NPORT-P false 0000810893 XXXXXXXX S000009705 C000026638 C000026640 C000064153 C000200450 C000026637 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO StocksPLUS Absolute Return Fund S000009705 DP5YBOMA0XM2I3P0Z191 2024-03-31 2024-03-31 N 2779659156.460000 799181011.780000 1980478144.680000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 10277010.190000 GBP CAD USD AUD DKK MXN BRL EUR JPY N S&P 500 Index SPTR CARVANA AUTO RECEIVABLES TRUST 2024-P1 N/A 14688NAB5 2600000.000000 PA USD 2599766.520000 0.13127 Long ABS-O CORP US N 2 2027-08-10 Fixed 5.5 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-1A N/A 30167PAB6 2600000.000000 PA USD 2598664.380000 0.131214 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.53 N N N N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 35104AAB4 3910208.240000 PA USD 3924386.660000 0.198154 Long ABS-O CORP US N 2 2028-05-15 Fixed 5.99 N N N N N N WAMU MTGE P/T CERT 2007-OA5 N/A 93364BAA8 2265756.310000 PA USD 1817231.720000 0.0917572 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.83905 N N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 28919.880000 PA USD 24576.420000 0.0012409 Long ABS-MBS CORP US N 2 2047-01-20 Floating 5.21423 N N N N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 2397742.130000 PA 2568012.800000 0.129666 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.722 N N N N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BD17 250000.000000 PA USD 249849.430000 0.0126156 Long DBT CORP US N 2 2024-04-01 None 0 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 9823.310000 PA USD 8550.020000 0.0004317 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.437 N N N N N N ACE SECURITIES CORP 2004-FM1 N/A 004421DK6 1594414.850000 PA USD 1554262.060000 0.0784791 Long ABS-MBS CORP US N 2 2033-09-25 Floating 6.34389 N N N N N N N/A N/A 000000000 -23.000000 NC USD -3441.440000 -0.0001738 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/24 2024-06-19 N/A USD N/A 109.000000 USD 2024-04-26 XXXX 3304.510000 N N N N/A N/A 000000000 1.000000 NC -18226.250000 -0.0009203 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 -1268.110000 EUR 300000.000000 EUR -16958.140000 N N N N/A N/A 000000000 1.000000 NC USD 172861.160000 0.0087283 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-20 0.000000 USD -8672.850000 USD 25910000.000000 USD 181534.010000 N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A1 N/A 589929F37 433.950000 PA USD 396.260000 0.00002 Long ABS-MBS CORP US N 3 2032-12-25 Floating 7.21513 N N N N N N STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A N/A ACI2MKRM5 1800000.000000 PA 2279139.570000 0.11508 Long ABS-MBS CORP GB N 2 2060-06-20 Floating 6.36626 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI2MSWK6 52500000.000000 PA 7423208.490000 0.374819 Long DBT CORP DK N 2 2025-04-01 Fixed 1 N N N N N N N/A N/A 000000000 1.000000 NC 2756.140000 0.0001392 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1939810.570000 BRL 389527.000000 USD 2024-04-02 2756.140000 N N N N/A N/A 000000000 1.000000 NC 6338.030000 0.00032 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 103700000.000000 JPY 691473.560000 USD 2024-04-02 6338.030000 N N N N/A N/A 000000000 1.000000 NC 549121.670000 0.0277267 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 595726775.000000 TWD 19233931.000000 USD 2024-06-20 549121.670000 N N N N/A N/A 000000000 -500000.000000 NC USD -1627.000000 -0.0000822 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/3.90000 04/15/24-10Y LCH 2034-04-15 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2024-04-11 XXXX 260.500000 N N N N/A N/A 000000000 -1400000.000000 NC USD -3141.600000 -0.0001586 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/3.90000 04/10/24-10Y LCH 2034-04-10 0.000000 USD 0.000000 USD N/A USD N/A 3.900000 USD 2024-04-08 XXXX 2108.400000 N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-1 N/A 36268GAB1 5300000.000000 PA USD 5288780.430000 0.267046 Long ABS-O CORP US N 2 2027-02-16 Fixed 5.12 N N N N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324P102 8139.000000 NS USD 4026363.300000 0.203303 Long EC CORP US N 1 N N N NATIONAL GRID NORTH AMERICA INC (AKA: NATIONAL GRID HOLDINGS INC) 5Q3U0WRKWZZGRMPYFT08 63627ADF2 250000.000000 PA USD 249314.130000 0.0125886 Long DBT CORP US N 2 2024-04-15 None 0 N N N N N N CREDIT SUISSE MORTGAGE TRUST 2020-RPL6 N/A 12656HAC8 1093250.130000 PA USD 1086019.810000 0.0548362 Long ABS-MBS CORP US N 2 2059-03-25 Variable 3.40181 N N N N N N N/A N/A 000000000 1.000000 NC 1207.780000 0.000061 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1150644.210000 BRL 230630.000000 USD 2024-04-02 1207.780000 N N N CARVANA AUTO RECEIVABLES TRUST 2022-P2 N/A 14686JAD2 4650000.000000 PA USD 4592702.700000 0.231899 Long ABS-O CORP US N 2 2028-02-10 Fixed 4.68 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAF2 4000000.000000 PA USD 3948474.000000 0.19937 Long DBT CORP KY N 2 2025-08-08 Variable 5.125 N N N N N N N/A N/A 000000000 1.000000 NC -1264.880000 -0.0000639 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 337702.020000 USD 516285.000000 AUD 2024-04-02 -1264.880000 N N N N/A N/A 000000000 1.000000 NC 12416.860000 0.000627 N/A DFE CN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 7390990.840000 CNY 1030584.000000 USD 2024-04-19 12416.860000 N N N FNMA PASS THRU POOLS N/A 31418CS47 536293.940000 PA USD 489211.840000 0.0247017 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N BLACK DIAMOND CLO 2019-1 DAC 19-1A N/A ACI20P3Q5 4937869.360000 PA 5302877.680000 0.267757 Long ABS-CBDO CORP IE N 2 2032-05-15 Floating 4.881 N N N N N N GSAMP TRUST 2005-HE5 N/A 362341ZD4 827177.810000 PA USD 816612.680000 0.0412331 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.13389 N N N N N N AAMES MORTGAGE INVESTMENT TRUST 2005-2 N/A 126673L42 464538.720000 PA USD 465064.720000 0.0234824 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.43389 N N N N N N BEAR STEARNS ARM 2003-1 N/A 07384MTN2 74.270000 PA USD 71.260000 0.0000036 Long ABS-MBS CORP US N 3 2033-04-25 Floating 6.50003 N N N N N N N/A N/A 000000000 -1400000.000000 NC -977.370000 -0.0000494 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 2.77000 04/16/24-5Y LCH 2029-04-16 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.770000 EUR 2024-04-12 XXXX 1355.220000 N N N N/A N/A 000000000 1.000000 NC USD -31403.850000 -0.0015857 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.36 Y Single Leg Swap 2026-12-20 0.000000 USD -223412.800000 USD 6072000.000000 USD 192008.950000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397E58 700000.000000 PA USD 703109.840000 0.035502 Long DBT CORP US N 2 2029-03-08 Fixed 5.8 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC1 N/A 76112BRR3 3017000.000000 PA USD 2852188.530000 0.144015 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.50889 N N N N N N IMPAC CMB TRUST 2003-9F N/A 45254NFL6 1106.050000 PA USD 1075.560000 0.0000543 Long ABS-MBS CORP US N 3 2033-07-25 Floating 6.44389 N N N N N N WORLD OMNI AUTO RECEIVABLES TRUST 2023-C N/A 98164FAB8 1315900.940000 PA USD 1316498.890000 0.0664738 Long ABS-O CORP US N 2 2026-12-15 Fixed 5.57 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABV6 1500000.000000 PA USD 1388453.400000 0.070107 Long DBT CORP US N 2 2029-04-15 Fixed 3.375 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A60 400000.000000 PA USD 396536.030000 0.0200222 Long DBT CORP US N 2 2025-06-16 Fixed 5.125 N N N N N N N/A N/A 000000000 -1400000.000000 NC USD -0.140000 0 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.02400 04/03/24-10Y LCH 2034-04-03 0.000000 USD 0.000000 USD N/A USD N/A 4.020000 USD 2024-04-01 XXXX 5179.860000 N N N GSR MTGE LOAN TRUST 2003-2F N/A 36228FNB8 128.390000 PA USD 123.070000 0.0000062 Long ABS-MBS CORP US N 3 2032-03-25 Fixed 6 N N N N N N M360 2021-CRE3 LLC N/A 55379AAC8 3800000.000000 PA USD 3660261.420000 0.184817 Long ABS-CBDO CORP KY N 2 2038-11-22 Floating 7.6933 N N N N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BD82 250000.000000 PA USD 249584.410000 0.0126022 Long DBT CORP US N 2 2024-04-08 None 0 N N N N N N LONG BEACH MORTGAGE LOAD TR 2005-WL2 N/A 542514NE0 2200000.000000 PA USD 1950294.060000 0.0984759 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.35889 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKN8 3000000.000000 PA USD 3023471.430000 0.152664 Long DBT CORP US N 2 2026-04-02 Floating 6.67079 N N N N N N N/A N/A 000000000 1.000000 NC USD 22032.630000 0.0011125 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 1400000.000000 USD 22032.630000 N N N HYUNDAI AUTO RECEIVABLES TRUST 2023-B N/A 44933XAD9 2500000.000000 PA USD 2517768.750000 0.127129 Long ABS-O CORP US N 2 2028-04-17 Fixed 5.48 N N N N N N COUNTY OF CLARK DEPARTMENT OF AVIATION 549300LDD8NZB2EOVG83 18085PMT8 100000.000000 PA USD 118468.250000 0.0059818 Long DBT MUN US N 2 2045-07-01 Fixed 6.82 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PD26 450000.000000 PA USD 449642.900000 0.0227038 Long DBT CORP US N 2 2024-04-02 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 1085.160000 0.0000548 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 352901962.000000 KRW 262928.000000 USD 2024-04-29 1085.160000 N N N N/A N/A 000000000 1.000000 NC USD 123461.040000 0.0062339 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-10-16 0.000000 USD 0.000000 USD 4458030.330000 USD 123461.040000 N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAF9 3867045.230000 PA USD 3845909.120000 0.194191 Long ABS-MBS CORP US N 2 2037-10-25 Floating 6.94389 N N N N N N N/A N/A 000000000 495000.000000 PA USD 495000.000000 0.024994 Long RA US N 2 Repurchase N 2.600000 2024-04-01 491200.000000 USD 504928.810000 USD UST N N N N/A N/A 000000000 -2700000.000000 NC USD -8722.620000 -0.0004404 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/3.70500 04/24/24-10Y LCH 2034-04-24 0.000000 USD 0.000000 USD N/A USD N/A 3.710000 USD 2024-04-22 XXXX 254.880000 N N N CITIGROUP MORTGAGE LOAN TRUST 2022-A N/A 17330VAA4 9016592.380000 PA USD 9022423.410000 0.455568 Long ABS-MBS CORP US N 2 2062-09-25 Fixed 6.17 N N N N N N N/A N/A 000000000 1.000000 NC -1193.790000 -0.0000603 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1323200.620000 USD 9600759.970000 CNY 2024-04-02 -1193.790000 N N N N/A N/A 000000000 1.000000 NC -6839.110000 -0.0003453 N/A DFE DK N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1696220.940000 USD 11663216.710000 DKK 2024-05-02 -6839.110000 N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2021-2 DAC 21-2A N/A ACI216JK2 4522017.840000 PA 4847302.430000 0.244754 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 4.672 N N N N N N UMBS PASS THRU POOLS N/A 01F052656 76000000.000000 PA USD 75628694.400000 3.81871 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -15593.120000 -0.0007873 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 21444371.900000 USD 16978000.000000 GBP 2024-04-02 -15593.120000 N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 4900000.000000 PA USD 4578819.410000 0.231198 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81 N N N N N N N/A N/A 000000000 -245.000000 NC USD -1162778.940000 -0.058712 N/A DE US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A DOW JONES INDUSTRIAL AVERAGE 2024-06-21 -49215600.000000 USD -1162778.940000 N N N ARGENT SECURITIES TRUST 2006-W5 N/A 04012XAE5 5804134.380000 PA USD 1582144.350000 0.079887 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.92389 N N N N N N GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-3 N/A 379929AC6 606549.820000 PA USD 606767.690000 0.0306374 Long ABS-O CORP US N 2 2026-01-20 Floating 5.76931 N N N N N N N/A N/A 000000000 1.000000 NC -82376.220000 -0.0041594 N/A DFE CA N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 50094715.070000 CAD 36901790.050000 USD 2024-04-04 -82376.220000 N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U8A1 6300000.000000 PA USD 6275856.570000 0.316886 Long DBT CORP US N 2 2028-01-14 Floating 4.952 N N N N N N N/A N/A 000000000 1.000000 NC -7251.850000 -0.0003662 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2243533.910000 PLN 553664.250000 USD 2024-07-22 -7251.850000 N N N N/A N/A 000000000 1.000000 NC USD -44748.500000 -0.0022595 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.34 Y Single Leg Swap 2025-12-20 0.000000 USD -155158.000000 USD 4232000.000000 USD 110409.500000 N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-4A N/A 96041AAC0 9000000.000000 PA USD 9045626.400000 0.45674 Long ABS-O CORP US N 2 2027-01-15 Fixed 6.23 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-1 N/A 80288AAB8 800000.000000 PA USD 800487.360000 0.0404189 Long ABS-O CORP US N 2 2027-02-16 Fixed 5.71 N N N N N N N/A N/A 000000000 1.000000 NC USD 48869.180000 0.0024675 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.40 Y Single Leg Swap 2028-06-20 34002.280000 USD 0.000000 USD 2100000.000000 USD 14866.900000 N N N INTEL CORPORATION KNX4USFCNGPY45LOCE31 458140100 8139.000000 NS USD 359499.630000 0.0181522 Long EC CORP US N 1 N N N BNC MORTGAGE LOAN TRUST 2006-1 N/A 055682AC2 239454.060000 PA USD 228397.820000 0.0115325 Long ABS-MBS CORP US N 3 2036-10-25 Floating 5.76389 N N N N N N N/A N/A 000000000 1.000000 NC -3373.710000 -0.0001703 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 818800.000000 USD 68158222.080000 INR 2024-06-20 -3373.710000 N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPL005 1700000.000000 PA USD 195500.000000 0.0098714 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N LUXE TRUST 2021-TRIP N/A 55066WAC8 7519532.860000 PA USD 7517113.070000 0.379561 Long ABS-MBS CORP US N 2 2038-10-15 Floating 6.84448 N N N N N N MICROCHIP TECHNOLOGY INCORPORATED 5493007PTFULNYZJ1R12 59501QDK5 250000.000000 PA USD 249146.020000 0.0125801 Long DBT CORP US N 2 2024-04-19 None 0 N N N N N N GSR MORTGAGE LOAN TRUST 2007-2F N/A 362636AT9 13810.800000 PA USD 7307.250000 0.000369 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 N N N N N N WASHINGTON MUTUAL 2002 AR2 N/A 929227LE4 8413.810000 PA USD 7870.670000 0.0003974 Long ABS-MBS CORP US N 2 2034-02-27 Floating 4.397 N N N N N N N/A N/A 000000000 1.000000 NC USD 716690.200000 0.0361877 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-08-07 0.000000 USD 0.000000 USD 25951710.060000 USD 716690.200000 N N N ARES EUROPEAN CLO X BV 10A N/A ACI1Y2RR3 6409375.080000 PA 6880110.770000 0.347397 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.722 N N N N N N AMERIQUEST MTGE SECURITIES INC 2005-R4 N/A 03072SC60 800000.000000 PA USD 739251.120000 0.0373269 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.41889 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AW9 600000.000000 PA USD 589262.890000 0.0297536 Long DBT CORP GB N 2 2026-03-08 Fixed 4.3 N N N N N N FANNIE MAE 2007-65 N/A 31396WLX2 12507.850000 PA USD 12317.990000 0.000622 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 5.81487 N N N N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2024-1 N/A 35105AAB3 1800000.000000 PA USD 1796997.960000 0.0907356 Long ABS-O CORP US N 2 2029-01-16 Fixed 5.49 N N N N N N DLLAA LLC 2023 1A N/A 23292HAB7 925331.950000 PA USD 927305.130000 0.0468223 Long ABS-O CORP US N 2 2026-07-20 Fixed 5.93 N N N N N N AMCOR FLEXIBLES NORTH AMERICA INC PTVU09TE3QPJPL7K4E13 02343BDF1 750000.000000 PA USD 747897.000000 0.0377635 Long DBT CORP US N 2 2024-04-15 None 0 N N N N N N CATERPILLAR INCORPORATED WRJR7GS4GTRECRRTVX92 149123101 8139.000000 NS USD 2982373.770000 0.150589 Long EC CORP US N 1 N N N STWD 2022-FL3 LTD N/A 78485KAE5 13200000.000000 PA USD 12705577.900000 0.641541 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 7.11864 N N N N N N N/A N/A 000000000 1.000000 NC -247132.490000 -0.0124784 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 19697229.440000 USD 368850318.490000 ZAR 2024-04-19 -247132.490000 N N N MORGAN STANLEY CAPITAL I INC 2021-230P N/A 61772WAG2 4200000.000000 PA USD 3921752.940000 0.19802 Long ABS-MBS CORP US N 2 2038-12-15 Floating 6.88871 N N N N N N PAGAYA AI DEBT TRUST 2022-2 N/A 69546VAA5 728219.550000 PA USD 724967.250000 0.0366057 Long ABS-O CORP US N 2 2030-01-15 Fixed 4.97 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL2 N/A 74142BAA7 2750868.320000 PA USD 2744375.720000 0.138571 Long ABS-MBS CORP US N 2 2054-02-25 Fixed 7.021 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLV9 5100000.000000 PA USD 5169550.330000 0.261025 Long DBT CORP US N 2 2027-09-15 Floating 5.933 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE4 N/A 07386RAD1 11500000.000000 PA USD 9009296.650000 0.454905 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.79389 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-NPL2 N/A 693971AA1 3335359.670000 PA USD 3286485.310000 0.165944 Long ABS-MBS CORP US N 2 2052-04-25 Fixed 5.24 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2022-5A N/A 05377RFV1 8700000.000000 PA USD 8818015.500000 0.445247 Long ABS-O CORP US N 2 2027-04-20 Fixed 6.12 N N N N N N N/A N/A 000000000 1.000000 NC -30749.400000 -0.0015526 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 -4314.550000 EUR 1200000.000000 EUR -26434.850000 N N N ARGENT SECURITIES INC 2005-W4 N/A 040104PT2 5322937.740000 PA USD 4105326.910000 0.20729 Long ABS-MBS CORP US N 2 2036-02-25 Floating 6.20389 N N N N N N BEAR STEARNS ALT-A TRUST 2007-2 N/A 073870AA5 2887928.130000 PA USD 2492149.420000 0.125836 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.78389 N N N N N N NYO COMMERCIAL MORTGAGE TRUST 2021-1290 N/A 62955HAE7 8000000.000000 PA USD 7465751.200000 0.376967 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.98548 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397C43 200000.000000 PA USD 203896.400000 0.0102953 Long DBT CORP US N 2 2026-03-06 Fixed 6.95 N N N N N N N/A N/A 000000000 1.000000 NC -40.020000 -0.000002 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 77616.000000 USD 6484265.730000 INR 2024-06-20 -40.020000 N N N N/A N/A 000000000 -600000.000000 NC -458.420000 -0.0000231 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 04/09/24-10Y LCH 2034-04-09 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.490000 EUR 2024-04-05 XXXX 1398.300000 N N N GLS AUTO RECEIVABLES ISSUER TRUST 2022-2A N/A 36265NAB9 414982.800000 PA USD 414558.850000 0.0209323 Long ABS-O CORP US N 2 2026-01-15 Fixed 3.55 N N N N N N N/A N/A 000000000 -1500000.000000 NC USD -1720.050000 -0.0000869 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08500 04/22/24-10Y LCH 2034-04-22 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2024-04-18 XXXX 4204.950000 N N N N/A N/A 000000000 -15.000000 NC USD -5692.940000 -0.0002875 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/24 2024-06-19 N/A USD N/A 111.500000 USD 2024-04-26 XXXX -328.190000 N N N N/A N/A 000000000 1.000000 NC USD 9002212.800000 0.454547 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-06-21 5680073.300000 USD 0.000000 USD 332200000.000000 USD 3322139.500000 N N N N/A N/A 000000000 1.000000 NC -1380.700000 -0.0000697 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 727000.000000 CAD 535336.720000 USD 2024-04-02 -1380.700000 N N N PROCTER & GAMBLE COMPANY 2572IBTT8CCZW6AU4141 742718109 8139.000000 NS USD 1320552.750000 0.0666785 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -45.310000 -0.0000023 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 30115.540000 USD 570249.800000 ZAR 2024-04-19 -45.310000 N N N N/A N/A 000000000 1.000000 NC 14196.650000 0.0007168 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 9600349.810000 CNY 1336147.000000 USD 2024-04-02 14196.650000 N N N N/A N/A 000000000 1.000000 NC 14351.160000 0.0007246 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-03-04 0.000000 EUR -2784.410000 EUR 900000.000000 EUR 17135.570000 N N N SYMPHONY STATIC CLO 2021-1A N/A 87190TAA1 1693181.610000 PA USD 1694069.550000 0.0855384 Long ABS-CBDO CORP KY N 2 2029-10-25 Floating 6.41628 N N N N N N BAYVIEW FINANCIAL ASSET TR 2007-SR1A N/A 07325QAA3 348132.970000 PA USD 343735.440000 0.0173562 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.89389 N N N N N N N/A N/A 000000000 1.000000 NC 9900.160000 0.0004999 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 714853523.000000 KRW 541843.040000 USD 2024-06-20 9900.160000 N N N FNMA PASS THRU POOLS N/A 31418CYL2 272014.880000 PA USD 247791.240000 0.0125117 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GN58 3794671.180000 PA USD 3407357.060000 0.172047 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.64905 N N N N N N N/A N/A 000000000 1.000000 NC -9147.160000 -0.0004619 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1626831.550000 USD 8113334.310000 BRL 2024-04-02 -9147.160000 N N N N/A N/A 000000000 -23.000000 NC USD -2316.190000 -0.000117 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/24 2024-06-19 N/A USD N/A 113.000000 USD 2024-04-26 XXXX 10284.310000 N N N OZLM XXIV LTD 2019-24A N/A 67113DBC7 2250000.000000 PA USD 2255528.680000 0.113888 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 7.27942 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC6 N/A 61744CSY3 2308668.040000 PA USD 2230398.190000 0.112619 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.37389 N N N N N N N/A N/A 000000000 1.000000 NC -545.640000 -0.0000276 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 96423.000000 USD 8014004.800000 INR 2024-06-20 -545.640000 N N N GNMA PASS THRU POOLS N/A 36295QK82 138638.630000 PA USD 140025.850000 0.0070703 Long ABS-MBS USGSE US N 2 2038-08-15 Fixed 5 N N N N N N BENEFIT STREET PARTNERS CLO XII LTD 2017-12A N/A 08179HAE0 1833823.580000 PA USD 1833698.220000 0.0925887 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.5256 N N N N N N N/A N/A 000000000 1.000000 NC 11641.240000 0.0005878 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 9275583.000000 BRL 1855320.690000 USD 2024-05-03 11641.240000 N N N GSMPS MORTGAGE LOAN TRUST 2006-RP1 N/A 3623413V9 1300883.800000 PA USD 1047627.740000 0.0528977 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.79389 N N N N N N N/A N/A 000000000 1.000000 NC 5853.900000 0.0002956 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1642424.000000 USD 27744154.690000 MXN 2024-06-20 5853.900000 N N N FNMA PASS THRU POOLS N/A 3140JANZ7 1349607.640000 PA USD 1231124.740000 0.062163 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397D83 600000.000000 PA USD 602474.510000 0.0304207 Long DBT CORP US N 2 2027-03-05 Fixed 5.8 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX N/A 05493LAG1 10400000.000000 PA USD 9441778.320000 0.476742 Long ABS-MBS CORP US N 2 2038-09-15 Floating 6.89048 N N N N N N N/A N/A 000000000 95100000.000000 NC USD 68871.420000 0.0034775 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased 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/5.00000 07/19/24-1Y LCH 2025-07-19 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2024-07-17 XXXX 28453.920000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797GZ4 1804000.000000 PA USD 1803220.330000 0.0910497 Long DBT UST US N 2 2024-04-04 None 0 N N N N N N DOW INC 5493003S21INSLK2IP73 260557103 8139.000000 NS USD 471492.270000 0.023807 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -134.910000 -0.0000068 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 6925389.910000 TRY 201668.290000 USD 2024-05-22 -134.910000 N N N WASHINGTON MUTUAL 2002-AR9 N/A 9393357P4 3023.130000 PA USD 2841.320000 0.0001435 Long ABS-MBS CORP US N 2 2042-08-25 Floating 6.48905 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A N/A 96041CAE2 4916759.630000 PA USD 4924414.040000 0.248648 Long ABS-O CORP US N 2 2026-10-15 Floating 5.98864 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAX3 1300000.000000 PA USD 1115430.680000 0.0563213 Long DBT CORP IE N 2 2032-01-30 Fixed 3.3 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 1097533.760000 PA USD 911577.520000 0.0460282 Long ABS-MBS CORP US N 2 2037-10-25 Variable 6.00853 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7 N/A 126680AA5 118071.760000 PA USD 107937.000000 0.00545 Long ABS-MBS CORP US N 2 2047-05-25 Floating 5.80389 N N N N N N N/A N/A 000000000 100000000.000000 PA 73825255.620000 3.72765 Long RA CA N 2 Repurchase N 4.960000 2024-04-05 99513000.000000 CAD 101682397.330000 CAD N N N N/A N/A 000000000 1.000000 NC -1020.680000 -0.0000515 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 700000.000000 CAD 515944.980000 USD 2024-04-26 -1020.680000 N N N N/A N/A 000000000 1.000000 NC 2497.820000 0.0001261 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 600823336.000000 KRW 448291.000000 USD 2024-04-29 2497.820000 N N N TRICOLOR AUTO SECURITIZATION TRUST 2024-1 N/A 89616LAA0 2116687.410000 PA USD 2119391.270000 0.107014 Long ABS-O CORP US N 2 2027-10-15 Fixed 6.61 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB6 N/A 14986PAE3 1500054.870000 PA USD 1383512.010000 0.0698575 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.94389 N N N N N N SAXON ASSET SECURITIES TRUST 2005-4 N/A 805564TK7 2473842.520000 PA USD 2351385.830000 0.118728 Long ABS-MBS CORP US N 2 2037-11-25 Floating 6.11889 N N N N N N N/A N/A 000000000 1.000000 NC -303.920000 -0.0000153 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 421000.000000 CAD 310504.930000 USD 2024-04-02 -303.920000 N N N ALLY AUTO RECEIVABLES TRUST 2024-1 N/A 02008FAA2 8600000.000000 PA USD 8601247.000000 0.434302 Long ABS-O CORP US N 2 2025-03-17 Fixed 5.528 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810ST6 10500000.000000 PA USD 6755478.560000 0.341103 Long DBT UST US N 2 2040-11-15 Fixed 1.375 N N N N N N N/A N/A 000000000 1.000000 NC 3348.970000 0.0001691 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2648457.370000 BRL 531414.000000 USD 2024-04-02 3348.970000 N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339ME77 650000.000000 PA USD 645980.840000 0.0326174 Long DBT CORP US N 2 2024-05-07 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 9436.110000 0.0004765 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2028-06-20 0.000000 USD -3176.170000 USD 600000.000000 USD 12612.280000 N N N N/A N/A 000000000 -15.000000 NC USD -1494.780000 -0.0000755 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/18/24 2024-06-19 N/A USD N/A 108.500000 USD 2024-04-26 XXXX 3648.420000 N N N CPS AUTO RECEIVABLES TRUST 2024-A N/A 22411CAA8 1594406.390000 PA USD 1593996.790000 0.0804855 Long ABS-O CORP US N 2 2027-09-15 Fixed 5.71 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A 46651QAA5 657475.040000 PA USD 556594.440000 0.028104 Long ABS-MBS CORP US N 2 2031-12-15 Floating 6.82301 N N N N N N N/A N/A 000000000 1.000000 NC USD 2540024.850000 0.128253 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-06-15 1713776.170000 USD 0.000000 USD 24700000.000000 USD 826248.680000 N N N N/A N/A 000000000 1.000000 NC USD -98140.190000 -0.0049554 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.40 Y Single Leg Swap 2028-12-20 0.000000 USD -198910.000000 USD 4100000.000000 USD 100769.810000 N N N PROVIDUS CLO II DAC 2A N/A ACI1WP1H4 2720625.340000 PA 2925391.420000 0.147711 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 4.692 N N N N N N N/A N/A 000000000 1.000000 NC -63567.960000 -0.0032097 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 71511586.300000 CAD 52753914.020000 USD 2024-05-02 -63567.960000 N N N N/A N/A 000000000 1.000000 NC 11.800000 0.0000006 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 12252.000000 AUD 8002.470000 USD 2024-05-02 11.800000 N N N MORGAN STANLEY MORTGAGE TRUST-2007-2AX N/A 61751TAB5 2187636.510000 PA USD 744210.750000 0.0375773 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.62389 N N N N N N CALIFORNIA STATE UNIVERSITY N/A 13077CTM6 100000.000000 PA USD 105978.100000 0.0053511 Long DBT MUN US N 2 2030-11-01 Fixed 6.434 N N N N N N FNMA PASS THRU POOLS N/A 31385HJD5 436.630000 PA USD 434.900000 0.000022 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 5.705 N N N N N N N/A N/A 000000000 1.000000 NC -1381.390000 -0.0000698 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 99677.750000 USD 132095945.000000 KRW 2024-06-20 -1381.390000 N N N LENDMARK FUNDING TRUST 2021-1A N/A 52607MAA7 5400000.000000 PA USD 4945236.300000 0.249699 Long ABS-O CORP US N 2 2031-11-20 Fixed 1.9 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEA0 100000.000000 PA USD 99686.390000 0.0050335 Long DBT CORP US N 2 2028-01-23 Floating 5.04 N N N N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JDP1 500000.000000 PA USD 498002.220000 0.0251456 Long DBT CORP US N 2 2024-04-23 None 0 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QA7 N/A 751152AB5 301753.000000 PA USD 272211.860000 0.0137448 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.81389 N N N N N N N/A N/A 000000000 1.000000 NC USD 503317.340000 0.0254139 N/A DE US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2024-06-26 0.000000 USD 0.000000 USD 18163984.620000 USD 503317.340000 N N N N/A N/A 000000000 1.000000 NC 63249.300000 0.0031936 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 52753914.020000 USD 71542447.340000 CAD 2024-04-02 63249.300000 N N N N/A N/A 000000000 1.000000 NC USD 17375.610000 0.0008773 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-05-15 0.000000 USD 0.000000 USD 345885.730000 USD 17375.610000 N N N GNMA PASS THRU POOLS N/A 36179QUQ2 482849.330000 PA USD 479288.460000 0.0242006 Long ABS-MBS USGSE US N 2 2044-11-20 Floating 3.75 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-1 N/A 126670TW8 1527431.320000 PA USD 1468648.430000 0.0741563 Long ABS-MBS CORP US N 2 2036-05-25 Floating 6.02889 N N N N N N N/A N/A 000000000 1.000000 NC 1172.300000 0.0000592 N/A DFE BR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1060223.940000 BRL 212566.000000 USD 2024-04-02 1172.300000 N N N N/A N/A 000000000 856.000000 NC USD 210040.630000 0.0106056 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-06-18 94781937.070000 USD 210040.630000 N N N SEC ASSET BACKED REC LLC 2007-BR4 N/A 81378EAA1 9319145.990000 PA USD 5702290.380000 0.287925 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.53389 N N N N N N VENTURE CDO LTD 2016-25A N/A 92329VAS1 313388.180000 PA USD 313785.080000 0.0158439 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 6.59942 N N N N N N N/A N/A 000000000 1.000000 NC USD -203.790000 -0.0000103 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.35 Y Single Leg Swap 2026-06-20 0.000000 USD -3404.000000 USD 92000.000000 USD 3200.210000 N N N N/A N/A 000000000 1.000000 NC -85.500000 -0.0000043 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14720.860000 USD 1223310.830000 INR 2024-06-20 -85.500000 N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 1064445.830000 PA USD 1083574.880000 0.0547128 Long ABS-MBS CORP US N 2 2058-05-25 Floating 6.44389 N N N N N N N/A N/A 000000000 1.000000 NC -5321.370000 -0.0002687 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3169882.730000 USD 476791571.000000 JPY 2024-05-02 -5321.370000 N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BDB5 250000.000000 PA USD 249469.930000 0.0125964 Long DBT CORP US N 2 2024-04-11 None 0 N N N N N N INTERNATIONAL BUSINESS MACHINES CORPORATION (IBM) VGRQXHF3J8VDLUA7XE92 459200101 8139.000000 NS USD 1554223.440000 0.0784772 Long EC CORP US N 1 N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 6234.520000 PA USD 6058.370000 0.0003059 Long ABS-MBS CORP US N 3 2035-02-20 Floating 5.07721 N N N N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAR2 864000.000000 PA USD 768886.540000 0.0388233 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N N/A N/A 000000000 1.000000 NC USD 72013.630000 0.0036362 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-11-13 0.000000 USD 0.000000 USD 2599595.850000 USD 72013.630000 N N N GLG EURO CLO III DAC A N/A ACI1VVSK6 483387.210000 PA 521262.200000 0.02632 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 4.622 N N N N N N JP MORGAN MORTGAGE ACQI CORP 2006-CW2 N/A 46629BAT6 1100000.000000 PA USD 1005113.450000 0.050751 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.71389 N N N N N N WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687106 8139.000000 NS USD 995888.040000 0.0502852 Long EC CORP US N 1 N N N OPTION ONE MORTGAGE LOAN TRUST 2006-2 N/A 68402CAA2 2381575.720000 PA USD 1085959.230000 0.0548332 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.54389 N N N N N N TRESTLES CLO IV LTD 2021-4A N/A 89532WAA7 2250000.000000 PA USD 2250562.500000 0.113637 Long ABS-CBDO CORP KY N 2 2034-07-21 Floating 6.74942 N N N N N N N/A N/A 000000000 1.000000 NC 5380.580000 0.0002717 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 478969280.000000 JPY 3169882.730000 USD 2024-04-02 5380.580000 N N N N/A N/A 000000000 1.000000 NC 11450.180000 0.0005782 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 321262822.000000 KRW 250511.000000 USD 2024-06-20 11450.180000 N N N FHF ISSUER TRUST 2024-1A N/A 31568AAB2 3300000.000000 PA USD 3301688.280000 0.166712 Long ABS-O CORP US N 2 2030-02-15 Fixed 5.69 N N N N N N CONSTELLATION ENERGY GENERATION LLC S2PEWKCZFFECR4533P43 21038PD29 1450000.000000 PA USD 1448791.960000 0.0731536 Long DBT CORP US N 2 2024-04-02 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -22446.890000 -0.0011334 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 -2650.770000 EUR 800000.000000 EUR -19796.120000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-1 N/A 23245CAD2 608158.580000 PA USD 599763.010000 0.0302837 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.58389 N N N N N N N/A N/A 000000000 1.000000 NC 66827.600000 0.0033743 N/A DFE KR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2703616933.000000 KRW 2078666.000000 USD 2024-06-20 66827.600000 N N N COUNTRYWIDE ALT LOAN TRUST 2003-J2 N/A 12669E4A1 6494.910000 PA USD 6364.700000 0.0003214 Long ABS-MBS CORP US N 2 2033-10-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 746.050000 0.0000377 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 705220.180000 BRL 141357.000000 USD 2024-04-02 746.050000 N N N N/A N/A 000000000 1.000000 NC USD 34620386.670000 1.74808 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 S&P 500 INDEX N/A N/A Y 2025-01-22 0.000000 USD 0.000000 USD 325924035.280000 USD 34620386.670000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI1VZWM8 46346111.470000 PA 2402821.950000 0.121325 Long DBT NUSS MX N 2 2031-11-27 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC 6451.090000 0.0003257 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 750608150.000000 KRW 565000.000000 USD 2024-06-20 6451.090000 N N N N/A N/A 000000000 1.000000 NC USD 26581193.920000 1.34216 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 S&P 500 INDEX N/A N/A Y 2025-01-22 0.000000 USD 0.000000 USD 256748219.800000 USD 26581193.920000 N N N OZLM XXIV LTD 2019-24A N/A 67113DBA1 3700000.000000 PA USD 3705871.090000 0.18712 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 7.02942 N N N N N N FNMA PASS THRU POOLS N/A 3140H37E0 351467.430000 PA USD 320610.640000 0.0161885 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 93679.400000 0.0047301 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 84221883.000000 TWD 2735276.000000 USD 2024-06-20 93679.400000 N N N N/A N/A 000000000 1.000000 NC -7098.900000 -0.0003584 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 556467.430000 USD 2194651.900000 PLN 2024-04-19 -7098.900000 N N N PAGAYA AI DEBT TRUST 2022-6 N/A 69546NAD7 1744673.420000 PA USD 1746553.130000 0.0881885 Long ABS-O CORP US N 2 2030-05-15 Fixed 6.159 N N N N N N ARES EUROPEAN CLO XII BV 12A N/A ACI20RGN4 5600000.000000 PA 6004351.910000 0.303177 Long ABS-CBDO CORP IE N 2 2032-04-20 Floating 4.82 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2MFLJ9 2650000000.000000 PA 17505737.550000 0.883915 Long DBT NUSS JP N 2 2024-04-15 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 49892.690000 0.0025192 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 11800000.000000 BRL 2382346.410000 USD 2024-07-02 49892.690000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-7 N/A 12669VAE8 4100000.000000 PA USD 3498241.770000 0.176636 Long ABS-MBS CORP US N 2 2047-10-25 Floating 5.73389 N N N N N N BPCRE HOLDER LLC 2022-FL2 N/A 05602FAA5 2864937.460000 PA USD 2866530.820000 0.144739 Long ABS-CBDO CORP BM N 2 2037-01-16 Floating 7.72667 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BL6K5DII1 16525558.000000 PA 1929593.170000 0.0974307 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N SALOMON BROTHERS MTGE SEC VII 2003-UP2 N/A 79549AXP9 787.710000 PA USD 755.390000 0.0000381 Long ABS-MBS CORP US N 3 2033-06-25 Variable 7 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-3 N/A 80285XAB1 4052793.670000 PA USD 4057956.120000 0.204898 Long ABS-O CORP US N 2 2026-08-17 Fixed 6.08 N N N N N N HERTZ VEHICLE FINANCING III LLC 2021-1A N/A 42806MAA7 4400000.000000 PA USD 4296944.520000 0.216965 Long ABS-O CORP US N 2 2025-12-26 Fixed 1.21 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAD0 3800000.000000 PA USD 3822412.400000 0.193005 Long DBT CORP DE N 2 2029-05-15 Fixed 6.375 N N Y N N N BANK OF AMERICA CREDIT CARD TRUST 2023-A1 N/A 05522RDG0 4700000.000000 PA USD 4681316.090000 0.236373 Long ABS-MBS CORP US N 2 2028-05-15 Fixed 4.79 N N N N N N FNMA PASS THRU POOLS N/A 31407CFW2 21426.940000 PA USD 21880.250000 0.0011048 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.5 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 9415.250000 PA USD 9213.200000 0.0004652 Long ABS-MBS CORP US N 2 2034-01-25 Floating 5.89373 N N N N N N N/A N/A 000000000 -70.000000 NC -146942.270000 -0.0074195 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2024-06-06 -10072790.000000 EUR -146942.270000 N N N TRAVELERS COMPANIES INC 549300Y650407RU8B149 89417E109 8139.000000 NS USD 1873109.460000 0.0945786 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 968.950000 0.0000489 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 619541.000000 AUD 405029.270000 USD 2024-05-02 968.950000 N N N MF1 2022-FL8 LTD N/A 55284JAC3 8700000.000000 PA USD 8553187.500000 0.431875 Long ABS-CBDO CORP KY N 2 2037-02-19 Floating 7.07632 N N N N N N N/A N/A 000000000 1.000000 NC 1422156.150000 0.0718087 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-09-20 0.000000 AUD -85671.140000 AUD 85000000.000000 AUD 1507827.290000 N N N LIBERTY LENDING ABS TRUST 2022-1A N/A 50203YAA3 343482.460000 PA USD 342562.610000 0.017297 Long ABS-O CORP US N 2 2029-11-15 Fixed 3.76 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933Y105 8139.000000 NS USD 1073941.050000 0.0542264 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 3344.840000 0.0001689 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 20078450.000000 TWD 633100.000000 USD 2024-06-20 3344.840000 N N N N/A N/A 000000000 1.000000 NC 2745.560000 0.0001386 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2348124.850000 BRL 466889.000000 USD 2024-07-02 2745.560000 N N N FREDDIE MAC 3360 N/A 31397KE31 30352.580000 PA USD 30328.930000 0.0015314 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 6.15312 N N N N N N N/A N/A 000000000 1.000000 NC -98176.750000 -0.0049572 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3524664.670000 USD 17185207.530000 BRL 2024-04-02 -98176.750000 N N N KKR CLO LTD 18 N/A 48251JAL7 1817049.820000 PA USD 1820662.440000 0.0919304 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 6.49952 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2024-1A N/A 76088YAA8 2000000.000000 PA USD 2009028.400000 0.101442 Long ABS-O CORP US N 2 2032-06-25 Fixed 7.09 N N N N N N GNMA PASS THRU POOLS N/A 36292LCY8 6211.200000 PA USD 6253.350000 0.0003157 Long ABS-MBS USGSE US N 2 2036-04-15 Fixed 5 N N N N N N N/A N/A 000000000 -1700000.000000 NC -364.240000 -0.0000184 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 2.50000 04/10/24-5Y LCH 2029-04-10 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.500000 EUR 2024-04-08 XXXX 2762.220000 N N N ARGENT SECURITIES INC 2004-W9 N/A 040104LB5 621864.220000 PA USD 631096.660000 0.0318659 Long ABS-MBS CORP US N 2 2034-06-26 Floating 6.31389 N N N N N N UMBS PASS THRU POOLS N/A 01F050650 42800000.000000 PA USD 41775103.070000 2.10934 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 5 N N N N N N JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2 N/A 46628TAA9 867285.570000 PA USD 742997.480000 0.0375161 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.71389 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 1200000.000000 PA USD 1163519.330000 0.0587494 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N N/A N/A 000000000 1.000000 NC 1134.800000 0.0000573 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5082146555.000000 IDR 321071.000000 USD 2024-04-30 1134.800000 N N N N/A N/A 000000000 -3500000.000000 NC USD -6057.450000 -0.0003059 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/4.09000 04/30/24-10Y LCH 2034-04-30 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2024-04-26 XXXX 3830.050000 N N N N/A N/A 000000000 1.000000 NC 3075.920000 0.0001553 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2649826.830000 BRL 531414.000000 USD 2024-04-02 3075.920000 N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WDJ5 250000.000000 PA USD 249184.000000 0.012582 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WDB2 400000.000000 PA USD 399129.600000 0.0201532 Long DBT CORP US N 2 2024-04-11 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 12595.790000 0.000636 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2300000.000000 CAD 1711344.410000 USD 2024-05-02 12595.790000 N N N ALLY AUTO RECEIVABLES TRUST 2023-1 N/A 02007WAC2 2600000.000000 PA USD 2615319.720000 0.132055 Long ABS-O CORP US N 2 2028-05-15 Fixed 5.46 N N N N N N N/A N/A 000000000 1.000000 NC USD 719418.880000 0.0363255 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-11-06 0.000000 USD 0.000000 USD 25962772.170000 USD 719418.880000 N N N GNMA PASS THRU POOLS N/A 36241KYZ5 34670.380000 PA USD 35064.430000 0.0017705 Long ABS-MBS USGSE US N 2 2039-01-15 Fixed 5 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-A N/A 78450FAA5 9391422.000000 PA USD 8617737.870000 0.435134 Long ABS-O CORP US N 2 2054-11-16 Fixed 2.85 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 2168212.940000 PA USD 2044845.090000 0.10325 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N FANNIEMAE WHOLE LOAN 2004-W2 N/A 31393XGV3 23504.840000 PA USD 23406.140000 0.0011818 Long ABS-MBS USGSE US N 2 2044-03-25 Floating 5.78487 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDW3 2100000.000000 PA USD 2143292.130000 0.108221 Long DBT CORP US N 2 2027-10-22 Floating 6.07 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAT2 250000.000000 PA USD 250587.670000 0.0126529 Long DBT CORP FR N 2 2027-01-18 Fixed 5.203 N N N N N N FNMA PASS THRU POOLS N/A 3140H1FD7 277691.800000 PA USD 253315.300000 0.0127906 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 2045.170000 0.0001033 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 87437241.000000 KRW 67109.710000 USD 2024-06-20 2045.170000 N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 45808868.530000 PA 5344528.120000 0.269861 Long DBT CORP DK N 2 2052-10-01 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC 104268.500000 0.0052648 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 26488324.530000 BRL 5385666.700000 USD 2024-04-02 104268.500000 N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 12369.070000 PA USD 11879.880000 0.0005998 Long ABS-MBS CORP US N 2 2034-10-25 Floating 6.00389 N N N N N N N/A N/A 000000000 -1000000.000000 NC -483.760000 -0.0000244 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 2.85000 04/22/24-10Y LCH 2034-04-22 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.850000 EUR 2024-04-18 XXXX 2483.340000 N N N GSR MTGE LOAN TRUST 2004-7 N/A 36228F4P8 13925.800000 PA USD 12871.300000 0.0006499 Long ABS-MBS CORP US N 3 2034-06-25 Floating 4.09198 N N N N N N N/A N/A 000000000 1.000000 NC 94015.080000 0.0047471 N/A DFE KR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4266119291.000000 KRW 3268556.000000 USD 2024-06-20 94015.080000 N N N N/A N/A 000000000 1.000000 NC USD 22007890.770000 1.11124 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-12-16 0.000000 USD -1057228.570000 USD 82800000.000000 USD 23065119.340000 N N N MORGAN STANLEY ABS CAPITAL I 2007-NC2 N/A 61753NAA8 1601181.430000 PA USD 1419483.520000 0.0716738 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.57389 N N N N N N PAGAYA AI DEBT TRUST 2023-6 N/A 69547UAA6 871881.320000 PA USD 874551.280000 0.0441586 Long ABS-O CORP US N 2 2031-06-16 Fixed 7.128 N N N N N N ANGLOGOLD ASHANTI HOLDINGS PLC 213800745ZIXC4L6A131 03512TAF8 2600000.000000 PA USD 2341917.470000 0.11825 Long DBT CORP IM N 2 2028-11-01 Fixed 3.375 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEC5 3200000.000000 PA USD 2937628.060000 0.148329 Long DBT CORP US N 2 2027-07-20 Floating 1.512 N N N N N N N/A N/A 000000000 -1400000.000000 NC USD -0.140000 0 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/3.62400 04/03/24-10Y LCH 2034-04-03 0.000000 USD 0.000000 USD N/A USD N/A 3.620000 USD 2024-04-01 XXXX 5179.860000 N N N BAYVIEW OPPORTUNITY MASTER FUND VII TRUST 2024-SN1 N/A 072926AC2 900000.000000 PA USD 901246.500000 0.0455065 Long ABS-O CORP US N 2 2028-03-15 Fixed 5.66 N N N N N N FNMA PASS THRU POOLS N/A 31418CWS9 147340.860000 PA USD 134098.390000 0.006771 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 24789.660000 PA USD 24480.750000 0.0012361 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 5.83487 N N N N N N N/A N/A 000000000 -3200000.000000 NC USD -20.480000 -0.000001 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/3.75000 04/04/24-5Y LCH 2029-04-04 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2024-04-02 XXXX 7603.520000 N N N FANNIE MAE 2007-96 N/A 31396XNT7 88421.110000 PA USD 88361.100000 0.0044616 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 6.15487 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1 N/A 126694A32 2208182.220000 PA USD 1820633.430000 0.091929 Long ABS-MBS CORP US N 2 2046-03-20 Floating 5.86323 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAE8 1700000.000000 PA USD 1699101.070000 0.0857925 Long DBT CORP DE N 2 2027-05-15 Fixed 6 N N Y N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JDR7 1150000.000000 PA USD 1145041.500000 0.0578164 Long DBT CORP US N 2 2024-04-25 None 0 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B28 700000.000000 PA USD 673773.430000 0.0340207 Long DBT CORP US N 2 2025-11-13 Fixed 3.375 N N N N N N FANNIE MAE 2005-79 N/A 31394FHD0 55973.070000 PA USD 55456.710000 0.0028002 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 5.84487 N N N N N N N/A N/A 000000000 1.000000 NC 881650.450000 0.0445171 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 109316779.000000 EUR 118818046.850000 USD 2024-04-02 881650.450000 N N N N/A N/A 000000000 -1300000.000000 NC -2560.410000 -0.0001293 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 2.56000 04/24/24-5Y LCH 2029-04-24 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.560000 EUR 2024-04-22 XXXX -566.880000 N N N N/A N/A 000000000 999.000000 NC USD -454850.840000 -0.0229667 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-06-28 204236964.590000 USD -454850.840000 N N N N/A N/A 000000000 1.000000 NC 3317.930000 0.0001675 N/A DFE NZ N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 272970.000000 NZD 166403.880000 USD 2024-04-02 3317.930000 N N N WAMU MTGE P/T CERT 2007-HY7 N/A 93364FAG6 4432985.750000 PA USD 3803019.020000 0.192025 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.13433 N N N N N N UMBS PASS THRU POOLS N/A 01F042657 62400000.000000 PA USD 59450363.860000 3.00182 Long ABS-MBS USGSE US N 2 2054-05-13 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 824.320000 0.0000416 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-20 0.000000 USD -470.000000 USD 100000.000000 USD 1294.320000 N N N N/A N/A 000000000 1.000000 NC 57728.790000 0.0029149 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2200025926.000000 KRW 1694830.770000 USD 2024-06-20 57728.790000 N N N FNMA PASS THRU POOLS N/A 31376KDU7 1445.610000 PA USD 1476.190000 0.0000745 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 12009.330000 0.0006064 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-03-05 0.000000 EUR -2535.980000 EUR 800000.000000 EUR 14545.310000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PDW0 950000.000000 PA USD 944932.620000 0.0477123 Long DBT CORP US N 2 2024-04-30 None 0 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE6 N/A 61755CAB8 385600.100000 PA USD 338988.300000 0.0171165 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.58389 N N N N N N HALSEYPOINT CLO 2 LTD N/A 40638TAC6 1650000.000000 PA USD 1653067.680000 0.0834681 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 7.01942 N N N N N N N/A N/A 000000000 1.000000 NC -2587.860000 -0.0001307 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1312107.560000 USD 197300000.000000 JPY 2024-05-02 -2587.860000 N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849CJL6 3300000.000000 PA USD 3306255.550000 0.166942 Long DBT CORP US N 2 2024-06-28 Floating 6.48968 N N N N N N N/A N/A 000000000 2424.000000 NC USD 12059597.490000 0.608923 N/A DE US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long S&P 500 INDEX N/A N/A 2024-06-21 643390200.000000 USD 12059597.490000 N N N N/A N/A 000000000 1.000000 NC 40298.510000 0.0020348 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 25997269.960000 CNY 3621627.000000 USD 2024-04-19 40298.510000 N N N N/A N/A 000000000 1.000000 NC 10347.560000 0.0005225 N/A DCR GB N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 ROLLS-ROYCE PLC ROLLS-ROYCE PLC Y Single Leg Swap 2024-06-20 28976.620000 EUR 0.000000 EUR 4300000.000000 EUR -18629.060000 N N N N/A N/A 000000000 1.000000 NC 10364.680000 0.0005233 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 24174776.000000 TWD 768600.000000 USD 2024-06-20 10364.680000 N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076102 8139.000000 NS USD 3122120.400000 0.157645 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -2943.760000 -0.0001486 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1965728.570000 USD 33038000.000000 MXN 2024-06-20 -2943.760000 N N N N/A N/A 000000000 1.000000 NC 2009.250000 0.0001015 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1855601.440000 BRL 371990.000000 USD 2024-04-02 2009.250000 N N N AEGIS ASSET BACKED SECURITIES TR 2006-1 N/A 00764SAC8 310762.040000 PA USD 229121.990000 0.011569 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.68389 N N N N N N N/A N/A 000000000 1.000000 NC -2458.670000 -0.0001241 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 345086.640000 USD 5450194866.000000 IDR 2024-06-20 -2458.670000 N N N N/A N/A 000000000 1.000000 NC -37868.640000 -0.0019121 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 -4162.200000 EUR 1100000.000000 EUR -33706.440000 N N N N/A N/A 000000000 1.000000 NC 18613.210000 0.0009398 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 23124280.000000 TWD 743900.000000 USD 2024-06-20 18613.210000 N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 0641ZPSA6 11500000.000000 PA 8449322.650000 0.42663 Long DBT CORP CA N 2 2024-05-01 None 0 N N N N N N ACHV ABS TRUST 2023-4CP N/A 00092CAB8 1200000.000000 PA USD 1210412.880000 0.0611172 Long ABS-O CORP US N 2 2030-11-25 Fixed 7.24 N N N N N N N/A N/A 000000000 -2700000.000000 NC USD -3210.570000 -0.0001621 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/4.10500 04/24/24-10Y LCH 2034-04-24 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2024-04-22 XXXX 5766.930000 N N N N/A N/A 000000000 1.000000 NC 88177.130000 0.0044523 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4138887164.000000 KRW 3168041.000000 USD 2024-06-20 88177.130000 N N N N/A N/A 000000000 -1400000.000000 NC USD -75.320000 -0.0000038 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/3.50000 04/10/24-10Y LCH 2034-04-10 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2024-04-08 XXXX 5174.680000 N N N N/A N/A 000000000 1.000000 NC 2101.740000 0.0001061 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1855137.570000 BRL 371990.000000 USD 2024-04-02 2101.740000 N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EE28 250000.000000 PA USD 248648.610000 0.012555 Long DBT CORP US N 2 2024-05-02 None 0 N N N N N N FANNIE MAE 2006-118 N/A 31396L4R8 5788.650000 PA USD 5636.830000 0.0002846 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 5.49613 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-27CB N/A 12667FWU5 2165756.450000 PA USD 1921139.670000 0.0970038 Long ABS-MBS CORP US N 2 2034-12-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 45570.090000 0.002301 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 -2895.450000 EUR 1500000.000000 EUR 48465.540000 N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSJ2 6.040000 PA USD 4.350000 0.0000002 Long ABS-MBS CORP US N 3 2033-02-25 Floating 3.25002 N N N N N N N/A N/A 000000000 1.000000 NC 5275.210000 0.0002664 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4653000.000000 CNY 646262.570000 USD 2024-04-19 5275.210000 N N N EQUIFAX INC 5493004MCF8JDC86VS77 29442KD80 250000.000000 PA USD 249583.870000 0.0126022 Long DBT CORP US N 2 2024-04-08 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 797003.830000 0.040243 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-09-18 576085.750000 EUR 0.000000 EUR 35100000.000000 EUR 220918.080000 N N N N/A N/A 000000000 1.000000 NC USD 10292.770000 0.0005197 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-03 0.000000 USD -2745.000000 USD 600000.000000 USD 13037.770000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B77 200000.000000 PA USD 186493.270000 0.0094166 Long DBT CORP US N 2 2026-08-10 Fixed 2.7 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 174083.970000 PA USD 147811.320000 0.0074634 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.82389 N N N N N N PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC PROPERTY LLC / PK FINANCE CO-ISSUER N/A 70052LAC7 1100000.000000 PA USD 1023772.010000 0.0516932 Long DBT CORP US N 2 2029-05-15 Fixed 4.875 N N N N N N FANNIE MAE 2009-106 N/A 31398GUJ6 229093.640000 PA USD 229889.100000 0.0116078 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 6.18487 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-3 N/A 36267KAD9 2600000.000000 PA USD 2613036.660000 0.13194 Long ABS-O CORP US N 2 2028-06-16 Fixed 5.45 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UD44 600000.000000 PA USD 599358.920000 0.0302633 Long DBT CORP CA N 2 2024-04-04 None 0 N N N N N N GMF CANADA LEASING TRUST ASSET-BACKED NOTES SERIES 2023-1A N/A 36252MCQ1 1632900.510000 PA 1214511.710000 0.0613242 Long ABS-O CORP CA N 2 2025-04-21 Fixed 5.458 N N N N N N N/A N/A 000000000 1.000000 NC USD 14156.800000 0.0007148 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-17 0.000000 USD -2100.000000 USD 400000.000000 USD 16256.800000 N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 2574P0DP6 1800000.000000 PA USD 1792862.860000 0.0905268 Long DBT CORP US N 2 2024-04-23 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 847129.850000 0.042774 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 5790000000.000000 JPY 39586630.790000 USD 2024-06-24 847129.850000 N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAA4 8450903.610000 PA USD 3335376.440000 0.168413 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.65889 N N N N N N N/A N/A 000000000 1.000000 NC 940.150000 0.0000475 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 299942990.000000 KRW 223489.000000 USD 2024-04-29 940.150000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 1400000.000000 PA USD 1372461.310000 0.0692995 Long DBT CORP GB N 2 2029-05-16 Floating 4.972 N N N N N N GOLDEN STATE TOBACCO SECURITIZATION N/A 38122NB76 870000.000000 PA USD 803782.730000 0.0405853 Long DBT MUN US N 2 2046-06-01 Fixed 3 N N N N N N N/A N/A 000000000 -1500000.000000 NC USD -699.450000 -0.0000353 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/3.55000 04/16/24-10Y LCH 2034-04-16 0.000000 USD 0.000000 USD N/A USD N/A 3.550000 USD 2024-04-12 XXXX 4475.550000 N N N N/A N/A 000000000 1.000000 NC USD 2180089.580000 0.110079 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-21 509585.690000 USD 0.000000 USD 44830000.000000 USD 1670503.890000 N N N FNMA PASS THRU POOLS N/A 31405PRS1 3187.730000 PA USD 3183.130000 0.0001607 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 6.289 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816109 8139.000000 NS USD 1853168.910000 0.0935718 Long EC CORP US N 1 N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A 12564NAA0 7075000.000000 PA USD 6999030.770000 0.353401 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.565 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CD9 500000.000000 PA USD 440616.970000 0.022248 Long DBT CORP DE N 2 2031-09-18 Floating 3.547 N N N N N N N/A N/A 000000000 1.000000 NC -423.770000 -0.0000214 N/A DFE NO N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 30373.000000 USD 324902.710000 NOK 2024-05-02 -423.770000 N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WE39 250000.000000 PA USD 248593.250000 0.0125522 Long DBT CORP US N 2 2024-05-03 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 1041.690000 0.0000526 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 747085.500000 BRL 150000.000000 USD 2024-04-02 1041.690000 N N N N/A N/A 000000000 1.000000 NC -42700.860000 -0.0021561 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 -4905.620000 EUR 1300000.000000 EUR -37795.240000 N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 261910.000000 PA USD 218875.620000 0.0110517 Long ABS-MBS CORP US N 2 2037-07-25 Floating 6.04389 N N N N N N N/A N/A 000000000 1.000000 NC 16205.290000 0.0008183 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 10560460036.000000 IDR 680091.450000 USD 2024-06-20 16205.290000 N N N N/A N/A 000000000 1.000000 NC -41621.900000 -0.0021016 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 10520133.000000 USD 875856828.950000 INR 2024-06-20 -41621.900000 N N N N/A N/A 000000000 1.000000 NC 5183.970000 0.0002618 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1536245.760000 USD 2087000.000000 CAD 2024-05-02 5183.970000 N N N FREDDIE MAC 3355 N/A 31397KC90 57771.930000 PA USD 57668.100000 0.0029118 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 6.13312 N N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2005-1 N/A 251510DG5 107829.930000 PA USD 101666.090000 0.0051334 Long ABS-MBS CORP US N 3 2035-02-25 Floating 5.94389 N N N N N N N/A N/A 000000000 1.000000 NC 66229.310000 0.0033441 N/A DFE DK N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 53580655.270000 DKK 7815986.000000 USD 2024-04-02 66229.310000 N N N N/A N/A 000000000 1.000000 NC 7277.240000 0.0003674 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 387101408.000000 KRW 295330.430000 USD 2024-06-20 7277.240000 N N N FREDDIE MAC 3368 N/A 31397KL82 36843.280000 PA USD 36812.410000 0.0018588 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 6.15312 N N N N N N FANNIE MAE 2003-25 N/A 31393APU5 776.730000 PA USD 759.190000 0.0000383 Long ABS-MBS USGSE US N 2 2033-04-25 Fixed 5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG006 2800000.000000 PA USD 322000.000000 0.0162587 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 9078731.560000 PA USD 8281696.920000 0.418167 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N AURIUM CLO IV DAC #N/A FIELD NOT APPLICABLE-4A N/A ACI21GDS9 11266423.180000 PA 12123649.940000 0.612158 Long ABS-CBDO CORP IE N 2 2031-01-16 Floating 4.672 N N N N N N N/A N/A 000000000 1.000000 NC -3359.190000 -0.0001696 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 7112473.010000 BRL 1410365.460000 USD 2024-05-03 -3359.190000 N N N ILLINOIS MUNICIPAL ELECTRIC AGENCY N/A 452024GT3 185000.000000 PA USD 199021.460000 0.0100492 Long DBT MUN US N 2 2035-02-01 Fixed 6.832 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR3 N/A 32051GQL2 15781.970000 PA USD 11019.920000 0.0005564 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.46195 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2021-1 DAC 21-1A N/A ACI1ZMCH6 5238298.000000 PA 5599416.750000 0.282731 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 4.722 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAA0 693224.640000 PA USD 694644.640000 0.0350746 Long ABS-O CORP US N 2 2041-02-20 Floating 7.51931 N N N N N N N/A N/A 000000000 1.000000 NC USD 485863.980000 0.0245327 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 28000000.000000 USD 485863.980000 N N N JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 48125LRU8 7100000.000000 PA USD 7122212.140000 0.359621 Long DBT CORP US N 2 2026-12-08 Fixed 5.11 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AX6 600000.000000 PA USD 588866.020000 0.0297335 Long DBT CORP CH N 2 2025-03-26 Fixed 3.75 N N N N N N PRESTIGE AUTO RECEIVABLES TRUST 2024-1A N/A 74113QAC5 3000000.000000 PA USD 3001644.900000 0.151562 Long ABS-O CORP US N 2 2027-05-17 Fixed 5.69 N N N N N N N/A N/A 000000000 1.000000 NC USD 7513.280000 0.0003794 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.40 Y Single Leg Swap 2028-06-20 2796.750000 USD 0.000000 USD 99000.000000 USD 4716.530000 N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343V104 8139.000000 NS USD 341512.440000 0.0172439 Long EC CORP US N 1 N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 6878334.000000 PA 8686023.750000 0.438582 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 6.56626 N N N N N N SOUNDVIEW HOME EQUITY LOAN 2006-1 N/A 83611MKZ0 2610769.460000 PA USD 2396155.330000 0.120989 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.90889 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAQ8 1200000.000000 PA USD 1043746.080000 0.0527017 Long DBT CORP KY N 2 2029-03-08 Variable 2.85 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2S1 19600000.000000 PA USD 17945260.590000 0.906107 Long DBT CORP US N 2 2028-06-02 Floating 2.393 N N N N N N N/A N/A 000000000 1.000000 NC USD 4658.260000 0.0002352 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC SR UNSEC SMR Y Single Leg Swap 2024-12-20 14056.250000 USD 0.000000 USD 900000.000000 USD -9397.990000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 1300000.000000 PA USD 1276604.130000 0.0644594 Long DBT CORP GB N 2 2026-09-12 Floating 4.292 N N N N N N N/A N/A 000000000 1.000000 NC 10469.510000 0.0005286 N/A DFE KR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 629608316.000000 KRW 478979.000000 USD 2024-06-20 10469.510000 N N N N/A N/A 000000000 1.000000 NC 190872.040000 0.0096377 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 66838032.020000 CAD 49534938.180000 USD 2024-04-02 190872.040000 N N N STELLANTIS FINANCE US INC 549300QZ0AI8Q7LNON33 85855CAB6 5700000.000000 PA USD 4797565.400000 0.242243 Long DBT CORP US N 2 2031-09-15 Fixed 2.691 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE4 N/A 61748BAC8 1416303.430000 PA USD 743456.900000 0.0375393 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.74389 N N N N N N N/A N/A 000000000 -1300000.000000 NC -709.810000 -0.0000358 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 2.86000 04/24/24-5Y LCH 2029-04-24 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.860000 EUR 2024-04-22 XXXX 1283.720000 N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAB9 400000.000000 PA USD 381851.160000 0.0192808 Long DBT CORP GB N 2 2026-07-26 Fixed 3.5 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2024-1 N/A 17331QAD8 1000000.000000 PA USD 999423.600000 0.0504638 Long ABS-O CORP US N 2 2028-04-17 Fixed 5.11 N N N N N N N/A N/A 000000000 1.000000 NC USD 3188891.840000 0.161016 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-01-31 0.000000 USD -8316.980000 USD 44400000.000000 USD 3197208.820000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAE0 619932.850000 PA USD 582923.970000 0.0294335 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.69389 N N N N N N N/A N/A 000000000 1.000000 NC USD 107746.080000 0.0054404 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-07-17 0.000000 USD 0.000000 USD 3893862.720000 USD 107746.080000 N N N CARVANA AUTO RECEIVABLES TRUST 2024-N1 N/A 14687QAB9 800000.000000 PA USD 800383.920000 0.0404137 Long ABS-O CORP US N 2 2027-04-12 Fixed 5.76 N N N N N N PERRIGO FINANCE UNLIMITED CO (AKA: PERRIGO FINANCE PLC) 549300E86RB6YCTMRM83 71429MAC9 1600000.000000 PA USD 1472173.280000 0.0743342 Long DBT CORP IE N 2 2030-06-15 Variable 4.65 N N N N N N AMERICAN ELECTRIC POWER COMPANY INC 1B4S6S7G0TW5EE83BO58 0255E2D23 600000.000000 PA USD 599548.150000 0.0302729 Long DBT CORP US N 2 2024-04-02 None 0 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-NC2 N/A 17309TAC2 3710987.910000 PA USD 2742887.280000 0.138496 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.76389 N N N N N N N/A N/A 000000000 1.000000 NC USD 6251.100000 0.0003156 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-20 3483.550000 USD 0.000000 USD 300000.000000 USD 2767.550000 N N N FHLMC PASS THRU POOLS N/A 3128P7LU5 8658.800000 PA USD 8540.980000 0.0004313 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 4.5 N N N N N N N/A N/A 000000000 -900000.000000 NC -3349.050000 -0.0001691 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 2.48000 04/29/24-10Y LCH 2034-04-29 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.480000 EUR 2024-04-25 XXXX -788.220000 N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AZ6 700000.000000 PA USD 532831.530000 0.0269042 Long DBT CORP NL N 2 2031-05-16 Floating 4.25 N N N N Y ING GROEP NV EUR XXXX N N N CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3 N/A 17312EAA4 737384.750000 PA USD 642953.340000 0.0324646 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.70389 N N N N N N N/A N/A 000000000 -23.000000 NC USD -12259.640000 -0.000619 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-06-28 -2460191.410000 USD -12259.640000 N N N M&T BANK AUTO RECEIVABLES TRUST 2024-1A N/A 55286TAB1 1200000.000000 PA USD 1200054.180000 0.0605942 Long ABS-O CORP US N 2 2032-02-17 Fixed 5.59 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 2574P0DN1 1200000.000000 PA USD 1195425.920000 0.0603605 Long DBT CORP US N 2 2024-04-22 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 27392.010000 0.0013831 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-06-20 39816.900000 USD 0.000000 USD 2400000.000000 USD -12424.890000 N N N FNMA PASS THRU POOLS N/A 31414UZ92 16054.670000 PA USD 16594.770000 0.0008379 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWQ3 2200000.000000 PA USD 2173752.500000 0.109759 Long DBT CORP US N 2 2025-09-29 Floating 3.272 N N N N N N N/A N/A 000000000 1.000000 NC -821.320000 -0.0000415 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 120652.000000 USD 10016167.080000 INR 2024-06-20 -821.320000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397D26 200000.000000 PA USD 204401.820000 0.0103208 Long DBT CORP US N 2 2026-06-10 Fixed 6.95 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 933107.900000 PA USD 751811.010000 0.0379611 Long ABS-MBS CORP US N 2 2036-12-19 Floating 5.8508 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WDA4 250000.000000 PA USD 249494.880000 0.0125977 Long DBT CORP US N 2 2024-04-10 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 9502.350000 0.0004798 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8182149.280000 BRL 1626831.550000 USD 2024-07-02 9502.350000 N N N N/A N/A 000000000 1.000000 NC -35353.020000 -0.0017851 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3584694.000000 USD 537217298.000000 JPY 2024-04-02 -35353.020000 N N N CSMC 2021-RPL7 TRUST N/A 12598JAC5 4211917.350000 PA USD 4047121.450000 0.204351 Long ABS-MBS CORP US N 2 2061-07-27 Fixed 1.92598 N N N N N N CISCO SYSTEMS INC 549300LKFJ962MZ46593 17275R102 8139.000000 NS USD 406217.490000 0.0205111 Long EC CORP US N 1 N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XE4 48738.470000 PA USD 40383.400000 0.0020391 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.57097 N N N N N N MICROSOFT CORPORATION INR2EJN1ERAN0W5ZP974 594918104 8139.000000 NS USD 3424240.080000 0.1729 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -51455.330000 -0.0025981 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-06 0.000000 EUR -4238.040000 EUR 900000.000000 EUR -47217.290000 N N N N/A N/A 000000000 1.000000 NC USD 6913323.900000 0.349073 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.42 Y Single Leg Swap 2029-06-20 6792815.430000 USD 0.000000 USD 301600000.000000 USD 120508.470000 N N N N/A N/A 000000000 1.000000 NC 346.310000 0.0000175 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 24688011.000000 KRW 18717.360000 USD 2024-06-20 346.310000 N N N N/A N/A 000000000 -1300000.000000 NC USD -2354.950000 -0.0001189 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/3.68000 04/17/24-10Y LCH 2034-04-17 0.000000 USD 0.000000 USD N/A USD N/A 3.680000 USD 2024-04-15 XXXX 2071.550000 N N N N/A N/A 000000000 1.000000 NC 32.530000 0.0000016 N/A DFE HK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 258746.840000 HKD 33109.000000 USD 2024-04-19 32.530000 N N N N/A N/A 000000000 1.000000 NC 103.950000 0.0000052 N/A DFE HK N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 832209.040000 HKD 106488.000000 USD 2024-04-19 103.950000 N N N N/A N/A 000000000 1.000000 NC USD 5565.250000 0.000281 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-12 0.000000 USD -1140.000000 USD 200000.000000 USD 6705.250000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 ACI2NCY93 2400000.000000 PA 2595891.520000 0.131074 Long DBT CORP US N 2 2027-03-19 Floating 4.585 N N N N N N ASSET BACKED SEC HOME EQTY LN 2004-HE3 N/A 04541GJT0 3010307.550000 PA USD 2938754.040000 0.148386 Long ABS-MBS CORP US N 2 2034-06-25 Floating 6.25389 N N N N N N N/A N/A 000000000 1.000000 NC 39493.170000 0.0019941 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 28936451.220000 CNY 4025717.000000 USD 2024-04-19 39493.170000 N N N N/A N/A 000000000 1.000000 NC -258.720000 -0.0000131 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 21341.580000 USD 335365856.000000 IDR 2024-06-20 -258.720000 N N N AMERICAN ELECTRIC POWER COMPANY INC 1B4S6S7G0TW5EE83BO58 0255E2EF3 700000.000000 PA USD 694798.530000 0.0350824 Long DBT CORP US N 2 2024-05-15 None 0 N N N N N N EXPEDIA GROUP INC N/A 30212PBK0 300000.000000 PA USD 294411.670000 0.0148657 Long DBT CORP US N 2 2027-08-01 Fixed 4.625 N N N N N N WASHINGTON MUTUAL 2004-RP1 N/A 92922FYJ1 1095054.790000 PA USD 981482.390000 0.0495579 Long ABS-MBS CORP US N 2 2034-05-25 Floating 5.81389 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND VII TRUST 2024-SN1 N/A 072926AB4 1500000.000000 PA USD 1499862.000000 0.0757323 Long ABS-O CORP US N 2 2027-04-15 Fixed 5.67 N N N N N N N/A N/A 000000000 1.000000 NC 8116.870000 0.0004098 N/A DFE KR N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 837198327.000000 KRW 631100.000000 USD 2024-06-20 8116.870000 N N N N/A N/A 000000000 1.000000 NC -365712.610000 -0.0184659 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 118138123.830000 USD 109164779.000000 EUR 2024-04-02 -365712.610000 N N N FNMA PASS THRU POOLS N/A 31400YDJ2 74986.940000 PA USD 75322.860000 0.0038033 Long ABS-MBS USGSE US N 2 2033-06-01 Floating 6.189 N N N N N N N/A N/A 000000000 1.000000 NC -844.300000 -0.0000426 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 163930.250000 USD 272970.000000 NZD 2024-04-02 -844.300000 N N N FNMA PASS THRU POOLS N/A 31406LHL5 12869.260000 PA USD 13074.770000 0.0006602 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.5 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1 N/A 07389QAN8 171281.670000 PA USD 79940.870000 0.0040364 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 4.99883 N N N N N N VENTURE CLO LTD 2013-4A N/A 92328GBA3 202869.110000 PA USD 203149.090000 0.0102576 Long ABS-CBDO CORP KY N 2 2029-08-28 Floating 6.62942 N N N N N N GNMA PASS THRU POOLS N/A 36225CBY1 150.700000 PA USD 147.560000 0.0000075 Long ABS-MBS USGSE US N 2 2027-03-20 Floating 3.625 N N N N N N VENTURE 38 CLO LTD N/A 92332NAW5 5200000.000000 PA USD 5199738.800000 0.26255 Long ABS-CBDO CORP KY N 2 2032-07-30 Floating 7.32904 N N N N N N GNMA PASS THRU POOLS N/A 21H050656 6000000.000000 PA USD 5898884.340000 0.297851 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -18940.160000 -0.0009563 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1918571.000000 USD 30217493250.000000 IDR 2024-06-20 -18940.160000 N N N LIBERTY LENDING ABS TRUST 2023-1A N/A 75525AAA3 754141.520000 PA USD 756302.440000 0.0381879 Long ABS-O CORP US N 2 2031-02-18 Fixed 7.05 N N N N N N STRUCTURED ASSET INVEST LN TR 2006-BNC3 N/A 86361KAC1 189792.980000 PA USD 184871.700000 0.0093347 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.59389 N N N N N N TOWD POINT MORTGAGE TRUST 2017-6 N/A 89175JAE0 4900000.000000 PA USD 4085015.830000 0.206264 Long ABS-MBS CORP US N 2 2057-10-25 Variable 3.3595 N N N N N N N/A N/A 000000000 1.000000 NC 62936.000000 0.0031778 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-08-21 0.000000 EUR -3153.600000 EUR 800000.000000 EUR 66089.600000 N N N N/A N/A 000000000 1.000000 NC USD 376114.680000 0.0189911 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 24060000.000000 USD 376114.680000 N N N N/A N/A 000000000 1.000000 NC USD 10099.430000 0.0005099 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 900000.000000 USD 10099.430000 N N N MF1 2024-FL14 LLC N/A 000000000 800000.000000 PA USD 801752.000000 0.0404827 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 7.06332 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-10 N/A 23246BAK7 978600.760000 PA USD 938474.610000 0.0473863 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.69389 N N N N N N N/A N/A 000000000 1.000000 NC 25443.960000 0.0012847 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1036812736.000000 KRW 796965.860000 USD 2024-06-20 25443.960000 N N N N/A N/A 000000000 1.000000 NC 37468.650000 0.0018919 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 24763677.020000 CNY 3448860.000000 USD 2024-04-19 37468.650000 N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPF0 98678.970000 PA USD 92365.890000 0.0046638 Long ABS-MBS CORP US N 2 2035-07-19 Floating 5.9408 N N N N N N CARRIER GLOBAL CORPORATION 549300JE3W6CWY2NAN77 ACI2MMBZ9 900000.000000 PA 976439.210000 0.0493032 Long DBT CORP US N 2 2025-05-29 Fixed 4.375 N N N N N N N/A N/A 000000000 1.000000 NC USD 12820290.590000 0.647333 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2051-06-16 5484936.970000 USD 0.000000 USD 28300000.000000 USD 7335353.620000 N N N FIRST NLC TRUST 2005-4 N/A 32113JCH6 14622000.000000 PA USD 12306056.510000 0.621368 Long ABS-MBS CORP US N 2 2036-02-25 Floating 6.17889 N N N N N N N/A N/A 000000000 -1500000.000000 NC USD -3655.800000 -0.0001846 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/3.68500 04/22/24-10Y LCH 2034-04-22 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2024-04-18 XXXX 2269.200000 N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 2900000.000000 PA USD 2845879.040000 0.143697 Long DBT CORP KY N 2 2028-08-08 Variable 5.4 N N N N N N N/A N/A 000000000 -800000.000000 NC -3422.280000 -0.0001728 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 2.55000 04/17/24-10Y LCH 2034-04-17 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.550000 EUR 2024-04-15 XXXX -972.140000 N N N CVC CORDATUS LOAN FUND XI DAC 21-1 N/A ACI1W60L8 6135233.460000 PA 6577691.500000 0.332126 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.592 N N N N N N N/A N/A 000000000 1.000000 NC 48.110000 0.0000024 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 14332.000000 AUD 9395.340000 USD 2024-05-02 48.110000 N N N CHENIERE CORPUS CHRISTI HOLDINGS LLC 549300I7CIEWU1BBLQ53 16412XAJ4 1300000.000000 PA USD 1209854.480000 0.061089 Long DBT CORP US N 2 2029-11-15 Fixed 3.7 N N N N N N N/A N/A 000000000 1.000000 NC -14029.560000 -0.0007084 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3555893.790000 USD 3283000.000000 EUR 2024-04-02 -14029.560000 N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EF35 250000.000000 PA USD 247452.300000 0.0124946 Long DBT CORP US N 2 2024-06-03 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 2656525.370000 0.134136 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.41 Y Single Leg Swap 2028-12-20 2524812.850000 USD 0.000000 USD 114700000.000000 USD 131712.520000 N N N N/A N/A 000000000 1.000000 NC 946812.660000 0.0478073 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2650000000.000000 JPY 18489834.080000 USD 2024-04-15 946812.660000 N N N HSI ASSET SECUR CORP TRUST 2007-OPT1 N/A 40431JAD5 5888506.060000 PA USD 5219859.720000 0.263566 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.59389 N N N N N N N/A N/A 000000000 50000000.000000 PA 36912627.810000 1.86382 Long RA CA N 2 Repurchase N 4.970000 2024-04-04 65174000.000000 CAD 50915738.680000 CAD N N N CITIZENS AUTO RECEIVABLES TRUST 2024-1 N/A 17331QAB2 1500000.000000 PA USD 1499126.100000 0.0756952 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.43 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 ACI11PCM5 1100000.000000 PA 1135758.700000 0.0573477 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAB8 2428713.430000 PA USD 2283727.500000 0.115312 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XD45 500000.000000 PA USD 499472.570000 0.0252198 Long DBT CORP US N 2 2024-04-04 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 1104.670000 0.0000558 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 352875669.000000 KRW 262928.000000 USD 2024-04-29 1104.670000 N N N PRPM-2022-1 N/A 693582AA6 3533505.580000 PA USD 3441354.580000 0.173764 Long ABS-MBS CORP US N 2 2027-02-25 Fixed 3.72 N N N N N N ACHV ABS TRUST 2023-4CP N/A 00092CAA0 722993.470000 PA USD 724107.390000 0.0365623 Long ABS-O CORP US N 2 2030-11-25 Fixed 6.81 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAA1 5800000.000000 PA USD 5750078.530000 0.290338 Long DBT CORP GB N 2 2024-07-26 Fixed 3.125 N N N N N N N/A N/A 000000000 1.000000 NC USD 1830670.150000 0.0924358 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-06-21 775907.600000 USD 0.000000 USD 26400000.000000 USD 1054762.550000 N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 8911Z1S26 2300000.000000 PA 1689558.890000 0.0853107 Long DBT CORP CA N 2 2024-05-02 None 0 N N N N N N TCI-SYMPHONY CLO LTD 2016-1A N/A 87229WAS0 6330000.000000 PA USD 6351524.850000 0.320707 Long ABS-CBDO CORP KY N 2 2032-10-13 Floating 7.1256 N N N N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BDA7 450000.000000 PA USD 449114.660000 0.0226771 Long DBT CORP US N 2 2024-04-10 None 0 N N N N N N SOUNDVIEW HOME EQUITY LOAN 2005-2 N/A 83611MEV6 1463053.470000 PA USD 1444410.360000 0.0729324 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.52389 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS2 N/A 52476DAA5 2159662.800000 PA USD 2099026.160000 0.105986 Long ABS-MBS CORP US N 2 2061-04-25 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC -380.810000 -0.0000192 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3764712284.000000 IDR 236619.000000 USD 2024-04-30 -380.810000 N N N BACARDI-MARTINI BV 5493002XXBV8B88K2408 05634EDJ8 450000.000000 PA USD 448476.450000 0.0226449 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N N/A N/A 000000000 34000000.000000 PA USD 34000000.000000 1.71676 Long RA US N 2 Repurchase N 5.260000 2024-04-01 34615000.000000 USD 34677199.000000 USD UST N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 5706.920000 PA USD 5454.520000 0.0002754 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 6.28905 N N N N N N N/A N/A 000000000 1.000000 NC 123287.970000 0.0062252 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16978000.000000 GBP 21552066.750000 USD 2024-04-02 123287.970000 N N N N/A N/A 000000000 -3200000.000000 NC USD -8.000000 -0.0000004 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.25000 04/04/24-5Y LCH 2029-04-04 0.000000 USD 0.000000 USD N/A USD N/A 4.250000 USD 2024-04-02 XXXX 7616.000000 N N N ASSET BACKED FUNDING CERT 2006-HE1 N/A 00075WAA7 1900900.730000 PA USD 1326133.170000 0.0669603 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.70389 N N N N N N NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2021-APPL N/A 63874AAG3 6300000.000000 PA USD 5752870.200000 0.290479 Long ABS-MBS CORP US N 2 2038-08-15 Floating 6.84048 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS4 N/A 52475WAA4 3334057.710000 PA USD 3234633.780000 0.163326 Long ABS-MBS CORP US N 2 2060-11-25 Fixed 1.65 N N N N N N N/A N/A 000000000 1.000000 NC -15026.320000 -0.0007587 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 -3788.930000 EUR 2000000.000000 EUR -11237.390000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-N3 N/A 14686RAA0 2784254.590000 PA USD 2796119.970000 0.141184 Long ABS-O CORP US N 2 2027-09-10 Fixed 6.41 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 1111970.980000 PA USD 1079378.000000 0.0545009 Long ABS-O CORP US N 2 2030-09-25 Fixed 4.32 N N N N N N N/A N/A 000000000 1.000000 NC USD 580049.960000 0.0292884 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-03-20 517884.450000 USD 0.000000 USD 52400000.000000 USD 62165.510000 N N N N/A N/A 000000000 1.000000 NC -48.010000 -0.0000024 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 9387.460000 USD 14332.000000 AUD 2024-04-02 -48.010000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11 N/A 021466AA5 1025976.360000 PA USD 901577.340000 0.0455232 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.68389 N N N N N N N/A N/A 000000000 1.000000 NC 37.420000 0.0000019 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 10225.000000 AUD 6706.090000 USD 2024-05-02 37.420000 N N N N/A N/A 000000000 1.000000 NC 111330.110000 0.0056214 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 4612046055.000000 KRW 3543285.000000 USD 2024-06-20 111330.110000 N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-1A N/A 30167PAC4 800000.000000 PA USD 798666.960000 0.040327 Long ABS-O CORP US N 2 2027-08-16 Fixed 5.31 N N N N N N JOHNSON & JOHNSON COMPANY 549300G0CFPGEF6X2043 478160104 8139.000000 NS USD 1287508.410000 0.06501 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 9309.010000 0.00047 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1700000.000000 CAD 1264888.950000 USD 2024-05-01 9309.010000 N N N N/A N/A 000000000 1.000000 NC 1269.530000 0.0000641 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 516285.000000 AUD 337987.010000 USD 2024-05-02 1269.530000 N N N N/A N/A 000000000 -1800000.000000 NC USD -3115.260000 -0.0001573 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.09000 04/30/24-10Y LCH 2034-04-30 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2024-04-26 XXXX 1879.740000 N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106103 8139.000000 NS USD 764903.220000 0.0386221 Long EC CORP US N 1 N N N AMERICAN ELECTRIC POWER COMPANY INC 1B4S6S7G0TW5EE83BO58 0255E2E14 450000.000000 PA USD 447637.420000 0.0226025 Long DBT CORP US N 2 2024-05-01 None 0 N N N N N N HYUNDAI AUTO RECEIVABLES TRUST 2024-A N/A 448973AD9 3700000.000000 PA USD 3702693.600000 0.18696 Long ABS-O CORP US N 2 2029-02-15 Fixed 4.99 N N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 44815.390000 PA USD 39169.340000 0.0019778 Long ABS-MBS CORP US N 2 2046-02-25 Floating 6.08905 N N N N N N N/A N/A 000000000 -1800000.000000 NC USD -6564.420000 -0.0003315 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/3.69000 04/30/24-10Y LCH 2034-04-30 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2024-04-26 XXXX -1569.420000 N N N N/A N/A 000000000 1.000000 NC -37171.990000 -0.0018769 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 -3439.280000 EUR 900000.000000 EUR -33732.710000 N N N N/A N/A 000000000 -600000.000000 NC -21.680000 -0.0000011 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 2.81000 04/09/24-10Y LCH 2034-04-09 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.810000 EUR 2024-04-05 XXXX 1835.040000 N N N N/A N/A 000000000 1.000000 NC USD 37408535.550000 1.88886 N/A DE US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2024-07-12 0.000000 USD 0.000000 USD 187695976.820000 USD 37408535.550000 N N N N/A N/A 000000000 1.000000 NC USD 43218.710000 0.0021822 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-06-20 17749.300000 USD 0.000000 USD 2400000.000000 USD 25469.410000 N N N N/A N/A 000000000 1.000000 NC -4587.350000 -0.0002316 N/A DFE SE N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 116965.800000 USD 1202898.960000 SEK 2024-04-02 -4587.350000 N N N N/A N/A 000000000 -800000.000000 NC -350.930000 -0.0000177 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 2.81000 04/17/24-10Y LCH 2034-04-17 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.810000 EUR 2024-04-15 XXXX 2099.210000 N N N N/A N/A 000000000 -2600000.000000 NC USD -0.260000 0 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/3.68800 04/03/24-10Y LCH 2034-04-03 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2024-04-01 XXXX 9489.740000 N N N N/A N/A 000000000 1.000000 NC USD -10352.390000 -0.0005227 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.38 Y Single Leg Swap 2027-12-20 0.000000 USD -67600.000000 USD 800000.000000 USD 57247.610000 N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 2574P0DG6 250000.000000 PA USD 249277.910000 0.0125868 Long DBT CORP US N 2 2024-04-16 None 0 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBC1 13200000.000000 PA USD 13344516.500000 0.673803 Long DBT CORP US N 2 2026-12-04 Fixed 5.488 N N N N N N N/A N/A 000000000 -900000.000000 NC USD -2889.810000 -0.0001459 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/3.67800 04/29/24-10Y LCH 2034-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.680000 USD 2024-04-25 XXXX -313.560000 N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAF1 900000.000000 PA USD 873084.600000 0.0440845 Long DBT CORP US N 2 2025-03-20 Fixed 2.625 N N N N N N BENEFIT STREET PARTNERS CLO XII LTD 2017-12A N/A 08179HAG5 4800000.000000 PA USD 4818923.860000 0.243321 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 7.0756 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A2 N/A 59020USJ5 221399.110000 PA USD 208936.380000 0.0105498 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.44552 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2023-3 N/A 301989AB5 1388435.250000 PA USD 1389104.340000 0.0701398 Long ABS-O CORP US N 2 2025-09-15 Fixed 6.11 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2021-2A N/A 76088LAA6 1228242.760000 PA USD 1179127.420000 0.0595375 Long ABS-O CORP US N 2 2030-03-25 Fixed 2.65 N N N N N N N/A N/A 000000000 1.000000 NC 99.920000 0.000005 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 65763.000000 USD 5505218.020000 INR 2024-06-20 99.920000 N N N N/A N/A 000000000 1.000000 NC -95.620000 -0.0000048 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 121099.000000 USD 10114188.480000 INR 2024-06-20 -95.620000 N N N N/A N/A 000000000 1.000000 NC -717921.250000 -0.0362499 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2034-03-21 0.000000 JPY -9323.260000 JPY 6810000000.000000 JPY -708597.990000 N N N N/A N/A 000000000 1.000000 NC -9040.190000 -0.0004565 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 983370.000000 USD 15498697896.000000 IDR 2024-06-20 -9040.190000 N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339MDR4 750000.000000 PA USD 746766.190000 0.0377064 Long DBT CORP US N 2 2024-04-25 None 0 N N N N N N DT AUTO OWNER TRUST 2023-3A N/A 23345WAA3 5383447.630000 PA USD 5400040.490000 0.272664 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.29 N N N N N N LCM LP 13A N/A 50184KBN7 4600000.000000 PA USD 4614110.500000 0.23298 Long ABS-CBDO CORP KY N 2 2027-07-19 Floating 7.07118 N N N N N N N/A N/A 000000000 1.000000 NC -2265.130000 -0.0001144 N/A DFE CA N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 956000.000000 CAD 703514.590000 USD 2024-04-02 -2265.130000 N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 1822.120000 PA USD 1701.690000 0.0000859 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.84389 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2021-RPL9 N/A 12658XAC1 3126182.380000 PA USD 3029195.700000 0.152953 Long ABS-MBS CORP US N 2 2061-02-25 Fixed 2.43639 N N N N N N N/A N/A 000000000 1.000000 NC USD 261213.680000 0.0131894 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-06-20 0.000000 USD -1015574.000000 USD 74200000.000000 USD 1276787.680000 N N N N/A N/A 000000000 1.000000 NC -9136.190000 -0.0004613 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1135083.000000 USD 17910474657.000000 IDR 2024-06-20 -9136.190000 N N N ENBRIDGE (US) INC 5493003FRODSVHJWFS32 29251UD54 350000.000000 PA USD 349569.940000 0.0176508 Long DBT CORP US N 2 2024-04-05 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 562030.340000 0.0283785 N/A DE US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2024-06-05 0.000000 USD 0.000000 USD 20265785.520000 USD 562030.340000 N N N N/A N/A 000000000 1.000000 NC 11755.680000 0.0005936 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 873833380.000000 KRW 662000.000000 USD 2024-06-20 11755.680000 N N N N/A N/A 000000000 -26.000000 NC -78255.310000 -0.0039513 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2024-06-06 -3809203.240000 EUR -78255.310000 N N N FREDDIE MAC 3898 N/A 3137ADX44 33699.260000 PA USD 33520.690000 0.0016926 Long ABS-MBS USGSE US N 2 2041-06-15 Floating 6.00312 N N N N N N N/A N/A 000000000 94900000.000000 NC USD 155161.500000 0.0078345 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.75000 01/15/25-1Y LCH 2026-01-15 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2025-01-13 XXXX 70937.750000 N N N GSAMP TRUST 2005-HE5 N/A 362341ZE2 274000.000000 PA USD 259469.640000 0.0131014 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.34389 N N N N N N N/A N/A 000000000 1.000000 NC 174771.220000 0.0088247 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 -11105.930000 EUR 2900000.000000 EUR 185877.150000 N N N N/A N/A 000000000 1.000000 NC -3098.790000 -0.0001565 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 588700.000000 USD 2937024.300000 BRL 2024-04-02 -3098.790000 N N N N/A N/A 000000000 1.000000 NC -59877.320000 -0.0030234 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 4762614.110000 USD 711791729.000000 JPY 2024-04-02 -59877.320000 N N N ARROW ELECTRONICS INC 549300YNNLBXT8N8R512 04273LD44 400000.000000 PA USD 399553.170000 0.0201746 Long DBT CORP US N 2 2024-04-04 None 0 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PDJ9 300000.000000 PA USD 298988.500000 0.0150968 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YL8 42066150.000000 PA USD 41807611.020000 2.11099 Long DBT UST US N 2 2024-10-15 Fixed 0.125 N N N N N N WASHINGTON MUTUAL 2006-AR1 N/A 92925CCC4 2905711.480000 PA USD 2463639.440000 0.124396 Long ABS-MBS CORP US N 2 2046-01-25 Floating 6.15905 N N N N N N PRET 2021-NPL5 LLC N/A 74143KAA6 3589503.030000 PA USD 3520002.000000 0.177735 Long ABS-MBS CORP US N 2 2051-10-25 Fixed 2.487 N N N N N N N/A N/A 000000000 1.000000 NC USD 62363.390000 0.0031489 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 3500000.000000 USD 62363.390000 N N N MASTR ASSET BACKED SEC TR 2006-HE5 N/A 576455AB5 7203807.930000 PA USD 4243837.450000 0.214283 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.64389 N N N N N N N/A N/A 000000000 1.000000 NC 875.320000 0.0000442 N/A DFE ID N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 16598990383.000000 IDR 1045831.000000 USD 2024-04-30 875.320000 N N N PAGAYA AI DEBT TRUST 2023-5 N/A 69546PAA8 1681467.820000 PA USD 1686059.910000 0.085134 Long ABS-O CORP US N 2 2031-04-15 Fixed 7.179 N N N N N N N/A N/A 000000000 1.000000 NC -960.260000 -0.0000485 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 404684.180000 USD 619541.000000 AUD 2024-04-02 -960.260000 N N N N/A N/A 000000000 1.000000 NC 2013.480000 0.0001017 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 32850.930000 USD 581132.950000 MXN 2024-04-19 2013.480000 N N N ELLINGTON LOAN ACQUISITION TRUST 2007-1 N/A 288542AA1 842521.460000 PA USD 813500.980000 0.041076 Long ABS-MBS CORP US N 2 2037-05-25 Floating 6.54389 N N N N N N HARVEST CLO XX DAC 20A N/A ACI1WC7B0 4999094.560000 PA 5357800.050000 0.270531 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 4.65 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271JD46 1300000.000000 PA USD 1298628.680000 0.0655715 Long DBT CORP US N 2 2024-04-04 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -721.040000 -0.0000364 N/A DFE IN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 110585.000000 USD 9183088.990000 INR 2024-06-20 -721.040000 N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 9819.790000 PA USD 9807.240000 0.0004952 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 6.14312 N N N N N N N/A N/A 000000000 1.000000 NC -11196.690000 -0.0005654 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 -1773.890000 EUR 1100000.000000 EUR -9422.800000 N N N AT&T INC 549300Z40J86GGSTL398 0020A2DJ8 2700000.000000 PA USD 2691557.990000 0.135905 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB3 N/A 12489WQX5 3852056.880000 PA USD 3451753.440000 0.174289 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.96389 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016HZT0 3800000.000000 PA USD 3792958.490000 0.191517 Long DBT CORP CA N 2 2027-01-19 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC -787000.570000 -0.0397379 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2054-09-18 0.000000 EUR -753900.950000 EUR 15400000.000000 EUR -33099.620000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625H100 8156.000000 NS USD 1633646.800000 0.0824875 Long EC CORP US N 1 N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339MDS2 550000.000000 PA USD 547541.340000 0.0276469 Long DBT CORP US N 2 2024-04-26 None 0 N N N N N N AVON FINANCE 4A N/A ACI2JTXR2 6471677.670000 PA 8170003.070000 0.412527 Long ABS-MBS CORP GB N 2 2049-12-28 Floating 6.09252 N N N N N N SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A N/A ACI1YTXT3 3098608.710000 PA 3335613.020000 0.168425 Long ABS-CBDO CORP IE N 2 2032-07-20 Floating 4.85 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 7878024.000000 PA USD 6211925.130000 0.313658 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAT8 3000000.000000 PA USD 2850282.660000 0.143919 Long DBT CORP US N 2 2029-12-15 Fixed 4.625 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 2574P0DV3 250000.000000 PA USD 248778.150000 0.0125615 Long DBT CORP US N 2 2024-04-29 None 0 N N N N N N ARGENT SECURITIES INC 2006-W4 N/A 040104TH4 5496587.120000 PA USD 1349214.260000 0.0681257 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.98389 N N N N N N N/A N/A 000000000 1.000000 NC 3205.760000 0.0001619 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1410365.460000 USD 7089625.090000 BRL 2024-04-02 3205.760000 N N N FHLMC PASS THRU POOLS N/A 3132XVJ38 840222.380000 PA USD 795121.030000 0.0401479 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 2915.810000 0.0001472 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2033-12-26 0.000000 USD -2805.000000 USD 660000.000000 USD 5720.810000 N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-1A N/A 96043RAC1 900000.000000 PA USD 900208.890000 0.0454541 Long ABS-O CORP US N 2 2027-03-15 Floating 5.89039 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 0641ZPR90 1000000.000000 PA 737004.910000 0.0372135 Long DBT CORP CA N 2 2024-04-09 None 0 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 18552.530000 PA USD 17314.590000 0.0008743 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.86389 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339ME85 550000.000000 PA USD 546513.520000 0.027595 Long DBT CORP US N 2 2024-05-08 None 0 N N N N N N AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST 2023-1 N/A 02582JJZ4 4500000.000000 PA USD 4493426.850000 0.226886 Long ABS-MBS CORP US N 2 2028-05-15 Fixed 4.87 N N N N N N N/A N/A 000000000 1.000000 NC 372333.240000 0.0188002 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 109164779.000000 EUR 118281566.350000 USD 2024-05-02 372333.240000 N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACL9 4500000.000000 PA USD 4526163.990000 0.228539 Long DBT CORP US N 2 2025-08-04 Floating 6.48663 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UDG7 700000.000000 PA USD 697952.540000 0.0352416 Long DBT CORP CA N 2 2024-04-16 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 5608.050000 0.0002832 N/A DFE JP N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 817906118.000000 JPY 5409432.000000 USD 2024-04-02 5608.050000 N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAW5 1300000.000000 PA USD 1176953.020000 0.0594277 Long DBT CORP IE N 2 2028-10-29 Fixed 3 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 8911Z1RT8 700000.000000 PA 514652.840000 0.0259863 Long DBT CORP CA N 2 2024-04-26 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 3770.630000 0.0001904 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 844000.000000 CAD 626864.860000 USD 2024-04-02 3770.630000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 300000.000000 PA USD 258933.760000 0.0130743 Long DBT CORP GB N 2 2031-06-04 Floating 2.848 N N N N N N N/A N/A 000000000 1.000000 NC -7272.470000 -0.0003672 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 -2248.960000 EUR 1200000.000000 EUR -5023.510000 N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 3500000.000000 PA USD 3427362.190000 0.173057 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N TAURUS 2021-1 UK DAC 21-UK1A N/A ACI1W1MF8 694896.160000 PA 873203.950000 0.0440906 Long ABS-MBS CORP IE N 2 2031-05-17 Floating 6.05606 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855AD43 1400000.000000 PA USD 1398515.030000 0.070615 Long DBT CORP US N 2 2024-04-04 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -1867.570000 -0.0000943 N/A DFE ID N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 128585.000000 USD 2015698460.000000 IDR 2024-06-20 -1867.570000 N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 4600000.000000 PA USD 4590818.120000 0.231804 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N M&T BANK AUTO RECEIVABLES TRUST 2024-1A N/A 55286TAA3 3000000.000000 PA USD 3000956.700000 0.151527 Long ABS-O CORP US N 2 2025-03-17 Fixed 5.643 N N N N N N N/A N/A 000000000 1.000000 NC -6517.490000 -0.0003291 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5071118.400000 USD 35015891.000000 DKK 2024-04-02 -6517.490000 N N N N/A N/A 000000000 -1700000.000000 NC -141.220000 -0.0000071 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 2.85000 04/10/24-5Y LCH 2029-04-10 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.850000 EUR 2024-04-08 XXXX 2985.240000 N N N VENTURE 38 CLO LTD N/A 92332NAU9 4300000.000000 PA USD 4306757.020000 0.217461 Long ABS-CBDO CORP KY N 2 2032-07-30 Floating 6.97904 N N N N N N N/A N/A 000000000 1.000000 NC 1938.930000 0.0000979 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3956778578.000000 IDR 250682.880000 USD 2024-06-20 1938.930000 N N N N/A N/A 000000000 1.000000 NC 205.780000 0.0000104 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 250000.000000 CAD 184771.610000 USD 2024-04-02 205.780000 N N N GRIFONAS FINANCE NO.1 PLC GRIF-1 N/A B1DFQWII3 78846.070000 PA 82579.160000 0.0041697 Long ABS-MBS CORP GB N 2 2039-08-28 Floating 4.181 N N N N N N FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF7 N/A 320277AF3 1900000.000000 PA USD 1583088.360000 0.0799347 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.92389 N N N N N N CARLYLE EURO CLO 2019-2 DAC 19-2A N/A ACI1ZPM05 4400000.000000 PA 4710600.330000 0.237852 Long ABS-CBDO CORP IE N 2 2032-08-15 Floating 4.791 N N N N N N FHLMC PASS THRU POOLS N/A 3128M75R3 10552.820000 PA USD 10789.660000 0.0005448 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 110771.380000 0.0055932 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4119813510.000000 KRW 3176442.000000 USD 2024-06-20 110771.380000 N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AC9 797263.920000 PA USD 697896.050000 0.0352388 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.78389 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZJ2 3939573.000000 PA USD 3842353.910000 0.194011 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855AD27 1450000.000000 PA USD 1448902.000000 0.0731592 Long DBT CORP US N 2 2024-04-02 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 3008.670000 0.0001519 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 1325865.270000 USD 1800000.000000 CAD 2024-04-02 3008.670000 N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 11840015.730000 PA USD 115321753.170000 5.82292 Long STIV RF US N 1 N N N VOLKSWAGEN AUTO LEASE TRUST 2024-A N/A 92866EAB5 9500000.000000 PA USD 9519141.550000 0.480649 Long ABS-O CORP US N 2 2026-12-21 Fixed 5.4 N N N N N N BANK OF AMERICA AUTO TRUST 2023-1A N/A 06428AAB4 5047975.040000 PA USD 5053372.330000 0.255159 Long ABS-O CORP US N 2 2026-05-15 Fixed 5.83 N N N N N N N/A N/A 000000000 1.000000 NC 6143.970000 0.0003102 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 15600000.000000 BRL 3089726.860000 USD 2024-07-02 6143.970000 N N N N/A N/A 000000000 1.000000 NC 249.670000 0.0000126 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 338703.000000 TWD 10873.000000 USD 2024-06-20 249.670000 N N N N/A N/A 000000000 1.000000 NC 104917.100000 0.0052976 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 11500000.000000 CAD 8598546.140000 USD 2024-05-01 104917.100000 N N N N/A N/A 000000000 1.000000 NC 41379.950000 0.0020894 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 -3785.580000 EUR 1600000.000000 EUR 45165.530000 N N N N/A N/A 000000000 1.000000 NC USD 4248339.430000 0.214511 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-06-15 2764722.720000 USD 0.000000 USD 11900000.000000 USD 1483616.710000 N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A N/A 78435VAC6 500000.000000 PA USD 497967.000000 0.0251438 Long ABS-O CORP US N 2 2029-05-21 Fixed 4.95 N N N N N N WMALT MTGE PASS-THRU CERT 2006-AR9 N/A 939346AA0 4589549.710000 PA USD 3740915.810000 0.188889 Long ABS-MBS CORP US N 2 2046-11-25 Floating 5.91905 N N N N N N ASSET BACKED FUNDING CERT 2004-FF1 N/A 04542BHM7 412246.490000 PA USD 393472.170000 0.0198675 Long ABS-MBS CORP US N 2 2034-03-25 Floating 6.49389 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI2M2QV6 45600000.000000 PA 6446531.530000 0.325504 Long DBT CORP DK N 2 2025-04-01 Fixed 1 N N N N N N SOUND POINT CLO XVI LTD 2017-2A N/A 83610KAJ2 271055.400000 PA USD 271258.690000 0.0136966 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 6.56628 N N N N N N ACE SECURITIES CORP 2007-WM1 N/A 004424AE7 2433868.030000 PA USD 1015181.450000 0.0512594 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.88389 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAS4 1200000.000000 PA USD 1005564.240000 0.0507738 Long DBT CORP KY N 2 2031-08-08 Variable 3.25 N N N N N N N/A N/A 000000000 1.000000 NC 28363.030000 0.0014321 N/A DFE KR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1293643472.000000 KRW 991000.000000 USD 2024-06-20 28363.030000 N N N KKR CLO LTD 18 N/A 48251JAN3 5200000.000000 PA USD 5213822.480000 0.263261 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 7.15952 N N N N N N TIKEHAU CLO BV N/A ACI1ZJMY5 5400000.000000 PA 5812975.070000 0.293514 Long ABS-CBDO CORP IE N 2 2034-08-04 Floating 4.754 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141G104 8139.000000 NS USD 3399578.910000 0.171654 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD 258119.770000 0.0130332 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.42 Y Single Leg Swap 2029-06-20 245670.000000 USD 0.000000 USD 3500000.000000 USD 12449.770000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2NBLB4 5790000000.000000 PA 38248997.030000 1.9313 Long DBT NUSS JP N 2 2024-06-24 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36296JFP5 28636.150000 PA USD 28767.770000 0.0014526 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N VISA INC 549300JZ4OKEHW3DPJ59 92826C839 8139.000000 NS USD 2271432.120000 0.114691 Long EC CORP US N 1 N N N CHASE ISSUANCE TRUST 2024-A2 N/A 161571HW7 8700000.000000 PA USD 8678116.020000 0.438183 Long ABS-MBS CORP US N 2 2031-01-15 Fixed 4.63 N N N N N N RLJ LODGING TRUST LP 549300RX5I8Z6I6LDZ74 74965LAA9 1200000.000000 PA USD 1143625.440000 0.0577449 Long DBT CORP US N 2 2026-07-01 Fixed 3.75 N N N N N N GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-3 N/A 379929AB8 3206049.030000 PA USD 3206737.050000 0.161917 Long ABS-O CORP US N 2 2026-01-20 Fixed 5.58 N N N N N N NASSAU LTD 2017-IA N/A 631707AL0 216615.020000 PA USD 216879.570000 0.0109509 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 6.7256 N N N N N N GE-WMC MORTGAGE SECURITIES LLC 2005-2 N/A 367910AV8 6082341.780000 PA USD 5784758.950000 0.292089 Long ABS-MBS CORP US N 2 2035-12-25 Floating 6.08389 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAD8 2898523.980000 PA USD 2708218.200000 0.136746 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.96389 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A N/A 96041CAC6 5105865.770000 PA USD 5110572.360000 0.258047 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.96 N N N N N N N/A N/A 000000000 -500000.000000 NC USD -112.550000 -0.0000057 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/3.50000 04/15/24-10Y LCH 2034-04-15 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2024-04-11 XXXX 1774.950000 N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6 N/A 80287DAC1 2200000.000000 PA USD 2232816.960000 0.112741 Long ABS-O CORP US N 2 2028-07-17 Fixed 5.93 N N N N N N N/A N/A 000000000 -900000.000000 NC USD -1577.700000 -0.0000797 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.07800 04/29/24-10Y LCH 2034-04-29 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2024-04-25 XXXX 998.550000 N N N N/A N/A 000000000 1.000000 NC 34189.710000 0.0017263 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1434247312.000000 KRW 1101454.000000 USD 2024-06-20 34189.710000 N N N N/A N/A 000000000 1.000000 NC -170.500000 -0.0000086 N/A DFE HU N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 32193.000000 USD 11702156.000000 HUF 2024-04-19 -170.500000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DZ9 400000.000000 PA USD 403586.790000 0.0203783 Long DBT CORP GB N 2 2027-08-14 Floating 5.887 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271JDH7 2250000.000000 PA USD 2243155.010000 0.113263 Long DBT CORP US N 2 2024-04-17 None 0 N N N N N N DRIVE AUTO RECEIVABLES TRUST 2024-1 N/A 26208WAB0 6200000.000000 PA USD 6205028.820000 0.31331 Long ABS-O CORP US N 2 2026-12-15 Fixed 5.83 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JY5 6727.300000 PA USD 5668.870000 0.0002862 Long ABS-MBS CORP US N 2 2036-02-20 Floating 7.8838 N N N N N N KKR CLO 25 LTD N/A 48252UAG2 2250000.000000 PA USD 2254046.490000 0.113813 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 6.7356 N N N N N N FANNIE MAE REMICS 2012-71 N/A 3136A6Z31 6454203.430000 PA USD 5802761.960000 0.292998 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 3.75 N N N N N N N/A N/A 000000000 1.000000 NC 1330.390000 0.0000672 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1059431.070000 BRL 212566.000000 USD 2024-04-02 1330.390000 N N N N/A N/A 000000000 1.000000 NC 8083.340000 0.0004082 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 31300000.000000 DKK 4627189.830000 USD 2025-04-01 8083.340000 N N N FNMA PASS THRU POOLS N/A 31402BTK0 2462.900000 PA USD 2467.280000 0.0001246 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 6.135 N N N N N N N/A N/A 000000000 -1400000.000000 NC -400.710000 -0.0000202 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 2.43000 04/16/24-5Y LCH 2029-04-16 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.430000 EUR 2024-04-12 XXXX 1931.880000 N N N FHLMC PASS THRU POOLS N/A 31349SNM1 19218.220000 PA USD 19239.300000 0.0009714 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 6.48 N N N N N N SREIT TRUST 2021-IND N/A 78473JAG7 9000000.000000 PA USD 8904766.500000 0.449627 Long ABS-MBS CORP US N 2 2038-10-15 Floating 6.53648 N N N N N N N/A N/A 000000000 1.000000 NC -992.030000 -0.0000501 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2029-01-03 0.000000 EUR -1936.290000 EUR 1000000.000000 EUR 944.260000 N N N N/A N/A 000000000 1.000000 NC 33861.390000 0.0017098 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 28850620.480000 CNY 4009279.160000 USD 2024-04-26 33861.390000 N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 468464.040000 PA USD 444503.670000 0.0224443 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N PAGAYA AI DEBT TRUST 2022-3 N/A 69547MAA4 4954746.760000 PA USD 4949306.450000 0.249905 Long ABS-O CORP US N 2 2030-03-15 Fixed 6.06 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSY8 78693.110000 PA USD 74072.720000 0.0037401 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.13762 N N N N N N N/A N/A 000000000 1.000000 NC -2643.790000 -0.0001335 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 466889.000000 USD 2328375.440000 BRL 2024-04-02 -2643.790000 N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339MDQ6 400000.000000 PA USD 398338.600000 0.0201133 Long DBT CORP US N 2 2024-04-24 None 0 N N N N N N HERTZ VEHICLE FINANCING LLC 2022-1A N/A 42806MAJ8 1600000.000000 PA USD 1543594.880000 0.0779405 Long ABS-O CORP US N 2 2026-06-25 Fixed 1.99 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAC7 969498.860000 PA USD 817132.030000 0.0412593 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.78389 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1 N/A 69363JAA2 5053064.800000 PA USD 4928809.430000 0.24887 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 3.721 N N N N N N AREIT TRUST 2021-CRE5 N/A 04002PAE4 2100000.000000 PA USD 2045859.270000 0.103301 Long ABS-MBS CORP KY N 2 2038-11-17 Floating 7.26115 N N N N N N N/A N/A 000000000 1.000000 NC 6856.510000 0.0003462 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 895000.000000 EUR 972427.170000 USD 2024-04-02 6856.510000 N N N LEGACY MORTGAGE ASSET TRUST 2021-GS3 N/A 52474XAA3 3671628.120000 PA USD 3561250.530000 0.179818 Long ABS-MBS CORP US N 2 2061-07-25 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 2127158.500000 0.107406 N/A DE US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 S&P 500 INDEX N/A N/A Y 2024-08-07 0.000000 USD 0.000000 USD 77025471.930000 USD 2127158.500000 N N N CIM TRUST 2023-R2 N/A 17181KAA8 9279280.890000 PA USD 9272401.230000 0.46819 Long ABS-MBS CORP US N 2 2064-08-25 Variable 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 841.840000 0.0000425 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 272970.000000 NZD 163934.070000 USD 2024-05-02 841.840000 N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WD14 250000.000000 PA USD 249844.880000 0.0126154 Long DBT CORP US N 2 2024-04-01 None 0 N N N N N N HONEYWELL INTERNATIONAL INC ISRPG12PN4EIEOEMW547 438516106 8139.000000 NS USD 1670529.750000 0.0843498 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 39531.950000 0.0019961 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 29130096.950000 CNY 4052432.000000 USD 2024-04-19 39531.950000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 29032593.000000 PA USD 28538620.270000 1.441 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N GSAMP TRUST 2006-HE5 N/A 362437AD7 906120.970000 PA USD 894303.880000 0.045156 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.74389 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EEM4 250000.000000 PA USD 247930.380000 0.0125187 Long DBT CORP US N 2 2024-05-21 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31410QK67 15787.000000 PA USD 16360.760000 0.0008261 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 151.930000 0.0000077 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 911300486.000000 IDR 57521.000000 USD 2024-04-30 151.930000 N N N PAGAYA AI DEBT TRUST 2024-3 N/A 69547XAA0 2100000.000000 PA USD 2099396.880000 0.106005 Long ABS-O CORP US N 2 2031-10-15 Fixed 6.258 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2019-1A N/A 26829XAB7 1507642.630000 PA USD 1499605.690000 0.0757194 Long ABS-O CORP US N 2 2069-07-25 Floating 6.43487 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A8 N/A 466247YH0 34983.700000 PA USD 28290.280000 0.0014285 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.00344 N N N N N N WALMART INC Y87794H0US1R65VBXU25 931142103 8139.000000 NS USD 489723.630000 0.0247275 Long EC CORP US N 1 N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZQ8 633.230000 PA USD 573.900000 0.000029 Long ABS-MBS CORP US N 3 2034-01-25 Floating 6.3183 N N N N N N FNMA PASS THRU POOLS N/A 31418CZG2 235936.840000 PA USD 215098.310000 0.0108609 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N HYATT HOTELS CORPORATION T27JQIMTYSH41TCD5186 448579AN2 4100000.000000 PA USD 4014338.990000 0.202695 Long DBT CORP US N 2 2024-10-01 Fixed 1.8 N N N N N N GSAMP TRUST 2007-H1 N/A 36245YAC8 789977.240000 PA USD 414539.130000 0.0209313 Long ABS-MBS CORP US N 2 2047-01-25 Floating 5.84389 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AB9 2700000.000000 PA USD 2635478.910000 0.133073 Long DBT CORP US N 2 2028-02-15 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC 136232.620000 0.0068788 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 126001174.000000 TWD 4079160.030000 USD 2024-05-20 136232.620000 N N N NATIONAL GRID NORTH AMERICA INC (AKA: NATIONAL GRID HOLDINGS INC) 5Q3U0WRKWZZGRMPYFT08 63627ADJ4 350000.000000 PA USD 348876.270000 0.0176158 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -6825.020000 -0.0003446 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1097350.000000 USD 17347018535.000000 IDR 2024-06-20 -6825.020000 N N N AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC N/A 05377RHL1 3900000.000000 PA USD 3976241.880000 0.200772 Long ABS-O CORP US N 2 2028-08-21 Fixed 5.9 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 4236.010000 PA USD 3887.560000 0.0001963 Long ABS-MBS CORP US N 2 2042-11-25 Floating 6.28905 N N N N N N AMCOR FLEXIBLES NORTH AMERICA INC PTVU09TE3QPJPL7K4E13 02343BDA2 250000.000000 PA USD 249498.210000 0.0125979 Long DBT CORP US N 2 2024-04-10 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 2234.390000 0.0001128 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON COMMUNICATIONS SR UNSEC Y Single Leg Swap 2024-12-20 1194.050000 USD 0.000000 USD 400000.000000 USD 1040.340000 N N N N/A N/A 000000000 1.000000 NC -192.170000 -0.0000097 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 202214.000000 MXN 11821.350000 USD 2024-06-20 -192.170000 N N N N/A N/A 000000000 -3500000.000000 NC USD -12764.150000 -0.0006445 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/3.69000 04/30/24-10Y LCH 2034-04-30 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2024-04-26 XXXX -2876.650000 N N N JP MORGAN MORTGAGE TRUST 2006-A2 N/A 466247K51 125467.480000 PA USD 121964.460000 0.0061583 Long ABS-MBS CORP US N 3 2034-08-25 Fixed 5.55532 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2023-C N/A 83207DAB4 946058.490000 PA USD 955126.460000 0.0482271 Long ABS-O CORP US N 2 2052-11-15 Floating 6.86864 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2023-3 N/A 301989AC3 1100000.000000 PA USD 1100743.380000 0.0555797 Long ABS-O CORP US N 2 2026-07-15 Fixed 6.04 N N N N N N BANK OF AMERICA CREDIT CARD TRUST 2023-A2 N/A 05522RDH8 8800000.000000 PA USD 8828329.840000 0.445768 Long ABS-MBS CORP US N 2 2028-11-15 Fixed 4.98 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2023-3A N/A 36267PAC0 2852013.700000 PA USD 2857295.340000 0.144273 Long ABS-O CORP US N 2 2027-03-15 Fixed 6.04 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AT6 2500000.000000 PA USD 2437660.550000 0.123084 Long DBT CORP GB N 2 2028-08-16 Fixed 4.55 N N N N N N EURO-GALAXY III CLO BV 13-3A N/A ACI1W6FF5 2396356.190000 PA 2571760.080000 0.129856 Long ABS-CBDO CORP IE N 2 2034-04-24 Floating 4.565 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACQ6 800000.000000 PA USD 673172.980000 0.0339904 Long DBT CORP US N 2 2032-03-15 Fixed 2.7 N N N N N N ROGERS COMMUNICATIONS INC 54930030NVF3Y2OL0A78 77511LDB6 300000.000000 PA USD 299362.490000 0.0151157 Long DBT CORP CA N 2 2024-04-11 None 0 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2 N/A 74143FAA7 1724954.120000 PA USD 1672187.600000 0.0844335 Long ABS-MBS CORP US N 2 2051-07-25 Variable 1.7436 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST VII 2022-3A N/A 76088TAA9 3316059.640000 PA USD 3297676.730000 0.166509 Long ABS-O CORP US N 2 2030-11-25 Fixed 5.38 N N N N N N N/A N/A 000000000 1.000000 NC 1284.190000 0.0000648 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1059662.770000 BRL 212566.000000 USD 2024-04-02 1284.190000 N N N N/A N/A 000000000 -1500000.000000 NC USD -3500.100000 -0.0001767 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/3.95000 04/16/24-10Y LCH 2034-04-16 0.000000 USD 0.000000 USD N/A USD N/A 3.950000 USD 2024-04-12 XXXX 1674.900000 N N N NATIONAL GRID NORTH AMERICA INC (AKA: NATIONAL GRID HOLDINGS INC) 5Q3U0WRKWZZGRMPYFT08 63627ADS4 650000.000000 PA USD 647094.310000 0.0326736 Long DBT CORP US N 2 2024-04-26 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -1671.330000 -0.0000844 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 772319.000000 AUD 501610.380000 USD 2024-04-02 -1671.330000 N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 03065UAB5 8013029.030000 PA USD 8039989.670000 0.405962 Long ABS-O CORP US N 2 2027-04-19 Fixed 6.19 N N N N N N JP MORGAN MTGE ACQUIS CORP 2007-CH3 N/A 46630XAG3 4503293.000000 PA USD 4298948.870000 0.217066 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.74389 N N N N N N N/A N/A 000000000 257700000.000000 PA USD 257700000.000000 13.012 Long RA US N 2 Repurchase N 5.400000 2024-04-01 280756000.000000 USD 262446542.380000 USD UST N N N FNMA PASS THRU POOLS N/A 31385HU59 158.340000 PA USD 155.390000 0.0000078 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 4.56 N N N N N N AMERICAN ELECTRIC POWER COMPANY INC 1B4S6S7G0TW5EE83BO58 0255E2DN7 800000.000000 PA USD 796929.630000 0.0402393 Long DBT CORP US N 2 2024-04-22 None 0 N N N N N N N/A N/A 000000000 -1300000.000000 NC -1946.260000 -0.0000983 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 2.48000 05/02/24-5Y LCH 2029-05-02 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.480000 EUR 2024-04-29 XXXX -46.030000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2NGK99 3000000000.000000 PA 19820729.290000 1.00081 Long DBT NUSS JP N 2 2024-07-01 None 0 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAC1 6800000.000000 PA USD 6426861.560000 0.324511 Long ABS-O CORP US N 2 2055-02-16 Fixed 4.55 N N N N N N N/A N/A 000000000 1.000000 NC -224.390000 -0.0000113 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 94488.000000 USD 7879118.100000 INR 2024-06-20 -224.390000 N N N N/A N/A 000000000 1.000000 NC -237207.300000 -0.0119773 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 100108712.330000 CAD 73672608.240000 USD 2024-04-05 -237207.300000 N N N MCDONALDS CORPORATION UE2136O97NLB5BYP9H04 580135101 8139.000000 NS USD 2294791.050000 0.115871 Long EC CORP US N 1 N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 2021831.030000 PA 2168425.350000 0.10949 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.582 N N N N N N BANC OF AMERICA FUNDING CORP 2005-D N/A 06051GDM8 11506.210000 PA USD 10555.470000 0.000533 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.1574 N N N N N N N/A N/A 000000000 82.000000 NC USD 81871.260000 0.0041339 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-06-18 10553656.250000 USD 81871.260000 N N N N/A N/A 000000000 1.000000 NC 41523.220000 0.0020966 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 33492295.000000 TWD 1092000.000000 USD 2024-06-20 41523.220000 N N N CSMC 2021-JR2 TRUST N/A 12659NAA6 578310.500000 PA USD 565192.220000 0.0285382 Long ABS-MBS CORP US N 2 2061-11-25 Variable 2.215 N N N N N N MASTER CREDIT CARD TRUST II 2023-2A N/A 576339DJ1 8700000.000000 PA USD 8742546.480000 0.441436 Long ABS-MBS CORP CA N 2 2027-01-21 Floating 6.16864 N N N N N N N/A N/A 000000000 1.000000 NC USD 15373.670000 0.0007763 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-05-15 0.000000 USD 0.000000 USD 553105.500000 USD 15373.670000 N N N GNMA PASS THRU POOLS N/A 36211YTF1 115.380000 PA USD 115.440000 0.0000058 Long ABS-MBS USGSE US N 2 2030-02-15 Fixed 8 N N N N N N UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A N/A 91680YAY7 887711.540000 PA USD 866957.910000 0.0437752 Long ABS-O CORP US N 2 2030-06-17 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC 6532.710000 0.0003299 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 11785186897.000000 IDR 747411.650000 USD 2024-06-20 6532.710000 N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339ME69 300000.000000 PA USD 298191.700000 0.0150566 Long DBT CORP US N 2 2024-05-06 None 0 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 7800Z8SA9 1700000.000000 PA 1249067.960000 0.063069 Long DBT CORP CA N 2 2024-05-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -11651.640000 -0.0005883 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1861072.030000 USD 9275583.000000 BRL 2024-04-02 -11651.640000 N N N N/A N/A 000000000 1.000000 NC -23474.040000 -0.0011853 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 -2016.380000 EUR 500000.000000 EUR -21457.660000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZS6 3800000.000000 PA USD 3889653.360000 0.1964 Long DBT CORP US N 2 2028-03-15 Floating 7.1779 N N N N N N N/A N/A 000000000 1.000000 NC -13497.330000 -0.0006815 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 -1455.090000 EUR 700000.000000 EUR -12042.240000 N N N 3M COMPANY LUZQVYP4VS22CLWDAR65 88579Y101 8156.000000 NS USD 865106.920000 0.0436817 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD 30388.160000 0.0015344 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2025-02-19 0.000000 USD 0.000000 USD 605300.020000 USD 30388.160000 N N N FIRST FRANKLIN MTG LOAN 2006-FF18 N/A 32029AAA5 728824.790000 PA USD 689725.670000 0.0348262 Long ABS-MBS CORP US N 2 2037-12-25 Floating 5.66389 N N N N N N BNPP AM EURO CLO 2019 BV 19-1A N/A ACI21M4V9 7500000.000000 PA 8014591.180000 0.40468 Long ABS-CBDO CORP IE N 2 2032-07-22 Floating 4.79 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AR4 1100000.000000 PA USD 1048169.870000 0.0529251 Long DBT CORP NL N 2 2026-11-16 Floating 5.75 N N N N Y ING GROEP NV EUR XXXX N N N FNMA PASS THRU POOLS N/A 31385HJE3 479.570000 PA USD 474.360000 0.000024 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 5.136 N N N N N N STRUCTURED ASSET SECURITIES CO-2007-TC1 N/A 86364GAD5 4830000.000000 PA USD 4757462.090000 0.240218 Long ABS-MBS CORP US N 2 2031-04-25 Floating 6.09389 N N N N N N N/A N/A 000000000 -900000.000000 NC -1352.360000 -0.0000683 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 2.77000 04/29/24-10Y LCH 2034-04-29 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.770000 EUR 2024-04-25 XXXX 1208.470000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-P5 N/A 14687RAC5 500000.000000 PA USD 503411.400000 0.0254187 Long ABS-O CORP US N 2 2029-01-10 Fixed 5.62 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAA4 1245315.660000 PA USD 1130607.520000 0.0570876 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.70389 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA2 N/A 126694S41 54692.220000 PA USD 46069.320000 0.0023262 Long ABS-MBS CORP US N 2 2046-05-20 Floating 5.90323 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A86 500000.000000 PA USD 474732.950000 0.0239706 Long DBT CORP US N 2 2027-08-17 Fixed 4.125 N N N N N N GNMA PASS THRU POOLS N/A 36296A6T6 8894.310000 PA USD 8995.420000 0.0004542 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -300.880000 -0.0000152 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 45192.000000 USD 3752269.160000 INR 2024-06-20 -300.880000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBW5 1000000.000000 PA USD 925697.080000 0.0467411 Long DBT CORP US N 2 2027-02-04 Floating 1.04 N N N N N N GALAXY XV CLO LTD 2013-15A N/A 36318WAK6 1226100.900000 PA USD 1225632.380000 0.0618857 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.5456 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI1QTHL7 1300000.000000 PA 1351955.790000 0.0682641 Long DBT CORP DE N 2 2026-09-03 Floating 1.375 N N N N N N N/A N/A 000000000 1.000000 NC USD 97782.110000 0.0049373 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 S&P 500 INDEX N/A N/A Y 2024-07-10 0.000000 USD 0.000000 USD 3528813.090000 USD 97782.110000 N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAE1 3470587.220000 PA USD 2663906.830000 0.134508 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.88905 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JA2 1800000.000000 PA USD 1795297.770000 0.0906497 Long DBT CORP US N 2 2027-02-01 Fixed 4.875 N N N N N N GSAMP TRUST 2006-FM2 N/A 36245DAD2 2085389.920000 PA USD 745532.530000 0.0376441 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.74389 N N N N N N N/A N/A 000000000 -1400000.000000 NC USD -5534.060000 -0.0002794 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/3.75000 04/22/24-10Y LCH 2034-04-22 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2024-04-18 XXXX -651.560000 N N N WAMU ASSET-BACKED CERTIFICATES 2007-HE4 N/A 93363XAA1 1334985.320000 PA USD 955897.950000 0.048266 Long ABS-MBS CORP US N 2 2047-07-25 Floating 5.61389 N N N N N N PAGAYA AI DEBT TRUST 2022-6 N/A 69546NAF2 1000000.000000 PA USD 1004433.450000 0.0507167 Long ABS-O CORP US N 3 2030-05-15 Fixed 7.656 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS5 N/A 52475XAA2 1846364.600000 PA USD 1787388.950000 0.0902504 Long ABS-MBS CORP US N 2 2067-07-25 Fixed 2.25 N N N N N N FNMA PASS THRU POOLS N/A 31410VJH4 421.410000 PA USD 431.270000 0.0000218 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 14869.760000 0.0007508 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 89990000.000000 DKK 13049650.360000 USD 2024-05-02 14869.760000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 4685076.000000 PA USD 3755648.420000 0.189633 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE4 N/A 61753VAE2 9061321.010000 PA USD 2994937.850000 0.151223 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.80389 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPKII9 3900000.000000 PA USD 448500.000000 0.022646 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EDS2 300000.000000 PA USD 298658.640000 0.0150801 Long DBT CORP US N 2 2024-04-26 None 0 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL78 7964.430000 PA USD 7419.940000 0.0003747 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.94389 N N N N N N PENSKE TRUCK LEASING CO LP 549300ZX07JYMI8GHQ39 70962ADS2 500000.000000 PA USD 497728.340000 0.0251317 Long DBT CORP US N 2 2024-04-26 None 0 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI0TJTX9 14001233.330000 PA 804137.120000 0.0406032 Long DBT NUSS MX N 2 2028-11-30 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -2714.010000 -0.000137 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1793000.000000 CAD 1320992.090000 USD 2024-04-02 -2714.010000 N N N N/A N/A 000000000 1.000000 NC 110.870000 0.0000056 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 96531.000000 USD 8077907.140000 INR 2024-06-20 110.870000 N N N N/A N/A 000000000 1.000000 NC -275.850000 -0.0000139 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1997933645.000000 IDR 125500.000000 USD 2024-04-30 -275.850000 N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 02665WFA4 8000000.000000 PA USD 8015128.560000 0.404707 Long DBT CORP US N 2 2025-02-12 Floating 5.88352 N N N N N N N/A N/A 000000000 1.000000 NC USD 585535.320000 0.0295654 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SR UNSEC Y Single Leg Swap 2028-06-20 435617.370000 USD 0.000000 USD 3620000.000000 USD 149917.950000 N N N N/A N/A 000000000 1.000000 NC 42914.830000 0.0021669 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 25208122.210000 CNY 3515532.000000 USD 2024-04-19 42914.830000 N N N N/A N/A 000000000 1.000000 NC -12518.890000 -0.0006321 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4442021.050000 USD 30624913.540000 DKK 2024-04-02 -12518.890000 N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XD11 650000.000000 PA USD 649608.810000 0.0328006 Long DBT CORP US N 2 2024-04-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -911.640000 -0.000046 N/A DFE NO N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 36499.960000 USD 386364.640000 NOK 2024-04-02 -911.640000 N N N N/A N/A 000000000 1.000000 NC -13483.160000 -0.0006808 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1027642.310000 USD 153500000.000000 JPY 2024-04-02 -13483.160000 N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAB8 693224.640000 PA USD 696853.220000 0.0351861 Long ABS-O CORP US N 2 2041-02-20 Fixed 6.64 N N N N N N N/A N/A 000000000 1.000000 NC 2135.660000 0.0001078 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 35800000.000000 DKK 5285330.950000 USD 2025-04-01 2135.660000 N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 06428CAD6 3000000.000000 PA USD 3016150.770000 0.152294 Long DBT CORP US N 2 2025-08-18 Floating 6.11271 N N N N N N MARLETTE FUNDING TRUST 2022-3A N/A 57109NAB5 3200000.000000 PA USD 3194619.200000 0.161305 Long ABS-O CORP US N 2 2032-11-15 Fixed 5.95 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT2 N/A 83611MGJ1 2653900.100000 PA USD 2362596.880000 0.119294 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.28389 N N N N N N N/A N/A 000000000 1.000000 NC -40842.100000 -0.0020622 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 -4276.260000 EUR 1800000.000000 EUR -36565.840000 N N N COCA COLA COMPANY UWJKFUJFZ02DKWI3RY53 191216100 8139.000000 NS USD 497944.020000 0.0251426 Long EC CORP US N 1 N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAR6 162379.740000 PA USD 158451.290000 0.0080007 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.51624 N N N N N N HYUNDAI AUTO RECEIVABLES TRUST 2024-A N/A 448973AB3 3500000.000000 PA USD 3497960.900000 0.176622 Long ABS-O CORP US N 2 2027-04-15 Fixed 5.29 N N N N N N UMBS PASS THRU POOLS N/A 01F060659 94200000.000000 PA USD 95046553.730000 4.79917 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -216.030000 -0.0000109 N/A DFE ID N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4156659284.000000 IDR 261458.000000 USD 2024-04-30 -216.030000 N N N GNMA PASS THRU POOLS N/A 36296JEM3 63174.410000 PA USD 63289.840000 0.0031957 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 30184.750000 0.0015241 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 41898029.510000 DKK 6090199.000000 USD 2024-04-02 30184.750000 N N N CIFC-2021-1A N/A 12563EAC7 3600000.000000 PA USD 3611613.560000 0.182361 Long ABS-CBDO CORP KY N 2 2033-04-25 Floating 7.13628 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAG9 900000.000000 PA USD 832087.800000 0.0420145 Long DBT CORP US N 2 2028-03-20 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC 52063.030000 0.0026288 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 44680792.430000 CNY 6208770.000000 USD 2024-04-26 52063.030000 N N N N/A N/A 000000000 1.000000 NC 2174.650000 0.0001098 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 1854771.900000 BRL 371990.000000 USD 2024-04-02 2174.650000 N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPH004 900000.000000 PA USD 103500.000000 0.005226 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 362768.470000 0.0183172 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SRUNSEC Y Single Leg Swap 2026-12-20 611189.650000 USD 0.000000 USD 3080000.000000 USD -248421.180000 N N N ACE SECURITIES CORP 2006-NC3 N/A 00442EAC9 4210900.900000 PA USD 2269235.550000 0.11458 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.70389 N N N N N N N/A N/A 000000000 1.000000 NC 30924.480000 0.0015615 N/A DFE TW N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 26854034.000000 TWD 873194.000000 USD 2024-06-20 30924.480000 N N N AMAZONCOM INC ZXTILKJKG63JELOEG630 023135106 8139.000000 NS USD 1468112.820000 0.0741292 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -5820.210000 -0.0002939 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1713393.000000 USD 27162419229.000000 IDR 2024-06-20 -5820.210000 N N N FNMA PASS THRU POOLS N/A 31418CXM1 399525.970000 PA USD 364447.310000 0.018402 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -111.050000 -0.0000056 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1330787915.000000 IDR 83666.000000 USD 2024-04-30 -111.050000 N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 2348.230000 PA USD 2272.690000 0.0001148 Long ABS-MBS CORP US N 2 2032-01-25 Floating 6.06389 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECR4 1400000.000000 PA USD 1407753.380000 0.0710815 Long DBT CORP GB N 2 2030-03-12 Floating 5.69 N N N N N N N/A N/A 000000000 1.000000 NC 13470.550000 0.0006802 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2236000.000000 EUR 2425778.930000 USD 2024-04-02 13470.550000 N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 0641ZPR58 500000.000000 PA 368709.170000 0.0186172 Long DBT CORP CA N 2 2024-04-05 None 0 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AU2 1500000.000000 PA USD 1276576.560000 0.064458 Long DBT CORP CH N 2 2032-05-14 Floating 3.091 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-1A N/A 96043RAB3 1700000.000000 PA USD 1699761.150000 0.0858258 Long ABS-O CORP US N 2 2027-03-15 Fixed 5.62 N N N N N N ENBRIDGE (US) INC 5493003FRODSVHJWFS32 29251UDF2 1350000.000000 PA USD 1346232.150000 0.0679751 Long DBT CORP US N 2 2024-04-15 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -712.640000 -0.000036 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 97093.000000 USD 8056048.940000 INR 2024-06-20 -712.640000 N N N N/A N/A 000000000 1.000000 NC -146.500000 -0.0000074 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 89975.000000 USD 7508404.750000 INR 2024-06-20 -146.500000 N N N FANNIE MAE 2006-5 N/A 31394VL73 2107.680000 PA USD 2141.430000 0.0001081 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 5.75018 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AP3 7900000.000000 PA USD 7743588.060000 0.390996 Long DBT CORP CH N 2 2028-05-12 Floating 4.751 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-6 N/A 68403KAB1 2952803.470000 PA USD 1898476.050000 0.0958595 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.57389 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397C35 200000.000000 PA USD 209852.480000 0.0105961 Long DBT CORP US N 2 2027-11-04 Fixed 7.35 N N N N N N N/A N/A 000000000 95100000.000000 NC USD 81605.310000 0.0041205 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased 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/5.00000 10/21/24-1Y LCH 2025-10-21 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2024-10-17 XXXX 26447.310000 N N N FANNIE MAE 2007-63 N/A 31396WTU0 6505.130000 PA USD 6399.890000 0.0003231 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 5.78487 N N N N N N INTERCONTINENTAL HOTELS GROUP PLC 2138007ZFQYRUSLU3J98 ACI0P88L6 400000.000000 PA 469876.650000 0.0237254 Long DBT CORP GB N 2 2026-08-24 Fixed 2.125 N N N N N N INEOS FINANCE PLC 2138002D68XDR4LZCG32 ACI0YJHL2 2000000.000000 PA 2094997.050000 0.105782 Long DBT CORP GB N 2 2025-11-15 Fixed 2.125 N N N N N N N/A N/A 000000000 1.000000 NC -608.330000 -0.0000307 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 293817.850000 USD 4664093933.000000 IDR 2024-06-20 -608.330000 N N N N/A N/A 000000000 1.000000 NC USD 45403083.650000 2.29253 N/A DE US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 S&P 500 INDEX N/A N/A Y 2024-06-12 0.000000 USD 0.000000 USD 196870547.340000 USD 45403083.650000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAN0 1200000.000000 PA USD 1205244.380000 0.0608562 Long DBT CORP US N 2 2026-08-10 Floating 6.39887 N N N N N N N/A N/A 000000000 1.000000 NC 1645.200000 0.0000831 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 9587355.950000 CNY 1323200.620000 USD 2024-05-06 1645.200000 N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAB1 6334.640000 PA USD 2885.720000 0.0001457 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.50389 N N N N N N FNMA PASS THRU POOLS N/A 31368HMV2 21771.050000 PA USD 22563.060000 0.0011393 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 3809.490000 PA USD 3687.130000 0.0001862 Long ABS-MBS CORP US N 2 2035-10-25 Floating 7.78 N N N N N N N/A N/A 000000000 1.000000 NC -59027.850000 -0.0029805 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12521305.000000 USD 62697930.530000 BRL 2024-05-03 -59027.850000 N N N N/A N/A 000000000 -1300000.000000 NC -1792.680000 -0.0000905 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 2.78000 05/02/24-5Y LCH 2029-05-02 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.780000 EUR 2024-04-29 XXXX 107.550000 N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN4 N/A 69359QAA2 728637.890000 PA USD 713950.880000 0.0360494 Long ABS-MBS CORP US N 2 2051-10-25 Variable 2.4871 N N N N N N N/A N/A 000000000 1.000000 NC -24978.050000 -0.0012612 N/A DFE DK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3597517.230000 USD 24700000.000000 DKK 2024-04-02 -24978.050000 N N N FHLMC PASS THRU POOLS N/A 3133BH3J3 3969868.280000 PA USD 3798788.990000 0.191812 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4.5 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UDH5 400000.000000 PA USD 398767.560000 0.0201349 Long DBT CORP CA N 2 2024-04-17 None 0 N N N N N N GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A N/A 36361UAQ3 3850000.000000 PA USD 3860705.310000 0.194938 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 7.2256 N N N N N N N/A N/A 000000000 1.000000 NC 4928.900000 0.0002489 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 1327576.000000 USD 22428998.250000 MXN 2024-06-20 4928.900000 N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A N/A ACI1YDTG1 3836916.700000 PA 4102929.810000 0.207169 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 4.642 N N N N N N N/A N/A 000000000 1.000000 NC 936.780000 0.0000473 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 338213213.000000 KRW 251881.000000 USD 2024-04-29 936.780000 N N N N/A N/A 000000000 1.000000 NC 15795.410000 0.0007976 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 16978000.000000 GBP 21447971.240000 USD 2024-05-02 15795.410000 N N N N/A N/A 000000000 1.000000 NC USD 365257.460000 0.0184429 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-12-20 832577.640000 USD 0.000000 USD 11100000.000000 USD -467320.180000 N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAF2 720935.270000 PA USD 310642.140000 0.0156852 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.90389 N N N N N N N/A N/A 000000000 1.000000 NC -170.560000 -0.0000086 N/A DFE IN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 27845.000000 USD 2313195.530000 INR 2024-06-20 -170.560000 N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CB3 6300000.000000 PA USD 6215104.540000 0.313818 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N N/A N/A 000000000 1.000000 NC 19606.200000 0.00099 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5400000.000000 BRL 1087000.280000 USD 2024-07-02 19606.200000 N N N AMERIQUEST MTAGE SEC INC 2004-R2 N/A 03072SPL3 794238.880000 PA USD 737148.910000 0.0372208 Long ABS-MBS CORP US N 2 2034-04-25 Floating 7.01889 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JM0 1500000.000000 PA USD 1426616.760000 0.072034 Long DBT CORP US N 2 2030-07-01 Fixed 4.55 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 12665JD14 3000000.000000 PA USD 2998203.090000 0.151388 Long DBT CORP US N 2 2024-04-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -37.320000 -0.0000019 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 6700.440000 USD 10225.000000 AUD 2024-04-02 -37.320000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JC8 2800000.000000 PA USD 2812438.660000 0.142008 Long DBT CORP US N 2 2029-06-01 Fixed 5.15 N N N N N N N/A N/A 000000000 1.000000 NC USD 31674.200000 0.0015993 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 S&P 500 INDEX N/A N/A Y 2024-04-17 0.000000 USD 0.000000 USD 1139397.330000 USD 31674.200000 N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 24131.040000 PA USD 14315.200000 0.0007228 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.86989 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BMXQXJII2 24229336.000000 PA 2827891.900000 0.142788 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N SMALL BUSINESS ADMIN PART CERT 2004-20F N/A 83162CNU3 2271.490000 PA USD 2268.840000 0.0001146 Long ABS-O CORP US N 2 2024-06-01 Fixed 5.52 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 2880900.000000 PA USD 2213883.000000 0.111785 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N N/A N/A 000000000 1.000000 NC 1268.890000 0.0000641 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 1500000.000000 CAD 1108663.840000 USD 2024-04-02 1268.890000 N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCB0 1600000.000000 PA USD 1483662.290000 0.0749143 Long DBT CORP US N 2 2027-04-22 Floating 1.578 N N N N N N N/A N/A 000000000 1.000000 NC -2027.680000 -0.0001024 N/A DFE DK N 2 UBS AG BFM8T61CT2L1QCEMIK50 31000000.000000 DKK 4572806.230000 USD 2025-04-01 -2027.680000 N N N N/A N/A 000000000 1.000000 NC -10476.590000 -0.000529 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1753590.000000 USD 27727765080.000000 IDR 2024-06-20 -10476.590000 N N N N/A N/A 000000000 -1400000.000000 NC USD -991.060000 -0.00005 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.15000 04/22/24-10Y LCH 2034-04-22 0.000000 USD 0.000000 USD N/A USD N/A 4.150000 USD 2024-04-18 XXXX 3891.440000 N N N GNMA PASS THRU POOLS N/A 3620A3S88 26258.990000 PA USD 26379.720000 0.001332 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -10023.460000 -0.0005061 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1565712.000000 USD 24746391302.000000 IDR 2024-06-20 -10023.460000 N N N N/A N/A 000000000 1.000000 NC USD 331689.210000 0.0167479 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 S&P 500 INDEX N/A N/A Y 2024-04-10 0.000000 USD 0.000000 USD 11980265.130000 USD 331689.210000 N N N RESIDENTIAL ASSET SECURITIES 2005-KS11 N/A 76110W7F7 10018905.000000 PA USD 9647348.900000 0.487122 Long ABS-MBS CORP US N 2 2035-12-25 Floating 6.10389 N N N N N N HERTZ VEHICLE FINANCING III LLC 2023-1A N/A 42806MBS7 1000000.000000 PA USD 1002149.500000 0.0506014 Long ABS-O CORP US N 2 2027-06-25 Fixed 5.49 N N N N N N HOME PARTNERS OF AMERICA TRUST 2021-2 N/A 43732VAT3 700149.490000 PA USD 635913.990000 0.0321091 Long ABS-MBS CORP US N 2 2026-12-17 Fixed 1.901 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023105 8139.000000 NS USD 1570745.610000 0.0793114 Long EC CORP US N 1 N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-1A N/A 96043RAD9 700000.000000 PA USD 699808.690000 0.0353353 Long ABS-O CORP US N 2 2027-05-17 Fixed 5.44 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3 N/A 74143JAA9 5127024.290000 PA USD 4909494.900000 0.247894 Long ABS-MBS CORP US N 2 2051-09-25 Variable 1.8429 N N N N N N N/A N/A 000000000 1.000000 NC 6770.030000 0.0003418 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 6700000.000000 BRL 1331129.350000 USD 2024-07-02 6770.030000 N N N N/A N/A 000000000 1.000000 NC 66.590000 0.0000034 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 96793.000000 USD 8096105.300000 INR 2024-06-20 66.590000 N N N FNMA PASS THRU POOLS N/A 31403DAH2 5908.690000 PA USD 5907.460000 0.0002983 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 6.232 N N N N N N FNMA PASS THRU POOLS N/A 31410FSS5 1341.260000 PA USD 1390.060000 0.0000702 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833100 8139.000000 NS USD 1395675.720000 0.0704717 Long EC CORP US N 1 N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271JDN4 1150000.000000 PA USD 1145611.190000 0.0578452 Long DBT CORP US N 2 2024-04-22 None 0 N N N N N N PACIFIC GAS AND ELECTRIC CO 1HNPXZSMMB7HMBMVBS46 694308JW8 1100000.000000 PA USD 1005205.090000 0.0507557 Long DBT CORP US N 2 2028-06-15 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 7600783.210000 0.383785 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 5904517.400000 USD 0.000000 USD 90300000.000000 USD 1696265.810000 N N N UMBS PASS THRU POOLS N/A 01F062648 75200000.000000 PA USD 76837437.140000 3.87974 Long ABS-MBS USGSE US N 2 2054-04-11 Fixed 6.5 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PD91 500000.000000 PA USD 499042.600000 0.0251981 Long DBT CORP US N 2 2024-04-09 None 0 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-23 N/A 12666CAA1 1982480.330000 PA USD 1832513.420000 0.0925288 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.72389 N N N N N N GNMA PASS THRU POOLS N/A 36297BDL2 1340.330000 PA USD 1350.770000 0.0000682 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162100 8139.000000 NS USD 2314080.480000 0.116845 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -4802.420000 -0.0002425 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-01-08 0.000000 EUR -4768.290000 EUR 1300000.000000 EUR -34.130000 N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAA9 3375503.590000 PA USD 2342361.180000 0.118273 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.88905 N N N N N N N/A N/A 000000000 1.000000 NC -164.710000 -0.0000083 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 92963.000000 USD 7756637.500000 INR 2024-06-20 -164.710000 N N N N/A N/A 000000000 1.000000 NC -8016.640000 -0.0004048 N/A DFE ID N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 601700.000000 USD 9443741670.000000 IDR 2024-06-20 -8016.640000 N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAA9 885357.190000 PA USD 789397.490000 0.0398589 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.58389 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7 N/A 07387VAC3 1232531.560000 PA USD 1160524.600000 0.0585982 Long ABS-MBS CORP US N 2 2037-10-25 Floating 6.39389 N N N N N N N/A N/A 000000000 1.000000 NC -7.740000 -0.0000004 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 249308979.000000 IDR 15687.000000 USD 2024-04-30 -7.740000 N N N CHEVRON CORPORATION N/A 166764100 8139.000000 NS USD 1283845.860000 0.064825 Long EC CORP US N 1 N N N N/A N/A 000000000 100000.000000 PA USD 100000.000000 0.0050493 Long RA US N 2 Repurchase N 5.380000 2024-04-01 120400.000000 USD 101803.840000 USD UST N N N N/A N/A 000000000 1.000000 NC -41764.630000 -0.0021088 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 3038715.000000 USD 15077708.800000 BRL 2024-05-03 -41764.630000 N N N HSI ASSET SEC CORP TRUST 2006-OPT4 N/A 40430KAH4 14728058.950000 PA USD 13101963.420000 0.661556 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.90889 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWE64 381109.840000 PA USD 360613.190000 0.0182084 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N N/A N/A 000000000 -1000000.000000 NC -5569.670000 -0.0002812 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 2.56000 04/22/24-10Y LCH 2034-04-22 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.560000 EUR 2024-04-18 XXXX -2602.570000 N N N N/A N/A 000000000 1.000000 NC -119.620000 -0.000006 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 92752.000000 USD 7742770.010000 INR 2024-06-20 -119.620000 N N N N/A N/A 000000000 -2600000.000000 NC USD -0.260000 0 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08800 04/03/24-10Y LCH 2034-04-03 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2024-04-01 XXXX 9489.740000 N N N N/A N/A 000000000 1.000000 NC -151.820000 -0.0000077 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 91230.000000 USD 7612860.690000 INR 2024-06-20 -151.820000 N N N N/A N/A 000000000 1.000000 NC 7245.990000 0.0003659 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1933316.000000 AUD 1267091.440000 USD 2024-04-02 7245.990000 N N N N/A N/A 000000000 1.000000 NC USD -8632.380000 -0.0004359 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.39 Y Single Leg Swap 2028-06-20 0.000000 USD -34040.000000 USD 500000.000000 USD 25407.620000 N N N N/A N/A 000000000 1.000000 NC 1379.730000 0.0000697 N/A DFE ID N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 5792614650.000000 IDR 366042.000000 USD 2024-04-30 1379.730000 N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-E N/A 43709XAE1 8874225.700000 PA USD 6175682.820000 0.311828 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.61389 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS10 N/A 75405WAG7 13000000.000000 PA USD 12526858.500000 0.632517 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.14889 N N N N N N N/A N/A 000000000 1.000000 NC -3337.810000 -0.0001685 N/A DFE DK N 2 UBS AG BFM8T61CT2L1QCEMIK50 4487091.430000 USD 31000000.000000 DKK 2024-04-02 -3337.810000 N N N TOYOTA AUTO RECEIVABLES 2023-C OWNER TRUST N/A 89231FAB6 3850438.590000 PA USD 3850986.510000 0.194447 Long ABS-O CORP US N 2 2026-08-17 Fixed 5.6 N N N N N N N/A N/A 000000000 1.000000 NC 153.860000 0.0000078 N/A DFE ID N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 579021865.000000 IDR 36605.000000 USD 2024-04-30 153.860000 N N N N/A N/A 000000000 1.000000 NC 5848.770000 0.0002953 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 705636185.000000 KRW 530932.760000 USD 2024-06-20 5848.770000 N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 7505.350000 PA USD 7192.530000 0.0003632 Long ABS-MBS CORP US N 2 2045-10-25 Floating 6.02389 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB N/A 12668AZ65 1669443.720000 PA USD 1214151.360000 0.061306 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 6 N N N N N N SCULPTOR EUROPEAN CLO V DAC 5A N/A ACI21JK97 11075815.740000 PA 11837374.040000 0.597703 Long ABS-CBDO CORP IE N 2 2032-01-14 Floating 4.732 N N N N N N UMBS PASS THRU POOLS N/A 01F050643 32400000.000000 PA USD 31616549.530000 1.59641 Long ABS-MBS USGSE US N 2 2054-04-11 Fixed 5 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-1 N/A 37988XAB1 500000.000000 PA USD 498496.700000 0.0251705 Long ABS-O CORP US N 2 2030-03-15 Fixed 5.24 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 3300000.000000 PA USD 3139078.140000 0.158501 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI1VBJN4 39500000.000000 PA 7690252.430000 0.388303 Long DBT NUSS BR N 2 2024-07-01 None 0 N N N N N N MADISON PARK EURO FUNDING X DAC 10A N/A ACI216KN4 2382207.180000 PA 2559124.120000 0.129218 Long ABS-CBDO CORP IE N 2 2030-10-25 Floating 4.688 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI24R197 4869994.200000 PA 271995.530000 0.0137338 Long DBT NUSS MX N 2 2026-12-03 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 243241.110000 0.0122819 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-06-20 334462.110000 USD 0.000000 USD 36900000.000000 USD -91221.000000 N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC N/A 74143EAA0 1912382.960000 PA USD 1851323.630000 0.0934786 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 1.8677 N N N N N N N/A N/A 000000000 1.000000 NC 672.940000 0.000034 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3000000000.000000 JPY 20094201.620000 USD 2024-07-01 672.940000 N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 524511.490000 PA USD 473123.530000 0.0238894 Long ABS-MBS CORP US N 2 2035-05-19 Floating 5.8808 N N N N N N N/A N/A 000000000 1.000000 NC 49386.690000 0.0024937 N/A DFE CN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 24928930.420000 CNY 3483543.000000 USD 2024-04-19 49386.690000 N N N OAKTREE CLO LTD 2019-4A N/A 67402CAQ9 4600000.000000 PA USD 4608934.630000 0.232718 Long ABS-CBDO CORP KY N 2 2032-10-20 Floating 6.69942 N N N N N N SALESFORCE INC RCGZFPDMRW58VJ54VR07 79466L302 8139.000000 NS USD 2451304.020000 0.123773 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD 18578.560000 0.0009381 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2053-10-16 0.000000 USD -2650.000000 USD 500000.000000 USD 21228.560000 N N N N/A N/A 000000000 1.000000 NC 5248.740000 0.000265 N/A DFE DK N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 4999871.860000 DKK 728416.270000 USD 2024-04-02 5248.740000 N N N N/A N/A 000000000 1.000000 NC 2138.750000 0.000108 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1854951.940000 BRL 371990.000000 USD 2024-04-02 2138.750000 N N N N/A N/A 000000000 -1300000.000000 NC USD -1150.630000 -0.0000581 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08000 04/17/24-10Y LCH 2034-04-17 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2024-04-15 XXXX 3275.870000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PE25 1700000.000000 PA USD 1690378.080000 0.085352 Long DBT CORP US N 2 2024-05-02 None 0 N N N N N N DRYDEN 52 EURO CLO 2017 17-52A N/A ACI1YL2T4 3743088.640000 PA 4016062.540000 0.202783 Long ABS-CBDO CORP IE N 2 2034-05-15 Floating 4.761 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PDG5 600000.000000 PA USD 598172.200000 0.0302034 Long DBT CORP US N 2 2024-04-16 None 0 N N N N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AC8 2462249.590000 PA USD 1318859.180000 0.066593 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.94389 N N N N N N N/A N/A 000000000 1.000000 NC 6257.920000 0.000316 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6715348.000000 TWD 216883.000000 USD 2024-06-20 6257.920000 N N N CARVANA AUTO RECEIVABLES TRUST 2021-P2 N/A 14687TAD9 2300000.000000 PA USD 2193195.130000 0.110741 Long ABS-O CORP US N 2 2027-01-10 Fixed 0.8 N N N N N N BMW VEHICLE OWNER TRUST 2023-A N/A 05592XAD2 2500000.000000 PA USD 2511528.000000 0.126814 Long ABS-O CORP US N 2 2028-02-25 Fixed 5.47 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 1057187.840000 PA USD 942737.740000 0.0476015 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.49575 N N N N N N COUNTRYWIDE ASSET BACKED CERT 2007-QH1 N/A 12669HAA7 743573.100000 PA USD 709079.410000 0.0358034 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.84389 N N N N N N N/A N/A 000000000 1.000000 NC 35313.310000 0.0017831 N/A DFE CN N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 28833775.820000 CNY 4008410.000000 USD 2024-04-26 35313.310000 N N N CHASE AUTO OWNER TRUST 2024-1A N/A 16144BAB4 5400000.000000 PA USD 5404757.400000 0.272902 Long ABS-O CORP US N 2 2027-04-26 Fixed 5.48 N N N N N N N/A N/A 000000000 1.000000 NC -13621.750000 -0.0006878 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 -1214.120000 EUR 600000.000000 EUR -12407.630000 N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 13443CD32 600000.000000 PA USD 599430.070000 0.0302669 Long DBT CORP US N 2 2024-04-03 None 0 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 21038.520000 PA USD 9587.280000 0.0004841 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 N N N N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A N/A 78435VAB8 2100000.000000 PA USD 2097340.770000 0.105901 Long ABS-O CORP US N 2 2027-06-21 Fixed 5.35 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAM2 6000000.000000 PA USD 6021014.340000 0.304018 Long DBT CORP US N 2 2026-08-10 Floating 5.798 N N N N N N MERRILL LYNCH MORTGAGE INV 2006-WMC1 N/A 59020U4L6 7143025.110000 PA USD 6769168.460000 0.341795 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.98389 N N N N N N WASHINGTON MUTUAL 2007-OA2 N/A 933635AA2 1377477.720000 PA USD 1134148.480000 0.0572664 Long ABS-MBS CORP US N 2 2047-03-25 Floating 5.78905 N N N N N N N/A N/A 000000000 1.000000 NC -48029.010000 -0.0024251 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 -3984.990000 EUR 1000000.000000 EUR -44044.020000 N N N N/A N/A 000000000 1.000000 NC -1146.430000 -0.0000579 N/A DFE CA N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 500000.000000 CAD 368001.340000 USD 2024-04-05 -1146.430000 N N N N/A N/A 000000000 1.000000 NC USD 15326.350000 0.0007739 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-07-10 0.000000 USD 0.000000 USD 553105.500000 USD 15326.350000 N N N TOWD POINT MORTGAGE TRUST 2021-SJ2 N/A 89180LAA6 3927888.600000 PA USD 3714279.810000 0.187545 Long ABS-MBS CORP US N 2 2061-12-25 Variable 2.25 N N N N N N POPULAR ABS MORTGAGE PASS-THROUGH TRUST 2006-C N/A 73316MAE7 1265938.040000 PA USD 1170742.410000 0.0591141 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.93889 N N N N N N EXPEDIA GROUP INC N/A 30212PAS4 176000.000000 PA USD 176801.280000 0.0089272 Long DBT CORP US N 2 2025-05-01 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC -22583.720000 -0.0011403 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6827061.760000 USD 568759101.690000 INR 2024-06-20 -22583.720000 N N N MARLETTE FUNDING TRUST 2022-3A N/A 57109NAA7 812203.510000 PA USD 810971.320000 0.0409483 Long ABS-O CORP US N 2 2032-11-15 Fixed 5.18 N N N N N N N/A N/A 000000000 1.000000 NC USD -2660636.940000 -0.134343 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2024-06-15 0.000000 USD -2792098.550000 USD 70900000.000000 USD 131461.610000 N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF11 N/A 32028PAE5 1887364.070000 PA USD 1726799.970000 0.0871911 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.74389 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AB7 800000.000000 PA USD 771497.910000 0.0389551 Long DBT CORP JP N 2 2025-09-17 Fixed 3.522 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QE1 5900000.000000 PA USD 6115257.840000 0.308777 Long DBT UST US N 2 2040-02-15 Fixed 4.625 N N N N N N N/A N/A 000000000 20600000.000000 PA USD 20600000.000000 1.04015 Long RA US N 2 Repurchase N 5.400000 2024-04-01 22762000.000000 USD 20997055.920000 USD UST N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828WU0 19739784.000000 PA USD 19764228.760000 0.997952 Long DBT UST US N 2 2024-07-15 Fixed 0.125 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBQ2 1600000.000000 PA USD 1376959.660000 0.0695266 Long DBT CORP US N 2 2030-08-15 Fixed 2.65 N N N N N N N/A N/A 000000000 1.000000 NC -5454.720000 -0.0002754 N/A DFE JP N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 5409432.000000 USD 814195248.000000 JPY 2024-05-02 -5454.720000 N N N N/A N/A 000000000 1.000000 NC -9003.350000 -0.0004546 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1335949.000000 USD 9161016.440000 DKK 2024-05-02 -9003.350000 N N N N/A N/A 000000000 1.000000 NC USD 4716.900000 0.0002382 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-01-02 0.000000 USD -3027.500000 USD 700000.000000 USD 7744.400000 N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAE1 171823.430000 PA USD 144491.460000 0.0072958 Long ABS-MBS CORP US N 2 2047-06-25 Floating 7.00197 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 13443CE64 250000.000000 PA USD 248451.380000 0.012545 Long DBT CORP US N 2 2024-05-06 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -5209.330000 -0.000263 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 587551.700000 USD 9263340102.000000 IDR 2024-06-20 -5209.330000 N N N AMERICAN ELECTRIC POWER COMPANY INC 1B4S6S7G0TW5EE83BO58 0255E2FB1 1050000.000000 PA USD 1037771.880000 0.0524001 Long DBT CORP US N 2 2024-06-11 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -25331.470000 -0.0012791 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 -1725.750000 EUR 400000.000000 EUR -23605.720000 N N N N/A N/A 000000000 1.000000 NC 202.290000 0.0000102 N/A DFE KR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 67766460.000000 KRW 50483.000000 USD 2024-04-29 202.290000 N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VM7 19280.750000 PA USD 16377.630000 0.000827 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.72819 N N N N N N N/A N/A 000000000 1.000000 NC -34534.590000 -0.0017438 N/A DIR CA N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A CANADIAN ON REPO RATE CORRA Y 2026-03-20 0.000000 CAD 0.000000 CAD 70600000.000000 CAD -34534.590000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B51 200000.000000 PA USD 180907.450000 0.0091345 Long DBT CORP US N 2 2028-02-16 Fixed 2.9 N N N N N N N/A N/A 000000000 1.000000 NC 3604.110000 0.000182 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 1000000.000000 CAD 741942.690000 USD 2024-04-09 3604.110000 N N N N/A N/A 000000000 1.000000 NC USD -11375.650000 -0.0005744 N/A DCR US N 3 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -50920.110000 USD 195721.650000 USD 39544.460000 N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JDJ5 1800000.000000 PA USD 1794220.790000 0.0905953 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 1684475.460000 0.085054 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.41 Y Single Leg Swap 2028-12-20 799643.960000 USD 0.000000 USD 22374000.000000 USD 884831.500000 N N N N/A N/A 000000000 1.000000 NC -1631.960000 -0.0000824 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1000611.480000 USD 1533000.000000 AUD 2024-04-02 -1631.960000 N N N N/A N/A 000000000 1.000000 NC 141385.260000 0.0071389 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 16048123.000000 USD 272505152.600000 MXN 2024-06-20 141385.260000 N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-RN1 LLC N/A 74140QAA6 1636351.430000 PA USD 1599514.050000 0.080764 Long ABS-MBS CORP US N 2 2061-02-25 Variable 1.9917 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UDC6 1650000.000000 PA USD 1646200.880000 0.0831214 Long DBT CORP CA N 2 2024-04-12 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36241KZ35 188586.730000 PA USD 190424.300000 0.0096151 Long ABS-MBS USGSE US N 2 2039-02-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31418CUA0 411768.010000 PA USD 375618.130000 0.018966 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 36963.530000 0.0018664 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 40200.020000 N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 13443CE15 500000.000000 PA USD 497289.000000 0.0251095 Long DBT CORP US N 2 2024-05-01 None 0 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE4 N/A 61753VAC6 1434839.140000 PA USD 474238.010000 0.0239456 Long ABS-MBS CORP US N 2 2037-02-25 Floating 5.62389 N N N N N N N/A N/A 000000000 1.000000 NC USD -8087.290000 -0.0004084 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-03-05 0.000000 USD -5145.000000 USD 600000.000000 USD -2942.290000 N N N 2024-05-28 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer