NPORT-P false 0000810893 XXXXXXXX S000028928 C000088650 C000088651 C000088654 C000200462 C000088655 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO CommoditiesPLUS Strategy Fund S000028928 J3CR7RQMQGPILZT8TV36 2024-03-31 2024-03-31 N 5017052599.920000 636640292.280000 4380412307.640000 0.000000 1074043401.620000 15770003.040000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 8807693.370000 USD JPY BRL CAD DKK EUR GBP NZD N Credit Suisse Commodities Benchmark Total Return Index CSIXTR N/A N/A 000000000 1.000000 NC -1526.550000 -0.0000348 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1382909.910000 CAD 1019871.840000 USD 2024-05-02 -1526.550000 N N N LCM XV LP 15A N/A 50184NAR3 253393.060000 PA USD 253500.750000 0.0057871 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 6.57942 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397D83 2800000.000000 PA USD 2811547.700000 0.0641845 Long DBT CORP US N 2 2027-03-05 Fixed 5.8 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 6452058.620000 PA USD 5198464.920000 0.118675 Long ABS-MBS CORP US N 2 2036-12-19 Floating 5.8508 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1 N/A 23246KAA9 5319442.090000 PA USD 1958239.830000 0.0447045 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339MDS2 350000.000000 PA USD 348435.400000 0.0079544 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 -96870.160000 -0.0022114 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16933948.080000 USD 13340000.000000 GBP 2024-04-02 -96870.160000 N N N MADISON PARK FUNDING XXX LTD 2018-30A N/A 55821TAA5 1124197.470000 PA USD 1124478.520000 0.0256706 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 6.3256 N N N N N N N/A N/A 000000000 167850455.500000 PA USD 167850455.500000 3.83184 Long RA US N 2 Repurchase N 5.320000 2026-03-14 209395000.000000 USD 168404303.830000 USD UST N N N N/A N/A 000000000 -35.000000 NC USD 64556.030000 0.0014737 N/A DCO US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A Live Cattle 2024-10-31 -2539250.000000 USD 64556.030000 N N N VOLKSWAGEN AUTO LEASE TRUST 2024-A N/A 92866EAB5 2800000.000000 PA USD 2805641.720000 0.0640497 Long ABS-O CORP US N 2 2026-12-21 Fixed 5.4 N N N N N N N/A N/A 000000000 1.000000 NC USD 8213055.470000 0.187495 N/A DCO US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 COMM SWAP TBL/CSIXTR MEI CSIXTR Y 2025-02-18 0.000000 USD 0.000000 USD 687174289.370000 USD 8213055.470000 N N N N/A N/A 000000000 1.000000 NC 3419.720000 0.0000781 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A UNITED KINGDOM GOVT 2024-06-26 126139.250000 GBP 3419.720000 N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI28SXK1 46500.000000 NS 210699.390000 0.00481 Long EC CORP IT N 1 N N N N/A N/A 000000000 -187.000000 NC -28218.460000 -0.0006442 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 04/29/24 2024-04-30 N/A EUR N/A 40.000000 EUR 2024-04-26 XXXX 47171.530000 N N N N/A N/A 000000000 152.000000 NC USD 732432.980000 0.0167206 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2024-06-20 12413840.000000 USD 732432.980000 N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341WZ8 32255.730000 PA USD 30126.340000 0.0006878 Long ABS-MBS CORP US N 3 2035-11-25 Floating 4.7037 N N N N N N CVC CORDATUS LOAN FUND III LTD CORDA-A N/A ACI12W091 4880218.130000 PA 5246734.800000 0.119777 Long ABS-CBDO CORP IE N 2 2032-08-15 Floating 4.681 N N N N N N BENEFIT STREET PARTNERS CLO XVII LTD N/A 08182BAL2 500000.000000 PA USD 500110.780000 0.011417 Long ABS-CBDO CORP KY N 2 2032-07-15 Floating 6.6556 N N N N N N VIBRANT CLO IV LTD 2016-4A N/A 92557WAW3 2300000.000000 PA USD 2303807.280000 0.0525934 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.69942 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-5 N/A 1266716K7 15272.200000 PA USD 15221.020000 0.0003475 Long ABS-MBS CORP US N 2 2034-08-25 Floating 6.29889 N N N N N N N/A N/A 000000000 -398.000000 NC USD -2003416.620000 -0.0457358 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2024-04-22 -33101660.000000 USD -2003416.620000 N N N MF1 2022-FL8 LTD N/A 55284JAA7 971806.420000 PA USD 962707.880000 0.0219776 Long ABS-CBDO CORP KY N 2 2037-02-19 Floating 6.67632 N N N N N N N/A N/A 000000000 1.000000 NC USD -4167230.380000 -0.0951333 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2026-11-21 2165336.300000 USD 0.000000 USD 39000000.000000 USD -6332566.680000 N N N N/A N/A 000000000 -60.000000 NC USD -84000.000000 -0.0019176 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Call Written COMMODITY EXCHANGE INC. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT GOLD 100 OZ FUTR 06/26/24 2024-06-27 N/A USD N/A 2300.000000 USD 2024-04-25 XXXX -32996.640000 N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XD37 650000.000000 PA USD 649412.600000 0.0148254 Long DBT CORP US N 2 2024-04-03 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -6891.500000 -0.0001573 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 12900000.000000 BRL 2542994.350000 USD 2024-07-02 -6891.500000 N N N N/A N/A 000000000 1.000000 NC -5329.730000 -0.0001217 N/A DFE DK N 2 UBS AG BFM8T61CT2L1QCEMIK50 7164871.810000 USD 49500000.000000 DKK 2024-04-02 -5329.730000 N N N FNMA PASS THRU POOLS N/A 31418CRC0 186572.120000 PA USD 170193.350000 0.0038853 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.5 N N N N N N EUROSAIL PLC 2007-3X N/A ACI01JMT5 462105.430000 PA 581554.840000 0.0132763 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 6.26713 N N N N N N N/A N/A 000000000 1.000000 NC 16717.500000 0.0003816 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1757000.000000 EUR 1912256.780000 USD 2024-04-02 16717.500000 N N N VOYA EURO CLO III DAC 3A N/A ACI1K8HQ8 11000000.000000 PA 11787612.210000 0.269098 Long ABS-CBDO CORP IE N 2 2033-04-15 Floating 4.862 N N N N N N SMALL BUSINESS ADMIN PART CERT 2007-20E N/A 83162CRA3 18830.100000 PA USD 18518.350000 0.0004228 Long ABS-O CORP US N 2 2027-05-01 Fixed 5.31 N N N N N N ASSET BACKED SEC HOME EQTY LN 2006-HE6 N/A 04544NAR5 3917921.680000 PA USD 3759672.510000 0.0858292 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.90389 N N N N N N TOWD POINT MORTGAGE FUNDING 2019-AUBURN 13 PLC 19-A13X N/A ACI1G4DQ6 7227235.000000 PA 9126619.160000 0.208351 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 6.56626 N N N N N N FNMA PASS THRU POOLS N/A 31418CPE8 114261.880000 PA USD 104231.220000 0.0023795 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.5 N N N N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BDH2 250000.000000 PA USD 249239.450000 0.0056899 Long DBT CORP US N 2 2024-04-17 None 0 N N N N N N N/A N/A 000000000 94.000000 NC -141924.300000 -0.00324 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Long N/A TTF 2024-09-27 2186168.580000 EUR -141924.300000 N N N ENBRIDGE (US) INC 5493003FRODSVHJWFS32 29251UD54 550000.000000 PA USD 549324.190000 0.0125405 Long DBT CORP US N 2 2024-04-05 None 0 N N N N N N FANNIE MAE REMICS 2024-10 N/A 3136BQ6A2 2929671.960000 PA USD 2936230.620000 0.0670309 Long ABS-MBS USGSE US N 2 2050-12-25 Floating 5.64515 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22 N/A 02151BBG2 1337829.630000 PA USD 514924.740000 0.0117552 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6.5 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT N/A 46645WAA1 1090090.300000 PA USD 1040496.750000 0.0237534 Long ABS-MBS CORP US N 2 2033-07-05 Floating 6.512 N N N N N N REGATTA VIII FUNDING LTD 2017-1A N/A 75888KAA2 921411.690000 PA USD 923517.980000 0.0210829 Long ABS-CBDO CORP KY N 2 2030-10-17 Floating 6.82814 N N N N N N BDS 2022-FL11 LLC N/A 054980AA5 2400000.000000 PA USD 2391143.450000 0.0545872 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 7.12632 N N N N N N N/A N/A 000000000 568.000000 NC USD 251335.710000 0.0057377 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Kansas Wheat 2024-07-12 16464900.000000 USD 251335.710000 N N N N/A N/A 000000000 1.000000 NC USD 49268.860000 0.0011248 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 COMM SWAP TBL/BCOMF1TC GST BCOMF1TCA Y 2025-02-18 0.000000 USD 0.000000 USD 16255712.480000 USD 49268.860000 N N N BAIN CAPITAL EURO CLO 2021-2 DAC 21-2A N/A ACI294R53 3900000.000000 PA 4178498.340000 0.0953905 Long ABS-CBDO CORP IE N 2 2034-07-17 Floating 4.952 N N N N N N N/A N/A 000000000 1.000000 NC USD 207344.620000 0.0047334 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 LONDON GOLD MKT FIX LTD PM N/A N/A Y Single Leg Swap 2025-10-22 0.000000 USD 0.000000 USD 13557000.000000 USD 207344.620000 N N N N/A N/A 000000000 -7.000000 NC -3365.750000 -0.0000768 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 08/29/24 2024-08-30 N/A EUR N/A 60.000000 EUR 2024-08-27 XXXX 7918.350000 N N N N/A N/A 000000000 -689.000000 NC USD 55468.670000 0.0012663 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A Wheat 2024-07-12 -19834587.500000 USD 55468.670000 N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26244HE74 400000.000000 PA USD 397526.670000 0.0090751 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 -86965.090000 -0.0019853 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 12904193.000000 USD 88488051.700000 DKK 2024-05-02 -86965.090000 N N N N/A N/A 000000000 159.000000 NC USD 113046.770000 0.0025807 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Corn 2024-12-13 3798112.500000 USD 113046.770000 N N N N/A N/A 000000000 1.000000 NC 12438.720000 0.000284 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 10200000.000000 BRL 2011125.860000 USD 2024-10-02 12438.720000 N N N NYO COMMERCIAL MORTGAGE TRUST 2021-1290 N/A 62955HAA5 1000000.000000 PA USD 969612.200000 0.0221352 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.53548 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-9 N/A 41161PSK0 278420.990000 PA USD 257132.950000 0.0058701 Long ABS-MBS CORP US N 2 2035-06-20 Floating 6.12323 N N N N N N AREIT TRUST 2022-CRE7 N/A 00217VAA8 3700000.000000 PA USD 3716436.140000 0.0848422 Long ABS-MBS CORP US N 2 2039-06-17 Floating 7.56867 N N N N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BD17 250000.000000 PA USD 249849.430000 0.0057038 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 923210.600000 0.0210759 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 6310000000.000000 JPY 43141906.790000 USD 2024-06-24 923210.600000 N N N UMBS PASS THRU POOLS N/A 01F040651 242700000.000000 PA USD 224873323.380000 5.13361 Long ABS-MBS USGSE US N 2 2052-06-25 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 1150277.670000 0.0262596 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 COMM SWAP TBL/CSIXTR MAC CSIXTR Y 2025-02-18 0.000000 USD 0.000000 USD 96351281.800000 USD 1150277.670000 N N N JP MORGAN ALTERNATIVE LN TRUST 2006-S3 N/A 46628VAG1 918646.440000 PA USD 863601.600000 0.0197151 Long ABS-MBS CORP US N 2 2036-08-25 Variable 6.81 N N N N N N N/A N/A 000000000 1.000000 NC USD -8002.290000 -0.0001827 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2024-03-31 0.000000 USD 0.000000 USD 5000.000000 USD -8002.290000 N N N DRYDEN 48 EURO CLO 2016 DAC 16-48A N/A ACI2410M6 3000000.000000 PA 3065268.590000 0.0699767 Long ABS-CBDO CORP IE N 2 2032-10-15 Fixed 1.47 N N N N N N N/A N/A 000000000 1.000000 NC USD 479444.920000 0.0109452 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-12-21 526505.020000 USD 0.000000 USD 6900000.000000 USD -47060.100000 N N N N/A N/A 000000000 1.000000 NC 7395.480000 0.0001688 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 13200000.000000 BRL 2593931.770000 USD 2024-10-02 7395.480000 N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2K0 7500000.000000 PA USD 7540493.400000 0.172141 Long DBT CORP US N 2 2025-04-11 Floating 6.70571 N N N N N N FHLMC PASS THRU POOLS N/A 3128PWPR3 238461.370000 PA USD 231133.600000 0.0052765 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 3 N N N N N N ONE MARKET PLAZA TRUST 2017-1MKT N/A 68245HAA2 730447.760000 PA USD 675189.610000 0.0154138 Long ABS-MBS CORP US N 2 2032-02-10 Fixed 3.6139 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBZ7 8900000.000000 PA USD 8856191.530000 0.202177 Long DBT CORP GB N 2 2026-08-09 Floating 5.304 N N N N N N ROGERS COMMUNICATIONS INC 54930030NVF3Y2OL0A78 77511LDB6 400000.000000 PA USD 399149.990000 0.0091122 Long DBT CORP CA N 2 2024-04-11 None 0 N N N N N N VOYA CLO LTD 2015-1A N/A 92914NAJ0 176393.430000 PA USD 176345.240000 0.0040258 Long ABS-CBDO CORP KY N 2 2029-01-18 Floating 6.45952 N N N N N N N/A N/A 000000000 -18.000000 NC -3467.510000 -0.0000792 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 07/30/24 2024-07-31 N/A EUR N/A 75.000000 EUR 2024-07-26 XXXX 40987.030000 N N N MLCC MORTGAGE INVESTORS INC 2004-1 N/A 59020UNP6 30336.560000 PA USD 28330.890000 0.0006468 Long ABS-MBS CORP US N 2 2034-12-25 Floating 5.12367 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A2 N/A 466247NZ2 1138.720000 PA USD 1118.040000 0.0000255 Long ABS-MBS CORP US N 3 2035-04-25 Floating 5.14701 N N N N N N LCM XXIV LTD 24A N/A 50188YAE4 434919.490000 PA USD 435245.680000 0.0099362 Long ABS-CBDO CORP KY N 2 2030-03-20 Floating 6.55942 N N N N N N N/A N/A 000000000 1.000000 NC 10275.480000 0.0002346 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 4520670.170000 USD 22724504.810000 BRL 2024-04-02 10275.480000 N N N COMMODITY WAREHOUSE RECEIPT N/A 936QAV904 16796.560000 NS USD 37085617.640000 0.846624 Long COMM US N 2 N N N N/A N/A 000000000 -180.000000 NC -118147.010000 -0.0026972 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 05/30/24 2024-05-31 N/A EUR N/A 35.000000 EUR 2024-05-24 XXXX 54141.070000 N N N N/A N/A 000000000 -92.000000 NC USD -125120.000000 -0.0028564 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Call Written INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 05/31/24 2024-06-01 N/A USD N/A 91.000000 USD 2024-05-28 XXXX -17220.000000 N N N MF1 2022-FL9 LLC N/A 55285AAA5 2500000.000000 PA USD 2502993.350000 0.0571406 Long ABS-CBDO CORP US N 2 2037-06-19 Floating 7.47632 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 46866.220000 PA USD 30146.240000 0.0006882 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.86389 N N N N N N N/A N/A 000000000 4.000000 NC USD 1560.920000 0.0000356 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A API2 Coal 2024-07-26 466600.000000 USD 1560.920000 N N N FREDDIE MAC 3397 N/A 31397PLU2 103824.320000 PA USD 103236.060000 0.0023568 Long ABS-MBS USGSE US N 2 2037-12-15 Floating 6.03312 N N N N N N N/A N/A 000000000 -56.000000 NC USD -92604.730000 -0.0021141 N/A DCO US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Short N/A Coffee 2024-07-19 -3949050.000000 USD -92604.730000 N N N N/A N/A 000000000 1.000000 NC 726.600000 0.0000166 N/A DFE GB N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 113000.000000 GBP 143349.520000 USD 2024-04-02 726.600000 N N N N/A N/A 000000000 -158.000000 NC USD -199944.950000 -0.0045645 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2024-08-20 -12654220.000000 USD -199944.950000 N N N PENTA CLO 7 DAC N/A ACI290JX9 3500000.000000 PA 3756315.430000 0.0857526 Long ABS-CBDO CORP IE N 2 2033-01-25 Floating 4.898 N N N N N N N/A N/A 000000000 -33.000000 NC USD 18150.200000 0.0004143 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A Henry 2024-04-25 -581790.000000 USD 18150.200000 N N N N/A N/A 000000000 1.000000 NC -19537.170000 -0.000446 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2551737.990000 USD 12700000.000000 BRL 2024-04-02 -19537.170000 N N N N/A N/A 000000000 14.000000 NC USD -1960.980000 -0.0000448 N/A DCO US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Long N/A Cotton 2024-12-06 587930.000000 USD -1960.980000 N N N N/A N/A 000000000 -9.000000 NC -2957.170000 -0.0000675 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 08/29/24 2024-08-30 N/A EUR N/A 70.000000 EUR 2024-08-27 XXXX 26590.420000 N N N READY CAPITAL MORTGAGE FINANCING 2022-FL10 LLC N/A 755931AA0 3475608.940000 PA USD 3499773.460000 0.079896 Long ABS-MBS CORP US N 2 2039-10-25 Floating 7.88141 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2007-20K N/A 83162CRK1 10130.160000 PA USD 10002.510000 0.0002283 Long ABS-O CORP US N 2 2027-11-01 Fixed 5.51 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 4268.820000 PA USD 3980.910000 0.0000909 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.06347 N N N N N N N/A N/A 000000000 1.000000 NC USD 139110.920000 0.0031757 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 COMM SWAP TBL/BCOMF1NTC GST BCOMF1NTCB Y 2025-02-18 0.000000 USD 0.000000 USD 67411012.820000 USD 139110.920000 N N N WASHINGTON MUTUAL 2005-AR2 N/A 92922FD39 172679.900000 PA USD 168725.360000 0.0038518 Long ABS-MBS CORP US N 2 2045-01-25 Floating 6.18389 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLV9 5400000.000000 PA USD 5473641.530000 0.124957 Long DBT CORP US N 2 2027-09-15 Floating 5.933 N N N N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JDJ5 900000.000000 PA USD 897110.400000 0.02048 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N N/A N/A 000000000 72.000000 NC USD -41403.140000 -0.0009452 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A Henry 2024-05-29 1437840.000000 USD -41403.140000 N N N N/A N/A 000000000 11.000000 NC USD -100088.890000 -0.0022849 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A Henry 2024-10-29 322300.000000 USD -100088.890000 N N N READYCAP COMMERCIAL MORTGAGE TRUST 2021-FL7 N/A 75575WAA4 691548.530000 PA USD 687293.500000 0.0156902 Long ABS-MBS CORP US N 2 2036-11-25 Floating 6.64389 N N N N N N COMMODITY WAREHOUSE RECEIPT N/A 966NPXII5 6086.000000 NS USD 13437457.960000 0.306762 Long COMM US N 2 N N N HERTZ VEHICLE FINANCING LLC 2022-1A N/A 42806MAJ8 2692000.000000 PA USD 2597098.390000 0.0592889 Long ABS-O CORP US N 2 2026-06-25 Fixed 1.99 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWQ3 5806000.000000 PA USD 5736730.470000 0.130963 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 2586.780000 0.0000591 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2278166.330000 BRL 456821.000000 USD 2024-04-02 2586.780000 N N N OCP EURO CLO DAC 2017-2A N/A ACI0YSL94 2979429.600000 PA 3210339.070000 0.0732885 Long ABS-CBDO CORP IE N 2 2032-01-15 Floating 4.762 N N N N N N FS RIALTO 2022-FL4 N/A 30326MAA3 7400000.000000 PA USD 7387482.230000 0.168648 Long ABS-CBDO CORP US N 2 2039-01-19 Floating 7.21864 N N N N N N N/A N/A 000000000 -332.000000 NC USD -521488.750000 -0.011905 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Short N/A Aluminum 2024-07-15 -19487155.000000 USD -521488.750000 N N N N/A N/A 000000000 1.000000 NC USD 611693.040000 0.0139643 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-12-21 672080.180000 USD 0.000000 USD 8800000.000000 USD -60387.140000 N N N ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM N/A 04965JAA1 1962005.330000 PA USD 1907455.700000 0.0435451 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.553 N N N N N N PRESTIGE AUTO RECEIVABLES TRUST 2024-1A N/A 74113QAC5 900000.000000 PA USD 900493.470000 0.0205573 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 -8494.000000 -0.0001939 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2520756.230000 USD 12600000.000000 BRL 2024-04-02 -8494.000000 N N N ACE SECURITIES CORP 2004-HE4 N/A 004421JH7 351297.010000 PA USD 318090.800000 0.0072617 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.34389 N N N N N N N/A N/A 000000000 -55.000000 NC USD -128150.000000 -0.0029255 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Call Written INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 04/30/24 2024-05-01 N/A USD N/A 86.500000 USD 2024-04-25 XXXX -55550.000000 N N N READYCAP COMMERCIAL MORTGAGE TRUST 2022-FL9 N/A 75574EAA5 1157565.600000 PA USD 1163041.640000 0.026551 Long ABS-MBS CORP US N 2 2037-06-25 Floating 7.79641 N N N N N N N/A N/A 000000000 -18.000000 NC -2022.710000 -0.0000462 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 06/27/24 2024-06-28 N/A EUR N/A 75.000000 EUR 2024-06-26 XXXX 42431.830000 N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-8 N/A 1266735Z1 2314000.000000 PA USD 2241412.370000 0.051169 Long ABS-MBS CORP US N 2 2035-12-25 Floating 6.47889 N N N N N N N/A N/A 000000000 -7.000000 NC -151.710000 -0.0000035 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 04/29/24 2024-04-30 N/A EUR N/A 60.000000 EUR 2024-04-26 XXXX 11508.520000 N N N N/A N/A 000000000 339.000000 NC USD 612328.320000 0.0139788 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2025-11-20 24516480.000000 USD 612328.320000 N N N FNMA PASS THRU POOLS N/A 3138ENEW5 1643130.340000 PA USD 1690041.940000 0.0385818 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 5.889 N N N N N N STRUCTURED ASSET SEC CORP 2005-7XS N/A 86359B7K1 30223.110000 PA USD 29812.800000 0.0006806 Long ABS-MBS CORP US N 2 2035-04-25 Floating 6.94007 N N N N N N N/A N/A 000000000 1.000000 NC 1191.140000 0.0000272 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2045-12-15 1.410000 JPY 0.000000 JPY 990000.000000 JPY 1189.730000 N N N N/A N/A 000000000 1.000000 NC USD -1267960.240000 -0.0289461 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2025-01-15 0.000000 USD 0.000000 USD 483620738.570000 USD -1267960.240000 N N N N/A N/A 000000000 -262.000000 NC USD -527536.470000 -0.0120431 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-06-18 -33720218.750000 USD -527536.470000 N N N N/A N/A 000000000 1.000000 NC -20518.160000 -0.0004684 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7280370.410000 USD 50193529.480000 DKK 2024-04-02 -20518.160000 N N N N/A N/A 000000000 -15.000000 NC USD 7275.600000 0.0001661 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A Petroleum 2024-09-30 -387930.000000 USD 7275.600000 N N N N/A N/A 000000000 -90.000000 NC -32368.090000 -0.0007389 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 05/30/24 2024-05-31 N/A EUR N/A 40.000000 EUR 2024-05-24 XXXX 16790.810000 N N N FORT CRE 2022-FL3 N/A 34706CAA7 3464350.930000 PA USD 3464379.580000 0.079088 Long ABS-CBDO CORP US N 2 2039-02-23 Floating 7.17039 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PE25 2100000.000000 PA USD 2088114.120000 0.0476694 Long DBT CORP US N 2 2024-05-02 None 0 N N N N N N N/A N/A 000000000 -57.000000 NC USD -58710.000000 -0.0013403 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Call Written NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL NYM 04/22/24 2024-04-23 N/A USD N/A 85.000000 USD 2024-04-17 XXXX 6710.610000 N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WDA4 250000.000000 PA USD 249494.880000 0.0056957 Long DBT CORP US N 2 2024-04-10 None 0 N N N N N N N/A N/A 000000000 4.000000 NC USD 7160.920000 0.0001635 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A API2 Coal 2024-09-27 472200.000000 USD 7160.920000 N N N M360 2021-CRE3 LLC N/A 55379AAA2 853468.900000 PA USD 837412.350000 0.0191172 Long ABS-CBDO CORP KY N 2 2038-11-22 Floating 6.9433 N N N N N N PFP 2022-9 LTD A N/A 69291QAA3 2500000.000000 PA USD 2509834.000000 0.0572968 Long ABS-MBS CORP KY N 2 2035-08-19 Floating 7.59963 N N N N N N BANC OF AMERICA FUNDING CORP 2007-C N/A 059522BE1 187334.650000 PA USD 159864.020000 0.0036495 Long ABS-MBS CORP US N 3 2036-05-20 Floating 4.78279 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UM6 69126.750000 PA USD 64742.990000 0.001478 Long ABS-MBS CORP US N 2 2034-11-21 Floating 5.37074 N N N N N N N/A N/A 000000000 1.000000 NC -570.420000 -0.000013 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1477097.020000 USD 2000000.000000 CAD 2024-04-02 -570.420000 N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A 12564NAA0 6300000.000000 PA USD 6232352.490000 0.142278 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.565 N N N N N N CHASEFLEX TRUST 2006-1 N/A 16165LAF7 42318.300000 PA USD 36040.990000 0.0008228 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.3 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-7 N/A 126673EG3 2519031.550000 PA USD 2111588.520000 0.0482052 Long ABS-MBS CORP US N 2 2034-11-25 Floating 7.16889 N N N N N N N/A N/A 000000000 1.000000 NC -4685.370000 -0.000107 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 701622.410000 USD 646000.000000 EUR 2024-04-02 -4685.370000 N N N N/A N/A 000000000 1.000000 NC 19473.260000 0.0004446 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 13000000.000000 BRL 2589125.670000 USD 2024-07-02 19473.260000 N N N N/A N/A 000000000 15.000000 NC USD -10461.900000 -0.0002388 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A Petroleum 2024-08-30 349582.500000 USD -10461.900000 N N N COMMODITY WAREHOUSE RECEIPT N/A 966RBXII1 82718.000000 NS USD 182635499.150000 4.16937 Long COMM US N 2 N N N N/A N/A 000000000 15.000000 NC USD -17010.900000 -0.0003883 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A Petroleum 2024-07-31 343033.500000 USD -17010.900000 N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 89236TKY0 10200000.000000 PA USD 10214416.270000 0.233184 Long DBT CORP US N 2 2024-08-22 Floating 5.86 N N N N N N ATLAS SENIOR LOAN FUND XIII N/A 04942VAW4 826132.550000 PA USD 827992.490000 0.0189022 Long ABS-CBDO CORP KY N 2 2031-04-22 Floating 6.65942 N N N N N N TCW CLO LTD 2018-1A N/A 87240UAR1 375975.700000 PA USD 375899.190000 0.0085814 Long ABS-CBDO CORP KY N 2 2031-04-25 Floating 6.55628 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WDP1 350000.000000 PA USD 348577.600000 0.0079576 Long DBT CORP US N 2 2024-04-23 None 0 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EE69 300000.000000 PA USD 298191.700000 0.0068074 Long DBT CORP US N 2 2024-05-06 None 0 N N N N N N N/A N/A 000000000 -55.000000 NC USD -143550.000000 -0.0032771 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Call Written INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 04/30/24 2024-05-01 N/A USD N/A 86.000000 USD 2024-04-25 XXXX -69300.000000 N N N N/A N/A 000000000 15.000000 NC USD -3068.400000 -0.00007 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A Petroleum 2024-09-30 356976.000000 USD -3068.400000 N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UDH5 1050000.000000 PA USD 1046764.830000 0.0238965 Long DBT CORP CA N 2 2024-04-17 None 0 N N N N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JDP1 250000.000000 PA USD 249001.110000 0.0056844 Long DBT CORP US N 2 2024-04-23 None 0 N N N N N N SAXON ASSET SECURITIES TRUST 2007-3 N/A 80557BAA2 460663.270000 PA USD 434200.560000 0.0099123 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.75389 N N N N N N COMMODITY WAREHOUSE RECEIPT N/A 935UQP902 20829.550000 NS USD 45990179.000000 1.04991 Long COMM US N 2 N N N N/A N/A 000000000 332200000.000000 PA USD 332200000.000000 7.58376 Long RA US N 2 Repurchase N 5.390000 2024-04-01 314491000.000000 USD 336407091.560000 USD UST N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XDF0 450000.000000 PA USD 448777.240000 0.0102451 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 -72465.110000 -0.0016543 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 23408796.570000 USD 21630749.000000 EUR 2024-04-02 -72465.110000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2MBCX7 6400000000.000000 PA 42277880.840000 0.965158 Long DBT NUSS JP N 2 2024-04-08 None 0 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION (FANNIE MAE) B1V7KEBTPIMZEU4LTD58 3135G0K36 5695000.000000 PA USD 5414224.200000 0.123601 Long DBT USGSE US N 2 2026-04-24 Fixed 2.125 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAA4 432702.280000 PA USD 429122.530000 0.0097964 Long ABS-MBS CORP US N 2 2035-04-15 Floating 6.398 N N N N N N N/A N/A 000000000 1.000000 NC USD 48436.800000 0.0011058 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2024-03-31 0.000000 USD 0.000000 USD 7000.000000 USD 48436.800000 N N N STRUCTURED ASSET MTG INV INC 2004-AR8 N/A 86359LGE3 25921.580000 PA USD 24315.160000 0.0005551 Long ABS-MBS CORP US N 2 2035-05-19 Floating 6.1208 N N N N N N PENSKE TRUCK LEASING CO LP 549300ZX07JYMI8GHQ39 70962ADB9 250000.000000 PA USD 249458.750000 0.0056949 Long DBT CORP US N 2 2024-04-11 None 0 N N N N N N NATIONAL GRID NORTH AMERICA INC (AKA: NATIONAL GRID HOLDINGS INC) 5Q3U0WRKWZZGRMPYFT08 63627ADF2 250000.000000 PA USD 249314.130000 0.0056916 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 USD 6167072.460000 0.140788 N/A DCO US N 2 UBS AG 254900R882POXXVAK772 COMM SWAP TBL/CSIXTR UAG CSIXTR Y 2025-02-18 0.000000 USD 0.000000 USD 515794975.050000 USD 6167072.460000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828R36 25577000.000000 PA USD 24043379.040000 0.548884 Long DBT UST US N 2 2026-05-15 Fixed 1.625 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15 N/A 38380LJY0 2500511.010000 PA USD 2463641.730000 0.0562422 Long ABS-MBS USGSE US N 2 2068-08-20 Floating 6.24637 N N N N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JDR7 250000.000000 PA USD 248922.070000 0.0056826 Long DBT CORP US N 2 2024-04-25 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 13248.410000 0.0003024 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 51300000.000000 DKK 7583860.650000 USD 2025-04-01 13248.410000 N N N BABSON CLO LTD 2015-IA N/A 056162AN0 891190.210000 PA USD 893103.010000 0.0203886 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 6.56942 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837BD4 9900000.000000 PA USD 10001598.650000 0.228325 Long DBT CORP NL N 2 2026-03-28 Floating 6.97965 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CJY8 97206204.000000 PA USD 96023857.720000 2.19212 Long DBT UST US N 2 2034-01-15 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC 7782.010000 0.0001777 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3965068.010000 USD 5381424.000000 CAD 2024-04-01 7782.010000 N N N JUBILEE CLO 2019-XXIII DAC 19-23A N/A ACI298MV2 15000000.000000 PA 16085692.510000 0.367219 Long ABS-CBDO CORP IE N 2 2032-06-15 Floating 4.842 N N N N N N LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2 N/A 52607QAA8 3162069.590000 PA USD 3087012.180000 0.0704731 Long ABS-O CORP US N 2 2028-04-15 Fixed 3.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796ZW2 1445000.000000 PA USD 1428265.300000 0.0326057 Long DBT UST US N 2 2024-06-20 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 16096.420000 0.0003675 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 16700000.000000 BRL 3288456.730000 USD 2024-10-02 16096.420000 N N N KKR CLO TRUST 2013-1A N/A 48249VAN1 406115.520000 PA USD 406572.400000 0.0092816 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 6.8656 N N N N N N MFA 2022-NQM1 TRUST N/A 55284PAC9 3703554.870000 PA USD 3556579.670000 0.0811928 Long ABS-MBS CORP US N 2 2066-12-25 Variable 4.112 N N N N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BDA7 250000.000000 PA USD 249508.150000 0.005696 Long DBT CORP US N 2 2024-04-10 None 0 N N N N N N N/A N/A 000000000 -315.000000 NC USD -1583178.480000 -0.0361422 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A Gasoline 2024-05-31 -35568855.000000 USD -1583178.480000 N N N N/A N/A 000000000 1.000000 NC USD 19905.480000 0.0004544 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP JMABFNJ2 JPM JMABFNJ2 Y Single Leg Swap 2024-12-31 0.000000 USD 0.000000 USD 9696828.030000 USD 19905.480000 N N N N/A N/A 000000000 1.000000 NC 17329.910000 0.0003956 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6300000.000000 BRL 1251813.140000 USD 2024-10-02 17329.910000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLG2 200000.000000 PA USD 200250.940000 0.0045715 Long DBT CORP US N 2 2029-04-25 Floating 5.202 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 12665JD14 3000000.000000 PA USD 2998203.100000 0.0684457 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 USD 6815013.220000 0.155579 N/A DCO US N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 COMM SWAP TBL/CSIXTR SOG CSIXTR Y 2025-02-18 0.000000 USD 0.000000 USD 570849359.370000 USD 6815013.220000 N N N CITIZENS AUTO RECEIVABLES TRUST 2023-2 N/A 17295FAB0 1057872.610000 PA USD 1060165.650000 0.0242024 Long ABS-O CORP US N 2 2026-10-15 Fixed 6.09 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WDQ9 400000.000000 PA USD 398311.600000 0.009093 Long DBT CORP US N 2 2024-04-24 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-22 N/A 38378BDY2 720476.930000 PA USD 210.020000 0.0000048 Long ABS-MBS USGSE US N 2 2053-10-16 Variable 0.07791 N N N N N N ATSTC 2022-1A N/A 04942PAJ6 740566.440000 PA USD 744645.340000 0.0169994 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 7.06399 N N N N N N N/A N/A 000000000 1.000000 NC -148.040000 -0.0000034 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 697894.740000 USD 646000.000000 EUR 2024-05-02 -148.040000 N N N UMBS PASS THRU POOLS N/A 01F032658 -14500000.000000 PA USD -12987049.850000 -0.29648 Short ABS-MBS USGSE US N 2 2052-03-25 Fixed 3.5 N N N N N N STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST 2004-17 N/A 863579DS4 394663.380000 PA USD 339866.070000 0.0077588 Long ABS-MBS CORP US N 3 2034-11-25 Floating 6.39007 N N N N N N N/A N/A 000000000 -1024.000000 NC USD -4258740.450000 -0.0972224 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2024-05-21 -84398080.000000 USD -4258740.450000 N N N N/A N/A 000000000 -113.000000 NC USD -181930.000000 -0.0041533 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Call Written INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 04/30/24 2024-05-01 N/A USD N/A 88.000000 USD 2024-04-25 XXXX -40390.000000 N N N N/A N/A 000000000 1.000000 NC -14114.040000 -0.0003222 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2546314.860000 USD 12700000.000000 BRL 2024-04-02 -14114.040000 N N N N/A N/A 000000000 1.000000 NC 2518743.540000 0.0575001 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6400000000.000000 JPY 44841635.460000 USD 2024-04-08 2518743.540000 N N N AMERICAN ELECTRIC POWER COMPANY INC 1B4S6S7G0TW5EE83BO58 0255E2FB1 650000.000000 PA USD 642430.210000 0.014666 Long DBT CORP US N 2 2024-06-11 None 0 N N N N N N N/A N/A 000000000 -450.000000 NC USD -1659251.160000 -0.0378789 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A Coffee 2024-05-24 -15655500.000000 USD -1659251.160000 N N N N/A N/A 000000000 1.000000 NC USD 7044.790000 0.0001608 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 COMM SWAP PIMCODBU MAC PIMCODBU1 Y Single Leg Swap 2024-06-17 0.000000 USD 0.000000 USD 759481.200000 USD 7044.790000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PDW0 600000.000000 PA USD 596799.550000 0.0136243 Long DBT CORP US N 2 2024-04-30 None 0 N N N N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 259706.750000 PA USD 259738.850000 0.0059296 Long ABS-O CORP US N 2 2038-04-25 Floating 6.5725 N N N N N N N/A N/A 000000000 -6.000000 NC -2367.600000 -0.000054 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 08/29/24 2024-08-30 N/A EUR N/A 65.000000 EUR 2024-08-27 XXXX 6146.350000 N N N DRYDEN CLO LTD 2019-72A N/A 26252NAN9 500000.000000 PA USD 500057.180000 0.0114158 Long ABS-CBDO CORP KY N 2 2032-05-15 Floating 6.6486 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2019-SMP N/A 36259NAA9 6720000.000000 PA USD 6704500.990000 0.153056 Long ABS-MBS CORP US N 2 2032-08-15 Floating 6.77023 N N N N N N N/A N/A 000000000 1.000000 NC 6210.140000 0.0001418 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 104100000.000000 DKK 15368797.550000 USD 2025-04-01 6210.140000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 1171719.000000 PA USD 1151782.880000 0.0262939 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N OMFIT-2021-1A N/A 68269MAB0 1200000.000000 PA USD 1197345.240000 0.0273341 Long ABS-O CORP US N 2 2036-06-16 Floating 6.07864 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128287D6 1204304.490000 PA USD 1110864.340000 0.0253598 Long DBT UST US N 2 2029-07-15 Fixed 0.25 N N N N N N N/A N/A 000000000 1.000000 NC -668444.880000 -0.0152599 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 215931366.000000 USD 199530000.000000 EUR 2024-04-02 -668444.880000 N N N N/A N/A 000000000 -80.000000 NC -60153.220000 -0.0013732 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 05/30/24 2024-05-31 N/A EUR N/A 34.000000 EUR 2024-05-24 XXXX 31939.150000 N N N INDYMAC HOME EQUITY LOAN ABS TR 2004-B N/A 456606FA5 170250.100000 PA USD 161451.040000 0.0036857 Long ABS-MBS CORP US N 3 2034-11-25 Floating 6.49389 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339MDR4 650000.000000 PA USD 647197.370000 0.0147748 Long DBT CORP US N 2 2024-04-25 None 0 N N N N N N PRESTIGE AUTO RECEIVABLES TRUST 2024-1A N/A 74113QAA9 500000.000000 PA USD 500179.900000 0.0114186 Long ABS-O CORP US N 2 2025-04-15 Fixed 5.648 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668BU5 5100000.000000 PA USD 5124365.250000 0.116984 Long DBT CORP US N 2 2025-09-12 Fixed 5.8 N N N N N N HYUNDAI AUTO RECEIVABLES TRUST 2024-A N/A 448973AD9 1700000.000000 PA USD 1701237.600000 0.0388374 Long ABS-O CORP US N 2 2029-02-15 Fixed 4.99 N N N N N N N/A N/A 000000000 94.000000 NC 45378.250000 0.0010359 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Long N/A TTF 2024-10-30 2295348.620000 EUR 45378.250000 N N N JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 48125LRU8 9400000.000000 PA USD 9429407.620000 0.215263 Long DBT CORP US N 2 2026-12-08 Fixed 5.11 N N N N N N N/A N/A 000000000 -119.000000 NC USD -328440.000000 -0.0074979 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Call Written COMMODITY EXCHANGE INC. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT GOLD 100 OZ FUTR 06/26/24 2024-06-27 N/A USD N/A 2250.000000 USD 2024-04-25 XXXX -143245.170000 N N N PENSKE TRUCK LEASING CO LP 549300ZX07JYMI8GHQ39 70962ADS2 500000.000000 PA USD 497728.340000 0.0113626 Long DBT CORP US N 2 2024-04-26 None 0 N N N N N N N/A N/A 000000000 608.000000 NC USD 4255600.250000 0.0971507 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2024-10-22 47752320.000000 USD 4255600.250000 N N N SMALL BUSINESS ADMIN PART CERT 2005-20E N/A 83162CPN7 9797.580000 PA USD 9688.930000 0.0002212 Long ABS-O CORP US N 2 2025-05-01 Fixed 4.84 N N N N N N N/A N/A 000000000 -40.000000 NC USD -57600.000000 -0.0013149 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Call Written NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL NYM 05/21/24 2024-05-22 N/A USD N/A 86.000000 USD 2024-05-16 XXXX -2288.800000 N N N N/A N/A 000000000 94.000000 NC USD 118640.810000 0.0027084 N/A DCO US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Long N/A Coffee 2024-09-18 6612900.000000 USD 118640.810000 N N N HOSPITALITY MORTGAGE TRUST 2019-HIT N/A 40443RAA9 6512366.790000 PA USD 6497589.580000 0.148333 Long ABS-MBS CORP US N 2 2036-11-15 Floating 6.43548 N N N N N N N/A N/A 000000000 -7.000000 NC -1472.090000 -0.0000336 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 06/27/24 2024-06-28 N/A EUR N/A 60.000000 EUR 2024-06-26 XXXX 10188.140000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RW0 2125643.520000 PA USD 1641126.060000 0.0374651 Long DBT UST US N 2 2047-02-15 Fixed 0.875 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2018-A N/A 78449PAC3 2652443.140000 PA USD 2644516.310000 0.0603714 Long ABS-O CORP US N 2 2036-02-15 Floating 6.23981 N N N N N N N/A N/A 000000000 -200.000000 NC USD -1279377.930000 -0.0292068 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A Brent Oil 2025-01-31 -16146000.000000 USD -1279377.930000 N N N N/A N/A 000000000 2900000.000000 PA USD 2900000.000000 0.0662038 Long RA US N 2 Repurchase N 5.260000 2024-04-01 3220000.000000 USD 2948312.500000 USD UST N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 1025693.280000 PA USD 804634.670000 0.0183689 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N FIFTH THIRD AUTO TRUST 2023-1 N/A 31680EAB7 406138.280000 PA USD 406502.990000 0.00928 Long ABS-O CORP US N 2 2026-11-16 Fixed 5.8 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 8311812.790000 PA 10494808.320000 0.239585 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 6.36056 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDW3 1100000.000000 PA USD 1122676.830000 0.0256295 Long DBT CORP US N 2 2027-10-22 Floating 6.07 N N N N N N N/A N/A 000000000 -761.000000 NC USD 2342289.500000 0.0534719 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A Henry 2024-12-27 -28362470.000000 USD 2342289.500000 N N N N/A N/A 000000000 157.000000 NC USD -486814.990000 -0.0111135 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A Henry 2025-01-29 5575070.000000 USD -486814.990000 N N N N/A N/A 000000000 242.000000 NC USD 32182.590000 0.0007347 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Soybeans 2024-07-12 14583525.000000 USD 32182.590000 N N N N/A N/A 000000000 -15.000000 NC USD 25350.600000 0.0005787 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A Petroleum 2024-07-31 -369855.000000 USD 25350.600000 N N N N/A N/A 000000000 -500.000000 NC USD -1823308.130000 -0.0416241 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A Brent Oil 2025-04-30 -39705000.000000 USD -1823308.130000 N N N HAYFIN EMERALD CLO II DAC N/A ACI294QX3 28300000.000000 PA 30206582.330000 0.689583 Long ABS-CBDO CORP IE N 2 2034-05-27 Floating 4.783 N N N N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J6F9 28200000.000000 PA USD 28317019.850000 0.646446 Long DBT CORP US N 2 2026-12-11 Fixed 5.254 N N N N N N N/A N/A 000000000 922.000000 NC USD -971350.360000 -0.0221749 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Emission 2025-12-24 39065140.000000 USD -971350.360000 N N N INVESCO EURO CLO III DAC 3A N/A ACI269JN5 4300000.000000 PA 4623548.540000 0.105551 Long ABS-CBDO CORP IE N 2 2032-07-15 Floating 4.862 N N N N N N HERTZ VEHICLE FINANCING III LLC 2023-1A N/A 42806MBS7 8290000.000000 PA USD 8307819.360000 0.189658 Long ABS-O CORP US N 2 2027-06-25 Fixed 5.49 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828V49 191482.500000 PA USD 182688.020000 0.0041706 Long DBT UST US N 2 2027-01-15 Fixed 0.375 N N N N N N NORTH WESTERLY VI BV VI-A N/A ACI298N25 10000000.000000 PA 10758015.050000 0.245594 Long ABS-CBDO CORP IE N 2 2032-07-05 Floating 4.903 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P1 N/A 14688NAB5 500000.000000 PA USD 499955.100000 0.0114134 Long ABS-O CORP US N 2 2027-08-10 Fixed 5.5 N N N N N N N/A N/A 000000000 15.000000 NC USD 28590.420000 0.0006527 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A Gasoil 2025-12-11 1101000.000000 USD 28590.420000 N N N N/A N/A 000000000 94.000000 NC 131396.410000 0.0029996 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Long N/A TTF 2024-11-28 2456364.750000 EUR 131396.410000 N N N N/A N/A 000000000 1.000000 NC USD 0.200000 0 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX.NA.AAA.7 N/A N/A Y Single Leg Swap 2047-01-17 0.000000 USD -12.030000 USD 387.240000 USD 12.230000 N N N N/A N/A 000000000 320.000000 NC USD 347263.010000 0.0079276 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2024-12-19 24700800.000000 USD 347263.010000 N N N N/A N/A 000000000 1.000000 NC USD 1002109.810000 0.0228771 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 LONDON GOLD MKT FIX LTD PM N/A N/A Y Single Leg Swap 2025-10-16 0.000000 USD 0.000000 USD 70058000.000000 USD 1002109.810000 N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 15112411.000000 PA USD 147194883.160000 3.3603 Long STIV RF US N 1 N N N N/A N/A 000000000 159600000.000000 PA USD 159600000.000000 3.64349 Long RA US N 2 Repurchase N 5.430000 2024-04-01 166597388.870000 USD 162006051.460000 USD UST N N N AMERICAN ELECTRIC POWER COMPANY INC 1B4S6S7G0TW5EE83BO58 0255E2D23 550000.000000 PA USD 549585.810000 0.0125464 Long DBT CORP US N 2 2024-04-02 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XL9 27046656.000000 PA USD 26459654.580000 0.604045 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UD51 250000.000000 PA USD 249694.510000 0.0057003 Long DBT CORP CA N 2 2024-04-05 None 0 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1 N/A 03880XAA4 400000.000000 PA USD 398424.800000 0.0090956 Long ABS-CBDO CORP KY N 2 2037-01-15 Floating 6.76864 N N N N N N DRYDEN 60 CLO LTD N/A 26251NAB6 1250986.160000 PA USD 1251298.810000 0.0285658 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.6256 N N N N N N N/A N/A 000000000 -131.000000 NC 83545.730000 0.0019073 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Short N/A TTF 2024-04-29 -2874774.400000 EUR 83545.730000 N N N N/A N/A 000000000 1.000000 NC USD -29980.710000 -0.0006844 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2024-06-30 0.000000 USD 0.000000 USD 15000.000000 USD -29980.710000 N N N N/A N/A 000000000 -53.000000 NC -28072.330000 -0.0006409 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Short N/A TTF 2024-08-29 -1161869.040000 EUR -28072.330000 N N N N/A N/A 000000000 1.000000 NC -483.710000 -0.000011 N/A DFE MX N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 534887.660000 MXN 31479.720000 USD 2024-05-14 -483.710000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-A N/A 78448YAB7 1819760.030000 PA USD 1804002.180000 0.0411834 Long ABS-O CORP US N 2 2053-01-15 Floating 6.16981 N N N N N N N/A N/A 000000000 658.000000 NC USD -320271.240000 -0.0073114 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Wheat 2024-05-14 18432225.000000 USD -320271.240000 N N N HYUNDAI AUTO RECEIVABLES TRUST 2024-A N/A 448973AB3 1600000.000000 PA USD 1599067.840000 0.036505 Long ABS-O CORP US N 2 2027-04-15 Fixed 5.29 N N N N N N N/A N/A 000000000 -326.000000 NC USD -1784478.590000 -0.0407377 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2025-01-21 -24961820.000000 USD -1784478.590000 N N N N/A N/A 000000000 207.000000 NC USD -206823.900000 -0.0047216 N/A DCO US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A Live Cattle 2024-06-28 14924700.000000 USD -206823.900000 N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VGN8 379000.000000 PA USD 311598.760000 0.0071135 Long DBT CORP US N 2 2032-03-15 Fixed 2.355 N N N N N N VOYA CLO 2017-2A N/A 92915UAG9 767166.160000 PA USD 767741.530000 0.0175267 Long ABS-CBDO CORP KY N 2 2030-06-07 Floating 6.5556 N N N N N N N/A N/A 000000000 -242.000000 NC USD 1663.860000 0.000038 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A Henry 2025-03-27 -7279360.000000 USD 1663.860000 N N N COMM MORTGAGE TRUST 2016-787S N/A 12635WAA5 1000000.000000 PA USD 944937.400000 0.0215719 Long ABS-MBS CORP US N 2 2036-02-10 Fixed 3.545 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-1 N/A 88522EAC7 1519285.350000 PA USD 1126088.380000 0.0257074 Long ABS-MBS CORP US N 2 2037-03-25 Floating 7.05197 N N N N N N N/A N/A 000000000 182.000000 NC USD 452888.690000 0.010339 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A Brent Oil 2024-10-31 15005900.000000 USD 452888.690000 N N N N/A N/A 000000000 1.000000 NC -7823.000000 -0.0001786 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5400000.000000 CAD 3980197.780000 USD 2024-04-26 -7823.000000 N N N N/A N/A 000000000 629.000000 NC USD -336851.060000 -0.0076899 N/A DCO SG N 1 SINGAPORE EXCHANGE DERIVATIVES CLEARING LIMITED 549300ZLWT3FK3F0FW61 Long N/A Iron Ore 2024-07-31 6273017.000000 USD -336851.060000 N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 0641ZPR58 29400000.000000 PA 21680098.930000 0.494933 Long DBT CORP CA N 2 2024-04-05 None 0 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EG26 300000.000000 PA USD 295644.000000 0.0067492 Long DBT CORP US N 2 2024-07-02 None 0 N N N N N N N/A N/A 000000000 -107.000000 NC USD -44634.650000 -0.001019 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A Platinum 2024-07-29 -4927885.000000 USD -44634.650000 N N N TIAA CLO I LTD 2016-1A N/A 87271LAJ1 587303.230000 PA USD 587721.390000 0.013417 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 6.77942 N N N N N N BSPRT 2022-FL9 ISSUER LTD N/A 055984AA6 2000000.000000 PA USD 2006095.320000 0.045797 Long ABS-CBDO CORP US N 2 2039-07-15 Floating 7.62133 N N N N N N N/A N/A 000000000 -210.000000 NC USD -1389377.220000 -0.031718 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A Brent Oil 2024-12-30 -17060400.000000 USD -1389377.220000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2N6SC6 12410000000.000000 PA 81982650.490000 1.87157 Long DBT NUSS JP N 2 2024-06-17 None 0 N N N N N N NAVIENT STUDENT LOAN TRUST 2015-BA N/A 63939KAC3 1874626.480000 PA USD 1882645.010000 0.0429787 Long ABS-O CORP US N 2 2040-07-16 Floating 6.88981 N N N N N N FNMA PASS THRU POOLS N/A 31418E5B2 3000000.000000 PA USD 2778768.690000 0.0634362 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 4 N N N N N N COMMODITY WAREHOUSE RECEIPT N/A 966RBW902 3560.980000 NS USD 7862392.220000 0.17949 Long COMM US N 2 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RM2 2010000.000000 PA USD 1603210.550000 0.0365995 Long DBT UST US N 2 2045-05-15 Fixed 3 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-10 N/A 41161PTN3 208531.800000 PA USD 139229.760000 0.0031785 Long ABS-MBS CORP US N 2 2035-11-19 Floating 6.0608 N N N N N N N/A N/A 000000000 414.000000 NC USD 923789.830000 0.0210891 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A Gasoil 2024-12-12 32209200.000000 USD 923789.830000 N N N ARMADA EURO CLO #N/A FIELD NOT APPLICABLE-2A N/A ACI11G1H8 7053087.560000 PA 7588311.920000 0.173233 Long ABS-CBDO CORP IE N 2 2031-11-15 Floating 4.661 N N N N N N LCM 30 LTD N/A 50200YAQ1 700000.000000 PA USD 699671.780000 0.0159727 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.65942 N N N N N N GEORGIA POWER COMPANY D981X4Z4RWS7PDMJUZ03 373334KU4 3400000.000000 PA USD 3412483.680000 0.0779033 Long DBT CORP US N 2 2025-05-08 Floating 6.08422 N N N N N N HARVEST CLO XXII DAC 22A N/A ACI211PS9 5100000.000000 PA 5468736.550000 0.124845 Long ABS-CBDO CORP IE N 2 2032-01-15 Floating 4.792 N N N N N N BBCMS TRUST 2018-CBM N/A 05549RAA5 4300000.000000 PA USD 4249521.440000 0.0970119 Long ABS-MBS CORP US N 2 2037-07-15 Floating 6.62301 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 2574P0DV3 1100000.000000 PA USD 1094623.850000 0.0249891 Long DBT CORP US N 2 2024-04-29 None 0 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAE8 5860000.000000 PA USD 5927683.000000 0.135323 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.96 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND VII TRUST 2024-SN1 N/A 072926AC2 500000.000000 PA USD 500692.500000 0.0114303 Long ABS-O CORP US N 2 2028-03-15 Fixed 5.66 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAC5 752274.400000 PA USD 560385.150000 0.012793 Long ABS-MBS CORP US N 2 2037-10-25 Floating 6.39389 N N N N N N VOYA CLO LTD 2013-1A N/A 92917CAE2 328633.690000 PA USD 329259.810000 0.0075166 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.7856 N N N N N N N/A N/A 000000000 4.000000 NC USD 3160.920000 0.0000722 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A API2 Coal 2024-08-30 468200.000000 USD 3160.920000 N N N TESLA ELECTRIC VEHICLE TRUST 2023-1 N/A 881943AB0 7500000.000000 PA USD 7505349.000000 0.171339 Long ABS-O CORP US N 2 2026-12-21 Fixed 5.54 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YL8 721134.000000 PA USD 716701.900000 0.0163615 Long DBT UST US N 2 2024-10-15 Fixed 0.125 N N N N N N MELLON RESIDENTIAL FUND CORP 2002-TBC1 N/A 585525FN3 20662.360000 PA USD 19782.740000 0.0004516 Long ABS-MBS CORP US N 3 2030-09-15 Floating 6.17981 N N N N N N CONSTELLATION ENERGY GENERATION LLC S2PEWKCZFFECR4533P43 21038PD29 1400000.000000 PA USD 1398833.620000 0.0319338 Long DBT CORP US N 2 2024-04-02 None 0 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PD26 250000.000000 PA USD 249801.610000 0.0057027 Long DBT CORP US N 2 2024-04-02 None 0 N N N N N N N/A N/A 000000000 -18.000000 NC -19057.320000 -0.0004351 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Put Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 05/30/24 2024-05-31 N/A EUR N/A 25.000000 EUR 2024-05-24 XXXX 25049.910000 N N N BENEFIT STREET PARTNERS CLO VIII LTD 2015 N/A 08180XAN2 545504.180000 PA USD 545785.700000 0.0124597 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 6.67942 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI1VBJN4 155130000.000000 PA 30202249.620000 0.689484 Long DBT NUSS BR N 2 2024-07-01 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H25 N/A 38375UBF6 202470.800000 PA USD 202948.150000 0.0046331 Long ABS-MBS USGSE US N 2 2063-10-20 Floating 6.19443 N N N N N N N/A N/A 000000000 1.000000 NC USD 15786.950000 0.0003604 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 COMM SWAP BCOMF1NTC BPS BCOMF1NTC Y Single Leg Swap 2025-02-18 0.000000 USD 0.000000 USD 34677220.170000 USD 15786.950000 N N N FNMA PASS THRU POOLS N/A 3140MSNL5 -999900.710000 PA USD -927559.360000 -0.0211752 Short ABS-MBS USGSE US N 2 2052-10-01 Fixed 4 N N N N N N PAGAYA AI DEBT TRUST 2022-3 N/A 69547MAA4 4624430.310000 PA USD 4619352.690000 0.105455 Long ABS-O CORP US N 2 2030-03-15 Fixed 6.06 N N N N N N N/A N/A 000000000 -34.000000 NC USD 21481.840000 0.0004904 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A Other Crude 2024-05-31 -0.030000 USD 21481.840000 N N N N/A N/A 000000000 -90.000000 NC USD -7380.000000 -0.0001685 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Call Written NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT NATURAL GAS NYM 04/26/24 2024-04-27 N/A USD N/A 2.300000 USD 2024-04-25 XXXX 54403.200000 N N N N/A N/A 000000000 1.000000 NC -17805.750000 -0.0004065 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1273936.870000 USD 6300000.000000 BRL 2024-04-02 -17805.750000 N N N MERRILL LYNCH MORTGAGE INVS 2005-A5 N/A 59020UYU3 97188.270000 PA USD 91486.850000 0.0020885 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.385 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKN8 19800000.000000 PA USD 19954911.440000 0.455549 Long DBT CORP US N 2 2026-04-02 Floating 6.67079 N N N N N N N/A N/A 000000000 -55.000000 NC -72179.590000 -0.0016478 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 06/27/24 2024-06-28 N/A EUR N/A 34.000000 EUR 2024-06-26 XXXX 20966.380000 N N N N/A N/A 000000000 1.000000 NC -9769.290000 -0.000223 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6700000.000000 CAD 4938330.570000 USD 2024-04-26 -9769.290000 N N N ADJUSTABLE RATE MORTAGE TRUST 2005-3 N/A 007036HW9 22771.060000 PA USD 20557.900000 0.0004693 Long ABS-MBS CORP US N 3 2035-07-25 Floating 6.85413 N N N N N N N/A N/A 000000000 -9.000000 NC -384.500000 -0.0000088 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 05/30/24 2024-05-31 N/A EUR N/A 70.000000 EUR 2024-05-24 XXXX 29163.090000 N N N N/A N/A 000000000 1.000000 NC USD 217296.310000 0.0049606 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 LONDON GOLD MKT FIX LTD PM N/A N/A Y Single Leg Swap 2024-08-02 0.000000 USD 0.000000 USD 4104700.000000 USD 217296.310000 N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WDB2 250000.000000 PA USD 249456.000000 0.0056948 Long DBT CORP US N 2 2024-04-11 None 0 N N N N N N N/A N/A 000000000 -37.000000 NC -1340.460000 -0.0000306 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Short N/A TTF 2024-06-27 -820571.770000 EUR -1340.460000 N N N SMALL BUSINESS ADMIN PART CERTS 2008-20G N/A 83162CRX3 6535.820000 PA USD 6448.030000 0.0001472 Long ABS-O CORP US N 2 2028-07-01 Fixed 5.87 N N N N N N MRCD 2019-PARK MORTGAGE TRUST N/A 55348UAG3 7500000.000000 PA USD 6562396.500000 0.149812 Long ABS-MBS CORP US N 2 2036-12-15 Fixed 2.71752 N N N N N N UPSTART PASS-THROUGH TRUST SERIES 2022-ST2 N/A 91680UAA7 461288.370000 PA USD 448700.870000 0.0102433 Long ABS-O CORP US N 2 2030-04-20 Fixed 3.8 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO6 N/A 75114NAA2 99029.590000 PA USD 23327.960000 0.0005326 Long ABS-MBS CORP US N 2 2046-06-25 Floating 5.62389 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XDH6 400000.000000 PA USD 398791.960000 0.009104 Long DBT CORP US N 2 2024-04-17 None 0 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DG7 400000.000000 PA USD 374650.460000 0.0085529 Long DBT CORP US N 2 2026-02-04 Fixed 2.196 N N N N N N N/A N/A 000000000 32.000000 NC -5568.310000 -0.0001271 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Long N/A TTF 2024-05-30 682813.600000 EUR -5568.310000 N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 13443CD32 450000.000000 PA USD 449572.550000 0.0102632 Long DBT CORP US N 2 2024-04-03 None 0 N N N N N N N/A N/A 000000000 180.000000 NC USD 250103.270000 0.0057096 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2024-07-22 14560200.000000 USD 250103.270000 N N N GS MORTGAGE SECURITIES CORP II 2022-GTWY N/A 36266DAA2 3100000.000000 PA USD 3118875.590000 0.0712005 Long ABS-MBS CORP US N 2 2039-08-15 Floating 8.726 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-2 N/A 68401TAA6 1305856.290000 PA USD 889860.360000 0.0203145 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.58389 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI2MSWK6 131600000.000000 PA 18607509.270000 0.424789 Long DBT CORP DK N 2 2025-04-01 Fixed 1 N N N N N N N/A N/A 000000000 324.000000 NC USD 125550.000000 0.0028662 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Purchased CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CORN CBT 12/13/24 2024-12-14 N/A USD N/A 600.000000 USD 2024-11-22 XXXX -45029.520000 N N N N/A N/A 000000000 1877793.750000 PA USD 1877793.750000 0.042868 Long RA US N 2 Repurchase N 5.380000 2026-01-07 2100000.000000 USD 1922542.440000 USD CDS N N N INTOWN 2022-STAY MORTGAGE TRUST N/A 46117NAA0 3000000.000000 PA USD 3020165.400000 0.0689471 Long ABS-MBS CORP US N 2 2039-08-15 Floating 7.8136 N N N N N N N/A N/A 000000000 1.000000 NC USD 4708505.330000 0.10749 N/A DCO US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 COMM SWAP TBL/CSIXTR RBC CSIXTR Y 2025-02-18 0.000000 USD 0.000000 USD 394102662.080000 USD 4708505.330000 N N N PAGAYA AI DEBT TRUST 2024-3 N/A 69547XAA0 500000.000000 PA USD 499856.400000 0.0114112 Long ABS-O CORP US N 2 2031-10-15 Fixed 6.258 N N N N N N N/A N/A 000000000 -18.000000 NC -4991.540000 -0.000114 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 08/29/24 2024-08-30 N/A EUR N/A 75.000000 EUR 2024-08-27 XXXX 38028.980000 N N N N/A N/A 000000000 100000000.000000 PA 73825255.620000 1.68535 Long RA CA N 2 Repurchase N 4.920000 2024-04-04 102451000.000000 CAD 100691916.330000 CAD N N N CARLYLE EURO CLO 2017-2 DAC 17-2A N/A ACI1VWGV3 2064348.530000 PA 2224337.860000 0.0507792 Long ABS-CBDO CORP IE N 2 2030-08-15 Floating 4.531 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WE39 250000.000000 PA USD 248593.250000 0.0056751 Long DBT CORP US N 2 2024-05-03 None 0 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA N/A 78449VAC0 236171.120000 PA USD 235235.360000 0.0053702 Long ABS-O CORP US N 2 2054-09-15 Floating 6.29389 N N N N N N N/A N/A 000000000 1.000000 NC -166045.120000 -0.0037906 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 70076098.630000 CAD 51570825.760000 USD 2024-04-05 -166045.120000 N N N AT&T INC 549300Z40J86GGSTL398 0020A2DK5 500000.000000 PA USD 498359.340000 0.011377 Long DBT CORP US N 2 2024-04-19 None 0 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 84262LDP2 400000.000000 PA USD 398401.770000 0.0090951 Long DBT CORP US N 2 2024-04-23 None 0 N N N N N N INDYMAC INDA MORTGAGE LOAN TR 2005-AR1 N/A 45660LZM4 107141.390000 PA USD 79937.570000 0.0018249 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.37016 N N N N N N N/A N/A 000000000 -72.000000 NC USD 9574.040000 0.0002186 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A Henry 2024-07-29 -1758240.000000 USD 9574.040000 N N N BEAR STEARNS ALT-A TRUST 2005-5 N/A 07386HUM1 447742.590000 PA USD 309069.730000 0.0070557 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.20578 N N N N N N N/A N/A 000000000 551.000000 NC USD -571420.020000 -0.0130449 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Kansas Wheat 2024-12-13 16777950.000000 USD -571420.020000 N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAC2 10102282.360000 PA USD 10145002.890000 0.231599 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.27 N N N N N N VMC FINANCE 2022-FL5 LLC N/A 91835BAA3 1887594.570000 PA USD 1842617.210000 0.0420649 Long ABS-CBDO CORP US N 2 2039-02-18 Floating 7.21864 N N N N N N N/A N/A 000000000 -9.000000 NC -1206.400000 -0.0000275 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 06/27/24 2024-06-28 N/A EUR N/A 70.000000 EUR 2024-06-26 XXXX 29326.110000 N N N N/A N/A 000000000 -2277.000000 NC USD -6873929.650000 -0.156924 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Short N/A Gold 2024-06-26 -509683680.000000 USD -6873929.650000 N N N CRB SECURITIZATION TRUST 2023-1 N/A 12670DAA3 703307.300000 PA USD 709314.390000 0.0161929 Long ABS-O CORP US N 2 2033-10-20 Fixed 6.96 N N N N N N N/A N/A 000000000 964700000.000000 PA USD 964700000.000000 22.023 Long RA US N 2 Repurchase N 5.380000 2024-04-01 1011294900.000000 USD 978326654.590000 USD UST N N N N/A N/A 000000000 1.000000 NC 1258.400000 0.0000287 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 164000.000000 GBP 208250.960000 USD 2024-04-02 1258.400000 N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271JDN4 1365000.000000 PA USD 1359790.670000 0.0310425 Long DBT CORP US N 2 2024-04-22 None 0 N N N N N N N/A N/A 000000000 -187.000000 NC USD -185987.080000 -0.0042459 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2025-04-22 -14039960.000000 USD -185987.080000 N N N N/A N/A 000000000 -9.000000 NC -2044.390000 -0.0000467 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 07/30/24 2024-07-31 N/A EUR N/A 70.000000 EUR 2024-07-26 XXXX 28488.120000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FQ6 1262988.020000 PA USD 1399904.530000 0.0319583 Long DBT UST US N 2 2032-04-15 Fixed 3.375 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UDR3 350000.000000 PA USD 348481.760000 0.0079555 Long DBT CORP CA N 2 2024-04-25 None 0 N N N N N N BLUEMOUNTAIN CLO XXII LTD 2018-22A N/A 09629PAA4 563969.770000 PA USD 564449.140000 0.0128858 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.6556 N N N N N N N/A N/A 000000000 -100.000000 NC -21594.260000 -0.000493 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 05/30/24 2024-05-31 N/A EUR N/A 45.000000 EUR 2024-05-24 XXXX 30784.730000 N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-4A N/A 96041AAC0 19600000.000000 PA USD 19699364.160000 0.449715 Long ABS-O CORP US N 2 2027-01-15 Fixed 6.23 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI2M2QV6 73300000.000000 PA 10362516.690000 0.236565 Long DBT CORP DK N 2 2025-04-01 Fixed 1 N N N N N N N/A N/A 000000000 -308.000000 NC USD -36960.000000 -0.0008438 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Put Written NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL NYM 05/21/24 2024-05-22 N/A USD N/A 65.000000 USD 2024-05-16 XXXX 856443.280000 N N N GS MORTGAGE SECURITIES CORP TRUST 2018-HULA N/A 36259AAA7 14178975.150000 PA USD 14132408.560000 0.322627 Long ABS-MBS CORP US N 2 2025-07-15 Floating 6.55301 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8V51 36246.540000 PA USD 33064.300000 0.0007548 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797HF7 865000.000000 PA USD 863742.390000 0.0197183 Long DBT UST US N 2 2024-04-11 None 0 N N N N N N N/A N/A 000000000 35.000000 NC USD 22022.040000 0.0005027 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A Gasoil 2024-06-12 2807000.000000 USD 22022.040000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-N3 N/A 14686RAA0 69606.390000 PA USD 69903.020000 0.0015958 Long ABS-O CORP US N 2 2027-09-10 Fixed 6.41 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2013-4A N/A 14310KAS0 2411155.210000 PA USD 2411516.860000 0.0550523 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 6.5756 N N N N N N FHLMC PASS THRU POOLS N/A 3133BRPB4 -999900.520000 PA USD -927543.470000 -0.0211748 Short ABS-MBS USGSE US N 2 2052-11-01 Fixed 4 N N N N N N AT&T INC 549300Z40J86GGSTL398 0020A2DJ8 3400000.000000 PA USD 3389369.330000 0.0773756 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDB9 17800000.000000 PA USD 17962019.340000 0.410053 Long DBT CORP US N 2 2026-04-26 Floating 6.66017 N N N N N N CHASE AUTO OWNER TRUST 2024-1A N/A 16144BAB4 1900000.000000 PA USD 1901673.900000 0.0434131 Long ABS-O CORP US N 2 2027-04-26 Fixed 5.48 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR4 N/A 94983PAF5 115947.550000 PA USD 108417.950000 0.0024751 Long ABS-MBS CORP US N 2 2036-04-25 Floating 6.18463 N N N N N N CHEVY CHASE MTGE FUNDING CORP 2004-1A N/A 16678RAS6 1121.940000 PA USD 1050.220000 0.000024 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.72389 N N N N N N N/A N/A 000000000 -39.000000 NC USD -54600.000000 -0.0012465 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Call Written NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL NYM 04/22/24 2024-04-23 N/A USD N/A 84.000000 USD 2024-04-17 XXXX -11398.530000 N N N N/A N/A 000000000 81.000000 NC USD 80835.590000 0.0018454 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Long N/A Copper 2024-07-29 8178975.000000 USD 80835.590000 N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 03065UAB5 13685173.170000 PA USD 13731218.300000 0.313469 Long ABS-O CORP US N 2 2027-04-19 Fixed 6.19 N N N N N N FHLMC PASS THRU POOLS N/A 3128PXKV7 2366162.490000 PA USD 2302757.590000 0.0525694 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AA6 48810.320000 PA USD 46393.830000 0.0010591 Long ABS-MBS CORP US N 3 2037-02-25 Floating 5.76914 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-1 N/A 68400DAA2 1622667.030000 PA USD 1038932.520000 0.0237177 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.58389 N N N N N N CEDAR FUNDING V CLO LTD 2016-5A N/A 15032AAN7 831713.600000 PA USD 833897.910000 0.019037 Long ABS-CBDO CORP KY N 2 2031-07-17 Floating 6.67814 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 14020996.670000 PA USD 12312078.760000 0.281071 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XD11 700000.000000 PA USD 699578.720000 0.0159706 Long DBT CORP US N 2 2024-04-01 None 0 N N N N N N SMALL BUSINESS ADMIN PART CERT 2004-20I N/A 83162CPA5 3212.520000 PA USD 3189.150000 0.0000728 Long ABS-O CORP US N 2 2024-09-01 Fixed 4.99 N N N N N N BDS 2022-FL12 LLC N/A 07336CAA1 1799982.980000 PA USD 1810749.760000 0.0413374 Long ABS-MBS CORP US N 2 2038-08-19 Floating 7.46282 N N N N N N N/A N/A 000000000 -1359.000000 NC USD 2032359.250000 0.0463965 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A Henry 2024-06-26 -31800600.000000 USD 2032359.250000 N N N NATIONAL GRID NORTH AMERICA INC (AKA: NATIONAL GRID HOLDINGS INC) 5Q3U0WRKWZZGRMPYFT08 63627ADJ4 500000.000000 PA USD 498394.670000 0.0113778 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271JD46 700000.000000 PA USD 699261.600000 0.0159634 Long DBT CORP US N 2 2024-04-04 None 0 N N N N N N FREDDIE MAC REMICS 5383 N/A 3137HBGQ1 2904946.590000 PA USD 2932830.880000 0.0669533 Long ABS-MBS USGSE US N 2 2048-08-15 Floating 5.92295 N N N N N N N/A N/A 000000000 -195.000000 NC USD -139237.650000 -0.0031786 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A Soybeans 2024-11-14 -11565937.500000 USD -139237.650000 N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339MDQ6 300000.000000 PA USD 298753.950000 0.0068202 Long DBT CORP US N 2 2024-04-24 None 0 N N N N N N AURIUM CLO I DAC 1A N/A ACI24JVP6 6000000.000000 PA 6443344.520000 0.147094 Long ABS-CBDO CORP IE N 2 2032-03-23 Floating 4.976 N N N N N N N/A N/A 000000000 1.000000 NC -197706.060000 -0.0045134 N/A DFE CA N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 120229216.440000 CAD 88565695.940000 USD 2024-04-04 -197706.060000 N N N PAGAYA AI DEBT SELECTION TRUST 2022-1 N/A 69546MAA5 892325.590000 PA USD 883687.970000 0.0201736 Long ABS-O CORP US N 2 2029-10-15 Fixed 2.03 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2 N/A 07386UAN2 225531.110000 PA USD 192929.890000 0.0044044 Long ABS-MBS CORP US N 2 2046-09-25 Floating 6.44389 N N N N N N N/A N/A 000000000 -90.000000 NC USD -45386.100000 -0.0010361 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A Gasoil 2024-10-10 -7132500.000000 USD -45386.100000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PDG5 450000.000000 PA USD 448629.150000 0.0102417 Long DBT CORP US N 2 2024-04-16 None 0 N N N N N N HGI CRE CLO 2022-FL3 LTD N/A 403950AA6 3100000.000000 PA USD 3096617.130000 0.0706924 Long ABS-CBDO CORP US N 2 2037-04-20 Floating 7.01864 N N N N N N N/A N/A 000000000 -61.000000 NC USD -31596.470000 -0.0007213 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A Propane 2024-05-31 -2126460.000000 USD -31596.470000 N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XDG8 250000.000000 PA USD 249282.840000 0.0056909 Long DBT CORP US N 2 2024-04-16 None 0 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 6121953.390000 PA USD 59548240.590000 1.35942 Long STIV RF US N 1 N N N N/A N/A 000000000 1.000000 NC USD 5279241.780000 0.120519 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 COMM SWAP TBL/CSIXTR GST CSIXTR Y 2025-02-18 0.000000 USD 0.000000 USD 442040517.420000 USD 5279241.780000 N N N N/A N/A 000000000 -221.000000 NC USD -110118.770000 -0.0025139 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A Wheat 2024-09-13 -6536075.000000 USD -110118.770000 N N N PAGAYA AI DEBT TRUST 2022-2 N/A 69546VAA5 104031.380000 PA USD 103566.770000 0.0023643 Long ABS-O CORP US N 2 2030-01-15 Fixed 4.97 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 ACI2NCY93 4000000.000000 PA 4326485.870000 0.0987689 Long DBT CORP US N 2 2027-03-19 Floating 4.585 N N N N N N PROVIDUS CLO V DAC 5A N/A ACI295GL7 5300000.000000 PA 5652478.510000 0.12904 Long ABS-CBDO CORP IE N 2 2035-02-15 Floating 4.701 N N N N N N UPSTART SECURITIZATION TRUST 2022-2 N/A 91679TAA3 136206.610000 PA USD 135974.230000 0.0031041 Long ABS-O CORP US N 2 2032-05-20 Fixed 4.37 N N N N N N N/A N/A 000000000 -35.000000 NC -67490.110000 -0.0015407 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A NBP 2024-05-30 -896536.530000 GBP -67490.110000 N N N N/A N/A 000000000 1.000000 NC 773.720000 0.0000177 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 181000.000000 GBP 229222.830000 USD 2024-04-02 773.720000 N N N COMMODITY WAREHOUSE RECEIPT N/A 965SRC908 33944.970000 NS USD 74948104.040000 1.71098 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 967FDJ904 4419.000000 NS USD 9756839.750000 0.222738 Long COMM US N 2 N N N COUNTRYWIDE HOME LOANS 2005-HYB4 N/A 12669GM24 858196.550000 PA USD 802104.570000 0.0183112 Long ABS-MBS CORP US N 2 2035-08-20 Floating 4.42796 N N N N N N N/A N/A 000000000 1.000000 NC 43671.010000 0.000997 N/A DFE NZ N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 2341494.000000 NZD 1442596.790000 USD 2024-04-02 43671.010000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECP8 400000.000000 PA USD 401536.360000 0.0091666 Long DBT CORP GB N 2 2028-03-12 Floating 5.674 N N N N N N N/A N/A 000000000 66.000000 NC 153911.080000 0.0035136 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Long N/A EUA 2024-12-16 4400412.980000 EUR 153911.080000 N N N N/A N/A 000000000 -80.000000 NC USD -34835.770000 -0.0007953 N/A DCO US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Short N/A Raw Sugar 2024-09-30 -1975680.000000 USD -34835.770000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QS13 N/A 75115DAF2 321643.220000 PA USD 234792.760000 0.0053601 Long ABS-MBS CORP US N 3 2036-09-25 Fixed 6 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EF35 250000.000000 PA USD 247452.300000 0.0056491 Long DBT CORP US N 2 2024-06-03 None 0 N N N N N N CONTEGO CLO VII DAC N/A ACI297QZ1 9300000.000000 PA 10004460.350000 0.228391 Long ABS-CBDO CORP IE N 2 2032-05-14 Floating 4.888 N N N N N N M&T BANK AUTO RECEIVABLES TRUST 2024-1A N/A 55286TAA3 700000.000000 PA USD 700223.230000 0.0159853 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 USD 5644014.670000 0.128847 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 COMM SWAP TBL/CSIXTR BPS CSIXTR Y 2025-02-18 0.000000 USD 0.000000 USD 472941372.910000 USD 5644014.670000 N N N CIFC FUNDING LTD 2018-1A N/A 12551RAA6 367554.380000 PA USD 368424.430000 0.0084107 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 6.55952 N N N N N N N/A N/A 000000000 1.000000 NC -16075.070000 -0.000367 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2510272.950000 USD 12548352.420000 BRL 2024-05-03 -16075.070000 N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EEM4 300000.000000 PA USD 297516.450000 0.006792 Long DBT CORP US N 2 2024-05-21 None 0 N N N N N N N/A N/A 000000000 345.000000 NC USD 92533.140000 0.0021124 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-06-28 36902871.180000 USD 92533.140000 N N N TRINITY SQUARE 2021-1 PLC N/A ACI1WK4T6 7366987.890000 PA 9304557.430000 0.212413 Long ABS-MBS CORP GB N 2 2059-07-15 Floating 6.06879 N N N N N N FIRST HORIZON ALT MTGE SEC 2005-AA2 N/A 32051GHL2 122591.700000 PA USD 118221.310000 0.0026989 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.79445 N N N N N N CQS US CLO 2022-2A LTD N/A 12664BAN7 3438326.420000 PA USD 3450431.050000 0.0787695 Long ABS-CBDO CORP JE N 2 2031-07-20 Floating 7.16781 N N N N N N FREDDIE MAC 3381 N/A 31397KWR8 276070.640000 PA USD 273440.900000 0.0062424 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 6.05312 N N N N N N N/A N/A 000000000 -18.000000 NC -10532.560000 -0.0002404 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Put Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 04/29/24 2024-04-30 N/A EUR N/A 25.000000 EUR 2024-04-26 XXXX 35044.910000 N N N N/A N/A 000000000 183.000000 NC USD 590033.190000 0.0134698 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A Propane 2024-06-28 6340950.000000 USD 590033.190000 N N N N/A N/A 000000000 90.000000 NC USD 49774.140000 0.0011363 N/A DCO US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A Lean Hogs 2024-10-14 3160800.000000 USD 49774.140000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JB0 300000.000000 PA USD 300598.200000 0.0068623 Long DBT CORP US N 2 2026-03-01 Fixed 5.35 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-1A N/A 36269HAB8 500000.000000 PA USD 499666.500000 0.0114068 Long ABS-O CORP US N 2 2027-02-16 Fixed 5.57 N N N N N N ALLY AUTO RECEIVABLES TRUST 2024-1 N/A 02008FAA2 3600000.000000 PA USD 3600522.000000 0.082196 Long ABS-O CORP US N 2 2025-03-17 Fixed 5.528 N N N N N N N/A N/A 000000000 -551.000000 NC USD 442631.730000 0.0101048 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A Wheat 2024-12-13 -16860600.000000 USD 442631.730000 N N N FNMA PASS THRU POOLS N/A 31418ED80 -999900.530000 PA USD -927850.360000 -0.0211818 Short ABS-MBS USGSE US N 2 2052-06-01 Fixed 4 N N N N N N N/A N/A 000000000 992.000000 NC USD 131310.400000 0.0029977 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Soybean Meal 2024-07-12 33827200.000000 USD 131310.400000 N N N BHG SECURITIZATION TRUST 2022-B N/A 05553DAA9 1106920.740000 PA USD 1105157.190000 0.0252295 Long ABS-O CORP US N 2 2035-06-18 Fixed 3.75 N N N N N N VOYA CLO LTD 2019-1A N/A 92917NAJ7 702513.890000 PA USD 703075.900000 0.0160505 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.6356 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAA3 1476414.540000 PA USD 752465.600000 0.017178 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.58389 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 7619542.350000 PA USD 7211827.570000 0.164638 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N MICROCHIP TECHNOLOGY INCORPORATED 5493007PTFULNYZJ1R12 59501QDW9 1050000.000000 PA USD 1044613.850000 0.0238474 Long DBT CORP US N 2 2024-04-30 None 0 N N N N N N RAD CLO LTD 2019-5A N/A 74923EAA6 1700000.000000 PA USD 1701275.000000 0.0388382 Long ABS-CBDO CORP KY N 2 2032-07-24 Floating 6.70019 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468Q5 14000000.000000 PA USD 13510673.260000 0.308434 Long DBT CORP US N 2 2026-04-28 Floating 2.188 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UDG7 1550000.000000 PA USD 1545466.350000 0.0352813 Long DBT CORP CA N 2 2024-04-16 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31418CR89 452723.790000 PA USD 412979.170000 0.0094279 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N N/A N/A 000000000 3.000000 NC USD 15789.520000 0.0003605 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2026-05-19 210960.000000 USD 15789.520000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-C N/A 83208AAD5 13320937.870000 PA USD 13206176.660000 0.301482 Long ABS-O CORP US N 2 2053-01-15 Floating 6.23981 N N N N N N ARROW ELECTRONICS INC 549300YNNLBXT8N8R512 04273LD44 250000.000000 PA USD 249720.730000 0.0057008 Long DBT CORP US N 2 2024-04-04 None 0 N N N N N N FREDDIE MAC-3179 N/A 31396UF47 129631.340000 PA USD 128051.100000 0.0029233 Long ABS-MBS USGSE US N 2 2036-07-15 Floating 5.81312 N N N N N N BLACK DIAMOND CLO 2017-2 DAC N/A ACI1XBRF0 5498560.900000 PA 5924704.960000 0.135255 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 4.83 N N N N N N SMALL BUSINESS ADMIN PART CERT 2006-20F N/A 83162CQH9 11629.280000 PA USD 11432.690000 0.000261 Long ABS-O CORP US N 2 2026-06-01 Fixed 5.82 N N N N N N N/A N/A 000000000 1.000000 NC 19610.630000 0.0004477 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1975000.000000 GBP 2512356.420000 USD 2024-04-02 19610.630000 N N N N/A N/A 000000000 -9.000000 NC -86.690000 -0.000002 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 04/29/24 2024-04-30 N/A EUR N/A 70.000000 EUR 2024-04-26 XXXX 30445.820000 N N N N/A N/A 000000000 20000000.000000 PA 14765051.120000 0.33707 Long RA CA N 2 Repurchase N 4.980000 2024-04-05 23544000.000000 CAD 20506030.570000 CAD N N N N/A N/A 000000000 -112.000000 NC USD -2080099.390000 -0.0474864 N/A DCO US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Short N/A Cocoa 2024-09-13 -9629760.000000 USD -2080099.390000 N N N N/A N/A 000000000 200.000000 NC USD 182455.960000 0.0041653 N/A DCO US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Long N/A Coffee 2024-05-20 14163750.000000 USD 182455.960000 N N N N/A N/A 000000000 -242.000000 NC USD -27401.950000 -0.0006256 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A Kansas Wheat 2024-09-13 -7148075.000000 USD -27401.950000 N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2015-3 DAC 15-3A N/A ACI0ZFM90 630926.310000 PA 679824.210000 0.0155196 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 4.692 N N N N N N N/A N/A 000000000 -304.000000 NC USD -1791421.670000 -0.0408962 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2025-02-20 -23113120.000000 USD -1791421.670000 N N N CBAM LTD 2017-1A N/A 12480VAC9 374663.870000 PA USD 375437.690000 0.0085708 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 6.82942 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2024-1A N/A 76088YAA8 500000.000000 PA USD 502257.100000 0.011466 Long ABS-O CORP US N 2 2032-06-25 Fixed 7.09 N N N N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BDB5 250000.000000 PA USD 249469.930000 0.0056951 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 USD 7711.280000 0.000176 N/A DCO US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 COMM SWAP BCOMCT3 MEI BCOMCT3A Y Single Leg Swap 2025-02-18 0.000000 USD 0.000000 USD 9566880.170000 USD 7711.280000 N N N N/A N/A 000000000 -32.000000 NC USD -5056.390000 -0.0001154 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A Coffee 2024-07-25 -1086720.000000 USD -5056.390000 N N N N/A N/A 000000000 1.000000 NC 73776.970000 0.0016842 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 21630749.000000 EUR 23437219.370000 USD 2024-05-02 73776.970000 N N N FNMA PASS THRU POOLS N/A 3138E0SF7 247252.930000 PA USD 240337.080000 0.0054866 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3 N N N N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AJ5 100000.000000 PA USD 99974.120000 0.0022823 Long DBT CORP US N 2 2024-05-15 Fixed 5.75 N N N N N N N/A N/A 000000000 -26.000000 NC USD -62920.000000 -0.0014364 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Call Written NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL NYM 04/22/24 2024-04-23 N/A USD N/A 82.000000 USD 2024-04-17 XXXX -27879.020000 N N N VERUS SECURITIZATION TRUST 2022-4 N/A 92538NAA5 5616625.360000 PA USD 5493876.260000 0.125419 Long ABS-MBS CORP US N 2 2067-04-25 Fixed 4.474 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-HE3 N/A 61744CSK3 3501621.030000 PA USD 3398567.620000 0.0775856 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.47889 N N N N N N BHR 2018-PRME N/A 10482TAA0 225225.280000 PA USD 224954.850000 0.0051355 Long ABS-MBS CORP US N 2 2035-06-15 Floating 6.318 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2021-2 DAC 21-2A N/A ACI216JK2 1460959.610000 PA 1566051.550000 0.0357512 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 4.672 N N N N N N N/A N/A 000000000 1.000000 NC 11831.220000 0.0002701 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 12882000.000000 GBP 16270844.550000 USD 2024-04-02 11831.220000 N N N N/A N/A 000000000 -663.000000 NC USD 3016411.820000 0.0688614 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A Henry 2024-11-26 -22820460.000000 USD 3016411.820000 N N N N/A N/A 000000000 -53.000000 NC -16432.140000 -0.0003751 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Short N/A TTF 2024-07-30 -1181922.420000 EUR -16432.140000 N N N PENSKE TRUCK LEASING CO LP 549300ZX07JYMI8GHQ39 70962AD94 650000.000000 PA USD 648797.640000 0.0148113 Long DBT CORP US N 2 2024-04-09 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 7043.020000 0.0001608 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2505219.210000 USD 12600000.000000 BRL 2024-04-02 7043.020000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JA2 100000.000000 PA USD 99738.770000 0.0022769 Long DBT CORP US N 2 2027-02-01 Fixed 4.875 N N N N N N N/A N/A 000000000 420.000000 NC USD 3363661.320000 0.0767887 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A Brent Oil 2024-08-30 35200200.000000 USD 3363661.320000 N N N GMF CANADA LEASING TRUST ASSET-BACKED NOTES SERIES 2023-1A N/A 36252MCQ1 523760.550000 PA 389560.370000 0.0088932 Long ABS-O CORP CA N 2 2025-04-21 Fixed 5.458 N N N N N N N/A N/A 000000000 -18.000000 NC -130.030000 -0.000003 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 04/29/24 2024-04-30 N/A EUR N/A 75.000000 EUR 2024-04-26 XXXX 44324.510000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFA8 100000.000000 PA USD 99795.290000 0.0022782 Long DBT CORP US N 2 2029-02-01 Floating 5.123 N N N N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U8A1 2100000.000000 PA USD 2091952.190000 0.047757 Long DBT CORP US N 2 2028-01-14 Floating 4.952 N N N N N N WASHINGTON MUTUAL 2004-AR14 N/A 939336V91 24146.680000 PA USD 21768.380000 0.0004969 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.3078 N N N N N N ST PAUL'S CLO XII DAC 12A N/A ACI1MLB75 8000000.000000 PA 8585142.290000 0.195989 Long ABS-CBDO CORP IE N 2 2033-04-15 Floating 4.862 N N N N N N N/A N/A 000000000 1.000000 NC -18951.520000 -0.0004326 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 14745769.720000 USD 101819012.000000 DKK 2024-04-02 -18951.520000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2MFLJ9 11160000000.000000 PA 73722275.870000 1.683 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 USD -358629.440000 -0.0081871 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2024-03-31 0.000000 USD 0.000000 USD 45000.000000 USD -358629.440000 N N N AVON FINANCE 4A N/A ACI2JTXR2 15495566.260000 PA 19561979.190000 0.446578 Long ABS-MBS CORP GB N 2 2049-12-28 Floating 6.09252 N N N N N N N/A N/A 000000000 1.000000 NC 812333.030000 0.0185447 N/A DFE JP N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 4638550000.000000 JPY 31814973.760000 USD 2024-06-17 812333.030000 N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT N/A 46645WAU7 3750000.000000 PA USD 3474415.500000 0.0793171 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 4.2475 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-1A N/A 96043RAD9 500000.000000 PA USD 499863.350000 0.0114113 Long ABS-O CORP US N 2 2027-05-17 Fixed 5.44 N N N N N N GLG EURO CLO 1A N/A ACI2402B0 4534775.400000 PA 4891931.530000 0.111677 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 4.682 N N N N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAR2 201000.000000 PA USD 178872.910000 0.0040835 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N MLCC MORTGAGE INVESTORS INC 2006-2 N/A 590219AG6 2189.780000 PA USD 1978.010000 0.0000452 Long ABS-MBS CORP US N 3 2036-05-25 Floating 5.75179 N N N N N N N/A N/A 000000000 14.000000 NC USD 12230.370000 0.0002792 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A Heating Oil 2024-04-30 1542147.600000 USD 12230.370000 N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BDF6 450000.000000 PA USD 448769.700000 0.0102449 Long DBT CORP US N 2 2024-04-15 None 0 N N N N N N N/A N/A 000000000 96.000000 NC USD 96613.630000 0.0022056 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-06-18 10992749.950000 USD 96613.630000 N N N N/A N/A 000000000 -324.000000 NC USD -91125.000000 -0.0020803 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CORN CBT 12/13/24 2024-12-14 N/A USD N/A 400.000000 USD 2024-11-22 XXXX 28774.440000 N N N BACARDI-MARTINI BV 5493002XXBV8B88K2408 05634EDJ8 800000.000000 PA USD 797291.460000 0.0182013 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N N/A N/A 000000000 -10900000.000000 NC -273834.520000 -0.0062513 N/A DIR DE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Eurostat Eurozone HICP Ex Tob N/A N/A N/A 3.000000 EUR 2035-06-22 XXXX 222049.980000 N N N BARINGS CLO LTD 2018-I N/A 06760GAA9 2382691.930000 PA USD 2383883.280000 0.0544214 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.5256 N N N N N N BLUEMOUNTAIN CLO LTD 2018-3A N/A 09630AAN6 1000000.000000 PA USD 1000001.500000 0.0228289 Long ABS-CBDO CORP KY N 2 2030-10-25 Floating 6.51467 N N N N N N N/A N/A 000000000 -411.000000 NC USD -1048050.000000 -0.0239258 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Call Written NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL NYM 05/21/24 2024-05-22 N/A USD N/A 83.000000 USD 2024-05-16 XXXX -266510.860000 N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 4587.260000 PA USD 4450.880000 0.0001016 Long ABS-MBS CORP US N 3 2035-07-25 Floating 5.52864 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-EC2 N/A 07387UDT5 7641000.000000 PA USD 7433682.100000 0.169703 Long ABS-MBS CORP US N 2 2036-02-25 Floating 6.10389 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WDJ5 250000.000000 PA USD 249184.000000 0.0056886 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BD82 250000.000000 PA USD 249584.410000 0.0056977 Long DBT CORP US N 2 2024-04-08 None 0 N N N N N N ARES XXXIV CLO LTD 2015-2A N/A 04015GAX7 1600000.000000 PA USD 1600043.700000 0.0365272 Long ABS-CBDO CORP KY N 2 2033-04-17 Floating 6.63653 N N N N N N N/A N/A 000000000 1.000000 NC 24097.590000 0.0005501 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 4000000.000000 EUR 4339497.200000 USD 2024-04-02 24097.590000 N N N REG11 2018-1A N/A 75887XAA5 1761904.120000 PA USD 1764915.090000 0.0402911 Long ABS-CBDO CORP KY N 2 2031-07-17 Floating 6.64814 N N N N N N N/A N/A 000000000 -1431.000000 NC USD -370835.800000 -0.0084658 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A Corn 2024-07-12 -32519475.000000 USD -370835.800000 N N N N/A N/A 000000000 1.000000 NC 16216.620000 0.0003702 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12508690.110000 BRL 2510272.950000 USD 2024-04-02 16216.620000 N N N HARBORVIEW MORTGAGE LOAN TR 2007-1 N/A 41164MAC1 519610.750000 PA USD 462365.750000 0.0105553 Long ABS-MBS CORP US N 2 2037-03-19 Floating 5.7008 N N N N N N KREF 2022-FL3 LTD N/A 48275EAA4 1000000.000000 PA USD 993750.000000 0.0226862 Long ABS-CBDO CORP KY N 2 2039-02-17 Floating 6.77632 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EDS2 350000.000000 PA USD 348435.080000 0.0079544 Long DBT CORP US N 2 2024-04-26 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3128MMW41 9419575.070000 PA USD 8905889.380000 0.203312 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 3 N N N N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI27B298 46400000.000000 PA 8816658.710000 0.201275 Long DBT NUSS BR N 2 2024-10-01 None 0 N N N N N N CIFC FUNDING LTD 2014-5A N/A 12550AAT3 800000.000000 PA USD 802147.170000 0.0183121 Long ABS-CBDO CORP KY N 2 2031-10-17 Floating 6.77814 N N N N N N OCTAGON INVESTMENT PARTNERS XXI LTD 2014-1A N/A 67590QBK2 1300000.000000 PA USD 1302984.930000 0.0297457 Long ABS-CBDO CORP KY N 2 2031-02-14 Floating 6.56814 N N N N N N NAVIENT STUDENT LOAN TRUST 2014-AA N/A 63939CAD9 2336780.090000 PA USD 2342611.060000 0.0534792 Long ABS-O CORP US N 2 2031-10-15 Floating 7.03981 N N N N N N BLACKROCK EUROPEAN CLO XI DAC 11A N/A ACI1ZCH75 11304000.000000 PA 12085976.070000 0.27591 Long ABS-CBDO CORP IE N 2 2034-07-17 Floating 4.912 N N N N N N N/A N/A 000000000 -90.000000 NC -53890.880000 -0.0012303 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 04/29/24 2024-04-30 N/A EUR N/A 31.000000 EUR 2024-04-26 XXXX 34070.480000 N N N N/A N/A 000000000 45.000000 NC USD 22419.450000 0.0005118 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A Gasoil 2024-08-12 3577500.000000 USD 22419.450000 N N N LOANCORE ISSUER LTD 2021-CRE5 N/A 53947XAA0 328525.280000 PA USD 327100.670000 0.0074673 Long ABS-CBDO CORP KY N 2 2036-07-15 Floating 6.73981 N N N N N N N/A N/A 000000000 1.000000 NC 680545.980000 0.0155361 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 199530000.000000 EUR 216193548.420000 USD 2024-05-02 680545.980000 N N N ENBRIDGE (US) INC 5493003FRODSVHJWFS32 29251UD47 250000.000000 PA USD 249731.420000 0.0057011 Long DBT CORP US N 2 2024-04-04 None 0 N N N N N N N/A N/A 000000000 -180.000000 NC USD -185038.840000 -0.0042242 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A Henry 2024-08-28 -4386600.000000 USD -185038.840000 N N N DRIVE AUTO RECEIVABLES TRUST 2024-1 N/A 26208WAB0 500000.000000 PA USD 500405.550000 0.0114237 Long ABS-O CORP US N 2 2026-12-15 Fixed 5.83 N N N N N N N/A N/A 000000000 1.000000 NC USD 1082.800000 0.0000247 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP JMABNIU5 JPM JMABNIU5 Y Single Leg Swap 2025-02-18 0.000000 USD 0.000000 USD 1045066.400000 USD 1082.800000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PD91 550000.000000 PA USD 548946.860000 0.0125319 Long DBT CORP US N 2 2024-04-09 None 0 N N N N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BDJ8 250000.000000 PA USD 249200.830000 0.005689 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N N/A N/A 000000000 -306.000000 NC USD -512187.440000 -0.0116927 N/A DCO US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A Lean Hogs 2024-06-14 -12417480.000000 USD -512187.440000 N N N ATLAS SENIOR LOAN FUND LTD 2018-10A N/A 04942JAC5 311911.410000 PA USD 311767.280000 0.0071173 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 6.6656 N N N N N N ONE NEW YORK PLAZA TRUST 2020-1NYP N/A 68249DAA7 14400000.000000 PA USD 14055622.560000 0.320874 Long ABS-MBS CORP US N 2 2036-01-15 Floating 6.39048 N N N N N N BNPP AM EURO CLO 2019 BV 19-1A N/A ACI21M4V9 6400000.000000 PA 6839117.800000 0.15613 Long ABS-CBDO CORP IE N 2 2032-07-22 Floating 4.79 N N N N N N CIFC FUNDING LTD 2017-5A N/A 12551MAA7 569715.520000 PA USD 570850.730000 0.0130319 Long ABS-CBDO CORP KY N 2 2030-11-16 Floating 6.75814 N N N N N N FANNIE MAE 2006-98 N/A 31396K5N8 10052.430000 PA USD 9944.120000 0.000227 Long ABS-MBS USGSE US N 2 2036-10-25 Floating 5.86487 N N N N N N HHT-2019-MAUI N/A 41975AAA0 15550000.000000 PA USD 15504040.420000 0.35394 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.52301 N N N N N N UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A N/A 91680YAY7 369879.800000 PA USD 361232.450000 0.0082465 Long ABS-O CORP US N 2 2030-06-17 Fixed 4.25 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WDH9 250000.000000 PA USD 249222.630000 0.0056895 Long DBT CORP US N 2 2024-04-17 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 1528.020000 0.0000349 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1019871.840000 USD 1383517.040000 CAD 2024-04-02 1528.020000 N N N N/A N/A 000000000 -23.000000 NC USD -39018.900000 -0.0008908 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A Palladium 2024-06-26 -2349450.000000 USD -39018.900000 N N N FNMA PASS THRU POOLS N/A 3140HGRA7 389359.010000 PA USD 355176.260000 0.0081083 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N N/A N/A 000000000 -89.000000 NC USD -144180.000000 -0.0032915 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Call Written INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 05/31/24 2024-06-01 N/A USD N/A 90.000000 USD 2024-05-28 XXXX -20917.220000 N N N SYMPHONY CLO XXIV LTD 2020-24A N/A 87167QAL2 1000000.000000 PA USD 1000300.000000 0.0228357 Long ABS-CBDO CORP KY N 2 2032-01-23 Floating 6.52226 N N N N N N N/A N/A 000000000 1.000000 NC 7221.210000 0.0001649 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2341494.000000 NZD 1406200.850000 USD 2024-05-02 7221.210000 N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WD14 250000.000000 PA USD 249844.880000 0.0057037 Long DBT CORP US N 2 2024-04-01 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-38 N/A 38380V2S9 1938002.120000 PA USD 1834344.980000 0.0418761 Long ABS-MBS USGSE US N 2 2043-10-20 Floating 5.74007 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M3X8 56312.670000 PA USD 56310.070000 0.0012855 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.28966 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PZ5 37845187.500000 PA USD 38894899.470000 0.887928 Long DBT UST US N 2 2029-01-15 Fixed 2.5 N N N N N N N/A N/A 000000000 -206.000000 NC USD -300081.560000 -0.0068505 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A Soybean Oil 2024-12-13 -5967408.000000 USD -300081.560000 N N N BHG SECURITIZATION TRUST 2022-C N/A 08860DAA1 334919.310000 PA USD 333845.760000 0.0076213 Long ABS-O CORP US N 2 2035-10-17 Fixed 5.32 N N N N N N N/A N/A 000000000 -90.000000 NC -89763.760000 -0.0020492 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 05/30/24 2024-05-31 N/A EUR N/A 32.000000 EUR 2024-05-24 XXXX -26754.220000 N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UD44 250000.000000 PA USD 249732.880000 0.0057011 Long DBT CORP CA N 2 2024-04-04 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 5004371.960000 0.114244 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP TBL/CSIXTR JPM CSIXTR Y 2025-02-18 0.000000 USD 0.000000 USD 419183710.740000 USD 5004371.960000 N N N SOUTHERN CO 549300FC3G3YU2FBZD92 84262LDN7 250000.000000 PA USD 249040.510000 0.0056853 Long DBT CORP US N 2 2024-04-22 None 0 N N N N N N GSAMP TRUST 2006-FM3 N/A 36245TAD7 698570.360000 PA USD 335104.270000 0.0076501 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 38018.210000 0.0008679 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 17230000.000000 BRL 3443795.970000 USD 2024-07-02 38018.210000 N N N N/A N/A 000000000 1.000000 NC USD 108815.450000 0.0024841 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2024-03-31 177274.420000 USD 0.000000 USD 45000.000000 USD -68458.970000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828J27 33704000.000000 PA USD 32809471.910000 0.749004 Long DBT UST US N 2 2025-02-15 Fixed 2 N N N N N N ACE SECURITIES CORP 2005-WF1 N/A 004421QS5 477488.290000 PA USD 478331.060000 0.0109198 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.31389 N N N N N N SOUNDS POINT CLO IV-R LTD 2013-3RA N/A 83609YAC0 1360497.820000 PA USD 1361246.090000 0.0310758 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 6.70952 N N N N N N N/A N/A 000000000 -73.000000 NC -22910.450000 -0.000523 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 04/29/24 2024-04-30 N/A EUR N/A 35.000000 EUR 2024-04-26 XXXX 90866.910000 N N N N/A N/A 000000000 -36.000000 NC USD -117663.630000 -0.0026861 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A Brent Oil 2025-10-31 -2779200.000000 USD -117663.630000 N N N N/A N/A 000000000 1.000000 NC USD -11001.420000 -0.0002512 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Long N/A Nickel 2024-07-15 100886.580000 USD -11001.420000 N N N N/A N/A 000000000 1.000000 NC -17095.190000 -0.0003903 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3187330.860000 USD 15900000.000000 BRL 2024-04-02 -17095.190000 N N N N/A N/A 000000000 -111.000000 NC USD -147195.970000 -0.0033603 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A Propane 2024-04-30 -3892770.000000 USD -147195.970000 N N N LCM XVII LP 17A N/A 50190AAK8 666272.570000 PA USD 667422.870000 0.0152365 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 6.7056 N N N N N N BAIN CAPITAL EURO CLO DAC 2018-1A N/A ACI129YN4 1792360.260000 PA 1934265.480000 0.0441572 Long ABS-CBDO CORP IE N 2 2032-04-20 Floating 4.75 N N N N N N N/A N/A 000000000 70000000.000000 PA 51677678.930000 1.17974 Long RA CA N 2 Repurchase N 4.960000 2024-04-05 76848000.000000 CAD 71014509.110000 CAD N N N N/A N/A 000000000 1.000000 NC 179762.110000 0.0041038 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 99000000.000000 BRL 19748653.500000 USD 2024-07-02 179762.110000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QV3 2345884.920000 PA USD 1874587.190000 0.0427948 Long DBT UST US N 2 2042-02-15 Fixed 0.75 N N N N N N FREDDIE MAC 3096 N/A 31396GWQ0 888437.250000 PA USD 882313.250000 0.0201422 Long ABS-MBS USGSE US N 2 2032-05-15 Floating 5.88312 N N N N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U7W4 3700000.000000 PA USD 3772240.980000 0.0861161 Long DBT CORP US N 2 2026-10-30 Fixed 5.882 N N N N N N N/A N/A 000000000 1.000000 NC USD -20873.150000 -0.0004765 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2024-03-31 0.000000 USD 0.000000 USD 7000.000000 USD -20873.150000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PDJ9 300000.000000 PA USD 298988.500000 0.0068256 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N N/A N/A 000000000 -89.000000 NC USD 106707.250000 0.002436 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Short N/A Zinc 2024-07-15 -5445487.250000 USD 106707.250000 N N N AVOCA CLO XIV LTD14A N/A ACI1PDP91 3475390.640000 PA 3737237.720000 0.085317 Long ABS-CBDO CORP IE N 2 2031-01-12 Floating 4.746 N N N N N N COMMODITY WAREHOUSE RECEIPT N/A 966QTXII4 964.540000 NS USD 2129636.170000 0.0486173 Long COMM US N 2 N N N N/A N/A 000000000 -771.000000 NC USD 54398.410000 0.0012419 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A Corn 2024-05-14 -17039100.000000 USD 54398.410000 N N N N/A N/A 000000000 -196.000000 NC USD -725792.500000 -0.016569 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2025-03-20 -14803880.000000 USD -725792.500000 N N N N/A N/A 000000000 -7.000000 NC -2342.980000 -0.0000535 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 07/30/24 2024-07-31 N/A EUR N/A 60.000000 EUR 2024-07-26 XXXX 9317.250000 N N N N/A N/A 000000000 1.000000 NC 1562798.080000 0.035677 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 193773000.000000 EUR 210614780.300000 USD 2024-04-02 1562798.080000 N N N N/A N/A 000000000 -15.000000 NC USD 14310.600000 0.0003267 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A Petroleum 2024-08-30 -380895.000000 USD 14310.600000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEK7 148000.000000 PA USD 137709.860000 0.0031438 Long DBT CORP US N 2 2028-01-21 Floating 2.475 N N N N N N AMERICAN ELECTRIC POWER COMPANY INC 1B4S6S7G0TW5EE83BO58 0255E2EF3 600000.000000 PA USD 595541.600000 0.0135956 Long DBT CORP US N 2 2024-05-15 None 0 N N N N N N N/A N/A 000000000 -52.000000 NC USD -160160.000000 -0.0036563 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Call Written NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL NYM 04/22/24 2024-04-23 N/A USD N/A 81.000000 USD 2024-04-17 XXXX -93975.440000 N N N N/A N/A 000000000 1.000000 NC USD -521.420000 -0.0000119 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 CMBX.NA.AAA.8 N/A N/A Y Single Leg Swap 2057-10-17 0.000000 USD -134936.590000 USD 3015757.050000 USD 134415.170000 N N N N/A N/A 000000000 -7.000000 NC -478.490000 -0.0000109 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 05/30/24 2024-05-31 N/A EUR N/A 60.000000 EUR 2024-05-24 XXXX 10805.610000 N N N N/A N/A 000000000 1.000000 NC -11984.720000 -0.0002736 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 16273575.540000 USD 12882000.000000 GBP 2024-05-02 -11984.720000 N N N TSTAT 2022-1A LTD N/A 872899AN9 753559.800000 PA USD 754699.570000 0.017229 Long ABS-CBDO CORP BM N 2 2031-07-20 Floating 6.91781 N N N N N N N/A N/A 000000000 -226.000000 NC USD -522210.670000 -0.0119215 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A Brent Oil 2026-10-30 -16701400.000000 USD -522210.670000 N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JD30 800000.000000 PA USD 799276.860000 0.0182466 Long DBT CORP US N 2 2024-04-03 None 0 N N N N N N WASHINGTON MUTUAL 2004-AR11 N/A 92922FYA0 17873.140000 PA USD 17105.760000 0.0003905 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.96791 N N N N N N ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST 2022-1A N/A 04047EAA4 4186451.330000 PA USD 4122185.950000 0.094105 Long ABS-O CORP US N 2 2028-05-15 Fixed 3.93 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC2 N/A 585525ED6 2343.130000 PA USD 2239.240000 0.0000511 Long ABS-MBS CORP US N 2 2030-06-15 Floating 5.91981 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26244HE66 500000.000000 PA USD 496986.170000 0.0113456 Long DBT CORP US N 2 2024-05-06 None 0 N N N N N N N/A N/A 000000000 -105.000000 NC USD -40600.620000 -0.0009269 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A Soybean Oil 2024-07-12 -3054240.000000 USD -40600.620000 N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XDP8 300000.000000 PA USD 298821.020000 0.0068218 Long DBT CORP US N 2 2024-04-23 None 0 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2023-4A N/A 30166TAB9 14292153.390000 PA USD 14300833.010000 0.326472 Long ABS-O CORP US N 2 2025-12-15 Fixed 6.07 N N N N N N VENTURE CLO LTD 2013-4A N/A 92328GBA3 20286.920000 PA USD 20314.920000 0.0004638 Long ABS-CBDO CORP KY N 2 2029-08-28 Floating 6.62942 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBC1 6100000.000000 PA USD 6166784.140000 0.140781 Long DBT CORP US N 2 2026-12-04 Fixed 5.488 N N N N N N COMMODITY WAREHOUSE RECEIPT N/A 965RNAII9 26607.920000 NS USD 58748409.450000 1.34116 Long COMM US N 2 N N N N/A N/A 000000000 -18.000000 NC -34602.860000 -0.0007899 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Put Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 07/30/24 2024-07-31 N/A EUR N/A 25.000000 EUR 2024-07-26 XXXX 10974.610000 N N N N/A N/A 000000000 1.000000 NC 1386041.910000 0.0316418 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 7771450000.000000 JPY 53328022.110000 USD 2024-06-17 1386041.910000 N N N LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST3 N/A 52607TAA2 6165094.840000 PA USD 6032307.940000 0.137711 Long ABS-O CORP US N 2 2028-05-15 Fixed 4 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 8911Z1RT8 12100000.000000 PA 8896141.900000 0.203089 Long DBT CORP CA N 2 2024-04-26 None 0 N N N N N N EQUIFAX INC 5493004MCF8JDC86VS77 29442KD80 250000.000000 PA USD 249583.870000 0.0056977 Long DBT CORP US N 2 2024-04-08 None 0 N N N N N N PENSKE TRUCK LEASING CO LP 549300ZX07JYMI8GHQ39 70962AD37 400000.000000 PA USD 399633.100000 0.0091232 Long DBT CORP US N 2 2024-04-03 None 0 N N N N N N PENSKE TRUCK LEASING CO LP 549300ZX07JYMI8GHQ39 70962AD45 800000.000000 PA USD 799143.660000 0.0182436 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 USD 1427566.250000 0.0325898 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP TBL/BCOMF1TC JPM BCOMF1TCB Y 2025-02-18 0.000000 USD 0.000000 USD 471216275.320000 USD 1427566.250000 N N N N/A N/A 000000000 -119.000000 NC USD -2507.750000 -0.0000572 N/A DCO GB N 1 LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Short N/A Lead 2024-07-15 -6138198.500000 USD -2507.750000 N N N N/A N/A 000000000 -6.000000 NC -1632.620000 -0.0000373 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 07/30/24 2024-07-31 N/A EUR N/A 65.000000 EUR 2024-07-26 XXXX 7165.120000 N N N NAVIENT STUDENT LOAN TRUST 2019-BA N/A 63941LAC7 5406521.210000 PA USD 5400153.410000 0.12328 Long ABS-O CORP US N 2 2059-12-15 Floating 6.41981 N N N N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI0ZY1X9 500000.000000 PA 565839.670000 0.0129175 Long DBT CORP IT N 2 2028-01-18 Floating 7.708 N N N N N N N/A N/A 000000000 1.000000 NC USD 108879.440000 0.0024856 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2024-03-31 262519.290000 USD 0.000000 USD 45000.000000 USD 371398.730000 N N N N/A N/A 000000000 400.000000 NC USD 3034906.560000 0.0692836 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A Brent Oil 2024-09-30 33244000.000000 USD 3034906.560000 N N N N/A N/A 000000000 1.000000 NC USD 3153620.770000 0.0719937 N/A DCO US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 COMM SWAP TBL/CSIXTR CIB CSIXTR Y 2025-02-18 0.000000 USD 0.000000 USD 264258302.340000 USD 3153620.770000 N N N N/A N/A 000000000 -338.000000 NC USD 159135.140000 0.0036329 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-06-18 -37425577.960000 USD 159135.140000 N N N N/A N/A 000000000 -6.000000 NC -86.690000 -0.000002 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 04/29/24 2024-04-30 N/A EUR N/A 65.000000 EUR 2024-04-26 XXXX 8711.050000 N N N BENEFIT STREET PARTNERS CLO XII LTD 2017-12A N/A 08179HAE0 1154629.660000 PA USD 1154550.730000 0.0263571 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.5256 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2022-1 DAC 22-1A N/A ACI23GLP4 2404568.670000 PA 2561997.090000 0.0584876 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.662 N N N N N N N/A N/A 000000000 844.000000 NC USD 3948429.400000 0.0901383 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A Brent Oil 2024-04-30 73428000.000000 USD 3948429.400000 N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023CT0 700000.000000 PA USD 692331.700000 0.0158052 Long DBT CORP US N 2 2025-05-01 Fixed 4.875 N N N N N N SYMPHONY CLO XVII LTD 2016-17A N/A 87165UAQ4 6442679.060000 PA USD 6453677.620000 0.14733 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 6.7756 N N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI02MK69 2733528.400000 PA 1620019.900000 0.0369833 Long DBT NUSS NZ N 2 2025-09-20 Fixed 2 N N N N N N VASA TRUST 2021-VASA N/A 92230AAA4 4310000.000000 PA USD 3945338.230000 0.0900677 Long ABS-MBS CORP US N 2 2039-07-15 Floating 6.34048 N N N N N N CBAM 2018-6 LTD 2019-10A N/A 12482NAN1 1000000.000000 PA USD 1000250.000000 0.0228346 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 6.69942 N N N N N N FANNIE MAE 2007-75 N/A 31396W3K0 342383.110000 PA USD 340101.200000 0.0077641 Long ABS-MBS USGSE US N 2 2037-08-25 Floating 5.88487 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR15 N/A 456610AB0 617100.740000 PA USD 591764.310000 0.0135093 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.86389 N N N N N N N/A N/A 000000000 162.000000 NC USD -13641.600000 -0.0003114 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A Kansas Wheat 2024-05-14 4740525.000000 USD -13641.600000 N N N GS MORTGAGE SEC CORP II 2005-ROCK N/A 36228CUV3 1000000.000000 PA USD 982265.900000 0.0224241 Long ABS-MBS CORP US N 2 2032-05-03 Fixed 5.366 N N N N N N N/A N/A 000000000 1187.000000 NC USD -2561424.710000 -0.0584745 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A Henry 2024-04-26 20926810.000000 USD -2561424.710000 N N N N/A N/A 000000000 1.000000 NC USD 248934.560000 0.0056829 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2024-03-31 0.000000 USD 0.000000 USD 45000.000000 USD 248934.560000 N N N SARANAC CLO II LTD 2014-2A N/A 80317EAA7 117322.870000 PA USD 117568.250000 0.002684 Long ABS-CBDO CORP JE N 2 2029-11-20 Floating 6.8107 N N N N N N N/A N/A 000000000 1.000000 NC USD 375093.780000 0.008563 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 COMM SWAP CMDSKEWLS GST ABGS1042 Y Single Leg Swap 2025-02-18 0.000000 USD 0.000000 USD 39575707.400000 USD 375093.780000 N N N NAVIENT STUDENT LOAN TRUST 2015-AA N/A 63939EAD5 1716998.890000 PA USD 1724323.950000 0.0393644 Long ABS-O CORP US N 2 2030-11-15 Floating 7.13981 N N N N N N BACARDI-MARTINI BV 5493002XXBV8B88K2408 05634EDH2 650000.000000 PA USD 647906.160000 0.014791 Long DBT CORP US N 2 2024-04-17 None 0 N N N N N N N/A N/A 000000000 120000000.000000 PA 88590306.740000 2.02242 Long RA CA N 2 Repurchase N 4.980000 2024-04-04 147452000.000000 CAD 122735416.760000 CAD N N N N/A N/A 000000000 1.000000 NC -9484.650000 -0.0002165 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6266000.000000 CAD 4616473.190000 USD 2024-04-02 -9484.650000 N N N N/A N/A 000000000 2014.000000 NC USD 930341.050000 0.0212387 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Emission 2024-12-24 80177340.000000 USD 930341.050000 N N N WELLFLEET CLO LTD 2017-1A N/A 94950GAL1 38532.220000 PA USD 38577.600000 0.0008807 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 6.46942 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UDB8 500000.000000 PA USD 498926.260000 0.0113899 Long DBT CORP CA N 2 2024-04-11 None 0 N N N N N N N/A N/A 000000000 -41.000000 NC USD -75030.000000 -0.0017129 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Call Written INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 04/30/24 2024-05-01 N/A USD N/A 87.500000 USD 2024-04-25 XXXX -23360.730000 N N N GREYWOLF CLO LTD 2015-1A N/A 39808PAL0 1102646.270000 PA USD 1102439.660000 0.0251675 Long ABS-CBDO CORP KY N 2 2031-01-27 Floating 6.74628 N N N N N N N/A N/A 000000000 1.000000 NC 3987331.810000 0.0910264 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 11160000000.000000 JPY 77866622.010000 USD 2024-04-15 3987331.810000 N N N AVOCA CLO 17A N/A ACI2363G6 8500000.000000 PA 9092366.220000 0.207569 Long ABS-CBDO CORP IE N 2 2032-10-15 Floating 4.762 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AN8 6061000.000000 PA USD 6115802.960000 0.139617 Long DBT CORP CH N 2 2026-05-12 Floating 6.91352 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 2574P0DN1 300000.000000 PA USD 298856.480000 0.0068226 Long DBT CORP US N 2 2024-04-22 None 0 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2N0CN2 11830000000.000000 PA 78149114.410000 1.78406 Long DBT NUSS JP N 2 2024-06-03 None 0 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AL2 58869.830000 PA USD 55153.030000 0.0012591 Long ABS-MBS CORP US N 3 2037-02-25 Floating 5.18742 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2H5 800000.000000 PA USD 784869.880000 0.0179177 Long DBT CORP US N 2 2025-10-30 Floating 2.406 N N N N N N N/A N/A 000000000 1.000000 NC -66060.310000 -0.0015081 N/A DFE DK N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 16384130.820000 USD 112657298.260000 DKK 2024-05-02 -66060.310000 N N N CARLYLE US CLO LTD 2017-4 N/A 14315BAA4 381518.150000 PA USD 382457.270000 0.0087311 Long ABS-CBDO CORP KY N 2 2030-01-15 Floating 6.7556 N N N N N N N/A N/A 000000000 1.000000 NC -51267.720000 -0.0011704 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 70505729.990000 USD 55821000.000000 GBP 2024-04-02 -51267.720000 N N N N/A N/A 000000000 1.000000 NC 391009.770000 0.0089263 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 53846000.000000 GBP 68352726.240000 USD 2024-04-02 391009.770000 N N N OZLM XI LTD 2015-11A N/A 67109UAS1 494093.190000 PA USD 495154.210000 0.0113038 Long ABS-CBDO CORP KY N 2 2030-10-30 Floating 6.82904 N N N N N N N/A N/A 000000000 134900000.000000 PA USD 134900000.000000 3.07962 Long RA US N 2 Repurchase N 5.380000 2024-04-01 170084100.000000 USD 137505686.340000 USD UST N N N N/A N/A 000000000 199.000000 NC USD 1349124.290000 0.030799 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A Brent Oil 2024-07-31 16829430.000000 USD 1349124.290000 N N N N/A N/A 000000000 1514.000000 NC USD 3920982.100000 0.0895117 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2025-05-20 113035240.000000 USD 3920982.100000 N N N N/A N/A 000000000 750.000000 NC USD -8945587.490000 -0.204218 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A Henry 2024-09-26 18975000.000000 USD -8945587.490000 N N N AMERICAN ELECTRIC POWER COMPANY INC 1B4S6S7G0TW5EE83BO58 0255E2E14 1500000.000000 PA USD 1492124.750000 0.0340636 Long DBT CORP US N 2 2024-05-01 None 0 N N N N N N N/A N/A 000000000 748.000000 NC USD -2131677.560000 -0.0486639 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A Henry 2025-02-26 23936000.000000 USD -2131677.560000 N N N CRH AMERICA FINANCE INC 549300WEVUODRJ4CWK56 12636CD56 550000.000000 PA USD 549336.250000 0.0125407 Long DBT CORP US N 2 2024-04-05 None 0 N N N N N N READY CAPITAL MORTGAGE FINANCING 2022-FL8 LLC N/A 75574PAA0 1385129.150000 PA USD 1384004.010000 0.0315953 Long ABS-MBS CORP US N 2 2037-01-25 Floating 6.97072 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 8424C0DB3 500000.000000 PA USD 498905.060000 0.0113895 Long DBT CORP US N 2 2024-04-11 None 0 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AT5 850000.000000 PA USD 786782.290000 0.0179614 Long DBT CORP CH N 2 2027-02-02 Floating 1.305 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EE28 450000.000000 PA USD 447567.500000 0.0102175 Long DBT CORP US N 2 2024-05-02 None 0 N N N N N N GPMT LLC 2021-FL3 N/A 36264BAA8 1259784.440000 PA USD 1251474.840000 0.0285698 Long ABS-MBS CORP KY N 2 2035-07-16 Floating 6.69115 N N N N N N N/A N/A 000000000 -156.000000 NC USD -825240.000000 -0.0188393 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Call Written COMMODITY EXCHANGE INC. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT GOLD 100 OZ FUTR 06/26/24 2024-06-27 N/A USD N/A 2200.000000 USD 2024-04-25 XXXX -649093.620000 N N N N/A N/A 000000000 -50.000000 NC USD -40050.000000 -0.0009143 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Put Written NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT NATURAL GAS NYM 04/26/24 2024-04-27 N/A USD N/A 1.700000 USD 2024-04-25 XXXX 11836.500000 N N N N/A N/A 000000000 1.000000 NC 92260.450000 0.0021062 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 100040438.360000 CAD 73950594.630000 USD 2024-04-04 92260.450000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2NBLB4 6310000000.000000 PA 41684140.110000 0.951603 Long DBT NUSS JP N 2 2024-06-24 None 0 N N N N N N NATIONAL GRID NORTH AMERICA INC (AKA: NATIONAL GRID HOLDINGS INC) 5Q3U0WRKWZZGRMPYFT08 63627ADS4 450000.000000 PA USD 447988.370000 0.0102271 Long DBT CORP US N 2 2024-04-26 None 0 N N N N N N N/A N/A 000000000 -18.000000 NC -37149.890000 -0.0008481 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Put Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 08/29/24 2024-08-30 N/A EUR N/A 25.000000 EUR 2024-08-27 XXXX 6957.340000 N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 2574P0ED2 250000.000000 PA USD 248235.280000 0.0056669 Long DBT CORP US N 2 2024-05-13 None 0 N N N N N N N/A N/A 000000000 14400000.000000 PA USD 14400000.000000 0.328736 Long RA US N 2 Repurchase N 5.260000 2024-04-01 20809000.000000 USD 14630515.330000 USD UST N N N TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5 N/A 87277JAA9 3200000.000000 PA USD 3176085.790000 0.0725065 Long ABS-CBDO CORP KY N 2 2039-02-15 Floating 6.96864 N N N N N N N/A N/A 000000000 -155.000000 NC USD -1412031.450000 -0.0322351 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A Brent Oil 2024-05-31 -13353250.000000 USD -1412031.450000 N N N N/A N/A 000000000 1.000000 NC 30883.620000 0.000705 N/A DFE DK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 200350000.000000 DKK 29050977.990000 USD 2024-05-02 30883.620000 N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855AD43 550000.000000 PA USD 549416.620000 0.0125426 Long DBT CORP US N 2 2024-04-04 None 0 N N N N N N HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-A N/A 448988AB1 5000000.000000 PA USD 4991281.500000 0.113946 Long ABS-O CORP US N 2 2026-06-15 Fixed 5.15 N N N N N N GOLDMAN SACHS BANK USA/NEW YORK BRANCH KD3XUN7C6T14HNAYLU02 38151LAF7 24000000.000000 PA USD 23994996.480000 0.547779 Long DBT CORP US N 2 2027-03-18 Floating 5.283 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20B N/A 83162CRP0 11215.950000 PA USD 11113.680000 0.0002537 Long ABS-O CORP US N 2 2028-02-01 Fixed 5.16 N N N N N N N/A N/A 000000000 28.000000 NC USD -7759.110000 -0.0001771 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A Heating Oil 2024-08-30 3079826.400000 USD -7759.110000 N N N N/A N/A 000000000 -3.000000 NC USD -13960.600000 -0.0003187 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A Brent Oil 2026-04-30 -226230.000000 USD -13960.600000 N N N GOLDENTREE LOAN MANAGEMENT US CLO 4 LTD N/A 38137YBA8 1400000.000000 PA USD 1400269.080000 0.0319666 Long ABS-CBDO CORP KY N 2 2031-04-24 Floating 6.47659 N N N N N N N/A N/A 000000000 1.000000 NC 1014266.870000 0.0231546 N/A DFE JP N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 11830000000.000000 JPY 79915650.150000 USD 2024-06-03 1014266.870000 N N N N/A N/A 000000000 1.000000 NC 10697.490000 0.0002442 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 4714187.640000 USD 6400000.000000 CAD 2024-04-02 10697.490000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QP6 132362.340000 PA USD 134227.730000 0.0030643 Long DBT UST US N 2 2041-02-15 Fixed 2.125 N N N N N N N/A N/A 000000000 459000.000000 PA USD 459000.000000 0.0104785 Long RA US N 2 Repurchase N 2.600000 2024-04-01 455500.000000 USD 468231.020000 USD UST N N N N/A N/A 000000000 1.000000 NC 182857.920000 0.0041744 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 22672749.000000 EUR 24643350.980000 USD 2024-04-02 182857.920000 N N N N/A N/A 000000000 -58.000000 NC USD -123540.000000 -0.0028203 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Call Written NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL NYM 05/21/24 2024-05-22 N/A USD N/A 84.000000 USD 2024-05-16 XXXX -51272.580000 N N N N/A N/A 000000000 1.000000 NC -10767.270000 -0.0002458 N/A DFE BR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 22797739.670000 BRL 4520670.170000 USD 2024-05-03 -10767.270000 N N N AMMC CLO 22 LTD 2018-22A N/A 00177HAA7 544191.770000 PA USD 544464.410000 0.0124295 Long ABS-CBDO CORP KY N 2 2031-04-25 Floating 6.61628 N N N N N N N/A N/A 000000000 1.000000 NC -3237.740000 -0.0000739 N/A DFE DK N 2 UBS AG BFM8T61CT2L1QCEMIK50 49500000.000000 DKK 7301738.980000 USD 2025-04-01 -3237.740000 N N N COUNTRYWIDE HOME LOANS 2004-HYB7 N/A 12669GBZ3 144736.050000 PA USD 133827.600000 0.0030551 Long ABS-MBS CORP US N 2 2034-11-20 Floating 4.6242 N N N N N N SBNA AUTO RECEIVABLES TRUST 2024-A N/A 78437PAB9 500000.000000 PA USD 500057.050000 0.0114158 Long ABS-O CORP US N 2 2027-03-15 Fixed 5.7 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2022-N1 N/A 14686GAA4 3357446.500000 PA USD 3327316.100000 0.075959 Long ABS-O CORP US N 2 2028-12-11 Fixed 2.31 N N N N N N BSST 2021-1818 MORTGAGE TRUST N/A 07403PAA0 600000.000000 PA USD 521845.440000 0.0119132 Long ABS-MBS CORP US N 2 2036-03-15 Floating 6.49048 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XDC7 350000.000000 PA USD 349207.830000 0.007972 Long DBT CORP US N 2 2024-04-12 None 0 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GJ0 18078.860000 PA USD 16491.910000 0.0003765 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.5 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-CA N/A 63941KAC9 1307815.140000 PA USD 1321625.670000 0.0301713 Long ABS-O CORP US N 2 2068-11-15 Floating 7.03981 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAE2 5277149.820000 PA USD 2149080.740000 0.0490612 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.92389 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20K N/A 83162CSD6 17564.260000 PA USD 17803.530000 0.0004064 Long ABS-O CORP US N 2 2028-11-01 Fixed 6.77 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828S50 5302746.900000 PA USD 5083375.970000 0.116048 Long DBT UST US N 2 2026-07-15 Fixed 0.125 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW95 19712.020000 PA USD 18737.480000 0.0004278 Long ABS-MBS CORP US N 3 2035-11-25 Floating 7.86 N N N N N N WASHINGTON MUTUAL 2004-AR3 N/A 92922FNH7 19770.990000 PA USD 17502.930000 0.0003996 Long ABS-MBS CORP US N 3 2034-06-25 Floating 4.64752 N N N N N N HARVEST CLO VIII DAC 8A N/A ACI297QV0 4651752.800000 PA 5012686.410000 0.114434 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 4.672 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-4 N/A 802927AC7 1599040.970000 PA USD 1602148.710000 0.0365753 Long ABS-O CORP US N 2 2027-02-16 Fixed 6.18 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QF8 1485184.290000 PA USD 1504898.820000 0.0343552 Long DBT UST US N 2 2040-02-15 Fixed 2.125 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XD45 250000.000000 PA USD 249736.290000 0.0057012 Long DBT CORP US N 2 2024-04-04 None 0 N N N N N N N/A N/A 000000000 -26.000000 NC USD -55120.000000 -0.0012583 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Call Written NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL NYM 04/22/24 2024-04-23 N/A USD N/A 82.500000 USD 2024-04-17 XXXX -22092.980000 N N N COMMODITY WAREHOUSE RECEIPT N/A 966QVDII5 15045.260000 NS USD 33218870.980000 0.75835 Long COMM US N 2 N N N N/A N/A 000000000 1.000000 NC USD 5706267.750000 0.130268 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 LONDON GOLD MKT FIX LTD PM N/A N/A Y Single Leg Swap 2026-04-10 0.000000 USD 0.000000 USD 162405314.000000 USD 5706267.750000 N N N SOUTHERN CO 549300FC3G3YU2FBZD92 84262LDQ0 250000.000000 PA USD 248961.630000 0.0056835 Long DBT CORP US N 2 2024-04-24 None 0 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X81 148993.490000 PA USD 142755.040000 0.0032589 Long ABS-MBS CORP US N 2 2045-01-25 Floating 6.24389 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668BY7 5500000.000000 PA USD 5518407.570000 0.125979 Long DBT CORP US N 2 2025-09-12 Floating 6.25784 N N N N N N N/A N/A 000000000 1.000000 NC USD 3351.580000 0.0000765 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON COMMUNICATIONS SR UNSEC Y Single Leg Swap 2024-12-20 1791.090000 USD 0.000000 USD 600000.000000 USD 1560.490000 N N N ATRIUM HOTEL PORTFOLIO TRUST 2018-ATRM N/A 04965KAA8 1100000.000000 PA USD 1095026.790000 0.0249983 Long ABS-MBS CORP US N 2 2035-06-15 Floating 6.573 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797HR1 7821000.000000 PA USD 7761769.840000 0.177193 Long DBT UST US N 2 2024-05-23 None 0 N N N N N N EUROSAIL PLC 2007-3A N/A 29880YAJ8 157624.090000 PA 198520.460000 0.004532 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 6.26713 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N1 N/A 14687QAB9 500000.000000 PA USD 500239.950000 0.0114199 Long ABS-O CORP US N 2 2027-04-12 Fixed 5.76 N N N N N N N/A N/A 000000000 -619.000000 NC USD -1458898.050000 -0.033305 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2024-11-20 -48182960.000000 USD -1458898.050000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QS13 N/A 75115DAE5 123117.040000 PA USD 92117.490000 0.0021029 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6 N N N N N N N/A N/A 000000000 2.000000 NC USD -2124.340000 -0.0000485 N/A DCO US N 1 COMMODITY EXCHANGE INC. N/A Long N/A Silver 2024-07-29 251590.000000 USD -2124.340000 N N N FHF TRUST 2022-1A N/A 30327CAA4 185832.310000 PA USD 183557.540000 0.0041904 Long ABS-O CORP US N 2 2028-01-18 Fixed 4.43 N N N N N N COMMODITY WAREHOUSE RECEIPT N/A 935QKH905 300.000000 NS USD 662378.800000 0.0151214 Long COMM US N 2 N N N N/A N/A 000000000 1.000000 NC -28928.670000 -0.0006604 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 20024558.900000 CAD 14755113.800000 USD 2024-04-05 -28928.670000 N N N N/A N/A 000000000 1.000000 NC -67409.920000 -0.0015389 N/A DFE CA N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 29400000.000000 CAD 21638478.870000 USD 2024-04-05 -67409.920000 N N N N/A N/A 000000000 -207.000000 NC USD -33285.860000 -0.0007599 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A Soybean Meal 2024-12-13 -7168410.000000 USD -33285.860000 N N N N/A N/A 000000000 -25.000000 NC USD -62254.970000 -0.0014212 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A Gasoil 2025-06-12 -1879375.000000 USD -62254.970000 N N N N/A N/A 000000000 -18.000000 NC -559.280000 -0.0000128 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 05/30/24 2024-05-31 N/A EUR N/A 75.000000 EUR 2024-05-24 XXXX 42461.240000 N N N RESIDENTIAL ASSET SEC TRUST 2006-A10 N/A 76113LAE7 7157751.610000 PA USD 2412863.750000 0.055083 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.5 N N N N N N N/A N/A 000000000 -504.000000 NC USD -320789.670000 -0.0073233 N/A DCO US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A Corn 2024-09-13 -11705400.000000 USD -320789.670000 N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 02665WFA4 17800000.000000 PA USD 17833661.050000 0.407123 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 54546.690000 0.0012452 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2024-06-30 0.000000 USD 0.000000 USD 15000.000000 USD 54546.690000 N N N N/A N/A 000000000 652.000000 NC USD 4375110.160000 0.099879 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2024-09-20 51697080.000000 USD 4375110.160000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797FH5 3492000.000000 PA USD 3469197.800000 0.079198 Long DBT UST US N 2 2024-05-16 None 0 N N N N N N N/A N/A 000000000 -562.000000 NC USD 929133.700000 0.0212111 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A Gasoil 2024-09-12 -44594700.000000 USD 929133.700000 N N N OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5 N/A 68383NCY7 3092379.680000 PA USD 2988642.400000 0.0682274 Long ABS-MBS CORP US N 2 2035-12-25 Floating 6.20389 N N N N N N HALSEYPOINT CLO 3 LTD 2020-3A N/A 40638UAA7 1800000.000000 PA USD 1800390.620000 0.0411009 Long ABS-CBDO CORP KY N 2 2032-11-30 Floating 7.02904 N N N N N N N/A N/A 000000000 20.000000 NC USD 4845.540000 0.0001106 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Long N/A WTI Crude 2025-11-19 1446400.000000 USD 4845.540000 N N N WASHINGTON MUTUAL 2004-AR13 N/A 92922FB72 125195.320000 PA USD 117232.580000 0.0026763 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.18389 N N N N N N N/A N/A 000000000 2199843.750000 PA USD 2199843.750000 0.05022 Long RA US N 2 Repurchase N 5.380000 2025-10-23 2500000.000000 USD 2414304.750000 USD CDS N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271JDH7 1950000.000000 PA USD 1944067.670000 0.0443809 Long DBT CORP US N 2 2024-04-17 None 0 N N N N N N ACHV ABS TRUST 2024-1PL N/A 00092BAA2 500000.000000 PA USD 500253.250000 0.0114202 Long ABS-O CORP US N 2 2031-04-25 Fixed 5.9 N N N N N N N/A N/A 000000000 -40.000000 NC USD -74000.000000 -0.0016893 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Call Written NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL NYM 04/22/24 2024-04-23 N/A USD N/A 83.000000 USD 2024-04-17 XXXX -20890.800000 N N N N/A N/A 000000000 -6.000000 NC -321.580000 -0.0000073 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 05/30/24 2024-05-31 N/A EUR N/A 65.000000 EUR 2024-05-24 XXXX 8192.370000 N N N N/A N/A 000000000 71.000000 NC USD 409977.580000 0.0093593 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A Gasoline 2024-08-30 7521200.400000 USD 409977.580000 N N N N/A N/A 000000000 -97.000000 NC USD -209714.000000 -0.0047875 N/A DCO US N 1 ICE FUTURES EUROPE 549300UF4R84F48NCH34 Put Written ICE FUTURES EUROPE 549300UF4R84F48NCH34 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT EMFUT - CCA 2024 SP IFE 12/24/24 2024-12-25 N/A USD N/A 35.000000 USD 2024-12-16 XXXX -1164.000000 N N N N/A N/A 000000000 -6.000000 NC -992.090000 -0.0000226 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 06/27/24 2024-06-28 N/A EUR N/A 65.000000 EUR 2024-06-26 XXXX 7805.650000 N N N N/A N/A 000000000 1.000000 NC -13018.200000 -0.0002972 N/A DFE BR N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2046754.290000 USD 10200000.000000 BRL 2024-04-02 -13018.200000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FH6 2642945.840000 PA USD 2890984.670000 0.065998 Long DBT UST US N 2 2029-04-15 Fixed 3.875 N N N N N N N/A N/A 000000000 13.000000 NC USD 26532.300000 0.0006057 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Long N/A Gasoline 2024-04-30 1485447.600000 USD 26532.300000 N N N N/A N/A 000000000 -18.000000 NC -28505.830000 -0.0006508 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 Put Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. 549300CZW488L20NT866 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT NATURAL GAS EDX 06/27/24 2024-06-28 N/A EUR N/A 25.000000 EUR 2024-06-26 XXXX 17071.640000 N N N BPCRE HOLDER LLC 2022-FL2 N/A 05602FAA5 311406.250000 PA USD 311579.440000 0.007113 Long ABS-CBDO CORP BM N 2 2037-01-16 Floating 7.72667 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20H N/A 83162CRY1 4685.190000 PA USD 4706.450000 0.0001074 Long ABS-O CORP US N 2 2028-08-01 Fixed 6.02 N N N N N N ALME LOAN FUNDING IV DAC 4A N/A ACI28VC27 16293852.510000 PA 17529002.020000 0.400168 Long ABS-CBDO CORP IE N 2 2032-01-15 Floating 4.692 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H15 N/A 38380LA78 1580038.620000 PA USD 1571961.150000 0.0358861 Long ABS-MBS USGSE US N 2 2069-09-20 Floating 6.34443 N N N N N N N/A N/A 000000000 1.000000 NC 14057.300000 0.0003209 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 13000000.000000 BRL 2583709.710000 USD 2024-07-02 14057.300000 N N N WELLFLEET CLO X LTD 2019-XA N/A 94949WAM8 998492.640000 PA USD 1000508.400000 0.0228405 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.74942 N N N N N N FREDDIE MAC STRIPS 278 N/A 3132HTBH8 8658.840000 PA USD 8528.150000 0.0001947 Long ABS-MBS USGSE US N 2 2042-09-15 Floating 5.88312 N N N N N N N/A N/A 000000000 -90.000000 NC USD -55170.000000 -0.0012595 N/A DCO US N 1 NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 Put Written NEW YORK MERCANTILE EXCHANGE 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT NATURAL GAS NYM 04/26/24 2024-04-27 N/A USD N/A 1.650000 USD 2024-04-25 XXXX 21913.200000 N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 38057.080000 PA USD 28786.210000 0.0006572 Long ABS-MBS CORP US N 2 2036-01-26 Floating 5.11463 N N N N N N BFLD 2019-DPLO N/A 054970AA6 1000000.000000 PA USD 998940.400000 0.0228047 Long ABS-MBS CORP US N 2 2034-10-15 Floating 6.52948 N N N N N N CAIRN CLO VIII DAC 2017-8A N/A ACI290HR4 1952733.480000 PA 2099366.350000 0.0479262 Long ABS-CBDO CORP IE N 2 2030-10-30 Floating 4.747 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673BR2 150433.790000 PA USD 141909.680000 0.0032396 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.22389 N N N N N N NEW ORLEANS HOTEL TRUST 2019-HNLA N/A 647622AA7 1674000.000000 PA USD 1635113.820000 0.0373279 Long ABS-MBS CORP US N 2 2032-04-15 Floating 6.36171 N N N N N N TRICOLOR AUTO SECURITIZATION TRUST 2024-1 N/A 89616LAA0 460149.440000 PA USD 460737.230000 0.0105181 Long ABS-O CORP US N 2 2027-10-15 Fixed 6.61 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797HH3 1280000.000000 PA USD 1274186.330000 0.0290883 Long DBT UST US N 2 2024-05-02 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -2686.360000 -0.0000613 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 456821.000000 USD 2297489.860000 BRL 2024-07-02 -2686.360000 N N N N/A N/A 000000000 1.000000 NC -6160.810000 -0.0001406 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3522351.530000 CAD 2594262.060000 USD 2024-04-02 -6160.810000 N N N N/A N/A 000000000 1.000000 NC 51932.830000 0.0011856 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 55821000.000000 GBP 70517564.040000 USD 2024-05-02 51932.830000 N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC N/A 76089RAA2 460472.340000 PA USD 463581.360000 0.0105831 Long ABS-O CORP US N 2 2032-01-26 Fixed 7.13 N N N N N N N/A N/A 000000000 213.000000 NC USD 3864811.240000 0.0882294 N/A DCO US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Long N/A Cocoa 2024-12-13 16045290.000000 USD 3864811.240000 N N N 1211 AVENUE OF THE AMERICAS TRUST 2015-1211 N/A 90117PAC9 1000000.000000 PA USD 963986.200000 0.0220067 Long ABS-MBS CORP US N 2 2035-08-10 Fixed 3.9005 N N N N N N N/A N/A 000000000 1.000000 NC USD 13677.170000 0.0003122 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A BCOMAG Y Single Leg Swap 2025-02-18 0.000000 USD 0.000000 USD 1578955.440000 USD 13677.170000 N N N TESLA AUTO LEASE TRUST 2023-A N/A 88167PAB4 16932308.340000 PA USD 16956966.860000 0.387109 Long ABS-O CORP US N 2 2025-08-20 Fixed 5.86 N N N N N N SLM STUDENT LOAN TRUST 2010-C N/A 78445QAE1 1429203.170000 PA USD 1536381.970000 0.0350739 Long ABS-O CORP US N 2 2041-10-15 Floating 10.1898 N N N N N N LOANCORE ISSUER LTD 2021-CRE6 N/A 53948HAA4 937502.360000 PA USD 924611.700000 0.0211079 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 6.73981 N N N N N N N/A N/A 000000000 1.000000 NC 78239.730000 0.0017861 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 83000000.000000 BRL 16627268.720000 USD 2024-04-02 78239.730000 N N N FNMA PASS THRU POOLS N/A 3138WD2N0 32864.210000 PA USD 30039.600000 0.0006858 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -6059.260000 -0.0001383 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 522828.360000 USD 479000.000000 EUR 2024-04-02 -6059.260000 N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-GA N/A 63941UAA1 340810.690000 PA USD 307471.970000 0.0070192 Long ABS-O CORP US N 2 2069-09-16 Fixed 1.17 N N N N N N OZLME IV DAC A4 N/A ACI138341 4987283.300000 PA 5362290.110000 0.122415 Long ABS-CBDO CORP IE N 2 2032-07-27 Floating 4.745 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2015-4A N/A 14311NAL8 500000.000000 PA USD 499618.150000 0.0114057 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.91942 N N N N N N NAVSL-2021-BA N/A 63942LAA0 7653108.450000 PA USD 6695912.750000 0.15286 Long ABS-O CORP US N 2 2069-07-15 Fixed 0.94 N N N N N N AMERICAN ELECTRIC POWER COMPANY INC 1B4S6S7G0TW5EE83BO58 0255E2D80 450000.000000 PA USD 449250.970000 0.0102559 Long DBT CORP US N 2 2024-04-08 None 0 N N N N N N TRILLIUM CREDIT CARD TRUST II 2023-3A N/A 89621ABT5 12500000.000000 PA USD 12555891.250000 0.286637 Long ABS-MBS CORP CA N 2 2028-08-26 Floating 6.17571 N N N N N N ICG EURO CLO 2021-1 DAC 21-1A N/A ACI299J93 8000000.000000 PA 8583656.070000 0.195955 Long ABS-CBDO CORP IE N 2 2034-10-15 Floating 4.992 N N N N N N AVANGRID INC (AKA: IBERDROLA USA INC; ENERGY EAST CORPORATION) 549300OX0Q38NLSKPB49 05353AD30 250000.000000 PA USD 249769.130000 0.005702 Long DBT CORP US N 2 2024-04-03 None 0 N N N N N N N/A N/A 000000000 -78.000000 NC USD -1173197.180000 -0.0267828 N/A DCO US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Short N/A Cocoa 2024-07-16 -7258680.000000 USD -1173197.180000 N N N MAN GLG EURO 6A N/A ACI22ZH29 2217041.980000 PA 2382882.960000 0.0543986 Long ABS-CBDO CORP IE N 2 2032-10-15 Floating 4.752 N N N N N N N/A N/A 000000000 1.000000 NC -7242.290000 -0.0001653 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1406168.070000 USD 2341494.000000 NZD 2024-04-02 -7242.290000 N N N N/A N/A 000000000 1.000000 NC -3602.240000 -0.0000822 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 610994.740000 USD 563000.000000 EUR 2024-04-02 -3602.240000 N N N N/A N/A 000000000 29.000000 NC USD -37270.560000 -0.0008508 N/A DCO SG N 1 SINGAPORE EXCHANGE DERIVATIVES CLEARING LIMITED 549300ZLWT3FK3F0FW61 Long N/A Iron Ore 2024-05-31 293016.000000 USD -37270.560000 N N N N/A N/A 000000000 -56.000000 NC USD -115920.000000 -0.0026463 N/A DCO GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Call Written INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 04/30/24 2024-05-01 N/A USD N/A 87.000000 USD 2024-04-25 XXXX -33600.000000 N N N N/A N/A 000000000 1.000000 NC USD 0.240000 0 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 CMBX.NA.AAA.7 N/A N/A Y Single Leg Swap 2047-01-17 0.000000 USD -14.700000 USD 473.300000 USD 14.940000 N N N N/A N/A 000000000 1.000000 NC USD 746433.490000 0.0170403 N/A DCO US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 COMM SWAP PIMCODB CIB PIMCODB2 Internal_ID COMM SWAP PIMCODB CIB 2571327.469648 USD 23438.011587 USD Y Single Leg Swap 2025-02-18 0.000000 USD 0.000000 USD 81889409.860000 USD 746433.490000 N N N N/A N/A 000000000 1.000000 NC USD 104793.060000 0.0023923 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP JMABNIC5 JPM JMABNIC5 Internal_ID COMM SWAP JMABNIC5 JPM 1996459.022081 USD 2069.311532 USD Y Single Leg Swap 2025-02-18 0.000000 USD 0.000000 USD 101103698.890000 USD 104793.060000 N N N N/A N/A 000000000 1.000000 NC USD 2484062.530000 0.0567084 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 COMM SWAP PIMCODB MAC PIMCODB1 Internal_ID COMM SWAP PIMCODB MAC 608179.351995 USD 6284.068948 USD COMM SWAP PIMCODB MAC 33006694.112086 USD 341044.694895 USD COMM SWAP PIMCODB CIB 11374439.029737 USD 103679.611763 USD COMM SWAP JMABNIC5 JPM 4046209.692646 USD 4193.859372 USD COMM SWAP JMABNIC5 JPM 10818295.168193 USD 11213.064083 USD COMM SWAP PIMCODB MAC 4478103.348427 USD 46270.413662 USD COMM SWAP PIMCODB CIB 1547709.846385 USD 14107.592961 USD COMM SWAP JMABNIC5 JPM 5338017.001890 USD 5532.805843 USD COMM SWAP PIMCODB CIB 2366603.945001 USD 21571.927862 USD COMM SWAP PIMCODB MAC 6996387.298254 USD 72290.813597 USD COMM SWAP JMABNIC5 JPM 3341671.407996 USD 3463.611878 USD COMM SWAP JMABNIC5 JPM 13436342.249229 USD 13926.645958 USD COMM SWAP PIMCODB MAC 18549587.066396 USD 191665.310073 USD COMM SWAP PIMCODB CIB 6387373.969307 USD 58221.812222 USD COMM SWAP JMABNIC5 JPM 3354806.103270 USD 3477.225869 USD COMM SWAP PIMCODB CIB 188345.642027 USD 1716.797021 USD COMM SWAP PIMCODB MAC 544689.105394 USD 5628.050150 USD COMM SWAP JMABNIC5 JPM 7442561.719992 USD 7714.147212 USD COMM SWAP PIMCODB CIB 483147.516456 USD 4403.957575 USD COMM SWAP PIMCODB MAC 1385773.737884 USD 14318.634275 USD COMM SWAP JMABNIC5 JPM 4137689.225785 USD 4288.677072 USD COMM SWAP PIMCODB MAC 7781956.455112 USD 80407.778977 USD COMM SWAP PIMCODB CIB 2653216.879502 USD 24184.445077 USD COMM SWAP JMABNIC5 JPM 6952907.904283 USD 7206.625506 USD COMM SWAP PIMCODB MAC 660078.489110 USD 6820.321543 USD COMM SWAP PIMCODB CIB 229290.348153 USD 2090.013777 USD COMM SWAP PIMCODB MAC 7598542.503035 USD 78512.637491 USD COMM SWAP PIMCODB MAC 24534130.397636 USD 253501.153056 USD COMM SWAP PIMCODB CIB 8483742.861776 USD 77330.509567 USD COMM SWAP JMABNIC5 JPM 3363916.658461 USD 3486.668877 USD COMM SWAP PIMCODB MAC 1634273.443890 USD 16886.280285 USD COMM SWAP PIMCODB CIB 556847.986939 USD 5075.747731 USD COMM SWAP PIMCODB MAC 12038785.206825 USD 124391.852569 USD COMM SWAP PIMCODB CIB 4119037.315555 USD 37545.604544 USD COMM SWAP JMABNIC5 JPM 17479294.350510 USD 18117.128866 USD COMM SWAP PIMCODB MAC 20881029.926565 USD 215755.157309 USD COMM SWAP PIMCODB CIB 7124378.657942 USD 64939.713632 USD COMM SWAP PIMCODB MAC 37798099.906140 USD 390552.334818 USD COMM SWAP JMABNIC5 JPM 19397295.304245 USD 20105.119328 USD COMM SWAP PIMCODB CIB 13004038.286047 USD 118533.638215 USD COMM SWAP PIMCODB MAC 37159616.091612 USD 383955.142231 USD COMM SWAP PIMCODB CIB 12774747.938461 USD 116443.624444 USD COMM SWAP PIMCODB CIB 7812249.700809 USD 71209.754948 USD COMM SWAP JMABNIC5 JPM -1766.918573 USD -1.831395 USD COMM SWAP PIMCODB MAC 24754475.217438 USD 255777.886121 USD COMM SWAP PIMCODB CIB 212912.465655 USD 1940.727074 USD Y Single Leg Swap 2025-02-18 0.000000 USD 0.000000 USD 240410401.660000 USD 2484062.530000 N N N 2024-05-28 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer