP US N 2 2046-03-25 Floating 6.74543 N N N N N N LEHMAN XS TRUST 2005-10 N/A 525221GC5 3028982.860000 PA USD 2661611.770000 0.174092 Long ABS-MBS CORP US N 2 2036-01-25 Variable 5.01063 N N N N N N N/A N/A 000000000 1.000000 NC -143511.090000 -0.0093868 N/A DFE EG N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2412228.470000 USD 83704327.910000 EGP 2024-02-05 -143511.090000 N N N N/A N/A 000000000 1.000000 NC -308945.430000 -0.0202077 N/A DFE MY N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 77657191.000000 MYR 16641420.980000 USD 2024-01-17 -308945.430000 N N N N/A N/A 000000000 1.000000 NC -4414.610000 -0.0002888 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2474947.060000 PEN 664237.000000 USD 2024-01-22 -4414.610000 N N N N/A N/A 000000000 1.000000 NC -393356.640000 -0.0257289 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2028-05-26 0.000000 ZAR -277074.980000 ZAR 138000000.000000 ZAR -116281.660000 N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI09MMP8 217579000.000000 PA 50741983.040000 3.31896 Long DBT NUSS PL N 2 2028-04-25 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC 465.270000 0.0000304 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 73727.880000 USD 292000.000000 PLN 2024-01-22 465.270000 N N N BCAP LLC TRUST 2012-RR3 N/A 05539BAQ7 2238995.260000 PA USD 1995023.140000 0.130492 Long ABS-MBS CORP US N 2 2037-05-26 Variable 3.67084 N N N N N N N/A N/A 000000000 1.000000 NC -10441.300000 -0.000683 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 4194441.500000 CNY 581592.000000 USD 2024-03-26 -10441.300000 N N N N/A N/A 000000000 1.000000 NC -4081.020000 -0.0002669 N/A DFE ZA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1949000.000000 ZAR 102341.690000 USD 2024-01-17 -4081.020000 N N N BANCO BTG PACTUAL SA/CAYMAN ISLANDS BRANCH 2549002JHJ73KGETOK78 05971AAE1 300000.000000 PA USD 294961.590000 0.019293 Long DBT CORP BR N 2 2025-01-10 Fixed 4.5 N N N N N N NMC OPCO SPV LTD N/A 945BMMII4 18775809.510000 PA 5201657.120000 0.340233 Long LON CORP AE N 3 2027-03-25 Floating 11.6398 N N N N N N N/A N/A 000000000 1.000000 NC 27115.530000 0.0017736 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1756000.000000 USD 69746564.000000 UYU 2024-02-28 27115.530000 N N N N/A N/A 000000000 1.000000 NC USD 4803.160000 0.0003142 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-12-20 0.000000 USD -68210.930000 USD 2100000.000000 USD 73014.090000 N N N N/A N/A 000000000 1.000000 NC -2618.440000 -0.0001713 N/A DFE EG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 162921.000000 USD 5363359.320000 EGP 2024-01-17 -2618.440000 N N N N/A N/A 000000000 1.000000 NC -246251.390000 -0.0161069 N/A DFE MY N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 30002346.850000 MYR 6311367.320000 USD 2024-02-06 -246251.390000 N N N ANGEL OAK MORTGAGE TRUST 2021-1 N/A 03465CAA3 3377497.590000 PA USD 2879848.310000 0.188367 Long ABS-MBS CORP US N 2 2066-01-25 Variable 0.909 N N N N N N PHILIPPINES GOVT 529900RAHBALMYIJ3T08 718286BM8 54000000.000000 PA 930125.810000 0.0608382 Long DBT NUSS PH N 2 2036-01-14 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC USD 72908.270000 0.0047688 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-23 0.000000 USD -4215.000000 USD 1200000.000000 USD 77123.270000 N N N N/A N/A 000000000 1.000000 NC 351316.530000 0.0229791 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 155239863.360000 ZAR 8831561.000000 USD 2024-01-12 351316.530000 N N N N/A N/A 000000000 1.000000 NC 1538.040000 0.0001006 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 33515375.010000 AED 9132254.770000 USD 2024-03-20 1538.040000 N N N N/A N/A 000000000 1.000000 NC -362421.420000 -0.0237055 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2033-10-06 17365.620000 CLP 0.000000 CLP 5204000000.000000 CLP -379787.040000 N N N N/A N/A 000000000 1.000000 NC -201250.550000 -0.0131635 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7253000.000000 PLN 1641636.260000 USD 2024-01-22 -201250.550000 N N N CZECH REPUBLIC GOVT 3157007EFDLQABN47912 BYN6FXII0 45420000.000000 PA 1718216.940000 0.112386 Long DBT NUSS CZ N 2 2030-05-15 Fixed 0.95 N N N N N N N/A N/A 000000000 1.000000 NC -237529.910000 -0.0155365 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 58781819.580000 PEN 15614359.980000 USD 2024-03-20 -237529.910000 N N N N/A N/A 000000000 1.000000 NC 7972.010000 0.0005214 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 336568.800000 USD 1356000.000000 PLN 2024-01-22 7972.010000 N N N N/A N/A 000000000 1.000000 NC -20147.490000 -0.0013178 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2030-09-01 0.000000 CLP 0.000000 CLP 338800000.000000 CLP -20147.490000 N N N N/A N/A 000000000 1.000000 NC 200229.570000 0.0130967 N/A DFE TR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 160304100.000000 TRY 5115000.000000 USD 2024-04-19 200229.570000 N N N N/A N/A 000000000 1.000000 NC 20729.980000 0.0013559 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2026-12-21 0.000000 ZAR 0.000000 ZAR 19200000.000000 ZAR 20729.980000 N N N N/A N/A 000000000 1.000000 NC -98907.900000 -0.0064694 N/A DFE CO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 6993799.940000 USD 26751284789.310000 COP 2024-01-09 -98907.900000 N N N RIO OIL FINANCE TRUST SERIES 2014-3 N/A 76716XAB8 351092.760000 PA USD 365756.150000 0.0239236 Long DBT CORP US N 2 2027-01-06 Variable 9.75 N N N N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 ACI2M7S84 1108000000.000000 PA 3191836.130000 0.208773 Long DBT MUN HU N 2 2024-01-04 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -1604800.450000 -0.104968 N/A DIR HU N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 BUBOR HKK 6M N/A N/A Y 2025-09-08 0.000000 HUF -9689.340000 HUF 4421600000.000000 HUF -1595111.110000 N N N DOMINICAN REPUBLIC GOVT N/A 25714PEW4 916500000.000000 PA 17079481.050000 1.11714 Long DBT NUSS DO N 2 2035-09-15 Fixed 11.25 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 BYY9RYII7 29200000.000000 PA 1347613.720000 0.0881454 Long DBT NUSS ZA N 2 2035-02-28 Fixed 8.875 N N N N N N THAILAND GOVT N/A B3YBKNII1 221118000.000000 PA 7261975.400000 0.474995 Long DBT NUSS TH N 2 2029-06-22 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC USD -350536.760000 -0.0229281 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 -512880000.000000 PHP 9010541.000000 USD 2025-06-20 -338648.350000 N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 30378.450000 PA USD 25939.860000 0.0016967 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.4118 N N N N N N N/A N/A 000000000 -500000.000000 NC USD -90.900000 -0.0000059 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/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 2196.600000 N N N N/A N/A 000000000 1.000000 NC 28101.880000 0.0018381 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 75567000.000000 DOP 1322801.150000 USD 2024-01-11 28101.880000 N N N N/A N/A 000000000 1.000000 NC -54607.130000 -0.0035718 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2033-05-18 0.000000 CLP 0.000000 CLP 1393000000.000000 CLP -54607.130000 N N N N/A N/A 000000000 1.000000 NC -38368.060000 -0.0025096 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 -2157.190000 EUR 500000.000000 EUR -36210.870000 N N N NEW CENTURY HOME EQUITY LOAN TR 2005-C N/A 64352VNZ0 6000000.000000 PA USD 5691362.400000 0.372264 Long ABS-MBS CORP US N 2 2035-12-25 Floating 6.11543 N N N N N N N/A N/A 000000000 1.000000 NC 55056.440000 0.0036012 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1340149.050000 USD 196600000.000000 JPY 2024-01-09 55056.440000 N N N N/A N/A 000000000 1.000000 NC USD 25734.210000 0.0016832 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-10-04 0.000000 USD -2077.500000 USD 600000.000000 USD 27811.710000 N N N IMPAC CMB TR 2004-10 N/A 45254NLJ4 76169.080000 PA USD 67397.110000 0.0044083 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 -25836.540000 -0.0016899 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7581228.740000 CNY 1044232.000000 USD 2024-03-26 -25836.540000 N N N N/A N/A 000000000 -60312423.900000 PA -15412486.100000 -1.00811 Short RA PL N 2 Reverse repurchase N 11.300000 2024-01-05 69000000.000000 PLN 63789274.560000 PLN N N N N/A N/A 000000000 1.000000 NC -31547.650000 -0.0020635 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2026-07-31 0.000000 ZAR 0.000000 ZAR 56150000.000000 ZAR -31547.650000 N N N N/A N/A 000000000 1.000000 NC -101186.300000 -0.0066184 N/A DFE MY N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 90209406.000000 MYR 19709286.870000 USD 2024-04-09 -101186.300000 N N N N/A N/A 000000000 1.000000 NC -72922.010000 -0.0047697 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7819000.000000 USD 452077378.200000 DOP 2024-02-22 -72922.010000 N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI25PGD5 6787000.000000 PA 1722844.610000 0.112689 Long DBT NUSS MY N 2 2052-05-15 Fixed 5.357 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-FRE1 N/A 46626LFN5 1983176.340000 PA USD 1947366.120000 0.127374 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.05543 N N N N N N BBVA COLOMBIA SA 5493009W53901OCHI065 ACI2CSMX0 5111000000.000000 PA 1324391.200000 0.0866265 Long DBT CORP CO N 2 2024-01-13 Floating 14.46 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 S69124NF8 74200000.000000 PA 3398617.580000 0.222299 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7 N N N N N N N/A N/A 000000000 1.000000 NC -389138.360000 -0.025453 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2033-11-16 0.000000 MXN 0.000000 MXN 267700000.000000 MXN -389138.360000 N N N N/A N/A 000000000 1.000000 NC -166494.540000 -0.0108902 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2028-11-14 0.000000 COP -33474.140000 COP 28749600000.000000 COP -133020.400000 N N N N/A N/A 000000000 1.000000 NC 197238.140000 0.0129011 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 406499639.800000 DOP 7164857.790000 USD 2024-01-17 197238.140000 N N N N/A N/A 000000000 1.000000 NC -25430.590000 -0.0016634 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 41366043300.000000 IDR 2661000.000000 USD 2024-03-20 -25430.590000 N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A N/A ACI1XGH29 798507.520000 PA 869391.700000 0.0568656 Long ABS-CBDO CORP IE N 2 2031-11-15 Floating 4.752 N N N N N N N/A N/A 000000000 1.000000 NC USD 1423.750000 0.0000931 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2026-06-20 0.000000 USD -715.050000 USD 100000.000000 USD 2138.800000 N N N N/A N/A 000000000 1.000000 NC 635717.450000 0.0415813 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 79290122.490000 USD 388878405.750000 BRL 2024-02-02 635717.450000 N N N N/A N/A 000000000 1.000000 NC 17780.120000 0.001163 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3635986.000000 USD 13524049.930000 PEN 2024-01-22 17780.120000 N N N N/A N/A 000000000 1.000000 NC 22773.330000 0.0014896 N/A DFE NO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 487734.000000 USD 5185891.750000 NOK 2024-01-09 22773.330000 N N N 2024-02-21 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX